Core Viewpoint - The China Securities 500 Quality Growth Index has shown a decline of 0.54% as of July 18, 2025, with mixed performance among constituent stocks, indicating a volatile market environment [1] Group 1: Market Performance - The top-performing stocks include Kanghong Pharmaceutical, which rose by 4.66%, and Qilu Bank, which increased by 3.30%, while Chunfeng Power led the decline with a drop of 6.43% [1][4] - The China Securities 500 Quality Growth ETF has been adjusted, with the latest price at 1 yuan [1] Group 2: Analyst Insights - Several foreign investment banks have expressed optimism about the Chinese market, with Citigroup upgrading the ratings for Chinese and Korean markets to "overweight" despite macroeconomic fluctuations [1] - CICC's report highlights the value of equity markets amid an "asset shortage," suggesting a positive outlook for the second half of the year, although short-term uncertainties remain [1] Group 3: Index Composition - The China Securities 500 Quality Growth Index consists of 100 high-profitability, sustainable, and cash-rich companies selected from the broader China Securities 500 Index [2] - As of June 30, 2025, the top ten weighted stocks in the index account for 20.42% of the total index, with Dongwu Securities and Kaiying Network being the largest constituents [2]

Group 1 - The issuance of actively managed equity funds has been on the rise, with new products breaking annual records in scale [1][4][5] - On July 17, the Dachen Insight Advantage Mixed Fund was launched with a scale of 2.46 billion yuan, setting a new record for the year [1][4] - The total issuance scale of actively managed equity funds has reached 56.964 billion yuan, a year-on-year increase of 28.01% compared to 44.501 billion yuan in the same period last year [4][7] Group 2 - The increase in issuance is attributed to positive changes in the stock market, with the Shanghai Composite Index fluctuating around 3,500 points and strong performance in sectors like AI [5][6] - New floating fee rate funds and fee reforms have gained investor trust, contributing to the surge in fund issuance [5][8] - The average return of actively managed equity funds has reached 9.41% this year, with 87.7% of funds showing positive performance [7][8] Group 3 - The performance of actively managed equity funds has significantly improved, with several funds achieving over 100% returns this year [6][7] - The outlook for the equity market remains optimistic, with expectations of continued economic recovery and potential policy support [7][8] - The trend indicates a rapid expansion in the issuance scale of actively managed equity funds, driven by increasing investor confidence and a favorable economic environment [8]

Group 1 - The core viewpoint of the news is the significant changes in the top holdings of various funds managed by Ruiyuan Fund, particularly the entry of Xinyi Technology into the top holdings of Ruiyuan Growth Value and the exit of Guanghui Energy [1][2] - Ruiyuan Growth Value experienced some net redemptions in Q2, but still maintained over 14.4 billion shares by the end of the quarter [2] - The fund reduced its holdings in China Mobile, Ningde Times, Tencent Holdings, and Maiwei Shares, with notable reductions in China Mobile and Maiwei Shares [2] Group 2 - Ruiyuan Balanced Value Three-Year Holding Fund saw significant changes in its top holdings, with new entries including Luxshare Precision, Hangzhou Bank, China Taiping, and Shenneng Power, while China Mobile and Shanxi Fenjiu exited the top ten [3] - The fund increased its allocation in banking, insurance, and electric power sectors while reducing exposure to consumer services, liquor, and pharmaceutical sectors [3] Group 3 - The Ruiyuan Hong Kong Stock Connect Core Value Mixed Fund experienced a significant increase in shares, with a growth of approximately 100% compared to the end of Q1 [6] - The top holdings included Pop Mart, Xiaomi Group, Zijin Mining, and others, while Alibaba, Shenzhou International, Shanxi Fenjiu, and others exited the top ten [6] - The fund manager emphasized the need for a nuanced understanding of the new consumption sector, highlighting the varying development stages and internal ROE models of sub-industries [6] Group 4 - The innovation drug sector emerged as a hotspot, with successful clinical progress in PD1/VGFR targets in China, raising concerns for multinational corporations (MNCs) about potential revenue declines due to patent expirations [7] - Uncertainties regarding tariffs have eased slightly, but concerns about the financial decoupling between China and the U.S. continue to suppress valuations in the technology sector [7] - The technology sector is currently at a relatively low valuation, and if advancements in AI research can close the gap with the U.S. industry, significant investment opportunities may arise in the second half of the year [7]

Export Performance - In June, China's export growth showed resilience, with a year-on-year increase of 5.8%, surpassing the expected 3.21% and the five-year average of 4.14% by 1.66 percentage points[8] - The marginal improvement in exports to the US was significant, with a year-on-year growth rate of -16.3%, an increase of 18.39 percentage points from the previous value[10] - Exports to ASEAN countries also improved, with a growth rate of 16.74%, up 5.31 percentage points from the previous value[11] Import Performance - June imports increased by 1.1% year-on-year, exceeding market expectations and the previous value by 4.5 percentage points[19] - The improvement in imports was primarily driven by increased imports from Japan, South Korea, and ASEAN, with positive contributions from these regions[22] Future Outlook - The extension of the US tariff exemption until August 1 may limit the recovery of China's export growth to the US in the second half of the year, creating downward pressure on exports[26] - If the US Federal Reserve lowers interest rates in September, it could lead to a structural market rally in July, despite potential export slowdowns[28] - The ongoing geopolitical tensions and the effectiveness of policies remain key risks that could impact market stability[29]

Report Industry Investment Rating No relevant information provided. Core Views - The convertible bond index may face pressure to rise significantly, but there is no systematic risk, and there are structural opportunities. Convertible bonds are still valuable assets. Although the current premium rate is not low and the median absolute price is high, considering the decline in yields of various fixed - income assets, the demand for fixed - income + allocation is strong, supporting the price of convertible bonds. Short - term callbacks may occur, but the amplitude is controllable, and opportunities outweigh risks [4]. - The current market is dominated by bulls. The improvement of grass - roots governance capacity has increased public confidence, leading to a rise in market risk appetite. The market is oscillating horizontally and strengthening step by step, with the financial and technology sectors being the focus [4][8]. - The year - on - year increase of CPI in June provides emotional support to the market. Anti - involution sectors are still under attention, and the real estate sector is expected to improve due to favorable policies [8]. Summary by Directory 1. Convertible Bond Views: Bullish on Convertible Bonds After Continuous Surges - The convertible bond market followed the equity market and rose significantly under the low - position condition, but this week it was relatively restrained with a slight valuation correction. There may be pressure for the convertible bond index to rise further, but there are still structural opportunities. Short - term callbacks are possible, but the amplitude is controllable [4]. - The current emotional source is the growth of public confidence due to the improvement of grass - roots governance capacity. The market is oscillating horizontally and strengthening step by step, and the financial and technology sectors will be the focus. The year - on - year increase of CPI in June provides emotional support to the market, and the real estate sector is expected to improve [8]. 2. Convertible Bond Review: Convertible Bonds Continue to Follow the Rise of Equities 2.1 Market Overall Performance: The Stock Market Continues to Rise, and Convertible Bonds Follow More Restrainedly - From July 7th to July 11th, the Shanghai Composite Index, Shenzhen Component Index, and other major stock indices all rose. The real estate, steel, and non - bank finance sectors led the rise, while the coal, banking, and automobile sectors declined. The leading convertible bonds performed weaker than the underlying stocks, and the momentum weakened slightly, but the upward trend of popular individual bonds continued [11]. 2.2 Trading Volume Increases, and Medium - High - Rated and Low - Priced Convertible Bonds Perform Well - This week, convertible bonds continued to rise, and the trading volume increased significantly to 6.8115 billion yuan. The CSI Convertible Bond Index rose 0.76%, the parity center rose 1.5% to 102.1 yuan, and the conversion premium rate center fell 2.2% to 23.1%. In terms of style, medium - high - rated and low - priced convertible bonds performed well, while large - cap and high - priced convertible bonds were relatively weak [4][17].

Investment Rating - The report maintains an "Outperform" rating for the banking wealth management industry, indicating expected performance exceeding the market benchmark by over 10% [4][39]. Core Insights - The banking wealth management sector has shown stable growth in scale, with a total asset size of approximately 31.0 trillion yuan, reflecting a year-on-year increase of 3.4% despite a slight month-on-month decline of 0.3 trillion yuan [1][11]. - The structure of wealth management products remains dominated by fixed-income products, which account for over 70% of the total, while cash management products represent nearly 20% [1]. - Regulatory changes have prompted a shift towards net asset value-based operations, with a significant portion of historical floating profits already released, necessitating strategies to reduce volatility in wealth management products [2][3]. - The anticipated inflow of funds into the equity market from wealth management reforms is estimated to be between 80 billion to 120 billion yuan, aligning with a neutral return strategy [3]. Summary by Sections Market Trends - The weighted average annualized yield for banking wealth management products in June 2025 was 2.62%, an increase of 11 basis points from the previous month [10]. - The initial fundraising scale for newly issued products in June was 459.6 billion yuan, primarily consisting of fixed-income products [17]. Product Performance - Most closed-end banking wealth management products maturing in June met their performance benchmarks, with 2,117 products reaching their targets [26]. - The report highlights a cautious approach towards long-duration assets due to liquidity concerns, with a preference for short-term high-rated bonds [2][3]. Asset Allocation - The primary assets in banking wealth management products include high-grade credit bonds and equities, with a focus on enhancing returns through diversified strategies [29].

Domestic News - The Minister of Finance, Lan Fan'an, attended the 2025 BRICS Finance Ministers and Central Bank Governors Meeting, emphasizing China's commitment to deepen financial cooperation among BRICS nations and support the development of the New Development Bank [2] - The People's Bank of China released a draft for public consultation regarding the rules for the Cross-Border Interbank Payment System (CIPS), aiming to optimize its functions and services [2] Market Dynamics - On July 4, the interbank market showed a mixed trend in major interest rate bonds, with short- to medium-term bonds continuing to decline due to ample liquidity, while long-term bonds experienced a slight increase [9][10] - The yield on the 10-year government bond rose by 0.15 basis points to 1.6410%, while the 10-year policy bank bond yield also increased by 0.15 basis points to 1.7175% [9][10] Credit Bonds - On July 4, two industrial bonds experienced significant price deviations, with "H1碧地01" dropping over 66% and "H0中骏02" declining over 19% [11] - Sunac China announced plans to issue 754 million shares to raise approximately 5.6 billion yuan to repay domestic bonds [11] Convertible Bonds - The convertible bond market showed divergence, with the China Securities Index for convertible bonds rising by 0.15% and the Shenzhen index declining by 0.01% on July 4 [14] - The trading volume in the convertible bond market reached 82.835 billion yuan, an increase of 15.047 billion yuan from the previous trading day [14] - Notable performers included the newly listed electric chemical convertible bond, which hit the upper limit, and the Anke convertible bond, which rose over 36% [14][15] International Market - The yield on 10-year government bonds in major European economies showed mixed trends, with Germany's yield decreasing by 1 basis point to 2.57% while France's yield increased by 1 basis point [17]

Quantitative Models and Construction Methods 1. Factor Name: Beta Factor - **Construction Idea**: The Beta factor measures the sensitivity of a stock's returns to the overall market returns, indicating its systematic risk[29] - **Construction Process**: - Calculate the covariance between the stock's returns and the market returns - Divide this covariance by the variance of the market returns - Formula: $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ where $R_i$ is the return of the stock and $R_m$ is the return of the market[29] - **Evaluation**: The Beta factor is a widely used measure of risk, indicating how much a stock's price is expected to move relative to the market[29] 2. Factor Name: Liquidity Factor - **Construction Idea**: The Liquidity factor assesses the ease with which a stock can be traded without affecting its price, reflecting the market's depth and breadth[29] - **Construction Process**: - Measure the average daily trading volume - Calculate the bid-ask spread - Combine these metrics to form a composite liquidity score - Formula: $ \text{Liquidity} = \frac{\text{Average Daily Volume}}{\text{Bid-Ask Spread}} $[29] - **Evaluation**: The Liquidity factor is crucial for understanding the trading costs and potential price impact of large trades[29] 3. Factor Name: Profitability Quality Factor - **Construction Idea**: The Profitability Quality factor evaluates the financial health and earnings quality of a company, focusing on sustainable and high-quality earnings[29] - **Construction Process**: - Analyze various financial ratios such as return on equity (ROE), return on assets (ROA), and profit margins - Combine these ratios into a composite score - Formula: $ \text{Profitability Quality} = \frac{\text{ROE} + \text{ROA} + \text{Profit Margin}}{3} $[29] - **Evaluation**: This factor helps in identifying companies with strong and sustainable earnings, which are likely to perform well in the long term[29] Factor Backtesting Results 1. Beta Factor - **IR**: 0.45[29] - **Annualized Return**: 8.5%[29] - **Volatility**: 12.3%[29] 2. Liquidity Factor - **IR**: 0.38[29] - **Annualized Return**: 7.8%[29] - **Volatility**: 11.5%[29] 3. Profitability Quality Factor - **IR**: 0.52[29] - **Annualized Return**: 9.2%[29] - **Volatility**: 10.8%[29] Additional Factors and Their Performance 1. Factor Name: Skewness Factor - **Construction Idea**: The Skewness factor measures the asymmetry of the return distribution, indicating the potential for extreme positive or negative returns[33] - **Construction Process**: - Calculate the third moment of the return distribution - Normalize by the cube of the standard deviation - Formula: $ \text{Skewness} = \frac{E[(R - \mu)^3]}{\sigma^3} $ where $R$ is the return, $\mu$ is the mean return, and $\sigma$ is the standard deviation[33] - **Evaluation**: This factor is useful for understanding the tail risks and potential for extreme outcomes in the return distribution[33] 2. Factor Name: Position Change Factor - **Construction Idea**: The Position Change factor tracks changes in the holdings of large institutional investors, indicating their sentiment and market positioning[33] - **Construction Process**: - Monitor the quarterly filings of institutional investors - Calculate the net change in positions for each stock - Formula: $ \text{Position Change} = \frac{\text{Current Quarter Holdings} - \text{Previous Quarter Holdings}}{\text{Previous Quarter Holdings}} $[33] - **Evaluation**: This factor provides insights into the buying and selling activities of major market players, which can influence stock prices[33] Factor Backtesting Results 1. Skewness Factor - **IR**: 0.42[33] - **Annualized Return**: 8.1%[33] - **Volatility**: 11.9%[33] 2. Position Change Factor - **IR**: 0.47[33] - **Annualized Return**: 8.7%[33] - **Volatility**: 11.2%[33]

Economic Indicators - In May, the industrial added value for large-scale industries grew by 5.8% year-on-year and 0.61% month-on-month, indicating resilience despite external tariff impacts[9] - The total retail sales of consumer goods in May reached 41,326 billion yuan, a year-on-year increase of 6.4%, surpassing the previous value of 5.1%[11] - From January to May, fixed asset investment (excluding rural households) increased by 3.7% year-on-year, with real estate development investment declining by 10.7%[13] Market Performance - The Shanghai Composite Index closed at 3,420.566, with a weekly decline of 0.51%[2][31] - The Shenzhen Component Index fell by 1.16%, while the CSI 300 Index decreased by 0.45%[31] - Daily average trading volume decreased to 12,150.34 billion yuan, down by 1,566.44 billion yuan from the previous week[31] Investment Trends - Equipment investment is expected to continue its upward trend, supported by long-term special government bonds aimed at equipment upgrades[5] - The manufacturing sector's investment growth is slowing, with a notable decline in electric equipment and real estate sectors[13] - The financial sector showed strength with a 1.37% increase, while consumer sectors faced a decline of 3.61%[31] Monetary Policy and Liquidity - The central bank conducted a total of 9,603 billion yuan in reverse repos this week, resulting in a net withdrawal of 799 billion yuan[6][19] - The upcoming seasonal transitions and government bond financing are expected to impact liquidity, with a focus on the central bank's monetary policy actions[20] Risks and Outlook - Potential risks include tighter monetary policy, unexpected economic recovery leading to rising bond yields, and deteriorating local fiscal conditions[35] - The market may continue to experience "high-low cuts," with a focus on dividend sectors and low-position technology stocks as rotation opportunities[34]

Core Viewpoint - The A500 ETF fund is closely tracking the CSI A500 Index, which reflects the overall performance of the most representative listed companies across various industries in China, with a focus on large market capitalization and liquidity [2][4]. Group 1: Market Performance - As of June 20, 2025, the CSI A500 Index rose by 0.04%, with notable increases in stocks such as Watson Bio (+6.51%) and Quartz Co. (+5.56%) [1]. - The A500 ETF fund's latest price is 0.94 yuan, with a trading volume of 12.47 billion yuan and a turnover rate of 8.16% [1]. - Over the past year, the A500 ETF fund has achieved an average daily trading volume of 35.81 billion yuan, ranking first among comparable funds [1]. Group 2: Fund Size and Composition - The current size of the A500 ETF fund is 152.45 billion yuan [1]. - As of May 30, 2025, the top ten weighted stocks in the CSI A500 Index account for 21.21% of the index, including Kweichow Moutai (4.28%) and CATL (2.96%) [2][4]. Group 3: Market Outlook - Central China Securities anticipates that the core drivers of the equity market in the second half of 2025 will include ongoing policy benefits, improved liquidity conditions, and a gradual economic recovery [1]. - The focus will be on technology innovation and domestic demand stimulation, with expectations of increased policy support for new productive forces [1].