Group 1 - The report indicates that the performance of major public index enhancement funds has been tracked weekly, focusing on the returns of the funds against their respective benchmarks, including CSI 300, CSI 500, CSI 1000, and National Index 2000 [7][8]. - As of September 12, 2025, the CSI 300 enhancement funds have 53 products with a total scale of 77.3 billion, while the CSI 500 enhancement funds have 66 products with a scale of 43.7 billion [8][9]. - The report highlights that the CSI 2000 enhancement strategy has achieved a year-to-date excess return of 21.18%, indicating strong performance compared to its benchmark [1][4]. Group 2 - The report details the top-performing CSI 300 enhancement funds for the year, with the top five funds achieving returns of 28.33%, 27.65%, 23.15%, 22.67%, and 21.93%, respectively, with corresponding excess returns of 13.41%, 12.73%, 8.23%, 7.75%, and 7.01% [9][11]. - For the CSI 500 enhancement funds, the top five funds have returns of 35.46%, 35.31%, 35.02%, 34.39%, and 32.41%, with excess returns of 10.62%, 10.47%, 10.19%, 9.56%, and 7.58% [15][19]. - The CSI 1000 enhancement funds show similar strong performance, with the top five funds achieving returns of 40.4%, 39.68%, 39.21%, 38.57%, and 38.44%, with excess returns of 15.81%, 15.08%, 14.62%, 13.98%, and 13.85% [21][25]. Group 3 - The report emphasizes the performance of the National Index 2000 enhancement funds, with the top five funds achieving returns of 45.03%, 44.3%, 43.56%, 37.72%, and 35.56%, with excess returns of 16.01%, 15.28%, 14.54%, 8.7%, and 6.54% [29][30]. - The report also tracks the performance of various factors used in quantitative stock selection models, highlighting the effectiveness of different factors across various stock pools [34][37]. - The report provides insights into the excess returns of single factors, indicating that certain factors have performed better over different time frames, which can guide investment strategies [38][39].

Report Summary 1. Report Industry Investment Rating There is no information about the industry investment rating in the report. 2. Core View of the Report The report focuses on the performance of the quantitative fund market, summarizing the performance of major indices and quantitative funds in the past week, the overall performance and distribution of different types of public - offering quantitative funds, and the top - performing quantitative funds in the week from August 4th to August 8th, 2025, for investors' reference. During this period, the A - share market rose, and quantitative funds showed good performance [1][2]. 3. Summary by Directory I. Performance of Major Indices and Quantitative Funds in the Past Week - A - shares continued to rise, with the weekly returns of the CSI 300, CSI 500, and CSI 1000 being 2.51%, 1.78%, and 1.23% respectively [3][6]. - Quantitative funds performed well. Active quantitative funds rose 1.88%, market - neutral funds rose 0.29%, and all types of index - enhanced funds recorded positive returns. In terms of excess returns, CSI 300 index - enhanced, CSI 500 index - enhanced, and other index - enhanced funds achieved positive excess returns of 0.20%, 0.04%, and 0.07% respectively, while CSI 1000 index - enhanced funds underperformed the index [4][9]. II. Performance of Different Types of Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced Funds**: The weekly return was 1.44%, the excess return was 0.20%, the maximum drawdown was - 0.15%, and the excess maximum drawdown was - 0.13% [14]. - **CSI 500 Index - Enhanced Funds**: The weekly return was 1.81%, the excess return was 0.04%, the maximum drawdown was - 0.37%, and the excess maximum drawdown was - 0.29% [14]. - **CSI 1000 Index - Enhanced Funds**: The weekly return was 2.36%, the excess return was - 0.15%, the maximum drawdown was - 0.39%, and the excess maximum drawdown was - 0.47% [15]. - **Other Index - Enhanced Funds**: The weekly return was 1.49%, the excess return was 0.07%, the maximum drawdown was - 0.59%, and the excess maximum drawdown was - 0.26% [15]. - **Active Quantitative Funds**: The weekly return was 1.88%, the maximum drawdown was - 0.37%, and the return dispersion was 1.09% [16]. - **Market - Neutral Funds**: The weekly return was 0.29%, the maximum drawdown was - 0.11%, and the return dispersion was 0.45% [16]. III. Performance Distribution of Different Types of Public - Offering Quantitative Funds The report presents the performance trends of different types of public - offering quantitative funds in the past six months, as well as the performance distribution in the past week and the past year. Index - enhanced funds show the performance of excess returns [17]. IV. Top - Performing Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced**: Funds such as Anxin Quantitative Selection CSI 300 Index Enhancement and Zhongou CSI 300 Quantitative Index Enhancement performed well in the past week [30]. - **CSI 500 Index - Enhanced**: Funds like Guotai CSI 500 Index Enhancement and Huian CSI 500 Enhancement had good performance [31]. - **CSI 1000 Index - Enhanced**: Funds including Guolianan CSI 1000 Index Enhancement and Penghua CSI 1000 Enhanced Strategy ETF showed good results [32]. - **Other Index - Enhanced**: Funds such as Great Wall GEM Index Enhancement and Fuguocheng GEM Enhanced Strategy ETF performed well [33]. - **Active Quantitative**: Funds like Changxin National Defense and Military Industry and Huian Quantitative Pioneer had high returns [34]. - **Market - Neutral**: Funds such as Zhongyou Absolute Return Strategy and Southern Absolute Return Strategy performed well [35].

Group 1 - The report indicates that the small-cap style outperformed last week, with the CSI 2000 index enhancement strategy achieving an excess return of 18.92% year-to-date [1] - The report tracks the performance of public index enhancement funds for major indices, including CSI 300, CSI 500, CSI 1000, and CSI 2000, as of July 11, 2025 [8] - The top three public funds for the CSI 300 index enhancement this year are: Anxin Quantitative Selected CSI 300 Index Enhancement A (003957.OF) with an excess return of 8.86%, Changxin CSI 300 Index Enhancement A (005137.OF) with 5.91%, and Changcheng Jiutai CSI 300 A (200002.OF) with 5.33% [9] Group 2 - For the CSI 500 index enhancement, the top three funds this year are: Zhongou CSI 500 Index Enhancement A (015453.OF) with 9.15%, Penghua CSI 500 Index Enhancement A (014344.OF) with 7.72%, and Baodao CSI 500 Index Enhancement A (006593.OF) with 7.46% [16] - The CSI 1000 index enhancement funds show the best performers as: Guojin CSI 1000 Index Enhancement A (017846.OF) with 13.65%, ICBC Credit Suisse CSI 1000 Index Enhancement A (016942.OF) with 13.62%, and Huitianfu CSI 1000 Index Enhancement A (017953.OF) with 11.89% [22] - The top three funds for the CSI 2000 index enhancement this year are: Huitianfu CSI 2000 Index Enhancement A (019318.OF) with 14.1%, Penghua CSI 2000 Index Enhancement A (017892.OF) with 13.04%, and Tianhong CSI 2000 Index Enhancement A (017547.OF) with 10.94% [27] Group 3 - The report highlights that the excess returns of various factors within the CSI indices are tracked, with significant factors identified for each index [7] - For the CSI 300, the best-performing factors last week were market capitalization, high-frequency minute data, and valuation [34] - In the CSI 500, the top factors were high-frequency minute data, growth, and market capitalization [42]

Quantitative Factors and Models Summary Quantitative Factors and Their Construction - **Factor Name: Trend** - **Construction Idea**: Measures market preference for trend-following strategies, using exponential weighted moving averages (EWMA) with different half-lives [12] - **Construction Process**: - **Trend_120**: $ EWMA(halflife=20) / EWMA(halflife=120) $ - **Trend_240**: $ EWMA(halflife=20) / EWMA(halflife=240) $ [12] - **Evaluation**: Demonstrates strong performance in short-term market rebounds, indicating increased preference for trend-following strategies [9] - **Factor Name: Certainty** - **Construction Idea**: Captures market confidence through institutional holdings and analyst coverage [12] - **Construction Process**: - **Instholder Pct**: Proportion of public fund holdings - **Cov**: Analyst coverage adjusted for market capitalization - **Listdays**: Number of days since listing [12] - **Evaluation**: Shows recovery in market confidence during the observed period [9] - **Factor Name: Value** - **Construction Idea**: Measures valuation attractiveness using metrics like book-to-price (BP) and earnings yield (EP) [12] - **Construction Process**: - **BP**: $ Net\ Assets / Market\ Capitalization $ - **EP**: $ Earnings / Market\ Capitalization $ [12] - **Evaluation**: Underperformed during the observed period, reflecting reduced market preference for value stocks [9] - **Factor Name: Volatility** - **Construction Idea**: Captures market risk perception through historical and idiosyncratic volatility measures [12] - **Construction Process**: - **Stdvol**: Standard deviation of daily returns over 243 days - **Ivff**: Idiosyncratic volatility from Fama-French 3-factor model over 243 days - **Range**: $ (High\ Price - Low\ Price) / Low\ Price $ over 243 days [12] - **Evaluation**: Declined significantly, indicating increased market aversion to high-volatility assets [10] - **Factor Name: Size** - **Construction Idea**: Measures the impact of company size on returns using logarithmic market capitalization [12] - **Construction Process**: $ Log(Market\ Capitalization) $ [12] - **Evaluation**: Continued to underperform, reflecting negative sentiment towards smaller companies [10] Factor Backtesting Results - **Trend Factor** - Weekly return: 1.49% [9] - Monthly return: -4.81% [11] - Year-to-date return: -10.89% [11] - Historical annualized return: 13.86% [11] - **Certainty Factor** - Weekly return: 1.35% [9] - Monthly return: -2.32% [11] - Year-to-date return: -3.44% [11] - Historical annualized return: 3.20% [11] - **Value Factor** - Weekly return: 0.35% [9] - Monthly return: -2.42% [11] - Year-to-date return: -10.53% [11] - Historical annualized return: 7.28% [11] - **Volatility Factor** - Weekly return: -0.51% [10] - Monthly return: 5.01% [11] - Year-to-date return: 16.90% [11] - Historical annualized return: -12.84% [11] - **Size Factor** - Weekly return: -4.61% [10] - Monthly return: -12.65% [11] - Year-to-date return: -22.68% [11] - Historical annualized return: -29.42% [11] Composite Factor Portfolio Construction - **Model Name: Maximized Factor Exposure (MFE) Portfolio** - **Construction Idea**: Optimizes portfolio to maximize exposure to a single factor while controlling for industry, style, and turnover constraints [52] - **Construction Process**: - Objective function: $ max\ f^{T}w $ - Constraints: - Style exposure: $ s_{l} \leq X(w-w_{b}) \leq s_{h} $ - Industry exposure: $ h_{l} \leq H(w-w_{b}) \leq h_{h} $ - Stock weight deviation: $ w_{l} \leq w-w_{b} \leq w_{h} $ - Turnover limit: $ \Sigma|w-w_{0}| \leq to_{h} $ [52][53] - **Evaluation**: Provides a robust framework for testing factor effectiveness under realistic portfolio constraints [53] MFE Portfolio Backtesting Results - **MFE Portfolio for Trend Factor** - Weekly return: 1.49% [9] - Monthly return: -4.81% [11] - Year-to-date return: -10.89% [11] - Historical annualized return: 13.86% [11]

Core Viewpoint - The article emphasizes the importance of risk management and strategic investment in mutual funds, highlighting that chasing performance and popular fund managers can lead to significant losses [2][4][8]. Group 1: Investment Experiences - Initial investment in a money market fund resulted in a loss of 18% within three months due to market conditions [2][4]. - The experience of investing in a consumer-themed fund managed by a popular fund manager led to a realization that performance rankings can be misleading and that risk alignment is crucial [3][5]. - A subsequent attempt at dollar-cost averaging into an index fund resulted in a 23% loss during a market downturn, illustrating the psychological challenges of maintaining investment strategies [5][6]. Group 2: Lessons Learned - The article outlines key lessons learned from various investment experiences, including the importance of continuing to invest during market declines and the need for a diversified approach to sector funds [6][7]. - The author stresses that industry funds can amplify risks and recommends using a satellite approach with dynamic profit-taking strategies [7][8]. - The experience with a "line-drawing" fund manager highlights the risks of relying on star managers, as changes in management can lead to significant performance declines [8]. Group 3: Investment Strategies - After five years of experience, the author developed a stable annualized return of 10-12% through disciplined investment strategies, including dollar-cost averaging and balanced asset allocation [9][10]. - A structured asset allocation framework is proposed, dividing investments into three categories: liquid assets (20%), stable investments (50%), and long-term growth (30%) [11]. - The article suggests implementing a systematic approach to investment, including regular portfolio reviews and adjustments based on market conditions [11][12]. Group 4: Guidelines for New Investors - New investors are advised to conduct thorough research before investing, including understanding their risk tolerance and differentiating between short-term and long-term funds [15]. - The article encourages continuous learning and adaptation in investment strategies to improve decision-making and outcomes [15][16]. - The author concludes that successful investing is a long-term endeavor that requires patience and a focus on compounding returns rather than seeking quick profits [14][15].