- The report introduces a quantitative model for evaluating equity funds, using 22 benchmark indices as independent variables and fund returns as dependent variables. The model applies a rolling window regression with a 6-month window to calculate the R² matrix for each fund. The benchmark index with the highest average R² over the last six periods is selected as the reference index for fund performance evaluation[18][19][24] - The construction process of the model involves linear regression for each benchmark index and fund return, followed by rolling window regression to derive the R² matrix. The formula used is $ R² = 1 - \frac{\sum_{i=1}^{n}(y_i - \hat{y}_i)^2}{\sum_{i=1}^{n}(y_i - \bar{y})^2} $, where $ y_i $ represents fund returns, $ \hat{y}_i $ represents predicted returns, and $ \bar{y} $ represents the mean of fund returns[18][19][24] - The model is evaluated as effective in identifying the most relevant benchmark index for fund performance, providing a robust framework for fund classification and strategy analysis[18][24] - The backtesting results of the model show that the average R² value for equity funds decreased slightly from 0.7478 in December to 0.7336 in January, indicating a slight reduction in the fit of funds to single benchmark indices[34] - The report categorizes equity funds into five styles: large-cap, mid-small-cap, value, growth, and thematic sectors. The classification is based on the benchmark index with the highest R² value derived from the model[24][27][33] - The performance of mid-small-cap funds was the highest in January, with a median return of 8.18%, followed by growth funds at 7.08%, large-cap funds at 4.13%, value funds at 3.88%, and thematic sector funds at 3.37%[24][25][27] - The thematic sector funds are further divided into categories such as healthcare, cyclical, infrastructure, consumption, technology, finance, and advanced manufacturing. Among these, cyclical funds performed the best, with an average return of 21.6% for active funds and 18.2% for passive funds[27][30][32] - The report highlights high-rated funds, defined as AAA and AA+ funds, which demonstrate strong alpha sustainability and upward alpha trends. AAA funds are stable alpha-type funds suitable for long-term holdings, while AA+ funds exhibit steadily increasing alpha values, indicating strong potential for excess returns[47][48][49] - The report identifies new emerging funds, defined as funds receiving their first rating this month and managed by fund managers with less than three years of experience. These funds predominantly track indices such as CSI Dividend and CSI 300[63][64] - The report also highlights funds with significant rating upgrades, defined as funds whose ratings improved substantially compared to the previous month. These funds are primarily aligned with indices such as CSI Cyclical, CSI Dividend, and TMT (CITIC)[65][66]

Core Insights - The latest ESG public fund weekly ranking indicates a decline in performance for ESG funds during the observation period from June 16 to June 20, with pure ESG theme funds showing a significant gap compared to broader ESG theme funds [1] - Pure ESG theme funds had only 6 funds that increased in value, with an average return of -0.04% for active funds and -0.08% for index funds, while all broad ESG theme funds recorded gains, with active funds averaging 1.04% and index funds 0.15% [1] Fund Performance Summary - The top-performing pure ESG theme funds include: - Dongwu New Energy A with a weekly return of 1.52% and a total return since inception of 27.37% [2] - Guoshou Anbao Low Carbon Economy A with a weekly return of 1.47% but a total return since inception of -39.34% [2] - Other notable funds include Jiashi Green Theme A and Changjiang New Energy Industry A, with weekly returns of 1.38% and 1.35% respectively [2] - The top-performing broad ESG theme active funds include: - Guangfa ESG Responsible Investment A with a weekly return of 0.67% and a total return since inception of -12.96% [5] - Zhonghang Ruihua ESG One-Year Open A with a weekly return of 0.43% and a total return since inception of 13.79% [5] - The top-performing broad ESG theme index funds include: - ICBC Zhongzheng 180 ESG ETF with a weekly return of 0.08% and a total return since inception of -9.37% [8] - Ping An ESG 120 Strategy ETF with a weekly return of 0% and a total return since inception of -111.35% [8] Fund Classification and Methodology - The ESG funds are categorized into two main types: ESG theme funds and broad ESG theme funds, further divided into active and index funds based on investment strategies [11] - The ranking is based on a selection of operational public funds, excluding those that have been liquidated, and includes only A-share classes of funds [11]