Group 1 - The core viewpoint of the article is to track the performance of various index enhancement portfolios and stock selection factors across different indices, highlighting their excess returns and factor performance over recent periods [1][2][3]. Group 2 - The performance of the CSI 300 index enhancement portfolio showed an excess return of -0.11% for the week and 6.68% year-to-date [5]. - The CSI 500 index enhancement portfolio recorded an excess return of -0.18% for the week and 7.95% year-to-date [5]. - The CSI 1000 index enhancement portfolio had an excess return of -0.79% for the week and 12.30% year-to-date [5]. - The CSI A500 index enhancement portfolio reported an excess return of -0.26% for the week and 7.34% year-to-date [5]. Group 3 - In the CSI 300 component stocks, factors such as quarterly profit growth year-on-year, three-month reversal, and specificity performed well [6]. - In the CSI 500 component stocks, factors like one-year momentum, specificity, and quarterly revenue growth year-on-year showed strong performance [6]. - For the CSI 1000 component stocks, one-year momentum, three-month reversal, and standardized unexpected earnings were notable [6]. - In the CSI A500 index component stocks, quarterly profit growth year-on-year, three-month reversal, and one-year momentum were effective [6]. Group 4 - The public fund index enhancement products for the CSI 300 had a maximum excess return of 0.98%, a minimum of -0.64%, and a median of 0.20% for the week [19]. - The CSI 500 index enhancement products had a maximum excess return of 0.82%, a minimum of -1.45%, and a median of -0.17% for the week [19]. - The CSI 1000 index enhancement products recorded a maximum excess return of 1.47%, a minimum of -1.10%, and a median of 0.01% for the week [19]. - The CSI A500 index enhancement products had a maximum excess return of 0.95%, a minimum of -0.48%, and a median of 0.11% for the week [19].

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin Securities, focusing on their ability to outperform the median returns of actively managed equity funds, with specific emphasis on four main strategies: Excellent Fund Performance Enhancement, Expected Surprises Selection, Broker Golden Stocks Performance Enhancement, and Growth Stability Combination [2][31]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement strategy achieved an absolute return of 3.68% this week and 6.12% year-to-date, ranking in the 41.19th percentile among active equity funds [12][6]. - The Expected Surprises Selection strategy recorded an absolute return of 1.78% this week and 14.68% year-to-date, ranking in the 14.67th percentile among active equity funds [9][13]. - The Broker Golden Stocks Performance Enhancement strategy had an absolute return of 2.36% this week and 9.03% year-to-date, ranking in the 29.66th percentile among active equity funds [22][17]. - The Growth Stability Combination strategy achieved an absolute return of 3.41% this week and 21.70% year-to-date, ranking in the 5.71st percentile among active equity funds [23][24]. Group 2: Excellent Fund Performance Enhancement - This strategy benchmarks against the median returns of actively managed equity funds, utilizing a quantitative approach to enhance performance based on the holdings of top-performing funds [4][32]. - The strategy's year-to-date performance shows a net value increase of 6.12%, compared to a 6.87% increase in the benchmark index [6][12]. Group 3: Expected Surprises Selection - The strategy 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 [36][9]. - Year-to-date, this strategy has outperformed the benchmark index by 7.81%, with a total return of 14.68% [9][13]. Group 4: Broker Golden Stocks Performance Enhancement - This strategy is based on a selection of stocks identified by broker recommendations, aiming to optimize the portfolio while controlling deviations from the broker stock pool [41][16]. - The year-to-date performance of this strategy shows a return of 9.03%, outperforming the benchmark index by 2.17% [22][17]. Group 5: Growth Stability Combination - This strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [46][19]. - The year-to-date performance of this strategy is 21.70%, significantly exceeding the benchmark index by 14.83% [23][24].

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 June 27, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 1.88%, Shenzhen Component Index at 9.71%, CSI 300 at 7.86%, CSI 500 at 7.38%, CSI 1000 at 5.07%, CSI 2000 at 1.91%, ChiNext Index at 16.70%, and STAR 50 Index at 12.30% [5][25] - The industry indices that are closest to their 250-day new highs include comprehensive finance, non-ferrous metals, banking, communication, and defense industries, while coal, food and beverage, real estate, oil and petrochemicals, and consumer services are further away [8][25] Group 2 - A total of 832 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 122, 105, and 80 stocks respectively [2][13] - The highest proportion of new high stocks is found in the banking, comprehensive finance, and textile and apparel industries, with proportions of 92.86%, 36.36%, and 26.26% respectively [13][15] - The manufacturing and cyclical sectors had the most new high stocks this week, with 229 and 197 stocks respectively, while the proportions of new highs in various indices are: CSI 2000 at 15.20%, CSI 1000 at 11.80%, CSI 500 at 12.40%, CSI 300 at 14.33%, ChiNext at 6.00%, and STAR 50 at 8.00% [15] Group 3 - The report identifies 32 stocks that are considered stable new highs, including Shenghong Technology, Shijia Photon, and Giant Network, with the technology and large financial sectors having the most stocks selected, totaling 8 and 7 respectively [3][20][26] - The technology sector's highest number of new highs is in the electronics industry, while the banking industry leads in the large financial sector [20][26] - 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][19]

Key Points - The article discusses the dividend progress of constituent stocks in various indices as of June 25, 2025, highlighting the number of companies at different stages of dividend declaration and implementation [1][4][27] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][3] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index having a realized yield of 0.81% and a remaining yield of 1.45% [11][10] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 7.56% while the IC main contract has an annualized discount of 3.62% [1][22] Dividend Progress of Constituent Stocks - As of June 25, 2025, the Shanghai 50 Index has 9 companies in the proposal stage, 13 in the decision stage, 5 in the implementation stage, 20 that have paid dividends, and 3 that have not [1][4] - The CSI 300 Index has 44 companies in the proposal stage, 77 in the decision stage, 30 in the implementation stage, 123 that have paid dividends, and 26 that have not [1][4] - The CSI 500 Index has 37 companies in the proposal stage, 89 in the decision stage, 39 in the implementation stage, 258 that have paid dividends, and 77 that have not [1][4] - The CSI 1000 Index has 40 companies in the proposal stage, 159 in the decision stage, 54 in the implementation stage, 529 that have paid dividends, and 218 that have not [1][4] Industry Dividend Yield Comparison - The article provides statistics on the dividend yields of stocks that have disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][3] Realized and Remaining Dividend Yields - The realized dividend yields as of June 25, 2025, are as follows: - Shanghai 50 Index: 0.81% realized, 1.45% remaining [11] - CSI 300 Index: 0.79% realized, 1.14% remaining [11] - CSI 500 Index: 0.86% realized, 0.47% remaining [11] - CSI 1000 Index: 0.71% realized, 0.32% remaining [11] Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premium and discount of stock index futures as of June 25, 2025: - IH main contract: 7.56% premium [1][22] - IF main contract: 2.64% premium [1][22] - IC main contract: 3.62% discount [1][22] - IM main contract: 6.77% discount [1][22]

Group 1: Monthly Performance of US Public Funds - In May 2025, US equity funds outperformed international equity funds, bond funds, and asset allocation funds, with median returns of 5.59%, 4.57%, 0.08%, and 3.31% respectively [1][7][12] Group 2: Fund Flows and Trends - In May 2025, there was a net outflow of $2.3 billion from actively managed funds, while passive funds saw a net inflow of $593 billion [9][19] - The top 10 asset management firms in the US experienced net outflows from their open-end funds, except for Fidelity and PIMCO, with American Funds and Vanguard seeing significant outflows of $8.3 billion and $7.8 billion respectively [31] - In the ETF segment, the top 10 firms, except for State Street, also faced net outflows, with iShares and Vanguard having the highest inflows of $25.8 billion and $21.8 billion respectively [31] Group 3: New Fund Issuance - In May 2025, a total of 42 new funds were established in the US market, including 37 ETFs and 5 open-end funds, with 32 being equity funds, 8 bond funds, and 2 asset allocation funds [3][42] Group 4: Insights from Overseas Asset Management Institutions - Key themes from overseas asset management firms include the outlook on US macroeconomic policies and foreign capital perspectives on the stock market [4][43] - BlackRock and Capital Group provided insights on the potential impacts of tariffs on inflation and economic growth, suggesting that tariffs could lead to higher inflation and slower growth in the short term [47][48]

Market Review - The A-share market saw a decline across major indices, with the small and medium board index, CSI 300, and Shanghai Composite Index recording returns of -0.43%, -0.45%, and -0.51% respectively, while the CSI 500, CSI 1000, and ChiNext Index lagged behind with returns of -1.75%, -1.74%, and -1.66% respectively [6][12] - The banking, comprehensive finance, and communication sectors performed well, with returns of 3.13%, 1.74%, and 1.43% respectively, while the pharmaceutical, textile and apparel, and retail sectors underperformed with returns of -4.16%, -4.10%, and -4.08% respectively [18][19] - The People's Bank of China conducted a net reverse repurchase operation of 102.1 billion yuan, with a total of 960.3 billion yuan injected into the market [20][22] Fund Issuance - A total of 50 new funds were established last week, with a total issuance scale of 450.23 billion yuan, marking an increase from the previous week [3][44] - Among the new funds, 14 were equity mixed funds and 13 were passive index funds, with issuance scales of 106.59 billion yuan and 62.16 billion yuan respectively [45] - There were 19 funds that entered the issuance phase for the first time last week, and 17 funds are set to begin issuance this week [3] Fund Performance - The median returns for active equity, flexible allocation, and balanced mixed funds were -1.35%, -0.85%, and -0.89% respectively last week [33] - Alternative funds have shown the best performance this year, with a median return of 11.97%, while active equity, flexible allocation, and balanced mixed funds had median returns of 2.11%, 0.74%, and -0.32% respectively [36][39] - The median excess return for index-enhanced funds was 0.25%, while quantitative hedging funds had a median return of -0.09% [36] REITs and ETFs - The first two data center REITs were approved, filling a market gap in the data center sector and encouraging more social capital to participate in infrastructure construction [5][7] - Ten companies have applied for the first batch of science and technology innovation bond ETFs, providing investors with convenient tools to access the high-grade technology innovation bond market [8][9]

我们分别以沪深300指数、中证500指数、中证1000指数、中证A500指数及公募重仓指数为选股空间， 构造单因子MFE组合并检验其相对于各自基准的超额收益。 1 沪深300样本空间中的因子表现 我们以沪深300指数为样本空间，对常见选股因子构造其相对于沪深300指数的MFE组合并跟踪其表 现，具体表现如下图。 一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.82%，本年超额收益6.67%。 中证500指数增强组合本周超额收益0.04%，本年超额收益7.84%。 中证1000指数增强组合本周超额收益0.34%，本年超额收益12.61%。 中证A500指数增强组合本周超额收益-0.89%，本年超额收益7.43%。 二、本周选股因子表现跟踪 沪深300成分股中预期EPTTM、单季EP、EPTTM等因子表现较好。 中证500成分股中BP、预期BP、预期EPTTM等因子表现较好。 中证1000成分股中BP、一个月换手、三个月波动等因子表现较好。 中证A500指数成分股中单季EP、预期EPTTM、预期PEG等因子表现较好。 公募基金重仓股中预期EPTTM、单季EP、预期PEG等因子表现较好。 三、本周公 ...

| 报 告 摘 要 | | --- | | 一、国信金工主动量化策略表现跟踪 | | 本周， 优秀基金业绩增强组合 绝对收益-0.21%，相对偏股混合型基金指数超额收 | | 益1.44%。本年，优秀基金业绩增强组合绝对收益2.35%，相对偏股混合型基金指 | | 数超额收益-1.54%。 今年以来，优秀基金业绩增强组合在主动股基中排名46.01% | | 分位点（1596/3469）。 | | 本周， 超预期精选组合 绝对收益-2.84%，相对偏股混合型基金指数超额收 | | 益-1.19%。本年，超预期精选组合绝对收益12.67%，相对偏股混合型基金指数超 | | 额收益8.78%。 今年以来，超预期精选组合在主动股基中排名11.50%分位点 | | （399/3469）。 | | 本周， 券商金股业绩增强组合 绝对收益-1.14%，相对偏股混合型基金指数超额收 | | 益0.51%。本年，券商金股业绩增强组合绝对收益6.52%，相对偏股混合型基金指 | | 数超额收益2.63%。 今年以来，券商金股业绩增强组合在主动股基中排名26.43% | | 分位点（917/3469）。 | | -2.33% 本 ...

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6月20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3.72%、 12.96%、9.62%、10.92%、9.26%、7.07%、21.19%、14.99%。中信一级行业指数中银行、有色金属、综合金融、农林牧渔、通信行业指数距离 250日新高较近，煤炭、房地产、食品饮料、消费者服务、建材行业指数距离250日新高较远。概念指数中，银行精选、银行、数字货币、黄金、万得微盘 股日频等权、创新药等概念指数距离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6月20日，共816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、基础化工、机械行业，创新高个股数量占 比最高的是银行、综合金融、纺织服装行业。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；按照指数分 ...

Group 1 - As of June 18, 2025, the dividend progress of component stocks in major indices shows that in the SSE 50 Index, 11 companies are in the proposal stage, 16 in the decision stage, 6 in the implementation stage, 14 have distributed dividends, and 3 do not distribute dividends [1] - In the CSI 300 Index, 65 companies are in the proposal stage, 87 in the decision stage, 23 in the implementation stage, 99 have distributed dividends, and 26 do not distribute dividends [1] - In the CSI 500 Index, 55 companies are in the proposal stage, 107 in the decision stage, 46 in the implementation stage, 215 have distributed dividends, and 77 do not distribute dividends [1] - In the CSI 1000 Index, 59 companies are in the proposal stage, 195 in the decision stage, 81 in the implementation stage, 447 have distributed dividends, and 218 do not distribute dividends [1] Group 2 - The current dividend yield statistics show that the coal, banking, and steel industries rank the highest in terms of dividend yield among disclosed dividend proposals [4] - As of June 18, 2025, the realized dividend yields for major indices are as follows: SSE 50 Index at 0.43% with a remaining yield of 1.90%, CSI 300 Index at 0.61% with a remaining yield of 1.37%, CSI 500 Index at 0.74% with a remaining yield of 0.61%, and CSI 1000 Index at 0.60% with a remaining yield of 0.45% [6] Group 3 - The annualized premium and discount for major stock index futures as of June 18, 2025, are as follows: IH main contract at a premium of 0.28%, IF main contract at a discount of 2.78%, IC main contract at a discount of 11.22%, and IM main contract at a discount of 16.42% [1][3] - The tracking of stock index futures' premium and discount levels will consider the impact of component stock dividends on the index point drop [2] Group 4 - The methodology for estimating dividend points in indices is crucial for accurately assessing the premium and discount of stock index futures, as it accounts for the natural drop in index points due to dividends [27] - The report outlines a detailed process for estimating dividend amounts based on net profit and dividend payout ratios, ensuring accurate predictions for future dividends [34][39]