Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin Securities, focusing on outperforming the median returns of actively managed equity funds [2][3][31] - The report includes four main strategies: Excellent Fund Performance Enhancement Portfolio, Super Expectation Selected Portfolio, Broker Golden Stock Performance Enhancement Portfolio, and Growth Stability Portfolio [2][3][31] Group 2 Excellent Fund Performance Enhancement Portfolio - This strategy aims to benchmark against the median returns of actively managed equity funds, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [6][31] - As of this week, the portfolio has an absolute return of -1.03% and a relative excess return of -0.65% compared to the mixed equity fund index [10][34] - Year-to-date, the portfolio has achieved an absolute return of 11.69% and ranks in the 46.32 percentile among active equity funds [10][35] Super Expectation Selected Portfolio - This strategy selects stocks based on exceeding expectations and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio [13][38] - This week, the portfolio has an absolute return of 2.16% and a relative excess return of 2.55% compared to the mixed equity fund index [18][34] - Year-to-date, it has achieved an absolute return of 27.67% and ranks in the 11.53 percentile among active equity funds [18][39] Broker Golden Stock Performance Enhancement Portfolio - This strategy utilizes a stock pool from broker recommendations, optimizing the portfolio to minimize deviations from the stock pool while aiming to outperform the average performance of ordinary equity funds [16][40] - This week, the portfolio has an absolute return of -0.62% and a relative excess return of -0.24% compared to the mixed equity fund index [19][34] - Year-to-date, it has achieved an absolute return of 15.41% and ranks in the 33.73 percentile among active equity funds [19][41] Growth Stability Portfolio - This strategy focuses on growth stocks, prioritizing those with upcoming earnings announcements to capture excess returns during favorable periods [24][44] - This week, the portfolio has an absolute return of 1.23% and a relative excess return of 1.61% compared to the mixed equity fund index [27][34] - Year-to-date, it has achieved an absolute return of 31.57% and ranks in the 8.19 percentile among active equity funds [27][45]

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 August 1, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 1.54%, Shenzhen Component Index at 4.38%, CSI 300 at 4.73%, CSI 500 at 2.25%, CSI 1000 at 1.53%, CSI 2000 at 1.08%, ChiNext Index at 8.93%, and STAR Market 50 Index at 7.99% [6][25] - Among the CITIC first-level industry indices, Media, Communication, Pharmaceuticals, Defense, and Steel are closest to their 250-day new highs, while Food & Beverage, Coal, Real Estate, Home Appliances, and Transportation are further away [9][25] Group 2 - A total of 1,239 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the Pharmaceuticals, Machinery, and Basic Chemicals sectors [2][14] - The sectors with the highest proportion of new high stocks are Banking, Steel, and Non-ferrous Metals, with respective proportions of 64.29%, 56.60%, and 41.94% [14][16] - The manufacturing and cyclical sectors had the most new high stocks this week, with 381 and 297 stocks respectively, while the proportion of new high stocks in the CSI 2000, CSI 1000, CSI 500, CSI 300, ChiNext, and STAR Market indices are 21.85%, 20.30%, 21.80%, 19.33%, 16.00%, and 14.00% respectively [16][25] Group 3 - The report identifies 50 stocks that have shown stable new highs, including Shenghong Technology, Borui Pharmaceuticals, and Feilihua, with the most new high stocks in the Manufacturing and Technology sectors, totaling 15 and 14 respectively [3][21][26] - The Machinery industry had the highest number of new highs within the Manufacturing sector, while the Electronics industry led in the Technology sector [21][26]

Group 1 - The A-share market has experienced a strong rebound since September 24, 2023, driven by significant policy measures, with core broad indices recording over 20% gains, while the CSI 2000 index, which covers small and micro-cap companies, has surged over 64% [1][2][68] - The CSI 2000 index is characterized by low market capitalization and high elasticity, making it a key driver of the current market rally [1][2][68] - The People's Bank of China has implemented a moderately loose monetary policy, with M2 balance growing by 8.3% year-on-year as of June 2025, indicating continued liquidity support [1][3][68] Group 2 - The number of specialized and innovative enterprises within the CSI 2000 index has reached 521, accounting for 26.05%, primarily benefiting from targeted fiscal support and technological advancements [1][5][68] - The focus on specialized and innovative policies has been instrumental in promoting small and micro enterprises, aligning with the direction of "new quality productivity" [5][7][68] Group 3 - Institutional investors have shown increased interest in small-cap stocks, with the market capitalization of actively managed funds in the CSI 2000 index rising significantly since Q4 2024 [8][10][69] - The trading volume of the CSI 2000 index has increased from less than 10% in 2021 to nearly 30% of the total market trading volume, reflecting heightened investor activity [10][12][69] Group 4 - The CSI 2000 index, launched on August 11, 2023, selects 2000 securities with smaller market capitalizations and good liquidity, focusing on emerging industries [14][70] - As of July 18, 2025, the average market capitalization of the CSI 2000 index components is 5.355 billion, significantly lower than other indices like CSI 1000 and CSI 500 [17][70] Group 5 - The CSI 2000 index has shown superior long-term performance compared to other broad indices, with an annualized return of 9.29% since its inception [39][70] - The index's high growth potential is expected to offset its high valuation, with a price-to-earnings ratio of 138.35 as of July 18, 2025 [22][70] Group 6 - The Huaxia CSI 2000 ETF, launched on September 6, 2023, aims to track the CSI 2000 index and has achieved a cumulative excess return of 30.46% since its inception [43][71] - The ETF's excess returns are primarily attributed to stock selection, demonstrating effective management and strategy [55][71]

Group 1 - The article highlights the increasing frequency of "black swan" events in the A-share market, leading to significant drawdowns in excess returns for public index-enhanced products in 2024, marking the largest historical drawdown [1][4][6] - The "black swan index" has shown a higher proportion of extreme events occurring in 2024 compared to previous years, indicating a substantial increase in the probability of extreme tail risks [1][10][14] Group 2 - The evolution of risk models has transitioned from single-factor to multi-factor approaches, and from explicit to implicit risks, reflecting a deeper understanding of market risks [18][19][21] - Implicit risks are defined as those that change with market conditions and are not fully captured by traditional explicit risk models, making them crucial for comprehensive risk management [46][52] Group 3 - A comprehensive risk control process is proposed, consisting of three stages: preemptive measures, in-process control, and post-event handling, aimed at effectively managing both explicit and implicit risks [60][63] - The introduction of a full-process risk control model has shown to significantly reduce drawdowns and volatility without adversely affecting long-term returns [3][61] Group 4 - The traditional multi-factor index-enhanced model has demonstrated an annualized excess return of 18.77% with a maximum drawdown of 9.68%, while the model incorporating full-process risk control has achieved an annualized excess return of 16.51% with a maximum drawdown of only 4.90% [3][5] - The performance metrics indicate that the full-process risk control model enhances the stability of excess returns while minimizing drawdowns and volatility [3][5][61]

Core Viewpoint - The article emphasizes the importance of the Guoxin Jin Gong team in providing valuable insights and analysis in the investment banking sector [1] Group 1 - The Guoxin Jin Gong team has a strong track record in industry and company research, showcasing their expertise in identifying investment opportunities and risks [1] - The team utilizes a comprehensive approach to analyze various news, events, and financial reports, which aids in making informed investment decisions [1] - The article highlights the team's ability to interpret complex data and trends, making them a reliable source for investors [1]

报 告 摘 要 一、上周市场回顾 二、开放式公募基金表现 三、基金产品发行情况 上周新成立基金 46 只，合计发行规模为 276.04 亿元，较前一周有所增 加。此外，上周有 23 只基金首次进入发行阶段，本周将有 30 只基金开始 发行。 一 上周市场回顾 上周共上报 37 只基金， 较 上上周申报数量 有所增加。 申报的产品包括 1 只 FOF 、 1 只 QDII ，汇添富中证金融科技主题 ETF 、国泰中证港股通汽车产 业主题 ETF 、华安恒生生物科技 ETF 、易方达中证金融科技主题 ETF 、国泰君安恒生消费指数基金 (QDII) 、中航天虹消费封闭式 REIT 等。 二、第二批新型浮动费率基金获批 7 月 24 日，第二批 12 只新型浮动费率基金获批，与首批产品相比，第二批新型浮动费率基金不仅包括全市场选股产品，还包括制造业、高端装备、医药等 行业主题产品。 上周 A 股市场主要宽基指数全线上涨，科创 50 、中证 500 、创业板指指 数收益靠前，收益分别为 4.63% 、 3.28% 、 2.76% ，上证综指、沪深 300 、深证成指指数收益靠后，收益分别为 1.67% 、 1.69% ...

Group 1 - The core viewpoint of the article is to track the performance of various index enhancement portfolios and the factors influencing stock selection across different indices, highlighting the excess returns achieved by these portfolios [1][2][3]. Group 2 - The performance of the HuShen 300 index enhancement portfolio this week showed an excess return of 0.78%, with a year-to-date excess return of 9.31% [5]. - The performance of the Zhongzheng 500 index enhancement portfolio this week showed an excess return of -0.52%, with a year-to-date excess return of 9.90% [5]. - The Zhongzheng 1000 index enhancement portfolio had an excess return of 0.07% this week, with a year-to-date excess return of 15.69% [5]. - The Zhongzheng A500 index enhancement portfolio reported an excess return of 0.26% this week, with a year-to-date excess return of 9.96% [5]. Group 3 - In the HuShen 300 component stocks, factors such as specificity, EPTTM one-year quantile, and quarterly net profit year-on-year growth performed well [8]. - In the Zhongzheng 500 component stocks, factors like three-month volatility, EPTTM one-year quantile, and expected BP showed good performance [8]. - For Zhongzheng 1000 component stocks, factors such as three-month institutional coverage, three-month reversal, and expected BP performed well [8]. - In the Zhongzheng A500 index component stocks, factors like specificity, three-month reversal, and expected net profit month-on-month growth performed well [8]. Group 4 - The HuShen 300 index enhancement products had a maximum excess return of 1.28%, a minimum of -0.98%, and a median of 0.12% this week [21]. - The Zhongzheng 500 index enhancement products had a maximum excess return of 1.41%, a minimum of -1.31%, and a median of 0.04% this week [21]. - The Zhongzheng 1000 index enhancement products had a maximum excess return of 0.82%, a minimum of -0.47%, and a median of 0.15% this week [21]. - The Zhongzheng A500 index enhancement products had a maximum excess return of 1.16%, a minimum of -0.57%, and a median of -0.04% this week [21].

Core Viewpoint - The article provides a comprehensive performance tracking of various active quantitative strategies by GuoXin JinGong, highlighting their absolute and relative returns against the benchmark of active equity funds, with a focus on identifying investment opportunities and risks in the current market environment [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 2.29% this week and 12.86% year-to-date, ranking in the 44.05 percentile among active equity funds [12][6]. - The "Super Expected Selection Portfolio" had an absolute return of 0.45% this week and 24.97% year-to-date, ranking in the 13.64 percentile among active equity funds [9][13]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" recorded an absolute return of 1.75% this week and 16.12% year-to-date, ranking in the 32.52 percentile among active equity funds [22][19]. - The "Growth and Stability Portfolio" achieved an absolute return of 0.28% this week and 29.97% year-to-date, ranking in the 8.27 percentile among active equity funds [23][24]. Group 2: Strategy Descriptions - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median return of active equity funds by utilizing quantitative methods to enhance the selection of top-performing funds [4][33]. - The "Super Expected Selection Portfolio" focuses on stocks with upward revisions in earnings forecasts, selecting those with strong fundamentals and technical support to construct a high-potential stock portfolio [37][9]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is built on a selection of stocks recommended by brokerage analysts, optimizing the portfolio to align closely with the performance of the brokerage stock pool [41][17]. - 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 [46][47].

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]