Core Insights - Index-enhanced funds have shown impressive performance over the past year, with an average return of 27% [3] - The success is attributed to the alignment of market structural opportunities with quantitative strategies, optimized risk control frameworks, and the pursuit of "Beta + Alpha" dual returns by investors [3][4] - The integration of artificial intelligence (AI) technology is revolutionizing quantitative investment strategies and is expected to reshape the entire industry ecosystem [5] Performance Metrics - Over the past year, more than 90% of index-enhanced funds achieved positive returns, with small-cap products performing particularly well [3] - The top-performing fund, the China Securities 2000 Enhanced Strategy ETF, recorded a return of 60.35%, while several other products exceeded 50% returns [3] Market Dynamics - The current market environment is characterized by a dominance of small-cap styles, where quantitative models effectively capture high-elasticity opportunities in leading sub-sectors through multi-factor stock selection [3] - The optimization of risk control frameworks has led to a daily tracking error of less than 0.3% for mainstream enhanced ETFs, allowing for dynamic adjustments to industry exposure using AI algorithms [3] Investment Strategy Insights - Small-cap index-enhanced products have several advantages, including a broader selection of constituent stocks compared to large-cap indices, which enhances strategy flexibility [4] - The presence of significant discounts in small-cap stock index futures provides natural tools for generating excess returns [4] - In a stable liquidity environment, the combination of price-volume factors and very short holding period strategies can yield significant results in small-cap stocks [4] AI Integration - The increasing incorporation of AI and new technologies into quantitative models and investment strategies is expected to bring profound changes to the industry [5] - AI's role in data collection, signal parameter optimization, and stock selection is anticipated to transform various aspects of the investment process, making previously difficult operations feasible [5] - AI's influence extends beyond specific product types, potentially altering how investors and capital markets allocate funds to listed companies [5]

Core Insights - The average return of enhanced index funds over the past year reached 27%, with over 90% of products generating positive returns, particularly in small-cap products [2][3] - The integration of artificial intelligence (AI) is revolutionizing quantitative investment strategies and is expected to reshape the entire industry ecosystem [2][4] Performance of Enhanced Index Funds - Enhanced index ETFs have shown remarkable performance due to three main factors: alignment with structural market opportunities, optimized risk control frameworks, and a shift in capital preference towards "beta + alpha" dual returns [3] - The top-performing product, the China Securities 2000 Enhanced Strategy ETF, achieved a return of 60.35%, with several other products exceeding 50% returns [2] Market Dynamics - The current market environment is characterized by a dominance of small-cap styles, where quantitative models effectively capture high-elasticity opportunities in leading sub-sectors through multi-factor stock selection [3] - Small-cap index enhanced products benefit from a broader selection of constituent stocks compared to large-cap indices, enhancing strategy flexibility [4] Role of AI in Investment Strategies - The application of AI in quantitative investment strategies is expected to bring profound changes to industry development and ecosystem structure, impacting data collection, signal parameter optimization, and stock selection methods [4] - AI's influence extends beyond specific product types, potentially altering how investors and capital markets allocate funds to listed companies, even in subjective fundamental investments [4]

1. Report Industry Investment Rating No relevant content provided in the text. 2. Core View of the Report - The Huatai-PineBridge Quantitative and Overseas Investment Department has a complete research and investment system, with high annual winning rates for its index enhancement products and excellent performance of representative products [2]. - The team's platform - style operation mode enables efficient collaboration among members, and the iterative models in three directions continuously promote the evolution of the research and investment framework [2]. 3. Summary According to the Directory 3.1华泰柏瑞量化——系统化投研体系，追求持续稳定的超额收益 3.1.1 Team Situation - The Huatai - PineBridge Quantitative team is led by Mr. Sheng Hao, with multiple fund managers and dedicated account investment managers having over 7 years of work experience. The team consists of 13 members, divided into three sub - teams for traditional fundamental research, price - volume strategy research, and unstructured data and new algorithm research [2][7][9]. - The team operates in a platform - style mode, sharing all resources, and receives collaborative support from other teams within Huatai - PineBridge [9]. 3.1.2 Product Layout - The sources of excess returns include strategy effectiveness, market breadth, transfer coefficient, and risk. Based on this understanding, the team has a diversified product layout [11]. - The product layout features a focus on broad - based index enhancement products, covering various broad - based indices. It includes two types of index enhancement products and each product has a clear risk positioning [13]. 3.1.3 Investment Framework - The team has built a complete research and investment system, with each step equipped with necessary technologies and tools, and continuously optimizes the system through accumulated experience [16]. - The research and investment system includes data collection, factor/feature construction, investment strategy formulation, risk control, and performance attribution. The team's model iteration has three directions: traditional fundamentals, short - term price - volume, and unstructured data, which complement each other to drive the evolution of the research and investment framework [17][20]. 3.2华泰柏瑞量化旗下产品业绩分析 3.2.1 Annual Winning Rates of Index Enhancement Products - Since 2020, the annual winning rates of the team's index enhancement products against the benchmark are excellent, with an overall winning rate of 89%. Many products have outperformed the benchmark every year since 2020 [2][29]. 3.2.2 Performance of Representative Products - The Huatai - PineBridge CSI 500 Enhanced Strategy ETF has led its peers since 2022, with a return of 20.23%, ranking in the top 7% among similar products. In 2025, it ranked first among all CSI 500 index enhancement products [2][32][38]. - The Huatai - PineBridge CSI 2000 Index Enhancement has also performed well since Q3 2024, ranking among the top in its category, with significant excess returns over the benchmark [2][40]. 3.3华泰柏瑞量化代表产品投资风格分析 3.3.1 Huatai - PineBridge CSI 500 Enhanced Strategy ETF - The product has a diversified stock holding, with the top ten holdings accounting for less than 15% and the top thirty holdings for about 30%. It adopts a moderate turnover strategy [47]. - There is little deviation in market value and industry from the benchmark. Stock selection is the main source of excess returns, with significant and stable contributions from stock - picking across multiple sectors [53][55][66]. 3.3.2 Huatai - PineBridge CSI 2000 Index Enhancement - The product has a highly diversified stock holding, with the top ten holdings accounting for less than 8% and the top thirty for less than 20%. It has a short - term heavy - holding cycle and a high - turnover investment strategy [67]. - There is little market value sinking operation, with few micro - cap stocks in the portfolio. Trading is the main source of excess returns, with significant and stable contributions from trading operations [71][74][76].

Core Viewpoint - E Fund has announced the suspension of large-scale subscriptions and conversions for two of its mixed funds, aiming to ensure stable operations and protect the interests of existing fund shareholders [1][7][16] Fund Details - The two funds affected are E Fund Pioneer Growth Mixed and E Fund Rui Xiang Mixed, both managed by fund manager Wu Yang [1][7] - The suspension of large subscriptions and conversions is effective from August 26, 2025, with a limit of 1 million RMB per single fund account for both subscription and conversion [3][5] Performance Highlights - E Fund Rui Xiang Mixed, established on June 26, 2015, has a scale of 513 million RMB and a cumulative return rate of 494.44% since inception [9] - E Fund Pioneer Growth Mixed A, established on September 23, 2021, has a scale of 481 million RMB and a return rate of 101.49% since inception [9] - Both funds have shown strong recent performance, with returns exceeding 100% over the past three months and 150% over the past year [7][9] Industry Context - The recent trend of fund companies implementing subscription limits reflects a cautious approach to scale management in the current market environment [16] - This "subscription limit wave" indicates a shift in the public fund industry from merely pursuing scale expansion to focusing on the genuine investment experience and long-term returns for shareholders [16]