Ping An CSI 500 Index Enhanced Annual Report Analysis: 48% Shrinkage in Assets, 220% Growth in Net Profit, Underperformance Relative to Benchmark Hides Hidden Concerns

Net profit year over year surges 220%; ending net assets shrink 36%

In 2025, the performance of Ping An CSI 500 Index Enhanced Fund Class A (009336) and Class C (009337) diverged significantly. According to the financial reports, the current-period profit of the Class A fund was RMB 2.4260 million, up 223% year over year from RMB 0.7512 million in 2024; the current-period profit of the Class C fund was RMB 3.0291 million, up 218% year over year from RMB 0.9528 million in 2024. However, the total ending net assets were RMB 22.6528 million, down 36.27% from RMB 35.5450 million at the end of 2024, and the asset size shrank markedly.

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23% share NAV growth trails the benchmark; tracking error widens to -5.68%

In 2025, the fund’s share NAV growth rate failed to beat its performance benchmark. The Class A share NAV growth rate was 23.75%, and Class C was 23.13%, while the benchmark return rate for the same period was 28.81%. Class A and Class C lagged the benchmark by 5.06 and 5.68 percentage points, respectively. In terms of long-term performance, since the fund contract came into effect (May 27, 2020), the Class A cumulative NAV growth rate was 28.89%, which was still 7.55 percentage points behind the benchmark’s 36.44%; tracking error has persisted.

Quant multi-factor strategy underweights TMT; low turnover leads to insufficient excess returns

The fund adopts a quant multi-factor investment strategy. It selects stocks based on factors such as earnings growth and price momentum, while controlling tracking error. In 2025, the CSI 500 Index rose 30.39%, but the fund underweighted TMT—an industry—and also underweighted low-valuation sectors such as power and utilities, non-bank financials, and transportation and logistics, which caused a mismatch with the market’s main themes of AI computing power and the technology narrative. The financial report shows the fund’s stock trading turnover was relatively low. Over the full year, the cost of buying stocks was RMB 262 million, and stock sale proceeds were RMB 280 million. The difference between buy and sell generated income of RMB 4.3097 million, up 245% year over year. However, due to deviations in industry allocation, this did not translate into excess returns.

Management fee down 10% YoY; trading expenses saved 33%

In 2025, the fund’s operating expenses declined to some extent. Management remuneration was RMB 268,400, down 9.99% from RMB 298,200 in 2024; custody fees were RMB 40,300, down 9.99% year over year; and payable trading expenses were RMB 23,500, down 32.62% year over year. The main reason for the decline in expenses is that the fund’s size shrank. The management fee, accrued based on the previous day’s net asset value at a 1.00% annual fee rate, decreases as net assets decline.

Related-party transactions account for 24%; attention drawn to Fangzheng Securities’ commission-based sub-allocations

The fund conducts stock trades through related-party transaction units. Among them, the trading amount with Fangzheng Securities was RMB 133 million, accounting for 24.45% of the total stock transaction value for the period, and commissions paid were RMB 24.7 thousand, accounting for 24.45% of the total commission. Although this complies with regulatory requirements, the trading share of a single broker is somewhat high, and the fairness of the trades and the reasonableness of the commission rates should be monitored.

Manufacturing holdings exceed 62%; top 10 holdings concentration is below 7%

Among the fund’s stock investments at period end, manufacturing accounts for 62.54%. The top 10 heavy holdings include Invektir (002837), Giant Network (002558), Xinwei Communications (300136), etc. The total fair value is RMB 1.2792 million, accounting for only 6.54% of the fund’s net asset value. The holdings are highly diversified, consistent with the characteristics of an index fund, but it also weakens the contribution to excess returns from individual stocks.

48% decline in shares; more than half redeemed by institutions, hiding liquidity risk

In 2025, fund shares decreased significantly. For Class A, shares fell from 16.5905 million at the beginning of the period to 8.3444 million at period end, with redemptions of 10.6979 million shares, a decline of 50.2%; for Class C, shares fell from 17.9477 million to 9.4943 million, with redemptions of 29.3139 million shares, a decline of 47.1%. Institutional investors hold 59.95% of Class A shares, and there is also a situation where a single institution holds 28.04%. If large redemptions occur, it may trigger liquidity risk.

Manager outlook: technology self-reliance and self-strengthening as the main line; increase defensive factor allocation

The manager believes that in 2026, technology self-reliance and self-strengthening will still be a core issue. External demand will be a lever for economic growth, but market expectations are confused. Therefore, it is necessary to increase defensive factor allocation. The manager suggests that investors pay attention to the fund’s improvement space in adjusting its quantitative model, adapting to industry rotation, and maintaining stable fund size. Investors should also be alert to risks of ongoing underperformance versus the benchmark and liquidity risk.

Risk warning: If the fund’s net asset value remains below RMB 50 million for 60 consecutive working days, it may face the risk of contract termination; if the share of a single institutional holder is too high, there is risk of impact from large redemptions; if the fund continues to underperform the benchmark, the effectiveness of the quantitative strategy needs to be continuously verified.

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Editor-in-charge: Xiao Lang Express