1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai - Shenzhen REITs market has taken shape with broad market space. Policy support has accelerated the issuance rhythm. With interest rates declining, financial institutions such as securities firms are increasing their positions in REITs. If the number and average market value of China's public REITs reach certain levels, the market value could increase significantly [2][3]. - REITs have unique asset attributes, being both debt - like and equity - like, with a very long duration and diverse underlying assets. Different asset types have different market performances, completion rates of distributable amounts, and valuation methods [5]. - Based on valuation comparisons and fundamentals, some REITs are attractive, but liquidity may limit secondary - market trading strategies. Currently, subscribing to newly issued REITs through offline channels is recommended, with an expected annualized return of 5.1 - 6.4% [6]. 3. Summary by Directory 3.1 Issuance Rhythm Accelerates, and the REITs Market Takes Shape - **China's REITs Market Has Taken Shape**: As of June 30, 2025, there were 68 listed REITs with a total market value of 205.5 billion yuan and a trading volume of 623 million yuan per day in H1 2025 [16]. - **Policy Support May Accelerate the Issuance Rhythm**: China's public REITs issuance process includes project screening, provincial development and reform commission application, national development and reform commission review, exchange review and registration, and issuance and listing. Since 2024, policies have simplified the process and expanded the asset scope. REITs expansion has also been normalized [18][21][23]. - **Interest Rate Decline Leads Financial Institutions to Increase REITs Positions**: In a low - interest - rate environment, financial institutions such as securities firms and trusts have been increasing their holdings of REITs since 2022 [25][29]. - **China's REITs Market Has Broad Space**: Although China's listed REITs number has exceeded that of Japan and Singapore, the average market value per REIT is much lower. If reaching the US number and Asian average market value, the market value could increase 10.99 times [32][35]. 3.2 Asset Characteristics of REITs - **Both Debt - like and Equity - like with Good Risk - Return Ratio**: REITs' debt attributes are reflected in mandatory and high - proportion dividends and stable cash flows. Their equity attributes are shown in the high dependence on underlying asset operations, the importance of underlying asset value for valuation, and high volatility. From the experience of mature markets, REITs have a good risk - return ratio [41][50][55]. - **Extremely Long Duration Forms Unique Asset Attributes**: China's REITs are mainly contract - type closed - end funds with a long fixed term (10 - 99 years). Longer remaining terms mean more prominent equity attributes, while shorter ones may highlight debt attributes [61]. - **Diverse Underlying Asset Types**: China's REITs underlying assets include eight major categories. Different asset types have different market performances, completion rates of distributable amount forecasts, and regular report data. Some traffic - facility REITs release monthly operation data [67][71][101]. 3.3 REITs Valuation Method Discussion - **Overview of REITs Valuation Methods**: REITs valuation methods are divided into absolute and relative valuation methods. The absolute valuation method often uses the DCF method, and common relative valuation indicators include PNAV, PFFO, IRR, and cash distribution rate [108]. - **PNAV Applies to All Types of REITs**: PNAV reflects investors' comprehensive expectations and market sentiment. Currently, the median PNAV of the Shanghai - Shenzhen REITs market is at a historical high, and different asset types have different reasonable PNAV levels [112][115]. - **Different Types of REITs Use Different Valuation Methods**: PFFO is suitable for equity - type REITs, while cash distribution rate or IRR is more applicable to franchise - type REITs. Equity - type REITs have high - dividend - stock characteristics [118][124][127]. - **Importance of IRR for REITs Valuation**: IRR is an important tool for measuring the long - term investment value of REITs. The initial IRR of listed REITs has remained stable, but the actual IRR may deviate from the initial value [128][130][131]. 3.4 Investment Recommendations - **Liquidity Shortage Limits Secondary - Market Trading**: Some REITs are attractive, but the market has poor liquidity, with most individual bonds having low daily trading volumes. The current high - valuation market is not a good time for large - scale allocation [135][136]. - **Currently, Subscribing to Newly Issued Funds Can Be the Main Strategy**: In 2025, newly issued REITs have high first - day price increases. The REITs new - issue strategy has a capacity of 1.5 - 2.0 billion yuan, and with 20 - 25 new issues expected this year and stable allocation ratios, the annual return could be 5.1 - 6.4% [140][148].

Core Insights - The online seminar "Gold Price Fluctuations: Market Volatility and Outlook for the Second Half of the Year" was successfully held, featuring discussions from various experts on the current state and future trends of the financial market [1] Group 1: Gold and Silver Market Analysis - Gold has seen a rapid increase since the beginning of 2024, with silver showing a similar upward trend, indicating potential for further gains [2] - Central banks, particularly in China and India, are increasing their gold reserves to hedge against currency risks, reflecting a shift in global liquidity dynamics [2] - Despite a significant rise in gold prices over the past two years, the overall trend remains upward, with expectations of increased volatility in the future [2] Group 2: Market Volatility and Asset Allocation - The current global market is characterized by high uncertainty and volatility, driven by factors such as U.S. Federal Reserve policy uncertainty, geopolitical risks, and doubts about global economic growth [3] - Investors are advised to maintain diversified portfolios, focusing on high-quality assets while being cautious of risks in U.S. equities and exploring opportunities in A-shares and Hong Kong stocks [3] - The bond market is expected to remain uncertain until monetary policy becomes clearer [3] Group 3: Structural Economic Challenges - The global economy is entering a phase of "high volatility, low growth," with structural challenges such as aging populations and high national debts limiting growth potential [4] - There is a notable "K-shaped" divergence in asset performance, with U.S. stock indices being driven by a few tech stocks while many others lag behind [4] - Long-term investment in gold is recommended for its hedging properties, alongside opportunities in bonds and sectors like technology and pharmaceuticals [4] Group 4: Global Economic Dynamics and Financial Innovation - The restructuring of international order is enhancing the strategic value of gold, as central banks increase their gold purchases to mitigate dollar risks [5] - The advent of artificial intelligence is expected to revolutionize traditional economic analysis, necessitating new growth theories [5] - Developments in Web3 and Real World Assets (RWA) are anticipated to reshape financial infrastructure, with potential implications for gold and digital currencies [5] Group 5: U.S. Policy Impacts and Market Reactions - The economic impact of the Trump administration's policies has led to structural changes in the market, with concerns about long-term social inequality and growth potential [6] - The simultaneous decline of U.S. stocks, bonds, and the dollar reflects investor apprehension regarding U.S. policy uncertainties [6] - Investors are advised to monitor central bank asset diversification trends to prepare for potential risks associated with escalating trade tensions [6]

Core Viewpoint - The market is experiencing an "innovation-driven bull market," with sectors such as AI, innovative pharmaceuticals, and new consumption witnessing significant growth, referred to as "Chinese-style innovation" [1][6]. Group 1: Investment Strategy - The investment strategy is based on a three-dimensional model combining macroeconomic cycle assessment, industry rotation allocation, and in-depth stock analysis [1][4]. - The approach emphasizes a balanced asset allocation strategy, avoiding extreme positions typical of either growth or value investing, and focuses on dynamic balance [4][5]. - The investment framework is characterized by a dual strategy: "holding a long-term position in a bull market" and "engaging in tactical maneuvers in balanced and bear markets" [5][6]. Group 2: Performance Metrics - The fund managed by the company, under the leadership of Yin Tao, achieved a net value growth rate of 19.18% in the first half of 2025 and 18.70% over the past year [3]. - The product has ranked in the top 5% of its category over the past two years, according to data from Galaxy Securities [3]. Group 3: Sector Focus - The company identifies and prioritizes 3 to 5 high-prospect industries each year based on macroeconomic indicators, industry policy shifts, and supply-demand dynamics [4]. - In 2024, the company reduced exposure to the underperforming power equipment sector while increasing allocations to the automotive and home appliance sectors, resulting in excess returns from industry allocation [4]. Group 4: Investment Philosophy - The investment philosophy emphasizes the importance of sensitivity, diligence, rigor, and patience in identifying and investing in high-potential stocks [4]. - The company focuses on growth stocks with high return on equity (ROE) and sustainable growth potential, aiming to capture both industry and individual stock gains [4]. Group 5: Market Trends - The company highlights three key investment themes with contemporary relevance: AI, innovative pharmaceuticals, and new consumption, which are seen as driving forces in the current market [6]. - The shift in China's economic development structure is noted, with traditional investment-driven sectors stabilizing while innovation-driven sectors are on the rise, indicating a higher barrier to entry for future growth [6].

Core Viewpoint - The market is experiencing an innovation-driven bull market, with sectors such as AI, innovative pharmaceuticals, and new consumption witnessing significant growth in "Chinese-style innovation" [1][6]. Group 1: Investment Strategy - The investment strategy is based on a three-dimensional model combining macroeconomic cycle assessment, industry rotation allocation, and in-depth stock analysis [1][4]. - The approach emphasizes a dynamic balance in asset allocation, avoiding extreme positions typical of either growth or value investing [4][5]. - The investment framework is characterized by a focus on economic cycles and industry trends, selecting 3 to 5 high-prospect industries for targeted investment each year [4][6]. Group 2: Performance Metrics - The net value growth rate of the fund managed by the company reached 19.18% in the past six months and 18.70% over the past year [3]. - The fund's performance ranked in the top 5% of its peers over the past two years, indicating strong relative performance [3]. Group 3: Market Adaptation - The company adjusts its stock positions flexibly, reducing equity exposure from 91% in Q2 2023 to 67% by the end of Q4 2023, effectively managing drawdowns during uncertain market conditions [6]. - In 2024, the company increased stock positions again, successfully capturing market opportunities [6]. Group 4: Key Investment Themes - The company identifies three key investment themes with contemporary relevance: AI, innovative pharmaceuticals, and new consumption, which are seen as driving forces of the current market [5][6]. - The innovative pharmaceutical sector is highlighted as undergoing significant transformation, approaching the standards of developed countries [6].

Core Insights - The public fund of funds (FOF) has experienced significant growth, with its scale increasing nearly ninefold since its inception eight years ago, reaching a total management scale of 1650.62 billion yuan as of the second quarter of this year [4][2][1] - The development of public FOFs is driven by various factors, including regulatory support, the commitment of leading institutions, and favorable market conditions during the A-share bull market from 2019 to 2021 [4][5][2] - The average net value growth rate of public FOFs since inception is 12.3%, with nearly 90% of products achieving positive returns, highlighting their investment performance [7][6] Growth and Development - The number and diversity of public FOF products have significantly increased, catering to various risk appetites and investment needs, including ordinary FOFs and targeted retirement FOFs [2][4] - The FOF market has evolved through different phases, including initial rapid growth, market corrections, and subsequent recovery, leading to a more mature understanding of FOFs among managers, sales institutions, and investors [4][2] Investment Performance - The performance of public FOFs has been commendable, with some products achieving returns exceeding 120% since inception [7][6] - The success of FOFs is attributed to strategic and tactical asset allocation, as well as the selection of underlying funds, which are becoming increasingly sophisticated [7][11] Future Outlook - The future of public FOFs appears promising, with ample room for growth in the context of multi-asset allocation trends and increasing investor demand for diversified investment solutions [10][11] - Industry experts emphasize the need for enhanced research capabilities and product services to maintain competitive advantages, particularly in delivering long-term stable performance [10][11] Product Innovation - Recent years have seen the emergence of innovative FOF products, such as FOF-LOF and ETF-FOF, which are expected to gain popularity due to their diversified asset allocation capabilities [19][20] - The expansion of the investment scope for FOFs to include various asset classes, such as commodities and REITs, is aimed at improving risk diversification and enhancing overall returns [15][14] Challenges in Pension FOFs - Despite the potential of pension FOFs as a key component of the personal pension system, challenges such as slow growth, product homogeneity, and low investor awareness persist [21][22] - Industry stakeholders advocate for improved product competitiveness and market recognition, alongside learning from international experiences to enhance the effectiveness of pension FOFs [21][22] Recommendations for Development - Experts suggest that the industry should focus on optimizing institutional design, extending assessment periods, and enriching asset allocation tools to better meet investor needs [28][27] - There is a call for increased investor education and tailored asset allocation recommendations to enhance the appeal and understanding of pension FOFs among the general public [25][24]

Core Viewpoint - The public fund of funds (FOF) has experienced significant growth over the past eight years, with its scale increasing nearly ninefold, indicating a promising future for the FOF market in China [2][3][5]. Growth and Development - Since the approval of the first batch of public FOF products in September 2017, the number and scale of these products have significantly increased, with a diverse range of categories including low, medium, and high-risk ordinary FOFs, as well as target risk and target date pension FOFs [3][5]. - As of the second quarter of this year, the total management scale of 519 public FOFs reached 165.06 billion yuan, compared to 16.6 billion yuan for the initial six products, marking a growth of nearly nine times [5]. - The rapid growth of FOFs in the early stages can be attributed to three main factors: strong regulatory support, significant investment from leading institutions, and the favorable market conditions during the A-share bull market from 2019 to 2021 [5][6]. Performance and Returns - The average net value growth rate of public FOFs since inception is 12.3%, with nearly 90% of products achieving positive returns, and the highest performance exceeding 120% [7][8]. - The returns of FOF products are primarily derived from strategic and tactical asset allocation, as well as fund selection, with a growing emphasis on long-term stable performance as a core competitive advantage [10][12]. Future Outlook - The future development of public FOFs is expected to focus on enhancing research and investment capabilities, with a strong emphasis on long-term performance and multi-asset allocation strategies [11][12]. - The expansion of FOFs into new asset classes, including commodities, QDII funds, and public REITs, is anticipated to improve risk diversification and broaden sources of returns [16][18]. - The FOF market in China has significant growth potential, especially as the demand for multi-asset investment solutions and personal pension investments continues to rise [12][30]. Challenges and Recommendations - The development of pension FOFs faces challenges such as slow growth, product homogeneity, and insufficient investor awareness [25][27]. - To enhance the competitiveness and market recognition of pension FOFs, it is recommended to improve product design, increase investor education, and provide tailored asset allocation advice [27][28]. - Learning from international experiences, the industry should focus on optimizing institutional design, extending assessment periods, and enriching asset allocation tools to better meet investor needs [29][30].

Group 1: Fixed Income + Product Performance Tracking - As of September 5, 2025, the total scale of fixed income + funds in the market is 1,785.415 billion, with 1,179 products, of which 94 reached historical net value highs last week [2][18] - The median performance of various fund types for the week (September 1-5, 2025) is as follows: mixed bond type I (0.09%), mixed bond type II (0.05%), and bond type FOF (0.14%) [2][12] - The performance of conservative, stable, and aggressive funds for the week is 0.07%, 0.06%, and 0.05% respectively [2][12] Group 2: Major Asset Allocation and Industry ETF Rotation Strategy Tracking - The macro environment forecast for Q3 2025 indicates an inflation scenario, with the performance of major indices as follows: CSI 300 (-0.81%), national debt total wealth index (0.11%), and AU9999 contract (3.78%) [3][22] - Recommended industry ETFs for September 2025 include: Huafu CSI Artificial Intelligence Industry ETF, Guotai CSI All-Share Securities Company ETF, Guotai CSI All-Share Communication Equipment ETF, and GF CSI Media ETF [3][22] - The combined return for the recommended ETFs last week was -3.04%, with a cumulative return of -3.04% for September [3][22] Group 3: Absolute Return Strategy Performance Tracking - The macro-timing driven stock-bond 20/80 rebalancing strategy had a return of -0.15% last week, with a year-to-date (YTD) return of 3.77% [4] - The small-cap growth style in the stock-bond 20/80 combination showed the best performance with a YTD return of 10.99% [4] - The cumulative return for the small-cap growth combination based on a macro momentum model is 12.48% [4]

Core Viewpoint - The article emphasizes the growing importance of "fixed income +" funds in the current market environment, driven by long-term capital inflows and the need for balanced investment strategies amid market volatility [4][15]. Group 1: Market Trends - The stock market has experienced a correction after a continuous rise, leading to investor uncertainty about whether to invest [6]. - Long-term capital sources such as insurance funds, bank wealth management, and pension funds have significantly contributed to the growth of "fixed income +" funds, with a notable increase of 270 billion yuan in the first half of the year [8]. Group 2: Performance of "Fixed Income +" Funds - As of August 31, the median return of "fixed income +" funds reached 3.02%, over four times that of pure bond funds, with more than 95% of products achieving positive returns [7]. - The total market size of "fixed income +" funds has surpassed 2 trillion yuan, indicating strong demand and performance in this category [8]. Group 3: Case Study - 景顺长城 Fund - 景顺长城 Fund has emerged as a leader in the "fixed income +" space, with a management scale of 94 billion yuan and a net growth of 38 billion yuan in the first half of the year [9]. - The fund's strong performance is supported by its fixed income team, which has an average experience of over 10 years, and has consistently ranked at the top in absolute returns across various time frames [10][12]. Group 4: Investment Strategies - 景顺长城 employs a diverse range of strategies within its "fixed income +" product line, focusing on asset allocation, stock selection, and risk management to enhance returns [11][13]. - The fund's investment team leverages their expertise in macroeconomic research, credit bonds, and convertible bonds to optimize portfolio performance [10][12]. Group 5: Future Outlook - The rise of "fixed income +" funds is seen as a response to low interest rates and the need for stable returns in a rapidly changing stock market [15]. - The investment value of these products is validated by substantial capital inflows, indicating a strong market demand for balanced risk-return profiles [16].

Quantitative Models and Construction 1. Model Name: Macro Scoring Model - **Model Construction Idea**: The model evaluates macroeconomic factors to generate scores for various asset classes, reflecting their relative attractiveness under current macroeconomic conditions [16][18]. - **Model Construction Process**: - The model incorporates global macroeconomic factors such as global monetary conditions, global inflation, and global economic sentiment. - Each factor is scored based on its current trend (e.g., uptrend or downtrend) and its historical relationship with asset performance. - The scores are aggregated to produce a final macro score for each asset class, including equities, commodities, and bonds [16][18]. - **Model Evaluation**: The model is effective in identifying asset classes with higher expected returns under specific macroeconomic conditions. For example, it currently favors commodities like copper and gold over equities due to the upward trend in global inflation and monetary easing [16][18]. 2. Model Name: US Equity Timing Model - **Model Construction Idea**: This model assesses the timing for US equity investments based on macroeconomic and market-specific indicators [19]. - **Model Construction Process**: - The model uses three sub-indicators: economic sentiment, capital flows, and financial stress. - Each sub-indicator is scored, and the aggregated score determines the model's outlook (e.g., bullish, neutral, or bearish) for US equities [19]. - **Model Evaluation**: The model has shifted its outlook to "bullish" due to improving economic sentiment and capital flows, suggesting a favorable environment for US equities [19]. 3. Model Name: Gold Timing Model - **Model Construction Idea**: This model evaluates the timing for gold investments based on fiscal and inflationary conditions [21]. - **Model Construction Process**: - The model incorporates indicators such as fiscal deficit expansion, inflation trends, and central bank policies. - The latest reading of the timing indicator is -0.53, reflecting a cautious signal. However, the model acknowledges potential distortions due to lagging data on fiscal expansion [21]. - **Model Evaluation**: Despite the cautious signal, the model suggests that gold remains a strong investment under the anticipated fiscal deficit expansion and rising inflation [21]. 4. Model Name: Crude Oil Timing Model - **Model Construction Idea**: This model predicts crude oil price trends based on macroeconomic and market-specific factors [26]. - **Model Construction Process**: - The model uses a "Crude Oil Sentiment Index," which aggregates factors such as demand, inventory levels, the US dollar index, investor expectations, and macroeconomic risks. - The latest index reading is 0.56, indicating a positive outlook for crude oil prices [26][27]. - **Model Evaluation**: The model maintains a bullish view on crude oil, supported by improving demand and reduced macroeconomic risks [26][27]. --- Backtesting Results of Models 1. Macro Scoring Model - **Copper**: When the macro score for copper reaches 4, the next month's annualized return for LME copper is 29% [12][16]. - **Gold**: The model indicates a positive outlook for gold under current macroeconomic conditions, though specific return metrics are not provided [16][18]. 2. US Equity Timing Model - **Outlook**: The model has upgraded its view on US equities to "bullish," supported by improving economic sentiment and capital flows [19]. 3. Gold Timing Model - **Indicator Value**: The latest timing indicator value is -0.53, signaling caution, though the model suggests potential upside due to fiscal and inflationary trends [21]. 4. Crude Oil Timing Model - **Indicator Value**: The Crude Oil Sentiment Index is at 0.56, reflecting a positive outlook for crude oil prices [26][27]. --- Quantitative Factors and Construction 1. Factor Name: Global Monetary Factor - **Factor Construction Idea**: Tracks global monetary policy trends to assess their impact on asset prices [16]. - **Factor Construction Process**: - The factor is derived from central bank policy rates, liquidity measures, and monetary easing/tightening cycles. - It is used as an input in the macro scoring model to evaluate the attractiveness of risk assets [16]. 2. Factor Name: Global Inflation Factor - **Factor Construction Idea**: Measures global inflationary pressures and their implications for asset performance [16]. - **Factor Construction Process**: - The factor aggregates inflation data from major economies and evaluates its trend (e.g., accelerating or decelerating). - It is used to assess the relative attractiveness of inflation-sensitive assets like commodities [16]. 3. Factor Name: Economic Sentiment Factor - **Factor Construction Idea**: Captures the overall economic sentiment to predict asset class performance [19]. - **Factor Construction Process**: - The factor is based on leading indicators such as PMI data, new orders, and consumer confidence indices. - It is a key input in the US equity timing model [19]. --- Backtesting Results of Factors 1. Global Monetary Factor - **Impact**: The upward trend in this factor supports a positive outlook for risk assets, particularly commodities [16]. 2. Global Inflation Factor - **Impact**: The rising trend in this factor favors inflation-sensitive assets like copper and gold [16]. 3. Economic Sentiment Factor - **Impact**: The improvement in this factor supports a bullish outlook for US equities [19].

Core Viewpoint - The article emphasizes the importance of constructing a diversified asset allocation strategy to navigate the volatility of the A-share market, especially as it recently surpassed the 3800-point mark. Investors should prepare for both gains and losses, as the market does not guarantee a one-way upward journey [2]. Group 1: Market Sentiment and Investor Behavior - Despite the current bullish sentiment and many funds reaching historical highs, numerous investors redeemed their holdings before the market's rise. Data shows that from 2022 to 2024, the net subscription scale of equity funds continuously shrank, with significant net redemptions in the first and fourth quarters of 2024 [3][4]. - Many investors did not endure the market downturn alongside their funds, resulting in missed opportunities for recent gains [3]. Group 2: Market Volatility and Challenges - The Shanghai Composite Index has a compound annual growth rate of 11.6% since its inception in 1990, but it also has an annualized volatility of 43.71%, which is significantly higher than many other global indices [7]. - Since 2014, the annual maximum drawdown for the CSI 300 and equity fund indices has exceeded 15% in about 60% of the years, with the ChiNext Index experiencing over 15% drawdowns every year since 2014 [8][9]. Group 3: Timing Strategies and Their Limitations - Investors often wish to time the market to buy low and sell high, but this is frequently counterproductive. Missing just a few of the best-performing days can drastically reduce annualized returns [11][14]. - From 2014 to the present, holding equity funds consistently yields an average annual return of around 15%, but missing the top-performing days can lead to significantly lower or even negative returns [14][16]. Group 4: Asset Allocation Strategies - The article suggests that different asset types have varying risk-return characteristics, and a reasonable asset allocation can help reduce portfolio volatility and alleviate the need for timing the market [20]. - Simulations show that adjusting asset allocations, such as incorporating dividend assets and global indices, can lead to smoother net value curves and reduced drawdowns during market declines [24][26][30]. - A final portfolio that includes a mix of equity funds, dividend indices, global indices, gold, and bonds demonstrates significantly improved performance and reduced volatility compared to a portfolio solely invested in equity funds [33][35]. Group 5: Importance of Diversification - The article highlights that diversification in asset allocation is crucial for investors, as it provides the necessary resilience to endure market downturns and ultimately benefit from long-term gains [36]. - The concept of diversification as a "free lunch" in investing is supported by notable figures in finance, emphasizing the need for a well-rounded investment approach [37].