1. Report Industry Investment Rating No relevant content provided in the report. 2. Report's Core View - During the week from July 21 to July 26, 2025, the convertible bond market continued its moderate upward trend, with the price center approaching historical highs, the valuation structure stretching overall, and market trading remaining active. The mid - cap style outperformed, and the valuation repair momentum of low - priced and medium - high - priced varieties increased, reflecting improvements in both credit and elasticity preferences. In the equity market, the growth style was dominant, and the continuous inflow of funds into the science - technology innovation and manufacturing sectors drove the active performance of high - elasticity convertible bond individual bonds. The intensity of style and industry rotation increased significantly, and the short - term emotional upsurge required vigilance against the risk of intensified fluctuations. At the current stage, it is recommended to re - evaluate the risk - return ratio and consider a balanced allocation of high - quality low - and medium - priced individual bonds, taking into account fundamental support, valuation safety, and liquidity [2][5]. - The price center of the current convertible bond market continued to rise, and the median weekly average price approached 130 yuan again. The valuation level entered the historical high - level range, and the allocation strategy may need to be adjusted. As some individual bonds with longer durations entered the forced redemption stage, the outstanding scale continued to shrink, and the capacity shortage intensified. Meanwhile, the intensity of industry and style rotation was at a relatively high level, short - term sentiment heated up, and trading games became more prominent. From the perspective of sector rotation, it is recommended to focus on the mainline opportunities of the "anti - involution" related sectors in the current market and the potential opportunities in the commercial retail and transportation sectors. It is also recommended to re - evaluate the risk - return ratio in a high - level environment, pay attention to the rotation and repair opportunities of large - cap and medium - priced varieties, and take into account valuation safety and liquidity support [9]. - The A - share market continued its volatile upward trend during the week, and capital preference remained concentrated in high - elasticity sectors, with the growth style dominant. Small - and medium - cap stocks in the science - technology innovation sector were active, and the cyclical manufacturing sector also received some incremental capital support, forming the market's mainline, and market hotspots showed a structural spread. At the same time, the performance of the weight sectors was weak, and the capital switch may support the acceleration of the sector rotation rhythm, so caution is needed when participating in sector switches. Overall, it is recommended to continuously pay attention to the fundamental support and capital persistence of high - elasticity sectors, and at the same time, be vigilant against the callback risk in high - congestion directions, and maintain the flexibility and balance of the allocation [9]. - The convertible bond market continued to rise during the week, with the mid - cap style outperforming. The market trading sentiment recovered, but the momentum slowed down marginally. In terms of the valuation structure, looking at different market price intervals, the repair momentum of low - and medium - priced and medium - and high - priced varieties was relatively strong. The low - price interval reflected an improvement in credit preference, while the elastic gaming funds in the high - price interval were slightly cautious. The implied volatility continued to rise, and market fluctuations may be magnified periodically. The emotional upsurge requires vigilance against short - term callback risks. At the sector level, sectors such as medicine, basic chemicals, and power equipment received incremental capital support, and the capital concentration increased significantly. In terms of individual bonds, the outstanding performers were mostly driven by the strength of the underlying stocks, showing characteristics of high elasticity and medium - to - short durations. It is recommended to conduct a structured allocation around the direction that emphasizes both fundamental support and valuation elasticity [9]. - The supply rhythm of the primary market of convertible bonds was stable during the week. A total of 2 new bonds were listed, and 9 companies updated their issuance plans. In terms of terms, a total of 6 individual bonds announced that they were expected to trigger a downward revision, 9 announced no downward revision, and 1 individual bond proposed a downward revision. On the redemption side, 9 individual bonds announced that they were expected to trigger redemption, 5 announced early redemption, and 4 clearly stated no early redemption. Overall, the supply continued to advance, and clause games and redemption events occurred frequently. It is recommended to continuously pay attention to the allocation opportunities brought about by individual bond games [9]. 3. Summary According to Relevant Catalogs 3.1 Look at Stocks and Do Bonds: How to Layout When Convertible Bonds Reach High Levels - The median weekly average price of convertible bonds has reached a historical high. Since 2021, the median weekly average price of convertible bonds has gradually increased, briefly reaching the 130 - yuan mark in January and August 2022 but failing to break through effectively later. Currently, with the strengthening of the equity market and the fact that the outstanding convertible bonds are mostly "old bonds" and some high - priced varieties have entered the forced redemption stage, the market outstanding scale has further shrunk. As the median weekly average price of convertible bonds approaches the 130 - yuan mark again, the current allocation strategy needs to be re - evaluated [14]. - From the perspective of industry rotation, the rotation intensity has reached a relatively high historical level. The sum of the absolute values of the changes in the weekly sector price - increase rankings is used as the sector rotation intensity indicator, and the 24 - week average is used for smoothing. Both the current week's rotation intensity and the smoothed 24 - week average are above the 85th percentile since 2010, in a relatively high - level range [14]. - From the perspective of the net financing scale of the entire A - share market, short - term sentiment may enter an over - heated range. The net financing amount of the entire A - share market is positively correlated with the trend of the Wind All - A Index. The net financing amount is at the 98.9th percentile since 2010, and the 4 - week rolling regression slope of the net financing amount is at the 94.3rd percentile since 2010, reflecting a rapid rise in short - term sentiment and a possible entry into an over - heated range [17]. - From the perspective of industry rotation, it is possible to layout opportunities related to sectors in the fourth quadrant. The first - quadrant sectors are the current market mainline, and the fourth quadrant harbors the potential to become the first - quadrant sectors. In the current week, steel, building materials, non - ferrous metals, and coal were the absolute mainlines, and their relative momentum and relative strength indicators increased significantly compared with the previous week. From the perspective of rotation, in the short term, it is recommended to pay attention to the rotation opportunities of the transportation and commercial retail sectors, which are located in the fourth quadrant and have shown good performance in both relative momentum and relative strength indicators compared with the previous week [22]. - From the perspective of convertible bond style rotation, the large - cap and medium - price indexes may be gestating opportunities. The large - cap index and the medium - value index are weaker than other styles in terms of strength and momentum. As the overall price of convertible bonds continues to rise, some funds may choose to take profits and return to the large - cap and medium - price indexes [23]. 3.2 Market Theme Weekly Review 3.2.1 Equity Theme Weekly Review - During the week from July 21 to July 26, 2025, the trading themes in the equity market were active. The infrastructure industry chain related to the Yajiang Hydropower Project saw a surge in trading popularity. The water conservancy and hydropower index led the major theme directions with a weekly price increase of 27.1% and a weekly trading volume of 142.31 billion yuan. Resource - related themes such as the rare earth index, small - metal index, and lithium - ore index had weekly price increases of 24.5%, 17.5%, and 12.4% respectively. Leading - stock indexes, dragon - tiger list indexes, and limit - up trading indexes had weekly price increases of over 20%. The previously pressured high - amplitude index and market sentiment index recovered, rising by 23.3% and 17.8% respectively, indicating that funds were concentrated in high - elasticity fields. The technology field showed structural differentiation, with the chip design index and semiconductor industry index rising by 7.1% and 4.8% respectively, while the previously popular optical module (CPO) index and optical communication index declined by 2.1% and 0.8% respectively. In terms of capital flow, the trading - theme indexes showed a significant upward trend, and the total weekly trading volume of the leading - stock index, dragon - tiger list index, and limit - up trading index exceeded 970 billion yuan. The weekly trading volume of the high - amplitude index was 633.88 billion yuan, significantly increasing compared with the previous week. Overall, market sentiment was high, and short - term funds were active. It is recommended to pay attention to high - elasticity trading opportunities, be cautious when participating in short - term over - heated themes, and maintain the flexibility and balance of the strategy [27]. 3.2.2 Convertible Bond Weekly Review - During the week from July 21 to July 26, 2025, the convertible bond market continued to rise, and the capital style switched to mid - cap elastic varieties, further enhancing market activity. The overall valuation structure showed a repair trend. Looking at different market price intervals, both the low - and high - price intervals showed signs of recovery, but the valuation of the medium - price range was under pressure, indicating that gaming funds were becoming more cautious. The implied volatility fluctuated upward, and market sentiment heated up. At the industry level, both the cyclical and growth styles performed well, and the trading focus was concentrated in the medicine, power equipment, and chemical sectors. In terms of individual bonds, medium - to - short - duration and high - elasticity bonds were favored by the market and led the price increases. The supply rhythm of the primary market was stable, and structural games continued. In terms of allocation, it is recommended to dig for individual bonds with valuation advantages and underlying - stock catalysts among medium - priced varieties, while also participating in rotation market trends and controlling risks [30]. 3.3 Market Weekly Tracking 3.3.1 Main Stock Indexes Strengthened, and Cyclical Sectors Were the Mainline of the Week - **Main stock indexes continued to strengthen, and small - and medium - cap science - technology innovation stocks performed strongly**: During the week from July 21 to July 26, 2025, the main A - share stock indexes continued to strengthen. The Shanghai Composite Index had a weekly price increase of 1.7%, the Shenzhen Component Index had a weekly price increase of 2.3%, and the ChiNext Index led the main stock indexes with a weekly price increase of 2.8%. In terms of style, small - and medium - cap science - technology innovation stocks performed prominently. The CSI 500 Index rose by 4.6% weekly, the CSI 2000 Index had a weekly price increase of 3.3%, the SSE 50 Index had a weekly price increase of 1.7%, and the STAR 50 Index had a weekly price increase of 1.8%. In terms of capital, the market's main funds continued to flow out net during the week, and the outflow pressure increased. The average daily trading volume of the entire market was about 1.8 trillion yuan, a week - on - week increase of 0.3 trillion yuan. The market showed a net capital outflow on all five trading days of the week. The net capital outflow scale expanded from 1.364 billion yuan on Monday to 4.083 billion yuan on Wednesday, then significantly shrank to 0.3 billion yuan on Thursday, and expanded again to 3.098 billion yuan on Friday, possibly indicating short - term profit - taking behavior by funds. The average daily net outflow of main funds during the week was 2.474 billion yuan, an increase of 0.792 billion yuan compared with the previous week, and market sentiment remained cautious [31]. - **The overall performance of different industries strengthened, and cyclical sectors were relatively dominant**: During the week from July 21 to July 26, 2025, the A - share market continued its structural differentiation pattern, and cyclical sectors performed strongly. The steel sector led the Shenwan primary industries with a price increase of 9.1%. The coal and non - ferrous metal sectors followed closely, with weekly price increases of 9.0% and 8.9% respectively. The building materials and building decoration sectors had weekly price increases of 7.9% and 5.9% respectively, and their trading volumes increased week - on - week, indicating the market's preference for cyclical sectors. The previously leading high - elasticity sectors continued their upward trends. The communication and computer sectors had weekly price increases of 7.5% and 4.1% respectively. The consumer sector showed internal structural differentiation. The beauty care and medicine and biology sectors both had weekly price increases of 5.4%, while the food and beverage and household appliances sectors performed relatively weakly, with only 1.5% and 0.1% weekly price increases respectively. The banking sector performed poorly, with a weekly price decline of 2.3%, leading the decliners among all industries. Overall, market funds were concentrated in cyclical sectors. It is recommended to pay attention to cyclical industries with policy support and definite performance, while also considering the technology - growth sectors. Be cautious about previously high - level sectors and guard against adjustment risks [36]. - **The trading volume showed a significant structural flow pattern**: The market funds showed obvious structural flow characteristics during the week, which was positively correlated with the sector price increases. The electronics sector had the highest average daily trading volume of 181.02 billion yuan, a week - on - week increase of 3.47 billion yuan, accounting for 10.0% of the market. The computer sector had an average daily trading volume of 148.48 billion yuan, a week - on - week decrease of 16.95 billion yuan, but still accounting for 8.2% of the market, indicating a relatively high level of overall capital attention. The non - ferrous metals, machinery, and power equipment sectors received incremental capital support of 35.81 billion yuan, 33.71 billion yuan, and 32.40 billion yuan respectively, and their average daily trading volumes were 115.25 billion yuan, 144.15 billion yuan, and 148.16 billion yuan respectively, indicating a strong willingness to layout in cyclical sectors [37]. - **The market sector congestion showed a differentiated pattern**: Cyclical sectors showed obvious congestion characteristics. The infrastructure industry chain centered on the Yajiang Hydropower Project became the main direction of capital allocation. The building materials and building decoration sectors showed obvious characteristics of high trading volume and high turnover rate, with their trading volume percentiles reaching the 100% historical peak and their turnover rate percentiles being 100% and 99% respectively. The capital concentration and trading activity were both at historical high levels. The steel and non - ferrous metal sectors also maintained high popularity, with their trading volume percentiles reaching the 98th percentile and their turnover rate percentiles being 98% and 95% respectively. The transportation sector had both indicators at the 96th percentile of the historical level, reflecting that under the expectation of policy - driven infrastructure industry chain profitability, the capital layout intensity continued to increase. The internal differentiation of the technology - growth sector intensified. The computer sector maintained high activity with a 90% trading volume percentile and an 84% turnover rate percentile. The electronics sector had an 89% trading volume percentile but only a 63% turnover rate percentile, and the communication sector had a 92% trading volume percentile but only a 40% turnover rate percentile, indicating selective capital allocation. The food and beverage sector had a trading volume percentile of only 45% and a turnover rate percentile of only 55%, indicating a low willingness of capital allocation. Overall, currently, funds are concentrated in infrastructure and some cyclical sectors. It is recommended to pay attention to possible short - term adjustment risks and consider potential rotation sectors that may experience high - low switches [43]. 3.3.2 Convertible Bond Market Continued to Strengthen, and Mid - Cap Convertible Bonds Outperformed - **The convertible bond market as a whole continued to rise, and mid - cap convertible bonds led the way**: During the week from July 21 to July 26, 2025, the convertible bond market continued to rise, and the price increase was slightly larger than that of the previous week. In terms of style, mid - cap convertible bonds performed better. The CSI Convertible Bond Index rose by 2.1% weekly, with the Wind Mid - Cap Convertible Bond Index leading the increase at 2.5%, the large - cap index rising by 1.5%, and the small - cap convertible bond index rising by 2.4%. The market as a whole continued to recover, but the momentum weakened marginally. The leading performance of the mid - cap index reflected that funds were biased towards high - elasticity varieties. In terms of capital, the trading activity of the convertible bond market increased significantly, with an average daily trading volume of about 85.86 billion yuan, a week - on - week increase of 12.02 billion yuan [47]. - **The valuation of the convertible bond market stretched overall by parity interval**: In the low - parity interval, there was a repair trend. The conversion premium rate of the below - 80 - yuan interval stretched by 2.08%, and the 80 - 90 - yuan interval stretched by 1.36%. In the 100 - yuan parity interval, the conversion premium rate of the 90 - 100 - yuan interval stretched by 1.78%, and the 100 - 110 - yuan interval stretched by 1.06%. In the medium - and high - parity intervals, the 110 - 120 - yuan interval stretched by 0.55%, the 120 - 130 - yuan interval compressed by 1.06%, and the above - 130 - yuan interval stretched by 1.19%. The valuation of the convertible bond market stretched overall by parity

- Model Name: Diffusion Index Model; Construction Idea: The model is based on the principle of price momentum, capturing industry trends through diffusion indices; Construction Process: The model tracks the weekly and monthly changes in the diffusion indices of various industries, ranking them accordingly. The formula for the diffusion index is not explicitly provided; Evaluation: The model has shown varying performance over the years, with significant drawdowns during market reversals[24][25][28] - Model Name: GRU Factor Model; Construction Idea: The model utilizes GRU (Gated Recurrent Unit) deep learning networks to process minute-level volume and price data, aiming to capture trading information; Construction Process: The model ranks industries based on GRU factors, which are derived from the deep learning network's analysis of trading data. The specific formula for GRU factors is not provided; Evaluation: The model has performed well in short cycles but has shown general performance in longer cycles[31][32][35] - Diffusion Index Model, Average Weekly Return: 0.89%, Excess Return Since July: -3.47%, Excess Return YTD: -0.45%[28] - GRU Factor Model, Average Weekly Return: 4.27%, Excess Return Since July: 1.34%, Excess Return YTD: -4.25%[35] - Factor Name: Diffusion Index; Construction Idea: The factor is based on the momentum of industry prices, capturing upward trends; Construction Process: The factor is calculated by observing the weekly and monthly changes in the diffusion indices of various industries. The specific formula is not provided; Evaluation: The factor has shown varying performance, with significant drawdowns during market reversals[24][25][28] - Factor Name: GRU Factor; Construction Idea: The factor is derived from GRU deep learning networks, capturing trading information from minute-level volume and price data; Construction Process: The factor is calculated by ranking industries based on the GRU network's analysis of trading data. The specific formula is not provided; Evaluation: The factor has performed well in short cycles but has shown general performance in longer cycles[31][32][35] - Diffusion Index Factor, Top Industries: Comprehensive Finance (1.0), Steel (1.0), Non-Bank Finance (0.999), Comprehensive (0.998), Non-Ferrous Metals (0.997), Home Appliances (0.995)[25] - GRU Factor, Top Industries: Banking (3.3), Real Estate (0.58), Oil & Petrochemicals (-1.26), Textile & Apparel (-1.73), Light Manufacturing (-2.49), Electric Power & Utilities (-2.83)[32]

Core Viewpoint - The article discusses the investment strategy of Hu Zhongyuan, a fund manager at Huashang Fund, emphasizing the importance of both offensive and defensive strategies in investment, particularly during market adjustments [4][8]. Group 1: Investment Strategy - Hu Zhongyuan employs a "dual diversification" strategy in product allocation, focusing on industry diversification to reduce portfolio volatility by including both high-growth and stable defensive sectors [5][9]. - The fund managed by Hu Zhongyuan, Huashang Runfeng Flexible Allocation Mixed Fund, has shown impressive long-term performance, with a net value increase of 193.98% over nearly seven years, significantly outperforming the benchmark and the CSI 300 index [5][6]. - The investment framework is based on industry cycles and win rates, selecting industries with upward revenue and profit trends for allocation, while avoiding a preset preference for any specific industry [6][7]. Group 2: Market Adaptation - Hu Zhongyuan has demonstrated a proactive approach to market changes, such as shifting investments from high-valued sectors like liquor and pharmaceuticals to undervalued sectors like coal and pork during market fluctuations [7][10]. - The fund's performance during market downturns has been notable, with a smaller drawdown compared to many peers, attributed to a mix of defensive public utilities and bond assets [10]. Group 3: Market Outlook - The current market is viewed as favorable, with structural opportunities expected due to ongoing policy support, ample liquidity, and evolving industry dynamics [11][12]. - Key factors supporting the A-share market include sustained policy effects, a favorable funding environment, and emerging structural investment opportunities in sectors like artificial intelligence, new consumption, and innovative pharmaceuticals [12][13][14].

主动权益基金情绪偏乐观， 证券研究报告 银行行业配置达到历史高位 —— 量化市场追踪周报（2025W30） 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_ReportTime] 2025 年 4 月 27 日 金工研究 [Table_ReportType] 金工定期报告 [Table_Author] 于明明 金融工程与金融产品 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 吴彦锦 金融工程与金融产品 分析师 执业编号：S1500523090002 联系电话：+86 18616819227 邮 箱：wuyanjin@cindasc.com 周君睿 金融工程与金融产品 分析师 执业编号：S1500523110005 联系电话：+86 19821223545 邮 箱：zhoujunrui@cindasc.com [Table_Title] 量化市场追踪周报(2025W30)：主动权益基金情绪 偏乐观，银行行业配置达到历史高位 [Table_ReportDate] ...

Group 1 - The market has shown significant sector rotation this year, with increased trading activity and overall market momentum, as evidenced by trading volumes consistently above 1 trillion yuan since May, recently reaching 1.8 trillion yuan [2][3] - Major indices such as the CSI 300, the Zhongzheng A500, and the ChiNext Index have all experienced gains this year, particularly smaller and growth-oriented stocks, indicating that the enthusiasm from hot sectors can spill over into the broader market [3][4] - Historical data shows that the Shanghai Composite Index has stabilized above 3500 points in previous instances (2007, 2015, 2021), suggesting that the sustainability of the current market rally should be monitored [8] Group 2 - The current market rally is driven by multiple factors, including ongoing policy support, capital inflows, and better-than-expected earnings, alongside a flourishing technology theme [10][11] - The stability of the RMB and the relative unattractiveness of US Treasury bonds may lead to a return of global allocation funds to A-shares and Hong Kong stocks, with the market's liquidity expected to remain supportive in the second half of the year [12] - Recent policies aimed at reducing competition in certain industries, such as the "anti-involution" policy, are expected to improve industry dynamics, particularly in sectors like internet services, automotive, and battery technology [12][13][14] - Positive economic indicators, including GDP and industrial data, along with recovering financial metrics like social financing and M2, suggest a more stable economic recovery, with specific attention on sectors like optical modules and technology hardware [15]

Group 1 - The Shanghai Composite Index has regained the 3600-point level, with a notable rebound in stocks, particularly in the ChiNext market outperforming A-shares amid bank corrections [1] - The market is shifting from large-cap indices to sector indices, with significant rebounds in healthcare, rare metals, and securities, while real estate, liquor, and coal sectors are also recovering [3] - The current market environment is characterized by a potential for substantial gains, with many stocks rising over 30% as the index increases by 10% [3] Group 2 - The market is experiencing upward volatility, with the absence of a significant drop indicating further potential for growth [5] - There is an increasing market volume, suggesting that low-priced stocks are beginning to rally, which could drive the index higher [5] - The upcoming market conditions are expected to be favorable, with a bullish sentiment prevailing despite some skepticism among investors [7]

Group 1 - The core focus of Fund of Funds (FOF) is on asset allocation and fund investment, with a notable preference for gold and bond ETFs as primary investment targets [1][2] - As of the end of Q2 2025, the Huazhang Gold ETF was the most heavily held fund by FOFs, with 78 FOFs holding a total market value of 987 million yuan [1] - Despite the popularity of the Huazhang Gold ETF, there was a decrease in FOF holdings compared to Q1, where it had 86 FOFs with a market value of 1.414 billion yuan [2] Group 2 - Bond ETFs remain a significant focus for FOFs, with the Hai Futong Zhongzheng Short-term Bond ETF being the highest held, with a market value exceeding 1.643 billion yuan held by 57 FOFs [2] - FOF managers are increasingly adopting a proactive investment strategy, favoring growth-oriented themes such as Hong Kong tech, innovative pharmaceuticals, and semiconductor ETFs [1][3] Group 3 - The Industrial Bank's Rui Zhi Jin Qu FOF achieved a return rate of 21.64% year-to-date, ranking among the top FOFs, with significant holdings in growth-oriented ETFs [3] - The Bo Hai Hui Jin Preferred Progress FOF also focused on growth themes, heavily investing in Hong Kong innovative pharmaceuticals and technology ETFs, while also diversifying into overseas assets [3] Group 4 - The investment strategy of the Bo Hai Hui Jin Preferred Progress FOF includes a framework of "three main lines + one buffer," focusing on technology in the US, leading internet and financial assets in Hong Kong, and new productivity sectors in A-shares, with gold as a core buffer asset [4] - The FOF managers emphasize regular rebalancing of asset exposure and maintaining cash reserves to capture opportunities during market volatility [4]

Core Viewpoint - The announcement of the appointment of Lu Wenkai as a co-manager for the招商优势企业混合基金 alongside the original manager Zhai Xiangdong indicates a potential shift in management strategy, as Zhai has achieved significant returns since taking over the fund in April 2022 [2][7]. Fund Performance - The招商优势企业混合基金 has delivered a return of 115.81% since Zhai Xiangdong took over, with an annualized return of 26%, ranking 5th among 2901 similar funds [3][5]. - The fund has consistently outperformed its benchmark over the past two years, with returns of 30.16% in 2024 and 27.25% in 2023, compared to benchmark returns of 16.62% and -5.36% respectively [4]. Fund Growth - The fund's assets have surged from 193 million yuan at the end of Q2 2022 to 10.1 billion yuan by the end of Q1 2025, reflecting a significant increase in investor confidence and performance [5]. Manager Background - Zhai Xiangdong, who has a background in TMT research, joined招商基金 in June 2020 and has been managing the fund since April 2022, leading to a remarkable turnaround in performance [5]. Portfolio Composition - The fund's holdings are primarily concentrated in the TMT sector, with notable positions in companies like全蝶国际, 腾讯控股, and 美团-W, showcasing a strategy of sector rotation and agile management during market fluctuations [6]. Management Changes - The recent appointment of Lu Wenkai may suggest that Zhai Xiangdong could be stepping down, as such changes in management often precede a departure, especially since Zhai only manages this single fund [7].

Quantitative Models and Construction Methods - **Model Name**: Diffusion Index Model **Construction Idea**: The model is based on price momentum principles, aiming to capture upward trends in industry performance[25][37] **Construction Process**: 1. Calculate the diffusion index for each industry based on price momentum 2. Rank industries by their diffusion index values 3. Select industries with the highest diffusion index values for portfolio allocation **Formula**: Not explicitly provided in the report **Evaluation**: The model performs well during upward trends but struggles during reversals, as seen in historical performance[25][37] - **Model Name**: GRU Factor Model **Construction Idea**: The model leverages GRU (Gated Recurrent Unit) deep learning networks to analyze minute-level volume and price data for industry rotation[38][33] **Construction Process**: 1. Input minute-level volume and price data into the GRU network 2. Train the model using historical data to identify industry rotation signals 3. Generate GRU factor scores for each industry and rank them 4. Allocate portfolio weights based on GRU factor rankings **Formula**: Not explicitly provided in the report **Evaluation**: The model performs well in short cycles but faces challenges in long cycles and extreme market conditions[38][33] Model Backtesting Results - **Diffusion Index Model**: - Monthly average return: -0.81% - Excess return over equal-weighted industry benchmark: -1.61% (July 2025)[29] - Year-to-date excess return: 1.48%[24][29] - **GRU Factor Model**: - Weekly average return: -0.46% - Excess return over equal-weighted industry benchmark: -1.27% (July 2025)[36] - Year-to-date excess return: -5.75%[33][36] Quantitative Factors and Construction Methods - **Factor Name**: Diffusion Index **Construction Idea**: Measures industry momentum based on price trends[25][26] **Construction Process**: 1. Calculate the diffusion index for each industry using price data 2. Rank industries by diffusion index values 3. Select industries with the highest diffusion index values for portfolio allocation **Formula**: Not explicitly provided in the report **Evaluation**: Effective in capturing upward trends but vulnerable to reversals[25][26] - **Factor Name**: GRU Factor **Construction Idea**: Utilizes GRU deep learning networks to analyze minute-level volume and price data for industry rotation[38][33] **Construction Process**: 1. Input minute-level volume and price data into the GRU network 2. Train the model using historical data to identify industry rotation signals 3. Generate GRU factor scores for each industry and rank them 4. Allocate portfolio weights based on GRU factor rankings **Formula**: Not explicitly provided in the report **Evaluation**: Performs well in short cycles but struggles in long cycles and extreme market conditions[38][33] Factor Backtesting Results - **Diffusion Index Factor**: - Top-ranked industries (July 18, 2025): Comprehensive Finance (1.0), Comprehensive (0.998), Non-Banking Finance (0.996), Steel (0.995), Nonferrous Metals (0.994), Communication (0.993)[26][27] - Weekly changes in rankings: Consumer Services (+0.224), Food & Beverage (+0.208), National Defense (+0.091)[28] - **GRU Factor**: - Top-ranked industries (July 18, 2025): Banking (2.68), Transportation (2.42), Nonferrous Metals (-0.87), Steel (-1.92), Construction (-2.19), Coal (-2.36)[34] - Weekly changes in rankings: Building Materials (+), Banking (+), Comprehensive Finance (+)[34]

Core Viewpoint - The A-share market has recently returned to around 3500 points, with noticeable acceleration in industry rotation, leading to challenges for investors in timing and selection of stocks [1] Group 1: Market Environment - The recent market environment has seen a shift from banking and financial sectors to technology stocks represented by AI and robotics, indicating a rapid change in investment focus [1] - Investors often face difficulties in adapting to the fast-changing market dynamics, where a single investment strategy may not suffice [1] Group 2: AI Investment Advisory - Guojin Securities' AI investment advisory service addresses common investment pain points by providing a comprehensive solution covering pre-investment diagnosis, strategy generation, signal tracking, and post-investment support [1][2] - The AI advisory service customizes investment strategies based on investor preferences, focusing on valuation safety margins for large-cap investors and growth potential for small-cap investors [2] Group 3: Strategy and Technology Integration - The AI investment advisory utilizes hundreds of strategies and nearly a thousand underlying factors to filter out ineffective information and capture key variables in sector rotation [2] - The strategies are validated through years of historical backtesting, ensuring that only those meeting success criteria are implemented in practice [2] Group 4: Enhanced Investor Experience - The AI advisory service provides real-time tracking of portfolio dynamics and alerts investors to significant stock movements, enhancing the overall investment experience [2][3] - By leveraging advanced technologies like big data and AI, the service democratizes access to sophisticated investment tools, allowing individual investors to receive tailored asset allocation plans [3][4]