- The report explores the transformation path from fund selection factors to stock selection factors, highlighting the construction of a fund selection alpha win rate factor, which has shown excellent performance with an average IC of 0.0653 and an IC win rate of 71% since 2013[1][13][18] - The fund selection alpha win rate factor is constructed by looking back at the past 5 reporting periods of fund holdings at each quarterly report disclosure point, and calculating the proportion of stocks that outperformed the industry by more than 0.5% in the subsequent observation period[18][23] - The fund selection alpha win rate factor is then mapped to a stock factor, FHQ, which reflects the average quality of the funds holding the stock, with higher fund ratings resulting in higher FHQ values[1][31][34] - The FHQ factor shows good stock selection performance across various sample spaces, particularly in the CSI 300 and SSE 50 sample spaces, with a quarterly IC average of 0.06 and an IC win rate of 63% in the CSI 300 sample space[2][43][48] - The FHQ factor can be used to construct long-only stock selection strategies within index constituent stocks, with the CSI 300 long-only stock selection portfolio achieving an annualized excess return of 11.22% relative to the CSI 300 equal-weighted index since 2013[2][57][59] - The mapping path of factor transformation can be extended to other fund selection factors, and multiple factors can be combined to enhance performance, such as the composite stock factor FHQ_5, which integrates several factors and shows improved performance with an IC average of 0.0963 and an IC win rate of 73%[3][87][90] - The FHQ_5 factor can be used to construct long-only stock selection portfolios and index enhancement portfolios, with the CSI 300 long-only stock selection portfolio achieving an annualized return of 15.31% and an excess annualized return of 10.72% relative to the CSI 300 equal-weighted index, and the CSI 300 index enhancement portfolio achieving an excess annualized return of 7.40% with an IR of 1.71[4][94][98][99]