Quantitative Models and Construction Methods 1. Model Name: Evergreen Low-Volatility Fund Portfolio - **Model Construction Idea**: The strategy aims to select actively managed equity funds with long-term stable return characteristics, focusing on funds that exhibit low volatility and small drawdowns, suitable for defensive investment needs in high-risk market environments[15][22] - **Model Construction Process**: - Historical net value drawdowns and volatility levels of funds are analyzed to reflect fund managers' investment styles and risk control capabilities - These characteristics are found to have significant continuity in the future - Additional constraints on fund valuation levels are applied - Funds are selected based on net value performance and holding characteristics to construct a low-volatility fund portfolio[15] - **Model Evaluation**: The model demonstrates strong defensive characteristics while maintaining decent returns, with low volatility and small drawdowns effectively verified in volatile market conditions[22][23] 2. Model Name: Equity Fund Enhanced Portfolio - **Model Construction Idea**: This strategy targets investors with higher risk preferences, aiming to construct a portfolio with higher volatility and offensive characteristics by identifying funds with strong alpha generation capabilities[16][25] - **Model Construction Process**: - Fund return indicators are analyzed to decompose returns into industry allocation returns (beta) and stock selection excess returns (alpha) - Funds with significant alpha continuity are selected - The portfolio is constructed by allocating to fund managers with strong stock selection capabilities, aiming to achieve excess performance during the holding period[16] - **Model Evaluation**: The strategy shows potential for higher elasticity in improved market conditions, maintaining performance close to the benchmark in weaker environments due to balanced styles and fund manager capabilities[25] 3. Model Name: Cash Increment Fund Portfolio - **Model Construction Idea**: This strategy focuses on selecting money market funds with better yield performance to optimize short-term idle capital management[18][27] - **Model Construction Process**: - Factors such as management fees, custody fees, sales service fees, fund duration, leverage levels, institutional holdings, and deviation risks are considered - A comprehensive scoring and risk exclusion system is applied to construct a money market fund selection framework - The goal is to achieve higher yield levels while reducing yield volatility risks[18] - **Model Evaluation**: The strategy consistently outperforms its benchmark, providing effective references for investors in cash management[27] 4. Model Name: Overseas Equity Allocation Fund Portfolio - **Model Construction Idea**: This strategy aims to select QDII funds for global asset allocation by screening equity indices of countries or regions based on momentum and reversal factors[19][28] - **Model Construction Process**: - Long-term momentum and short-term reversal factors are used to exclude overbought indices with excessive gains - Indices in an upward trend with strong momentum are selected as portfolio components - The portfolio provides a supplementary tool for globalized investment beyond A-share equity funds[19] - **Model Evaluation**: The strategy has accumulated significant excess returns since its inception, benefiting from global technology growth and the Federal Reserve's interest rate environment[28] --- Model Backtesting Results 1. Evergreen Low-Volatility Fund Portfolio - Weekly return: -0.911% - Monthly return: -2.595% - Year-to-date return: -3.306% - Since inception (2023.07.31): 4.244%[20][22][23] 2. Equity Fund Enhanced Portfolio - Weekly return: -1.005% - Monthly return: -4.722% - Year-to-date return: -3.946% - Since inception (2024.03.29): 3.295%[20][25][26] 3. Cash Increment Fund Portfolio - Weekly return: 0.031% - Monthly return: 0.153% - Year-to-date return: 0.045% - Since inception (2023.07.31): 2.921%[20][27][28] 4. Overseas Equity Allocation Fund Portfolio - Weekly return: 0.428% - Monthly return: -2.602% - Year-to-date return: -0.018% - Since inception (2023.07.31): 24.446%[20][28][30]

2025 年 01 月 12 日 证券研究报告 | 策略周报 情绪延续降温，静待市场企稳 策略周报 分析师：刘芳 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 021-20515355 1、《政策继续发力，市场活力进一步释 放—策略周报》2024-10-27 投资要点 分析师：郝一凡 基本面回顾与资产配置展望：12 月 CPI 数据符合预期为 0.1%，核心 CPI 数据超 出预期为 0.4%，PPI 同比符合市场预期为-2.3%。12 月核心 CPI 同比回升主要受到 "双十一"促销结束后价格修复的因素影响。海外方面，美国 12 月制造业 PMI 从 48.4 上升至 49.3，非制造业 PMI 从 52.1 上升至 54.1。强劲的经济数据推动市场 对于美国通胀压力的担忧增加，美债收益率本周进一步上涨，压制美股走势。 销售服务电话： 相关研究报告 A 股市场回顾与展望：本周（1 月 6 日-1 月 ...

Industry Investment Rating - The report does not explicitly mention an industry investment rating [1][2][3] Core Views - The report highlights the decline in yields of liquidity management tools post the year-end effect [1] - Cash management products and money funds show a narrowing yield gap, with cash management products yielding 1.63% and money funds yielding 1.49% as of January 5, 2025 [3][8] - The yield gap between cash management products and money funds widened by 5BP to 14BP [3][8] - The report notes a temporary increase in short-term yields due to year-end liquidity tightening, which has since normalized [9] Product Performance Summary Cash Management Products - 7-day annualized yield for cash management products was 1.63%, down 7BP from the previous week [3][8] Fixed-Income Non-Cash Products - 1-month annualized yield for daily open fixed-income non-cash products was 2.95%, down 18BP from the previous week [4][10] - 6-month annualized yield for 6-12 month closed fixed-income products was 3.41%, up 3BP from the previous week [4][10] - 1-year annualized yield for 1-3 year closed fixed-income products was 3.90%, down 1BP from the previous week [4][10] Maturity and Compliance - Total maturity scale for wealth management products from December 30, 2024, to January 5, 2025, was 1768.49 billion yuan, with an average compliance rate of 79%, up 3BP from the previous week [5][11] - Closed-end products had a higher average compliance rate of 84% compared to the overall rate [5][11] - Specific wealth management companies such as Hangyin Wealth Management, Suyin Wealth Management, and Boshin Wealth Management achieved a 100% compliance rate [5][11] Company-Specific Performance - Detailed compliance rates for various wealth management companies are provided, with some achieving 100% compliance in closed-end products [13]

2025 年 01 月 05 日 证券研究报告 | 策略周报 市场情绪转弱，防守待反击 策略周报 分析师：郝一凡 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 分析师：刘芳 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 021-20515355 相关研究报告 1、《成交量延续回落，再回"哑铃型" 配置 —策略周报》2024-12-29 2、《政策博弈暂歇，静待扩内需政策加 码—策略周报》2024-12-22 3、《会议定调积极，跨年行情可期—策 略周报》2024-12-15 4、《重磅会议即将召开，进入预期博弈 阶段 —策略周报》2024-12-08 5、《市场活跃度降低，短期或延续震 荡—策略周报》2024-12-01 投资要点 基本面回顾与资产配置展望：美国制造业 PMI 继续回升，经济韧性仍然偏强， 美元指数升至 109 点高位，非美货币贬值压力上升。国内方面，政策进入部署的空 窗期，12 月制造业 PMI 回落，显示复苏脉冲有所转弱，叠加 ...

敬请参阅报告结尾处免责声明 华宝证券 9/9 2024 年 12 月 31 日 证券研究报告 | 公募基金周报 常青低波策略震荡中显优势，关注调整后低位机会 公募基金量化遴选类策略指数跟踪周报（2024.12.29） 分析师：李亭函 分析师登记编码：S0890519080001 电话：021-20321017 邮箱：litinghan@cnhbstock.com 投资要点 本周 A 股呈现缓慢上行态势，在两会结束后的市场博弈了结期后，市场有所 企稳并小幅回升，大盘风格和红利风格表现较强，带动上证综指录得 0.95%涨 幅。红利风格受到市场资金的青睐，也带动常青低波组合表现强势，这与我们 在 2024 年 12 月 24 日发布的周报以及 2024 年 12 月 25 日发布的金融产品观 察推荐方向一致，当前处于波动水平有所提高，避险情绪边际升温的节点，防 御属性的低波策略有望取得更高性价比。海外市场方面，在受到 12 月份美联 储议息会议上鹰派表态影响回调后，美股快速反弹，收复大部分跌幅，随后接 近前期高位后再次小幅回调。此轮较大波动的行情，验证了我们此前对于美股 的风险提示，随着本轮波动消化市场分歧后，风险 ...

2024 年 12 月 29 日 证券研究报告 | 策略周报 成交量延续回落，再回"哑铃型"配置 策略周报 分析师：郝一凡 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 投资要点 基本面回顾与资产配置展望：美国经济、通胀预期偏强，推动美债收益率近期走 强，10 年期美债收益率升至 4.6%，对权益资产估值形成一定短期扰动。国内方 面，政策进入部署的空窗期，且企业盈利仍然偏弱，11 月，规模以上工业企业利 润同比增长-7.3%。 A 股市场回顾与展望：本周（12 月 23 日-12 月 27 日）A 股市场成交活跃度延续 回落，两市日均成交额 13791 亿元，较前一周降低 1439 亿元，为国庆后新低，市 场情绪从偏热回归常态。本周市场指数震荡小幅上涨，但大小盘分化，大盘权重指 数表现相对偏强，小微盘走弱。银行股表现偏强，四大行本周均创新高，支撑指数 回升，成长方向上电子、通信、军工板块有所表现。短期内，市场预期偏震荡运 行，建议关注哑铃型配置机会，一端红利资产降低组合波动，另一端待调整阶段布 局高波动的 AI 相关板块获取弹 ...

Investment Rating - The report does not explicitly state an investment rating for the industry Core Insights - The non-bank interbank deposit pricing regulation is set to take effect on December 1, 2024, which aims to lower banks' funding costs and mitigate the pressure on net interest margins [12][33] - The total scale of public funds reached 31.99 trillion yuan by the end of November 2024, reflecting a month-on-month increase of 479.48 billion yuan [14][34] - The net interest margin of commercial banks decreased to 1.53% in Q3 2024, down 0.01 percentage points from Q2 2024, indicating a continued downward trend in profitability [15][35] Summary by Sections 1. Regulatory Policies and Asset Management Market News - The self-regulatory mechanism for market interest rate pricing was introduced to optimize non-bank interbank deposit management, effective from December 1, 2024 [12][33] - The new regulations will help standardize investment behaviors of asset management institutions and reduce risk-free arbitrage opportunities [13] 2. Monthly Overview of the Wealth Management Market - In November 2024, 2,582 non-principal guaranteed wealth management products were issued, a year-on-year decrease of 14.8% but a month-on-month increase of 11.9% [38] - The issuance of net value-type products included 2,435 fixed income products, 60 mixed products, 16 equity products, and 10 commodity and financial derivative products [38] 2.1 Non-Principal Guaranteed Wealth Management Products - The issuance of non-principal guaranteed products in November 2024 was dominated by fixed income products, which accounted for 94.3% of the total [38] 2.2 Wealth Management Subsidiary Products - In November 2024, wealth management subsidiaries issued a total of 1,691 products, with 1,626 being fixed income products [21][44] 2.3 Product Performance Comparison - The average performance benchmark for fixed income products with absolute values for different durations in November 2024 was as follows: 3 months or less at 2.25%, 3-6 months at 2.58%, 6-12 months at 2.62%, 1-3 years at 3.03%, and over 3 years at 3.13% [44][45] 2.4 Product Tracking - Charity Wealth Management - The issuance of charity wealth management products has increased, with new products launched by various financial institutions aimed at supporting specific charitable projects [55][56]

分析师登记编码：S0890519080001 电话：021-20321017 邮箱：litinghan@cnhbstock.com 分析师登记编码：S0890524110001 电话：021-20321391 邮箱：huanghao@cnhbstock.com 销售服务电话： 021-20515355 2024 年 12 月 24 日 证券研究报告 | 公募基金周报 美联储"鹰派降息"引回落，海内外权益调整显机会 公募基金量化遴选类策略指数跟踪周报（2024.12.22） 分析师：李亭函 1 、《 ETF 策 略 指 数 跟 踪 周 报 — 2024/12/20》2024-12-23 2、《海内外权益策略获正收益，关注上 行趋势中逢低布局—公募基金量化遴选 类策略指数跟踪周报（2024.12.15）》 2024-12-17 3 、《 ETF 策 略 指 数 跟 踪 周 报 — 2024/12/13》2024-12-15 4、《政策暖风吹，消费配置正当时—金 融产品观察》2024-12-12 5、《政治局会议财政货币双积极，密切 把握权益布局机会—公募基金量化遴选 类策略指数跟踪周报（2024.12.08）》 ...

Group 1 - The report indicates that the A-share market is entering a policy game vacuum period after important meetings, with the index likely to shift towards a consolidation phase due to high trading activity and limited downside risk, while structural opportunities remain [21][50]. - Economic data for November shows a slowdown in growth momentum, with industrial value-added increasing by 5.4% year-on-year, fixed asset investment rising by 3.3%, and retail sales growing by only 3%, indicating a need for further expansion of domestic demand policies [15][53]. - The report highlights a focus on sectors related to "AI+" and "new consumption," suggesting investment opportunities in media, communication, robotics, artificial intelligence, consumer electronics, dining, tourism, sports entertainment, and retail [21][15]. Group 2 - The average daily trading volume in the A-share market decreased to 15,229.74 billion yuan, down by 4,099.70 billion yuan from the previous week, reflecting a decline in trading sentiment [13][21]. - The report notes that the risk premium for A-shares has increased, while the dividend yield of the Shanghai Dividend Index has risen, leading to an improvement in the stock-bond valuation ratio [57][21]. - The report mentions that the turnover rates for various indices, particularly small-cap indices like the CSI 2000 and Wind Micro-cap Index, have significantly decreased, indicating a reduction in market activity [59][61].

Macro Insights - The report indicates a shift towards more proactive macro policies aimed at stabilizing expectations and boosting confidence, with a focus on fiscal policy to enhance livelihoods and consumption [14][19][20] - The central economic work conference emphasized the need for a more active fiscal policy, increasing the fiscal deficit ratio and expanding fiscal spending, while monetary policy will remain moderately loose [19][20] - The report highlights that the economic situation remains complex, with insufficient effective demand and low inflation, necessitating patience for the effects of these policies to materialize [8][16] Industry Insights - In the steel industry, November saw a continued increase in supply, but the growth rate has slowed, with steel consumption weakening and exports maintaining double-digit growth [32][36] - The report notes that the profitability of different steel products is diverging, with rebar profits deteriorating while hot-rolled and cold-rolled products show improvement [33][66] - The magnesium market is expected to see an increase in operating rates and production due to rising demand from the automotive and 3C industries, despite a slight decline in average magnesium prices [46][47][71] New Energy - The new energy vehicle market continues to thrive, with November sales reaching 151.2 million units, a year-on-year increase of 47.4%, driven by strong demand and supportive policies [76][80] - The report anticipates that the demand for lithium batteries will remain robust, with production levels stabilizing and a positive outlook for the industry as supply chain issues are addressed [51][80] - The report also mentions that the overall price of lithium carbonate has stabilized at around 76,000 yuan per ton, indicating a bottoming out of prices [81]