2026 年 01 月 10 日 FOF 基金：2025 年度策略回顾与 2026 年度策略展望 证 券 研 究 相关研究 证券分析师 白皓天 A0230525070001 baiht@swsresearch.com 蒋辛 A0230521080002 jiangxin@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 白皓天 A0230525070001 baiht@swsresearch.com 目录 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 权 益 量 化 研 究 量 化 策 略 报 告 - ⚫ 规模维度：2025 年规模逆势回升，累计规模已超过 2021 年末水平。1）从数量来看， 2025 年 FOF 新发产品数量有明显提升，2025 年内共计新发 FOF93 只，对比去年 38 只 的新发数量明显上升；2）FOF 总规模逆势回升，2025 年内 FOF 规模累计 2383.76 亿 元，相比 2024 年末上升 1052.26 亿元；其中，年内规模增量主要源于新发规模，新发 规 ...

Group 1: Fund Scale and Performance - The total net asset value of public funds reached 35.41 trillion yuan by the end of Q3 2025, an increase of 1.69 trillion yuan from the end of Q2 2025, with a quarterly growth of 2.65% in the A-share market [3][16]. - Non-monetary market fund scale reached 21.06 trillion yuan, up 1.56 trillion yuan from the previous quarter, representing a quarter-on-quarter increase of 8.02% and a year-on-year increase of 13.48% [3][16]. - Passive index bond funds led the growth with a scale of 1.82 trillion yuan, showing a quarter-on-quarter increase of 19.13% and a year-on-year increase of 80.38% [3][24]. Group 2: Active Equity Funds - As of the end of Q3 2025, there were 4,268 active equity funds with a total scale of 3.94 trillion yuan, reflecting a quarter-on-quarter increase of 1.06% and a year-on-year increase of 4.80% [4][25]. - The average holding ratio of active equity funds was 88.91%, with the top 10 holdings accounting for an average of 39.90% of the fund's net value, indicating a slight increase in concentration [4][27]. - The top ten fund companies accounted for 44.7% of the total active equity fund market, highlighting a significant concentration effect among leading firms [4][28]. Group 3: Fixed Income Plus Funds - By the end of Q3 2025, there were 1,631 fixed income plus funds with a total scale of 2.11 trillion yuan, with a notable increase in the number of funds in the medium and low elasticity categories [5][40]. - The market saw a significant increase in the allocation to electronic, power equipment and new energy, and non-ferrous metals sectors, with respective increases of 4.6%, 3.2%, and 3.0% in heavy positions [5][69]. - The top three fund companies managing fixed income plus funds were E Fund, Invesco Great Wall, and Fortune Fund, with E Fund managing over 237.2 billion yuan [5][46]. Group 4: FOF, ETF, QDII, and Quantitative Funds - As of Q3 2025, there were 518 FOF funds with a total scale of 1934.89 billion yuan, reflecting a quarter-on-quarter increase of 16.8% [6]. - The ETF market reached a total scale of 54,770.41 billion yuan, up 32.08% from Q2 2025 [6]. - The QDII market had 266 funds with a total scale of 740.3 billion yuan, indicating a quarter-on-quarter increase of 22.25% [6][24].

Core Viewpoint - The article highlights the trend of diversification and refinement in the performance benchmarks of multi-asset investment products, particularly "Fixed Income +" and Fund of Funds (FOF), indicating a shift towards more sophisticated investment strategies in the industry [2][9]. Summary by Sections Performance Benchmark Composition - Recent FOF and "Fixed Income +" products have performance benchmarks composed of 4 to 6 asset classes, including U.S. stocks, Hong Kong stocks, commodities, and deposits, reflecting a more nuanced approach compared to previous simpler stock-bond combinations [4][5]. - Examples of performance benchmarks include: - Morgan's "Yingyuan Stable Three-Month Holding" benchmark: 80% of the yield from the China Bond Pure Bond Index, 5% from the China Equity Fund Index, 5% from the MSCI World Index, 5% from Shanghai Gold Exchange AU99.99, and 5% from after-tax demand deposit rates [4]. - "Yongying Yuan Stable Multi-Asset 90-Day Holding" benchmark: 70% from the China Bond Comprehensive Index, 10% from the CSI 300 Index, 5% from the S&P 500 Index, 5% from the Hang Seng Index, 5% from Shanghai Gold Exchange AU99.99, and 5% from after-tax demand deposit rates [4]. Reasons for Refinement - The refinement of performance benchmarks aims to highlight the "stable multi-asset" positioning of products, optimizing risk-return structures through cross-market and cross-asset diversification [5]. - Clear asset composition enhances product transparency, helping investors understand risk sources and return drivers, and signals global allocation characteristics and inflation-hedging attributes [5][6]. Industry Trends - The trend towards refined performance benchmarks reflects a broader shift in public fund multi-asset investment strategies from traditional equity and fixed income configurations to more diversified asset allocations, including commodities, overseas assets, and REITs [6][9]. - The recent "Action Plan for Promoting High-Quality Development of Public Funds" emphasizes the need for stricter performance benchmark constraints to better regulate fund managers' investment behaviors [5]. Implications for Investors and Fund Managers - Refined benchmarks serve as both a performance measurement tool and a guide for investment management, clarifying investment boundaries and enhancing investment discipline [8]. - For investors, detailed benchmarks facilitate better assessment of fund strategies and alignment with personal investment goals and risk tolerance [8][9]. - For fund managers, refined benchmarks support improved portfolio management and decision-making, enhancing transparency and investor confidence in fund products [8].

- The total number of quantitative funds in the market reached 604 by the end of Q2 2025, with an increase of 53 funds compared to Q1 2025. The total fund size amounted to 2854.39 billion yuan, marking a quarter-on-quarter growth of 144.46 billion yuan, or 5.33%[159] - Quantitative funds are categorized into active funds, index-enhanced funds, and hedging funds. Active funds accounted for 894.30 billion yuan, with a quarter-on-quarter growth rate of 8.48%. Index-enhanced funds reached 1908.69 billion yuan, growing by 4.29% quarter-on-quarter. Hedging funds totaled 51.39 billion yuan, showing a decline of 7.15% quarter-on-quarter[160][159] - Among active quantitative funds, the top fund by size was "招商量化精选A" (49.01 billion yuan), followed by "国金量化多因子" (43.40 billion yuan) and "信诚多策略" (34.41 billion yuan). The top 10 funds collectively accounted for 56.05% of the market[164][165] - Active quantitative funds tracking broad-based indices showed strong performance in Q2 2025. For example, "诺安多策略" achieved an excess return of 19.58% and "汇安多策略A" delivered an excess return of 14.67%[166] - Industry-themed active quantitative funds also performed well, with "东吴智慧医疗量化策略A" achieving an excess return of 20.77% and "浙商大数据智选消费A" delivering an excess return of 14.57%[169] - Smart-beta active quantitative funds tracking indices like 中证红利 and 中证国企红利 showed notable excess returns, with "富国中证红利指数增强A" achieving an excess return of 3.94%[179] - Index-enhanced funds reached a total size of 1908.69 billion yuan by the end of Q2 2025. The largest fund was "易方达上证50增强A" with a size of 183.15 billion yuan[172][175] - Among index-enhanced funds, broad-based funds tracking indices like 中证A500 and 国证2000 showed strong excess returns, with "银华中证全指医药卫生增强" achieving an excess return of 4.04%[176] - Hedging quantitative funds totaled 51.39 billion yuan by the end of Q2 2025. The largest fund was "汇添富绝对收益策略A" with a size of 28.00 billion yuan[180][181] - Absolute return rankings for hedging funds in Q2 2025 showed "中邮绝对收益策略" leading with a return of 2.70%, followed by "富国量化对冲策略三个月A" with a return of 2.65%[184] - In Q2 2025, 58 new quantitative funds were established, including 50 index-enhanced funds. The total issuance size was 241.15 billion yuan, marking an increase of 57.95 billion yuan compared to the previous quarter[185]