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 ...

证券研究报告 | 金融工程 2025 年 12 月 13 日 本周 Beta 和高动量风格显著 ——因子周报 20251212 金融工程 1. 主要市场指数与风格表现回顾 本周主要宽基指数大部分上涨。北证 50 上涨 2.79%，创业板指上涨 2.74%，中证 500 上涨 1.01%，深证成指上涨 0.84%，中证 1000 上涨 0.39%，中证 800 上涨 0.21%，中证 2000 上涨 0.05%，沪深 300 下跌 0.08%，上证指数下跌 0.34%。 从风格因子来看，最近一周 Beta 因子、动量因子、波动性因子的表现尤为 突出，因子多空收益分别为 4.54%、4.34%和 3.81%。 2. 选股因子表现跟踪 沪深 300 股票池中，本周标准化预期外盈利、240 日动量、单季度净利润 率因子表现较好。中证 500 股票池中，本周单季度毛利率、单季度营业利润 率、单季度净利润率因子表现较好。中证 800 股票池中，本周单季度 ROE、 盈余公告前隔夜动量、标准化预期外盈利因子表现较好。中证 1000 股票池 中，单季度营业利润率、单季度净利润率、单季度营业利润同比增速因子表现 较好。沪深 3 ...

Group 1 - The core point of the news is that Boyuan Technology's stock has increased by 5.25%, reaching a price of 13.64 CNY per share, with a total market capitalization of 7.984 billion CNY [1] - Boyuan Technology was established on April 17, 1995, and went public on January 6, 2012. Its main business segments include product and solution offerings, R&D engineering services, and IT operation maintenance, with revenue contributions of 61.41%, 22.18%, and 15.95% respectively [1] Group 2 - According to data from the top ten holdings of funds, Boyuan Technology is heavily held by the Baodao Fund, specifically the Baodao CSI 1000 Index Enhanced A (017644), which held 201,100 shares, accounting for 0.82% of the fund's net value [2] - The Baodao CSI 1000 Index Enhanced A fund was established on August 25, 2023, with a current scale of 147 million CNY. It has achieved a year-to-date return of 34.39% and a one-year return of 35.03% [2]

Group 1 - The core viewpoint of the report indicates that valuation factors performed well last week, with the year-to-date excess return of the CSI 2000 index enhancement strategy reaching 23.32% [1] - The report tracks the performance of public index enhancement funds for major broad-based indices, including the CSI 300, CSI 500, CSI 1000, and CSI 2000, providing weekly updates for investor reference [8][9] - The report highlights the top-performing public index enhancement funds for the year, with specific excess returns noted for each fund across different indices [10][16][21][26] Group 2 - The report details the performance of public enhancement funds for the CSI 300 index, noting that the top five funds have year-to-date returns ranging from 24.89% to 32.31%, with corresponding excess returns [10][12] - For the CSI 500 index, the top five funds achieved year-to-date returns between 36.56% and 41.67%, with excess returns noted for each fund [16][19] - The CSI 1000 index enhancement funds also showed strong performance, with the top five funds reporting year-to-date returns from 42.53% to 44.54% [21][24] - The CSI 2000 index enhancement funds had year-to-date returns ranging from 38% to 46.5%, with significant excess returns for the leading funds [26][31] Group 3 - The report analyzes the performance of various factors used in quantitative stock selection models, emphasizing the importance of valuation, profitability, growth, corporate governance, and volume factors [33] - It discusses the methodology for neutralizing factors, particularly the treatment of market capitalization and industry effects, to better reflect the investment logic and stock selection effectiveness [33][34] - The report provides insights into the performance of single factors, highlighting the best and worst performing factors across different stock pools for the past week and year [35][36]

Group 1 - The core viewpoint of the news is that Yaoshi Technology's stock price has declined by 5.02% to 41.46 CNY per share, with a trading volume of 558 million CNY and a turnover rate of 6.60%, resulting in a total market capitalization of 9.56 billion CNY [1] - Yaoshi Technology, established on December 26, 2006, and listed on November 10, 2017, is located in Nanjing, Jiangsu Province. The company specializes in the research, development, production, and sales of drug molecular building blocks, as well as drug discovery solutions and CDMO services [1] - The revenue composition of Yaoshi Technology includes 83.14% from drug development and commercialization services, 16.72% from drug research stage products and services, and 0.14% from other sources [1] Group 2 - According to data from the top ten heavy stocks of funds, one fund under Baodao holds a significant position in Yaoshi Technology. The Baodao CSI 1000 Index Enhanced A (017644) fund held 65,500 shares in the second quarter, accounting for 0.82% of the fund's net value, ranking as the eighth largest heavy stock [2] - The Baodao CSI 1000 Index Enhanced A fund, established on August 25, 2023, has a latest scale of 131 million CNY. Year-to-date, it has achieved a return of 39.52%, ranking 1036 out of 4222 in its category, and an annual return of 88.85%, ranking 800 out of 3805 [2] Group 3 - The fund manager of Baodao CSI 1000 Index Enhanced A is Yang Meng, who has been in the position for 7 years and 43 days. The total asset scale of the fund is 12.691 billion CNY, with the best return during Yang's tenure being 172.23% and the worst being -27.34% [3]

Core Viewpoint - The quantitative private equity industry has rapidly developed in recent years, outperforming public quantitative funds in terms of performance, with private equity quantitative index enhancement products showing an average return of 31.11% compared to 22.03% for public funds [2][3]. Summary by Category Performance Comparison - As of August 15, 2025, the average return for 398 private equity index enhancement products is 31.11%, with an excess return of 11.50%. In contrast, 382 public equity index enhancement products have an average return of 22.03% and an excess return of 6.04% [2][3]. - The performance of private equity products across different indices shows significant advantages, particularly in the 中证500 and 中证1000 categories, where private equity products have average returns of 29.40% and 35.25%, respectively [9][12]. Leading Products - In the 沪深300 index enhancement category, the top private equity product is "澎湃权益1号" managed by 刘治平, achieving an excess return of ***% [5][7]. - For the 中证500 index enhancement, "兆信中证500指数增强1号A类份额" managed by 唐越 and 胡晨航 leads with an excess return of ***% [10][11]. - The top product in the 中证1000 index enhancement is "今通量化价值成长六号" managed by 钱伟强, with an excess return of ***% [13][15]. - In the 国证/中证2000 index enhancement, "平方和鼎盛中证2000指数增强21号A期" managed by 吕杰勇 and 方壮 ranks first with an excess return of ***% [17][19]. Market Environment - The strong performance of quantitative strategies is attributed to the structural characteristics of the A-share market in the first half of 2025, where small and mid-cap stocks have continued to outperform, and individual stock volatility has increased, creating an ideal trading environment for quantitative strategies [3].

Core Viewpoint - The article highlights the strong performance of quantitative funds in the A-share market, with a significant percentage achieving positive returns, driven by favorable market conditions and AI empowerment [4][9]. Group 1: Performance of Quantitative Funds - As of August 15, 2023, 1,059 quantitative funds showed nearly 97.36% positive returns, with 286 funds achieving over 50% returns in the past year [4]. - The average return for ordinary stock quantitative funds reached 39.80%, with a positive return rate of 98.66% [4][9]. - The top three ordinary stock quantitative funds are managed by Yin Hua Fund, Shen Wan Ling Xin Fund, and Hua Shang Fund, with returns of 87.51%, 81.35%, and 75.69% respectively [9][10]. Group 2: Index Quantitative Funds - There are 496 index quantitative funds with an average return of 43.37% and a 100% positive return rate [11]. - The top three index quantitative funds are managed by Huatai Baichuan Fund, Penghua Fund, and Huitianfu Fund, with excess returns of 29.45%, 27.19%, and 24.97% respectively [16]. Group 3: Mixed Stock Quantitative Funds - Among 329 mixed stock quantitative funds, the average return is 36.92%, with a positive return rate of 98.78% [18]. - The top three mixed stock quantitative funds are managed by Nuoan Fund, Guangfa Fund, and Minsheng Jianyin Fund, with returns of 119.12%, 86.71%, and 83.56% respectively [19][20].