Group 1 - The core viewpoint of the report emphasizes the investment value of the Bosera CSI 500 Enhanced Strategy ETF, highlighting its ability to generate stable excess returns through quantitative strategies [3][4][52]. - The report notes that the CSI 500 index, which consists of 500 stocks with higher market capitalization after excluding the CSI 300, has a diversified industry distribution and is currently valued below historical averages, making it a representative index for mid-cap growth [2][29][32]. - The report indicates that as of Q3 2025, the total scale of CSI 500 enhanced funds reached 493.46 billion, accounting for over one-fifth of all enhanced funds, showcasing the growing popularity of this investment strategy [2][41]. Group 2 - The Bosera CSI 500 Enhanced Strategy ETF has demonstrated a strong performance since its inception, achieving an annualized excess return of 7.76% with a tracking error of only 3.84%, indicating effective management and risk control [3][54][55]. - The fund's stock selection has contributed significantly to its excess returns, with 89.40% of its holdings deviating by less than 0.5% from the index, reflecting a disciplined approach to portfolio construction [4][58][61]. - The report highlights that the fund has a preference for high-growth and high-profitability stocks, with positive exposures to factors such as growth and long-term momentum [68]. Group 3 - The report outlines the advantages of enhanced ETFs, including higher capital efficiency, greater trading flexibility, lower fee structures, and increased transparency in holdings compared to traditional enhanced funds [12][17][21][23]. - The enhanced ETF market has seen significant growth, with 51 enhanced ETFs in total by October 2025, and the Bosera CSI 500 ETF being a key player in this segment [1][13][40]. - The report also notes that institutional investor participation in the Bosera CSI 500 Enhanced Strategy ETF has increased significantly, reaching 29.80% by mid-2025, indicating growing confidence in the fund [71].

Quantitative Models and Construction Methods - **Model Name**: Bosera CSI 500 Enhanced Strategy ETF **Model Construction Idea**: The model aims to track the CSI 500 Index while employing quantitative enhancement strategies to achieve returns exceeding the benchmark index through strict investment procedures and quantitative risk management techniques[3][85] **Model Construction Process**: 1. The fund tracks the CSI 500 Index, which consists of 500 stocks with the highest market capitalization after excluding the CSI 300 constituents and the top 300 stocks by market capitalization[28] 2. The fund employs quantitative enhancement strategies, including stock selection and risk control, to generate excess returns over the benchmark index[85] 3. The fund ensures that the daily tracking deviation between the fund's net value growth rate and the benchmark is less than 0.35%, and the annual tracking error does not exceed 6.5%[51] **Model Evaluation**: The model demonstrates stable excess returns and strong risk-adjusted performance, with a focus on high-growth and high-profitability stocks[85][86] Model Backtesting Results - **Bosera CSI 500 Enhanced Strategy ETF**: - Annualized excess return: 7.76% - Annualized tracking error: 3.84% - Maximum relative drawdown: 6.66% - Information ratio (IR): 1.79 - Sharpe ratio: 0.71 - Monthly win rate: 65.63%[3][85][55] Quantitative Factors and Construction Methods - **Factor Name**: High Growth and High Profitability Exposure **Factor Construction Idea**: The fund emphasizes stocks with high growth potential and strong profitability metrics, aiming to generate excess returns through factor exposures[86][67] **Factor Construction Process**: 1. The fund identifies stocks with positive exposures to growth, long-term momentum, and profitability factors[67] 2. Stocks with negative exposures to non-linear size and liquidity factors are de-emphasized[67] 3. The fund's portfolio construction ensures that 89.40% of individual stock deviations from the CSI 500 Index are within 0.5%, and 98% are within 1%[58] **Factor Evaluation**: The factor strategy effectively captures excess returns, particularly in industries like computing, electronics, and renewable energy, demonstrating strong stock selection capabilities[65][86] Factor Backtesting Results - **High Growth and High Profitability Factor**: - Positive exposures to growth, long-term momentum, and profitability factors - Negative exposures to non-linear size and liquidity factors - Strong stock selection performance in computing, electronics, and renewable energy industries[65][67][86]

Quantitative Models and Construction Methods 1. Model Name: Bosera CSI 500 Enhanced Strategy ETF (159678.SZ) - **Model Construction Idea**: The fund aims to achieve returns exceeding the target index (CSI 500) through strict investment procedures and quantitative risk management while closely tracking the benchmark index [3][48][51] - **Model Construction Process**: - The fund employs quantitative enhancement strategies to actively manage the index portfolio and control risks - It ensures the net value growth rate of the fund and the daily tracking deviation from the performance benchmark is less than 0.35%, with an annual tracking error not exceeding 6.5% [51] - The fund's portfolio is constructed with a focus on high-growth, high-profitability stocks, and it maintains a strict control over individual stock deviations relative to the CSI 500 index [56][58] - The fund's holdings are primarily composed of CSI 500 constituent stocks, with an average weight of 84.64% within the index [56][58] - The fund employs the Brinson attribution model to decompose excess returns into industry allocation and stock selection contributions, with most excess returns derived from stock selection within industries [66] - **Model Evaluation**: The fund demonstrates stable excess returns, strong risk-adjusted performance, and effective tracking of the benchmark index. It has a preference for high-growth and high-profitability stocks, with significant stock selection capabilities in industries like computing, electronics, and new energy [3][66][68] --- Model Backtesting Results 1. Bosera CSI 500 Enhanced Strategy ETF - **Annualized Excess Return**: 7.76% [3][85] - **Tracking Error**: 3.84% [3][85] - **Maximum Drawdown**: 6.66% [3] - **Information Ratio (IR)**: 1.79 [3][85] - **Excess Calmar Ratio**: 1.16 [3] - **Monthly Win Rate**: 65.63% [54] - **Annual Performance**: - 2023: Excess return of 3.63%, IR of 1.33, tracking error of 3.68%, monthly win rate of 70% [55] - 2024: Excess return of 7.64%, IR of 1.73, tracking error of 3.95%, monthly win rate of 66.67% [55] - 2025 (up to October 31): Excess return of 9.42%, IR of 2.31, tracking error of 3.84%, monthly win rate of 60% [55] --- Quantitative Factors and Construction Methods 1. Factor Name: High Growth and Profitability - **Factor Construction Idea**: The fund emphasizes stocks with high growth potential and strong profitability metrics [68] - **Factor Construction Process**: - Positive exposure to growth, long-term momentum, and profitability factors - Negative exposure to non-linear size and liquidity factors [68][73] - **Factor Evaluation**: The fund's preference for high-growth and high-profitability stocks aligns with its strategy to achieve excess returns over the benchmark index [68] --- Factor Backtesting Results 1. High Growth and Profitability Factor - **Performance**: The fund's stock selection based on this factor has shown strong excess returns in industries such as computing, electronics, and new energy [66][68] - **Industry Allocation**: Positive exposure to sectors like electronics, machinery, and automobiles, while underweighting sectors like defense, coal, and basic chemicals [63][65] - **Stock Selection**: Strong selection capabilities in computing, electronics, and new energy sectors, contributing significantly to excess returns [66][67]