1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - Against the backdrop of policies promoting long - term capital entry into the market, the allocation value of CSI 300 is continuously increasing. It combines the representativeness of leading companies with dispersion and stability [2]. - The aggregation of large - scale leading companies and the balanced industry distribution jointly enhance the stability of the index. It presents a configuration pattern of "dual support from valuation and performance" [2]. - CSI 300 index enhancement products are highly mature and have strong adaptability to the market environment. They can achieve continuous and stable excess returns in different market environments [2]. - BOC CSI 300 Index Enhancement focuses on growth and profitability. It has a moderately diversified portfolio, and its factor exposure is centered around growth and profitability, with mild adjustments to other factors [2]. - The industry allocation deviation of the enhancement product continues to converge, and the product shows more stable performance and more resilient relative return ability in different market environments [2]. - The product demonstrates continuous and stable enhancement ability at both annual and monthly levels, with a high winning rate since 2020 [2]. 3. Summary by Directory 3.1 CSI 300 Index Allocation Value Analysis 3.1.1 Long - term Capital and High - quality Assets Resonance - In September 2024, the CSRC proposed to optimize the long - term fund allocation mechanism, guiding medium - and long - term funds to increase their allocation of equity assets. The "dual functions of investment and financing" in the capital market are deepened, which is expected to enhance market resilience and the long - term investment value of high - quality enterprises [7]. - The CSI 300 index represents the core assets of the Chinese economy, covering 62.69% of the total market value of A - shares. It has a wide industry coverage and is highly recognized by institutional investors. As of Q3 2025, the total scale of related ETF products is close to 8 billion [9]. - The index has a large - cap bias, with a high concentration of weight in large - market - cap enterprises. The top ten component stocks have a weight concentration of 22.51%, which combines leading - company dominance with weight balance [13][16]. 3.1.2 Valuation and Profitability - As of November 28, 2025, the PE (TTM) of the CSI 300 index is 13.94, at the 77.55% quantile since 2015. It has a larger valuation increase space compared to other broad - based indexes [19]. - According to Wind's consensus forecast, the overall net profit attributable to the parent company of CSI 300 is expected to maintain a stable growth rate of over 9% from 2025 - 2026, and the operating income is expected to grow by about 4.12% and 6.73% respectively in the next two years [22]. 3.2 CSI 300 Index Enhancement Fund Investment Value and Strategy Analysis 3.2.1 Product Development - The CSI 300 index enhancement products have a long history and rich practical experience. The first CSI 300 index enhancement fund was established in 2009 [27]. - Currently, CSI 300 index enhancement products are the largest in scale among index enhancement products. In the past 12 months, 46 new products were established, and the total scale of 43 products announced in Q3 2025 reached 621.6 million yuan. As of Q3 2025, the total scale of CSI 300 index enhancement products was 7.9506 billion yuan, ranking first among broad - based enhancement product systems [28]. 3.2.2 Historical Performance - Since 2016, the equal - weighted portfolio of CSI 300 index enhancement products has been able to achieve continuous excess returns. It has strong adaptability in different market environments [31]. 3.3 BOC CSI 300 Index Enhancement Product Feature Analysis 3.3.1 Positioning Features - The individual stock positions of BOC CSI 300 Index Enhancement are relatively diversified, with the top ten holdings accounting for mostly between 20% and 30%, and the top thirty holdings accounting for less than 50% in most periods [38]. - The current turnover rate of the product is moderate, with a relatively stable change. The turnover rate in 2024 was relatively low, and it rose to 314.47% in the first half of 2025 [40]. - The product's market - value structure is consistent with that of CSI 300, mainly focusing on medium - and large - market - cap companies. It makes mild weight adjustments to pursue excess returns [41]. - The factor exposure of the product is centered around growth and profitability, with mild adjustments to volatility, momentum, and reversal factors according to market conditions [44][46]. 3.3.2 Industry Exposure - The industry allocation of the product shows a trend of stable convergence, with a low - volatility and orderly structure. The overall deviation has been continuously narrowing in the past two years, and the over - and under - allocation of different industries changes moderately [49]. - The number of stocks held by the product has increased steadily, from 197 at the end of 2022 to 256 in the middle of 2025. It is lower than the industry average, which helps control portfolio concentration [54]. 3.3.3 Performance - Since its establishment, BOC CSI 300 Index Enhancement has contributed positive excess returns relative to the CSI 300 index, and the excess returns have become more stable over time [56]. - In 2025, the product's return rate reached 17.53%, continuously outperforming the CSI 300 index. The Calmar ratio reached 1.99, indicating good balance between enhancement effect and risk control [61]. 3.3.4 Stable Enhancement Returns - The product has a high winning rate at both annual and monthly levels. The annual winning rate is 85.71%. It can amplify advantages in the upward phase and remain stable in the shock or downward phase [66]. 3.3.5 Product Feature Summary - The product has a stable and diversified portfolio, with a moderate turnover rate. - The core factor exposure is clear, centered around growth and profitability, with adjustments to other factors according to the market. - The industry allocation is stable and orderly, with a gradually converging deviation. - The performance is stable and sustainable, with a high probability of outperforming the index annually. - The overall style is clear and controllable, maintaining a neutral level for market - value, dividend, and valuation factors, and achieving stable enhancement and sustainable excess returns [68].