2026 年 01 月 09 日 金融工程研究团队 魏建榕（首席分析师） 证书编号：S0790519120001 傅开波（分析师） 证书编号：S0790520090003 高 鹏（分析师） 证书编号：S0790520090002 证书编号：S0790522030001 王志豪（分析师） 证书编号：S0790522070003 盛少成（分析师） 证书编号：S0790523060003 蒋 韬（分析师） 证书编号：S0790525070001 相关研究报告 苏俊豪（分析师） 证书编号：S0790522020001 胡亮勇（分析师） 《量化产品季度点评：300&500 增强 Q3 超额回撤，公募红利量化表现优 异》-2025.10.11 请务必参阅正文后面的信息披露和法律声明 1 / 12 量化产品季度点评：宽基增强 Q4 超额优秀，885001 增强产品备受关注 ——开源量化评论（116） | 魏建榕（分析师） | 高鹏（分析师） | | --- | --- | | weijianrong@kysec.cn | gaopeng@kysec.cn | | 证书编号：S0790519120001 | 证书编号：S07 ...

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 Insights - ETFs are becoming increasingly popular among wealthy individual investors, particularly those with aggressive investment strategies focused on technology growth and small-cap index-enhanced ETFs [1][2] Group 1: Individual Investors - Individual investors have significantly increased their presence in the ETF market, with notable investments in aggressive growth ETFs [2] - For instance, as of mid-year, individual investors held 69.49% of the shares in the Huaxia SSE Sci-Tech Innovation Board 50 ETF, with prominent individual investors appearing in the top ten holders [2] - Specific individual investors, such as Li and Teng, have substantial holdings in various ETFs, with Teng holding over 3.6 billion yuan in the Huaxia SSE Sci-Tech Innovation Board 50 ETF alone [2][3] Group 2: ETF Performance - Several ETFs have provided considerable returns to their holders this year, with the Huaxia SSE Sci-Tech Innovation Board 50 ETF and Huaxia CSI Robotics ETF both rising over 30% [3] - The Guolianan CSI All-Index Semiconductor Products and Equipment ETF has also gained popularity, with a 34% increase this year [3] Group 3: Private Equity Involvement - Private equity firms are significant players in the ETF market, with 198 private equity products appearing in the top ten holders of various ETFs as of mid-year [5] - Notable private equity firms, such as Xuanyuan Investment and Beijing Hengde Times, have been active in multiple ETFs, utilizing a combination of subjective and quantitative strategies [5][6] Group 4: Investment Strategies - Various private equity firms employ different strategies, with some focusing on broad index-enhanced ETFs while others utilize quantitative strategies for stock selection [7] - The market has seen the emergence of various trading strategies around broad indices, including arbitrage, T+0 strategies, and ETF options strategies [7]

Group 1 - ETFs are becoming a favored investment tool among wealthy individual investors, particularly in aggressive technology growth style ETFs and small-cap index-enhanced ETFs [1][2] - Personal investors hold a significant portion of certain ETFs, such as 69.49% of the Huaxia SSE Sci-Tech Innovation Board 50 ETF, with notable individual investors appearing in the top ten holders [2][3] - The performance of these ETFs has been strong, with the Huaxia SSE Sci-Tech Innovation Board 50 ETF and Huaxia CSI Robotics ETF both rising over 30% year-to-date, and the Southern CSI 1000 ETF increasing by over 24% [3] Group 2 - Individual investors are increasingly prominent in the ETF market, with specific investors like Li and Teng holding substantial shares in multiple ETFs, indicating a trend of significant personal investment [2][3] - Another individual investor, Yu, prefers broad index-enhanced strategy ETFs, focusing on small-cap products, and has consistently appeared in the top ten holders of various ETFs [4] - Private equity firms are also significant players in the ETF market, with 198 private equity products appearing in the top ten holders of ETFs, showcasing a blend of subjective and quantitative strategies [5][6] Group 3 - Quantitative private equity firms are primarily investing in broad index-enhanced strategy ETFs, indicating a strategic approach to asset allocation [6][7] - Notable private equity firms like Ying Shui Investment and Dongfang Gangwan frequently appear among the top holders of ETFs, reflecting their investment strategies [7]

Core Insights - The trend of individual investors, referred to as "bull investors," is significantly impacting the ETF market, with many targeting high-growth sectors such as technology and robotics [1][2][3] - Notable individual investors have emerged as major shareholders in various ETFs, indicating a shift in investment dynamics [2][4] - Private equity funds are increasingly participating in the ETF market, with a substantial number appearing in the top ten shareholders of various ETFs [5][6] Group 1: Individual Investors - Individual investors are becoming a significant force in the ETF market, with a preference for high-growth and aggressive ETFs [2] - For instance, as of mid-year, individual investors held 69.49% of the shares in the Huaxia SSE Sci-Tech Innovation Board 50 ETF, with notable investors like Li and Teng among the top shareholders [2] - The Huaxia SSE Sci-Tech Innovation Board 50 ETF has seen a year-to-date increase of 33.4%, reflecting the strong performance of these investments [3] Group 2: Performance of ETFs - Several ETFs have shown impressive year-to-date performance, with the Huaxia SSE Sci-Tech Innovation Board 50 ETF up by 33.4%, the Huaxia CSI Robotics ETF up by 32.01%, and the Southern CSI 1000 ETF up by over 24% [3] - The Guolian An CSI All-Index Semiconductor Products and Equipment ETF has also attracted individual investors, with a year-to-date increase of 34.29% [3] Group 3: Private Equity Participation - A total of 198 private equity funds were reported among the top ten shareholders of various ETFs, indicating their growing influence in this market [5] - Notable private equity firms like Xuan Yuan Investment and Beijing Hengde Times have been identified as significant shareholders in multiple ETFs, showcasing a blend of subjective and quantitative investment strategies [6] - The presence of well-known private equity firms in the ETF market highlights the increasing complexity and diversification of investment strategies being employed [6]