Group 1 - The report highlights the historical characteristics of the "Spring Rally" since 2010, noting that the market typically stabilizes and forms a temporary low in the week before the Spring Festival, initiating the "Spring Rally" around the holiday [7][10] - During the "Spring Rally," small-cap stocks tend to outperform in terms of odds and win rates, with strong performance often observed in the first five trading days after the Spring Festival [7][10] - The report suggests that the upcoming political environment, particularly with the inauguration of President Trump, may create favorable conditions for the A-share market, despite potential market volatility due to uncertainties in his initial policies [3][11] Group 2 - The report indicates that since mid-December, the market has experienced a round of adjustments, and as the Two Sessions approach, a new round of policy-driven market activity is expected, which could enhance liquidity in the equity market [10] - It emphasizes that the current economic recovery remains uncertain, with weak internal momentum, and suggests that sectors with performance elasticity and clear policy logic, such as technology growth and new consumption, may be favored in the short term [10][11] - The report recommends investors to participate in the "Spring Rally" window based on their risk appetite, focusing on sectors like technology growth (electronics, media, communication) and new consumption (dining, tourism, retail) [11]

- The report tracks the performance of public quantitative products, categorizing them into three types: Strict Constraint, SmartBeta, and Rotation. These categories are based on the deviation of industry and style configurations from benchmark indices, as well as the stability of these deviations[44][45][48] - For the CSI 300 Enhanced Index products, the monthly index return was 0.47%, with excess returns of 0.23% for Strict Constraint, 0.44% for SmartBeta, and 0.55% for Rotation strategies[45][47][48] - For the CSI 500 Enhanced Index products, the monthly index return was -2.16%, with excess returns of 3.71% for Strict Constraint, 3.95% for SmartBeta, and 3.67% for Rotation strategies[48][51][49] - For the CSI 1000 Enhanced Index products, the monthly index return was -3.74%, with excess returns of 6.00% for Strict Constraint, 6.83% for SmartBeta, and 6.22% for Rotation strategies[52][55][53] - The cumulative returns for CSI 300 Enhanced Index products were 22.23% for Strict Constraint, 15.09% for SmartBeta, and 19.63% for Rotation strategies. The annualized returns were 4.29%, 2.99%, and 3.83%, respectively[47][48][46] - The cumulative returns for CSI 500 Enhanced Index products were 17.61% for Strict Constraint, 25.10% for SmartBeta, and 16.49% for Rotation strategies. The annualized returns were 3.46%, 4.80%, and 3.25%, respectively[51][50][49] - The cumulative returns for CSI 1000 Enhanced Index products were 32.15% for Strict Constraint, 30.16% for SmartBeta, and 40.38% for Rotation strategies. The annualized returns were 6.25%, 5.90%, and 7.66%, respectively[55][54][53] - The report highlights that the current market environment is favorable for quantitative index enhancement products to achieve excess returns. Aggressive strategies like SmartBeta and Rotation are recommended for allocation during this period[56][44][45]

Investment Rating - The report does not explicitly provide an investment rating for the industry [1] Core Insights - The report indicates a decline in yields for various bank wealth management products, attributed to a cooling bond market and adjustments in liquidity management tools [3][9] - Cash management products have seen a 7-day annualized yield of 1.56%, down 7 basis points from the previous week, while money market funds yielded 1.39%, down 10 basis points, widening the yield gap to 17 basis points [3][8] - The report highlights that the annualized yield for non-cash fixed income products over the past month is 2.64%, down 31 basis points, and for closed 6-12 month fixed income products, it is 3.36%, down 5 basis points [4][12] - The average compliance rate for wealth management products maturing from January 6 to January 12, 2025, is 76%, a decrease of 3 basis points from the previous week, with closed-end products showing a higher compliance rate of 81% [5][14] Summary by Sections Cash Management Products - The 7-day annualized yield for cash management products is reported at 1.56%, a decrease of 7 basis points from the prior week, with a yield gap of 17 basis points compared to money market funds [3][8] Performance Review of Wealth Management Products - The report provides a weekly review of wealth management product performance, noting a general decline in yields across various product types due to market conditions [9][12] Maturity and Compliance Status - The total scale of maturing wealth management products from January 6 to January 12, 2025, is 714.39 billion, with an average compliance rate of 76%, indicating a slight decline [5][14]

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]