Group 1 - The A-share equity market has shown strong performance, breaking through key levels, with the Shanghai Composite Index approaching 3600 points before facing resistance and adjusting to around 3550 points [2][4] - The stock-based enhancement strategy remains relatively strong despite adjustments in various equity fund strategy indices, with returns of -0.858% for the stock-based enhancement strategy and -1.951% for the evergreen low-volatility strategy [2][6] - The evergreen low-volatility strategy has demonstrated strong stability since its inception, effectively reducing portfolio volatility during market fluctuations, and is recommended for long-term allocation [5][14] Group 2 - The overseas equity allocation strategy has faced a decline of -1.307%, but the long-term outlook remains positive due to the resilience of the U.S. economy and technological advancements [7][20] - The cash-enhanced fund strategy has outperformed its benchmark, achieving a return of 0.027%, indicating effective cash management for investors [6][17] - The report emphasizes the importance of a diversified investment approach, particularly in the context of global asset allocation through QDII funds, to enhance returns [24][28]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - The A-share equity market continues to be strong, while the US equity market shows a high-level consolidation trend. The dividend low-volatility strategy index remains stable, and the equity fund enhancement strategy index shows high elasticity [4]. - The recommended order of quantitative strategy allocation is: equity fund enhancement strategy > evergreen low-volatility strategy > overseas equity strategy [5]. - The report is relatively optimistic about the A-share market. The equity fund enhancement portfolio may have more room, and the evergreen low-volatility strategy can be used as a base allocation. The overseas market has short-term high-level correction risks, but long-term investment value remains [5][6]. 3. Summary by Directory 3.1 Toolized Fund Portfolio Performance Tracking - **Evergreen Low-Volatility Fund Portfolio**: It has maintained low volatility characteristics, with significantly better volatility and maximum drawdown than the CSI Active Equity Fund Index. Since the strategy started on July 31, 2023, it has achieved significant excess returns and has both defensive and offensive capabilities [15]. - **Equity Fund Enhancement Fund Portfolio**: The strategy has been running for a short time, and its performance is close to the CSI Active Equity Fund Index. It is expected to have stronger elasticity after the market environment improves [18]. - **Cash Enhancement Fund Portfolio**: After double screening, it continuously outperforms the benchmark. Since the strategy started at the end of July 2023, the excess return has been continuously accumulated, providing a reference for cash management [19]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, it has accumulated high excess returns, and global allocation can increase the returns of the equity investment portfolio [23]. 3.2 Toolized Fund Portfolio Construction Ideas - **Evergreen Low-Volatility Fund Portfolio**: The goal is to select funds with long-term stable returns from high-equity position actively managed funds. By adding restrictions on fund valuation levels, a low-volatility active equity fund portfolio is constructed [28]. - **Equity Fund Enhancement Fund Portfolio**: The goal is to meet the needs of equity fund investors with different risk preferences. It configures funds managed by fund managers with strong Alpha mining capabilities, and the portfolio shows excellent holding-period win rates [29]. - **Cash Enhancement Fund Portfolio**: A money fund selection system is constructed by comprehensively considering various money fund factors to help investors obtain higher returns and reduce return volatility risks [30]. - **Overseas Equity Allocation Fund Portfolio**: Based on overseas equity market indices, it selects QDII funds corresponding to indices with good upward momentum to construct a portfolio, providing an auxiliary tool for global investment [31].

Core Viewpoint - The A-share equity market continues to show strong performance, driven by multiple favorable factors, while the US equity market exhibits a high-level consolidation trend [2][4]. A-share Market Analysis - The A-share market has shown a sustained upward trend, with the Shanghai Composite Index breaking through the 3500-point level after a period of fluctuation around 3400 points [3]. - Dividend and low-volatility style sectors have performed strongly but may face short-term adjustments, leading to a potential decrease in dividend yield and attractiveness [3][4]. - The Evergreen Low Volatility strategy index recorded a return of 0.872%, while the Stock Enhancement strategy index achieved a return of 1.558%, indicating stronger elasticity in the latter [2][5]. Quantitative Strategy Configuration - The preferred strategy ranking is Stock Enhancement Strategy > Evergreen Low Volatility Strategy > Overseas Equity Strategy [3]. - The Stock Enhancement strategy is expected to gain traction as the market environment improves, with potential for higher returns as undervalued companies become more apparent [5][6]. Overseas Market Dynamics - Recent developments indicate a recovery in overseas markets, particularly in the US, following a reduction in tariff risks and better-than-expected economic data [4]. - The Overseas Equity Strategy recorded a slight decline of -0.376%, reflecting ongoing volatility in the market [6]. - Despite short-term uncertainties, the long-term outlook for the US equity market remains positive, supported by a stable economic backdrop and technological advancements [4][6]. Fund Strategy Performance - The Evergreen Low Volatility Fund has demonstrated strong stability and lower volatility compared to the benchmark, achieving significant excess returns since its strategy inception [11][22]. - The Stock Enhancement Fund has shown performance close to the benchmark, with expectations for improved returns as market conditions stabilize [13][23]. - The Cash Enhancement Fund strategy has consistently outperformed the benchmark, accumulating excess returns since its inception [15][24]. - The Overseas Equity Configuration Fund has benefited from global asset allocation, achieving high levels of excess returns since its strategy launch [16][25].

- The "Style Rotation Fund Selection Strategy" is based on constructing an absolute active rotation indicator using stock holdings from two reporting periods to identify style rotation or stable style funds. The strategy employs semi-annual rebalancing at the end of March and August, focusing on equity-biased mixed funds and ordinary stock funds, excluding transaction costs[26][31][31] - The "Comprehensive Fund Selection Strategy Based on Fund Characteristics and Capabilities" integrates multiple selection factors such as fund size, holder structure, performance momentum, stock-picking ability, hidden trading ability, and gold content. These factors are equally weighted and combined. The strategy uses quarterly rebalancing at the end of January, April, July, and October, excluding transaction costs[35][40][40] - The "Fund Selection Strategy Based on Trading Motivation Factor and Stock Spread Income Factor" combines trading motivation factors and stock spread income factors derived from fund profit statements. It aims to select funds with high stock spread income, active trading motivation, and low likelihood of performance manipulation. The strategy employs semi-annual rebalancing at the end of March and August, focusing on active equity funds, excluding transaction costs[41][42][47] - The "Fund Manager Trading Uniqueness Strategy" constructs a network based on fund manager holdings and trading details to create a trading uniqueness indicator. The strategy uses semi-annual rebalancing at the beginning of April and September, focusing on equity-biased mixed funds, ordinary stock funds, and flexible allocation funds, excluding transaction costs[48][54][54] - The "Style Rotation Fund Selection Strategy" achieved a June return of 4.45%, annualized return of 9.05%, annualized volatility of 19.67%, Sharpe ratio of 0.46, maximum drawdown of 37.30%, annualized excess return of 3.43%, excess maximum drawdown of 11.25%, and IR of 0.46[31] - The "Comprehensive Fund Selection Strategy Based on Fund Characteristics and Capabilities" achieved a June return of 4.26%, annualized return of 13.09%, annualized volatility of 22.51%, Sharpe ratio of 0.58, maximum drawdown of 44.27%, annualized excess return of 4.92%, excess maximum drawdown of 17.38%, and IR of 0.61[40] - The "Fund Selection Strategy Based on Trading Motivation Factor and Stock Spread Income Factor" achieved a June return of 6.47%, annualized return of 9.03%, annualized volatility of 21.66%, Sharpe ratio of 0.42, maximum drawdown of 48.39%, annualized excess return of 3.09%, excess maximum drawdown of 19.13%, and IR of 0.53[47] - The "Fund Manager Trading Uniqueness Strategy" achieved a June return of 5.38%, annualized return of 9.86%, annualized volatility of 19.51%, Sharpe ratio of 0.51, maximum drawdown of 37.26%, annualized excess return of 4.30%, excess maximum drawdown of 10.84%, and IR of 0.85[54]

Investment Insights - A-shares have resumed an upward trend in early June after experiencing fluctuations and short-term adjustments in May, with technology growth sectors like semiconductors and communications rebounding [2][3] - The banking sector continues to perform strongly, attracting significant capital [2] - In the overseas market, U.S. stocks are approaching previous highs, influenced by non-farm employment data and positive developments in the semiconductor industry [2][4] Quantitative Strategy Allocation - The preferred strategy is stock-enhanced strategies, followed by evergreen low-volatility strategies and overseas equity strategies [3] - A-shares have rebounded quickly after a short-term tariff shock, but there are concerns about the sustainability of this rebound as the market approaches previous highs [3] - Defensive sectors like banks have shown strong performance, but potential risks from significant price increases should be monitored [3] Overseas Market Analysis - The easing of U.S. tariff attitudes has led to a recovery in U.S. stocks and other global markets, although uncertainties remain regarding trade negotiations and policy [4][6] - The Nasdaq is nearing its early-year highs, but upward momentum may face resistance [4][7] - Long-term, the outlook for U.S. stocks remains positive, supported by a stable economic backdrop and technological advancements [4][7] Fund Strategy Performance - The Evergreen Low-Volatility Fund Strategy recorded a weekly return of 0.688%, demonstrating strong stability and excess returns in a defensive market [5][8] - The Stock-Enhanced Fund Strategy achieved a weekly return of 1.023%, with potential for excess returns as market conditions improve [5][8] - The Cash Growth Fund Strategy yielded a return of 0.030%, outperforming the benchmark [5][8] Fund Composition Insights - The Evergreen Low-Volatility Fund has consistently maintained low volatility and maximum drawdown, outperforming benchmarks since its strategy launch [9][21] - The Stock-Enhanced Fund aims to identify funds with strong alpha generation capabilities, showing promise in improving performance as market conditions stabilize [12][22] - The Cash Growth Fund has accumulated excess returns since its strategy implementation, providing effective cash management solutions [14][23] - The Overseas Equity Allocation Fund has benefited from the global tech growth driven by AI, accumulating significant excess returns [16][24]

Performance Overview - The "Sun Tzu" fund pool achieved an annualized return of 12.28%, outperforming the equity fund index by 6.37% as of April 30, 2025[1] - The unknown return fund pool had an annualized return of 14.44%, with an annualized Sharpe ratio of 0.63, indicating high investment efficiency[1] Fund Types and Strategies - The flexible trading fund pool recorded an annualized return of 10.33%, with an excess return of 3.61% relative to the equity fund index in 2025[2] - The stock selection pioneer fund pool achieved an annualized return of 10.61%, outperforming the equity fund index by 4.71%[2] - The hotspot tracking fund pool had an annualized return of 11.71%, with an excess return of 5.81% compared to the equity fund index[2] Risk Management - The risk-averse fund pool delivered an annualized return of 11.13%, with a lower annualized volatility of 21.45%[3] - The low Beta fund pool achieved an annualized return of 7.83%, outperforming the equity fund index by 2.08%[3] Historical Performance Insights - The "Sun Tzu" fund pool has shown strong excess return stability since 2011, with only slight underperformance in 2019 and 2024[1] - The unknown return fund pool consistently outperformed the equity fund index in most years, except for 2024[1]