Hongde CSI 500 Index Enhanced Annual Report Analysis: Class C Shares Shrink by 86.65%, Underperforming the Benchmark by 1.41 Percentage Points in the First Year

Core Financial Indicators: Net Profit of 16.02 Million Yuan, End-of-Period Net Assets of 62.20 Million Yuan

Established on April 17, 2025, the Hongde CSI 500 Index Enhanced Fund’s first annual report shows that its Class A and Class C shares achieved a total net profit of 16,018,642.65 Yuan. Among them, the Class A fund’s profit for the current period was 7,232,574.75 Yuan, and Class C was 8,786,067.90 Yuan. As of the end of 2025, the fund’s total net assets were 62,199,327.78 Yuan, a decrease of approximately 70.7% from its initial 212,308,246.64 Yuan.

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Net Value Performance: Underperformed Benchmark Since Inception, Class C Excess Return -1.41%

During the reporting period, the net value growth rate of Class A shares was 31.42%, and Class C was 31.05%, both below the performance benchmark (CSI 500 Index return × 95% + Bank demand deposit interest rate (after tax) × 5%) of 32.46%, with excess returns of -1.04% and -1.41% respectively. Analyzing by phase, Class A outperformed the benchmark by 2.54% over the past three months and 1.13% over the past six months, showing some improvement in short-term enhancement effects.

Investment Strategy: Iterative Optimization of Quantitative Model to Control Tracking Error

The fund adopts an enhanced index quantitative investment strategy, building portfolios through iterative quantitative models, optimizing trades, and controlling risks. During the reporting period, the fund’s average daily tracking deviation absolute value did not exceed 0.5%, and the annual tracking error did not exceed 8.0%. The management stated that it will continue to optimize model adaptability to cope with different market styles.

Fee Analysis: Management Fee of 452,221.80 Yuan, Custody Fee of 84,791.54 Yuan

During the reporting period, the fund incurred a total management fee of 452,221.80 Yuan (annual fee rate 0.8%) and a custody fee of 84,791.54 Yuan (annual fee rate 0.15%). Among them, 160,213.99 Yuan from the management fee was for client maintenance fees paid to sales institutions, accounting for 35.43%. In terms of trading costs, stock trading fees amounted to 235,907.47 Yuan, accounting for 1.78% of stock investment income (13,261,962.89 Yuan).

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Stock Investment: Manufacturing Sector Accounts for Over 60%, Low Concentration of Top Ten Holdings

At the end of the period, the fair value of stock investments was 57,115,054.99 Yuan, accounting for 91.83% of the fund’s net asset value. In terms of industry distribution, the manufacturing sector (including index investment and active investment) accounted for a total of 61.77% (index investment 50.24% + active investment 11.53%), while the information transmission, software and information technology services sector accounted for 9.83%. Among the top ten holdings, Chifeng Gold (600988), Giant Network (002558), and Xiechuang Data (300857) ranked in the top three, collectively accounting for 2.91% of the fund’s net asset value, indicating low concentration.

Share Changes: Class C Shares Shrink by 86.65%, Institutions Hold Nearly 60% of Class A

During the reporting period, the fund shares experienced a significant shrinkage. Class A shares decreased from 44,517,696.67 shares at inception to 24,992,355.12 shares, a decline of 43.86%; Class C shares plummeted from 167,790,549.97 shares to 22,398,243.53 shares, a decline of 86.65%. In terms of holder structure, institutional investors held 59.54% of Class A, while individuals held 40.46%; all Class C shares were held by individuals. Fund management personnel held 124,894.54 shares of Class A, accounting for 0.5% of the total Class A shares.

Trading Commission: AVIC Securities and Hualin Securities Share 915,125.40 Yuan in Commission

The fund leases trading units from AVIC Securities, Hualin Securities, etc., with total stock trading commissions amounting to 91,512.54 Yuan. Among them, AVIC Securities had a transaction amount of 326 million Yuan, with a commission of 60,601.95 Yuan, accounting for 66.22%; Hualin Securities had a transaction amount of 166 million Yuan, with a commission of 30,910.59 Yuan, accounting for 33.78%.

Risk Warning and Outlook: Share Shrinkage May Intensify Liquidity Risks, Focus on Profit Improvement in 2026

Risk Warning: Since its inception, the fund’s shares have shrunk by 77.7%, especially with significant redemptions of Class C shares, which may lead to asset scale consistently falling below normal operational levels, facing liquidity risks. Additionally, underperforming the benchmark in the first year indicates the effectiveness of the quantitative enhancement strategy remains to be tested, requiring attention to the model iteration effects.

Manager’s Outlook: In 2026, the A-share market is expected to continue a volatile upward trend, with the driving logic shifting from liquidity to profit improvement, and high-growth sectors remain the main focus for allocation. The manager will continue to optimize the quantitative model to enhance adaptability under different market styles.

Supervision Recommendations: Investors need to pay attention to the impact of changes in fund size on operations, as well as the sustainability of excess returns from quantitative strategies in volatile markets. For Class A shares held mostly by institutions, one should be wary of significant redemptions by a single institution causing net value fluctuations.

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