Harvest CSI 300 Enhanced ETF Annual Report Analysis: Shareholding shrank by 93.76%, Net Asset Value increased by 16.47%, underperforming the benchmark

Overview of Core Financial Highlights

The 2025 annual report of the J.F. Sharam? (Chinese) 上证综合增强策略交易型开放式指数证券投资基金 (hereinafter referred to as “嘉实上证综指增强ETF,” code 562810) shows that, since its establishment on March 5, 2025 through December 31, 2025, the fund realized profit for the period of 17,504,897.38 yuan, and net assets at period-end of 52,295,988.98 yuan, down by 92.8% from 727,951,000 yuan at inception. Fund shares decreased from 727,951,000 shares at inception to 45,451,000 shares, with a net redemption rate of 93.76%. Although the NAV increase rate reached 16.47%, it still lagged the performance benchmark (SSE Composite Index) by 2.92 percentage points.

• | | Fund shares at period-end (shares) | 45,451,000.00 | -93.76% | | Net assets on establishment date (yuan) | 727,951,000.00 |
• | | Net assets at period-end (yuan) | 52,295,988.98 | -92.8% | | Profit for the period (yuan) | 17,504,897.38 |
• | | NAV growth rate | 16.47% |
• | | Benchmark return rate | 19.39% |
• |

Net Value Performance: Lags the Benchmark by 2.92% Since Inception

During the reporting period, the fund’s NAV performance showed the characteristics of “following the rally early, underperforming later.” From inception to year-end, the fund’s net share NAV growth rate was 16.47%, the return rate of the performance benchmark (SSE Composite Index) was 19.39%, and the tracking deviation was -2.92%. The annualized tracking error was not disclosed, but the absolute value of the daily tracking deviation did not exceed the 0.35% stated in the contract. By stage, over the past six months the NAV growth was 11.01%, lagging the benchmark by 4.22 percentage points; over the past three months it grew 1.01%, lagging the benchmark by 1.21 percentage points.

Investment Strategy and Operations: Quant Model Faces Challenges During Style Rotation

The fund adopts an index-enhanced strategy, constructing a portfolio using a quantitative model, optimizing holdings via AI technology and fundamental stock-selection factors (such as corporate earnings, liquidity, and valuation), and strictly controlling industry neutrality and tracking error. During the reporting period, the A-share market rotated from a value style to a growth style. The technology sector surged significantly, while the fund lagged during the rapid rally in the third quarter due to its conservative tilt toward value, dividends, and similar styles. The manager acknowledged that the portfolio was hurt by low-volatility and value factors in a “high-odds market,” and will adjust the style structure going forward to adapt to market changes.

Fees and Trading: Management Fee 428.6 Thousand Yuan; Trading Commissions 0.0186% of Stock Transaction Value

Management Fee and Custody Fee

The fund’s annual management fee rate is 0.5%. During the reporting period, the management fee accrued was 428,618.09 yuan. Of this, 175,888.34 yuan was paid to customer maintenance fees for sales institutions, and 252,729.75 yuan was net received by the manager. The annual custody fee rate is 0.1%, with custody fees accrued at 85,723.63 yuan. Based on net assets at period-end of 52.29 million yuan, the actual management fee rate was approximately 0.82% (on an annualized basis), higher than the contractual rate, mainly because the fund’s scale shrank rapidly, causing the fee rate per unit of net asset to rise.

Trading Expenses and Returns

During the reporting period, income from the spread on stock purchases and sales was 4,282,822.49 yuan, and trading expenses were 625,139.97 yuan, accounting for 1.41% of the total stock transaction value (428.6k yuan). The fund conducted stock trading only through five trading units of Financial Street Securities, paying commissions of 299,966.84 yuan, accounting for 0.0186% of the stock transaction value, which is lower than the industry average (about 0.03%).

Stock Holdings: Financial and Cyclical Stocks Exceed 30%; Concentration of Top Ten Holdings at 26.8%

Stock investments account for 98.83% of total assets. At period-end, the fund held 225 stocks. The combined fair value of the top ten holdings was 13,992,823 yuan, accounting for 26.8% of net value. Among them, financial stocks (Industrial and Commercial Bank of China, Agricultural Bank of China, China Life Insurance, etc.) and cyclical stocks (China Petroleum, Zijin Mining, China Shenhua, etc.) have relatively high proportions, while the technology sector is under-allocated, diverging from the market’s growth style.

Holder Structure: Individual Investors at 94.53%; Institutions at Only 5.47%

At period-end, the number of fund share holders was 2,577 households, with an average holding of 17,637 shares each. Individuals held 42,965,403 shares, representing 94.53%; institutional investors held 2,485,597 shares, representing 5.47%. Among the top ten holders, Beijing Qiji Chuangjing Investment’s private placement product held 2.4422 million shares, representing 5.37%. The rest are individual investors, reflecting that the fund is mainly held by retail investors and has lower acceptance from institutions.

Risk Warning: Scale Shrinkage May Affect Liquidity; Manager Faced Regulatory Penalties

Risk of Continued Scale Shrinkage

After the fund’s establishment, net redemptions were 682.5 million shares. The fund’s scale fell from 728 million yuan to 52 million yuan, nearing the liquidation threshold (50 million yuan). Small-scale funds may face issues such as redemption/subscription shocks amplifying, tracking errors increasing, and operating costs rising, so liquidity risk should be treated with caution.

Risk of Underperforming the Benchmark

Since inception, the fund has continued to underperform the benchmark, mainly due to style mismatch. If the growth style persists in the market and the portfolio adjustments are not timely, the performance gap may widen further.

Manager Compliance Risk

During the reporting period, J.F. Sharam? (Chinese) Fund Management Co., Ltd. (嘉实基金) was ordered to make corrections and suspended the acceptance of registrations for fixed-income public fund products for 3 months by the Beijing CSRC due to issues related to “compliance and internal controls, investment operations, and corporate governance” (in November 2025). Although this does not directly affect the operation of this fund, the effectiveness of the manager’s internal risk controls should be monitored.

Outlook: Focus on Technology-Sector Adjustments and Scale Stability

Looking ahead to 2026, the manager believes that domestic economic policy support and industrial upgrading will drive A-share resilience, and the growth style may continue. The fund will optimize the quantitative model, increase allocation to technology and high-momentum sectors, and control valuation to balance risk. Investors should focus on whether the fund’s scale can stabilize and whether the style adjustment delivers results, and participate cautiously in small-scale index-enhanced products.

Risk Warning: Past fund performance does not represent future results. Small-scale funds face the risk of liquidation, and investors should make rational decisions based on their own risk tolerance.

Statement: There are risks in the market; investment requires caution. This article is automatically published by an AI large model based on third-party databases and does not represent opinions of Sina Finance. Any information appearing in this article is only for reference and does not constitute personal investment advice. In case of discrepancies, please refer to the actual announcement. If you have any questions, please contact biz@staff.sina.com.cn.

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