Group 1 - The core viewpoint of the article is the launch of the Galaxy CSI 800 Index Enhanced Securities Investment Fund, which aims to uncover the deep value of core assets in the A-share market through a quantitative enhancement strategy [1] - The CSI 800 Index, established on January 15, 2007, is composed of stocks from the CSI 300 Index and the CSI 500 Index, reflecting a strong collaboration between these indices [1] - The CSI 800 Index has seen a cumulative increase of 20.5% from January to October this year, indicating a positive trend in the capital market [1] Group 2 - Unlike passive index funds, the Galaxy CSI 800 Index Enhanced Fund focuses on creating long-term excess returns while closely tracking the benchmark index [1] - The proposed fund manager, Luo Bo, has extensive experience in quantitative investment, which is expected to enhance the fund's performance [1] - A similar product managed by Luo Bo, the Galaxy CSI 300 Index Enhanced A, achieved a net value growth rate of 21.04% over the past year, outperforming its benchmark of 14.79% [1]

Core Insights - The rapid development of passive investment has led to the rise of index-enhanced funds, which combine index investment features with enhanced strategies, aiming for long-term excess returns [1] - As of September 30, the average return of passive index funds was 42.94%, while index-enhanced funds achieved an average return of 44.58% [1] - The number of newly established index-enhanced funds has more than doubled compared to the entire year of 2024 [1] Group 1 - The appeal of index-enhanced funds lies in their ability to provide both beta and alpha returns by leveraging quantitative methods on representative indices [1] - The Galaxy CSI 300 Index Enhanced A fund, managed by Luo Bo, has outperformed the CSI 300 Index with returns of 75.84%, 31.87%, and 21.65% since inception, over five years, and one year respectively, with excess returns of 53.8, 30.71, and 6.15 percentage points [2] - The Galaxy CSI A500 Index Enhanced A fund has achieved a net value growth of 25.80% since inception, with an excess return of 5.71 percentage points over the CSI A500 Index [2] Group 2 - The upcoming Galaxy CSI 800 Index Enhanced Fund will track the CSI 800 Index, which represents 69% of the total market capitalization of A-shares and is expected to contribute approximately 95% of A-share net profits in 2024 [3] - The fund will utilize both linear and nonlinear models to select effective factors from the index constituents, ensuring that at least 80% of its non-cash assets are invested in the index and its alternative constituents [3] - The management strategy emphasizes maintaining close alignment with the CSI 800 Index while striving for cumulative excess returns [3]

Quantitative Models and Construction Methods 1. Model Name: Galaxy CSI 300 Enhanced Index Fund (007275.OF) - **Model Construction Idea**: The fund aims to track the CSI 300 Index effectively while employing quantitative methods for active portfolio management and risk control to achieve performance exceeding the benchmark index and generate long-term asset appreciation [2][38][60] - **Model Construction Process**: - The fund uses multi-factor stock selection, index replication, and event-driven strategies to enhance returns while optimizing the portfolio and strictly controlling risks [60] - The fund aims to control the absolute value of the daily tracking deviation between the net value growth rate and the performance benchmark within 0.5% and the annual tracking error within 7.75% [38] - **Model Evaluation**: The model demonstrates strong performance in generating excess returns, maintaining low tracking error, and effectively controlling risks [38][42][44] --- Model Backtesting Results 1. Galaxy CSI 300 Enhanced Index Fund - **Annualized Excess Return**: 6.49% since inception [39][42] - **Annual Excess Returns (2020-2025)**: 13.24% (2020), 11.06% (2021), 4.17% (2022), 2.83% (2023), 4.49% (2024), 3.27% (2025 YTD) [43] - **Maximum Drawdown (2020-2025)**: -15.78% (2020), -12.43% (2021), -24.09% (2022), -17.98% (2023), -10.89% (2024), -10.00% (2025 YTD) [44] - **Sharpe Ratio (2020-2025)**: 1.50 (2020), 0.33 (2021), -1.27 (2022), -0.82 (2023), 0.94 (2024), 1.60 (2025 YTD) [44] - **Information Ratio (2020-2025)**: 4.01 (2020), 3.50 (2021), 1.72 (2022), 1.25 (2023), 1.48 (2024), 3.75 (2025 YTD) [44] - **Tracking Error**: Annual tracking error averaged 2.68% from 2020, with a maximum of 3.38%, meeting the target of staying below 7.75% [45] - **2025 YTD Information Ratio**: 3.98, ranking 5th among CSI 300 Enhanced Index Funds [45][47] --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Factor Stock Selection - **Factor Construction Idea**: The fund employs a multi-factor model to identify stocks with high potential for excess returns based on various quantitative metrics [60] - **Factor Construction Process**: - Factors include valuation, momentum, quality, and risk control metrics - Stocks are selected based on their scores across these factors, aiming to optimize the portfolio for enhanced returns while maintaining alignment with the CSI 300 Index [60] - **Factor Evaluation**: The multi-factor approach has been effective in generating consistent excess returns and controlling risks [60] --- Factor Backtesting Results 1. Multi-Factor Stock Selection - **Excess Returns**: Contributed to the fund's annualized excess return of 6.49% since inception [42][43] - **Risk Control**: Supported low tracking error (average 2.68% annually) and controlled maximum drawdowns [44][45]