Group 1 - The core viewpoint of the article is that index-enhanced ETFs are an innovative product that combines the advantages of index enhancement strategies and ETFs, leading to significant growth in the market [1][68]. - As of October 31, 2025, there are 51 index-enhanced ETFs in the market with a total scale of 95.73 billion, of which 7 ETFs track the CSI 500 index, amounting to 25.92 billion [1][68]. Group 2 - The CSI 500 index consists of 500 stocks with higher market capitalization after excluding the top 300 stocks from the CSI 300 index, providing a diversified industry distribution and currently trading below historical valuation averages [2][70]. - The scale of CSI 500 index-enhanced funds reached 493.46 billion by Q3 2025, accounting for over one-fifth of all enhanced funds, with stable excess returns [1][70]. Group 3 - The Bosera CSI 500 Enhanced Strategy ETF (159678.SZ) was launched on February 27, 2023, and aims to achieve returns exceeding the benchmark index through quantitative enhancement strategies [1][71]. - Since its inception, the fund has achieved an annualized excess return of 7.76% with a tracking error of only 3.84%, indicating strong risk-adjusted performance [1][71].

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]

Group 1 - The core viewpoint is that public FOFs are increasingly aligning with index-based investments, with a notable rise in the issuance of ETF-FOF products in 2023 [1][2] - As of August 15, 2023, a total of 39 public FOF products were issued this year, with a total issuance of 359.13 billion shares, significantly higher than the entire years of 2024 and 2023 [2] - The average net asset value growth rate for public FOFs over the past year reached 16.38% as of August 14, 2023, with over 80% of public FOFs recovering their net asset value to above 1 yuan [1] Group 2 - The proportion of ETF holdings within FOF products is gradually increasing, with the upcoming Xingzheng Global Yingfeng Multi-Asset Allocation FOF focusing on ETFs, allocating at least 80% of its non-cash fund assets to ETFs [1] - By the end of Q3 2024, passive index funds (including enhanced index funds) are expected to hold more A-share market value than active equity funds for the first time [2] - The number of ETF-FOF products has been steadily increasing, with significant interest from fund managers in utilizing ETFs for flexible and efficient equity asset allocation [3]

Core Insights - The article discusses various strategies investors can adopt in the ETF investment space to enhance returns, including enhanced index ETFs and active management strategies [1]. Group 1: Enhanced Index ETFs - Enhanced index ETFs aim to achieve excess returns while tracking a benchmark index, utilizing quantitative models based on factors like momentum, value, and quality to select securities with potential for excess returns [1]. - These ETFs offer more flexibility in their investment portfolios compared to traditional passive ETFs, potentially leading to higher returns [1]. - Multiple enhanced ETFs have been launched in China, covering major broad-based indices such as the CSI 300 Index, CSI 500 Index, CSI 1000 Index, and the ChiNext Index [1]. - Investors should consider the strength of the fund company's enhanced index capabilities and the effectiveness of the product's enhancements when selecting these products [1]. Group 2: Active Management Strategies - Active management strategies require investors to tactically adjust their investment portfolios based on market conditions and economic cycles [1]. - For instance, during a bull market, investors may increase the weight of equity ETFs, while in a bear market, they might shift towards bond or gold ETFs to mitigate risks [1].

Group 1 - The core viewpoint of the article emphasizes various strategies investors can adopt in the ETF investment field to enhance returns, including enhanced index ETFs and active management strategies [1][2][3] Group 2 - Enhanced index ETFs aim to achieve excess returns while tracking benchmark indices, utilizing quantitative models based on factors like momentum, value, and quality to select securities with potential for excess returns [1] - Multiple enhanced ETFs have been launched in China, covering major broad-based indices such as the CSI 300 Index, CSI 500 Index, CSI 1000 Index, and the ChiNext Index [1] - When selecting enhanced ETFs, investors should consider the fund company's capabilities in index enhancement and the effectiveness of the products to assess the fund manager's ability to generate stable excess returns [1] Group 3 - Active management strategies require investors to tactically adjust their investment portfolios based on market conditions and economic cycles, such as increasing the weight of stock ETFs during bull markets and shifting to bond or gold ETFs during bear markets to mitigate risks [2]

Group 1: ETF Market Overview - The ETF market in China has shown significant growth in both scale and number, reaching a total market size of 42,236.60 billion yuan with 1,194 products as of July 15, 2025 [1][9][24] - Stock ETFs dominate the market, accounting for 72.45% of the total market size, with a scale of 30,602.16 billion yuan, while thematic ETFs lead in product quantity with 459 products [1][10][25] - The average management fee for ETFs is 0.28%, and the average custody fee is 0.07%, which are lower than those of open-end stock and bond funds [1][14][15] Group 2: Development Stages of the ETF Market - The development of the ETF market in China can be divided into three stages: initial development (2004-2008), continuous expansion (2009-2017), and rapid growth (2018-present) [2][22] - The market size surged from 18,423.26 billion yuan in 2023 to 35,613.43 billion yuan in 2024, marking a 93.31% increase, primarily driven by the central financial account's increased holdings in large-scale ETFs [2][27][31] Group 3: Comparison with International Markets - Compared to Japan and the United States, China's ETF market still has room for improvement, with Japan's central bank's long-term purchasing strategy serving as a potential model for China's central financial account [2][34][42] - The U.S. ETF market is the largest globally, with a total asset size of approximately 10.98 trillion USD and 3,913 products, showcasing a more mature market structure [42][44] Group 4: Innovation Directions in the ETF Market - The current innovation in China's ETF market includes the introduction of index-enhanced ETFs, margin trading ETFs, Hong Kong Stock Connect ETFs, and technology innovation bond ETFs [3][47][56] - Future innovation directions may focus on incorporating ESG risk considerations in index compilation, expanding underlying assets to multi-asset ETFs, and increasing the coverage of T+0 trading mechanisms [3][58][62]

Core Viewpoint - The article highlights the growing trend of public fund companies entering the ETF market, with Xingzheng Global Fund signaling its intention to develop ETF business through a recent procurement project for an ETF business system [2][4][5]. Industry Overview - The ETF market in China has surpassed 4 trillion yuan, indicating a significant shift towards index-based investment strategies [2][6]. - Major fund companies like E Fund and Huaxia have already embraced index business, showcasing the competitive landscape of the ETF market [2][6]. Recent Developments - Xingzheng Global Fund has disclosed a procurement project for an ETF business system, with a procurement amount of 1.87 million yuan, indicating its strategic move into the ETF space [4][5]. - The installation of the ETF system is expected to be completed soon, allowing for rapid product approval through a fast-track process [5]. Market Dynamics - The ETF market has seen a surge in participation from various fund companies since 2020, with notable entries from firms that previously did not engage in ETF offerings [7]. - The increasing demand for ETF products is driven by favorable policies and the need for efficient asset allocation among both individual and institutional investors [8]. Competitive Landscape - The article discusses the "80/20 effect" in the ETF market, where a few leading companies dominate the majority of market share, posing challenges for new entrants [2][5]. - New entrants are encouraged to explore differentiated strategies, such as focusing on niche markets or innovative product offerings, to carve out a competitive advantage [10][11]. Future Outlook - The potential for "curve overtaking" exists for new entrants if they can identify and meet specific market needs, especially as the ETF market transitions from a focus on scale to quality [11]. - The article notes that the proportion of passive products in the U.S. stock market is around 16%, while in China, it is only 3% to 4%, indicating significant growth potential for the ETF business in China [11].