Group 1 - The report introduces a quantitative model solution for addressing the value-growth style switching issue, combining investment expectations based on odds and win rates [1][8] - The recent performance of the growth style portfolio was 5.49%, while the value style portfolio returned 3.33% [1][8] Group 2 - The estimated odds for the growth style is 1.10, and for the value style, it is 1.09, indicating a negative correlation between relative valuation levels and expected odds [2][14] - The current win rate for the growth style is 68.88%, while the value style has a win rate of 31.12%, based on seven indicators [3][16] Group 3 - The latest investment expectation for the growth style is calculated to be 0.44, while the value style has an investment expectation of -0.35, leading to a recommendation for the growth style [4][18] - Since 2013, the annualized return of the style rotation model based on investment expectations is 26.96%, with a Sharpe ratio of 0.99 [4][19]

证券研究报告 | 基金研究（公募） 2025 年 6 月 29 日 权益市场收涨，中游制造、TMT 基金表现领先 基金市场一周观察（20250623-20250627） 本周权益市场整体收涨，小盘成长风格占优；行业方面，本周综合金融表现领 先；计算机、综合、国防军工等也表现较好；债市整体下行，可转债市场上 行。全市场主动权益基金平均回报 2.74%；短债基金收益均值为 0%，中长债 基金收益均值为-0.03%；含权债基平均正收益；可转债基金平均正收益。 xuyanhong@cmschina.com.cn 高艺 S1090524020001 gaoyi2@cmschina.com.cn 李巧宾 S1090524070011 liqiaobin@cmschina.com.cn 徐肖雅 研究助理 xuxiaoya@cmschina.com.cn 江帆 研究助理 jiangfan3@cmschina.com.cn 敬请阅读末页的重要说明 ❑ 市场概况：本周权益市场整体收涨，小盘成长风格占优；行业方面，本周综 合金融表现领先；计算机、综合、国防军工等也表现较好。 ❑ 主动权益：样本内全市场基金平均回报 2.74%，收益 ...

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core View of the Report The report focuses on the performance of the quantitative fund market, summarizing the performance of major indices and quantitative funds in the past week, the overall performance and distribution of different types of public - offering quantitative funds, and the top - performing quantitative funds this week. It shows that A - shares rose overall this week, while the excess returns of quantitative funds declined. Active quantitative funds rose, while the excess returns of index - enhanced funds fell, with only the CSI 300 index - enhanced funds recording positive excess returns [1][2][4]. 3. Summary by Relevant Catalog 3.1 Near - Week Performance of Major Indices and Quantitative Funds - A - shares rose overall from June 23rd to June 27th, 2025, with the CSI 300, CSI 500, and CSI 1000 having weekly returns of 1.95%, 3.98%, and 4.62% respectively [3][8]. - Active quantitative funds rose 2.83%, while the excess returns of index - enhanced funds declined. Only the CSI 300 index - enhanced funds had a positive average excess return of 0.07%, while the CSI 500 and CSI 1000 index - enhanced funds had average excess returns of - 0.35% and - 0.20% respectively. Market - neutral funds fell slightly by 0.10% [4][11]. 3.2 Performance of Different Types of Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced Funds**: In the past week, the return was 2.02%, the excess return was 0.07%, the maximum drawdown was - 0.75%, and the excess maximum drawdown was - 0.27% [15]. - **CSI 500 Index - Enhanced Funds**: The past - week return was 3.63%, the excess return was - 0.35%, the maximum drawdown was - 0.31%, and the excess maximum drawdown was - 0.48% [15]. - **CSI 1000 Index - Enhanced Funds**: The past - week return was 4.42%, the excess return was - 0.20%, the maximum drawdown was - 0.41%, and the excess maximum drawdown was - 0.44% [16]. - **Other Index - Enhanced Funds**: The past - week return was 3.30%, the excess return was - 0.05%, the maximum drawdown was - 0.60%, and the excess maximum drawdown was - 0.39% [16]. - **Active Quantitative Funds**: The past - week return was 2.83%, the maximum drawdown was - 0.49%, and the return dispersion was 1.51% [17]. - **Market - Neutral Funds**: The past - week return was - 0.10%, the maximum drawdown was - 0.26%, and the return dispersion was 0.53% [17]. 3.3 Performance Distribution of Different Types of Public - Offering Quantitative Funds The report presents the performance trends of different types of public - offering quantitative funds in the past six months, as well as the performance distribution in the past week and the past year. Index - enhanced funds show their excess return performance [18]. 3.4 Top - Performing Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced Funds**: Funds such as Anxin Quantitative Selection CSI 300 Index - Enhanced had good performance, with a past - week excess return of 0.88% [32]. - **CSI 500 Index - Enhanced Funds**: Funds like Suxin CSI 500 Index - Enhanced had a past - week excess return of 0.63% [33]. - **CSI 1000 Index - Enhanced Funds**: ICBC CSI 1000 Enhanced Strategy ETF had a past - week excess return of 1.24% [34]. - **Other Index - Enhanced Funds**: China Merchants Shanghai Composite Index - Enhanced had a past - week excess return of 1.10% [35]. - **Active Quantitative Funds**: Jinxin Quantitative Selection had a past - week return of 8.11% [36]. - **Market - Neutral Funds**: China Post Absolute Return Strategy had a past - week return of 1.50% [37].

证券研究报告 | 基金研究（公募） 2025 年 06 月 28 日 金融科技、港股证券 ETF 领涨，资金持续大幅流入债券 ETF ETF 基金周度跟踪（0623-0627） ❑ 风险提示：图表中列示的数据结果仅为对市场及个基历史表现的客观描述， 并不预示其未来表现，亦不构成投资收益的保证或投资建议。 徐燕红 S1090524120003 xuyanhong@cmschina.com.cn 汪思杰 研究助理 wangsijie@cmschina.com.cn 敬请阅读末页的重要说明 基金研究（公募） 本报告重点聚焦 ETF 基金市场表现，总结过去一周 ETF 基金市场、不同热门 细分类型 ETF 基金、创新主题及细分行业 ETF 基金的业绩表现和资金流动， 供投资者参考。 ❑ 市场表现： 本周（6 月 23 日-6 月 27 日）主投 A 股的 ETF 全部上涨。其中，国防军工 ETF 涨幅最大，规模以上基金平均上涨 6.39%；消费 ETF 涨幅相对较小， 规模以上基金平均上涨 0.89%。此外，商品 ETF 出现下跌，规模以上基金 平均下跌 1.54%。 ❑ 资金流动： 资金继续大幅流入债券 ETF，全 ...

Quantitative Models and Construction Methods - **Model Name**: Neutral Constraint Maximum Factor Exposure Portfolio **Construction Idea**: Maximize the exposure of the target factor in the portfolio while maintaining neutrality in industry and style exposures relative to the benchmark index[60][61][63] **Construction Process**: 1. **Objective Function**: Maximize portfolio exposure to the target factor $ \text{Max}\quad w^{\prime}X_{\text{target}} $ 2. **Constraints**: - Industry neutrality: $ (w - w_b)^{\prime}X_{\text{inad}} = 0 $ - Style neutrality: $ (w - w_b)^{\prime}X_{\text{Beta}} = 0 $ - Weight deviation limit: $ |w - w_b| \leq 1\% $ - No short selling: $ w \geq 0 $ - Full allocation: $ w^{\prime}1 = 1 $ - Constituents from benchmark index: $ w^{\prime}B = 1 $ **Evaluation**: The model ensures that the portfolio remains neutral to industry and style biases while maximizing factor exposure[60][61][63] Factor Construction and Definitions - **Factor Name**: Beta Factor **Construction Idea**: Capture the sensitivity of individual stock returns to market returns[14][15] **Construction Process**: - Calculate the regression coefficient of individual stock daily returns against the market index (CSI All Share Index) over the past 252 trading days using a half-life weighting of 63 days **Formula**: $ \text{Beta} = \text{Regression Coefficient} $ **Evaluation**: Reflects market risk sensitivity, useful for identifying high-risk or low-risk stocks[14][15] - **Factor Name**: Book-to-Price (BP) **Construction Idea**: Measure valuation by comparing book equity to market capitalization[14][15] **Construction Process**: - $ \text{BP} = \frac{\text{Shareholders' Equity}}{\text{Market Capitalization}} $ **Evaluation**: Indicates undervaluation or overvaluation of stocks, commonly used in value investing[14][15] - **Factor Name**: Sales Growth (SGRO) **Construction Idea**: Assess growth potential by analyzing historical revenue trends[14][15] **Construction Process**: - Perform regression on annual revenue data from the past five fiscal years - Divide the regression slope by the average revenue to calculate growth rate **Formula**: $ \text{SGRO} = \frac{\text{Regression Slope}}{\text{Average Revenue}} $ **Evaluation**: Useful for identifying companies with strong growth trajectories[14][15] Factor Backtesting Results - **Beta Factor**: Weekly long-short return of 7.50%, monthly return of 8.74%[16] - **Book-to-Price (BP)**: Weekly return of -0.27%, monthly return of 0.39%[21][26][30] - **Sales Growth (SGRO)**: Not explicitly tested in the report[14][15] Portfolio Backtesting Results - **Neutral Constraint Maximum Factor Exposure Portfolio**: - **CSI 300 Enhanced Portfolio**: Weekly excess return of 0.03%, monthly return of 1.91%, annual return of 1.34%[57][58] - **CSI 500 Enhanced Portfolio**: Weekly excess return of -1.29%, monthly return of -1.24%, annual return of -2.54%[57][58] - **CSI 800 Enhanced Portfolio**: Weekly excess return of -0.32%, monthly return of 1.68%, annual return of 1.19%[57][58] - **CSI 1000 Enhanced Portfolio**: Weekly excess return of -0.95%, monthly return of 1.33%, annual return of 13.01%[57][58] - **CSI 300 ESG Enhanced Portfolio**: Weekly excess return of 0.51%, monthly return of 2.44%, annual return of 7.72%[57][58] Factor Performance in Different Stock Pools - **CSI 300 Stock Pool**: - Weekly top-performing factors: Log Market Cap (0.83%), Single Quarter Operating Profit Growth (0.72%), 20-Day Specificity (0.71%)[21][23] - Monthly top-performing factors: Single Quarter EP (3.19%), EP_TTM (2.93%), Single Quarter ROE (2.63%)[24] - **CSI 500 Stock Pool**: - Weekly top-performing factors: 20-Day Specificity (1.39%), 60-Day Volume Ratio (1.13%), 60-Day Reversal (1.00%)[26][28] - Monthly top-performing factors: Single Quarter Revenue Growth (3.31%), Single Quarter Operating Profit Growth (2.73%), Single Quarter ROE Growth (2.72%)[28] - **CSI 800 Stock Pool**: - Weekly top-performing factors: Log Market Cap (1.59%), Single Quarter ROE Growth (1.20%), Single Quarter Operating Profit Growth (1.06%)[30][32] - Monthly top-performing factors: Single Quarter EP (4.36%), Single Quarter ROE Growth (3.90%), Single Quarter ROE (3.90%)[33] - **CSI 1000 Stock Pool**: - Weekly top-performing factors: 60-Day Reversal (1.40%), Single Quarter SP (1.30%), SP_TTM (1.29%)[35][37] - Monthly top-performing factors: Log Market Cap (3.66%), 60-Day Reversal (3.43%), Single Quarter Net Profit Growth (3.24%)[38] - **CSI 300 ESG Stock Pool**: - Weekly top-performing factors: Log Market Cap (1.05%), 20-Day Volume Ratio (0.63%), 20-Day Specificity (0.60%)[40][41] - Monthly top-performing factors: Log Market Cap (4.20%), Single Quarter ROE (2.55%), EP_TTM (2.49%)[42] - **All-Market Stock Pool**: - Weekly top-performing factors: Log Market Cap (24.81% Rank IC), 20-Day Specificity (21.07% Rank IC), 60-Day Reversal (19.50% Rank IC)[44][45] - Monthly top-performing factors: 20-Day Specificity (11.25% Rank IC), 20-Day Three-Factor Model Residual Volatility (10.96% Rank IC), 60-Day Specificity (10.73% Rank IC)[45]

Group 1: Gold and Jewelry - In H1 2025, gold prices surged, leading to a decline in gold jewelry consumption while investment gold consumption increased, continuing the trend from 2024 [13][17] - The report anticipates that in H2 2025, gold prices may fluctuate at high levels due to geopolitical conflicts and economic downturns, with central banks continuing to purchase gold [23] - Recommended companies include Laopuhuang, Chow Tai Fook, Chao Hong Ji, and Cai Bai Co., which are expected to benefit from the ongoing trends in gold consumption [23][24][26][30] Group 2: Cosmetics - The cosmetics market showed weak performance in H1 2025, with a cumulative year-on-year growth of 4.1% from January to May, lagging behind overall retail growth [32][35] - Long-term trends in the cosmetics industry remain focused on increasing penetration rates and domestic brand substitution, with a recommendation to focus on brands like Mao Ge Ping and Shangmei Co. for their strong performance and growth potential [35][36][42] - Mao Ge Ping is highlighted for its high-end positioning and significant growth in both online and offline channels, while Shangmei Co. has shown impressive performance during promotional events [36][42] Group 3: Personal Care - The personal care sector, particularly in sanitary napkins and oral care, is expected to maintain stable demand, with domestic brands leading the market [49][51] - The oral care segment is experiencing a shift towards higher-value products driven by consumer demand for efficacy, with domestic brands like Deng Kang Oral Care gaining market share [53][54] - Key companies to watch include Baiya Co. and Deng Kang Oral Care, which are well-positioned to capitalize on these trends [49][53] Group 4: Apparel and Footwear - The apparel retail sector showed moderate growth in H1 2025, with a year-on-year increase of 3.3% in retail sales from January to May [8][14] - Outdoor brands are performing exceptionally well, with high-end outdoor brands like Amer Sports and Anta showing significant revenue growth [8][15] - Recommended companies include Anta Sports for its strong outdoor brand growth and Mercury Home Textiles for its effective marketing strategies [15][16] Group 5: Textile Manufacturing - The textile manufacturing sector is witnessing a shift in export share towards Southeast Asia, with a notable decline in imports from China to the U.S. [8][18] - The report indicates that U.S. apparel imports from Southeast Asia are increasing, while imports from China are decreasing, suggesting a strategic shift in manufacturing locations [18][19] - Companies with diversified production capabilities across regions are recommended for investment consideration [18][19] Group 6: Home Furnishings - The home furnishings market is experiencing growth driven by government policies encouraging upgrades, with furniture retail sales in May 2025 showing a year-on-year increase of 25.6% [8][20] - Key players in the home furnishings sector include Gujia Home and Oppein Home, which are expected to benefit from the ongoing market trends [20][21]

Core Insights - In May, industrial enterprises' profits turned negative year-on-year, with a total profit of 27,204.3 billion yuan, reflecting a decline of 1.1% compared to the previous year, and a significant drop of 9.1% in May alone [16][29] - The report highlights a mixed performance across various sectors, with TMT (Technology, Media, and Telecommunications) showing resilience while resource sectors and essential consumption face challenges [29] Industry Overview - The industrial profit margin weakened due to factors such as export slowdown, insufficient effective demand, and price pressures, leading to a negative profit growth in May [3][29] - The TMT sector experienced a year-on-year profit growth of 11.9%, driven by strong demand for smart consumer devices, with some industries like intelligent consumer equipment manufacturing seeing a profit increase of 101.5% [28][29] - In the resource sector, profits in the mining industry saw a year-on-year decline of 29.0%, while manufacturing and electricity sectors also reported reduced profit growth [20][29] Information Technology Sector - The Philadelphia Semiconductor Index and Taiwan Semiconductor Industry Index both increased, indicating a positive trend in the semiconductor market [31] - DDR4 DRAM prices rose by 4.42% for 8GB modules and 5.88% for 16GB modules, reflecting a recovery in memory prices [34] - North American PCB shipments turned positive year-on-year, although order growth has slowed [31][34] Midstream Manufacturing - The cumulative installed capacity of solar power generation in China increased year-on-year, indicating growth in the renewable energy sector [4][30] - Prices for silicon wafers in the photovoltaic industry declined, while production of packaging equipment and metal forming machine tools saw a slowdown in growth [4][30] Consumer Demand - The report noted an increase in pork prices and a rise in profits for pig farming, while prices for chicken chicks decreased [4][30] - The film industry showed positive trends with box office revenues increasing year-on-year, reflecting a recovery in consumer spending [4][30] Resource Sector Tracking - Industrial metal prices generally increased, with a decline in inventories, while coal prices remained stable [4][30] - The cement price index showed a downward trend, indicating challenges in the construction materials market [4][30]

Group 1 - The report emphasizes three main investment themes: new consumption, national subsidies driving demand, and the challenges posed by tariffs [1][4] - National subsidies have significantly supported domestic demand, with approximately 50% of the annual budget utilized by June 20, 2025, leading to over 1.3 trillion yuan in sales driven by the "old for new" policy [1][14] - The report highlights the strong performance of the home appliance sector during the 618 shopping festival, with total sales reaching 1.1 billion yuan, accounting for 13% of the overall e-commerce sales [20][21] Group 2 - New consumption trends are emerging, particularly in AI and robotics, with companies like Roborock, Ninebot, and Ecovacs leading the way in innovative product offerings [2][23] - The report notes a shift in the kitchen small appliance market from price competition to value competition, driven by new consumer demographics [28][33] - The performance of small household appliances is expected to rebound, with companies like Ecovacs and Roborock showing significant revenue growth in recent quarters [24][25] Group 3 - The report indicates that national subsidies are expected to continue without interruption, with additional funding batches scheduled for July and October 2025 [3][42] - The competitive landscape is intensifying, with brands like Xiaomi and Gree engaging in price wars to maintain market share, particularly in the air conditioning segment [3][47] - The report suggests that companies with strong cash flow and high dividend rates, such as Gree Electric and Midea Group, are well-positioned to benefit from the ongoing subsidy programs [4][5] Group 4 - The tariff situation poses risks and opportunities for companies engaged in overseas manufacturing, with firms like Ousheng Electric and Dechang benefiting from global supply chain restructuring [4][12] - The report highlights the importance of innovation in the small appliance sector, with AI hardware and smart home devices experiencing rapid growth [25][34] - Companies are encouraged to focus on high-end product offerings and global market expansion to mitigate the impacts of domestic competition and tariff challenges [4][50]

风险提示：宏观经济下行、人民币大幅贬值、油价大幅上涨、重大自然灾害 等。 证券研究报告 | 行业定期报告 2025 年 06 月 27 日 量价双升，5 月行业盈利有望大幅改善 航空行业 2025 年 5 月数据跟踪 周期/交通运输 本月关注：航空 5 月客运数据量价齐升，关注 25-26 年行业基本面上行趋势及 市值弹性。 | | | 占比% | | --- | --- | --- | | 股票家数（只） | 129 | 2.5 | | 总市值（十亿元） | 3114.3 | 3.5 | | 流通市值（十亿元） | 2879.2 | 3.6 | 行业指数 % 1m 6m 12m 绝对表现 3.1 0.7 18.2 相对表现 0.8 1.8 4.8 -15 -10 -5 0 5 10 15 20 25 Jun/24 Oct/24 Feb/25 Jun/25 (%) 交通运输 沪深300 资料来源：公司数据、招商证券 行业规模 重点公司主要财务指标 | 公司简称 | 公司代码 | 市值 | 24EPS | 25EPS | 25PE | PB | 投资评级 | | --- | --- | --- | --- | ...

Investment Rating - The report maintains a "Strong Buy" investment rating for Xiaomi Group [5][6] Core Views - Xiaomi Group has launched a series of new products including the YU7 SUV, MIX Flip 2 smartphone, AI glasses, and various IoT devices, exceeding market expectations with significant pre-orders for the YU7 [5] - The company is positioned as a leading player in the smartphone market and the largest AIoT hardware platform globally, with a strong outlook for growth driven by its high-end product strategy and international expansion [5][6] - Revenue projections for 2025, 2026, and 2027 are estimated at 519.1 billion, 706.7 billion, and 907.5 billion CNY respectively, with adjusted net profits of 45.8 billion, 67.7 billion, and 92.6 billion CNY [6] Summary by Sections Automotive - The YU7 SUV has received over 200,000 pre-orders within three minutes of launch, showcasing strong market demand [5] - The YU7 features advanced specifications including a standard range of 835 km, high-level autonomous driving capabilities, and competitive pricing compared to Tesla's Model Y [5][6] Smartphones - The MIX Flip 2 and REDMI K80 Supreme Edition smartphones were launched with significant upgrades in performance and design [5] - The MIX Flip 2 features a 4.01-inch external screen, a 5165mAh battery, and advanced folding technology, while the REDMI K80 boasts a Dimensity 9400+ processor and a large 7410mAh battery [5][6] IoT Products - Xiaomi introduced a range of IoT products including tablets, wearables, and smart home appliances, with the first AI glasses priced at 1999 CNY [5] - The new products aim to enhance user experience and integrate seamlessly into the Xiaomi ecosystem [5] Financial Projections - The report forecasts significant revenue growth with a year-on-year increase of 42% in 2025, 36% in 2026, and 28% in 2027 [6] - The projected PE ratios for 2025, 2026, and 2027 are 35.3, 23.2, and 16.7 respectively, indicating potential for long-term value appreciation [6]