Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of June 13, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 3.23%, Shenzhen Component Index 11.94%, CSI 300 9.21%, CSI 500 9.33%, CSI 1000 7.65%, CSI 2000 4.96%, ChiNext Index 19.86%, and STAR Market 13.66% [5][25] - The industry indices that are closest to their 250-day new highs include non-ferrous metals, banking, pharmaceuticals, agriculture, forestry, animal husbandry, fishery, and electric power and public utilities [8][25] Group 2 - A total of 838 stocks reached a 250-day new high in the past 20 trading days, with the most significant numbers in the pharmaceutical, basic chemicals, and machinery sectors [2][13] - The highest proportion of new high stocks is found in the banking, textile and apparel, and pharmaceutical industries, with respective proportions of 71.43%, 29.29%, and 24.95% [13][16] - The manufacturing and cyclical sectors had the most new high stocks this week, with 262 and 212 stocks respectively [16] Group 3 - The report identifies 42 stocks that have shown stable new highs, with the majority coming from the manufacturing and consumer sectors, each contributing 9 stocks [22][26] - The mechanical industry had the most new highs within the manufacturing sector, while the food and beverage industry led in the consumer sector [22][26] - The selection criteria for stable new high stocks include analyst attention, relative strength of stock prices, price path stability, and continuity of new highs [19][20]

Core Viewpoint - The article promotes an upcoming live debate event titled "Tortoise and Hare Debate" organized by Tian Tian Fund and Huitianfu Fund, focusing on different investment strategies: long-term holding versus momentum trading [1][2]. Summary by Sections Event Details - The event features two representatives from Tian Tian Fund and two opinion leaders, divided into two camps: the "Wise Tortoise" advocating for long-term investment and compounding, and the "Agile Hare" favoring short-term trading and momentum [1][3]. Program Highlights - The event includes various segments such as a guessing game about indices, a debate on whether investment should be fast or slow, AI asset diagnostics, and a discussion on the choice between AI advisory and professional advisory services [3]. Engagement and Promotion - The article encourages readers to reserve their spots for the live event scheduled for May 28 at 14:00, promising more surprises during the broadcast [2].

Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of May 23, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 4.05%, Shenzhen Component Index 11.85%, CSI 300 8.78%, CSI 500 10.70%, CSI 1000 9.41%, CSI 2000 7.40%, ChiNext Index 20.73%, and STAR Market 12.98% [5][18] Group 2: New High Stocks Overview - A total of 647 stocks reached a 250-day new high in the past 20 trading days, with the highest numbers in the basic chemicals, machinery, and pharmaceuticals sectors, totaling 93, 88, and 53 stocks respectively [11][19] - The highest proportion of new high stocks is found in the banking, textile and apparel, and transportation sectors, with respective proportions of 64.29%, 24.24%, and 23.58% [11][19] Group 3: Stable New High Stocks - The report identifies 41 stable new high stocks, with the manufacturing and consumer sectors contributing the most, each with 11 stocks selected [16][19] - The automotive industry leads in the manufacturing sector for new highs, while the food and beverage industry leads in the consumer sector [16][19] Group 4: Sector and Concept Indexes - Among the sector indices, banking, automotive, home appliances, electric power and utilities, and non-ferrous metals are closest to their 250-day new highs, with distances of 0.96%, 2.38%, 3.08%, 1.95%, and 4.71% respectively [7][18] - Concept indices such as automotive, banking selection, gold, innovative drugs, and banking are also near their 250-day new highs [8][18]

Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of May 16, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 3.50%, Shenzhen Component Index at 11.44%, CSI 300 at 8.62%, CSI 500 at 9.71%, CSI 1000 at 8.22%, CSI 2000 at 5.97%, ChiNext Index at 20.03%, and STAR Market 50 Index at 11.68% [5][24] Group 2: High-Performing Stocks - A total of 544 stocks reached a 250-day new high in the past 20 trading days, with the highest numbers in the basic chemical, machinery, and pharmaceutical sectors, totaling 81, 64, and 43 stocks respectively [2][13] - The highest proportion of new high stocks is found in the banking, transportation, and defense industries, with respective proportions of 64.29%, 20.33%, and 17.65% [13][26] Group 3: Sector Analysis - The manufacturing and cyclical sectors had the most stocks reaching new highs this week, with 174 and 157 stocks respectively, while the consumer, technology, pharmaceutical, and financial sectors had 68, 67, 43, and 32 stocks respectively [16] - The proportion of new high stocks in various indices includes: CSI 2000 at 10.05%, CSI 1000 at 7.80%, CSI 500 at 7.40%, CSI 300 at 10.33%, ChiNext Index at 5.00%, and STAR Market 50 Index at 6.00% [16][26] Group 4: Stable High-Performing Stocks - The report identifies 47 stable high-performing stocks, including Shuanglin Co., Wanchen Group, and Zhongchong Co., with the majority from the manufacturing and consumer sectors, totaling 17 and 11 stocks respectively [3][21] - The automotive industry leads in the manufacturing sector for new highs, while the agriculture, forestry, animal husbandry, and fishery industry leads in the consumer sector [21]

2025 年 05 月 09 日 重塑基金业绩衡量体系：另辟蹊径 探索定量选基新思路 ——基金投资策略研究系列报告之八 相关研究 《寻找"新"中之"锐"：新锐基金 经理定量业绩追踪体系——基金投 资策略研究系列报告之五》 2024/03/12 《因子选基第一步：三大维度判断选 基因子优势领域——基金投资策略 研究系列报告之三》 2023/08/11 证券分析师 奚佳诚 A0230523070004 xijc@swsresearch.com 蒋辛 A0230521080002 jiangxin@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 奚佳诚 (8621)23297818× xijc@swsresearch.com 本研究报告仅通过邮件提供给 中庚基金 使用。1 ⚫ 在金融行为学研究中，"动量"是一个重要的概念，其广泛应用在各类资产的投资策略 之中。主动基金所谓的"动量"的底层逻辑与其他资产存在区别。在主动基金研究的语 境之下，投资者配置过往业绩表现较好的基金产品，本质是对基金经理投资能力的认可， 而主动基金的动量效应，本质则是基金 ...

Core Viewpoint - The report emphasizes the importance of considering multiple trading factors in industry comparisons, as relying solely on a single factor may not yield long-term success [2][3]. Trading Factors Worth Noting - Stock prices do not always reflect fundamentals, making trading factors crucial to avoid the risk of "correct logic but poor timing" [3]. - Momentum is highlighted as a key factor, indicating potential industry benefits; industries with positive momentum are likely to perform better in the future [3]. - Turnover rate serves as a measure of how well stock prices reflect positive news; industries with low turnover rates tend to perform better than those with high turnover rates [3]. - Trading congestion is identified as a risk aversion indicator; higher congestion levels often correlate with poorer industry performance [4]. Industry Comparison Scoring Logic - A scoring system based on trading factors is proposed, focusing on industries with potential benefits that are not fully reflected in stock prices and are not overcrowded in trading [5]. - Historical data from February 2014 to January 2025 shows that industries with higher scores yield better performance, with annualized returns of 11.5% for the highest scoring group compared to 0.3% for the lowest [5]. Long/Short Strategy Performance - A long/short strategy, holding the highest scoring industries while shorting the lowest, achieved an annualized return of 10.1% and a Sharpe ratio of 0.75 from February 2014 to January 2025, indicating the effectiveness of the trading factor scoring system [7].