公募基金方面，本期较上一期持股增加的公募基金共计1个，即南方军工改革灵活配置混合A，持股增 加占比达0.22%。本期较上一季度新披露的公募基金共计5个，包括创金合信先进装备股票A、永赢稳健 增长一年持有混合A、华夏中证2000ETF、招商中证500增强策略ETF、广发中证2000ETF。本期较上一 季未再披露的公募基金共计8个，主要包括华商新锐产业混合、华商万众创新混合A、华商研究精选混 合A、东方阿尔法招阳混合A、南方领航优选混合A等。 对于社保基金，本期较上一期持股增加的社保基金共1个，即全国社保基金一零三组合，持股增加占比 达0.25%。 2025年8月23日，万泽股份(000534.SZ)发布2025年半年度报告。截至2025年8月22日，共有14个机构投 资者披露持有万泽股份A股股份，合计持股量达2.04亿股，占万泽股份总股本的40.40%。其中，前十大 机构投资者包括万泽集团有限公司、万泽集团-红塔证券-22泽EB04担保及信托财产专户、全国社保基金 一零三组合、万泽集团-红塔证券-25泽EB02担保及信托财产专户、万泽集团-红塔证券-23泽EB02担保及 信托财产专户、中国农业银行股份有限公司- ...

Group 1 - The A-share market has experienced a strong rebound since September 24, 2023, driven by significant policy measures, with core broad indices recording over 20% gains, while the CSI 2000 index, which covers small and micro-cap companies, has surged over 64% [1][2][68] - The CSI 2000 index is characterized by low market capitalization and high elasticity, making it a key driver of the current market rally [1][2][68] - The People's Bank of China has implemented a moderately loose monetary policy, with M2 balance growing by 8.3% year-on-year as of June 2025, indicating continued liquidity support [1][3][68] Group 2 - The number of specialized and innovative enterprises within the CSI 2000 index has reached 521, accounting for 26.05%, primarily benefiting from targeted fiscal support and technological advancements [1][5][68] - The focus on specialized and innovative policies has been instrumental in promoting small and micro enterprises, aligning with the direction of "new quality productivity" [5][7][68] Group 3 - Institutional investors have shown increased interest in small-cap stocks, with the market capitalization of actively managed funds in the CSI 2000 index rising significantly since Q4 2024 [8][10][69] - The trading volume of the CSI 2000 index has increased from less than 10% in 2021 to nearly 30% of the total market trading volume, reflecting heightened investor activity [10][12][69] Group 4 - The CSI 2000 index, launched on August 11, 2023, selects 2000 securities with smaller market capitalizations and good liquidity, focusing on emerging industries [14][70] - As of July 18, 2025, the average market capitalization of the CSI 2000 index components is 5.355 billion, significantly lower than other indices like CSI 1000 and CSI 500 [17][70] Group 5 - The CSI 2000 index has shown superior long-term performance compared to other broad indices, with an annualized return of 9.29% since its inception [39][70] - The index's high growth potential is expected to offset its high valuation, with a price-to-earnings ratio of 138.35 as of July 18, 2025 [22][70] Group 6 - The Huaxia CSI 2000 ETF, launched on September 6, 2023, aims to track the CSI 2000 index and has achieved a cumulative excess return of 30.46% since its inception [43][71] - The ETF's excess returns are primarily attributed to stock selection, demonstrating effective management and strategy [55][71]

Quantitative Models and Factor Analysis Quantitative Models and Construction - **Model Name**: Brinson Attribution Model **Model Construction Idea**: The model is used to decompose the excess return of a portfolio relative to its benchmark into contributions from sector allocation and stock selection [59] **Model Construction Process**: The Brinson model decomposes the excess return ($R_p - R_b$) into two components: $$ R_p - R_b = \sum_{i=1}^{N} (w_{pi} - w_{bi})R_{bi} + \sum_{i=1}^{N} w_{pi}(R_{pi} - R_{bi}) $$ - $w_{pi}$: Portfolio weight in sector $i$ - $w_{bi}$: Benchmark weight in sector $i$ - $R_{pi}$: Portfolio return in sector $i$ - $R_{bi}$: Benchmark return in sector $i$ The first term represents the sector allocation effect, and the second term represents the stock selection effect [59] **Model Evaluation**: The model effectively identifies the primary source of excess returns, highlighting the significant contribution of stock selection in the analyzed ETF [59] Quantitative Factors and Construction - **Factor Name**: Sampling Replication Factor **Factor Construction Idea**: This factor aims to balance tracking error and liquidity by selecting representative stocks from the index components [51][54] **Factor Construction Process**: - **Layered Sampling Method**: - Divide stocks into groups based on characteristics such as market capitalization and valuation - Select representative stocks from each group to form the portfolio [51] - **Optimization Sampling Method**: - Minimize tracking error by controlling the portfolio's risk exposure to match the benchmark index - Use optimization techniques to ensure the portfolio aligns with the index's style factors (e.g., size, valuation, momentum) [54] **Factor Evaluation**: The factor ensures efficient tracking of the benchmark index while maintaining liquidity, making it suitable for indices with a large number of components [51][54] Backtesting Results of Models and Factors - **Brinson Attribution Model**: - Excess Return Attribution (2023-12-31): Total Excess Return: 3.09%, Sector Allocation: -0.04%, Stock Selection: 3.13% [60] - Excess Return Attribution (2024-06-30): Total Excess Return: 0.50%, Sector Allocation: -0.15%, Stock Selection: 0.65% [60] - Excess Return Attribution (2024-12-31): Total Excess Return: 3.10%, Sector Allocation: 0.10%, Stock Selection: 3.00% [60] - **Sampling Replication Factor**: - Tracking Error Metrics: - Average Deviation from Benchmark: 0.16%-0.44% - Maximum Deviation from Benchmark: 0.43%-1.35% [60] - Stock Coverage: - Number of Holdings (2023 Year-End): 824 stocks (812 from the index) - Number of Holdings (2024 Mid-Year): 844 stocks (837 from the index) - Number of Holdings (2024 Year-End): 914 stocks (901 from the index) [54] - **ETF Performance Metrics**: - Annualized Excess Return: 15.14% - Annualized Information Ratio (IR): 3.14 [56][58] - Cumulative Excess Return Since Inception: 30.46% [56] - IPO Allocation Returns: 2024: 1.80%, 2025 H1: 0.99% [62]

Core Viewpoint - The CSI A500 index, known as "China's S&P 500," has gained significant popularity since its launch, with 38 funds tracking it as of July 16, 2025, ranking first among all ETF index targets [1] - The newly launched Huaxia CSI A500 Enhanced Strategy ETF aims to achieve returns exceeding the index through active stock selection, set to officially issue on July 21 [1][2] Group 1: Index Characteristics - The CSI A500 index utilizes a unique stock selection mechanism that goes beyond traditional market capitalization criteria, incorporating ESG factors for negative screening and selecting leading stocks from the CSI's three-tiered industry classification [1] - The index focuses on core assets and new productive forces, aligning with long-term value investment principles and better representing the overall performance of the A-share market [1] Group 2: Performance Metrics - As of July 16, 2025, the CSI A500 index has an annualized growth rate of 8.07% and a cumulative increase of 370.74% since its base date of December 31, 2004, compared to the Shanghai Composite Index's annualized growth rate of 5.20% and cumulative increase of 175.08% [2] - The Huaxia CSI A500 Enhanced Strategy ETF employs a highly diversified, automated, and multi-layered quantitative strategy, aiming for stable risk control and continuous alpha generation [2] Group 3: Data and Strategy - The fund manager's quantitative framework emphasizes both the quality and breadth of data, with over 30,000 low-correlation data entries per single stock and trading day [3] - The fund's unique strategy advantages are evident in its Alpha factor layer, portfolio optimization, and trading optimization [3] Group 4: Management Team - The proposed fund managers, Lu Yayun and Chen Guofeng, have extensive investment experience, with their jointly managed Huaxia CSI 2000 ETF achieving a total return of 43.97% since its inception on September 6, 2023, outperforming its benchmark by 27.54% [3] Group 5: Company Background - Huaxia Fund's quantitative investment department, established in 2005, is one of the earliest independent quantitative investment teams in the industry, continuously evolving its strategies and product offerings [4] - The company has developed a comprehensive ecosystem for both Beta and Alpha investments, integrating AI technologies to enhance its quantitative investment capabilities [4]

Group 1 - The total trading volume of the CSI 2000 Index ETF reached 606 million yuan today, an increase of 275 million yuan compared to the previous trading day, representing a growth rate of 83.02% [1] - Specifically, the trading volume of the CSI 2000 ETF (563300) was 408 million yuan, up 196 million yuan from the previous day, with a growth rate of 92.30% [1] - The trading volume of the Southern CSI 2000 ETF (159531) was 102 million yuan, an increase of 38.25 million yuan, with a growth rate of 59.85% [1] Group 2 - The CSI 2000 Index (932000) closed down 1.08%, while the average decline of related ETFs was 0.90% [2] - The best-performing ETF was the Bosera CSI 2000 ETF (159533), which rose by 0.07% today [2] - The largest declines were seen in the GF CSI 2000 ETF (560220) and the CMB CSI 2000 Enhanced Strategy ETF (159552), which fell by 1.50% and 1.29%, respectively [2]

Summary of Key Points Core Viewpoint - The trading volume of the CSI 2000 Index ETF increased significantly today, indicating heightened market activity and investor interest in this segment [1]. Trading Volume and Performance - The total trading volume of the CSI 2000 Index ETF reached 685 million yuan, an increase of 171 million yuan from the previous trading day, representing a growth rate of 33.37% [1]. - Specifically, the CSI 2000 ETF (563300) had a trading volume of 484 million yuan, up 144 million yuan from the previous day, with a growth rate of 42.48% [1]. - The E Fund CSI 2000 ETF (159532) saw a trading volume of 17.6861 million yuan, an increase of 9.7813 million yuan, reflecting a growth rate of 123.74% [1]. - The Southern CSI 2000 ETF (159531) recorded a trading volume of 134 million yuan, up 8.5146 million yuan, with a growth rate of 6.81% [1]. Market Performance - As of market close, the CSI 2000 Index (932000) rose by 2.22%, while the average increase for related ETFs was 2.34% [1]. - Notable performers included the China Merchants CSI 2000 Enhanced Strategy ETF (159552) and the Hai Fu Tong CSI 2000 Enhanced Strategy ETF (159553), which increased by 3.36% and 2.59%, respectively [1]. Individual ETF Performance - The trading performance of various ETFs showed significant increases, with the following highlights: - The China Merchants CSI 2000 Enhanced Strategy ETF (159552) increased by 3.36% with a trading volume of 9.6983 million yuan [1]. - The E Fund CSI 2000 ETF (159532) increased by 2.49% with a trading volume of 17.6861 million yuan [1]. - The Guangfa CSI 2000 ETF (560220) had a remarkable increase of 170.80% in trading volume, despite a modest price increase of 2.26% [1].

Core Viewpoint - The trading volume of the CSI 2000 Index ETF increased significantly today, with a total trading volume of 702 million yuan, representing a week-on-week increase of 297 million yuan, or 73.09% [1] Trading Volume Summary - The CSI 2000 ETF (563300) had a trading volume of 531 million yuan today, up 233 million yuan from the previous trading day, with a week-on-week increase of 78.26% [1] - The Southern CSI 2000 ETF (159531) recorded a trading volume of 112 million yuan, an increase of 49.38 million yuan, with a week-on-week increase of 78.96% [1] - The Huaxia CSI 2000 ETF (562660) had a trading volume of 10.27 million yuan, up 3.66 million yuan, with a week-on-week increase of 55.48% [1] - Notably, the trading volumes of the GF CSI 2000 ETF (560220) and the Bosera CSI 2000 ETF (159533) increased by 2362.01% and 951.97%, respectively, compared to the previous trading day [1] Market Performance Summary - As of market close, the CSI 2000 Index (932000) fell by 2.03%, while the average decline of related ETFs tracking the CSI 2000 Index was 1.67% [1] - The ETFs with the largest declines included the China Merchants CSI 2000 Enhanced Strategy ETF (159552) and the GF CSI 2000 ETF (560220), which fell by 2.02% and 1.97%, respectively [1]

Core Viewpoint - The small and micro-cap style has shown strong performance recently, leading to heightened investor enthusiasm for related funds. To prevent rapid fund size expansion and dilution of returns for existing holders, fund companies have implemented purchase restrictions [1][2]. Fund Purchase Restrictions - On June 11, Changsheng Fund announced a limit on purchases for the Changsheng North Certificate 50 Enhanced Index Fund, capping single account purchases at 100 yuan per day. Other funds, such as Huashan North Certificate 50 Index Fund, have also set limits, with some funds restricting daily purchases to amounts ranging from 1,000 yuan to 50,000 yuan [2][3]. Performance of Small and Micro-Cap Indices - The Wind Micro-Cap Index has risen over 30% year-to-date, reaching a new high on June 10. The North Certificate 50 Index has increased nearly 40% this year, also hitting a new peak in late May. These indices have significantly outperformed larger market indices [4][5]. Market Dynamics and Investor Behavior - The recent strong performance of small and micro-cap stocks is attributed to favorable policies and a loose funding environment. The release of the "Major Asset Restructuring Management Measures" has spurred interest in mergers and acquisitions, benefiting small and micro-cap stocks [6][8]. Valuation Metrics - The valuation of the small and micro-cap style is high, with the price-to-earnings ratio of the CSI 2000 Index at 138 times, and the North Certificate 50 Index at 74.52 times, both at historically elevated levels [4][8]. Market Sentiment and Risks - Despite the high trading crowding in small and micro-cap stocks, some institutional investors believe that any potential pullback will depend on the occurrence of substantial negative events. Current policies favoring technology innovation and asset integration support the continued performance of small and micro-cap stocks [7][8].

Core Viewpoint - The trading volume of the CSI 2000 Index ETFs increased significantly today, indicating heightened market activity and investor interest in this segment [1]. Trading Volume Summary - The total trading volume of the CSI 2000 Index ETFs reached 320 million yuan, an increase of 91.373 million yuan from the previous trading day, representing a growth rate of 39.97% [1]. - Specifically, the CSI 2000 ETF (563300) had a trading volume of 209 million yuan, up by 68.7955 million yuan, with a growth rate of 48.93% [1]. - The Southern CSI 2000 ETF (159531) recorded a trading volume of 74.4675 million yuan, an increase of 25.2318 million yuan, reflecting a growth rate of 51.25% [1]. - The Haifutong CSI 2000 Enhanced Strategy ETF (159553) saw a trading volume of 2.5985 million yuan, up by 2.0962 million yuan, with a remarkable growth rate of 417.30% [1]. Market Performance Summary - As of market close, the CSI 2000 Index (932000) rose by 1.44%, while the average increase for related ETFs tracking the CSI 2000 Index was 1.26% [1]. - Notable performers included the Huaxia CSI 2000 ETF (562660) and the Southern CSI 2000 ETF (159531), which increased by 1.74% and 1.61%, respectively [1].

Group 1: Market Overview - The liquidity remains loose, and small-cap stocks may continue to outperform under the backdrop of supportive policies and easing funding pressures [2] - The CSI 2000 index exhibits significant small-cap characteristics, with higher gross profit margins, substantial R&D investment ratios, and strong potential growth dynamics [2] Group 2: Company Analysis - Yongxin Co., Ltd. (002014.SZ) - Yongxin Co., Ltd. specializes in high-tech products such as vacuum coating, multifunctional films, and new pharmaceutical packaging materials, with a national presence centered around Huangshan [3] - From 2018 to 2024, the company's revenue and net profit attributable to the parent company are expected to grow at CAGRs of 7.1% and 12.9%, respectively, despite challenging market conditions [3] Group 3: Company Analysis - Maogeping (1318.HK) - Maogeping, founded by a top Chinese makeup artist, has successfully penetrated the high-end market, becoming the only domestic cosmetics brand to do so [4] - The company operates two major beauty brands and a makeup artistry training business, leveraging the founder's expertise and influence [4]