- The report constructs 10 style factors based on the BARRA model, including valuation factor, growth factor, profitability factor, size factor, Beta factor, momentum factor, liquidity factor, volatility factor, non-linear size factor, and leverage factor[16][17][19] - The construction process for style factors involves detailed formulas, such as the valuation factor (BP = Book to Price = Shareholder equity/Market capitalization), growth factor (SGRO = Sales growth rate derived from regression of past five fiscal years' revenue), profitability factor (ETOP = Earnings-to-price ratio = Net profit TTM/Market capitalization), and others[16][17] - The style factors are tested using weekly rebalancing on the CSI All Share Index (000985.SH) with no transaction fees considered[16][17] - Beta factor, momentum factor, and volatility factor showed strong performance recently, with weekly long-short returns of 4.54%, 4.34%, and 3.81%, respectively[19] - The report tracks 53 stock selection factors across valuation, growth, quality, size, reversal, momentum, liquidity, volatility, dividend, corporate governance, and technical categories[21][22] - Examples of stock selection factors include BP (Book to Price = Shareholder equity/Market capitalization), single-quarter EP (Net profit/Market capitalization), and 240-day momentum (cumulative return excluding the last 20 days)[22] - The construction of single-factor portfolios uses a neutral constraint method to maximize factor exposure while maintaining neutrality in industry and style exposures[62][64][65] - Single-quarter ROE, single-quarter ROA, and single-quarter net profit margin factors performed well across multiple stock pools, such as CSI 300, CSI 500, CSI 800, and CSI 1000[24][28][33][38] - The report evaluates index-enhanced portfolios for CSI 300, CSI 500, CSI 800, CSI 1000, and CSI 300 ESG stock pools using composite factors constructed via rolling 1-year Rank ICIR weighting[56][59][61] - CSI 300 enhanced portfolio achieved weekly excess returns of 0.33%, monthly excess returns of 1.05%, and annual excess returns of 13.02%[59][60] - CSI 1000 enhanced portfolio showed the highest annual excess returns of 15.68% among all portfolios[60] - The ESG-enhanced portfolio under CSI 300 stock pool achieved weekly excess returns of 0.59%, monthly excess returns of 1.09%, and annual excess returns of 7.35%[60] - The optimization model for portfolio construction maximizes exposure to target factors while maintaining neutrality in industry and style exposures, with constraints on stock weights, short selling, and full investment[62][64][65] - The model uses the following formula: $Max$$w^{\prime}$$X_{target}$ $s.t.$$(w-w_{b})^{\prime}X_{ind}=0$ $(w-w_{b})^{\prime}$$X_{Beta}=0$ $|w-w_{b}|\leq1\%$ $w\geq0$ $w^{\prime}B=1$ $w^{\prime}1=1$[62][63][64]

Core Viewpoint - A significant wave of fund distributions has occurred, with over 1,900 funds distributing more than 130 billion yuan in total this year, indicating a trend of sharing investment returns with investors during market fluctuations [1][3]. Fund Distribution Overview - As of June 22, 2023, 82 public funds announced distribution plans, with a total of 1,941 funds having made 2,761 distributions this year, amounting to 131.46 billion yuan [1]. - The number of funds distributing over 10 billion yuan has reached 17, with 41 funds distributing more than 5 billion yuan [2]. Notable Fund Performances - The top three funds by total distribution amount are: - Guangfa Small Cap Growth A: 3.096 billion yuan -招商中证白酒 A: 2.890 billion yuan -易方达价值精选: 2.793 billion yuan [2]. - Guangfa Small Cap Growth A's distribution this year has increased by over 190% compared to last year's total of 1.066 billion yuan [2]. Distribution Frequency - Some funds have shown a high frequency of distributions, with 25 funds distributing more than five times this year, and the highest being Baoying Core Advantage A and C classes, which distributed 10 times [1]. - 易方达价值精选 has distributed four times this year, maintaining a stable distribution pattern over the past two years [2][3]. Market Context and Strategy - Industry experts suggest that fund distributions aim to maximize investor benefits, especially in volatile markets, by sharing investment results and boosting investor confidence [3]. - Large funds may use substantial distributions to reduce management scale and mitigate holding risks, while also alleviating pressure from concentrated redemptions [3].