1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The A-share equity market showed strong performance throughout the week, with major fund strategy indices hitting new highs. Overseas equities also resumed their upward trend after an early - month shock, and the market was less sensitive to risk factors [2]. - The recommended order of quantitative strategy allocation is: stock fund enhancement strategy > evergreen low - volatility strategy > overseas equity strategy. The A - share market is expected to maintain an upward trend, and the stock fund enhancement portfolio has more room. The evergreen low - volatility strategy can be used as a base configuration, and defensive sectors like banks still have high long - term allocation value. Overseas, the US stock market has been rising, but it's not advisable to chase high in the short term, while maintaining a long - term optimistic view [3][4]. 3. Summary by Related Catalogs 3.1 Quantified Strategy Allocation View - **A - share Market**: The Shanghai Composite Index is strong, breaking through multiple round - number points and last year's high. The market is expected to keep rising, with limited callback space. The stock fund enhancement portfolio has more room, and the evergreen low - volatility strategy and defensive sectors have long - term value [3]. - **Overseas Market**: The US stock market has been rising due to various factors. It's not advisable to chase high in the short term, but the long - term upward trend is still optimistic, and attention should be paid to potential dips for layout [4]. - **Equity Fund Strategies**: The evergreen low - volatility fund strategy rose this week with a return of 1.897% and an excess return of - 2.355%. It can reduce portfolio volatility and is still worth being a base - position configuration. The stock fund enhancement fund strategy rose with a return of 1.922% and an excess return of - 2.330%. The cash - enhancing fund strategy had a return of 0.028%, outperforming the benchmark. The overseas equity allocation fund strategy rose with a return of 1.868% and an excess return of - 1.045% [4][5]. 3.2 Tool - based Fund Portfolio Performance Tracking - **Evergreen Low - Volatility Fund Portfolio**: It has low - volatility characteristics, with significantly better volatility and maximum drawdown than the CSI Active Stock Fund Index. It has achieved significant excess returns since the strategy started in July 31, 2023, and has both defensive and offensive capabilities [11][13]. - **Stock Fund Enhancement Fund Portfolio**: Since the strategy started recently, its performance is close to the CSI Active Stock Fund Index. It is expected to have more elasticity when the market environment improves and can maintain a similar trend to the benchmark in a weak market [11][16]. - **Cash - Enhancing Fund Portfolio**: After double - screening, it continuously outperforms the benchmark, and has accumulated an excess return of over 0.41% since July 2023, providing a reference for cash management [11][17]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, in the context of the Fed's interest - rate cut cycle and the boost of AI technology, it has accumulated high - level excess returns, and global allocation can increase portfolio returns [11][20]. 3.3 Tool - based Fund Portfolio Construction Ideas - **General Idea**: Use quantitative methods to build a new - style fund selection pool for different market environments and risk - preference investors. For money funds and bond funds, also use quantitative methods to develop relevant tool - based portfolios [23]. - **Evergreen Low - Volatility Fund Portfolio**: Select funds with long - term stable returns from high - equity - position actively managed funds. Consider factors such as maximum drawdown, volatility, and valuation to build a low - volatility active equity fund portfolio [26]. - **Stock Fund Enhancement Fund Portfolio**: Aims to meet the needs of high - risk - preference investors. Select fund managers with strong alpha - mining ability, and build a portfolio based on the continuation of alpha returns [27]. - **Cash - Enhancing Fund Portfolio**: Build a money - fund selection system considering multiple factors to help investors obtain higher returns and reduce return volatility [28]. - **Overseas Equity Allocation Fund Portfolio**: Select QDII equity funds corresponding to overseas equity indices based on long - and short - term technical indicators, momentum, and reversal effects to meet the needs of global allocation [25][29].

Core Viewpoint - The A-share equity market has shown resilience after a brief adjustment following the Shanghai Composite Index's breakthrough of 3600 points, indicating a potential upward trend despite short-term resistance [3][4]. Market Performance - The A-share market rebounded near the 20-day moving average, achieving five consecutive days of gains and closing above 3600 points for four days [3]. - The U.S. equity market also stabilized and rebounded quickly after initial pressure from non-farm employment data, reflecting strong performance [3]. - Various strategy indices recorded positive returns, with defensive style sectors outperforming after a prolonged correction [3]. Strategy Performance - The "Evergreen Low Volatility Strategy" and "Enhanced Equity Strategy" achieved returns of 1.826% and 1.620% respectively, while overseas equity strategies recorded a return of 0.610% [4][5]. - The "Evergreen Low Volatility Strategy" has shown strong stability since its inception, effectively reducing portfolio volatility while maintaining decent returns [10]. - The "Enhanced Equity Strategy" has performed closely to the benchmark, with potential for greater elasticity as market conditions improve [11]. Overseas Market Insights - The U.S. market has benefited from easing tariff expectations and strong earnings reports from tech companies, leading to a sustained upward trend [5]. - Despite being at historically high levels, the U.S. market is expected to maintain a long-term upward trend, with a focus on potential pullback opportunities for strategic positioning [5]. - The overseas equity allocation strategy has accumulated significant excess returns since its inception, driven by the tech sector's growth and the easing of tariff tensions [15]. Fund Strategy Overview - The "Cash Growth Fund Strategy" achieved a return of 0.027%, outperforming the benchmark, with cumulative excess returns since inception exceeding 0.39% [6][13]. - The "Overseas Equity Allocation Fund Strategy" has shown strong performance since July 31, 2023, benefiting from the Fed's easing cycle and the global tech sector's momentum [15][19]. - The report emphasizes the importance of a diversified approach to fund selection, utilizing quantitative methods to identify suitable funds across different market conditions [18][19].

Group 1 - The core viewpoint is that there is a significant influx of funds into the market through ETFs, with a total of 689.68 billion yuan entering the market in the past week, indicating a strong preference for core assets among investors [1][2][3] - The total scale of ETFs is approaching 4.7 trillion yuan, with an increase of 364.83 billion units, reaching 2.78 trillion units [1][2] - Analysts highlight four positive factors supporting the attractiveness of the Chinese capital market: relatively low valuation levels of A-shares, strengthening capital aggregation effects under the "technology narrative," enhanced market resilience through buybacks and dividends, and increasing institutional inclusiveness [2][3] Group 2 - The most significant growth in ETF scale is seen in broad-based index products, particularly those linked to the CSI 300 and CSI 1000 indices, which saw increases of 6.697 billion yuan and 6.517 billion yuan respectively [2][3] - Recent market sentiment has improved, with funds flowing into high liquidity broad-based indices, reflecting increased risk appetite among investors [3][4] - Various thematic funds are also gaining popularity, with significant inflows into ETFs linked to the Hang Seng Technology Index and the Hong Kong Stock Connect Internet Index, indicating a preference for high-growth technology sectors [4][5] Group 3 - Gold-related assets are experiencing increased demand, with the Shanghai Gold Exchange's gold index ETF surpassing 140 billion yuan, driven by rising gold prices amid macroeconomic uncertainties [4][5] - The overall trend shows a notable acceleration of funds entering the capital market, with a focus on stock-based ETFs reflecting optimism about economic recovery and industry prosperity [5]

Core Insights - The private equity industry in China is undergoing a significant restructuring, with the number of newly registered private funds reaching 1,540 in June 2025, and the total assets under management surpassing 20.26 trillion yuan, marking a historical peak [1][8]. Group 1: Quantitative Institutions - New quantitative institutions are emerging with distinct technological characteristics, such as Micro博易, which focuses on low-latency algorithmic trading and manages approximately 6 billion yuan [2]. - 蒙玺投资, established in 2016, has developed a multi-market quantitative platform and has surpassed the 10 billion yuan mark in assets under management [2]. - 千衍投资 has gained traction with its mid-to-low frequency quantitative strategies, leveraging a team with experience from notable firms [2]. Group 2: Subjective Strategy Institutions - The subjective strategy segment is experiencing a noticeable contraction, with firms like 合远私募 facing performance-related challenges leading to a decline in scale [3]. - 一村投资, now known as "上海承壹私募," has also dropped out of the 10 billion yuan club due to frequent changes in ownership and instability in strategy [3]. - Other firms, including 半夏投资 and 远信投资, have temporarily fallen behind due to regulatory and market adjustments [3]. Group 3: Performance Differentiation - As of June 2025, quantitative private equity firms have a median return of 28.74% over the past three years, while subjective firms have a mean return of 34.86%, indicating a performance gap [4]. - The current market environment, characterized by increased stock volatility and a preference for small-cap stocks, provides ample trading opportunities for quantitative strategies [4]. Group 4: Technological Barriers - Leading quantitative firms are establishing three major technological barriers: depth of data mining, AI iteration capabilities, and system response speed [5]. - Firms like 天演资本 leverage academic resources to build unique factor libraries, while 蒙玺投资 focuses on AI-enabled strategy development [5]. Group 5: Market Trends and Policy Support - The issuance market is recovering, with new private fund registrations totaling 500.57 billion yuan in June 2025, driven by increased trading activity in the A-share market and declining risk-free interest rates [8]. - Policy support has also been a key driver, with recent initiatives encouraging insurance capital to invest in private equity funds [8]. Group 6: Future Outlook - The industry is witnessing a "Matthew Effect," where leading firms gain more advantages, while three major changes are emerging: shorter strategy lifecycles, a shift towards hybrid strategies, and an increasing demand for global asset allocation [9]. - The dynamics of billion-yuan private equity firms reflect the industry's ecological changes, with quantitative firms capitalizing on market volatility while subjective firms need to balance deep value and growth sectors [9].

Core Viewpoint - The public FOF industry is accelerating towards a 2.0 era characterized by diversified, globalized, and tool-based asset allocation, with Penghua Fund leading the way through innovative strategies and product offerings [1][4]. Group 1: Industry Trends - The proportion of commodity funds in public FOFs increased from 20.16% to 49.40% from 2020 to 2024, while QDII equity funds rose from 25.81% to 65.93%, and QDII bond funds jumped from 4.03% to 32.06% [2]. - By the end of 2024, 8.27% of FOFs had allocated to REITs, indicating a growing interest in real estate assets [2]. - Passive funds are gaining importance, with stock index and bond index fund holdings increasing from 70.97% and 35.48% to 86.69% and 60.69%, respectively, and 90.73% of FOFs holding ETFs, significantly above the market average of 11.93% [2]. Group 2: Company Strategies - Penghua Fund emphasizes a customer-centric product design philosophy, creating a multi-tiered FOF product line that includes target date funds (TDF), target risk funds (TRF), and actively managed funds to meet diverse investor needs [3]. - The TDF products utilize a "glide path" strategy to gradually reduce equity exposure as the target date approaches, aligning with the changing risk tolerance of investors over their life cycles [3]. - Penghua is also exploring customized FOF/MOM services for high-net-worth and institutional clients, offering tailored solutions across various risk levels [3]. Group 3: Investment Philosophy - The investment philosophy of Penghua Fund combines a focus on domestic market opportunities with a global perspective, aiming to enhance portfolio diversity and stability [4]. - The research team prioritizes fundamental analysis of the A-share market while dynamically adjusting asset allocation based on macroeconomic cycles and industry trends [4]. - Penghua has developed a systematic FOF management framework that includes strategic and tactical asset allocation, risk management, and fund manager selection to support its diversified and global investment practices [4]. Group 4: Risk Management - Penghua Fund has established a comprehensive risk management system that integrates risk constraints during product design and employs quantitative models for real-time monitoring [5]. - The fund manager selection process utilizes a multi-factor fund database to ensure selected managers have sustainable alpha generation capabilities [5]. - The proprietary "Dynamic Beta Adjustment System" enhances tactical allocation efficiency and adaptability in extreme market conditions by quantifying risk exposure of passive tools like ETFs [5].

Group 1 - The core viewpoint of the article highlights the current fluctuations in the A-share market, with the Shanghai Composite Index showing slight declines influenced by international geopolitical conflicts, while certain technology sectors are beginning to rebound after previous adjustments [2][4] - The quantitative strategy configuration suggests a preference for stock-based enhancement strategies over low-volatility strategies and overseas equity strategies, indicating a more optimistic outlook for A-shares despite potential risks in defensive sectors [3][4] - The article emphasizes the performance of various fund strategies, noting that the low-volatility fund strategy has shown strong stability and excess returns during recent market fluctuations, while the stock-based enhancement strategy is expected to gain traction as market conditions improve [5][6] Group 2 - The low-volatility fund strategy has maintained its characteristics of low volatility and small drawdowns, outperforming the benchmark indices since its inception, demonstrating effective risk management and stable returns [10][21] - The stock-based enhancement fund strategy, while still in its early stages, is expected to show stronger performance as market conditions improve, focusing on funds with strong alpha generation capabilities [11][22] - The cash-enhancing fund strategy has consistently outperformed its benchmark, accumulating excess returns since its launch, providing effective cash management solutions for investors [14][23] - The overseas equity allocation fund strategy has benefited from the easing of tariff risks and the growth of technology sectors, indicating a positive outlook for global investments despite short-term volatility [15][24]

Investment Insights - A-shares have rebounded after tariff impacts, but the momentum has weakened, with the CSI All Share Index rising 0.3% this week, while the CSI Active Equity Fund Index fell 0.23% [1] - The Evergreen Low Volatility Strategy continues to benefit from volatile markets, gaining 0.87% this week and recording excess returns of 1.1% [1] Quantitative Strategy Allocation - The Evergreen Low Volatility Strategy is favored over overseas equity strategies and enhanced equity strategies due to its performance during recent market volatility [2] - Defensive sectors, such as dividend styles, have performed well, and the Evergreen Low Volatility Strategy has accumulated excess returns during this period [2] - The overseas market has priced in most tariff impacts, and with a potential easing of tensions, there may be short-term opportunities for investors with low overseas exposure [2] Fund Strategy Performance - The Evergreen Low Volatility Fund Strategy recorded a return of 0.873% this week, with excess returns of 1.103%, demonstrating strong stability since February 2025 [3] - The Enhanced Equity Fund Strategy also rose by 0.345% this week, with excess returns of 0.575%, but its performance may improve as market conditions evolve [3] - The Cash Growth Fund Strategy achieved a return of 0.031%, outperforming the benchmark, with cumulative excess returns of 0.384% since its inception [3] Overseas Equity Fund Strategy - The overseas equity allocation strategy rebounded with a return of 3.463% this week, despite ongoing concerns in the U.S. market [4] - The U.S. economy has not shown significant signs of recession, and technological advancements may drive a new market cycle [4] Fund Performance Summary - Evergreen Low Volatility Fund Strategy: 0.873% this week, -3.214% over the past month, 6.563% year-to-date [5] - Enhanced Equity Fund Strategy: 0.345% this week, -5.363% over the past month, 6.080% year-to-date [5] - Cash Growth Fund Strategy: 0.031% this week, 0.146% over the past month, 3.389% year-to-date [5] - Overseas Equity Fund Strategy: 3.463% this week, -5.819% over the past month, 18.540% year-to-date [5] Fund Strategy Construction - The Evergreen Low Volatility Fund aims to select funds with long-term stable returns, focusing on low volatility and drawdown characteristics [6][16] - The Enhanced Equity Fund seeks to identify funds with strong alpha generation capabilities, aiming for higher returns in improving market conditions [8][18] - The Cash Growth Fund focuses on selecting high-yield money market funds to optimize short-term cash management [10][19] - The Overseas Equity Allocation Fund utilizes momentum and reversal factors to select international equity indices for diversified investment [12][20]