- The report constructs a model to estimate the complete stock holdings of public funds based on the top 10 heavy holdings disclosed in quarterly reports, the top 10 shareholders of listed companies, and the industry allocation information of public funds[7][8][9] - The model assumes that the non-heavy stock holdings of the fund remain unchanged in terms of stock types across two periods, with only the holding weights changing proportionally. Based on the non-heavy stock holdings at the end of the previous period, the weights are scaled proportionally to simulate the non-heavy stock holdings for the current period[9] - The model uses weighted least squares to estimate the allocation of public funds in large-cap and small-cap combinations at each point in time, based on the daily returns of the fund and the daily returns of the large-cap and small-cap indices[2][11] - The model evaluates the average style changes of public funds from three dimensions: large-cap and small-cap allocation, market value exposure, and industry allocation[2][11] - The median stock position of ordinary stock funds as of June 13, 2025, is 88.84%, up 1.57% from the previous week's estimate. The median stock position of partial equity hybrid funds is 84.98%, up 0.95% from the previous week's estimate[3][13] - The estimated positions of ordinary stock funds and partial equity hybrid funds in the large-cap combination increased by 0.96% and decreased by 1.02%, respectively, while the estimated positions in the small-cap combination increased by 0.61% and 1.97%, respectively[3][13] - The current estimated positions of ordinary stock funds and partial equity hybrid funds are at the 60.53% and 48.47% percentiles, respectively, in the position estimate series since 2016[3][13] - As of June 13, 2025, public funds have high allocation weights in industries such as electronics, pharmaceuticals, electrical equipment, food and beverages, and machinery[3][20] - During the week of June 9-13, 2025, partial equity investment funds reduced their positions in industries such as electronics, computers, pharmaceuticals, food and beverages, and agriculture, forestry, animal husbandry, and fishery, while increasing their positions in industries such as machinery, banking, non-bank finance, basic chemicals, and consumer services[3][20]

金融工程 证券研究报告 2025 年 05 月 25 日 作者 吴先兴 分析师 SAC 执业证书编号：S1110516120001 wuxianxing@tfzq.com 金融工程 | 金工定期报告 韩乾 分析师 SAC 执业证书编号：S1110522100001 hanqian@tfzq.com 相关报告 1 《金融工程：金融工程-因子跟踪周 报：换手率、季度 sp 分位数因子表现较 好-20250524》 2025-05-24 2 《金融工程：金融工程-大模型总结 和解读行业研报（ 2025W20 ）》 2025-05-19 3 《金融工程：金融工程-量化择时周 报：等待缩量》 2025-05-18 基金季报中披露有基金前十大重仓股，同时企业季度报告中披露有企业的 前十大股东信息（主要使用上市公司 1、3 季度十大股东信息），结合这两 部分信息我们可以得到基金持仓更加详细的重仓股信息。因此模拟全部股 票持仓只需要估计基金剩余的非重仓持股明细。 基金季报（T 期）披露有股票持仓的证监会行业配置信息，基金最近（T-1 期）半年报、年报会披露全部股票持仓，可得基金半年报、年报末非重仓 股持仓信息。假设基金非重仓 ...

Quantitative Models and Construction Methods 1. Model Name: Fund Position Estimation Model - **Model Construction Idea**: The model aims to estimate the daily stock positions of public funds by simulating their complete stock holdings based on disclosed top 10 heavy holdings and other related data[8][9][10] - **Model Construction Process**: 1. Use quarterly fund reports to obtain the top 10 heavy holdings and combine this with the top 10 shareholders' information from listed companies[9] 2. Simulate the complete stock holdings by estimating the remaining non-heavy holdings based on the assumption that the types of stocks held in non-heavy positions remain unchanged between two periods, with only the weights adjusted proportionally[10] 3. At the end of January, April, August, and October each year, simulate the fund holdings, with August data being the actual semi-annual report holdings[12] 4. Split the fund holdings into large-cap and small-cap components and use weighted least squares to estimate the fund's allocation to large-cap and small-cap indices at each time point[12] 5. Monitor daily fund positions and analyze average style changes across dimensions such as large/small-cap allocation, market capitalization exposure, and industry allocation[12] - **Model Evaluation**: The model provides a detailed and dynamic monitoring of fund positions, enabling insights into style shifts and allocation trends[12] --- Backtesting Results of Models 1. Fund Position Estimation Model - **Stock Position Median**: - Ordinary equity funds: 88.30% - Partial equity hybrid funds: 85.28%[4][15] - **Large-Cap Allocation**: - Ordinary equity funds: 41.4% - Partial equity hybrid funds: 34.3%[14] - **Small-Cap Allocation**: - Ordinary equity funds: 46.9% - Partial equity hybrid funds: 50.9%[14] - **Weekly Changes in Large-Cap Allocation**: - Ordinary equity funds: -0.67% - Partial equity hybrid funds: -2.01%[15] - **Weekly Changes in Small-Cap Allocation**: - Ordinary equity funds: -0.48% - Partial equity hybrid funds: +0.21%[15] - **Percentile of Current Position Estimates (2016-Present)**: - Ordinary equity funds: 49.38% - Partial equity hybrid funds: 52.69%[15] --- Quantitative Factors and Construction Methods 1. Factor Name: Large-Cap and Small-Cap Allocation Factors - **Factor Construction Idea**: These factors aim to quantify the allocation of public funds to large-cap and small-cap stocks, reflecting their style preferences and market exposure[12] - **Factor Construction Process**: 1. Split the simulated fund holdings into large-cap and small-cap components[12] 2. Use the daily returns of the fund, large-cap index, and small-cap index to estimate the allocation weights through weighted least squares regression[12] 3. Calculate the allocation factors dynamically to monitor changes in fund style preferences over time[12] - **Factor Evaluation**: These factors effectively capture the dynamic allocation preferences of funds, providing valuable insights into their market positioning and style shifts[12] --- Backtesting Results of Factors 1. Large-Cap and Small-Cap Allocation Factors - **Large-Cap Allocation**: - Ordinary equity funds: 41.4% - Partial equity hybrid funds: 34.3%[14] - **Small-Cap Allocation**: - Ordinary equity funds: 46.9% - Partial equity hybrid funds: 50.9%[14] - **Weekly Changes in Large-Cap Allocation**: - Ordinary equity funds: -0.67% - Partial equity hybrid funds: -2.01%[15] - **Weekly Changes in Small-Cap Allocation**: - Ordinary equity funds: -0.48% - Partial equity hybrid funds: +0.21%[15]