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]

金融工程 | 动态跟踪 报告发布日期 2025 年 03 月 16 日 杨怡玲 yangyiling@orientsec.com.cn 执业证书编号：S0860523040002 研究结论 风格表现监控 ——东方因子周报 ⚫ 以沪深 300 指数为选股空间，最近一周，单季 ROE、一个月反转等因子表现较好， 而非流动性冲击、三个月换手等因子表现较差。最近一月，一个月反转、单季 ROA 等因子表现较好，而 BP、非流动性冲击等因子表现较差。 ⚫ 以中证 500 指数为选股空间，最近一周，预期 EPTTM、一个月反转等因子表现较 好，而单季营收同比增速、分析师认可度等因子表现较差。最近一月，高管薪酬、 一年动量等因子表现较好，而六个月 UMR、三个月换手等因子表现较差。 ⚫ 以中证 800 指数为选股空间，最近一周，一个月反转、预期 EPTTM 等因子表现较 好，而非流动性冲击、一个月换手等因子表现较差。最近一月，一个月反转、 PB_ROE_排序差等因子表现较好，而 BP、六个月 UMR 等因子表现较差。 ⚫ 以中证 1000 指数为选股空间，最近一周，一个月反转、预期 EPTTM 等因子表现较 好，而标准化预期 ...

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].