文 | 银行螺丝钉 （转载请注明出处） 今天大盘整体上涨，截止到收盘，还在4.1星。 距离4.0星也不远了。 大中小盘股都上涨。大中盘股上涨略多一些。 螺丝钉也汇总了红利类品种的估值，供参考，见文章下方图片。 成长风格上涨多一些。 科创50、创业板领涨。 价值风格今天也上涨。 自由现金流、港股红利等上涨。 港股今天下跌。 港股科技、港股医药等指数波动比较大。 港股指数，假期里也出现了波动。 今天港股类基金会把假期里的波动+9日当天的波动一起更新。 所以含有港股的一些基金，今天会低迷一些。组合里也含有港股，也会受影响。不过今年以来港股整体涨幅还是比A股多不少。 港股最近也回到了3.5-3.6星上下。 随着上涨，低估的股票基金数量也逐渐减少。 也有朋友问，不同星级该买什么基金品种呢？ 1. 5星级 是股票基金投资价值最高的阶段。 例如主动优选、指数增强，在5点几星，投资价值是最高的。 当然，也是投资者对股票基金最缺少信心的阶段。 在5点几星，不管是定投还是加仓，都需要勇气。 2. 4星级 在4点几星，随着上涨，一些股票基金逐渐回到正常估值。 低估品种也逐渐减少。 每一轮从熊市底部上涨，领涨的品种会有区别。 例如2 ...

Core Insights - The report highlights a rebound in excess returns for index-enhanced strategies, indicating a positive shift in market performance [1] - The analysis is based on a deep learning framework that constructs alpha and risk models to create low-frequency index-enhanced strategies [4] Market Index Performance - As of September 26, 2025, the Shanghai Composite Index rose by 0.21%, the Shenzhen Component Index increased by 1.06%, and the CSI 300 Index gained 1.07%, with the STAR 50 showing strong performance [6][9] - The performance of index-enhanced funds for the week ending September 26, 2025, showed the CSI 300 index-enhanced fund had an excess return ranging from -1.59% to 0.86%, while the CSI 500 and CSI 1000 index-enhanced funds had similar ranges [6][14] Index Enhanced Fund Performance - Year-to-date, the CSI 300 index has increased by 15.6%, while the CSI 300 index-enhanced portfolio has risen by 22.8%, resulting in an excess return of 7.2% [6][22] - The CSI 500 index has seen a year-to-date increase of 26.5%, with its enhanced portfolio rising by 29.8%, yielding an excess return of 3.3% [6][27] - The CSI 1000 index has increased by 24.2% year-to-date, while its enhanced portfolio has risen by 35.1%, resulting in an excess return of 10.9% [6][33] Tracking Portfolio Performance - The report emphasizes the construction of index-enhanced portfolios for the CSI 300, CSI 500, and CSI 1000 using a deep learning framework, which optimizes alpha signals and risk signals [18] - The CSI 300 index-enhanced portfolio has shown a year-to-date return of 22.8%, outperforming the index itself [22][23] - The CSI 500 index-enhanced portfolio has achieved a year-to-date return of 29.8%, while the CSI 1000 index-enhanced portfolio has returned 35.1% [27][33]

小博说 在前几篇文章中，小博向大家介绍了指数增强基金的特点、配置价值和运作原理，那么对于投资者而 言，还有一个与实操息息相关的问题： 面对各式各样的指数增强产品，究竟该如何选择呢？ 其实，挑选指增基金并不困难，掌握几个关键指标和步骤，你也能找到适合自己的那一只。 定方向：选指数 这是所有决策的起点。 可以先明确自己的投资需求，想投资大盘股、中盘股还是小盘股？追求价值风格还是成长风格？不同的 指数有着不同的风险收益特征。 举几个例子。 想投大盘，可以关注A股核心资产的代表指数，比如沪深300、中证A500等等。 如果没有明确的投资方向、想要全市场布局，也可以考虑中证全指指数，近乎覆盖A股所有标的，一键 打包全市场热门板块。 明确自己想跟踪的指数类型，这就圈定了指数增强基金的选择范围，也确定了组合的基石风格。 评优劣：看指标 接着，针对跟踪同一个指数的同类指数增强产品，我们可以借助几个关键指标来做投资参考： 年化超额收益：这个指标直观反映了基金持续战胜指数的能力。当然，对于指数增强类产品来说，最好 观察长期的超额表现(比如3年以上)，而非短期爆发。 跟踪误差：这个指标反映了基金净值走势与指数走势的偏离程度。过高的 ...

Core Viewpoint - The article discusses the role of quantitative models in enhancing index funds, emphasizing the importance of multi-factor models in evaluating and selecting stocks for better performance [2][4][8]. Group 1: Multi-Factor Models - Factors are described as "labels" or "features" that characterize stocks, similar to how one might describe a person [2]. - The multi-factor model considers various factors to assess stock value and risk, with a library of hundreds of factors used for evaluation [2][3]. - Factors are categorized into fundamental and quantitative types, focusing on deep logic and statistical patterns, respectively [2]. Group 2: Process of Enhancement - The enhancement process involves three main stages: individual stock analysis, portfolio generation, and daily operations [4][5][6]. - In the individual stock analysis stage, stocks are scored based on various factors, leading to a ranking [4]. - The portfolio generation stage involves selecting stocks that meet specific criteria and assigning them different weightings based on their scores [5]. - Daily operations focus on optimizing trades to minimize costs and monitoring portfolio performance [7]. Group 3: Advantages of Quantitative Models - Quantitative models are positioned as ideal partners for index enhancement, providing stability, precision, and efficiency in stock selection [8]. - The use of quantitative strategies helps to maintain consistency in investment management, reducing emotional influences [8]. - Quantitative models can dynamically update to ensure effectiveness, allowing for timely adjustments in the portfolio [8].

Group 1 - The article discusses the differences between index-enhanced products and ETFs, emphasizing that different products suit different investment goals and needs [2][3] - ETFs aim to closely track indices, offering a wide variety of options, low costs, and trading flexibility, making them suitable for trading strategies [5][9] - Index-enhanced funds seek to outperform indices through smart adjustments, making them more suitable for long-term investors [5][9] Group 2 - The comparison between index-enhanced funds and active funds highlights that index-enhanced funds use quantitative models while active funds rely on in-depth research by fund managers [7] - Index-enhanced funds have a more diversified stock selection, resulting in lower volatility of excess returns compared to active funds, which are more concentrated and subject to higher performance fluctuations [8] - Index-enhanced funds are recommended for investors seeking a clear investment style and strategy transparency while aiming for returns above market averages [8][9]

◎记者 徐潇潇 近期，多家银行理财公司（下称"理财公司"）在指数型产品布局上动作频频，逐渐把指数型产品视为进 入权益类市场的重要工具。 多位受访人士表示，理财公司在权益投研方面基础薄弱，缺乏成熟体系，面临"缺规模"又"缺人才"的局 面，所以多数理财公司选择通过指数化投资，试图绕开个股研究的短板，在宏观策略研究的基础上以指 数介入，获取行业整体的Beta收益。 指数化投资热度上升 利率持续下行，传统固收类资产收益率逐步走低，理财公司正积极通过配置权益类及多资产类指数工具 增厚产品收益。 普益标准研究员刘思佳在接受上海证券报记者采访时表示，从资产配置策略来看，指数型理财产品一般 分为两种：一种是采用复制指数投资的非结构性产品。该类产品通过直接配置ETF、指数投资类的资管 产品或标的指数成分股来复制指数表现；另一种是通过配置挂钩特定指数的期权，间接投资指数的结构 性产品。该类产品多挂钩于中证1000等宽基指数、自研的全球配置型指数和特色主题指数。 权益投资"借船出海" 理财公司重视指数型理财产品，其背后既有政策端对理财公司参与权益市场的鼓励，也有理财公司自身 权益资产配置能力相对有限，而投资者风格偏稳健又追求超额收 ...

Core Viewpoint - Index-enhanced funds are designed to provide a balance between the ease of index investing and the potential for higher returns than the market average [1] Group 1: Mechanism of Index-Enhanced Funds - Index-enhanced funds aim to achieve returns that exceed a specific index through a combination of active management and quantitative strategies, seeking to outperform the index by losing less in downturns and gaining more in upturns [2] - The returns of index-enhanced funds can be divided into two components: β returns (market returns) and α returns (excess returns) [3] Group 2: Performance Data - Historical data indicates that index-enhanced products have consistently outperformed the index, achieving significant excess returns over time [4] - From 2010 to 2024, the average return of the CSI 300 enhanced funds has consistently surpassed that of the CSI 300 index, with a cumulative excess return exceeding 67% [5][6] Group 3: Market Context - The potential for obtaining excess returns in the A-share market is greater compared to overseas markets, primarily due to a higher proportion of individual investors in China, leading to more significant valuation fluctuations [7] - Given the current market conditions, index-enhanced products may be more suitable for ordinary investors seeking excess returns compared to passive index products [7]

Group 1 - The article discusses the concept of dollar-cost averaging in undervalued markets, suggesting that consistent investment during these periods can lower the average cost and enhance returns when the market improves [2] - It explains the structure of enhanced index funds, which typically invest about 80% in index components and 20% in enhancement operations, allowing them to follow index trends while also considering index valuations [3] - The challenges of actively managed funds are highlighted, particularly the lack of transparency regarding current holdings, as only quarterly reports reveal the stocks held [4] Group 2 - Several strategies for evaluating active funds are presented, including assessing the investment style or industry focus of the fund manager, such as value-oriented funds referencing value indices [5][6] - The article notes that active funds often have performance benchmarks, which may change to reflect the manager's actual investment direction, impacting their compensation if they underperform [7] - It suggests that constructing a diversified portfolio of actively managed funds across different styles and sectors can simplify valuation compared to evaluating individual active funds [8][9]

今年5月，证监会发布的《推动公募基金高质量发展行动方案》提出，强化业绩比较基准的约束作用。 日前，国泰海通资管在接受中国证券报记者采访时表示，这一变化的核心在于推动公募基金行业从追 求"贝塔收益"向"阿尔法收益"转变，从"规模导向"转向"投资者利益导向"。而指数增强基金因其明确的 基准约束和量化模型驱动的特性，在这一转型过程中占据了相对有利的位置。 "指数增强基金的业绩比较基准通常是其跟踪的特定指数，且多数设有指数跟踪误差要求，本身就具备 清晰明确的'锚'。"国泰海通资管表示，公司量化投资团队的目标正是通过选股模型、风控体系，追求 超越基准指数的收益，超额收益能力更能体现管理人的真实投资水平。 值得一提的是，指数增强基金也在被动化投资浪潮中迎来新的发展机遇。数据显示，截至9月初，2025 年以来新成立的增强型指数基金数量已超110只，接近过去三年总和，创下新纪录。 基于在量化投资领域的深厚积淀，国泰海通资管敏锐把握券商资管公募化转型机遇，自2021年12月公司 首只公募量化产品获批起，在不到24个月的时间内布齐沪深300、中证500、中证1000三大宽基指数增强 产品，并同步推出科创、红利、全市场选股等策略产 ...

Core Viewpoint - The article discusses various strategies for enhancing investment returns, focusing on fundamental enhancement, quantitative enhancement, and new share subscription methods. Group 1: Fundamental Enhancement - Fundamental enhancement involves allocating more to high-performing sectors such as consumer and healthcare, as well as to companies with high Return on Equity (ROE) and strong long-term profitability [4]. - It emphasizes the importance of investing in leading companies within industries that exhibit a leader effect, which can provide better returns [4]. - This strategy is typically employed by actively managed funds with strong individual stock research capabilities, and the findings can also be applied to index-enhanced funds [4][5]. Group 2: Quantitative Enhancement - Quantitative enhancement utilizes various quantitative factors to build models that capture investment opportunities, requiring strong capabilities from the fund's quantitative team [6]. - Common quantitative factors include valuation factors, fundamental factors, price-related factors, and sentiment factors, which can be used individually or in combination [6]. - A successful quantitative model typically includes factors that identify high-quality stocks and those that are undervalued, allowing for strategic buying during low valuation periods [7]. Group 3: New Share Subscription - In addition to fundamental and quantitative enhancements, funds can also enhance returns through new share subscriptions, which are typically accessible to funds with a scale of over 200 million [7].