Core Viewpoint - The article provides a comprehensive performance tracking of various active quantitative strategies by GuoXin JinGong, focusing on their absolute and excess returns compared to the mixed equity fund index, highlighting the effectiveness of these strategies in outperforming the market [2][3][4]. Group 1: Performance Tracking of Quantitative Strategies - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 2.75% this week and 10.32% year-to-date, ranking in the 45.63 percentile among active equity funds [1][12]. - The "Super Expectation Selected Portfolio" recorded an absolute return of 3.68% this week and 24.40% year-to-date, ranking in the 11.53 percentile among active equity funds [1][9]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 1.91% this week and 14.13% year-to-date, ranking in the 31.39 percentile among active equity funds [1][21]. - The "Growth and Stability Portfolio" posted an absolute return of 2.15% this week and 29.61% year-to-date, ranking in the 7.26 percentile among active equity funds [1][22]. Group 2: Strategy Descriptions - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median return of active equity funds by utilizing quantitative methods based on the holdings of top-performing funds [4][34]. - The "Super Expectation Selected Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical analysis [9][38]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a stock pool from brokerage recommendations, optimizing for individual stock and style deviations [16][42]. - The "Growth and Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture excess returns [19][47]. Group 3: Historical Performance - The "Excellent Fund Performance Enhancement Portfolio" has achieved an annualized return of 20.31% from January 2012 to June 2025, outperforming the mixed equity fund index by 11.83% [35][37]. - The "Super Expectation Selected Portfolio" has an annualized return of 30.55% since January 2010, exceeding the mixed equity fund index by 24.68% [39][41]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" has an annualized return of 19.34% from January 2018 to June 2025, outperforming the mixed equity fund index by 14.38% [43][46]. - The "Growth and Stability Portfolio" has achieved an annualized return of 35.51% since January 2012, exceeding the mixed equity fund index by 26.88% [48].

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of July 18, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.00%, Shenzhen Component Index 5.06%, CSI 300 4.64%, CSI 500 3.65%, CSI 1000 0.91%, CSI 2000 0.00%, ChiNext Index 10.71%, and STAR 50 Index 10.59% [5][21] - Among the first-tier industry indices, non-ferrous metals, steel, basic chemicals, communications, and defense industries are closest to their 250-day new highs, while coal, food and beverage, real estate, consumer services, and transportation industries are further away [8][21] Group 2 - A total of 1,001 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the pharmaceutical, basic chemicals, and machinery industries, totaling 129, 122, and 114 stocks respectively [2][13] - The highest proportion of new high stocks is found in the banking, comprehensive finance, and steel industries, with respective proportions of 88.10%, 40.00%, and 33.96% [13][15] - By sector distribution, the manufacturing and cyclical sectors had the most new high stocks, with 289 and 245 stocks respectively, representing 18.65% and 21.88% of their respective sector stock counts [15][22] Group 3 - The report identifies 46 stable new high stocks, including Shenghong Technology, Borui Pharmaceutical, and Shijia Photon, with the most new high stocks in the manufacturing and technology sectors, totaling 14 and 13 stocks respectively [3][19][22] - The manufacturing sector's highest number of new highs is in the machinery industry, while the technology sector's highest is in the computer industry [19][22] - The selection criteria for stable new high stocks include analyst attention, relative strength of stock prices, price path stability, and continuity of new highs [18][22]

Key Points - The article provides an overview of the dividend progress of constituent stocks in major indices as of July 15, 2025, highlighting the number of companies at various stages of dividend declaration and implementation [1][3][9] - It compares the dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for major indices are detailed, with the Shanghai 50 Index showing a realized yield of 1.80% and a remaining yield of 0.46% [7][8] - The article tracks the annualized premium/discount of stock index futures, indicating the market sentiment and risk appetite of institutional investors [2][14][15] Dividend Progress of Constituent Stocks - As of July 15, 2025, the dividend progress for major indices is as follows: - Shanghai 50 Index: 0 companies in the proposal stage, 7 in the decision stage, 5 in the implementation stage, 35 have paid dividends, and 3 will not pay dividends [1] - CSI 300 Index: 2 in the proposal stage, 51 in the decision stage, 31 in the implementation stage, 190 have paid dividends, and 26 will not pay dividends [1] - CSI 500 Index: 1 in the proposal stage, 51 in the decision stage, 17 in the implementation stage, 354 have paid dividends, and 77 will not pay dividends [1] - CSI 1000 Index: 1 in the proposal stage, 54 in the decision stage, 44 in the implementation stage, 691 have paid dividends, and 210 will not pay dividends [1] Industry Dividend Yield Comparison - The article presents a statistical analysis of the current dividend yields of stocks with disclosed dividend proposals, ranking coal, banking, and steel industries as the top three [4] Realized and Remaining Dividend Yields - The realized and remaining dividend yields for major indices as of July 15, 2025, are as follows: - Shanghai 50 Index: Realized yield of 1.80%, remaining yield of 0.46% [7] - CSI 300 Index: Realized yield of 1.35%, remaining yield of 0.53% [7] - CSI 500 Index: Realized yield of 1.09%, remaining yield of 0.20% [7] - CSI 1000 Index: Realized yield of 0.83%, remaining yield of 0.12% [7] Stock Index Futures Premium/Discount Tracking - As of July 15, 2025, the annualized premiums/discounts for major stock index futures are: - IH main contract: annualized discount of 0.44% [2] - IF main contract: annualized discount of 2.48% [2] - IC main contract: annualized discount of 11.78% [2] - IM main contract: annualized discount of 15.26% [2]

Market Review - The A-share market saw all major broad indices rise last week, with the CSI 1000 and ChiNext Index both gaining 2.36%, and the CSI 500 Index increasing by 1.96% [6][13]. - The financial, real estate, and non-bank financial sectors led in performance, with returns of 6.73%, 6.06%, and 3.94% respectively, while the automotive, home appliance, and banking sectors lagged with returns of -0.56%, -0.18%, and -0.13% [19][21]. - The People's Bank of China (PBOC) conducted a net withdrawal of 226.5 billion yuan through reverse repos, with a total of 652.2 billion yuan maturing [22]. Fund Performance - Last week, the active equity, flexible allocation, and balanced mixed funds achieved returns of 0.79%, 0.63%, and 0.53% respectively [34]. - Year-to-date, alternative funds have performed the best with a median return of 11.94%, while active equity, flexible allocation, and balanced mixed funds have median returns of 6.79%, 4.20%, and 2.25% respectively [36][41]. Fund Issuance - A total of 35 new funds were established last week, with a total issuance scale of 32.778 billion yuan, which is an increase from the previous week [3][46]. - The majority of new funds were passive index funds, with 12 being launched, and passive index bond funds totaling 10, with issuance scales of 3.031 billion yuan and 28.988 billion yuan respectively [48]. Gold Reserves - As of June 2025, China's official gold reserves stood at 73.9 million ounces, an increase of 70,000 ounces from the end of May, marking the eighth consecutive month of gold reserve accumulation by the central bank [9]. ETF Developments - The Huatai-PineBridge Dividend Low Volatility ETF became the first in the A-share market to exceed 20 billion yuan in size, reaching 20.788 billion yuan as of July 11, 2025 [12]. - Seven fund companies submitted applications for ETFs related to the ChiNext Composite Index following the announcement of revisions to the index compilation scheme by the Shenzhen Stock Exchange [5]. Bond Market - The central bank's reverse repo operations resulted in a net withdrawal of 226.5 billion yuan, with the 1-month pledged repo rate decreasing by 6.10 basis points [22][23]. - The yield spread for different maturities of government bonds has narrowed by 1.20 basis points, indicating a rise in yields across various credit ratings [24]. Quantitative Fund Performance - The median excess return for index-enhanced funds was 0.21% last week, while quantitative hedge funds reported a median return of -0.29% [37]. - Year-to-date, index-enhanced funds have a median excess return of 3.08%, while quantitative hedge funds have a median return of 0.62% [38]. FOF Fund Overview - As of last week, there were 245 ordinary FOF funds, 119 target date funds, and 154 target risk funds in the open-end public fund category [39]. - The median returns for ordinary FOF, target date, and target risk funds last week were 0.13%, 0.26%, and 0.10% respectively, with target date funds showing the best year-to-date performance at 4.13% [41].

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of -0.30% this week, with a year-to-date excess return of 7.76% [5] - The CSI 500 index enhanced portfolio recorded an excess return of 0.31% this week, with a year-to-date excess return of 9.34% [5] - The CSI 1000 index enhanced portfolio had an excess return of 0.39% this week, with a year-to-date excess return of 14.45% [5] - The CSI A500 index enhanced portfolio posted an excess return of 0.71% this week, with a year-to-date excess return of 9.03% [5] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 constituent stocks, factors such as standardized unexpected income, specificity, and quarterly EP performed well [6] - In the CSI 500 constituent stocks, factors like standardized unexpected earnings, specificity, and SPTTM showed strong performance [6] - In the CSI 1000 constituent stocks, factors such as DELTAROE, quarterly profit growth year-on-year, and DELTAROA performed well [6] - In the CSI A500 index constituent stocks, factors like specificity, expected EPTTM, and quarterly profit growth year-on-year showed good performance [6] - In public fund heavy stocks, factors like specificity, DELTAROE, and DELTAROA performed well [6] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced product had a maximum excess return of 0.87%, a minimum of -0.57%, and a median of 0.24% this week [19] - The CSI 500 index enhanced product recorded a maximum excess return of 0.90%, a minimum of -0.68%, and a median of 0.24% this week [22] - The CSI 1000 index enhanced product achieved a maximum excess return of 1.06%, a minimum of -0.31%, and a median of 0.29% this week [24] - The CSI A500 index enhanced product had a maximum excess return of 0.80%, a minimum of -0.35%, and a median of 0.20% this week [25]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guoxin Jinong, focusing on outperforming the median returns of actively managed equity funds, with strategies including "Excellent Fund Performance Enhancement Portfolio," "Expected Surprises Selection Portfolio," "Brokerage Golden Stocks Performance Enhancement Portfolio," and "Growth Stability Portfolio" [2][36]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 0.95% this week and 7.36% year-to-date, ranking in the 45.95 percentile among active equity funds [1][12]. - The "Expected Surprises Selection Portfolio" recorded an absolute return of 2.11% this week and 19.99% year-to-date, ranking in the 10.69 percentile among active equity funds [1][13]. - The "Brokerage Golden Stocks Performance Enhancement Portfolio" had an absolute return of 1.60% this week and 11.98% year-to-date, ranking in the 27.13 percentile among active equity funds [1][22]. - The "Growth Stability Portfolio" achieved an absolute return of 2.21% this week and 26.87% year-to-date, ranking in the 5.42 percentile among active equity funds [1][23]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" is constructed by benchmarking against the median returns of actively managed equity funds, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [4][36]. - The "Expected Surprises Selection Portfolio" selects stocks based on expected earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio of stocks with strong support [8][42]. - The "Brokerage Golden Stocks Performance Enhancement Portfolio" is based on a selection of stocks from brokerage recommendations, optimizing the portfolio to minimize deviations from the brokerage stock pool while aiming to outperform the ordinary equity fund index [15][47]. - The "Growth Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings announcement dates and using multi-factor scoring to select high-quality stocks [18][52].

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of July 11, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.00%, Shenzhen Component Index 6.95%, CSI 300 5.67%, CSI 500 4.79%, CSI 1000 2.28%, CSI 2000 0.00%, ChiNext Index 13.46%, and STAR Market 11.75% [5][24] - The sectors closest to their 250-day new highs include Power and Utilities, Steel, Comprehensive Finance, Pharmaceuticals, and Non-ferrous Metals, while Food and Beverage, Coal, Consumer Services, Automotive, and Oil and Petrochemicals are further away [8][24] Group 2 - A total of 873 stocks reached a 250-day new high in the past 20 trading days, with the most significant numbers in Basic Chemicals, Machinery, and Pharmaceuticals [2][13] - The highest proportion of new high stocks is found in Banking, Comprehensive Finance, and National Defense and Military Industry, with respective proportions of 90.48%, 40.00%, and 33.61% [13] - The manufacturing and cyclical sectors had the most new high stocks this week, with 245 and 233 stocks respectively [15] Group 3 - The report identifies 38 stocks that are considered stable new highs, including Shenghong Technology, Beijing North, and Nanhua Futures, with the most in the Manufacturing and Technology sectors [3][21] - The Manufacturing sector had the highest number of new highs, particularly in the National Defense and Military Industry, while the Technology sector saw the most in the Electronics industry [21][25]

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of July 9, 2025, highlighting the number of companies at various stages of dividend declaration and implementation [1][3][9] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index having a realized yield of 1.39% and a remaining yield of 0.88% [8] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 11.15% while the IC main contract has an annualized discount of 11.69% [1][3] Group 1: Dividend Progress of Constituent Stocks - As of July 9, 2025, in the Shanghai 50 Index, there are 0 companies in the proposal stage, 10 in the decision stage, 8 in the implementation stage, 29 that have paid dividends, and 3 that have not [1] - In the CSI 300 Index, there are 2 companies in the proposal stage, 73 in the decision stage, 31 in the implementation stage, 168 that have paid dividends, and 26 that have not [1] - The CSI 500 Index shows 1 company in the proposal stage, 64 in the decision stage, 34 in the implementation stage, 324 that have paid dividends, and 77 that have not [1][9] - The CSI 1000 Index has 1 company in the proposal stage, 83 in the decision stage, 67 in the implementation stage, 639 that have paid dividends, and 210 that have not [1][9] Group 2: Dividend Yield Comparison - The article presents a statistical analysis of the current dividend yields of stocks with disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [4] - The realized dividend yields for major indices as of July 9, 2025, are as follows: Shanghai 50 Index at 1.39% with a remaining yield of 0.88%, CSI 300 Index at 1.13% with a remaining yield of 0.78%, CSI 500 Index at 1.03% with a remaining yield of 0.26%, and CSI 1000 Index at 0.79% with a remaining yield of 0.17% [8] Group 3: Stock Index Futures Premium and Discount - The article tracks the annualized premium and discount of stock index futures as of July 9, 2025, with the IH main contract at 11.15% premium, IF main contract at 1.48% premium, IC main contract at 11.69% discount, and IM main contract at 16.65% discount [1][3] - It emphasizes the importance of considering the impact of constituent stock dividends on the calculation of futures premiums and discounts [2]

Group 1: Main Points of the Article - The article emphasizes the importance of intraday trading behaviors of major funds, particularly during specific market moments characterized by significant price drops, low stock prices, and high trading volumes [1][3][4] - A standardized average transaction amount factor (SATD) is introduced to capture the trading behavior of major funds, which is derived from the average transaction amount during special moments divided by the average transaction amount for the entire day [1][17][18] Group 2: Trading Behavior Based on Price Movements - The SATD factor shows a strong predictive ability for future stock returns, especially during moments of price decline, with a higher performance observed as the decline deepens [1][54] - The construction of the SATD factor is improved by incorporating tick-by-tick transaction data, allowing for a distinction between "main buy" and "main sell" transactions [1][59][62] Group 3: Trading Behavior Based on Price Levels - The SATD factor constructed during the lowest price moments demonstrates a strong predictive capability for future returns, outperforming factors constructed during the highest price moments [1][82][88] - The performance of the SATD factor improves as the threshold for defining low price moments becomes stricter [1][82] Group 4: Trading Behavior Based on Trading Volume - The SATD factor derived from the highest trading volume moments also exhibits strong predictive power, with a RankIC mean of 10.69% and a monthly win rate of 86% [1][3] - The article highlights the effectiveness of the composite factor constructed from various SATD factors across different market conditions and stock pools [1][3][4] Group 5: Composite Factor Performance - The composite factor, which combines various SATD factors, achieves a monthly RankIC mean of 10.33% and an annualized RankICIR of 4.32, indicating robust stock selection effectiveness across different indices and styles [1][3][4] - The composite factor maintains strong predictive capabilities even after traditional factors are stripped away, demonstrating its reliability in forecasting future stock returns [1][3][4]

Market Review - The A-share market showed a mixed performance among major indices, with the Small and Medium-sized Board Index, CSI 300, and ChiNext Index yielding returns of 1.83%, 1.54%, and 1.50% respectively, while the Sci-Tech 50, CSI 1000, and CSI 500 indices lagged with returns of -0.35%, 0.56%, and 0.81% respectively [6][12] - The steel, banking, and building materials sectors performed well, with returns of 5.27%, 3.78%, and 3.63% respectively, while comprehensive finance, computer, and overall sectors underperformed with returns of -4.45%, -0.86%, and -0.72% respectively [18][19] - The People's Bank of China conducted a net withdrawal of 1.3753 trillion yuan through reverse repos, with a total of 2.0275 trillion yuan maturing [20] Fund Issuance - A total of 23 new funds were established last week, with a total issuance scale of 5.328 billion yuan, which is a decrease compared to the previous week [4][43] - Among the newly established funds, 41.72 billion yuan was from equity funds, 0.89 billion yuan from mixed funds, and 10.67 billion yuan from bond funds, while no new alternative or money market funds were issued [43][44] - There were 36 funds that entered the issuance phase last week, and 41 funds are expected to start issuing this week [4][47] Fund Performance - The median returns for active equity, flexible allocation, and balanced mixed funds were 1.16%, 0.99%, and 0.99% respectively last week [31] - Year-to-date, alternative funds have shown the best performance with a median return of 11.34%, while active equity, flexible allocation, and balanced mixed funds had median returns of 6.02%, 3.47%, and 2.06% respectively [31][33] - The median excess return for index-enhanced funds was 0.17%, while quantitative hedging funds had a median return of 0.33% last week [34] New Fund Models - On July 4, the China Securities Regulatory Commission reported the application of 11 new floating-rate products, including those from major fund companies such as Bank of China Fund and Ping An Fund, with fee rates set at three levels: 1.2%, 1.5%, and 0.6% [7][8] New Index Launch - On June 30, the Beijing Stock Exchange and China Securities Index Co., Ltd. launched the North Exchange Specialized and Innovative Index, which selects the top 50 "little giant" companies based on market capitalization to reflect the overall performance of specialized and innovative companies listed on the North Exchange [10][11]