- The median excess return for CSI 500 Index Enhanced Funds this week was 0.38%[3][4] - The median excess return for CSI 1000 Index Enhanced Funds this week was 0.34%[3][4] - The median excess return for CSI A500 Index Enhanced Funds this week was 0.31%[3][4] - The median return for other Index Enhanced Funds this week was 0.01%[3][4] - The median return for Absolute Return (Hedge) Funds this week was 0.11%[3][4] - The median return for other Active Quantitative Funds this week was -1.35%[3][4] - The median return for Thematic Funds this week was -0.83%[15][16] - The median return for Performance Fee Funds this week was -1.14%[15][17] - The median return for Sector Rotation Funds this week was -2.12%[15][18] - The median return for Multi-Factor Funds this week was -1.84%[15][19] - The median return for Big Data Driven Active Funds this week was -0.67%[15][20]

相关报告：智研咨询发布的《中国公募量化基金行业市场全景调研及未来前景研判报告》 内容概况：中国公募量化基金于2002年开始起步，伴随着中国资本市场的逐步开放与制度完善，量化投 资开始在国内萌芽。历经二十余年的发展，公募量化基金已从边缘小众产品成长为公募基金行业的重要 组成部分，形成了指数增强、量化对冲、主动量化等多元策略格局。2025年A股市场在"科技突 围"与"反内卷"政策的主线交织下走出了一场波澜壮阔的结构性行情，小盘成长风格持续占优，成交活 跃度显著提升，量化基金迎来业绩与规模的"双丰收"。截至10月29日，2025年期间公募量化策略基金合 计成立158只，比2024年全年的95只增逾66%，并创出历年来年度新高，其中增强指数型基金新成立132 只。从发行规模来看，量化策略基金年内募资总规模为830.64亿元，超出了历史上任何一个年份，比 2024年的368.55亿元增长125%。自2018年以来，公募量化基金的总规模呈现阶段性变化。2018-2021年 期间，随着资本市场全面深化改革持续推进，多层次市场体系日益完善，中国公募量化基金也迎来重大 发展机遇，总规模快速增长；2021-2025年期间，规模呈 ...

Core Insights - In 2025, actively managed quantitative public funds achieved significant performance, with an average return of 30.35% for 258 funds, and 98% of these funds reported positive returns [1] - The total market share of actively managed quantitative funds reached 80.5 billion units by the end of Q3 2025, reflecting a 27% increase from 63.4 billion units at the end of the previous year [1] - The median annualized return of actively managed quantitative funds over the past three years was 6.24%, outperforming equity funds (5.17%) and mixed funds (4.01%) [1] - The Sharpe ratio median for actively managed quantitative funds was 0.43, positioned between equity funds (0.25) and mixed funds (0.46), indicating attractive risk-adjusted returns [1] Industry Analysis - Actively managed quantitative funds combine the advantages of active management and passive investment, minimizing biases from subjective decisions and limitations of passive replication [2] - The core strengths of this investment strategy include reliance on mathematical models to eliminate emotional biases and systematic analysis to capture opportunities efficiently [2] - Investors seeking long-term stable excess returns may find quantitative products suitable, but they should also consider the adaptability of strategies across different market cycles [2] Company Spotlight - Zhang Xu from Huazhang Fund has consistently outperformed the CSI 300 Index and mixed fund index for six consecutive years since managing the Huazhang Event-Driven Quantitative Mixed Fund [3][4] - The fund's total scale reached 4.722 billion yuan by the end of Q3 2025, a significant increase from 214 million yuan at the end of 2024, indicating strong market recognition [3] - Zhang Xu's investment strategy has effectively navigated market style switches, demonstrating a disciplined approach to industry allocation driven by quantitative models [4]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 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, the overall performance and distribution of different types of public - offering quantitative funds, and the better - performing quantitative funds from January 12 to January 16, 2026, for investors' reference [1]. 3. Summary by Directory 3.1 Main Index and Quantitative Fund Performance - This week (January 12 - January 16), A - shares showed mixed performance, with small - cap growth stocks leading the rise and large - cap value stocks falling. Quantitative funds recorded positive returns, and the excess returns of index - enhanced funds were divergent. Active quantitative funds rose by an average of 1.21%. The excess returns of CSI 300 Index - enhanced, CSI 500 Index - enhanced, and CSI 1000 Index - enhanced funds were 0.63%, - 0.34%, and 0.34% respectively, and the average excess return of other index - enhanced funds was 0.25%. Market - neutral funds rose by 0.16% [2][4][6]. - The weekly returns of the CSI 300, CSI 500, and CSI 1000 were - 0.57%, 2.18%, and 1.27% respectively [3][6]. 3.2 Performance of Different Types of Public - Offering Quantitative Funds - **CSI 300 Index - enhanced funds**: The weekly return was 0.06%, the excess return was 0.63%, the maximum drawdown was - 0.72%, the excess maximum drawdown was - 0.19%, and the excess return dispersion was 0.53% [14]. - **CSI 500 Index - enhanced funds**: The weekly return was 1.84%, the excess return was - 0.34%, the maximum drawdown was - 1.18%, the excess maximum drawdown was - 1.08%, and the excess return dispersion was 0.48% [14]. - **CSI 1000 Index - enhanced funds**: The weekly return was 1.61%, the excess return was 0.34%, the maximum drawdown was - 1.46%, the excess maximum drawdown was - 0.79%, and the excess return dispersion was 0.44% [15]. - **Other index - enhanced funds**: The weekly return was 1.23%, the excess return was 0.25%, the maximum drawdown was - 1.38%, the excess maximum drawdown was - 0.50%, and the excess return dispersion was 0.68% [15]. - **Active quantitative funds**: The weekly return was 1.21%, the maximum drawdown was - 1.16%, and the return dispersion was 1.61% [16]. - **Market - neutral funds**: The weekly return was 0.16%, the maximum drawdown was - 0.13%, and the return dispersion was 0.61% [16]. 3.3 Performance Distribution of Different Types of Public - Offering Quantitative Funds The report shows the performance trends of different types of public - offering quantitative funds in the past six months, as well as the performance distribution this week and in the past year. Index - enhanced funds show the performance of excess returns, but specific data is not further elaborated in the text [17]. 3.4 High - Performing Public - Offering Quantitative Funds - **CSI 300 Index - enhanced high - performing funds**: Such as E Fund CSI 300 Selected Enhanced (managed by Zhang Shengji, with a scale of 4024 million yuan, and a weekly excess return of 2.15%), and others [31]. - **CSI 500 Index - enhanced high - performing funds**: For example, Bosera CSI 500 Index - enhanced (managed by Yang Meng, with a scale of 2764 million yuan, and a weekly excess return of 0.31%) [32]. - **CSI 1000 Index - enhanced high - performing funds**: Like Huatai - Peregrine CSI 1000 Enhanced Strategy ETF (managed by Da Huang and Liu Jun, with a scale of 40 million yuan, and a weekly excess return of 1.12%) [33]. - **Other index - enhanced high - performing funds**: Such as E Fund SSE 50 Enhanced Strategy ETF (managed by Zhang Shengji, with a scale of 49 million yuan, and a weekly excess return of 2.04%) [34]. - **Active quantitative high - performing funds**: For instance, Huian Quantitative Selection (managed by Wang Minglu, with a scale of 3 million yuan, and a weekly return of 8.68%) [35]. - **Market - neutral high - performing funds**: Such as China Post Absolute Return Strategy (managed by Yao Yi and Xing Rufeng, with a scale of 48 million yuan, and a weekly return of 2.39%) [36].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The scale of index - enhancing products significantly increased in 2025, with A500 and non - traditional broad - based index - enhancing products growing notably. The excess returns of index - enhancing products fluctuated, and the differentiation degree within each broad - based index - enhancing category became larger [7][24]. - The scale of active quantitative funds also grew, with the full - industry quantitative stock - picking strategy and the quantitative products of the active equity team showing obvious scale growth [40]. - The market actively embraced quantitative fixed - income + funds in 2025, with the strategy pool becoming more diverse [76]. 3. Summary According to the Directory 3.1 Index - enhancing Funds - **Scale & New Issuance**: By 25Q3, the scale of index - enhancing products exceeded 2500 billion yuan, with A500 and non - traditional broad - based index - enhancing products having significant scale growth. In 2025, some non - conventional broad - based index - enhancing products in new issuances had large scale. The top 10 custodian banks and fund companies with large new - issuance scales were identified [7][10]. - **Fund Company Statistics**: As of 25Q3, 23 fund companies had index - enhancing product management scales of over 30 billion yuan. E Fund had the largest management scale. Different fund companies had different advantages in various types of index - enhancing products [13]. - **Excess Return Performance**: The Alpha effect of index - enhancing products peaked in 2020 and then declined. In 2025, the excess returns of three major types of index - enhancing products fluctuated, and the differentiation degree within each type increased. Small - cap index - enhancing products had higher excess returns [21][24]. - **High - performing Index - enhancing Products**: Some high - performing index - enhancing products had excess returns exceeding 20% in 2025. Many high - performing products had good performance adaptability in various market environments and had specific factor exposure characteristics [30][32]. - **Index - enhancing Product Watchlist**: The report selected fund products that were superior in their respective types based on multi - dimensional investment ability evaluations [36]. 3.2 Active Quantitative Funds - **Seven Strategy Types & Scale Changes**: Active quantitative funds can be divided into seven major categories. The full - industry quantitative stock - picking strategy and the quantitative products of the active equity team had obvious scale growth in 2025 [39][40]. - **Similar Index - enhancing Strategy**: The partial - equity fund index - enhancing strategy received high attention. Different products had different strategies when benchmarking the partial - equity fund index [46]. - **SmartBeta Strategy - Micro - and Small - cap**: The micro - and small - cap strategy can be classified into three major types. The difference in the degree of market - value sinking of stocks led to different returns [50][51]. - **SmartBeta Strategy - Dividend**: In 2024 and 2025, many public funds deployed dividend - strategy products. Companies sought differentiated layouts, and the investment in Hong Kong stocks had a significant impact on the performance in 2025 [53]. - **SmartBeta Strategy - Growth**: Different growth - style funds adopted different investment strategies, with different industry preferences and market - value exposures [56]. - **SmartBeta Strategy - Value**: Different value - style funds adopted different investment strategies, focusing on different aspects such as value - growth attributes and multi - strategy investment [61]. - **Full - industry Stock - picking Strategy**: The full - industry quantitative stock - picking strategy was diverse, including industry rotation, factor rotation, and multi - strategy [63]. - **Integration of Active and Quantitative**: Some fund managers actively integrated active and quantitative strategies, with different product strategies and positioning [69]. 3.3 Quantitative Fixed - income + Funds - **Scale & New Issuance**: There were about 171 quantitative fixed - income + funds in the market in 2025, with a scale increase of 36.7 billion yuan and a total scale of about 122.547 billion yuan. The market actively embraced quantitative fixed - income + strategies [76]. - **Index - enhancing Strategy**: The index - enhancing strategy in fixed - income + funds provided a tool - type product for obtaining broad - based index beta returns. The effectiveness of the strategy was related to multiple factors, and some fund companies had a large layout in this area [84]. - **Style Strategy**: The style strategy evolved from the value style to the growth style and the barbell strategy. Some companies innovated in this area to meet different market demands [88]. - **Convertible Bond Quantitative Strategy**: The convertible bond quantitative strategy was represented by E Fund's Dual - Bond Enhancement, which used a convertible bond option - pricing model for statistical arbitrage [90]. - **Market Dynamics**: Many active - management fixed - income + fund managers actively embraced quantitative investment, such as China Europe Fund, E Fund, and GF Fund [92]. - **Quantitative Fixed - income + Fund Watchlist**: The report screened out quantitative fixed - income + funds at different volatility levels based on multiple indicators [107].

Report Overview - The report is titled "Public Offering Quantitative Funds: 2025 Annual Strategy Review and 2026 Annual Strategy Outlook" and was released on January 12, 2026 [1] Industry Investment Rating - No industry investment rating information is provided in the report Core Views - In 2025, the scale of index - enhanced products significantly increased, with the total scale reaching 257.2 billion yuan by Q3 2025. The excess returns of index - enhanced products fluctuated, and the differentiation within each broad - based index enhancement became more obvious. Some high - performing index - enhanced products showed good adaptability to various market environments and had specific factor exposures [2][23] - Active quantitative funds can be divided into seven major categories, and the scale of all - industry quantitative stock - selection strategies and active equity team quantitative products increased significantly in 2025 [2][42] - The market actively embraced quantitative fixed - income + funds in 2025, with the total scale increasing by 36.7 billion yuan to about 122.547 billion yuan. The strategy pool of these funds became more diverse, including index - enhancement, style, convertible bond quantitative, and active - quantitative combination strategies [2][83] Section - by - Section Summaries 1. Index - Enhanced Funds 1.1 Scale & New Issuance - By Q3 2025, the scale of index - enhanced products exceeded 250 billion yuan, reaching 257.2 billion yuan, a significant increase from 206.5 billion yuan in Q4 2024. Non - traditional broad - based index - enhanced products such as A500 index - enhanced and some non - traditional broad - based index - enhanced products (e.g., ChiNext Index Enhancement) had significant scale growth [8] - In 2025, some non - conventional broad - based index - enhanced products had large new - issuance scales, such as GF ChiNext Index Enhancement with a new - issuance scale of 2.393 billion yuan [8] 1.2 Fund Company Statistics - As of Q3 2025, E Fund had the largest management scale of index - enhanced products, totaling 26.733 billion yuan. Companies with relatively comprehensive index - enhanced product lines included Huatai - PineBridge and Fullgoal [15] - In different types of index - enhanced products, some fund companies had outstanding performance in 2025. For example, Southern Fund's products in the SSE 50 index - enhanced category had an average excess return of 10.15% [18] 1.3 Excess Return Performance - The Alpha effect of index - enhanced products peaked in 2020 and then declined. In 2025, the excess returns of three major types of index - enhanced products (CSI 300, CSI 500, and CSI 1000) fluctuated significantly. The excess return of CSI 1000 index - enhanced products was strong in the first half of 2025, while those of CSI 300 and CSI 500 were weak. By the fourth quarter, most excess returns recovered [23] - The differentiation within each broad - based index enhancement was greater in 2025, especially in the CSI 1000 index - enhanced products, where the standard deviation of excess returns exceeded 6%, and the performance difference between the best - and worst - performing products was close to 25% [25] 1.4 High - Performing Index - Enhanced Products - In 2025, some high - performing index - enhanced products had significant excess returns. For example, Furong CSI 300 Enhancement had the best performance among CSI 300 index - enhanced products, and ICBC Credit Suisse CSI 1000 Index Enhancement performed well among CSI 1000 index - enhanced products [33] - Many high - performing index - enhanced products showed good performance in various market environments. Commonly positively exposed factors included growth, dividend, profitability, and analyst factors, while negatively exposed factors included volatility, liquidity, market capitalization, and valuation [35][37] 1.5 Index - Enhanced Product Watch List - The report selected fund products that were dominant in their respective types based on multi - dimensional investment ability evaluations, considering factors such as the ability to convert trading turnover into returns, the stability of Alpha acquisition, and performance stability in various market environments [39] 2. Active Quantitative Funds 2.1 Seven Strategy Types & Scale Changes - Active quantitative funds can be divided into seven major categories: all - industry quantitative stock - selection, active equity team quantitative, style funds, quasi - index - enhanced funds, industry - themed funds, industry - rotation funds, and Hong Kong stock quantitative funds [42] - The scale of all - industry quantitative stock - selection strategies increased significantly, followed by active equity team quantitative products. The total scale of active quantitative funds in Q3 2025 was 227.895 billion yuan [43] 2.2 Quasi - Index - Enhanced Strategy - Some quasi - index - enhanced strategies targeted the CSI 300, CSI 500, or the active equity fund index. Products such as Bodaoyuanhang and Bodaojiuhang targeted the active equity fund index, but they had different strategies [49] 2.3 SmartBeta Strategy: Small - and Micro - Cap - The small - and micro - cap SmartBeta strategy can be divided into three categories: more focused on micro - cap stocks, more focused on small - cap stocks, and similar to CSI 2000 index - enhancement strategies. The degree of market - capitalization decline of stocks affected the product returns [53] 2.4 SmartBeta Strategy: Dividend - In 2024 and 2025, many public - offering funds launched dividend - strategy products. Some companies sought differentiated layouts, such as Ruidaxinhong Quantitative 6 - Month Holding with a market - capitalization decline in dividend stocks and GF High - Dividend Preference focusing on specific company screening and Hong Kong stock dividend investment opportunities [56] 2.5 SmartBeta Strategy: Growth - Different growth - style active quantitative funds had different investment strategies. For example, Bodaogrowth Zhihang used a multi - factor stock - selection enhancement model based on the CITIC Growth Style Index, and GF New - Generation Selection focused on selecting high - growth stocks [59][60] 2.6 SmartBeta Strategy: Value - Value - style active quantitative funds, such as GF Value Pilot One - Year Holding, combined subjective fundamental research and stock - selection with a value - growth style. Other products, like Caitong Huazhen Quantitative Stock - Selection, targeted specific benchmark indices [65] 2.7 All - Industry Stock - Selection Strategy - The all - industry quantitative stock - selection strategy was diverse. Products such as Guojin Quantitative Multi - Factor used factor - rotation strategies, China Merchants Quantitative Selection used a PB - ROE framework, and Hua'an Event - Driven Quantitative Strategy adopted an industry - rotation strategy [67][69] 2.8 Integration of Active and Quantitative - Some fund managers, such as Yang Dong of GF Fund and Zhang Xueming of China Europe Fund, integrated active and quantitative strategies in their product management. Their products had different strategy positioning and characteristics [74][77] 3. Quantitative Fixed - Income + Funds 3.1 Scale & New Issuance - There were about 171 quantitative fixed - income + funds in the market in 2025, with the total scale increasing by 36.7 billion yuan to about 122.547 billion yuan. The top - ranked funds in terms of scale reached tens of billions of yuan [83] - In 2025, fund companies paid high attention to quantitative fixed - income + funds, and about 1/5 of the new - issued products belonged to quantitative strategies [88] 3.2 Index - Enhancement Strategy - Fixed - income + funds using index - enhancement strategies in the equity part provided beta returns of broad - based indices. The effectiveness of the strategy was related to the characteristics of the benchmark index, investment value, product type, and position - central setting [92] 3.3 Style Strategy - The style strategy of fixed - income + funds evolved from value - style to growth - style and barbell strategies. Some products, such as China Europe Dingli, adopted a boom - growth strategy, while others used barbell strategies that combined dividends and growth [96] 3.4 Convertible Bond Quantitative Strategy - E Fund Dual - Bond Enhancement was a representative product of convertible bond quantitative strategies, using a convertible bond option - pricing model for statistical arbitrage [98] 3.5 Market Trends - Many fund companies' active - management fixed - income + fund managers actively embraced quantitative investment. For example, China Europe Fund promoted the "industrialization" of the investment - research system and developed a four - factor SmartBeta strategy, and E Fund's Bao Zhengyu combined active research and quantitative models [100][111] 3.6 Quantitative Fixed - Income + Fund Watch List - The report selected quantitative fixed - income + funds with different volatility levels as the watch list based on factors such as risk - control ability, return stability, and performance sustainability [115]

- The report does not contain any quantitative models or factors for analysis[1][2][3]

Core Insights - The 2026 investment strategy conference held by Fangzheng Fubon Fund emphasized "transformational innovation" and discussed investment opportunities and challenges for the upcoming year [1][5]. Economic Outlook - The Chinese economy is firmly moving towards high-quality development, with capital increasingly flowing into core areas like artificial intelligence and semiconductors, which represent "new productive forces" [1][5]. Investment Opportunities - Under a combined active and quantitative perspective, the investment opportunities for 2026 include a focus on technology growth as the long-term market theme, particularly in the AI industry chain, which is expected to evolve from infrastructure (training side) to application (inference side) [2][6]. - Key areas of interest include optical modules, copper cable connections, and storage chips, with a notable rebound in demand for computing power [2][6]. Semiconductor Market Insights - The storage chip cycle has shown clear signs of reversal since late 2024, with high demand expected to continue into 2025 due to worsening supply-demand imbalances. Price increases for DRAM and NAND are anticipated to persist into the first quarter of 2026, with a projected structural shortage rate for DRAM reaching approximately 11% [2][6]. Public Fund Industry Changes - The public fund industry is nearing a total scale of 36 trillion yuan, with investor demand becoming increasingly segmented. Fund products with tool-like characteristics are gaining popularity, and enhancing investor satisfaction is becoming a core mission for public funds [3][7]. - Active quantitative funds are expected to evolve into core tool-type products due to their scientific, systematic, and stable advantages, reflecting the ongoing transformation in the public fund industry [3][7].

Core Viewpoint - The explosive growth of AI has significantly boosted the popularity of actively managed quantitative funds, which have shown the ability to outperform the market while reducing volatility risk [2][3]. Group 1: Market Trends - The total share of actively managed quantitative funds reached 80.5 billion units by the end of Q3 2025, marking a 27% increase from the previous year [2]. - Institutional investors hold 46.5 billion units of these funds, accounting for over 70% of the total shares [3]. Group 2: Fund Performance - The "Huaan Event-Driven Quantitative Strategy A" fund has outperformed the CSI 300 index for six consecutive years, with a significant lead in 2025 [6]. - In 2025, the fund achieved a return of 35.77%, compared to 14.04% for its benchmark and 17.20% for the CSI 300 [8]. - The fund's risk-return profile is strong, with annualized returns of 33.02% and a maximum drawdown of -9.96%, outperforming peers in all six key metrics [10]. Group 3: Fund Management - The success of the "Huaan Event-Driven" fund is attributed to its manager, Zhang Xu, who employs a multi-faceted strategy that includes industry rotation and event-driven factors [13][18]. - The "Guojin Quantitative Multi-Factor A" fund, managed by Ma Fang, has also shown resilience, achieving positive returns in 2022 and 2023 despite market downturns [26][29]. Group 4: Investment Strategies - Actively managed quantitative funds are increasingly favored for their ability to adapt to market conditions, utilizing diverse strategies to capture excess returns [18][29]. - The focus on risk-adjusted returns and the ability to navigate different market environments are key factors driving institutional interest in these funds [22][23].

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]