CICC CSI 500 Index Enhanced Annual Report Analysis: Class A Net Asset Value Increased by 36.88%, Net Assets Surged by 70.5%, Management Fees Grew by 10.7% Simultaneously

Key Financial Indicators: Net Assets Break Through 1.1 Billion, Net Profit Jumps by 268.5%

In 2025, the CICC CSI 500 Index Enhanced Fund (hereinafter referred to as the “Fund”) achieved significant growth, with both net assets and net profit reaching record highs. As of the end of 2025, the Fund’s total net assets were 1,107,245,338.79 yuan, up 70.5% from 649,274,591.91 yuan at the end of 2024; net profit for the period was 246,479,471.94 yuan, up 268.5% from 66,893,785.05 yuan in 2024.

In terms of share classes, Class A performed outstandingly. Net assets at period end were 854,013,288.42 yuan, up 90.0% from 449,613,940.72 yuan in 2024; for Class C, net assets were 248,670,620.52 yuan, up 24.5% from 199,660,651.19 yuan in 2024; and Class B is a newly added category, established in August 2025, with net assets at period end of 4,561,429.85 yuan.

Net Value Performance: Class A/C’s Excess Returns Are Prominent; Class B Outperforms the Benchmark in Its First Year

In 2025, all share classes of the Fund delivered positive returns, and Class A/C significantly outperformed the performance benchmark. Class A’s net value growth rate was 36.88%, exceeding the benchmark (28.81%) by 8.07 percentage points; Class C was 36.33%, with excess return of 7.52 percentage points; Class B, since its establishment in August, saw net value growth of 19.94%, exceeding the benchmark (19.11%) by 0.83 percentage points.

For long-term performance, since inception, Class A’s cumulative net value growth rate was 128.77%, and Class C’s was 107.20%, both significantly outperforming the benchmark for the same period (16.35%).

Investment Strategy: Quantitative Enhancement Captures Opportunities in Small and Mid-Caps; Favorable Allocation to High-Visibility Industries

The Fund operates using an “index replication + quantitative enhancement” strategy. Based on tracking the CSI 500 Index, it selects individual stocks using fundamental factors (such as earnings and valuation) and technical-factor screening. In 2025, the market style tilted toward high growth and small-cap stocks, with leading gains in sectors such as non-ferrous metals (3.76%), communications, and electronics. The Fund’s excess returns were driven by sector deviations and stock selection. The report shows that the Fund’s stock investment allocation ratio was 90.22%. Of this, the manufacturing allocation was 59.97%, mining 3.76%, power and heat and related sectors 3.34%, which is broadly consistent with the index’s sector distribution. The enhanced portion mainly achieved excess returns by overweighting high-visibility sub-sectors.

Fee Analysis: Management Fee Increases with Scale by 10.7%; Trading Commissions Concentrated Among Leading Brokerages

Management Fee and Custody Fee Rise in Tandem

In 2025, the Fund’s management fee was 3,943,215.32 yuan, up 10.7% from 3,560,531.79 yuan in 2024. It matches the growth in net assets (70.5%) and is consistent with the agreed annual fee rate of 0.5%. The custody fee was 1,182,964.66 yuan, up 10.7%, corresponding to an annual fee rate of 0.15%. The Class C sales service fee was 865,577.85 yuan, up 3.5% from 836,469.79 yuan in 2024, with a fee rate of 0.4%.

Trading Commissions Have a High Concentration

The Fund achieves stock trades through related party China International Capital Corporation’s trading units, totaling 958,980,487.33 yuan, accounting for 12% of total trades. The commissions paid were 187,886.40 yuan, accounting for 12% of total commissions. The top five brokerages (GF Securities, Shenwan Hongyuan, Guotai Huarong, CITIC Construction Investment, and CICC) together accounted for 99.99% of trade volume and 99.99% of commissions, indicating a high concentration of trading.

Stock Investments: Manufacturing Accounts for Nearly 60%; Actively Investing to Increase Allocation to the Technology Track

Index Investments: Focus on CSI 500 Constituents

The top three industries in index investment are manufacturing (59.97%), mining (3.76%), and power and water production (3.34%). The top ten heavily weighted stocks include Goertek (1.10%), Glodon (1.08%), Visionox (1.03%), among others. All of them are CSI 500 Index constituents, and their weights are broadly consistent with those of the index.

Active Investments: Overweight Technology and High-End Manufacturing

The active investment portion (4.57% of NAV) focuses on Jingjin Electric (0.32%), Lanji An Intelligent (0.32%), China National Machinery Auto (0.31%), and others, concentrating on new energy and intelligent manufacturing sectors, consistent with the direction of the index enhancement strategy.

Holder Structure: Institutions Account for More Than 70%; C-Class Shares Face Net Redemptions

At the end of the period, the Fund’s total number of units was 486,456,402.55, up 24.5% from 2024. Holders are mainly institutions. Institutional holdings account for 69.49% for Class A, 90.86% for Class C, and 88.74% for Class B. Notably, Class C shares had net redemptions of 10,521,547.93 units for the full year, with a redemption ratio of 8.6%, which may be related to short-term performance fluctuations and the fee structure.

Risk Warning and Investment Opportunities

Risk Warning

2. Concentration Risk: The top five brokerages account for 99.99% of trading. If a brokerage’s service capacity declines or its ability to negotiate commission rates weakens, it may affect trading efficiency.
3. Redemption Pressure on Class C Shares: Class C’s net redemptions are 8.6%. The impact of the stability of the holder structure on the Fund’s scale should be monitored.
4. Style Deviation Risk: The Fund overweights small-cap, high-growth styles. If the market style shifts to undervalued blue-chip stocks, it may cause excess returns to narrow.

Investment Opportunities

2. Quantitative Enhancement Capability: The Fund has outperformed the benchmark for multiple consecutive years. In 2025, the excess return was 8.07% (Class A), validating the effectiveness of its quantitative models.
3. Policy Dividend: The manager looks forward to technology breakthroughs and the expansion of domestic demand during the “14th Five-Year Plan and beyond” period. The Fund’s allocation direction aligns with policy guidance.
4. Long-Term Value of CSI 500: As a representative index for small and mid-cap stocks, the CSI 500’s valuation remains at historically low levels. The enhancement strategy is expected to continue capturing alpha returns.

Summary

In 2025, the CICC CSI 500 Index Enhanced Fund achieved both net value and scale growth through an excellent quantitative enhancement strategy. Class A’s net value rose 36.88%, and net assets surged 70.5%, with management fees growing in sync with scale. Going forward, attention should be paid to the stability of institutional holdings and changes in market style. Long term, investors may focus on its ability to generate excess returns in the technology and high-end manufacturing sectors.

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Responsible editor: Xiao Lang Express