【导读】联博全球经验在本土市场的又一实践 正值联博基金正在发行旗下第一只指数增强策略的基金——联博中证500指数增强型基金（基金代码A 类026059/C类026060），拟任基金经理朱良和杨光通过直播给投资者分享了近期市场观点、投资策略及 联博的全球优势。 以下整理了直播中的精华内容，与大家一一分享。 金句摘要： · 中证500指数的一个显著特点是民营经济占比接近50%。民营经济对中国的贡献有一个"56789"，随着 促进民营经济发展壮大的相关政策举措陆续出台，民营企业家的信心得到提振，资本性支出意愿增强， 为中证500指数注入了活力。 · 历史不会简单地重复，但是它会押韵。联博发现境外投资者在中国能做好投资，正是因为他们善于捕 捉这种全球共通的"韵"，并灵活运用于本土实践。 · 不断努力战胜基准、创造超额收益，最终是为了给投资者带来更稳定、更优质的投资体验——这一切 的坚持，都赋予了主动管理产品存在的意义。 · 我们产品策略的Alpha主要来自非市值、非β的风格因子，例如包含如具备传统经济学含义的估值、质 量等因子，以及通过机器学习发掘的多维度量价因子，这类收益来源是更可持续、也更可解释的。 · 这个迭代 ...

一、 指数增强型ETF：指增策略新载体 指数增强型ETF作为指数增强策略的创新型产品，近年来持续扩容。 指数增强 型ETF作为指数增强策略的创新型产品，近年来持续扩容。指增ETF产品在资 金使用效率、交易灵活性、费率结构和持仓透明度等方面相较传统场外指数增 强基金具有明显优势。截至2025年10月31日，全市场共有51只指数增强策略 ETF，总规模95.73亿元，其中跟踪中证500的指数增强ETF共7只，规模达到 25.92亿元。 二、 中证500指增产品持续扩容，历史超额收益较为稳健 中证500指数由剔除沪深300后市值靠前的500只股票构成 ，其行业分布相对分 散，当前估值处于历史均值以下，长期收益与中证1000接近，整体弹性大于上证 50和沪深300，是具备一定成长性与分散度的中盘代表指数。 中证500是公募较早开始布局增强策略的核心标的之一，其产品数量和规模均居 前。 截至2025Q3，中证500指增基金规模达493.46亿元，规模占比超全部增强 型基金的1/5。中证500增强基金整体超额收益稳定，其中增强型ETF受益于更高 资金利用率等因素，表现整体优于场外增强基金 。 三、 博时中证500增强策略 ...

□究其原因：一方面，年初大量资金出于避险需求涌入市场中性策略，拥挤度有所提升；另一方面，融 券余额的逐步下降使市场中性策略只能用股指期货对冲，基差波动自然会有所加剧，导致策略的夏普比 率出现变化 ◎记者 马嘉悦 年初资金追捧的市场中性策略，如今面临尴尬境地。 据私募排排网统计，截至11月14日，该策略年内平均收益不足10%。与此同时，该策略产品年内波动率 （区间收益率的标准差）超过150%，相较去年明显提升。用投资者的话来说：收益率表现平庸，波动 还加大了，说好的"固收替代品"呢？ 在此背景下，私募和投资者开始重新审视市场中性策略的价值。据悉，部分量化私募已暂停市场中性策 略的新增投资者申购，或者只对机构进行售卖。多位渠道人士透露，近期不少客户选择赎回市场中性策 略产品。 业内人士表示，过去几年，市场中性策略被投资者理解为"固收替代品"，但资金涌入、融券对冲暂停等 都不可避免地加剧了策略波动。接下来，该不该把市场中性策略类产品提供给个人投资者？如何通过策 略创新、风控升级、投资者陪伴等手段，满足仍在持续增长的稳健型理财需求？如何真正实现资金与资 产的风险匹配？ 郭晨凯 制图 □截至11月14日，有业绩记录的6 ...

证券研究报告 | 2025年11月24日 金融工程专题研究 量化赋能中盘宽基，精筑稳健超额 Alpha——博时中证 500 增强策略 ETF 投资价值分析 指数增强型 ETF：指增策略新载体 指数增强型 ETF 作为指数增强策略的创新型产品，近年来持续扩容。指增 ETF 产品在资金使用效率、交易灵活性、费率结构和持仓透明度等方面相较 传统场外指数增强基金具有明显优势。截至 2025 年 10 月 31 日，全市场共 有 51 只指数增强策略 ETF，总规模 95.73 亿元，其中跟踪中证 500 的指数 增强 ETF 共 7 只，规模达到 25.92 亿元。 中证 500 指增产品持续扩容，历史超额收益较为稳健 中证 500 指数由剔除沪深 300 后市值靠前的 500 只股票构成，其行业分布 相对分散，当前估值处于历史均值以下，长期收益与中证 1000 接近，整体 弹性大于上证 50 和沪深 300，是具备成长性与分散度的中盘代表指数。 中证 500 是公募较早开始布局增强策略的核心标的之一，其产品数量和规模 均居前。截至 2025Q3，中证 500 指增基金规模达 493.46 亿元，规模占比 超全部增强 ...

证券研究报告 | 2025年11月24日 金融工程专题研究 量化赋能中盘宽基，精筑稳健超额 Alpha——博时中证 500 增强策略 ETF 投资价值分析 指数增强型 ETF：指增策略新载体 指数增强型 ETF 作为指数增强策略的创新型产品，近年来持续扩容。指增 ETF 产品在资金使用效率、交易灵活性、费率结构和持仓透明度等方面相较 传统场外指数增强基金具有明显优势。截至 2025 年 10 月 31 日，全市场共 有 51 只指数增强策略 ETF，总规模 95.73 亿元，其中跟踪中证 500 的指数 增强 ETF 共 7 只，规模达到 25.92 亿元。 中证 500 指增产品持续扩容，历史超额收益较为稳健 中证 500 指数由剔除沪深 300 后市值靠前的 500 只股票构成，其行业分布 相对分散，当前估值处于历史均值以下，长期收益与中证 1000 接近，整体 弹性大于上证 50 和沪深 300，是具备成长性与分散度的中盘代表指数。 中证 500 是公募较早开始布局增强策略的核心标的之一，其产品数量和规模 均居前。截至 2025Q3，中证 500 指增基金规模达 493.46 亿元，规模占比 超全部增强 ...

证券研究报告 | 2025年11月24日 金融工程专题研究 量化赋能中盘宽基，精筑稳健超额 Alpha——博时中证 500 增强策略 ETF 投资价值分析 指数增强型 ETF：指增策略新载体 指数增强型 ETF 作为指数增强策略的创新型产品，近年来持续扩容。指增 ETF 产品在资金使用效率、交易灵活性、费率结构和持仓透明度等方面相较 传统场外指数增强基金具有明显优势。截至 2025 年 10 月 31 日，全市场共 有 51 只指数增强策略 ETF，总规模 95.73 亿元，其中跟踪中证 500 的指数 增强 ETF 共 7 只，规模达到 25.92 亿元。 中证 500 指增产品持续扩容，历史超额收益较为稳健 中证 500 指数由剔除沪深 300 后市值靠前的 500 只股票构成，其行业分布 相对分散，当前估值处于历史均值以下，长期收益与中证 1000 接近，整体 弹性大于上证 50 和沪深 300，是具备成长性与分散度的中盘代表指数。 中证 500 是公募较早开始布局增强策略的核心标的之一，其产品数量和规模 均居前。截至 2025Q3，中证 500 指增基金规模达 493.46 亿元，规模占比 超全部增强 ...

Core Insights - The report indicates that the market has experienced significant fluctuations, with the Shanghai Composite Index and the CSI 1000 Index showing contrasting performances in the recent week and year-to-date [3][5][20] - The CSI 1000 Index enhancement strategy has shown a year-to-date return of 21.60%, outperforming the benchmark index by 2.97% [4][18] Market Performance - In the week of November 17-21, 2025, the Shanghai 50 and CSI Dividend Index had the best performances with returns of -2.72% and -3.69%, while the Micro-cap Index and ChiNext Index had the worst returns at -7.80% and -6.15% respectively [3][7] - Year-to-date, the Micro-cap Index and ChiNext Index led with returns of 66.12% and 36.35%, while the CSI Dividend and Shanghai 50 Index lagged with returns of -0.48% and 10.10% [8][20] Strategy Performance - For the week, the CSI 1000 Index enhancement strategy yielded a return of -5.89%, slightly underperforming the index return of -5.80, resulting in an excess return of -0.09% [4][12] - For the month, the strategy's return was -6.45%, compared to the index's -5.85%, leading to an excess return of -0.60% [16] - Year-to-date, the strategy has achieved a return of 21.60%, outperforming the index return of 18.63% by 2.97% [18] Investment Recommendations - The report suggests that the CSI 1000 Index has shown weak performance recently, attributed to external uncertainties and internal market pressures, indicating a potential for continued volatility [5][20] - The report emphasizes the need for investors to be cautious of the high volatility associated with the CSI 1000 Index, as it may face significant downward pressure in the near term [5][20]

Core Insights - The report highlights that during the week of November 17-21, 2025, public quantitative funds showed resilience with positive excess returns across various indices, particularly the CSI 500 index which had an average excess return of 0.35% and a 80.82% positive return rate among funds [1][2][3] - For the month of November 2025, the average excess return for the CSI 500 index was 0.77%, with 81.69% of funds achieving positive returns, indicating a strong performance in the quantitative fund sector [2][3] - Year-to-date performance as of November 21, 2025, shows that the CSI 1000 index had the highest average excess return of 6.69%, with 89.13% of funds generating positive returns, suggesting a favorable environment for this index [3] Group 1: Weekly Performance Statistics - The average excess return for the public quantitative funds tracking the CSI 300 index was 0.22% for the week, with 72.00% of funds achieving positive returns [1] - The average excess return for the public quantitative funds tracking the CSI A500 index was 0.20%, with 70.31% of funds achieving positive returns [1] - The average return for public actively managed quantitative funds was -4.65%, with only 0.49% of funds generating positive returns, indicating challenges in this segment [1] Group 2: Monthly Performance Statistics - For November 2025, the average excess return for the public quantitative funds tracking the CSI 300 index was 0.15%, with 66.22% of funds achieving positive returns [2] - The average excess return for the public quantitative funds tracking the CSI A500 index was 0.19%, with 64.91% of funds achieving positive returns [2] - The average return for public actively managed quantitative funds was -4.49%, with only 4.96% of funds generating positive returns, reflecting ongoing difficulties in this area [2] Group 3: Year-to-Date Performance Statistics - Year-to-date as of November 21, 2025, the average excess return for the public quantitative funds tracking the CSI 300 index was -0.75%, with only 34.43% of funds achieving positive returns [3] - The public quantitative funds tracking the CSI A500 index had an average excess return of 1.18%, with 75.00% of funds achieving positive returns, indicating a strong performance relative to other indices [3] - The public actively managed quantitative funds had an impressive average return of 22.14%, with 97.80% of funds generating positive returns, showcasing the effectiveness of active management strategies in the current market [3]

本周市场普跌，指增组合收益承压 分析师 缪铃凯 SAC 证书编号：S0160525060003 miaolk@ctsec.com 分析师 韩乾 SAC 证书编号：S0160525060004 hanqian@ctsec.com 分析师 张淼 SAC 证书编号：S0160525080008 zhangmiao@ctsec.com 相关报告 1. 《沪深 300 增强超额收益领先市场》 2025-11-15 2. 《红利微盘哑铃型策略回归，指增超额表 现回暖》 2025-11-08 3. 《2025 年 12 月核心宽基指数成分股调 整预测》 2025-11-06 证券研究报告 量化选股策略周报/ 2025.11.22 核心观点 ❖ 我们基于深度学习框架构建 alpha 和风险模型，打造 AI 体系下的低 频指数增强策略： ❖ 风险提示：因子失效风险，模型失效风险，市场风格变动风险。 请阅读最后一页的重要声明！ ❖ 本周市场指数表现：截至 2025-11-21，本周上证指数下跌 3.90%，深证 成指下跌 5.13%，沪深 300 下跌 3.77%，市场情绪下降指数蒙受较大跌幅。 ❖ 本周指数增强基金表现：截至 ...

Core Viewpoint - The article discusses the performance and potential of the CSI A500 Index in the context of the A-share market, highlighting its superior elasticity compared to the CSI 300 Index and its role as a new investment option for investors [2][5]. Group 1: Market Performance - The CSI A500 Index has shown significant growth this year, outperforming the CSI 300 Index, with historical instances of doubling in value during major market rallies in 2009, 2015, and 2020 [2]. - As of October, the CSI A500 Index has been a focal point for investment products, with notable performance from quantitative strategies, particularly from Jiukun Investment's CSI A500 Index Enhanced Product [2][3]. Group 2: Index Characteristics - The CSI A500 Index, launched in September 2024, includes 500 stocks with large market capitalization and good liquidity, representing a balanced distribution across various industries [5][24]. - It covers 71.2% of total A-share market revenue, 56.1% of market capitalization, and 62.5% of net profit attributable to shareholders, indicating a broad market representation despite comprising less than 10% of the total stock count [5][25]. Group 3: Investment Strategy - The combination of the CSI A500 Index with quantitative strategies offers advantages such as risk diversification, capturing new alpha opportunities in emerging industries, and enhancing liquidity [6][7][8]. - Jiukun Investment's approach emphasizes long-term stability and adaptability in various market conditions, leveraging its extensive experience in quantitative investment [11][15]. Group 4: Future Outlook - The CSI A500 Index is positioned as a key area for quantitative investment strategies, with expectations for continued growth and innovation in investment approaches [15][30]. - The index's active trading and diverse industry representation align well with the principles of quantitative investment, making it a favorable choice for investors seeking to capitalize on market trends [15][31].