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下，微小市值个股流动性风险凸显，微观交易上出现了不同于过去三年的统计规律甚至是三倍标准差之外的现象，这些尾部风险极大影响了市场参与者的交易结构和交易行为，这对部分交易性数据产生因子为主的量化策略带来了较大负面贡献。风格上看，红利与价值类因子较为抗跌；二季度相比一季度随着个股波动逐渐降低，市场从尾部风险交易回归到常态化的市场参与结构，交易性数据产生的因子有效性逐渐回归。从行业角度来看，创业板指数权重行业上半年新能源、医药总体表现较为低迷，拖累了产品业绩表现。　　报告期内，本基金主要通过深度学习等神经网络方法广泛挖掘市场有效因子，并充分利用人工智能等算法进行多因子组合，严格控制行业与风格的相对偏离风险；绝对值角度，组合仍然在创业板核心行业新能源、医药TMT上维持了较高权重，组合净值波动较大；另一方面，创业板指数由于编制原因少数个股占比集中度较高，从而影响了跟踪的偏离度，因此量化算法在因子挖掘中利用了不同风险下数据的学习提高因子稳健性。","declarationDate":"2024-07-17T16:00:00.000Z","lastUpdated":"2026-03-09T13:07:06.891Z","mo":"上半年以来，由于经济修复长期不达预期，股票市场显著承压，叠加从年初开始，参与者结构显著波动情况，量化因子的表现明显偏弱；随着近期三中全会的成功召开，提纲挈领的规划了未来深化改革的方向和蓝图，预计下半年货币、财政等相关经济政策会逐步出台，用以应对当前的经济下行压力。　　从各行业与指数估值来看，大多数都处于过去5年的底部区域，已经较大程度的反映了对于未来经济悲观的预期，大盘指数进一步下跌的空间不大；另一方面，从微观层面看下半年的市场交易结构预计会回归到常态化运行机制，量化多因子的表现有望回归到正常水平。","fund":{"_id":3000000001879,"stockCode":"001879","stockType":"fund","areaCode":"cn","followedNum":67,"blackenedNum":0,"status":"normal","exchange":"jj","fundType":"stock","ipoDate":"2017-04-26T16:00:00.000Z","setUpScale":398025000,"market":"a","tickerId":1879,"custody":"中国工商银行股份有限公司","name":"长城创业板指数增强型发起式证券投资基金","shortName":"长城创业板指数增强发起式(001879)","fundSecondLevel":"company","lastUpdated":"2026-05-01T17:13:12.815Z","__csrcFundId":1753,"fundStatus":"normal","masterFundFlag":1,"inceptionDate":"2017-05-31T16:00:00.000Z","fundCollectionId":4000050150000,"currency":"CNY","masterFundShortName":"长城创业板指数增强发起式","pinyin":"cccybzszqxfqszqtzjj","__indexSourceEastMoney":1,"__indexSourceCni":1,"indexFundFlag":1,"indexId":1000000399006,"managers":[{"stockCode":"8801390519","stockType":"fund_manager","exchange":"fm","tickerId":1210146000,"name":"雷俊"}]},"announcement":{"linkText":"长城创业板指数增强型发起式证券投资基金2024年中期报告","linkUrl":"http://eid.csrc.gov.cn/fund/disclose/instance_show_pdf_id.do?instanceid=1154323","linkType":"PDF","source":"csrc_pdf"}},{"_id":"69aec5fa7fea5b3eb0450179","date":"2024-03-30T16:00:00.000Z","stockId":3000000001879,"sao":"一季度权益市场波动较大，债券市场相对表现更好。A股主要指数先跌后涨有所分化，沪深300上涨，中证500、中证1000、创业板等小盘成长性指数下跌；风格方面，市场广度效应消失，微小市值个股流动性风险表现突出，微观交易上出现了不同于过去三年的统计规律甚至是三倍标准差之外的现象，这些尾部风险极大影响了市场参与者的交易结构和交易行为，这对部分交易性数据产生因子为主的量化策略带来了较大负面贡献。　　报告期内，本基金主要通过深度学习等神经网络方法广泛挖掘市场有效因子，并充分利用人工智能等算法进行多因子组合，受市场尾部风险影响因子与模型在短期表现不佳，由于组合在α、β暴露上两边同时带来负向贡献， 基金超额收益跑输较大；但从长远来看，一季度的市场交易波动不会是常态，市场未来会逐渐恢复到新的稳态水平，人工智能算法对于因子挖掘与模型融合将进一步利用不同风险下数据的学习提高稳健性，超额收益有望逐渐修复。","declarationDate":"2024-04-19T16:00:00.000Z","lastUpdated":"2026-03-09T13:07:06.888Z","fund":{"_id":3000000001879,"stockCode":"001879","stockType":"fund","areaCode":"cn","followedNum":67,"blackenedNum":0,"status":"normal","exchange":"jj","fundType":"stock","ipoDate":"2017-04-26T16:00:00.000Z","setUpScale":398025000,"market":"a","tickerId":1879,"custody":"中国工商银行股份有限公司","name":"长城创业板指数增强型发起式证券投资基金","shortName":"长城创业板指数增强发起式(001879)","fundSecondLevel":"company","lastUpdated":"2026-05-01T17:13:12.815Z","__csrcFundId":1753,"fundStatus":"normal","masterFundFlag":1,"inceptionDate":"2017-05-31T16:00:00.000Z","fundCollectionId":4000050150000,"currency":"CNY","masterFundShortName":"长城创业板指数增强发起式","pinyin":"cccybzszqxfqszqtzjj","__indexSourceEastMoney":1,"__indexSourceCni":1,"indexFundFlag":1,"indexId":1000000399006,"managers":[{"stockCode":"8801390519","stockType":"fund_manager","exchange":"fm","tickerId":1210146000,"name":"雷俊"}]},"announcement":{"linkText":"长城创业板指数增强型发起式证券投资基金2024年第1季度报告","linkUrl":"http://eid.csrc.gov.cn/fund/disclose/instance_show_pdf_id.do?instanceid=1074917","linkType":"PDF","source":"csrc_pdf"}},{"_id":"69aec5fa7fea5b3eb0450178","date":"2023-12-30T16:00:00.000Z","stockId":3000000001879,"sao":"2023年A股市场总体较弱，多数大型宽基指数表现不佳。受预期波动影响，蓝筹指数沪深300在年初快速反弹后持续下跌，全年下跌超10%，弱势下中证1000等小市值指数相对较好。风格来看，小微市值、红利、价值、低波动因子表现突出，成长性指数跌幅较大；与之对应的低估值行业表现较好，银行、煤炭、电力等传统行业获得资金持续关注，以人工智能为主要投资标签的TMT产业链上下半年波动巨大，难有稳定赚钱效应，消费类行业受经济修复预期影响资金流出。资金面看，外资在年初快速流入后持续流出，全年北向资金流动对市场扰动较大，影响了交易情绪。报告期内，市场以存量博弈为主，缺乏持续的增量资金，在少部分缺乏基本面支撑的个股上资金比较聚集，基本面因子动能不够，使得增强指数的超额收益因子较往年变化巨大。　　创业板指数核心行业新能源产业链全年表现很差，带动了指数持续下行；组合通信板块标的个股阶段配置与市场炒作热点有一定偏差，虽然基金在风格和行业上做了相关控制，但区间内仍跑输了业绩基准。四季度开始，本基金在α因子全面转向了人工智能研究因子；在风险因子部分，风格上低配了市值，考虑到市场总体估值偏低，组合加大了对于β因子的暴露，其他风格因子相对比较均衡；由于市场下行，β因子对于组合的影响较大，这部分带来部分负向贡献。","declarationDate":"2024-01-18T16:00:00.000Z","lastUpdated":"2026-03-09T13:07:06.885Z","mo":"市场未来的波动主要从估值、盈利、流动性三方面考虑。 估值面总体估值仍然处在过去十年中枢以下位置，下行风险预计较小，从大类资产比较的角度，权益市场已经进入价值区间；盈利的角度看，宏观经济复苏偏弱带来的问题已经充分反映在股价上，进一步的利空事件较为有限，当前的政策环境积极正面，预计降息会大幅降低居民与企业的负债成本，但微观层面个股的盈利修复扭转仍然需要一些时间；流动性部分受全球地缘政治博弈和信心影响较大，不排除少数时点存在尾部交易风险，但这部分变量更多来自于对未来预期判断，无法线性外推，辨证来看一旦风险释放也将对市场形成较好的底部支撑。　　从上市公司个体角度层面，市场可能会关注盈利稳定性强的个股；更加成熟的市场环境的建立对于各个风险因子风险定价将更为充分，传统因子挖掘超额收益的难度将会继续增大，但深度学习与人工智能等新的复杂算法对于中小市值选股因子仍有较大的潜力空间，有利于在均衡行业配置的基础上在抓住阶段性的价差投资机会。　　创业板指数作为宽基指数中调整幅度较大和调整时间较长的成长指数，已经逐渐进入了价值投资区间，从更长的时间唯独看，其长期配置性价比已经凸显。","fund":{"_id":3000000001879,"stockCode":"001879","stockType":"fund","areaCode":"cn","followedNum":67,"blackenedNum":0,"status":"normal","exchange":"jj","fundType":"stock","ipoDate":"2017-04-26T16:00:00.000Z","setUpScale":398025000,"market":"a","tickerId":1879,"custody":"中国工商银行股份有限公司","name":"长城创业板指数增强型发起式证券投资基金","shortName":"长城创业板指数增强发起式(001879)","fundSecondLevel":"company","lastUpdated":"2026-05-01T17:13:12.815Z","__csrcFundId":1753,"fundStatus":"normal","masterFundFlag":1,"inceptionDate":"2017-05-31T16:00:00.000Z","fundCollectionId":4000050150000,"currency":"CNY","masterFundShortName":"长城创业板指数增强发起式","pinyin":"cccybzszqxfqszqtzjj","__indexSourceEastMoney":1,"__indexSourceCni":1,"indexFundFlag":1,"indexId":1000000399006,"managers":[{"stockCode":"8801390519","stockType":"fund_manager","exchange":"fm","tickerId":1210146000,"name":"雷俊"}]},"announcement":{"linkText":"长城创业板指数增强型发起式证券投资基金2023年年度报告","linkUrl":"http://eid.csrc.gov.cn/fund/disclose/instance_show_pdf_id.do?instanceid=1056822","linkType":"PDF","source":"csrc_pdf"}},{"_id":"69aec5fa7fea5b3eb0450177","date":"2023-09-29T16:00:00.000Z","stockId":3000000001879,"sao":"三季度市场震荡下行，以陆股通为代表的外资显著流出，沪深300、中证500、创业板等主要宽基指数均表现不佳。从风格上看，三季度延续了今年以来小盘、微盘股的强趋势，市值因子表现抢眼；下行市场下红利、低波因子也表现不错。行业上看，上游周期品表现更好，煤价淡季不淡、全球油价上涨，带动了以煤炭、石油石化为代表传统能源行业强势；新能源行业则受产能扩张和竞争格局影响，跌幅明显；TMT的相关产业链个股三季度呈现回归趋势，缺乏赚钱效应。  报告期内，本基金从基准指数的特点出发，较高的权重配置在了新能源相关的产业链公司，受到订单预期转弱和光伏产能扩张影响，普遍资金流出，股价表现较弱，产品区间内跑输业绩基准。  本基金基于长城基金量化投资研究平台的研究成果，采用量化多因子模型，基于上市公司的历史数据，借助数量化的技术手段，寻找对股票收益有预测性的指标作为因子；在组合层面上，根据基准指数的特点严格控制行业偏离以及个股偏离，并在综合考虑预期风险和收益水平基础上进行组合权重优化，力争有效跟踪基准指数的同时获取超额收益。","declarationDate":"2023-10-24T16:00:00.000Z","lastUpdated":"2026-03-09T13:07:06.883Z","fund":{"_id":3000000001879,"stockCode":"001879","stockType":"fund","areaCode":"cn","followedNum":67,"blackenedNum":0,"status":"normal","exchange":"jj","fundType":"stock","ipoDate":"2017-04-26T16:00:00.000Z","setUpScale":398025000,"market":"a","tickerId":1879,"custody":"中国工商银行股份有限公司","name":"长城创业板指数增强型发起式证券投资基金","shortName":"长城创业板指数增强发起式(001879)","fundSecondLevel":"company","lastUpdated":"2026-05-01T17:13:12.815Z","__csrcFundId":1753,"fundStatus":"normal","masterFundFlag":1,"inceptionDate":"2017-05-31T16:00:00.000Z","fundCollectionId":4000050150000,"currency":"CNY","masterFundShortName":"长城创业板指数增强发起式","pinyin":"cccybzszqxfqszqtzjj","__indexSourceEastMoney":1,"__indexSourceCni":1,"indexFundFlag":1,"indexId":1000000399006,"managers":[{"stockCode":"8801390519","stockType":"fund_manager","exchange":"fm","tickerId":1210146000,"name":"雷俊"}]},"announcement":{"linkText":"长城创业板指数增强型发起式证券投资基金2023年第三季度报告","linkUrl":"http://eid.csrc.gov.cn/fund/disclose/instance_show_pdf_id.do?instanceid=992445","linkType":"PDF","source":"csrc_pdf"}},{"_id":"69aec5fa7fea5b3eb0450176","date":"2023-06-29T16:00:00.000Z","stockId":3000000001879,"sao":"上半年市场先扬后抑，多数大型宽基指数表现不佳，中证500、中证1000为代表的中小指数略有正收益。风格上看，二季度一定程度上延续了一季度的整体趋势，低波动、低估值标的有较为显著的超额收益，但主要集中于较小市值的标的，盈利能力强的个股延续弱势。 市场行业主题投资波动很大，以人工智能为代表的TMT产业链较受市场关注，基础算力、光模块、软件传媒等相关个股波动率过高；资金面看，外资一季度后无明显增量净流入，内资存量博弈性较强，市场总体缺乏赚钱效应；消费板块受经济复苏动能较弱影响，普遍表现不佳。  报告期内，本基金在风格控制相对较为严格。行业上，新能源板块，盈利能力较好的标的持续承压，通信板块的标的个股配置与市场炒作热点有一定偏差；总体看，上半年的A股以存量博弈为主，缺乏持续的增量资金，在少部分缺乏基本面支撑的个股上资金比较聚集，使得增强指数的超额收益因子较往年变化巨大，虽然个股权重约束较为严格，但区间内相关个股相对劣势明显，因此区间内跑输业绩基准。  本基金基于长城基金量化投资研究平台的研究成果，采用量化多因子模型，基于上市公司的历史数据，借助数量化的技术手段，寻找对股票收益有预测性的指标作为因子；在组合层面上，根据基准指数的特点严格控制行业偏离以及个股偏离，并在综合考虑预期风险和收益水平基础上进行组合权重优化，力争有效跟踪基准指数的同时获取超额收益。","declarationDate":"2023-07-19T16:00:00.000Z","lastUpdated":"2026-03-09T13:07:06.880Z","mo":"A股总体估值仍然处在过去十年中枢以下位置，下行风险预计较小，从大类资产比较的角度，权益市场已经进入价值区间；宏观上看，经济复苏偏弱带来的问题已经充分反映在股价上，进一步的利空事件较为有限，当前的政策环境积极正面，随着下半年一系列企业、民生政策落地，经济有望进一步好转。  市场总体预计仍然以中小市值股票的广度行情为主，上半年过于交易的AI产业链在下半年将面临业绩兑现的部分压力，随着半年报的披露，市场有望回归到基本面。对于创业板指数中的新能源、医药板块，由于市场调整的幅度和时间比较充分，预期市场行业表现会更加均衡。","fund":{"_id":3000000001879,"stockCode":"001879","stockType":"fund","areaCode":"cn","followedNum":67,"blackenedNum":0,"status":"normal","exchange":"jj","fundType":"stock","ipoDate":"2017-04-26T16:00:00.000Z","setUpScale":398025000,"market":"a","tickerId":1879,"custody":"中国工商银行股份有限公司","name":"长城创业板指数增强型发起式证券投资基金","shortName":"长城创业板指数增强发起式(001879)","fundSecondLevel":"company","lastUpdated":"2026-05-01T17:13:12.815Z","__csrcFundId":1753,"fundStatus":"normal","masterFundFlag":1,"inceptionDate":"2017-05-31T16:00:00.000Z","fundCollectionId":4000050150000,"currency":"CNY","masterFundShortName":"长城创业板指数增强发起式","pinyin":"cccybzszqxfqszqtzjj","__indexSourceEastMoney":1,"__indexSourceCni":1,"indexFundFlag":1,"indexId":1000000399006,"managers":[{"stockCode":"8801390519","stockType":"fund_manager","exchange":"fm","tickerId":1210146000,"name":"雷俊"}]},"announcement":{"linkText":"长城创业板指数增强型发起式证券投资基金2023年中期报告","linkUrl":"http://eid.csrc.gov.cn/fund/disclose/instance_show_pdf_id.do?instanceid=966548","linkType":"PDF","source":"csrc_pdf"}},{"_id":"69aec5fa7fea5b3eb0450175","date":"2023-03-30T16:00:00.000Z","stockId":3000000001879,"sao":"一季度市场总体来看是春季躁动行情为主，但风格分化较大，存量资金博弈性较强，行业间涨跌幅差距显著。传统板块如新能源、医药等长期成长行业赛道资金显著流出，TMT等人工智能产业链显著资金流入，相关股票涨幅巨大。风格上看，成长股整体表现一般，市场反转效应较为明显，盈利能力强的个股表现相对弱势。报告期内，本基金在风格上偏向选择盈利能力相对较好，已经具备一定趋势的成长股，因此在风格上有一定的负向贡献，行业上，对于新能源、机械板块的标的个股配置与市场炒作热点有一定偏差，虽然个股权重约束较为严格，但区间内相关个股相对劣势明显，因此区间内跑输业绩基准。  本基金基于长城基金量化投资研究平台的研究成果，采用量化多因子模型，基于上市公司的历史数据，借助数量化的技术手段，寻找对股票收益有预测性的指标作为因子；在组合层面上，根据基准指数的特点严格控制行业偏离以及个股偏离，并在综合考虑预期风险和收益水平基础上进行组合权重优化，力争有效跟踪基准指数的同时获取超额收益。","declarationDate":"2023-04-20T16:00:00.000Z","lastUpdated":"2026-03-09T13:07:06.877Z","fund":{"_id":3000000001879,"stockCode":"001879","stockType":"fund","areaCode":"cn","followedNum":67,"blackenedNum":0,"status":"normal","exchange":"jj","fundType":"stock","ipoDate":"2017-04-26T16:00:00.000Z","setUpScale":398025000,"market":"a","tickerId":1879,"custody":"中国工商银行股份有限公司","name":"长城创业板指数增强型发起式证券投资基金","shortName":"长城创业板指数增强发起式(001879)","fundSecondLevel":"company","lastUpdated":"2026-05-01T17:13:12.815Z","__csrcFundId":1753,"fundStatus":"normal","masterFundFlag":1,"inceptionDate":"2017-05-31T16:00:00.000Z","fundCollectionId":4000050150000,"currency":"CNY","masterFundShortName":"长城创业板指数增强发起式","pinyin":"cccybzszqxfqszqtzjj","__indexSourceEastMoney":1,"__indexSourceCni":1,"indexFundFlag":1,"indexId":1000000399006,"managers":[{"stockCode":"8801390519","stockType":"fund_manager","exchange":"fm","tickerId":1210146000,"name":"雷俊"}]},"announcement":{"linkText":"长城创业板指数增强型发起式证券投资基金2023年第一季度报告","linkUrl":"http://eid.csrc.gov.cn/fund/disclose/instance_show_pdf_id.do?instanceid=885408","linkType":"PDF","source":"csrc_pdf"}},{"_id":"69aec5fa7fea5b3eb0450174","date":"2022-12-30T16:00:00.000Z","stockId":3000000001879,"sao":"2022年全年市场波动巨大，A股沪深300、中证500跌幅均超20%，市场赚钱效用很弱，主要矛盾聚焦在国际俄乌冲突和国内疫情波动。总体看，上游资源品表现更好，煤炭等领跑行业指数；受全球地缘政治格局博弈，石油、天然气盈利高增长，上半年冲高后大幅回落；制造业上下游利润分配严重不均衡，总体呈现上游资源品大幅挤压中下游盈利空间趋势，下半年逐渐缓和修复。国内疫情波动对消费、医药等行业影响较大，在10月份触底后迅速反弹。风格分析来看，宏观经济对股市影响较大，大市值龙头股缺乏系统性机会，趋势性风格表现不佳，小市值、微型市值股票超额收益更加明显；成长性板块总体偏弱，低估值、高股息板块投资机会更多。  产品管理方面，基金业绩基准创业板指数全年下跌近30%。风格上看，成长性板块的振幅更大。报告期内，产品行业上较为均衡，行业、风格上基本相对业绩基准偏离较小，组合在长期动量、成长性等风格上略有超配，这部分风格本年度负向贡献明显，影响了全年超额收益，组合超额收益波动略大，其他整体超额收益符合预期。  本基金基于长城基金量化投资研究平台的研究成果，采用量化多因子模型，基于上市公司的历史数据，借助数量化的技术手段，寻找对股票收益有预测性的指标作为因子；在组合层面上，根据基准指数的特点严格控制行业偏离以及个股偏离，并在综合考虑预期风险和收益水平基础上进行组合权重优化，力争有效跟踪基准指数的同时获取超额收益。","declarationDate":"2023-01-19T16:00:00.000Z","lastUpdated":"2026-03-09T13:07:06.874Z","mo":"展望2023年，影响国际市场和国内市场的主要变量均有逐渐向好的趋势，市场偏乐观的概率更大。一是俄乌冲突的常态化，能源价格的大幅波动性在削弱，预期引导性更强，有助于制造业中下游利润修复；二是美联储加息减速，美元加息节奏从四季度开始触顶，市场预计2023年逐渐企稳，有可能在年末时段进入下行通道，全球利率水平对于成长性板块影响较大，这一制约因素有望得到显著缓和。  另一方面，二十大的胜利召开和国内疫情的阶段性成果将推动A股积极向上。从去年12月逐步放开的情况来看，国内社会面普遍得到了充分认识，随着二十大人事与政策的聚焦，23年全年预计会加大经济建设，有望进一步出台各行各业的财税、产业等刺激政策，A股投资机会将较2022年显著增多。消费板块中，以白酒为代表的食品饮料将是疫情修复中弹性最大的部分，有望在业绩驱动下带来戴维斯双击的投资机会；成长性行业中，TMT、新能源等仍然将是市场长期配置的方向，预计业绩实现度较高，如果叠加利率水平下移相关板块也有不错的投资机会。从创业板指数的成分构成来看，主要覆盖的新能源、医药、TMT等成长性板块，预计将受益于修复行情，展现出一定的业绩弹性，从长期来看，当前已经进入较好地配置区间。","fund":{"_id":3000000001879,"stockCode":"001879","stockType":"fund","areaCode":"cn","followedNum":67,"blackenedNum":0,"status":"normal","exchange":"jj","fundType":"stock","ipoDate":"2017-04-26T16:00: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