Group 1 - The report indicates that the performance of major public index enhancement funds has been tracked weekly, focusing on the returns of the funds against their respective benchmarks, including CSI 300, CSI 500, CSI 1000, and National Index 2000 [7][8]. - As of September 12, 2025, the CSI 300 enhancement funds have 53 products with a total scale of 77.3 billion, while the CSI 500 enhancement funds have 66 products with a scale of 43.7 billion [8][9]. - The report highlights that the CSI 2000 enhancement strategy has achieved a year-to-date excess return of 21.18%, indicating strong performance compared to its benchmark [1][4]. Group 2 - The report details the top-performing CSI 300 enhancement funds for the year, with the top five funds achieving returns of 28.33%, 27.65%, 23.15%, 22.67%, and 21.93%, respectively, with corresponding excess returns of 13.41%, 12.73%, 8.23%, 7.75%, and 7.01% [9][11]. - For the CSI 500 enhancement funds, the top five funds have returns of 35.46%, 35.31%, 35.02%, 34.39%, and 32.41%, with excess returns of 10.62%, 10.47%, 10.19%, 9.56%, and 7.58% [15][19]. - The CSI 1000 enhancement funds show similar strong performance, with the top five funds achieving returns of 40.4%, 39.68%, 39.21%, 38.57%, and 38.44%, with excess returns of 15.81%, 15.08%, 14.62%, 13.98%, and 13.85% [21][25]. Group 3 - The report emphasizes the performance of the National Index 2000 enhancement funds, with the top five funds achieving returns of 45.03%, 44.3%, 43.56%, 37.72%, and 35.56%, with excess returns of 16.01%, 15.28%, 14.54%, 8.7%, and 6.54% [29][30]. - The report also tracks the performance of various factors used in quantitative stock selection models, highlighting the effectiveness of different factors across various stock pools [34][37]. - The report provides insights into the excess returns of single factors, indicating that certain factors have performed better over different time frames, which can guide investment strategies [38][39].

贝莱德集团的系统化主动权益（SAE）策略正越来越多在中国本土投资里担纲重要角色。 截至2025年6月末，贝莱德集团资产管理规模达12.5万亿美元，是全球最大资管公司之一。作为贝莱德的旗舰策略，SAE 策略运用机器学习、自然语言处理等大数据分析方法，来捕捉对投资有指导价值的投资信号，持续升级满40周年。目前 SAE已迭代至第六代大语言模型，在管规模达3360亿美元。 之所以说SAE在中国本土投资中的作用越发大，是因为据记者了解，继贝莱德沪深300指增A（成立于2024年11月26日） 和贝莱德中证A500指增A（成立于2025年1月23日）之后，贝莱德基金正在发行的中证500指数增强基金，也将借力SAE 策略并加以本土化改进。 万得显示，截至今年8月末，此前借力SAE策略的贝莱德沪深300指增A、贝莱德中证A500指增A成立以来的净值增长率分 别为18.35%、18.02%，收益表现亮眼。 更重要的是，贝莱德基金拟将SAE全面引入公司主动权益投资。也就是说，SAE的另类数据库和1000多个自研信号，将全 面赋能贝莱德基金的投资决策，提升其投资广度和胜率。此外，系统化投资的全面引入还意味着贝莱德基金将把投研机 制 ...

Core Viewpoint - BlackRock views the Chinese market as a crucial growth engine within its global strategy, managing $12.5 trillion in assets and recognizing the significant scale and potential of the Chinese market [1][2]. Group 1: Business Development and Achievements - Since its establishment as a public fund management company in June 2021, BlackRock Fund has managed 16 public products with a total scale of approximately 15 billion yuan [2]. - The company has built stable relationships with channels, institutional clients, and partners, while also enhancing brand recognition in the Chinese public fund industry [2]. - BlackRock Fund has faced challenges such as longer decision-making processes compared to local institutions, but has improved governance structures and decision-making efficiency over the years [2][3]. Group 2: Localization Strategy - BlackRock's localization strategy focuses on talent, decision-making, and product development, achieving significant progress in these areas [3][4]. - The company has shifted from an "international" to a "localized" talent strategy, prioritizing professionals familiar with the Chinese market [3]. - Decision-making processes have been streamlined to enhance responsiveness to market changes, allowing for quicker product launches and strategy adjustments [3][4]. Group 3: Product Innovation and Focus - BlackRock Fund emphasizes diverse product offerings tailored to Chinese investors' needs, balancing absolute and relative returns [4][6]. - The company is launching innovative products such as the BlackRock China Bond Investment Preferred Green Bond Index Fund, addressing domestic green finance requirements [4]. - Future product development will focus on systematic investment, multi-asset management, and global asset allocation, including the reintroduction of QDLP products and preparations for QDII qualifications [7][8]. Group 4: Management Team Adjustments - Recent personnel changes, including the appointment of Yu Peihua as General Manager, are aimed at optimizing the organization and implementing strategic initiatives [5][6]. - The new management team is expected to enhance customer engagement and market expansion, leveraging local expertise to strengthen the fixed income platform [5][6]. Group 5: Systematic Investment Approach - BlackRock Fund is prioritizing systematic investment strategies, combining quantitative and fundamental stock selection to improve decision-making efficiency [8][9]. - The company is leveraging its Systematic Active Equity (SAE) platform, which has over 40 years of investment experience and utilizes AI technology for enhanced investment opportunities [8][9]. - This platform approach aims to provide stable long-term returns, aligning with the evolving preferences of Chinese investors for consistent performance [9][10]. Group 6: Global and Local Integration - BlackRock aims to integrate global expertise with local market needs, focusing on systematic investment and global asset allocation as key differentiators [10]. - The company emphasizes long-term investment strategies and responsible investing, reflecting its commitment to sustainable investment practices in the Chinese market [10].

Report Summary 1. Report Industry Investment Rating There is no information about the industry investment rating in the report. 2. Core View of the Report The report focuses on the performance of the quantitative fund market, summarizing the performance of major indices and quantitative funds in the past week, the overall performance and distribution of different types of public - offering quantitative funds, and the top - performing quantitative funds in the week from August 4th to August 8th, 2025, for investors' reference. During this period, the A - share market rose, and quantitative funds showed good performance [1][2]. 3. Summary by Directory I. Performance of Major Indices and Quantitative Funds in the Past Week - A - shares continued to rise, with the weekly returns of the CSI 300, CSI 500, and CSI 1000 being 2.51%, 1.78%, and 1.23% respectively [3][6]. - Quantitative funds performed well. Active quantitative funds rose 1.88%, market - neutral funds rose 0.29%, and all types of index - enhanced funds recorded positive returns. In terms of excess returns, CSI 300 index - enhanced, CSI 500 index - enhanced, and other index - enhanced funds achieved positive excess returns of 0.20%, 0.04%, and 0.07% respectively, while CSI 1000 index - enhanced funds underperformed the index [4][9]. II. Performance of Different Types of Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced Funds**: The weekly return was 1.44%, the excess return was 0.20%, the maximum drawdown was - 0.15%, and the excess maximum drawdown was - 0.13% [14]. - **CSI 500 Index - Enhanced Funds**: The weekly return was 1.81%, the excess return was 0.04%, the maximum drawdown was - 0.37%, and the excess maximum drawdown was - 0.29% [14]. - **CSI 1000 Index - Enhanced Funds**: The weekly return was 2.36%, the excess return was - 0.15%, the maximum drawdown was - 0.39%, and the excess maximum drawdown was - 0.47% [15]. - **Other Index - Enhanced Funds**: The weekly return was 1.49%, the excess return was 0.07%, the maximum drawdown was - 0.59%, and the excess maximum drawdown was - 0.26% [15]. - **Active Quantitative Funds**: The weekly return was 1.88%, the maximum drawdown was - 0.37%, and the return dispersion was 1.09% [16]. - **Market - Neutral Funds**: The weekly return was 0.29%, the maximum drawdown was - 0.11%, and the return dispersion was 0.45% [16]. III. Performance Distribution of Different Types of Public - Offering Quantitative Funds The report presents the performance trends of different types of public - offering quantitative funds in the past six months, as well as the performance distribution in the past week and the past year. Index - enhanced funds show the performance of excess returns [17]. IV. Top - Performing Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced**: Funds such as Anxin Quantitative Selection CSI 300 Index Enhancement and Zhongou CSI 300 Quantitative Index Enhancement performed well in the past week [30]. - **CSI 500 Index - Enhanced**: Funds like Guotai CSI 500 Index Enhancement and Huian CSI 500 Enhancement had good performance [31]. - **CSI 1000 Index - Enhanced**: Funds including Guolianan CSI 1000 Index Enhancement and Penghua CSI 1000 Enhanced Strategy ETF showed good results [32]. - **Other Index - Enhanced**: Funds such as Great Wall GEM Index Enhancement and Fuguocheng GEM Enhanced Strategy ETF performed well [33]. - **Active Quantitative**: Funds like Changxin National Defense and Military Industry and Huian Quantitative Pioneer had high returns [34]. - **Market - Neutral**: Funds such as Zhongyou Absolute Return Strategy and Southern Absolute Return Strategy performed well [35].

Core Viewpoint - The recent leadership change at Huatai-PineBridge Fund, with Lu Weiming taking over from Li Wen, is expected to enhance strategic collaboration with its major shareholder, Dongfang Securities, amidst a rapidly evolving industry landscape [3][4]. Group 1: Leadership Transition - Li Wen stepped down as chairman after a successful tenure since 2015, while Lu Weiming, closely associated with Dongfang Securities, assumes leadership [3]. - The market anticipates strengthened strategic alignment between Huatai-PineBridge and Dongfang Securities under Lu's leadership [3]. Group 2: Financial Performance - In 2024, Huatai-PineBridge reported a revenue of 4.828 billion yuan, a decline of 10.11% year-on-year, while net profit increased by 9.3% to 1.547 billion yuan [4]. - The fund contributed over 40% to Dongfang Securities' net profit of 3.35 billion yuan, indicating its significant role in the parent company's financial health [4]. Group 3: Strategic Initiatives - Huatai-PineBridge's asset management scale reached 1.16 trillion yuan by the end of 2024, growing over 9% from the beginning of the year, with a diverse product line including 32 new public offerings [5]. - The company is transitioning to a client-centric advisory model, enhancing digital services and operational efficiency through technology integration [5][7]. Group 4: Challenges and Market Position - The fund faces challenges in the ETF market, with its index fund scale at 166.635 billion yuan, significantly lower than competitors like Huaxia Fund and E Fund [16]. - A notable decline in equity fund sizes raises concerns about the company's reliance on money market funds, necessitating a strategic shift to rebuild its equity foundation [16][17]. Group 5: Compliance and Regulatory Issues - Recent regulatory scrutiny highlighted compliance issues, with a staff member fined for unauthorized trading, underscoring the need for enhanced compliance measures [17][18]. - The company must address these compliance challenges to maintain its reputation in a highly regulated industry [18].

Group 1 - The report indicates that the small-cap style outperformed last week, with the CSI 2000 index enhancement strategy achieving an excess return of 18.92% year-to-date [1] - The report tracks the performance of public index enhancement funds for major indices, including CSI 300, CSI 500, CSI 1000, and CSI 2000, as of July 11, 2025 [8] - The top three public funds for the CSI 300 index enhancement this year are: Anxin Quantitative Selected CSI 300 Index Enhancement A (003957.OF) with an excess return of 8.86%, Changxin CSI 300 Index Enhancement A (005137.OF) with 5.91%, and Changcheng Jiutai CSI 300 A (200002.OF) with 5.33% [9] Group 2 - For the CSI 500 index enhancement, the top three funds this year are: Zhongou CSI 500 Index Enhancement A (015453.OF) with 9.15%, Penghua CSI 500 Index Enhancement A (014344.OF) with 7.72%, and Baodao CSI 500 Index Enhancement A (006593.OF) with 7.46% [16] - The CSI 1000 index enhancement funds show the best performers as: Guojin CSI 1000 Index Enhancement A (017846.OF) with 13.65%, ICBC Credit Suisse CSI 1000 Index Enhancement A (016942.OF) with 13.62%, and Huitianfu CSI 1000 Index Enhancement A (017953.OF) with 11.89% [22] - The top three funds for the CSI 2000 index enhancement this year are: Huitianfu CSI 2000 Index Enhancement A (019318.OF) with 14.1%, Penghua CSI 2000 Index Enhancement A (017892.OF) with 13.04%, and Tianhong CSI 2000 Index Enhancement A (017547.OF) with 10.94% [27] Group 3 - The report highlights that the excess returns of various factors within the CSI indices are tracked, with significant factors identified for each index [7] - For the CSI 300, the best-performing factors last week were market capitalization, high-frequency minute data, and valuation [34] - In the CSI 500, the top factors were high-frequency minute data, growth, and market capitalization [42]

Quantitative Factors and Models Summary Quantitative Factors and Their Construction - **Factor Name: Trend** - **Construction Idea**: Measures market preference for trend-following strategies, using exponential weighted moving averages (EWMA) with different half-lives [12] - **Construction Process**: - **Trend_120**: $ EWMA(halflife=20) / EWMA(halflife=120) $ - **Trend_240**: $ EWMA(halflife=20) / EWMA(halflife=240) $ [12] - **Evaluation**: Demonstrates strong performance in short-term market rebounds, indicating increased preference for trend-following strategies [9] - **Factor Name: Certainty** - **Construction Idea**: Captures market confidence through institutional holdings and analyst coverage [12] - **Construction Process**: - **Instholder Pct**: Proportion of public fund holdings - **Cov**: Analyst coverage adjusted for market capitalization - **Listdays**: Number of days since listing [12] - **Evaluation**: Shows recovery in market confidence during the observed period [9] - **Factor Name: Value** - **Construction Idea**: Measures valuation attractiveness using metrics like book-to-price (BP) and earnings yield (EP) [12] - **Construction Process**: - **BP**: $ Net\ Assets / Market\ Capitalization $ - **EP**: $ Earnings / Market\ Capitalization $ [12] - **Evaluation**: Underperformed during the observed period, reflecting reduced market preference for value stocks [9] - **Factor Name: Volatility** - **Construction Idea**: Captures market risk perception through historical and idiosyncratic volatility measures [12] - **Construction Process**: - **Stdvol**: Standard deviation of daily returns over 243 days - **Ivff**: Idiosyncratic volatility from Fama-French 3-factor model over 243 days - **Range**: $ (High\ Price - Low\ Price) / Low\ Price $ over 243 days [12] - **Evaluation**: Declined significantly, indicating increased market aversion to high-volatility assets [10] - **Factor Name: Size** - **Construction Idea**: Measures the impact of company size on returns using logarithmic market capitalization [12] - **Construction Process**: $ Log(Market\ Capitalization) $ [12] - **Evaluation**: Continued to underperform, reflecting negative sentiment towards smaller companies [10] Factor Backtesting Results - **Trend Factor** - Weekly return: 1.49% [9] - Monthly return: -4.81% [11] - Year-to-date return: -10.89% [11] - Historical annualized return: 13.86% [11] - **Certainty Factor** - Weekly return: 1.35% [9] - Monthly return: -2.32% [11] - Year-to-date return: -3.44% [11] - Historical annualized return: 3.20% [11] - **Value Factor** - Weekly return: 0.35% [9] - Monthly return: -2.42% [11] - Year-to-date return: -10.53% [11] - Historical annualized return: 7.28% [11] - **Volatility Factor** - Weekly return: -0.51% [10] - Monthly return: 5.01% [11] - Year-to-date return: 16.90% [11] - Historical annualized return: -12.84% [11] - **Size Factor** - Weekly return: -4.61% [10] - Monthly return: -12.65% [11] - Year-to-date return: -22.68% [11] - Historical annualized return: -29.42% [11] Composite Factor Portfolio Construction - **Model Name: Maximized Factor Exposure (MFE) Portfolio** - **Construction Idea**: Optimizes portfolio to maximize exposure to a single factor while controlling for industry, style, and turnover constraints [52] - **Construction Process**: - Objective function: $ max\ f^{T}w $ - Constraints: - Style exposure: $ s_{l} \leq X(w-w_{b}) \leq s_{h} $ - Industry exposure: $ h_{l} \leq H(w-w_{b}) \leq h_{h} $ - Stock weight deviation: $ w_{l} \leq w-w_{b} \leq w_{h} $ - Turnover limit: $ \Sigma|w-w_{0}| \leq to_{h} $ [52][53] - **Evaluation**: Provides a robust framework for testing factor effectiveness under realistic portfolio constraints [53] MFE Portfolio Backtesting Results - **MFE Portfolio for Trend Factor** - Weekly return: 1.49% [9] - Monthly return: -4.81% [11] - Year-to-date return: -10.89% [11] - Historical annualized return: 13.86% [11]