证券研究报告 金工 量化指增基金超额呈现边际修复 2026 年 1 月 24 日│中国内地 量化投资周报 本月以来估值因子偏弱，成长因子相对走强 本月以来估值因子整体偏弱，月初的回撤影响较大；波动率、换手率等防御 性量价因子同样表现不佳，仅在沪深 300 成分股票池取得正收益。成长、 盈利、小市值及反转因子相对走强，在中证 500 以外的成分股票池均呈现 正收益。预期类因子中，超预期因子在沪深 300 以外的股票池呈现正收益； 预期估值因子在沪深 300 和全 A 股股票池取得正收益，在其余股票池回撤； 预期增速因子则呈现普遍回撤。 本月以来小市值因子多空表现靠前，量价因子承压 从平均多空收益来看，本月以来小市值因子表现靠前，平均取得较明显的正 收益，但主要源于在沪深 300 成分股票池中的收益优势；预期增速和超预 期因子紧随其后；成长因子同样呈现正向的平均多空收益。反转、波动率和 换手率等量价因子整体承压，平均呈现较大回撤。 本月以来指增超额呈现边际修复，300 指增超额领先 我们重点跟踪以沪深 300、中证 500、中证 1000 和中证 A500 指数为基准 的量化指数增强基金。基于公募指增基金的复权净 ...

Core Viewpoint - The article emphasizes the rapid growth and potential of index-enhanced funds in the public fund industry, driven by regulatory support and technological advancements, particularly in AI, which enhances the ability to achieve stable excess returns [1][2][3]. Industry Overview - The public fund industry is undergoing transformation due to ongoing high-quality development, with new regulations impacting the landscape of bond funds and active equity funds [1]. - As of November, 160 new index-enhanced funds were established in 2023, with a total issuance scale nearing 900 billion [2]. - The total scale of index-enhanced funds reached 2,622 billion by the end of September, marking a 23.34% increase from the previous year [2]. Technological and Regulatory Support - The growth of index-enhanced funds is attributed to both market factors and dual support from technology and regulation, with AI enabling better performance and regulatory emphasis on performance benchmarks [2]. - Index-enhanced funds are characterized by strict stock composition ratios and tracking error limits, aligning well with regulatory policies [2]. Company Performance - Tianhong Fund has significantly expanded its index-enhanced product line, with a 44.85% increase in share and a 70.21% increase in scale compared to the previous year [3]. - Over 90% of investors holding Tianhong's index-enhanced products for more than six months have outperformed the corresponding performance benchmarks [3]. Product Matrix - Tianhong Fund has established a comprehensive product matrix, including both broad-based and industry-specific index-enhanced funds, covering major indices and sectors [4][8]. - The company has launched two product lines: Classic Index Enhancement (pursuing long-term excess returns) and Stable Index Enhancement (focusing on high win rates) [8]. Performance Metrics - Tianhong's index-enhanced funds have shown consistent excess returns, with the Tianhong CSI 1000 Index Enhanced Fund achieving a 33.80% excess return over its benchmark in the past three years [11][12]. - The performance of Tianhong's industry-specific index-enhanced funds has also exceeded that of average active funds in the same sectors [13]. AI Integration - Tianhong's quantitative team has integrated AI technologies into their investment processes, enhancing the ability to identify and utilize excess return factors [18][19]. - The use of AI has led to the development of a comprehensive factor network, with over 70% of excess return factors derived from AI learning [18]. Investor Engagement - As of June, Tianhong's index-enhanced funds had 910,000 users, ranking fifth in the industry, with over 96% of the holdings being from individual investors [26]. - The average holding period for Tianhong's index-enhanced products exceeds seven months, significantly longer than the typical one-month holding period for standard index funds [26].

Core Viewpoint - The article emphasizes the rapid growth and potential of index-enhanced funds in the public fund industry, driven by regulatory support and technological advancements, particularly in AI, which enhances the ability to achieve stable excess returns [1][2]. Industry Overview - The public fund industry is undergoing transformation due to ongoing high-quality development, with new regulations impacting the landscape of bond funds and active equity funds [1]. - As of November, 160 new index-enhanced funds have been established in 2023, with a total issuance scale nearing 90 billion, reflecting a 23.34% increase compared to the end of the previous year [2]. Company Performance - Tianhong Fund has significantly expanded its index-enhanced business, with a 44.85% increase in market share and a 70.21% increase in scale compared to the end of last year [3]. - Over 90% of investors holding Tianhong's index-enhanced products for more than six months have outperformed the corresponding fund performance benchmarks [3][12]. Product Line and Strategy - Tianhong Fund has developed a comprehensive product line in index enhancement, including both broad-based and industry-specific funds, with a total of 18 quant index-enhanced funds managing over 12 billion [3][5]. - The company has launched two product lines: one focusing on long-term excess returns and the other on stable excess returns with a higher success rate [5][6]. Performance Metrics - Tianhong's index-enhanced products have shown consistent excess returns, with the Tianhong CSI 1000 Index Enhanced Fund achieving a 33.80% excess return compared to its benchmark over three years [8][11]. - The performance of Tianhong's broad-based index-enhanced products has been notably consistent, attributed to a unified quantitative management framework [10]. Technological Integration - Tianhong Fund has integrated AI technology into its quantitative investment strategies, with over 70% of excess factors derived from AI learning [14][19]. - The company employs a diverse and systematic approach to its quantitative research, utilizing advanced algorithms and a comprehensive factor network to enhance investment decision-making [15][20]. Market Position - Tianhong Fund ranks fifth in the industry for the number of users in index-enhanced funds, with over 910,000 users as of June, and maintains a leading position in terms of individual investor holdings [21].

Core Viewpoint - The continuous promotion of high-quality development in public funds is reshaping the industry, with new regulations indicating profound changes in the product structure and management models of actively managed equity funds [1][2]. Group 1: Industry Trends - The number of index-enhanced funds has accelerated in 2023, with 160 new funds established by the end of November, totaling nearly 90 billion yuan in issuance [2]. - The total scale of index-enhanced funds reached 262.2 billion yuan by the end of September, marking a 23.34% increase compared to the end of the previous year, outpacing the growth rate of actively managed equity funds [2]. - The rapid development of index-enhanced funds is supported by both market factors and favorable regulatory conditions, emphasizing the importance of performance benchmarks [2]. Group 2: Company Performance - Tianhong Fund has significantly expanded its index-enhanced business, with a 44.85% increase in market share and a 70.21% increase in scale compared to the end of the previous year [3]. - Over 90% of investors holding Tianhong's index-enhanced products for more than six months have outperformed the corresponding fund performance benchmarks [3][16]. - By the end of the third quarter of 2025, Tianhong Fund's quant index-enhanced funds reached 18, with a total management scale exceeding 12 billion yuan [5]. Group 3: Product Offerings - Tianhong Fund has established a comprehensive product line in the index-enhanced sector, covering major indices and offering both classic and quantitative strategies [8][9]. - The company has launched two product lines: the classic index-enhanced line focusing on long-term excess returns and a second line targeting high win rates with stable excess returns [8]. - Tianhong's industry-specific index-enhanced products focus on key sectors such as technology, consumption, medicine, high-end manufacturing, and new energy, providing tools for capturing structural excess opportunities [9]. Group 4: Performance Metrics - Tianhong's index-enhanced products have demonstrated consistent excess returns, with the Tianhong CSI 1000 Index Enhanced Fund achieving a 33.80% excess return compared to its benchmark over three years [10][11]. - The performance of Tianhong's index-enhanced funds has shown high consistency across different market styles and capitalizations, indicating a robust systematic investment capability [13]. - The company has successfully replicated its systematic investment approach in industry-specific index-enhanced products, with excess returns ranging from 5% to 29% since inception [13]. Group 5: Technological Integration - Tianhong Fund has integrated AI technology into its quantitative investment processes, enhancing its ability to capture excess returns through advanced data analysis and machine learning [18][19]. - The quant team has developed a comprehensive factor network and employs various AI models to improve investment decision-making and risk management [19][22]. - The use of AI in quantitative index-enhanced products is seen as a potential competitive advantage in a market increasingly focused on passive investment strategies [24].

Core Viewpoint - The banking sector is gearing up for the "opening red" campaign for 2026, with a focus on equity and "fixed income+" products as key offerings [2][5][8]. Group 1: Preparation for "Opening Red" - Major banks have begun preparations for the "opening red" campaign, with some starting as early as November [5][6]. - The intensity of the "opening red" efforts varies among banks, with some maintaining traditional approaches while others are shifting focus to continuous marketing [2][5]. - The success of the "opening red" campaign is crucial, as it significantly impacts the overall business performance for the year [5][6]. Group 2: Market Trends and Fund Issuance - The A-share market has shown signs of recovery, leading to a surge in fund issuance, with over 1 trillion units of new funds issued this year, including 527.285 billion units of equity funds, a 93.80% increase year-on-year [4]. - The recovery in the market has boosted the morale of banks as they prepare for the "opening red" campaign [5][6]. Group 3: Product Focus and Risk Preferences - Banks are increasingly focusing on "fixed income+", index tools, quantitative strategies, and balanced equity funds for their product offerings [8][9]. - There is a noticeable shift in customer risk preferences, with a growing demand for products that offer higher returns, such as "fixed income+" and equity funds, reflecting a more mature investment mindset [9][10]. - The preference for stable, low-volatility products remains strong, but there is also a trend towards higher-risk "fixed income+" products to meet the demands of clients seeking better returns [9][10]. Group 4: Differentiation Among Banks - There is a clear differentiation in the "opening red" strategies among banks, with larger banks having stronger sales capabilities and higher expectations for fund managers and product strategies [12][14]. - Smaller banks are more cautious, focusing on stable income products due to past challenges with public fund sales [12][14]. Group 5: Challenges and Innovations in Bank-Fund Cooperation - The core challenges in bank-fund cooperation include shifting investor trust from brand reliance to performance sensitivity, and competition from younger investors favoring e-commerce platforms [14]. - Fund companies are adapting by offering a diverse range of products tailored to different risk preferences and exploring innovative sales models [13][14].

Group 1 - The core viewpoint emphasizes the synergy between the cultivation of "new productive forces" in China's economy and the deepening reform of the capital market, highlighting that investor education serves as both a "firewall" for risk prevention and a "promoter" for high-quality development in the capital market [1] - The China Fund News, in collaboration with several major fund companies and securities firms, is hosting the 5·15 Investor Education Festival, themed "Meet Investment, Meet a Better Self," featuring diverse video programs and community activities aimed at promoting value and rational investment [1] - The festival will be promoted across multiple media platforms, reaching over 12 million users of China Fund News, aiming to closely link financial knowledge dissemination with the daily lives of investors [1] Group 2 - The 5·15 Investor Education Live Festival was launched on May 15, inviting senior fund managers and asset allocation experts to discuss investment hot topics and investor growth stories [3] - The live festival covers various themes, including artificial intelligence, innovative pharmaceuticals, and index investment, catering to different age groups and investment profiles [4] - A special program titled "Fund Investors Are Here" will feature discussions between institutional investors and retail investors, addressing challenges and sharing insights to help retail investors make more informed and rational investment decisions [5] Group 3 - The demand for investment knowledge has surged with the awakening of national financial literacy, leading to the creation of a short video series titled "What Financial Advisors Won't Tell You," which aims to debunk market rumors and provide unique insights [7] - The 5·15 Investor Education Training Camp will be held for three days in May, designed to help retail investors master investment knowledge and establish a rational investment mindset [9]