Quantitative Models and Construction Methods Model Name: Momentum Model - Construction Idea: The momentum model is designed to capture the trend-following behavior in the market, particularly effective during the end-of-quarter period when funds tend to adjust their positions based on recent performance trends [13][37] - Detailed Construction Process: The model identifies stocks with strong recent performance and allocates more weight to them. The formula used is: $ \text{Momentum Score} = \frac{\text{Price}_{t} - \text{Price}_{t-1}}{\text{Price}_{t-1}} $ where $\text{Price}_{t}$ represents the current price and $\text{Price}_{t-1}$ represents the price at the previous time period [13][37] - Evaluation: The momentum model performs well during the end-of-quarter period, aligning with the characteristic fund allocation behavior [13][37] Model Backtesting Results Momentum Model - Information Ratio (IR): 1.75 [38] - Excess Return: 1.95% [38] Quantitative Factors and Construction Methods Factor Name: Value Factor - Construction Idea: The value factor aims to identify undervalued stocks by comparing their market price to fundamental metrics such as earnings, book value, and cash flow [13][29] - Detailed Construction Process: The factor is constructed using the following formula: $ \text{Value Score} = \frac{\text{Earnings}}{\text{Price}} + \frac{\text{Book Value}}{\text{Price}} + \frac{\text{Cash Flow}}{\text{Price}} $ where $\text{Earnings}$, $\text{Book Value}$, and $\text{Cash Flow}$ are fundamental metrics, and $\text{Price}$ is the current market price [13][29] - Evaluation: The value factor has shown a significant shift in fund allocation from growth to value stocks since April, indicating its effectiveness in capturing the market's structural adjustments [29][33] Factor Backtesting Results Value Factor - Information Ratio (IR): 1.38 [38] - Excess Return: 1.45% [38]

Group 1 - As of June 6, 32 new public funds are set to be launched from June 9 to June 13, involving 24 fund companies, with an average fundraising period of approximately 25 days [1] - Among the new funds, equity funds are predominant, with 18 out of the 30+ new funds being equity funds, followed by 4 mixed funds and 4 FOF funds [2] - The newly launched equity funds are primarily index funds, including 9 passive index funds and 7 enhanced index products, featuring products like Huaxia ChiNext 50 Link and Wanjiaguo Zheng Hong Kong Stock Connect Technology ETF [4] Group 2 - Notable fund companies involved in the new fund launches include Yongying Fund, Penghua Fund, and Zhongjin Fund, with Yongying Fund issuing the most products, including three funds during the specified period [5] - A total of 18 products have announced fundraising limits, with some funds like Dongfanghong Yingfeng Stable Allocation 6-Month Holding and CITIC Construction Investment CSI 500 Index Enhanced having a fundraising cap of 8 billion units [5] - One innovative floating fee rate fund, Anxin Value Win, will be launched during this period, which is a mixed fund with a management fee structure based on the holding period and performance relative to a benchmark [8]