Quantitative Models and Construction Methods 1. Model Name: XinXuan ETF Absolute Return Strategy - **Model Construction Idea**: The strategy aims to achieve absolute returns and long-term relative returns against A-share equities by selecting and holding ETFs from the XinXuan ETF pool[11] - **Model Construction Process**: 1. The strategy uses the "drawer method" to test the in-market equity ETF pool 2. The portfolio is optimized for absolute and relative returns through ETF trading 3. Key metrics include annualized return, maximum drawdown, Sharpe ratio, and volatility[11] - **Model Evaluation**: Demonstrates strong performance with low drawdowns and high Sharpe ratios, outperforming equal-weighted ETF benchmarks[11] 2. Model Name: All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy - **Model Construction Idea**: Combines industry rotation, style rotation, and risk parity to enhance returns while reducing portfolio volatility by diversifying across assets and strategies[15][17] - **Model Construction Process**: 1. Incorporates multiple asset classes: commodities (gold ETFs), US equities (S&P 500 ETFs), domestic equities (industry/style/size rotations), and domestic bonds (10-year and 30-year bond ETFs) 2. Allocates assets based on risk parity principles to balance portfolio risks[17] - **Model Evaluation**: Improves precision in ETF usage and achieves higher returns with lower volatility compared to traditional risk parity strategies[15][17] 3. Model Name: China-US Core Asset Portfolio - **Model Construction Idea**: Combines trend-following RSRS timing strategy and technical reversal strategies to optimize a portfolio of four strong-trend assets: liquor, dividends, gold, and Nasdaq[21] - **Model Construction Process**: 1. Selects assets based on strong trend signals 2. Applies RSRS timing and technical reversal strategies to adjust holdings dynamically 3. Portfolio details and methodology are elaborated in prior reports[21] - **Model Evaluation**: Outperforms equal-weighted indices with high annualized returns and Sharpe ratios, while maintaining moderate drawdowns[21] 4. Model Name: High Prosperity/Dividend Rotation Strategy - **Model Construction Idea**: Rotates between high-growth and dividend strategies based on market signals, dynamically adjusting ETF allocations[24] - **Model Construction Process**: 1. Allocates 50% to Growth ETFs (e.g., ChiNext, STAR 50) during high-growth signals 2. Allocates 50% to Dividend ETFs (e.g., Low Volatility Dividend, Central SOE Dividend 50) during dividend signals 3. Adjusts allocations based on signal changes, with detailed methodology in prior reports[24] - **Model Evaluation**: Demonstrates superior returns and risk-adjusted performance compared to equal-weighted indices, albeit with higher volatility[24] 5. Model Name: Dual Bond LOF Enhanced Strategy - **Model Construction Idea**: Enhances bond-heavy portfolios by dynamically adjusting weights between dual bond LOFs and other assets based on volatility normalization[27] - **Model Construction Process**: 1. Divides assets into dual bond LOFs and other products 2. Calculates weekly returns and volatilities for each group 3. Normalizes the inverse of volatilities to determine weights, ensuring higher allocation to bonds due to their lower volatility[27] - **Model Evaluation**: Achieves stable returns with minimal drawdowns and low volatility, outperforming the dual bond LOF benchmark[27] 6. Model Name: Structured Risk Parity Strategy (QDII) - **Model Construction Idea**: Enhances traditional risk parity by incorporating QDII products, domestic bonds, and dividend ETFs for diversified exposure[28][30] - **Model Construction Process**: 1. Allocates assets across commodities (gold ETFs), QDII equities (e.g., Nasdaq, Nikkei, DAX), domestic bonds (5-year, 10-year, 30-year ETFs), and dividend ETFs 2. Balances risks across asset classes to achieve structural diversification[28][30] - **Model Evaluation**: Delivers high returns with low drawdowns and volatility, showcasing strong risk-adjusted performance[30] --- Model Backtest Results 1. XinXuan ETF Absolute Return Strategy - Total Return: 33.49% - Annualized Return: 24.14% - Maximum Drawdown: -6.30% - Volatility: 17.58% - Sharpe Ratio: 1.20[11][33] 2. All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy - Total Return: 19.69% - Annualized Return: 14.40% - Maximum Drawdown: -3.62% - Volatility: 4.48% - Sharpe Ratio: 2.58[15][33] 3. China-US Core Asset Portfolio - Total Return: 59.80% - Annualized Return: 42.03% - Maximum Drawdown: -10.86% - Volatility: 17.16% - Sharpe Ratio: 2.02[21][33] 4. High Prosperity/Dividend Rotation Strategy - Total Return: 48.99% - Annualized Return: 34.78% - Maximum Drawdown: -22.04% - Volatility: 34.79% - Sharpe Ratio: 0.96[24][33] 5. Dual Bond LOF Enhanced Strategy - Total Return: 9.08% - Annualized Return: 6.73% - Maximum Drawdown: -2.26% - Volatility: 3.41% - Sharpe Ratio: 1.34[27][33] 6. Structured Risk Parity Strategy (QDII) - Total Return: 23.59% - Annualized Return: 17.18% - Maximum Drawdown: -2.38% - Volatility: 4.92% - Sharpe Ratio: 2.84[30][33]

- The "XinXuan ETF Absolute Return Strategy" aims to achieve both absolute returns and long-term relative returns compared to A-share equities through ETF trading within the XinXuan ETF pool[10][11] - The "All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy" combines industry rotation, style rotation, and risk parity strategies to enhance ETF usage precision and increase returns while reducing overall portfolio volatility[15][17] - The "China-US Core Asset Portfolio" incorporates strong trend assets like liquor, dividends, gold, and the Nasdaq index, using RSRS timing and technical reversal strategies to form a combined portfolio[21] - The "High Prosperity/Dividend Rotation Strategy" switches between high-growth and dividend strategies based on signals, adjusting ETF holdings accordingly[24] - The "Dual Bond LOF Enhanced Strategy" adjusts product weights to ensure a higher proportion of bond holdings, enhancing the strategy based on bond volatility[27] - The "Structured Risk Parity (QDII)" strategy replaces the XinXuan ETF pool with a strategy pool that includes QDII equity products, gold, and domestic dividend ETFs, focusing on long-term domestic bond ETFs[28][30] Model Backtest Results - XinXuan ETF Absolute Return Strategy: Total return 33.49%, annualized return 24.14%, maximum drawdown -6.30%, volatility 17.58%, Sharpe ratio 1.20[31] - High Prosperity/Dividend Rotation Strategy: Total return 48.99%, annualized return 34.78%, maximum drawdown -22.04%, volatility 34.79%, Sharpe ratio 0.96[31] - China-US Core Asset Portfolio: Total return 59.80%, annualized return 42.03%, maximum drawdown -10.86%, volatility 17.16%, Sharpe ratio 2.02[31] - Dual Bond LOF Enhanced Strategy: Total return 9.08%, annualized return 6.73%, maximum drawdown -2.26%, volatility 3.41%, Sharpe ratio 1.34[31] - Structured Risk Parity Strategy (QDII): Total return 23.59%, annualized return 17.18%, maximum drawdown -2.38%, volatility 4.92%, Sharpe ratio 2.84[31] - All-Weather Multi-Asset Risk Parity Strategy: Total return 19.69%, annualized return 14.40%, maximum drawdown -3.62%, volatility 4.48%, Sharpe ratio 2.58[15][31]

2025 年 05 月 27 日 双融日报 分析师：万蓉 S1050511020001 wanrong@cfsc.com.cn 市场情绪：61 分（较热） 最近一年大盘走势 15 20 (%) 沪深300 -15 -10 -5 0 5 10 资料来源：Wind，华鑫证券研究 相关研究 ▌ 华鑫市场情绪温度指标：（较热） 华鑫市场情绪温度指标显示，昨日市场情绪综合评分为 61 分，市场情绪处于"较热"。历史市场情绪趋势变化可参 考图表 1。 ▌ 热点主题追踪 今日热点主题：固态电池、黄金、苹果链 1、固态电池主题：第十七届深圳国际电池技术交流会与 博览会(CIBF2025)将于 5 月 15 日至 17 日在深圳举办。 CIBF2025 同期还将举办 CIBF2025 先进电池前沿技术研讨 会，主题为"绿色能源驱动未来"，会议涉及先进锂离子动力 电池技术、电池安全与测评、固态及新体系电池、大功率快 充技术、智能装备与制造数字孪生等内容。相关标的：海顺 新材(300501)、国轩高科(002074) 2、黄金主题：5 月以来，国际金价剧烈波动，大涨大 跌、震荡调整。此前，全球贸易战风险支撑金价，但中美经 贸高层会 ...

2025 年 05 月 26 日 人形机器人催化不断，光伏价格理性回落 推荐(维持) 投资要点 市场表现 -20 -10 0 10 20 30 (%) 电力设备 沪深300 资料来源：Wind，华鑫证券研究 相关研究 1、《电力设备行业周报：腾讯资本 开支高增，AI 智能体产业持续发 展》2025-05-19 2、《电力设备行业周报：OpenAI 计 划加大海外投资，持续看好 AIDC 环 节》2025-05-12 3、《电力设备行业周报：海外云厂 财报超预期，AI 反弹趋势明确》 2025-05-06 ▌Optimus 学习人类视频完成家务，人形机器人格斗 赛开赛 Optimus 学习人类视频完成家务。5 月 21 日，特斯拉发布 Optimus 最新视频。视频中，Optimus 在单一神经网络下，通 过学习人类视频，完成了诸如扔垃圾、使用扫帚和吸尘器、 撕纸巾、搅拌锅内食物、打开橱柜、关闭窗帘等日常家务， 还成功地将一辆 ModelX 的前连杆捡起并放置到手推车上。 | 分析师：张涵 | S1050521110008 | | --- | --- | | zhanghan3@cfsc.com.cn | | ...

2025 年 05 月 26 日 特朗普再次宣布将对欧盟征收关税，避险情绪升 温推升金价 推荐(维持) 投资要点 分析师：傅鸿浩 S1050521120004 fuhh@cfsc.com.cn 分析师：杜飞 S1050523070001 dufei2@cfsc.com.cn 行业相对表现 | 表现 | 1M | 3M | 12M | | --- | --- | --- | --- | | 有色金属(申万) | 3.1 | 4.3 | 3.5 | | 沪深 300 | 2.5 | -2.0 | 7.8 | 市场表现 -30 -20 -10 0 10 20 (%) 有色金属 沪深300 资料来源：Wind，华鑫证券研究 相关研究 1、《有色金属行业周报：下游开工 向好以及库存去化，铜铝价格维持 较强走势》2025-04-28 2、《有色金属行业周报：关税影响 美国经济滞涨风险增大，金价支撑 仍然强劲》2025-04-21 3、《有色金属行业周报：美国通胀 持续走弱，降息预期提升支撑金 价》2025-04-14 ▌黄金：特朗普再次宣布将对欧盟征收关税，避险 情绪升温推升金价 数据方面，美国 5 月 Markit 制 ...

Investment Rating - The report maintains a "Recommended" investment rating for the gold, copper, aluminum, tin, and antimony industries [11]. Core Views - The report highlights that the recent announcement by Trump to impose tariffs on the EU has increased global economic uncertainty, which supports a bullish trend in gold prices. Central banks continue to purchase gold, indicating a sustained long-term bullish outlook [3]. - For copper and aluminum, while there is a short-term weakness in downstream operations, the long-term supply-demand dynamics are expected to remain tight, justifying a "Recommended" rating for both industries [11]. - Tin prices are expected to stabilize at a high level, with corporate profits projected to gradually increase, leading to a "Recommended" rating for the tin industry [11]. - Antimony prices are currently weak due to short-term demand decline, but long-term supply constraints are expected to support prices, hence a "Recommended" rating is maintained [11]. Summary by Sections Market Performance - The non-ferrous metals sector (Shenwan) showed a monthly performance increase of 3.1%, a quarterly increase of 4.3%, and a yearly increase of 3.5%, outperforming the CSI 300 index [1]. Macroeconomic Indicators - China's real estate development investment from January to April decreased by 10.3%, while the industrial added value in April grew by 6.1%, exceeding expectations [4][28]. - The U.S. Markit Manufacturing PMI for May was reported at 52.3, significantly above the expected 49.9 [3][28]. Gold Market Data - The London gold price increased to $3342.65 per ounce, a rise of 3.48% from the previous week [32]. - SPDR Gold ETF holdings rose to 29.66 million ounces, an increase of 120,000 ounces [32]. Copper Market Data - LME copper closed at $9565 per ton, up by $52 from the previous week, while SHFE copper closed at 77,790 yuan per ton, down by 880 yuan [41]. - Domestic copper social inventory was reported at 139,900 tons, a decrease of 790 tons from the previous week [41]. Aluminum Market Data - Domestic electrolytic aluminum prices rose to 20,400 yuan per ton, an increase of 170 yuan [42]. - The operating rate of leading aluminum profile enterprises was reported at 56.0%, a slight decrease of 0.5 percentage points [42]. Tin and Antimony Market Data - Domestic refined tin prices were reported at 265,070 yuan per ton, a slight decrease of 370 yuan [43]. - Antimony ingot prices were reported at 220,500 yuan per ton, down by 2,000 yuan [43].

Investment Rating - The report maintains a "Buy" rating for several companies in the chemical industry, including Sinopec, China National Petroleum, and China National Offshore Oil Corporation [10]. Core Viewpoints - The report highlights significant price increases in products such as butadiene (up 19.15%), domestic naphtha (up 13.10%), and coal tar (up 10.94%), while products like liquid chlorine and sulfur experienced substantial declines [4][5][20]. - It suggests focusing on investment opportunities in import substitution, domestic demand, and high-dividend stocks due to the stabilization of international oil prices and easing of US-China tariff issues [6][21]. Summary by Sections Industry Tracking - International oil prices have shown volatility, with WTI and Brent prices at $61.53 and $64.78 per barrel, respectively, indicating a slight decline [6][23]. - The chemical industry is experiencing mixed performance across sub-sectors, with some like the tire and lubricant industries performing better than expected [7][22]. Price Movements - Notable price increases this week include butadiene (19.15%), domestic naphtha (13.10%), and coal tar (10.94%), while significant declines were seen in liquid chlorine (-71.43%) and sulfur (-61.30%) [4][5][20]. - The report emphasizes the need to monitor the price trends of key chemical products, as they reflect broader market conditions [20][31]. Investment Recommendations - The report recommends focusing on companies that are likely to benefit from import substitution, such as lubricant additives and specialty coatings, as well as those in the fertilizer and coal chemical sectors [8][22]. - It also highlights the attractiveness of high-dividend stocks in the oil sector, particularly the "three barrels of oil" companies, which are expected to maintain strong asset quality and dividend yields [8][22]. Company Focus and Earnings Forecast - Specific companies recommended for investment include Xinyangfeng, Senqilin, Ruifeng New Materials, and others, with projected earnings per share (EPS) growth and favorable price-to-earnings (PE) ratios [10].

2025 年 05 月 26 日 宇树格斗大赛展现机器人优秀稳定性，小米 YU7 发布有望延续 SU7 爆款节奏 推荐(维持) 投资要点 分析师：林子健 S1050523090001 linzj@cfsc.com.cn 行业相对表现 表现 1M 3M 12M 汽车(申万) 6.3 -1.1 34.6 沪深 300 2.5 -2.0 7.8 市场表现 -20 -10 0 10 20 30 40 50 (%) 汽车 沪深300 资料来源：Wind，华鑫证券研究 相关研究 1、《汽车行业周报：特斯拉发布强 化学习视频，优必选、越疆等本体 企业与模型厂商达成合作》2025- 05-19 2、《汽车行业周报：恒而达收购磨 床企业 SMS 布局上游设备，吉利拟 全资私有化极氪内部整合加速》 2025-05-11 3 、 《 汽 车 行 业 周 报 ： 特 斯 拉 OptimusGen3 更新在即，上海车展智 能驾驶及智能座舱成行业焦点》 2025-04-28 ▌海内外催化共振，机器人机遇频现 特斯拉：更新速度趋于频繁，马斯克工作重心回归。本周特 斯拉展示 optimus 通过现实视频数据学习人类日常生活中动 作，快速推进 ...

2025 年 05 月 26 日 宇树格斗大赛展现机器人优秀稳定性，小米 YU7 发布有望延续 SU7 爆款节奏 推荐(维持) 投资要点 分析师：林子健 S1050523090001 linzj@cfsc.com.cn 行业相对表现 表现 1M 3M 12M 汽车(申万) 6.3 -1.1 34.6 沪深 300 2.5 -2.0 7.8 市场表现 -20 -10 0 10 20 30 40 50 (%) 汽车 沪深300 资料来源：Wind，华鑫证券研究 相关研究 1、《汽车行业周报：特斯拉发布强 化学习视频，优必选、越疆等本体 企业与模型厂商达成合作》2025- 05-19 2、《汽车行业周报：恒而达收购磨 床企业 SMS 布局上游设备，吉利拟 全资私有化极氪内部整合加速》 2025-05-11 3 、 《 汽 车 行 业 周 报 ： 特 斯 拉 OptimusGen3 更新在即，上海车展智 能驾驶及智能座舱成行业焦点》 2025-04-28 ▌海内外催化共振，机器人机遇频现 特斯拉：更新速度趋于频繁，马斯克工作重心回归。本周特 斯拉展示 optimus 通过现实视频数据学习人类日常生活中动 作，快速推进 ...

2025 年 05 月 26 日 双融日报 ▌ 热点主题追踪 今日热点主题：固态电池、黄金、苹果链 --鑫融讯 分析师：万蓉 S1050511020001 wanrong@cfsc.com.cn 市场情绪：31 分（较冷） 最近一年大盘走势 -5 0 5 10 15 20 (%) 沪深300 资料来源：Wind，华鑫证券研究 -15 相关研究 ▌ 华鑫市场情绪温度指标：（较冷） 华鑫市场情绪温度指标显示，昨日市场情绪综合评分为 31 分，市场情绪处于"较冷"。历史市场情绪趋势变化可参 考图表 1。 1、固态电池主题：第十七届深圳国际电池技术交流会与 博览会(CIBF2025)将于 5 月 15 日至 17 日在深圳举办。 CIBF2025 同期还将举办 CIBF2025 先进电池前沿技术研讨 会，主题为"绿色能源驱动未来"，会议涉及先进锂离子动力 电池技术、电池安全与测评、固态及新体系电池、大功率快 充技术、智能装备与制造数字孪生等内容。相关标的：海顺 新材(300501)、国轩高科(002074) 2、黄金主题：5 月以来，国际金价剧烈波动，大涨大 跌、震荡调整。此前，全球贸易战风险支撑金价，但中美经 贸高 ...