报 告 摘 要 乘势而起：市场新高趋势追踪 触及新高的个股、行业和板块可被视为市场的风向标。越来越多的研究表明动量、趋势跟踪策略的有效性。本报告旨在定期跟踪市场中创新高的个股及其 分布，以追踪市场趋势、把握市场热点。 截至2025年7月25日，上证指数、深证成指、沪深300、中证500、中证1000、中证2000、创业板指、科创50指数250日新高距离分别为0.33%、 2.84%、3.03%、0.49%、0.00%、0.00%、8.24%、6.45%。中信一级行业指数中基础化工、有色金属、钢铁、轻工制造、国防军工行业指数距离250 日新高较近，食品饮料、煤炭、房地产、消费者服务、计算机行业指数距离250日新高较远。概念指数中，5G、区块链、可转债正股、新能源汽车、工业 母机、金属非金属、万得双创等概念指数距离250日新高较近。 见微知著：利用创新高个股进行市场监测 截至2025年7月25日，共1178只股票在过去20个交易日间创出250日新高。其中创新高个股数量最多的是医药、机械、基础化工行业，创新高个股数量占 比最高的是银行、钢铁、有色金属行业。按照板块分布来看，本周制造、周期板块创新高股票数量最多；按照 ...

Group 1: Overview of Public FOF Funds in Q2 2025 - As of Q2 2025, a total of 518 FOF products have been established, with a combined scale of 166.198 billion yuan, representing a 10.01% increase compared to Q1 2025 [1][6][9] - The scale of different types of FOFs in Q2 2025 is as follows: 92.091 billion yuan for bond-type FOFs, 32.454 billion yuan for balanced-type FOFs, and 41.652 billion yuan for equity-type FOFs, with median returns of 1.20%, 1.76%, and 2.62% respectively [1][6][16] Group 2: FOF Fund Manager Preferences - The most held active equity funds by FOFs in Q2 2025 are Dachen Gaoxin A, Fuguo Stable Growth A, and Bodao Growth Zhihang C, with the largest holdings being Dachen Gaoxin A, Yifangda Kerong, and Yifangda Information Industry Selected C [2][23] - In the bond fund category, the most held funds are Yifangda Suifeng Tianli A, Guangfa Pure Bond A, and Yifangda Credit Bond A, with the largest holdings being Boshi Credit Preferred A, Yifangda Suifeng Tianli A, and Boshi Credit Pure Bond A [2][23] Group 3: Changes in Fund Allocations - Compared to Q1 2025, the most net increased active equity funds by FOFs in Q2 2025 are Dachen Gaoxin A, Huashang Yuanjian Value C, and Qianhai Kaiyuan Gold and Silver Jewelry A, with the largest net increase in scale for Jiao Yin Technology Innovation C, Yifangda Smart Manufacturing Advantage C, and Yifangda Supply-side Reform [3][39] - In the bond fund category, the most net increased funds are Xingquan Stable A, Huatai Bairui Seasonal Red A, and Fuguo Industrial Bond A, with the largest net increase in scale for Boshi Credit Preferred A, Boshi Credit Pure Bond A, and Boshi Anyue Short Bond A [3][39] Group 4: FOF Fund Managers - The top three active equity fund managers with the most FOF allocations are Liu Xu, Fan Yan, and Xu Yan, while the top three "fixed income +" fund managers are Wang Xiaocheng, Peng Chengjun, and Zhang Ting [4][23] Group 5: FOF Stock Investment Situation - As of Q2 2025, 149 FOFs have directly invested in stocks, with the highest proportion of stock investments in balanced-type FOFs, followed by equity-type FOFs [5][6] - The top three stocks held by FOFs are Ningde Times, Changjiang Electric Power, and Zijin Mining, with the highest market value held in Ningde Times, Haomai Technology, and Wuliangye [5][6]

Group 1 - As of July 22, 2025, the dividend progress of constituent stocks in major indices shows that 40 companies in the SSE 50 Index have distributed dividends, while 3 companies have not [1] - In the CSI 300 Index, 221 companies have distributed dividends, and 26 companies have not [1] - The CSI 500 Index has 370 companies that have distributed dividends, with 77 companies not distributing [1] - The CSI 1000 Index has 735 companies that have distributed dividends, while 210 companies have not [1] Group 2 - The current dividend yield statistics indicate that the coal, banking, and steel industries rank the highest in terms of dividend yield [4] - The realized dividend yields as of July 22, 2025, are 2.04% for the SSE 50 Index, 1.56% for the CSI 300 Index, 1.09% for the CSI 500 Index, and 0.86% for the CSI 1000 Index [6][49] - The remaining dividend yields are 0.17% for the SSE 50 Index, 0.27% for the CSI 300 Index, 0.15% for the CSI 500 Index, and 0.07% for the CSI 1000 Index [6] Group 3 - The annualized premium for the IH main contract is 3.30%, while the IF main contract has a premium of 2.68%. The IC main contract shows a discount of 5.68%, and the IM main contract has a discount of 9.94% as of July 22, 2025 [1] - The tracking of index futures premium and discount levels is essential for understanding market sentiment and risk preferences among institutional investors [2] Group 4 - The methodology for estimating dividend points in index futures is crucial for accurately assessing the premium and discount levels of futures contracts [28] - The report emphasizes the importance of considering the impact of constituent stock dividends on index point levels when calculating futures premiums [2][28]

报 告 摘 要 一、基金仓位监控 普通股票型基金 仓位中位数为91.27%， 偏股混合型基金 仓位中位数为90.08%，与上一季 度相比略有提升，自2020年以来持续围绕在90%仓位震荡。普通股票型基金仓位处在历史 88.71%分位点，偏股混合型基金仓位处在历史93.55%分位点。 普通股票型和偏股混合型基金 港股仓位 均值分别为12.91%和16.85%，均较上一季度进一 步提升。普通股票型配置港股基金数量为233只，偏股混合型配置港股基金数量为1601只， 普通股票型以及偏股混合型基金中配置港股的基金数量占比为58.35%。 二、基金持股集中度监控 基金重仓股占权益配置比重为52.23%，上一期为53.21%，略有降低；另一方面，基金持股 数量在2025年二季度相较于上一季度有所增加，基金经理总体持股数量为2436只，这意味 着，基金经理持仓的股票差异化有所提升。 三、板块配置监控 2025年二季报中披露的主板配置权重为52.44%、创业板配置权重为15.3%、科创板配置权 重为12.31%，港股配置权重为19.94%，其中创业板配置权重较上个季度提升1.78%，主板 较上个季度降低2.64%。 在202 ...

Market Review - The A-share market saw all major broad-based indices rise last week, with the ChiNext Index, the SME Index, and the Shenzhen Component Index leading with returns of 3.17%, 2.26%, and 2.04% respectively, while the Shanghai Composite Index, CSI 300, and CSI 500 lagged with returns of 0.69%, 1.09%, and 1.20% respectively [6][12] - The total trading volume of major broad-based indices increased last week, with the average daily trading volume also rising over the past month, placing indices within the 75%-90% historical percentile range over the last 36 months [14][15] Fund Performance - Last week, 35 new funds were established with a total issuance scale of 181.85 billion yuan, a decrease from the previous week. The issuance included 118.58 billion yuan in equity funds, 0.22 billion yuan in mixed funds, and 63.05 billion yuan in bond funds [4][45] - The median returns for active equity, flexible allocation, and balanced mixed funds were 2.23%, 1.36%, and 1.14% respectively last week. Year-to-date, alternative funds performed best with a median return of 14.29%, while active equity, flexible allocation, and balanced mixed funds had median returns of 9.49%, 5.79%, and 3.36% respectively [6][33][40] Fund Issuance Dynamics - A total of 26 funds were reported for issuance last week, a decrease from the previous week. The reported products included 3 FOFs and several ETFs focused on innovative pharmaceuticals and the Hong Kong stock market [5][6] - The number of newly established funds last week included 17 passive index funds and 5 equity mixed funds, with issuance scales of 62.55 billion yuan and 46.77 billion yuan respectively [46] ETF Developments - The Shanghai Stock Exchange announced progress in its ETF mutual cooperation with the Brazilian Securities and Futures Exchange, with the successful issuance of a fund tracking the China A50 ETF, enhancing investment access for Brazilian investors to Chinese assets [11] - The China Securities Index Co. will officially launch the CSI A500 Free Cash Flow Index on July 16, 2025, aimed at providing more investment targets by selecting 50 companies with high free cash flow rates from the CSI A500 Index [7] Bond Market - As of last Friday, the central bank's net reverse repurchase injection was 1.3011 trillion yuan, with 425.7 billion yuan maturing, resulting in a net open market injection of 1.7268 trillion yuan. The pledge-style repo rates and SHIBOR rates saw increases of 8.43 basis points and 12.90 basis points respectively [20][21] - The yield spread for different-rated credit bonds has decreased, indicating a general decline in interest rates across various maturities [22][25] Open-End Fund Overview - As of last week, there were 244 ordinary FOF funds, 120 target date funds, and 154 target risk funds in the open-end public fund category. The median performance of target date funds was the best this year, with a cumulative return of 5.19% [38][40]

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 0.42% this week and 8.31% year-to-date [1][4] - The CSI 500 index enhanced portfolio recorded an excess return of 0.63% this week and 10.17% year-to-date [1][4] - The CSI 1000 index enhanced portfolio had an excess return of 0.48% this week and 15.24% year-to-date [1][4] - The CSI A500 index enhanced portfolio saw an excess return of 0.28% this week and 9.48% year-to-date [1][4] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as quarterly revenue growth rate, DELTAROA, and quarterly ROE performed well [1][7] - In the CSI 500 component stocks, factors like one-year momentum, standardized unexpected revenue, and standardized unexpected earnings showed strong performance [1][7] - In the CSI 1000 component stocks, factors such as three-month reversal, standardized unexpected revenue, and quarterly earnings surprise performed well [1][7] - In the CSI A500 index component stocks, factors like DELTAROA, standardized unexpected earnings, and quarterly ROA performed well [1][7] - Among publicly offered fund heavy stocks, factors like one-year momentum, standardized unexpected revenue, and expected net profit quarter-on-quarter performed well [1][7] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced product had a maximum excess return of 2.14%, a minimum of -0.62%, and a median of -0.06% this week [1][20] - The CSI 500 index enhanced product recorded a maximum excess return of 0.73%, a minimum of -1.10%, and a median of -0.09% this week [1][22] - The CSI 1000 index enhanced product achieved a maximum excess return of 0.91%, a minimum of -0.81%, and a median of 0.13% this week [1][21] - The CSI A500 index enhanced product had a maximum excess return of 1.06%, a minimum of -0.90%, and a median of -0.02% this week [1][23]

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].