Core Viewpoint - The AI Fund Wanji New Opportunities Value-Driven A (161910) reported a profit of 95,400 yuan for Q2 2025, with a weighted average profit per fund share of 0.0057 yuan, indicating a net value growth rate of 0.33% during the period [3] Fund Performance - As of July 18, the fund's unit net value was 1.721 yuan, with a fund size of 28.77 million yuan [3][16] - The fund's performance over various time frames is as follows: - Last 3 months: -0.25%, ranking 858 out of 880 comparable funds [4] - Last 6 months: -1.03%, ranking 835 out of 880 comparable funds [4] - Last year: -3.58%, ranking 850 out of 880 comparable funds [4] - Last 3 years: -21.02%, ranking 627 out of 871 comparable funds [4] Risk Metrics - The fund's Sharpe ratio over the last 3 years is -0.3109, ranking 733 out of 874 comparable funds [9] - The maximum drawdown over the last 3 years is 27.53%, ranking 663 out of 864 comparable funds, with the largest single-quarter drawdown recorded at 19.63% in Q1 2020 [11] Investment Strategy - The fund manager indicated a cautious approach towards the equity market, maintaining a focus on the domestic technology chain and employing a barbell strategy that includes defensive dividend stocks and technology manufacturing companies [3] - The average stock position over the last 3 years was 71.71%, compared to the industry average of 80.33%, with a peak of 92.64% at the end of 2019 and a low of 9.26% at the end of Q1 2025 [14] Holdings Concentration - As of Q2 2025, the fund has a high concentration in its top ten holdings, which include Agricultural Bank of China, Northern Huachuang, Huahai Pharmaceutical, Zhongwei Company, Yangtze Power, Chipone Technology, Haiguang Information, Zhongke Feimeng, Dongfang Cable, and Tuojing Technology [19]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - Overnight, the dovish stance of the next potential Fed Chair and strong US economic data boosted US stocks. In China, GDP recovery exceeded expectations, indicating economic resilience, but industrial enterprise profits are currently low, leading the market to anticipate pro - growth policies. Under these circumstances, the A - share market can continue its structural行情, and the dumbbell strategy can also be sustained. Key areas to focus on are large - financials and technology growth sectors, and for stock index futures, the Shanghai 50 and CSI 1000 are recommended. The market index has stabilized above 3500 after several days of consolidation, showing signs of a rebound [3][13]. 3. Summary by Directory 3.1 Market Views - **Overseas Overnight**: US economic data in June and July showed resilience. The former hawkish Fed governor Wash shifted to the rate - cut camp. Overnight, the dollar index rose, the 10 - year US Treasury yield declined, gold fell, crude oil rose, US stocks closed higher, the Nasdaq Golden Dragon China Index rose, and the offshore RMB exchange rate depreciated slightly [2][5]. - **Domestic Market Review**: On Thursday, the market showed a volatile rebound. The ChiNext Index rose 1.75%. Due to the drag of heavy - weight sectors like banks, the market had a pattern where Shenzhen was stronger than Shanghai. Funds began to favor technology - growth stocks and brokerage stocks, which was beneficial for market sentiment, but there was no clear market leader. Military, communication, electronics, and pharmaceutical sectors led the gains, while banks, transportation, environmental protection, and public utilities sectors led the losses. There were 3535 rising stocks and 1609 falling stocks in the whole market [2][6]. - **Important News**: There were various news items including tariff policies, Fed officials' remarks on interest rates, Trump's call for Fed rate cuts, responses from the Ministry of Foreign Affairs, the Ministry of Finance's adjustment of luxury car consumption tax, and the Hong Kong Monetary Authority's statement on the banking system [7][12]. - **Today's Strategy**: As mentioned in the core viewpoints, the A - share market can continue its structural行情, and the dumbbell strategy can be sustained. Focus on large - financials, technology growth, and the Shanghai 50 and CSI 1000 in stock index futures [13]. 3.2 Futures Market Tracking - **Futures Market Performance**: Data on the closing prices, settlement prices, price changes, and other indicators of various stock index futures contracts such as Shanghai 50, CSI 300, CSI 500, and CSI 1000 were provided, along with information on their contract delivery dates and remaining times [15]. - **Futures Trading Volume and Open Interest**: Data on trading volumes, trading volume changes, open interests, open interest changes, and other indicators of various stock index futures contracts were presented, including the overall situation and that of each specific contract [16]. 3.3 Spot Market Tracking - **Spot Market Performance**: Information on the current points, daily, weekly, and monthly price changes, trading volumes, and other indicators of various stock market indices such as the Wind All - A, Shanghai Composite Index, Shenzhen Component Index, and others was provided, as well as data on different sectors [38]. - **Market Style Impact**: The impact of different market styles (cycle, consumption, growth, finance, stability) on major stock indices (Shanghai 50, CSI 300, CSI 500, CSI 1000) was analyzed, including the number of stocks, weights, and daily, weekly, monthly, and annual contributions [39][40]. - **Valuation**: Valuation data and historical quantile information of major stock indices and Shenwan sectors were presented [42][45]. - **Other Market Indicators**: Information on market average daily trading volume, turnover rate, the number of rising and falling stocks, index trading volume changes, stock - bond relative returns, Hong Kong Stock Connect, margin trading balances, and margin trading net purchases was provided [47][51]. 3.4 Liquidity Tracking - Information on central bank open - market operations and Shibor interest rates was presented, but specific data was mainly in graphical form [53][54].

huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 宏观金融团队 请阅读正文后的声明 报告类型 股指日评 日期 2025 年 7 月 18 日 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(宏观国债集运) 021-60635739 ＃summary＃ 每日报告 一、行情回顾与后市展望 1.1 行情回顾： 7 月 17 日，万得全 A 震荡上涨，收涨 0.94%，超 6 成个股飘红；指数现货方 面，沪深 300、上证 50、中证 500、中证 1000 收盘分别上涨 0.68%、0.12%、1.08%、 1.14%。指数期货表现强于现货，IF、IH、IC、IM 主力合约分别收涨 1.03%、0.40%、 1.40%、1.47%（按前一交易日收盘价为基准计算）。 表1:股指期货、现货行情数据 资料来源：Wind，建 ...

Core Viewpoint - The article emphasizes a balanced investment strategy using a "half-position" approach, which aims to mitigate market risks while capturing opportunities, achieving a balance between risk and return [3]. Group 1: Asset Allocation Strategy - The proposed asset allocation consists of 50% fixed income, 45% equities, and 5% commodities, which is designed to optimize risk and return [3]. - The "Three-Part Method" is introduced, focusing on asset diversification, market diversification, and time diversification through systematic investment [4]. Group 2: Fixed Income Allocation - The fixed income portion is divided into 50% allocation, with 40% in Chinese bonds and 10% in U.S. bonds [5]. - The rationale for favoring Chinese bonds over U.S. bonds includes lower price volatility and reduced currency risk, despite U.S. bonds offering higher yields [7][8]. - Specific funds within the fixed income category include: - 15% in Guangfa 7-10 Year National Development Bonds Index A - 15% in Bosera Credit Bond Pure Debt A - 10% in E Fund China Bond New Composite Index A - 5% each in Morgan Overseas Stable Allocation Mixed and Bank of China U.S. Dollar Bond [8]. Group 3: Equity Allocation - The equity allocation of 45% employs a "barbell strategy," with equal weight given to high-growth sectors (e.g., technology, new energy) and stable dividend-paying stocks [13]. - Domestic equity is favored over overseas equity based on valuation metrics, with the price-to-earnings ratio (PE-TTM) for the China Hong Kong Stock Connect Technology at 21.46, compared to 35.15 for the Nasdaq 100 [13]. Group 4: Commodity Allocation - The commodity allocation is set at 5%, primarily focused on gold, reflecting a strategy to hedge against global currency instability [18]. - The specific allocation within commodities includes 1% in Guotai Gold ETF, and 2% each in Guotai Commodity and Yinhua Anti-Inflation Theme, with gold comprising approximately 3% of the total commodity allocation [18]. Group 5: Investment Strategy Execution - The article suggests a high-frequency systematic investment approach, such as daily or weekly investments, to accumulate shares in overseas assets, especially during market downturns [20]. - Dynamic rebalancing is recommended when asset allocation deviates by 5% or more, which typically requires significant market movements to occur [21].

Core Viewpoint - The article discusses the recent dividend distributions of two ETFs managed by China Merchants Fund, highlighting the strong performance of dividend stocks in both A-share and Hong Kong markets, and the evolving strategies in dividend investment [1][2]. Group 1: Dividend Distribution - China Merchants Fund's two ETFs, the CSI Dividend Quality ETF (code: 159209) and the Hong Kong Dividend Low Volatility ETF (code: 520550), have recently implemented dividend distributions, with the former distributing a cash dividend of 0.003 yuan per share (0.3% dividend ratio) and the latter distributing 0.004 yuan per share (0.35% dividend ratio) [1]. - The Hong Kong Dividend Low Volatility ETF's linked funds (Class A 024029/Class C 024030) have opened for subscription and regular investment since July 14 [1]. Group 2: Investment Strategies - The current market has developed two main dividend investment strategies: - Deep Value Strategy, represented by the Hong Kong Dividend Low Volatility ETF, which tracks the Hang Seng High Dividend Low Volatility Index, focusing on "high dividend + low volatility" factors, with a current dividend yield exceeding 8% [1]. - Value Growth Strategy, represented by the CSI Dividend Quality ETF, which emphasizes "high dividend + high profitability quality," selecting high-quality fundamentals in sectors like consumer and pharmaceuticals, with historical data showing long-term returns outperforming mainstream indices [1]. Group 3: Investment Recommendations - Analysts suggest a dynamic balance in dividend investment opportunities, allowing investors to choose based on their risk preferences. Conservative investors may focus on the Hong Kong Dividend Low Volatility ETF, while aggressive investors may consider the CSI Dividend Quality ETF [2]. - For portfolio allocation, a "barbell strategy" is recommended to dynamically adjust the proportion of the two types of products, with periodic rebalancing suggested [2]. - Both ETFs utilize a monthly assessment dividend mechanism, enhancing cash flow experience for investors while effectively controlling holding costs through a low fee structure [2].

Group 1 - The Hang Seng Index has outperformed major global indices with a 32.29% increase from September 24 to July 11, 2024, while US stocks have lagged due to new tariffs and reduced risk appetite [1] - Southbound capital has significantly increased, with a cumulative net purchase of nearly 450 billion HKD, accounting for over 95% of the total net purchases in 2024, and the proportion of southbound trading in total Hong Kong stock trading has reached 60% [3] - The focus of recent southbound investments includes companies like China Construction Bank, SMIC, and Meituan, categorized into high-dividend assets and undervalued technology stocks, reflecting a global trend towards a "barbell" investment strategy [3] Group 2 - The Hang Seng Technology 50 ETF (159750) has shown strong performance, with a price-to-earnings ratio (PE-TTM) of only 19, indicating it is undervalued compared to 99% of the past year [5] - The top ten Chinese technology companies within the ETF have significant weightings, with Xiaomi Group at 10.78%, Tencent Holdings at 9.85%, and Alibaba at 9.21% [5] - The Hong Kong Dividend Low Volatility ETF (520550) has increased by 21.32% year-to-date and has maintained a steady inflow of funds for 20 consecutive weeks, with a current dividend yield exceeding 8% [6][8]

Group 1: Report Industry Investment Rating - No relevant content Group 2: Core Viewpoints of the Report - The short - term view of the stock index is oscillating strongly, and the medium - term view is rising. The main driving force is the expectation of policy benefits in the second half of the year, and the market risk preference is positive recently [1][4] Group 3: Summary of Relevant Catalogs 1. Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2509, the short - term trend is oscillating, the medium - term trend is rising, the intraday trend is oscillating strongly, and the overall view is oscillating strongly. The core logic is that the positive policy expectations provide strong support [1] 2. Driving Logic of Main Variety Price Quotes - Financial Futures Stock Index Sector - The intraday and reference views of IF, IH, IC, and IM are oscillating strongly, and the medium - term view is rising. Last Friday, the stock indexes oscillated and rose, with a total market turnover of 1736.6 billion yuan, an increase of 221.5 billion yuan from the previous day. The rare earth permanent magnet and large - finance sectors led the gains, and both technology and dividends in the "dumbbell strategy" were favored. Since late June, the stock index has rebounded significantly due to policy benefit expectations. The domestic inflation is weak, and there is a need for more policies to stabilize economic demand and market expectations. The market risk preference is positive, and the stock index will oscillate strongly in the short term [4]

Group 1 - The report highlights that both Chinese and US stock markets are experiencing a strong upward trend, driven by optimistic investor expectations regarding future corporate capital returns. A-shares are pricing in a stabilization of ROE at historical lows, while US stocks are anticipating continued growth in ROE from already high levels [3][12][14] - Since Q4 2021, A-shares have faced declining capital returns due to intense competition amid trends of "de-financialization" and "de-real estate," while US stocks have benefited from government debt expansion stimulating demand, resulting in higher ROE [3][14][17] - The report anticipates a shift in trends, with US capital returns potentially facing downward pressure due to tax policies encouraging manufacturing investment and capital repatriation, while A-shares may see a recovery in capital returns driven by anti-involution policies, stronger overseas manufacturing activity, and a halt in debt contraction [3][4][17] Group 2 - Three key catalysts for the stabilization and recovery of A-share capital returns are identified: anti-involution policies, overseas manufacturing activity surpassing service sector growth, and the end of the debt repayment cycle [4][23][31] - The report provides an example from the cement industry, where current operational rates are at their lowest since 2019, and a rebound in price indices is expected by late 2024, indicating a potential recovery in ROE [4][23][25] - The report notes that the demand for domestic capital goods and intermediate products is expected to rise due to stronger overseas manufacturing activity compared to services, with significant rebounds in excavator sales and steel exports observed [4][27][29] Group 3 - The current market pricing indicates that short-term stock prices have outpaced ROE, necessitating a buffer for uncertainty in recovery rhythms. The report emphasizes that the internal industry structure is more critical than the overall market [5][36] - The report discusses the historical context of PB (Price-to-Book) ratios, noting that the current PB levels are not extreme compared to historical standards, but the low absolute level of ROE may affect the pace of PB recovery [5][36][38] - A significant reduction in the proportion of stocks with low PB ratios has been observed, particularly in sectors like TMT (Technology, Media, and Telecommunications), high-end manufacturing, and banking, while traditional industries still show a high percentage of low PB stocks [5][38][40] Group 4 - The report suggests that the dynamics of capital returns are shifting, with domestic capital returns expected to stabilize and rise, while overseas capital returns may decline. This shift positions A-shares as more attractive compared to other markets [6][46] - Recommendations for asset allocation include focusing on upstream resource products benefiting from increased overseas demand and domestic anti-involution policies, as well as emphasizing equity over debt investments [6][46]

Group 1 - The core viewpoint is that the current strong resonance between Chinese and American stock markets reflects optimistic expectations for future corporate capital returns, with A-shares stabilizing from historical lows and U.S. stocks maintaining high ROE levels [1][2] - The three main catalysts for stabilizing and recovering capital returns in A-shares are: (1) anti-involution leading to stabilization in industries previously constrained by excessive capital expansion, (2) overseas manufacturing demand exceeding service sector demand, and (3) the end of debt contraction cycles [2][3] - The current market pricing indicates that short-term stock prices are ahead of ROE, which aligns with historical bottoming characteristics, and while the absolute level of PB is not extreme, the low absolute level of ROE affects the elasticity and pace of PB recovery [3][4] Group 2 - The future state of capital returns is expected to shift, with domestic capital returns stabilizing and overseas capital returns potentially declining due to the combination of anti-involution, cessation of debt contraction, and the development of overseas manufacturing [4][5] - The relative advantage of the "barbell strategy" may diminish as ROE gradually recovers, with traditional industries such as coal, oil, steel, and utilities showing a higher proportion of low PB stocks compared to TMT and high-end manufacturing sectors [3][4] - Recommendations for asset allocation include focusing on upstream resource products and capital goods benefiting from increased overseas demand and domestic anti-involution policies, as well as exploring opportunities in new consumption sectors like hospitality and retail [5]

Core Viewpoint - The domestic stock index futures have shown a strong upward trend, breaking previous highs due to optimistic market sentiment and structural market dynamics [1][4]. Market Dynamics - The "anti-involution" policy has positively influenced market expectations for a new round of supply-side reforms, leading to a notable turnaround in previously underperforming sectors such as new energy and building materials [1][2]. - The recent shift in CPI from negative to positive, with June CPI ending a four-month decline and core CPI reaching a 14-month high, has boosted market confidence [1][2]. - The ongoing development of stablecoin-related stocks and a warming trade relationship between China and the U.S. have further enhanced risk appetite in the stock market [1][2]. Sector Performance - The "anti-involution" concept stocks, particularly in the steel industry, have shown strong performance, while the financial sector has also benefited from a recovery in IPOs and optimistic half-year reports from brokerages [2][3]. - Small-cap stocks have outperformed large-cap stocks due to heightened risk appetite and the favorable impact of the "anti-involution" policy on small and medium-sized manufacturing enterprises [2][3]. Investment Strategies - The application of the "barbell strategy," which balances high-risk, high-reward assets with low-risk, low-volatility assets, has driven the overall upward trend in stock index futures [3]. - The defensive end of the barbell strategy is represented by the banking sector, which has attracted funds due to its high dividend yield, while the offensive end includes technology growth and small-cap stocks [3]. Future Outlook - The upward potential of stock indices will depend on the recovery of the economic fundamentals and the influx of new capital into the market, alongside the need for volume support [3][4]. - The market's upward movement is currently driven by sentiment and structural trends, but caution is advised regarding potential market pullbacks [3][4].