Group 1 - The report highlights that in 2025, the public quantitative strategies for the CSI 300, CSI 500, and CSI 1000 indices showed varying levels of excess returns, with the CSI 1000 enhanced products achieving the highest average excess return of 9.3% for the year [3][21] - The public quantitative CSI 300 enhanced products recorded an average excess return of 2.5% for 2025, with a quarterly excess return of 1.6% in Q4 [3][13] - The public quantitative CSI 500 enhanced products had an average excess return of 2.1% for 2025, with a quarterly excess return of 1.0% in Q4 [3][16] Group 2 - The report indicates that public quantitative dividend strategies achieved an average excess return of 4.2% in 2025, with top-performing products including Hai Fu Tong Dividend Preferred A and Guang Fa High Dividend Preferred A [4][29] - Public quantitative fixed income plus products had an average cumulative return of 4.9% in 2025, with leading products such as Fu Guo Xing Li Enhanced A and Fu Guo Feng Li Enhanced A [4][33] Group 3 - Private quantitative strategies for the CSI 300, CSI 500, and CSI 1000 indices outperformed public strategies, with the CSI 1000 enhanced products achieving an excess return of 15.1% for 2025 [5][40] - The private quantitative CSI 300 enhanced products recorded an excess return of 8.6% for the year, significantly higher than the public counterpart [5][37] - The private quantitative CSI 500 enhanced products achieved an excess return of 10.4% for 2025, again outperforming public strategies [5][38]

Group 1 - The core point of the article is that Siter Technology (300608.SZ) reported its Q3 2025 results, highlighting the current institutional ownership and changes in shareholding patterns [1] - As of October 27, 2025, five institutional investors hold a total of 91.1653 million shares of Siter Technology, representing 27.52% of the total share capital, which is a decrease of 1.00 percentage points compared to the previous quarter [1] - The institutional investors include Huachuang Yuxin Digital Technology Co., Ltd., Yunxin Data Network (Shanghai) Investment Co., Ltd., and several Beijing-based partnerships [1] Group 2 - In terms of public funds, 32 public funds were not disclosed in this period compared to the previous quarter, including several index-enhanced funds and ETFs [1] - Foreign investment sentiment shows that BARCLAYS BANK PLC is the foreign institution that has not disclosed its holdings in this period compared to the last quarter [1]

Core Viewpoint - Jiangnan Yifan (301023.SZ) reported its Q3 2025 results, highlighting an increase in institutional ownership and the involvement of foreign investors [1] Institutional Ownership - As of October 27, 2025, two institutional investors disclosed holdings in Jiangnan Yifan A-shares, totaling 427,400 shares, which represents 0.55% of the total share capital [1] - The institutional ownership increased by 0.46 percentage points compared to the previous quarter [1] Public Fund Involvement - In this reporting period, 12 public funds were disclosed as holding Jiangnan Yifan shares, including notable funds such as Changcheng Growth Enterprise Board Index Enhanced A and Huaxia CSI 2000 ETF [1] Social Security Fund - One new social security fund disclosed its holdings in Jiangnan Yifan, specifically the招商基金管理有限公司-社保基金1903组合 [1] Foreign Investment - One new foreign institution, BARCLAYS BANK PLC, disclosed its holdings in Jiangnan Yifan during this period [1]

Core Viewpoint - Fushi Holdings (300071.SZ) reported its Q3 2025 results, indicating a slight decrease in institutional ownership compared to the previous quarter [1] Institutional Ownership - As of October 26, 2025, five institutional investors disclosed holding a total of 139 million shares of Fushi Holdings, representing 14.37% of the company's total share capital [1] - The institutional investors include Hangzhou Fushi Asset Management Co., Ltd., Beijing Wento Jiuzhou Dingsheng Technology Development Co., Ltd., Beijing Huayi Jiasin Integrated Marketing Consulting Group Co., Ltd. (bankruptcy asset disposal account), Beijing Fushi Chuxi Management Consulting Partnership (Limited Partnership), and Dongfang Securities Co., Ltd. [1] - The total institutional ownership decreased by 0.08 percentage points compared to the previous quarter [1] Public Fund Information - In this period, a total of 10 public funds were not disclosed compared to the previous quarter, including Zhongzheng 2000, Great Wall Zhongzheng 500 Index Enhanced A, Southern Zhongzheng 2000 ETF, Huaxia Zhongzheng 2000 ETF, and Huitianfu Zhongzheng 2000 ETF [1]

Quantitative Factors and Construction Methods Factor Name: Liquidity - **Construction Idea**: Measures the market's preference for high-liquidity assets, reflecting the demand for stocks with higher turnover rates [9][14] - **Construction Process**: - **TO**: Average logarithmic turnover rate over the past 243 trading days - **Liquidity Beta**: Regression of individual stock turnover rates against market turnover rates over the past 243 trading days [14] - **Evaluation**: Demonstrated the highest positive return among style factors in the recent week, indicating a significant increase in demand for high-liquidity assets [9] - **Performance**: Weekly return of 5.44%, monthly return of 13.08%, and annualized return of 33.79% over the past year [11] Factor Name: Volatility - **Construction Idea**: Captures the market's preference for high-volatility stocks, reflecting risk appetite [9][14] - **Construction Process**: - **Stdvol**: Standard deviation of daily returns over the past 243 trading days - **Ivff**: Fama-French 3-factor idiosyncratic volatility over the past 243 trading days - **Range**: Difference between the highest and lowest prices over the past 243 trading days - **MaxRet_6**: Average return of the six highest daily returns over the past 243 trading days - **MinRet_6**: Average return of the six lowest daily returns over the past 243 trading days [14] - **Evaluation**: Showed a significant improvement in weekly performance, reflecting increased market risk appetite [9] - **Performance**: Weekly return of 5.03%, monthly return of 12.37%, and annualized return of 25.55% over the past year [11] Factor Name: Beta - **Construction Idea**: Represents the market's preference for high-beta stocks, indicating sensitivity to market movements [9][14] - **Construction Process**: Bayesian shrinkage of market beta [14] - **Evaluation**: Significant weekly performance improvement, indicating a strong preference for high-beta stocks [9] - **Performance**: Weekly return of 4.28%, monthly return of 12.51%, and annualized return of 33.02% over the past year [11] Factor Name: Growth - **Construction Idea**: Measures the market's preference for growth-oriented stocks, focusing on financial growth metrics [9][14] - **Construction Process**: - **Delta ROE**: Average change in ROE over the past three years - **Sales Growth**: 3-year compound growth rate of TTM sales revenue - **Na Growth**: 3-year compound growth rate of TTM net assets [14] - **Evaluation**: Improved weekly performance, reflecting increased market interest in growth stocks [9] - **Performance**: Weekly return of 1.65%, monthly return of 0.77%, and annualized return of 1.32% over the past year [11] Factor Name: Certainty - **Construction Idea**: Reflects the market's preference for stocks with higher predictability and stability [10][14] - **Construction Process**: - **Instholder Pct**: Proportion of holdings by mutual funds - **Cov**: Analyst coverage adjusted for market capitalization - **Listdays**: Number of days since the stock's listing [14] - **Evaluation**: Experienced a significant decline in weekly performance, indicating reduced confidence in certainty-based strategies [10] - **Performance**: Weekly return of -3.99%, monthly return of -9.10%, and annualized return of -17.07% over the past year [11] Factor Name: Value - **Construction Idea**: Measures the market's preference for undervalued stocks based on valuation metrics [10][14] - **Construction Process**: - **BP**: Book-to-price ratio - **EP**: Earnings yield [14] - **Evaluation**: Significant decline in weekly performance, reflecting reduced market interest in value-based strategies [10] - **Performance**: Weekly return of -4.75%, monthly return of -8.10%, and annualized return of -16.96% over the past year [11] Factor Name: Size - **Construction Idea**: Captures the market's preference for small-cap stocks [10][14] - **Construction Process**: Logarithm of total market capitalization [14] - **Evaluation**: Experienced the largest decline among style factors, indicating reduced market interest in small-cap stocks [10] - **Performance**: Weekly return of -5.96%, monthly return of -12.84%, and annualized return of -54.81% over the past year [11] --- Factor Backtesting Results Weekly Performance - **Liquidity**: 5.44% - **Volatility**: 5.03% - **Beta**: 4.28% - **Growth**: 1.65% - **Certainty**: -3.99% - **Value**: -4.75% - **Size**: -5.96% [11] Monthly Performance - **Liquidity**: 13.08% - **Volatility**: 12.37% - **Beta**: 12.51% - **Growth**: 0.77% - **Certainty**: -9.10% - **Value**: -8.10% - **Size**: -12.84% [11] Annualized Performance (Past Year) - **Liquidity**: 33.79% - **Volatility**: 25.55% - **Beta**: 33.02% - **Growth**: 1.32% - **Certainty**: -17.07% - **Value**: -16.96% - **Size**: -54.81% [11]