Core Viewpoint - The "fixed income +" strategy has emerged as a safe haven for funds in a volatile market, driven by investor demand for stable returns and trust in fund managers' capabilities [1] Group 1: Market Insights - The current equity market has a high potential return rate, with a positive outlook for at least the next two to three years [1] - The market has strong characteristics, with opportunities for rotation in sectors that have reasonable valuations and long-term growth potential [4] - The core assets in the A-share market have become more attractive, with many leading companies' price-to-earnings ratios falling to 15-20 times, indicating significant potential for price appreciation if market confidence returns [4] Group 2: Investment Strategy - The investment strategy emphasizes a balanced approach, maintaining a diversified portfolio across various sectors while focusing on safety and return elasticity [4] - In equity investments, safety is prioritized, with a focus on reasonable valuations, stable financial data, and avoidance of companies with negative news [2] - In fixed income investments, the strategy focuses on high-grade credit bonds with a preference for medium to short durations, while strictly controlling credit risk [3] Group 3: Fund Performance - The fund managed by Jiang Yong, Hai Fu Tong Tian He Yield, raised over 1.2 billion yuan in its initial offering, reflecting strong investor demand for stable returns [1] - The fund has successfully captured beta trends in the market, achieving positive returns for three consecutive years since its inception in the second half of 2021 [1][2] - Jiang Yong's management has led to a systematic increase in equity positions while significantly reducing convertible bond holdings, indicating a strategic adjustment based on market predictions [3]

Quantitative Models and Construction Methods Genetic Programming Industry Rotation Model - **Model Name**: Genetic Programming Industry Rotation Model - **Model Construction Idea**: Directly extract factors from industry index data such as volume, price, and valuation, and update the factor library at the end of each quarter[30] - **Model Construction Process**: The model adopts weekly frequency rebalancing, selecting the top five industries with the highest composite multi-factor scores for equal-weight allocation every weekend[30] - **Model Evaluation**: The model has achieved an absolute return of 28.79% this year, outperforming the industry equal-weight benchmark by 17.68 percentage points[30] - **Model Testing Results**: - Annualized Return: 31.39% - Annualized Volatility: 18.12% - Sharpe Ratio: 1.73 - Maximum Drawdown: -19.63% - Calmar Ratio: 1.60 - Last Week Performance: 3.15% - Year-to-Date (YTD): 28.79%[32] Absolute Return ETF Simulation Portfolio - **Model Name**: Absolute Return ETF Simulation Portfolio - **Model Construction Idea**: The asset allocation weights are mainly calculated based on the recent trends of various assets, with stronger trend assets assigned higher weights. The internal equity asset allocation weights directly adopt the monthly views of the monthly frequency industry rotation model[34] - **Model Construction Process**: The model's latest holdings include dividend style ETFs and ETFs related to pharmaceuticals, non-ferrous metals, media, steel, and energy chemicals[36] - **Model Evaluation**: The model has risen by 0.34% last week and has accumulated a 5.69% return this year[34] - **Model Testing Results**: - Annualized Return: 6.52% - Annualized Volatility: 3.81% - Maximum Drawdown: 4.65% - Sharpe Ratio: 1.71 - Calmar Ratio: 1.40 - Year-to-Date (YTD): 5.69% - Last Week Performance: 0.34%[39] Global Asset Allocation Simulation Portfolio - **Model Name**: Global Asset Allocation Simulation Portfolio - **Model Construction Idea**: Predict future returns of global major assets using a cycle three-factor pricing model, and construct the portfolio using a "momentum selects assets, cycle adjusts weights" risk budgeting framework[40] - **Model Construction Process**: The strategy currently overweights bonds and foreign exchange, with higher risk budgets assigned to assets such as Chinese bonds and US bonds[40] - **Model Evaluation**: The strategy has achieved an annualized return of 7.22% in the backtest period, with a Sharpe ratio of 1.50[40] - **Model Testing Results**: - Annualized Return: 7.22% - Annualized Volatility: 4.82% - Maximum Drawdown: -6.44% - Sharpe Ratio: 1.50 - Calmar Ratio: 1.12 - Year-to-Date (YTD): -3.04% - Last Week Performance: 0.61%[41] Quantitative Factors and Construction Methods Sentiment Indicators - **Factor Name**: Sentiment Indicators - **Factor Construction Idea**: Construct sentiment indicators from the perspectives of the put-call ratio, implied volatility, and basis in the options and futures markets[2] - **Factor Construction Process**: - **Put-Call Ratio**: Observe the ratio of the trading volume of call options to put options in the 50ETF and 500ETF options markets[17] - **Implied Volatility**: Construct the implied volatility ratio series of call and put options[20] - **Basis**: Construct the annualized basis rate weighted by the open interest for the four major stock index futures products[26] - **Factor Evaluation**: The sentiment indicators show that the previous overheating sentiment in the A-share market has continued to ease[2] Factor Backtesting Results Sentiment Indicators - **Put-Call Ratio**: The ratio has significantly fallen from the high levels observed on July 23, indicating a more rational market sentiment[17] - **Implied Volatility Ratio**: Despite the stock market rebound last week, the implied volatility ratio of call options to put options has been trending downward, further reflecting rational investor sentiment[20] - **Annualized Basis Rate**: The basis rate has been fluctuating downward, indicating rational sentiment in the futures market[26]

契合投资者需求 发行方面，根据中信证券的统计，今年一季度，公募固收类基金发行规模约1210亿元。"固收+"基 金平均募集规模出现不同幅度回暖。相较2024年，偏债混合型基金平均募集规模由3.90亿元上升至6.44 亿元；混合债券型二级基金平均募集规模由15.22亿元上升至20.64亿元。 一些基金公司通过"固收+"产品，实现了规模的大幅增长。多家基金公司"固收+"产品规模增长达到 百亿元级别，中欧基金、中银基金、景顺长城基金、永赢基金、富国基金等"固收+"产品规模增长位居 前列。其中，中欧基金的"固收+"产品一季度规模新增177亿元，领跑市场。 进入二季度，基金公司仍然选择积极布局，并密集发行二级债基等"固收+"产品。比如，贝莱德基 金就发行了贝莱德富元添益，其发行份额超10亿份。东方红裕丰回报、联博汇利等多只"固收+"产品正 在发行。仅5月19日当天，就有汇泉安瑞回报、创金合信文丰、国联稳健增益三只"固收+"基金启动发 行。接下来，中信保诚基金还将发行"固收+"产品中信保诚汇利。 "目前我们主推'固收+'产品。"一家中型基金公司市场人士告诉中国证券报记者。 "固收+"产品正成为公募机构争相布局的重要方向之一 ...

Core Viewpoint - The current A-share market is entering a slow bull phase driven by dual factors of valuation recovery and profit improvement [1][5] Group 1: Market Conditions - The banking sector offers an average dividend yield exceeding 4%, significantly higher than the 10-year government bond yield, indicating a favorable investment environment [1][5] - There is an expectation of a rebound in profitability for cyclical industries, contributing to a positive market sentiment [1][5] Group 2: Investment Strategy - The company employs a strategy of "extreme diversification + safety margin" to manage potential market volatility, utilizing quantitative models to identify undervalued and profit-stable targets [1][2] - The investment philosophy is based on "absolute return," with a focus on dynamic asset allocation in different market conditions to capture rotation opportunities [2][5] Group 3: Portfolio Management - The company practices "industry balanced distribution and individual stock diversification," aiming to provide a stable long-term holding experience for investors [3][4] - The portfolio typically includes over 150 stocks, with no single stock exceeding 1% of total holdings, ensuring a well-diversified investment approach [3][4] Group 4: Sector and Stock Selection - The company emphasizes both low valuation and profit growth in stock selection, avoiding "valuation traps" while ensuring that profit does not decline in the medium to long term [3][4] - The current valuation levels in the A-share market, particularly in traditional industries, are considered reasonable, with a focus on sectors like banking where the average price-to-book ratio is only 0.7 [5] Group 5: Bond Market Outlook - The company maintains a cautious stance on the bond market, noting that interest rates are at historical lows with limited room for further decline [6] - In the credit bond space, the focus is on mid to short-duration products due to current market volatility and yield levels [6]

Company Overview - Shenzhen ZR Investment Co., Ltd. was established in 2015, focusing on subjective long-only equity strategies with a registered capital of 10 million [6][7] - The founder and core fund manager, Wang Zhongyuan, has 32 years of experience, including 9 years in public funds and 10 years in private equity, with a cautious and flexible investment style [6][9] Development History - The company launched its first product "ZR Investment No. 1" in November 2015 and became an observer member of the Asset Management Association of China in May 2018 [7] - By February 2024, the management scale exceeded 500 million [7] Investment Philosophy & Strategies - The investment philosophy emphasizes risk control, aiming for absolute returns while maintaining a low drawdown [10][9] - The strategy includes top-down macro position timing and style rotation, alongside bottom-up selection of growth and value stocks [10][14] Core Advantages - The company boasts a long public performance record of nearly 20 years, with a historical maximum drawdown of only 18% [16][17] - It has achieved positive returns in 9 out of the last 10 years, with an annualized return rate of nearly 17% [18] - The investment approach is diversified, avoiding heavy bets on single industries or stocks, thus capturing sectoral benefits [20] Market Outlook - The company is optimistic about the Hong Kong stock market, which has seen nearly a 20% increase in major indices, driven by new core assets such as high dividend and high repurchase stocks [21] - The macroeconomic environment remains challenging, but the easing monetary policy and demand for asset allocation are expected to support bank-like assets [21][22] Value Creation for Clients - The company assists clients in timing positions to avoid systemic risks, optimizing industry allocations, and controlling drawdowns through diversified investment strategies [22]

Group 1 - The U.S. non-farm employment data released on Friday showed a significant downward revision, with July's new jobs dropping to 73,000, the lowest in nine months, and a total downward revision of 258,000 for May and June combined, leaving an average of only 35,000 new jobs per month over the past three months, marking a record low since the pandemic began [8][10] - The market's interpretation of the data suggests that the low response rate to surveys by the Labor Statistics Bureau is a major factor in the downward revision, with the response rate dropping below 60%, indicating that nearly half of the initial data is based on model estimates rather than actual responses [11][12] - The Federal Reserve's probability of a rate cut in September has risen to 90%, influencing investment decisions, with a focus on structural opportunities rather than broad market movements [12] Group 2 - Two key overseas dates are highlighted: August 7, when new tariffs are set to take effect, and August 12, which is the original deadline for the U.S.-China trade pause, now extended by three months, indicating potential market volatility and risk aversion leading up to these dates [13][14] - The second batch of floating management fee funds is set to launch next week, with 12 funds approved, indicating a potential turning point for public fund liabilities and a shift in market dynamics [16][17] - The fee structure for the new floating management fee products is designed to incentivize fund managers to achieve both absolute and relative returns, creating a performance-based reward system [20][22] Group 3 - Controversy surrounds the announcements from Yangtze Power and China Shenhua regarding significant investments, with concerns that these actions may negatively impact profits and cash flow for minority shareholders [25][26] - The ongoing competition in the food delivery market appears to be cooling, as major players like Meituan and Ele.me have issued statements against "zero-yuan purchases," reflecting a shift in strategy [30] - Shanghai has initiated a trial operation for autonomous driving, raising concerns about the impact on employment in the manufacturing sector, as automation continues to reduce labor demand [32]

Core Viewpoint - The China Securities Regulatory Commission (CSRC) has released an action plan to promote the high-quality development of public funds, emphasizing the need for public funds to prioritize the best interests of investors and enhance their sense of gain [1] Group 1: Company Vision and Strategy - Changxin Fund aims to address the pain points in the fund industry by embedding the absolute return concept throughout its management, product, and investment processes [2] - The company has established an absolute return team since 2015, focusing on customer interests as its core value and striving for a better customer experience [2][3] - The management mechanism respects customer needs and product positioning, ensuring that fund managers develop their capabilities within this framework [4] Group 2: Systematic Construction - Changxin Fund's systematic construction is guided by customer needs, aiming to enhance customer experience and trust through a comprehensive management framework [5][6] - The company has integrated absolute return principles into its product lifecycle management, tracking products across pre-investment, during investment, and post-investment phases [4][5] Group 3: Quantitative Team and Performance - The quantitative team, established in 2008, has developed a comprehensive research and investment platform that enhances the efficiency of transitioning research into investment [7] - Changxin Fund has successfully launched various index-enhanced products, achieving stable excess returns over the past five years, with notable rankings in multiple categories [8] Group 4: Future Outlook - The successful practices of the quantitative team will inform the development of research platforms for fixed income and equity, furthering the implementation of the absolute return philosophy [9] - The company envisions a future where public funds serve as a tool for inclusive finance, enhancing customer trust and experience in investment [9]

Core Viewpoint - The most important value of fund products is whether they can help holders earn real profits, rather than just focusing on size or returns. Lower volatility assets are crucial for achieving lifetime returns, as evidenced by the performance of real estate versus stocks over the past 20 years [1][2]. Asset Performance Analysis - From 2003 to 2023, the annualized return of the CSI 300 was less than 6% with an annualized volatility exceeding 25%, while the annualized return of the China Bond Index was over 4% with volatility below 5%. This stark difference highlights the risk-return profile of these asset classes [1][2]. Product Design and Features - The newly issued Southern Yiwen fund (A class: 024937; C class: 024938) offers three levels of assurance for holders' returns: 1. Low volatility assurance through a design that allocates 85% to the China Bond Index, 10% to the CSI 300, and 5% to the Hong Kong Stock Connect, creating a stable risk-return characteristic [3][4]. 2. Dual brand assurance from Guangfa Bank and Southern Fund, ensuring only selected products are offered to clients for long-term stable returns [3][4]. 3. Experienced fund managers with over 17 years of experience, ensuring effective management of the fund [4][15]. Performance of Secondary Bond Funds - Secondary bond funds effectively combine low volatility from fixed income and enhanced returns from equities. As of July 25, the secondary bond fund index had a year-to-date increase of 3.07%, outperforming the pure bond fund index which rose only 0.50% [6][9]. Historical Performance of Secondary Bond Funds - From 2015 to present, the secondary bond fund index has only recorded negative returns in 2016, 2018, and 2022, achieving positive returns in all other years. The Southern Yiwen product optimizes the traditional secondary bond fund index by reducing equity allocation and increasing Hong Kong stock allocation, resulting in consistent absolute returns [12][13]. Managerial Expertise - The fund is managed by two seasoned fund managers, Liu Shukun and Liu Yicheng, who have extensive experience in absolute return investment. Their previous management of other funds has demonstrated strong performance across market cycles [15][17][18]. Product Selection and Quality - In an era of high-quality development, the Southern Yiwen fund is designed to provide stable returns by minimizing volatility, thus allowing investors to hold onto their investments and earn profits [24][27]. The fund's transparent operational approach enhances predictability and clarity in its investment strategy [26].

Group 1 - The current A-share market is entering a slow bull phase driven by dual factors of valuation recovery and profit improvement [1][5] - Bank stocks are offering an average dividend yield exceeding 4%, significantly higher than the 10-year government bond yield, indicating a favorable investment environment [1][6] - There is an expectation of a rebound in the profitability of cyclical industries, with market sentiment improving, making equity asset allocation more attractive [1][6] Group 2 - The "absolute return" investment philosophy is emphasized, particularly in the context of a low-interest-rate environment where fixed-income returns are declining [2] - The management of "fixed income plus" products requires dynamic asset allocation based on market conditions, focusing on finding diverse asset opportunities [2] - The investment strategy includes a balanced approach to equity positions, favoring value stocks and a bottom-up selection process to identify low-volatility, high-yielding assets [2][3] Group 3 - The investment portfolio strategy focuses on industry balance and individual stock diversification, aiming to provide a stable long-term holding experience for investors [3] - The portfolio typically holds over 150 stocks, with no single stock exceeding 1% of total holdings, ensuring a well-distributed risk profile [3][4] - The focus on low valuation and stable profit growth helps avoid "valuation traps" in stock selection [3] Group 4 - Quantitative models are utilized to efficiently identify potential secondary industries and stocks, although final investment decisions are based on safety and return assessments [4] - The current market sentiment is better than expected, with significant capital inflows potentially accelerating market growth [6] - The valuation levels in the A-share market are considered reasonable, particularly in traditional sectors, with a notable disparity in valuations that is deemed unsustainable [6] Group 5 - The outlook for the equity market suggests a slow bull trend, with expectations of sector rotation rather than a focus on specific styles [6] - In the bond market, a cautious stance is adopted due to historically low interest rates and potential liquidity fluctuations, with a focus on mid to short-duration bonds [6]

Group 1 - The global capital markets in 2025 are characterized by uncertainty due to fluctuating interest rates from the Federal Reserve and geopolitical risks, leading to increased volatility in equity and bond markets [1] - Asset allocation is becoming the primary strategy for investors to cope with market uncertainties, as the risk resilience of single assets is declining [1][2] - The volatility of single asset investments has been significant, with the maximum drawdown of the Wind All A Index exceeding 29% and the QDII fund index over 17% in the past three years [2] Group 2 - Liu Xin emphasizes four core principles for asset allocation: understandable expected returns, controllable volatility, transparent structure, and executable long-term investment [3] - FOF (Fund of Funds) products are gaining traction in China as a new investment tool, allowing for diversified and optimized asset allocation through the selection of various funds [4][5] - The advantages of FOF investments include strategy complementarity, risk management through diversification, and professional management by experienced teams [5] Group 3 - There are two prevailing views on FOF products: one focuses on concentrated allocations for short-term excess returns, while the other aims for long-term stable returns [6] - Liu Xin advocates for the latter approach, emphasizing the need for public funds to expand their scale and provide a stable investment experience for a broader audience [6][7] - The future layout of FOF products will focus on absolute return goals and diversified allocation to meet investors' needs for steady growth [6][7] Group 4 - Liu Xin defines investment risk as comprising volatility and value loss, distinguishing between market sentiment-driven price fluctuations and fundamental deterioration [8] - The investment strategy should focus on long-term probability rather than short-term market predictions, with successful investments relying on proper asset allocation [8] - Liu Xin believes that the transparency and reliability of fund product returns are crucial for investor confidence and long-term holding [9] Group 5 - Current market conditions favor Chinese assets, with A-shares at historical low valuations and an upward trend, while U.S. assets are at high valuations with potential risks [9]