在确定性中寻找超额收益。 作者 | 破浪 编辑 | 小白 天相投顾统计显示，截至2024年底，被动指数基金规模首次超越主动权益类基金；进入2025年，以E TF为代表的指数化投资工具迎来爆发式增长，进一步拉大了两者之间的规模差距。 在这一趋势下，部分基民的投资逻辑正在悄然生变：一方面，他们对部分主动型基金"风格漂移"、业 绩变脸等现象感到厌倦；另一方面又不甘心仅仅获取指数的平均收益。 于是，一种折中且更具性价比的投资品种——指数增强基金，顺势成为各路资金的新宠。 那么，去年四季度，资金重点涌向了哪些指增基金？作为普通投资者，这一轮大规模增持又是否具 备"抄作业"的参考价值？ 二是α收益的可能性，由于A股市场并非完全有效，机构投资者可以通过选股、打新增强、基差套利 等手段，在长期内积攒出超过指数的回报。 当然，增强基金也并非稳赚不赔。如果增强策略失效，或者基金经理在风格上过于偏移，就会演变 成"负增强"。 因此，看待这类基金，不仅要看规模，更要看它在关键阶段的真实表现。 简单来说，指数增强基金就像是一个"混血儿"：既保留了被动指数基金的基因（大部分仓位跟踪指 数，获取β收益），又融入了主动基金的灵魂（利用量化模 ...

- The median excess return for CSI 500 Index Enhanced Funds this week was 0.38%[3][4] - The median excess return for CSI 1000 Index Enhanced Funds this week was 0.34%[3][4] - The median excess return for CSI A500 Index Enhanced Funds this week was 0.31%[3][4] - The median return for other Index Enhanced Funds this week was 0.01%[3][4] - The median return for Absolute Return (Hedge) Funds this week was 0.11%[3][4] - The median return for other Active Quantitative Funds this week was -1.35%[3][4] - The median return for Thematic Funds this week was -0.83%[15][16] - The median return for Performance Fee Funds this week was -1.14%[15][17] - The median return for Sector Rotation Funds this week was -2.12%[15][18] - The median return for Multi-Factor Funds this week was -1.84%[15][19] - The median return for Big Data Driven Active Funds this week was -0.67%[15][20]

Core Insights - The article emphasizes the importance of differentiated development strategies for small and medium-sized fund companies in the increasingly competitive Chinese public fund industry, where larger institutions dominate the market [1] - The new general manager of Xinda Australia Fund, Fang Jing, advocates for a focus on active investment and a unique research culture to build core competitiveness [1][4] Group 1: Company Strategy - Fang Jing believes that small and medium-sized fund companies should abandon the "big and comprehensive" development approach in favor of a "small but beautiful" strategy, focusing on specialized development [1] - The company aims to maintain its core focus on active investment, developing a distinctive path in talent cultivation, product layout, and risk management [1][4] Group 2: Customer-Centric Approach - Fang Jing highlights the necessity of understanding customer needs, stating that different clients have varying investment goals, which should guide product design [2][3] - The company’s product design process is centered around customer configuration needs, likening it to a "composition" that must meet specific requirements [2] Group 3: Research and Investment Culture - The company’s competitive advantage lies in its active investment research culture, which is built on a balance of various roles within the research team [4][5] - Fang Jing emphasizes the importance of a scientific assessment system that encourages high-quality research output while also nurturing investment capabilities among researchers [5] Group 4: Product Development Focus - The company is committed to developing products that meet client needs, particularly in the active equity, "fixed income plus," and index enhancement sectors, focusing on "difficult yet correct" investment opportunities [8][9] - In the "fixed income plus" area, the company aims to provide stable returns through a clear product design strategy that includes absolute return strategies and risk tolerance levels [9] Group 5: Talent Management - The company faces challenges in talent retention due to competition from larger institutions, prompting the establishment of a flat organizational structure to enhance focus on investment [10] - Fang Jing advocates for a dual approach to talent development, prioritizing internal selection while cautiously considering external hires to ensure cultural fit [10] Group 6: Governance and Compliance - Following a significant change in shareholder structure, the company is focused on enhancing governance and compliance to align with regulatory requirements for high-quality development [11] - Fang Jing has outlined three core tasks for the company: deepening long-term assessments, innovating product layouts, and refining investment management practices [11][12] Group 7: Industry Outlook - Fang Jing expresses confidence in the future of the public fund industry, suggesting that as wealth allocation shifts towards financial products, public funds will play a crucial role in wealth management [13] - The company aims to align its investment strategies with national priorities, focusing on sectors encouraged by government policies to create long-term value for clients [13]

Market Performance - As of February 6, 2026, the Shanghai Composite Index fell by 1.27%, the Shenzhen Component Index decreased by 2.11%, and the CSI 300 Index dropped by 1.33%[8] - The market saw a rise in micro-cap stocks despite the overall market adjustment[8] - Year-to-date, the CSI 300 Index has increased by 0.3%, while the CSI 300 enhanced portfolio has risen by 0.5%, yielding an excess return of 0.2%[20] Enhanced Fund Performance - For the CSI 300 enhanced fund, the minimum excess return was -1.39%, the median was 0.24%, and the maximum was 1.33% for the week ending February 6, 2026[12] - The CSI 500 enhanced fund had a minimum excess return of -0.67%, a median of 0.38%, and a maximum of 1.40%[12] - The CSI 1000 enhanced fund reported a minimum excess return of -0.78%, a median of 0.34%, and a maximum of 1.66%[12] Sector Performance - The food and beverage, beauty care, and electric equipment sectors performed well this week with returns of 4.31%, 3.69%, and 2.20% respectively[9] - Conversely, the non-ferrous metals, telecommunications, and electronics sectors underperformed with returns of -8.51%, -6.95%, and -5.23% respectively[9] Risk Considerations - There are risks associated with factor failure, model failure, and market style changes that could impact the effectiveness of the investment strategies employed[4]

Core Insights - An emerging investment tool, index-enhanced funds, is gaining popularity among investors, with a significant increase in new products and total fundraising in 2025, surpassing previous years' totals [1] - Index-enhanced funds aim not only to track indices but also to outperform them by actively managing a portion of their assets through quantitative models and stock selection [1] Fund Performance - In 2025, the top-performing index-enhanced funds achieved substantial excess returns, particularly those tracking mid and small-cap indices like the Guozhen 2000 and Zhongzheng 1000, with the leading fund, Huaitianfu Guozhen 2000 Index Enhanced A, achieving a net value growth rate of 25.22% [2] - Other notable funds, such as the ICBC Zhongzheng 1000 Index Enhanced A and Baodao Zhongzheng 1000 Index Enhanced A, also reported excess returns exceeding 20% [2] Characteristics of Mid and Small-Cap Funds - Mid and small-cap index-enhanced funds are more successful in generating excess returns due to their index characteristics and the suitability of mainstream enhancement strategies [3] - The large number of constituent stocks in mid-cap indices, such as the Zhongzheng 2000, allows for a broad selection pool, facilitating the identification of potential stocks through quantitative models [3] - Information asymmetry and pricing inefficiencies in mid and small-cap stocks provide opportunities for quantitative strategies to discover mispriced assets and generate alpha returns [3] - The active trading and liquidity of small-cap stocks create a favorable environment for efficient trading execution and short-term price capture, enhancing overall returns [3]

Core Viewpoint - The increasing popularity of index investing has led to a rise in interest in enhanced index funds, which have shown a trend of outperforming traditional index funds in recent years [1][7]. Group 1: Differences Between Enhanced Index Funds and Traditional Index Funds - Traditional index funds aim to closely track the performance of an index with strict control over tracking error, while enhanced index funds, although also index funds, do not fully replicate the index and allow for some active optimization to seek excess returns [2]. - Enhanced index funds are required to invest at least 80% of their non-cash assets in index constituents and their alternatives, meaning their performance is largely driven by the index itself, with some room for active management [2]. Group 2: Common Enhancement Strategies - The three main strategies for enhancing index funds include: 1. **Quantitative Model Stock Selection**: This strategy involves using quantitative factors to build enhancement models, scoring stocks across multiple dimensions to optimize expected performance [3]. 2. **Fundamental Enhancement**: Similar to active fund stock selection, this strategy involves comparing and adjusting constituent stocks based on financial quality, profitability, and valuation metrics [5]. 3. **Portfolio and Trading Optimization**: This strategy focuses on adjusting trading frequency, controlling transaction costs, and managing risks to minimize unnecessary volatility that could erode long-term returns [6]. Group 3: Performance Comparison - Over the past 5 and 10 years, enhanced index funds have consistently outperformed traditional index funds in terms of returns, with the performance gap widening over time, while maximum drawdowns have not significantly increased [7][8]. Group 4: Selection Criteria for Enhanced Index Funds - Investors are advised to adopt a "two-step" approach for selecting enhanced index funds: first, evaluate the underlying index, and then consider the enhancement strategy employed [11]. - The choice of index is crucial, as the performance of enhanced index funds largely depends on the characteristics of the benchmark index, with broader indices generally providing more opportunities for enhancement [11]. - Different enhancement strategies vary among funds, with many incorporating AI and machine learning to capture non-linear relationships between factors for excess returns [11]. Group 5: Target Audience for Enhanced Index Funds - Enhanced index funds are positioned as a hybrid investment tool suitable for investors willing to accept index volatility while seeking long-term excess returns [12]. - Conversely, traditional index funds may be more appropriate for investors who prefer to closely track an index without the risk of underperformance [13].

本文首发于公众号"私募排排网"。 （点击↑↑ 上图查看详情 ） 2025年A股持续向好，三大指数齐升，私募行业也迎来业绩爆发，最为亮眼的当数 指数增强基金 。 私募排排网数据显示，四大指增策略在2025年 收益显著领衔其他私募策略，中证1000指增、其他指增(主要包含中证2000指增)、中证500指增2025年收益均在40%以上。 通常来说，主观多头、量化选股等策略凭借精准选股、集中持仓等优势，在牛市行情中的收益表现往往更胜一筹，为什么2025年业绩表现突出的是 指数增强基金？指数增强基金到底是什么，具体的投资逻辑如何？对比ETF基金有何优势？普通投资者如何配置？ 0 1 02 指数增强基金到底是什么，底层逻辑是什么？ 指数增强基金类似是一种 "争取考得比平均分好"的基金 ，通过名称的字面意思来理解： 1)"指数" （比如沪深300）就是一个市场或一个板块的"平均分"。它由一大批股票按规则组成，代表了这些股票的整体走势。这个"平均分"也就是 所谓的贝塔收益，即市场收益。 2025年的指数增强凭什么领先？ 2025年量化指增策略业绩之所以领先，或许是 "天时"（有利的市场环境）、"地利"（ 市场 风格占优）与" ...

相关报告：智研咨询发布的《中国公募量化基金行业市场全景调研及未来前景研判报告》 内容概况：中国公募量化基金于2002年开始起步，伴随着中国资本市场的逐步开放与制度完善，量化投 资开始在国内萌芽。历经二十余年的发展，公募量化基金已从边缘小众产品成长为公募基金行业的重要 组成部分，形成了指数增强、量化对冲、主动量化等多元策略格局。2025年A股市场在"科技突 围"与"反内卷"政策的主线交织下走出了一场波澜壮阔的结构性行情，小盘成长风格持续占优，成交活 跃度显著提升，量化基金迎来业绩与规模的"双丰收"。截至10月29日，2025年期间公募量化策略基金合 计成立158只，比2024年全年的95只增逾66%，并创出历年来年度新高，其中增强指数型基金新成立132 只。从发行规模来看，量化策略基金年内募资总规模为830.64亿元，超出了历史上任何一个年份，比 2024年的368.55亿元增长125%。自2018年以来，公募量化基金的总规模呈现阶段性变化。2018-2021年 期间，随着资本市场全面深化改革持续推进，多层次市场体系日益完善，中国公募量化基金也迎来重大 发展机遇，总规模快速增长；2021-2025年期间，规模呈 ...

- The report highlights the performance of quantitative funds, particularly index-enhanced funds, with the China Securities 1000 Index Enhanced Fund achieving a weekly median excess return of 0.72%[3][4][7] - The China Securities 500 Index Enhanced Fund showed a weekly median excess return of -0.13%, while the CSI 300 Index Enhanced Fund achieved 0.42% during the same period[3][4][5] - Other index-enhanced funds recorded a weekly median return of 0.14%, with the best-performing fund achieving a return of 7.42% and the worst-performing fund at -3.19%[3][4][8] - Absolute return (hedging) funds had a weekly median return of 0.12%, while other active quantitative funds achieved a significantly higher weekly median return of 2.35%[3][8][10] - Multi-factor funds demonstrated strong performance with a weekly median return of 3.78%, and the best-performing fund in this category achieved a return of 5.32%[15][19][20] - Big data-driven active investment funds achieved a weekly median return of 1.50%, with the best-performing fund reaching 6.00% and the worst-performing fund at -1.59%[15][20]

Market Performance - As of January 23, 2026, the Shanghai Composite Index rose by 0.84%, while the Shenzhen Component Index increased by 1.11%[11] - The CSI 300 Index decreased by 0.62%, with notable performance from small-cap indices[11] - Year-to-date, the CSI 300 Index is up 1.6%, while the CSI 300 enhanced portfolio has increased by 1.8%, yielding an excess return of 0.2%[23] Enhanced Fund Performance - For the CSI 300 enhanced fund, the minimum excess return was -0.48%, the median was 0.42%, and the maximum was 2.47% for the week[15] - The CSI 500 enhanced fund had a minimum excess return of -1.42%, a median of -0.12%, and a maximum of 1.56%[15] - The CSI 1000 enhanced fund reported a minimum excess return of -0.15%, a median of 0.72%, and a maximum of 3.15%[15] Sector Performance - The construction materials, petroleum and petrochemicals, and steel sectors performed well this week, with weekly returns of 9.23%, 7.71%, and 7.31% respectively[12] - Conversely, the banking, telecommunications, and non-bank financial sectors underperformed, with weekly returns of -2.70%, -2.12%, and -1.45% respectively[12] Risk Considerations - There are risks associated with factor failure, model failure, and market style changes that could impact the effectiveness of the investment strategies employed[6][45]