Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core Views - After the Sino - US economic and trade talks, the A - share market is close to the previous high with increased divergence and resistance, but there are good layout opportunities after short - term adjustments. Overseas, the US stock market has shown a relatively strong performance, and there are opportunities for overseas investment, but short - term risks need to be noted [3][4][5]. - The quantitative strategy configuration view is: stock fund enhancement strategy > evergreen low - volatility strategy > overseas equity strategy. In the A - share market, the evergreen low - volatility strategy can be used as a base configuration, and part of the low - volatility strategy can be switched to the enhancement strategy. For overseas investment, investors with low overseas positions can appropriately buy on dips, while those with high positions can take profits [4]. - In the long - term, the US stock market is still expected to reverse and rise, and its long - term allocation value remains unchanged [5]. Group 3: Summary of Relevant Sections 3.1 Tool - based Fund Portfolio Performance Tracking - **Evergreen Low - Volatility Fund Portfolio**: Since the strategy started on July 31, 2023, it has maintained low - volatility characteristics, with significant excess returns. It has low drawdowns in volatile markets and good gains in rebound markets, combining defense and offense [15]. - **Stock Fund Enhancement Fund Portfolio**: The strategy has been running for a short time. Its performance is close to the CSI Active Stock Fund Index. It is expected to show stronger elasticity after the market environment improves and can maintain a similar trend to the benchmark in a weak market [17]. - **Cash - Enhancing Fund Portfolio**: After double - screening, it continuously outperforms the benchmark. Since the strategy started at the end of July 2023, the excess return has been continuously accumulated, exceeding 0.39%, providing a reference for cash management [18]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, in the context of the Fed's interest - rate cut cycle and the boost of artificial intelligence, it has accumulated high - level excess returns, and global allocation can increase the returns of equity portfolios [21]. 3.2 Tool - based Fund Portfolio Construction Ideas - **Evergreen Low - Volatility Fund Portfolio**: It is constructed by combining fund position - dimension factors and net - value dimension factors to meet the defensive needs of investors in high - risk markets and the needs of investors with moderate risk preferences [22]. - **Stock Fund Enhancement Fund Portfolio**: It aims to find funds with higher Alpha returns, combining restrictions on industry balance and position style exposure, providing a more offensive choice for investors with high - risk preferences [22]. - **Cash - Enhancing Fund Portfolio**: Based on multi - dimensional characteristic factors of money funds, a money - fund screening system is constructed to help investors optimize short - term idle funds [23]. - **Overseas Equity Allocation Fund Portfolio**: Based on overseas equity market indices, it selects QDII equity funds according to long - and short - term technical indicators, providing an auxiliary tool for global investment [25].

Group 1: Report Overview - The report is a weekly update on public - offering funds and ETF strategy indices, covering the week ending May 16, 2025 [1][11] Group 2: ETF Strategy Indices Introduction 2.1 General Introduction - The report presents several ETF strategy indices, aiming to convert quantitative models or subjective views into practical investment strategies and track their performance and holdings weekly [11] 2.2 Specific Indices 2.2.1 Huabao Research Large - Small Cap Rotation ETF Strategy Index - It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. It outputs weekly signals to determine positions and gain excess returns. As of May 16, 2025, the excess return since 2024 is 16.17%, the excess return in the past month is - 0.28%, and the excess return in the past week is - 0.93% [3][13] 2.2.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 Barra factors. It selects mainstream broad - based index ETFs and some style and strategy ETFs. As of May 16, 2025, the excess return since 2024 is 16.94%, the excess return in the past month is - 0.30%, and the excess return in the past week is - 0.43% [3][17] 2.2.3 Huabao Research Quantitative Windmill ETF Strategy Index - It starts from a multi - factor perspective, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and crowding signals to indicate industry risks and digs out potential sectors. As of May 16, 2025, the excess return since 2024 is 1.55%, the excess return in the past month is 0.40%, and the excess return in the past week is - 0.02% [4][21] 2.2.4 Huabao Research Quantitative Balance Technique ETF Strategy Index - It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend judgment. It also predicts the market's large - and small - cap styles to adjust equity market positions. As of May 16, 2025, the excess return since 2024 is 0.20%, the excess return in the past month is - 2.03%, and the excess return in the past week is - 0.89% [4][25] 2.2.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - It tracks and mines hot - spot index target products through market sentiment analysis, industry event tracking, investor sentiment, professional views, policy changes, and historical analysis. It constructs an ETF portfolio to capture market hot - spots and assist investors in making decisions. As of May 16, 2025, the excess return in the past month is - 1.57%, and the excess return in the past week is - 0.11% [5][29] 2.2.6 Huabao Research Bond ETF Duration Strategy Index - It uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine learning. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond portfolio to improve long - term returns and control drawdowns. As of May 16, 2025, the excess return in the past month is 0.15%, and the excess return in the past week is 0.05% [5][32] Group 3: Index Performance Comparison 3.1 Last Week's Performance | Index Name | Last Week's Index Return | Comparison Benchmark | Last Week's Benchmark Return | Excess Return | | --- | --- | --- | --- | --- | | Huabao Research Large - Small Cap Rotation ETF Strategy Index | - 0.13% | CSI 800 | 0.80% | - 0.93% | | Huabao Research Quantitative Windmill ETF Strategy Index | 0.78% | CSI 800 | 0.80% | - 0.02% | | Huabao Research Quantitative Balance Technique ETF Strategy Index | 0.22% | SSE 50 | 1.12% | - 0.89% | | Huabao Research SmartBeta Enhanced ETF Strategy Index | 0.38% | CSI 800 | 0.80% | - 0.43% | | Huabao Research Hot - Spot Tracking ETF Strategy Index | 0.56% | CSI All - Share | 0.67% | - 0.11% | | Huabao Research Bond ETF Duration Strategy Index | - 0.35% | ChinaBond Aggregate Index | - 0.40% | 0.05% | [12] 3.2 Other Periods' Performance - For each index, the report also provides performance data for the past month and since 2024, as well as the corresponding excess returns compared to the benchmarks [14][17][18][23][28][31][35] Group 4: Index Holdings - Each index has its specific holdings and corresponding weights as of May 16, 2025, which are detailed in the report [17][23][25][29][35][37]

2025 年 05 月 18 日 证券研究报告 | 策略周报 关税超预期调降，资金为何转向防御？ 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 相关研究报告 1、《关税窗口期应如何博弈？—策略周 报》2025-05-11 2、《政治局会议临近，应如何布局？— 策略周报》2025-04-20 3、《关税对 A 股哪些行业影响较大？— 策略周报》2025-04-13 4、《关税迷雾叠加美股震荡，资产应如 何配置？—策略周报》2025-03-30 5、《科技主线重燃，二次上行可期 —策 略周报》2025-03-09 投资要点 分析师：郝一凡 【债市方面】短期长端债券面临波动。中美经贸高层会谈达成重要共识，并取 得实质性进展，在一定程度上提振了市场情绪。出口预期修复和风险偏好提振 下，债市长端或面临波动调整压力。不过长期来看，4 月制造业 PMI 回落至荣 枯线下方，出口增速下滑压力尚未完全显现，但关税调整对基本面的影响或逐 步释放，支撑债市避险需求。 销售服务电话： 【股市方面】短期维持震荡，行业轮动加剧。当前 ...

Group 1 - In April 2025, the equity market experienced a decline due to external shocks, leading to increased risk aversion and an overall market pullback [2][10] - The commodity market showed a mixed performance, initially declining before recovering, with significant internal sector differentiation [10][11] Group 2 - The public quantitative strategy performance statistics indicate that the CSI 300 index had a monthly decline of 3.00%, with strict constraint type excess returns of 0.21%, SmartBeta excess returns of 0.09%, and rotation type excess returns of 0.13% [3][13] - The CSI 500 index saw a monthly decline of 3.86%, with strict constraint type excess returns of -0.07%, SmartBeta excess returns of 0.31%, and rotation type excess returns of 0.29% [3][17] - The CSI 1000 index experienced a monthly decline of 4.44%, with strict constraint type excess returns of 1.12%, SmartBeta excess returns of 1.20%, and rotation type excess returns of 1.59% [3][22] Group 3 - In the private equity strategy sector, the long strategy for the CSI 300 index had the smallest decline at -2.64%, while the quantitative stock selection strategy yielded a return of -2.72% [4][30] - The absolute return strategies showed the best performance with the ETF arbitrage strategy achieving an annualized return of 14.46%, followed by the market neutral strategy with an annualized return of 6.17% [4][30] - The quantitative CTA strategy in the commodity and derivatives private equity strategies achieved an annualized return of 10.49%, while the futures arbitrage strategy had an annualized return of 6.07% [4][35]

| 新股发行及今日交易提示 | 2025/5/16 | 星期五 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/5/16 | 新股上市 | 证券代码 | 证券简称 | 发行价格 | | | | | 301636 | 泽润新能 | 33.06 | 688755 | 汉邦科技 | 22.77 | | | | 2025/5/16 | 内地市场权益提示 | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | | | https://www.cninfo.com.cn/new/disclosure/detail?stockCode=600777&announcementId=122353 | 要约收购 | 600777 | ST新潮 | 要约申报期：2025年4月23日至2025年5月22日 | 6545&orgId=gssh0600777&announcementTime=2025 | -05-14 | | | http://www.cninfo.com.cn/new/disclosure/detail?sto ...

Report Overview - The report is a private equity fund special report focusing on the long - end analysis of market neutral strategies: quantitative stock selection, titled "How the Model Determines Your Return Cap" and is part of the Huabao Aggregation series of popular science articles [1] Core Viewpoint - The market neutral strategy, as an important pillar of the absolute return system, provides investors with a relatively stable return path through a long - short hedging mechanism [11] Section Summaries Market Neutral Strategy Long - end Construction Logic and Operational Characteristics - The long - end of the stock market neutral strategy constructs a stock portfolio with excess return capabilities through a systematic method, using a multi - level screening mechanism including initial screening based on core factors, further identification of targets, and dynamic adjustment to maintain risk balance. The strategy's return comes from the excess return difference between the long portfolio and the hedging instrument, and managers need to monitor key indicators and optimize the portfolio structure. The effectiveness of the quantitative stock - selection model is restricted by the market environment and requires parameter adjustment [5] Domestic Quantitative Model Development History - The development of the stock market neutral strategy's stock - selection method is coordinated with the capital market regulatory system. It has evolved from qualitative fundamental analysis in the early stage to the use of linear multi - factor models, and then to non - linear machine learning models and neural network models, affected by regulatory policies and market events such as the launch of margin trading and short - selling, the abnormal market fluctuations in 2015, and the implementation of registration systems [6] Secrets of Surviving Bull and Bear Markets: Survival Rules and Winning Logic of Neutral Strategies - The construction of quantitative models needs to balance historical rules and real - world changes. Investors should evaluate the strategy's full - cycle adaptability and the manager's ability to control drawdowns in special periods. Managers need to maintain the stability of core factors and establish a fast - response channel for new feature mining [7] How to Evaluate the Long - end of Market Neutral Strategies - Evaluating the long - end of market neutral strategies requires a multi - dimensional analysis framework, including examining the sustainability of returns and the completeness of the risk - control system. Ordinary investors should focus on the verifiability of the strategy's underlying logic, historical maximum drawdown, and the manager's ability to respond to market structure changes [9] Avoiding Three Cognitive Traps for Successful Neutral Strategy Investment - Investors should be aware of three cognitive blind spots: clarifying the essence of stock - selection logic, understanding the value of diversified allocation, and recognizing the inherent risk boundaries of the strategy. They should also check if the manager has a complete extreme stress - testing system [10]

Group 1: New Stock Offerings - ST新潮 (600777) is undergoing a tender offer period from April 23, 2025, to May 22, 2025[1] - 普利退 (300630) has 4 trading days remaining until the last trading day[1] - 恒而达 (300946) is experiencing severe abnormal fluctuations[1] Group 2: Stock Announcements - *ST中程 (300208) has an announcement dated April 29, 2025[1] - 精进电动 (688280) has an announcement dated May 8, 2025[1] - *ST沪科 (600608) has an announcement dated May 8, 2025[1] Group 3: Trading Alerts - 中毅达 (600610) has an announcement dated May 15, 2025[1] - 连云港 (601008) has an announcement dated May 15, 2025[1] - 南京港 (002040) has an announcement dated May 15, 2025[1]

New Stock Offerings - ST Xinchao (600777) is in the offer period from April 23, 2025, to May 22, 2025[1] - Polytron Technologies (300630) has 5 trading days remaining until the last trading day[1] - ST Cube (300344) has an announcement dated May 14, 2025, but no specific details provided[1] Trading Alerts - ST Zhongcheng (300208) reported severe abnormal fluctuations on April 29, 2025[1] - ST Hu Ke (600608) and ST Hua Rong (600421) both have announcements dated May 14, 2025, with no further details[1] - ST Zhengping (603843) has an announcement dated May 13, 2025, with no specific details provided[1] Market Trends - Multiple stocks, including ST Yanzhen (603389) and ST Chuangxing (600193), have announcements dated May 14, 2025, indicating potential market volatility[1] - The report highlights a significant number of stocks under observation for abnormal trading activities, suggesting increased market scrutiny[2]

2025 年 05 月 13 日 证券研究报告 | 金融工程周报 关税下调之后，市场分歧仍存 市场环境因子跟踪周报（2025.05.09） 分析师：柏逸凡 分析师登记编码：S0890524100001 电话：021-20321081 邮箱：baiyifan@cnhbstock.com 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 021-20515355 相关研究报告 向 — 市 场 环 境 因 子 跟 踪 周 报 （2025.04.30）》2025-05-07 2、《关税问题反复，大盘延续稳健—市场 中 观 因 子 跟 踪 周 报 （ 2025.04.27 ）》 2025-04-29 3、《市场进入降波阶段，风格稳定性上升 —量化数据看板跟踪周报（2025.04.20）》 2025-04-23 风 险 特 征 解 析 — 量 化 策 略 视 点 》 2024-12-17 投资要点 报告统计时间为 2025.05.05-2025.05.09。 分析师：程秉哲 静观其变，谋而后动。关税下调之后，可适度控制仓位，静观其变， ...

- The report covers the period from 2025.05.05 to 2025.05.09[10] Quantitative Factors and Construction Methods Stock Market Factors 1. **Factor Name**: Market Style Factors - **Construction Idea**: Track the performance and volatility of different market styles such as small-cap vs. large-cap and growth vs. value[11] - **Construction Process**: - Measure the performance of small-cap and large-cap stocks - Measure the performance of growth and value stocks - Calculate the volatility of these styles - **Evaluation**: The market style factors showed a strong performance for small-cap and growth styles, with low volatility[11][13] 2. **Factor Name**: Market Structure Factors - **Construction Idea**: Analyze the dispersion of excess returns among industry indices and the concentration of trading volume[11] - **Construction Process**: - Calculate the dispersion of excess returns among industry indices - Measure the proportion of trading volume of the top 100 stocks and the top 5 industries - **Evaluation**: The market structure factors indicated a decrease in the dispersion of excess returns and low concentration of trading volume[11][13] 3. **Factor Name**: Market Activity Factors - **Construction Idea**: Track the market's volatility and turnover rate[12] - **Construction Process**: - Measure the market's volatility - Calculate the turnover rate - **Evaluation**: The market activity factors showed a rapid decline in both volatility and turnover rate[12][13] Commodity Market Factors 1. **Factor Name**: Commodity Trend Strength - **Construction Idea**: Measure the trend strength of different commodity sectors[25] - **Construction Process**: - Calculate the trend strength for energy, black metals, non-ferrous metals, agricultural products, and precious metals - **Evaluation**: The trend strength was strong for energy and black metals, while weak for non-ferrous metals, agricultural products, and precious metals[25][28] 2. **Factor Name**: Basis Momentum - **Construction Idea**: Track the basis momentum of different commodity sectors[25] - **Construction Process**: - Measure the basis momentum for non-ferrous metals and agricultural products - **Evaluation**: The basis momentum remained high for non-ferrous metals and agricultural products[25][28] 3. **Factor Name**: Commodity Volatility - **Construction Idea**: Measure the volatility of different commodity sectors[25] - **Construction Process**: - Calculate the volatility for energy, black metals, non-ferrous metals, agricultural products, and precious metals - **Evaluation**: The volatility significantly decreased from high levels across all sectors[25][28] 4. **Factor Name**: Commodity Liquidity - **Construction Idea**: Track the liquidity of different commodity sectors[25] - **Construction Process**: - Measure the liquidity for energy, black metals, non-ferrous metals, agricultural products, and precious metals - **Evaluation**: The liquidity showed mixed performance across different sectors[25][28] Option Market Factors 1. **Factor Name**: Implied Volatility - **Construction Idea**: Measure the implied volatility of options on different indices[33] - **Construction Process**: - Calculate the implied volatility for options on the SSE 50 and CSI 1000 indices - **Evaluation**: The implied volatility for SSE 50 and CSI 1000 options significantly decreased, indicating a divergence in market views on small-cap stocks[33][34] Convertible Bond Market Factors 1. **Factor Name**: Convertible Bond Premium - **Construction Idea**: Measure the premium of convertible bonds[35] - **Construction Process**: - Calculate the premium for convertible bonds priced around 100 yuan - **Evaluation**: The premium showed a slight adjustment, with the market valuation at a moderately high level[35][37] Factor Backtesting Results 1. **Market Style Factors**: - Small-cap and growth styles showed strong performance with low volatility[11][13] 2. **Market Structure Factors**: - Decrease in excess return dispersion and low trading volume concentration[11][13] 3. **Market Activity Factors**: - Rapid decline in market volatility and turnover rate[12][13] 4. **Commodity Trend Strength**: - Strong trend for energy and black metals, weak for others[25][28] 5. **Basis Momentum**: - High basis momentum for non-ferrous metals and agricultural products[25][28] 6. **Commodity Volatility**: - Significant decrease in volatility across all sectors[25][28] 7. **Commodity Liquidity**: - Mixed liquidity performance across sectors[25][28] 8. **Implied Volatility**: - Significant decrease in implied volatility for SSE 50 and CSI 1000 options[33][34] 9. **Convertible Bond Premium**: - Slight adjustment in premium, moderately high market valuation[35][37]