Core Viewpoint - The article discusses the upcoming Quantitative Salon hosted by Guoxin Securities, focusing on various investment strategies and risk management techniques in the financial sector [1][2]. Summary by Sections Event Details - The Quantitative Salon will take place on August 20, 2025, from 13:30 to 17:00 at the Beijing St. Regis Hotel [1]. - The event will feature multiple sessions led by experts from Guoxin Securities, including Zhang Xinwei and Zhang Yu, who will cover topics such as stock selection strategies and risk models [1][2]. Agenda Highlights - The agenda includes: - Analysis of stable stock selection strategies [1]. - Multi-strategy enhanced portfolio from a heuristic perspective [1]. - Insights into alpha information from special moments in intraday trading [1]. - Comprehensive risk model strategies [2]. - Expansion and enhancement of alpha factors in financial statements [4]. - Examination of fund managers' contrarian investment capabilities and performance [4]. - Unified improvement framework for selection factors from a latent risk perspective [4]. Participation Information - Participation is limited, and interested attendees must register through a designated link. Confirmation will be provided via phone or SMS [2]. - Attendees who successfully register and attend will receive a copy of the "Guoxin Financial Engineering Team 2025 Research Report Collection" [5].

Financial Factor Extraction - The generation paradigm of financial factors involves defining operational rules (operators) and calculating factors from various financial indicators, resulting in approximately 100,000 factors extracted from financial statements, forecasts, and notes [1][27][40] - A preliminary screening of factors based on RankIC mean values and annualized RankICIR led to the identification of 4,427 effective factors, indicating a significant number of factors with potential predictive power [27][35][40] Multi-Dimensional Financial Factor Expansion - The introduction of new operators and data sources enhances the performance of classic factors, with the development of a cross-sectional percentile difference operator improving the performance of classic factors significantly [1][42][45] - The addition of financial note data has provided incremental information, with the composite factor derived from notes showing a RankIC mean of 4.78% and an annualized RankICIR of 2.69, indicating strong predictive capabilities [1][62][69] Alpha Factor Library Expansion and Enhancement - Traditional factor synthesis methods face challenges such as style drift when combining numerous factors without considering their styles, leading to unstable performance [1][3] - The proposed "clustering-expansion-synthesis" method effectively groups factors based on their correlation, resulting in the creation of eight major categories of factors, which outperform direct synthesis of all factors [1][3][6] Performance of Enhanced Factors - Empirical research shows that the performance of clustered enhanced factors is superior, with a monthly RankIC mean of 12.08% and an annualized RankICIR of 5.32 since 2013, indicating strong predictive power [4][6] - The enhanced factors demonstrate significant improvements in monthly excess returns compared to traditional composite factors, particularly in value and growth categories [4][6][62]

Market Review - The A-share market saw all major indices rise last week, with the CSI 1000, Shanghai Composite Index, and CSI 500 leading with returns of 2.51%, 2.11%, and 1.78% respectively, while the ChiNext, STAR 50, and CSI 300 lagged with returns of 0.49%, 0.65%, and 1.23% [1][14] - The total trading volume of major indices decreased last week, although the average daily trading volume over the past month was at a historical percentile level of 75%-100% [16][17] - In terms of industry performance, non-ferrous metals, machinery, and defense industries had the highest returns at 5.83%, 5.75%, and 5.24% respectively, while pharmaceuticals, consumer services, and computers had negative or minimal returns [19][21] Fund Performance - Active equity, flexible allocation, and balanced mixed funds had returns of 1.71%, 1.30%, and 1.29% respectively last week. Year-to-date, alternative funds performed the best with a median return of 14.99% [34][36] - The median excess return for index-enhanced funds was 0.14%, while quantitative hedge funds had a median return of 0.27%. Year-to-date, the excess median for index-enhanced funds was 3.95% [37] Fund Issuance - A total of 397.39 billion yuan was raised from new fund issuances last week, an increase from the previous week. The issuance included 117.59 billion yuan from equity funds, 28.73 billion yuan from mixed funds, and 251.08 billion yuan from bond funds [45][46] - 38 new funds entered the issuance phase last week, with 31 more expected to start this week [2] Central Bank Actions - As of last Friday, the central bank's net reverse repurchase was 536.5 billion yuan, with a total of 1.1267 trillion yuan in net open market operations [22][24] - The People's Bank of China has increased its gold reserves for nine consecutive months, with the official gold reserve reaching 7.396 million ounces, an increase of 60,000 ounces from the end of June [12] Fund Manager Changes - Last week, 41 fund companies reported changes in 79 fund managers, indicating a significant turnover in management [42]

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 0.86% this week and 10.78% year-to-date [1][6] - The CSI 500 index enhanced portfolio recorded an excess return of 0.16% this week and 11.24% year-to-date [1][6] - The CSI 1000 index enhanced portfolio experienced an excess return of -0.29% this week but has a year-to-date excess return of 15.73% [1][6] - The CSI A500 index enhanced portfolio had an excess return of 0.29% this week and 11.42% year-to-date [1][6] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as DELTAROE, expected PEG, and expected EPTTM performed well [1][7] - In the CSI 500 component stocks, factors like one-year momentum, expected net profit month-on-month, and one-month reversal showed strong performance [1][7] - For the CSI 1000 component stocks, factors such as DELTAROA, single-quarter net profit year-on-year growth rate, and single-quarter surprise magnitude performed well [1][7] - In the CSI A500 index component stocks, factors like expected PEG, DELTAROE, and expected EPTTM showed good performance [1][7] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 0.82%, a minimum of -0.24%, and a median of 0.26% this week [1][18] - The CSI 500 index enhanced products achieved a maximum excess return of 0.95%, a minimum of -0.73%, and a median of 0.14% this week [1][22] - The CSI 1000 index enhanced products recorded a maximum excess return of 0.69%, a minimum of -0.64%, and a median of -0.02% this week [1][25] - The CSI A500 index enhanced products had a maximum excess return of 0.85%, a minimum of -0.33%, and a median of 0.34% this week [1][24]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin Securities, focusing on their absolute and relative returns against benchmarks, particularly the active equity fund median [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 1.20% this week and 13.04% year-to-date, with a relative underperformance of -0.53% and -2.98% against the mixed equity fund index respectively [1][10]. - The "Super Expected Selection Portfolio" recorded an absolute return of 1.66% this week and 29.80% year-to-date, outperforming the mixed equity fund index by 13.79% this year [1][19]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 2.51% this week and 18.31% year-to-date, with a relative outperformance of 2.29% against the mixed equity fund index [1][20]. - The "Growth and Stability Portfolio" achieved an absolute return of 3.30% this week and 35.91% year-to-date, outperforming the mixed equity fund index by 19.89% this year [1][27]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median returns of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [7][33]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a robust stock selection [13][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks from the brokerage's recommended list, optimizing for minimal deviation from the benchmark [16][43]. - The "Growth and Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [25][47].

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4][26] - As of August 8, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.12%, Shenzhen Component Index 3.19%, CSI 300 3.55%, CSI 500 0.53%, CSI 1000 0.35%, CSI 2000 0.23%, ChiNext Index 8.48%, and STAR 50 Index 7.39% [6][26] - The industries closest to their 250-day new highs include machinery, non-ferrous metals, basic chemicals, light industry manufacturing, and textile and apparel, while food and beverage, coal, real estate, consumer services, and comprehensive finance are further away [9][26] Group 2 - A total of 1,336 stocks reached a 250-day new high in the past 20 trading days, with the most in the pharmaceutical, machinery, and basic chemicals sectors [2][14][26] - The highest proportion of new high stocks is found in the steel, defense, and non-ferrous metals industries, with respective proportions of 54.72%, 47.06%, and 43.55% [14][16] - The manufacturing and cyclical sectors had the most new high stocks this week, with 437 and 310 stocks respectively [16][26] Group 3 - The report identifies 50 stable new high stocks based on analyst attention, relative strength, trend continuity, price path stability, and new high sustainability [3][21][27] - The manufacturing sector had the most stable new high stocks, particularly in the machinery industry, while the cyclical sector's highest was in basic chemicals [21][27]

Core Viewpoint - The article outlines the agenda for the 2025 Quantitative Salon in Shanghai, focusing on various investment strategies and risk management techniques in the financial sector [1][2]. Group 1: Event Details - The event is scheduled for August 13, 2025, from 13:30 to 17:00 at the Jinling Zijinshan Hotel in Shanghai [1]. - The agenda includes multiple sessions led by experts from Guosen Securities, covering topics such as stock selection strategies, multi-strategy enhancement, and risk models [1][2]. Group 2: Session Summaries - The first session will discuss "Steady Stock Selection Strategies" led by Zhang Xinwei, the Chief Analyst of Financial Engineering at Guosen Securities [1]. - The second session will focus on "Multi-Strategy Enhanced Portfolio from a Heuristic Perspective," also presented by Zhang Xinwei [1]. - The third session will cover "Alpha Information Contained in Intraday Special Moments," presented by Neng Yu, Co-Chief Analyst of Financial Engineering [1]. - The fourth session will address "Comprehensive Guide to Risk Models," led by Zhang Yu, Co-Chief Analyst of Financial Engineering [2]. - The fifth session will explore "Expansion and Enhancement of Alpha Factors in Financial Statements," also by Zhang Yu [4]. - The sixth session will discuss "Contrarian Investment Ability and Performance of Fund Managers," presented by Chen Mengqi, an Analyst at Guosen Securities [4]. - The final session will focus on "Unified Improvement Framework for Selection Factors from the Perspective of Hidden Risks," led by Hu Zhichao, an Analyst at Guosen Securities [4]. Group 3: Participation and Benefits - Participation is limited, and interested attendees must register through a specific process to ensure a good experience [2]. - Attendees who successfully register and attend will receive a copy of the "Selected Research Report of Guosen Financial Engineering Team for 2025" [5].

Group 1 - The core viewpoint of the article highlights the increasing demand for stable asset allocation due to ongoing volatility in the equity market and declining yields in traditional fixed-income assets [1][2][4][61] - The major broad-based indices (CSI 300, CSI 500, CSI 1000) have experienced multiple annual drawdowns exceeding 10% since 2020, with maximum drawdowns generally exceeding 35%, indicating a high level of market volatility [2][61] - The 10-year government bond yield has decreased from 3.14% at the end of 2020 to 1.65% by mid-2025, creating significant pressure on traditional fixed-income products and prompting institutions to seek diversified asset allocation [4][61] Group 2 - The implementation of asset management regulations in 2018 has broken the rigid repayment mechanism, prohibiting guaranteed returns and promoting net value management, which has led to a transformation in the asset management industry [6][10][12] - The personal pension system was established in 2022, leading to a significant expansion of target funds, with the number of target date FOFs increasing from 44 in 2020 to 119 by 2025, and target risk FOFs growing from 52 to 154 in the same period [13][14][62] - Current target risk and mixed bond FOFs show room for improvement in drawdown control, with only 3.50% of target risk FOFs and 10.71% of mixed bond FOFs managing to keep maximum drawdowns under 1% [17][62] Group 3 - The "Invesco Great Wall Conservative Pension Target One-Year Holding" (Fund Code: 019665.OF) is a target risk FOF fund launched on March 20, 2024, with a current scale of 358 million yuan as of Q2 2025 [21][63] - The fund has achieved a cumulative return of 6.66% since inception, with a one-year return of 5.13% and a maximum drawdown of only 0.88%, indicating strong performance in terms of risk-adjusted returns [31][63] - The fund employs a diversified asset allocation strategy, combining strategic and tactical approaches, and focuses on risk control and volatility management to achieve stable returns [25][64]

Group 1: Monthly Performance of US Public Funds - In June 2025, US equity funds outperformed international equity funds, bond funds, and asset allocation funds, with median returns of 4.48%, 3.59%, 1.10%, and 3.32% respectively [1][7][9]. Group 2: Fund Flows and Trends - In June 2025, the US fund market saw a net inflow of $696 billion into passive funds, while active funds experienced a net outflow of $231 billion [8][21]. - The total number of new funds established in June 2025 was 94, comprising 79 ETFs and 15 open-end funds, with 65 new equity funds, 21 bond funds, and 8 asset allocation funds [3][44]. Group 3: Insights from Leading Asset Management Firms - Key themes from leading asset management firms include the outlook on US macroeconomic conditions, stock market perspectives, and the impact of geopolitical events on inflation and investment strategies [4][46][49]. - Firms like PIMCO and Capital Group emphasize the importance of maintaining a balanced portfolio amid economic uncertainties and market volatility [49][50].

Group 1 - The core viewpoint of the article is to track and analyze the performance of various index enhancement portfolios and stock selection factors across different indices, highlighting their excess returns and factor performance [2][3][20]. Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of 0.47% for the week and 9.69% year-to-date [8][24]. - The performance of the Zhongzheng 500 index enhancement portfolio showed an excess return of 0.92% for the week and 10.86% year-to-date [8][26]. - The Zhongzheng 1000 index enhancement portfolio had an excess return of 0.08% for the week and 15.70% year-to-date [8][30]. - The Zhongzheng A500 index enhancement portfolio reported an excess return of 1.00% for the week and 10.95% year-to-date [8][31]. Group 3 - In the HuShen 300 component stocks, factors such as single-season ROA, standardized expected external income, and single-season revenue year-on-year growth performed well [9][11]. - For Zhongzheng 500 component stocks, factors like standardized expected external income, single-season net profit year-on-year growth, and standardized expected external profit showed strong performance [11][12]. - In the Zhongzheng 1000 component stocks, standardized expected external income, standardized expected external profit, and single-season revenue year-on-year growth were notable [11][14]. - The Zhongzheng A500 index component stocks had strong performances in single-season ROA, DELTAROA, and DELTAROE [11][17]. Group 4 - The public fund index enhancement products for HuShen 300 showed a maximum excess return of 1.58% and a minimum of -0.61% for the week, with a median of 0.13% [24]. - The Zhongzheng 500 index enhancement products had a maximum excess return of 1.06% and a minimum of -0.83% for the week, with a median of 0.16% [26]. - The Zhongzheng 1000 index enhancement products reported a maximum excess return of 1.08% and a minimum of -0.54% for the week, with a median of 0.21% [30]. - The Zhongzheng A500 index enhancement products had a maximum excess return of 0.86% and a minimum of -0.58% for the week, with a median of 0.09% [31].