- The report introduces a quantitative model named "250-Day New High Distance" to track market trends and identify leading stocks. The model calculates the distance between the latest closing price and the highest closing price over the past 250 trading days using the formula: $ 250\text{-Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ where $\text{Close}_{t}$ represents the latest closing price, and $\text{ts\_max(Close, 250)}$ is the maximum closing price in the past 250 trading days. If the latest closing price reaches a new high, the distance equals 0; otherwise, it indicates the percentage drop from the peak[10][11][12] - The report evaluates the model positively, citing its ability to capture momentum and trend-following strategies effectively. It references prior research, such as [George@2004] and insights from investment books like "Stock Market Wizard," which emphasize the importance of tracking stocks near their 52-week highs[10][18][21] - The report applies the model to major indices, showing their respective 250-Day New High Distances as of August 1, 2025: - Shanghai Composite Index: 1.54% - Shenzhen Component Index: 4.38% - CSI 300: 4.73% - CSI 500: 2.25% - CSI 1000: 1.53% - CSI 2000: 1.08% - ChiNext Index: 8.93% - STAR 50 Index: 7.99%[11][12][33] - The report identifies industries and concept indices close to their 250-Day New Highs, such as Media, Communication, Pharmaceuticals, Defense, and Steel. Concept indices like Wind Microcap Equal Weight, Electronic Equipment, CRO, and Innovative Drugs also show proximity to their 250-Day New Highs[12][14][33] - The report tracks stocks that have reached 250-Day New Highs in the past 20 trading days. A total of 1,239 stocks are identified, with the highest counts in industries like Pharmaceuticals (192 stocks), Machinery (169 stocks), and Basic Chemicals (132 stocks). The highest proportions are found in Banking (64.29%), Steel (56.60%), and Nonferrous Metals (41.94%)[19][20][34] - The report introduces a factor named "Stable New High Stocks," which selects stocks based on criteria such as analyst attention, relative price strength, price path smoothness, and sustained new highs. Specific metrics include: - Analyst attention: At least five buy or overweight ratings in the past three months - Relative price strength: Top 20% in 250-day returns - Price path smoothness: Evaluated using metrics like cumulative absolute daily returns over 120 days - Sustained new highs: Average 250-Day New High Distance over the past 120 days - Trend continuation: Average 250-Day New High Distance over the past five days[24][27][28] - The report lists 50 stocks selected as "Stable New High Stocks," with the highest counts in Manufacturing (15 stocks) and Technology (14 stocks). Examples include Shenghong Technology, Borui Pharmaceuticals, and Feilihua[28][32][34]

报 告 摘 要 乘势而起：市场新高趋势追踪 触及新高的个股、行业和板块可被视为市场的风向标。越来越多的研究表明动量、趋势跟踪策略的有效性。本报告旨在定期跟踪市场中创新高的个股及其 分布，以追踪市场趋势、把握市场热点。 截至2025年8月1日，上证指数、深证成指、沪深300、中证500、中证1000、中证2000、创业板指、科创50指数250日新高距离分别为1.54%、 4.38%、4.73%、2.25%、1.53%、1.08%、8.93%、7.99%。中信一级行业指数中传媒、通信、医药、国防军工、钢铁行业指数距离250日新高较近， 食品饮料、煤炭、房地产、家电、交通运输行业指数距离250日新高较远。概念指数中，万得微盘股日频等权、电子设备和仪器、制药、医疗服务精选、创 新药、光伏逆变器、CRO等概念指数距离250日新高较近。 见微知著：利用创新高个股进行市场监测 截至2025年8月1日，共1239只股票在过去20个交易日间创出250日新高。其中创新高个股数量最多的是医药、机械、基础化工行业，创新高个股数量占 比最高的是银行、钢铁、有色金属行业。按照板块分布来看，本周制造、周期板块创新高股票数量最多；按照指数分 ...

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of July 11, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.00%, Shenzhen Component Index 6.95%, CSI 300 5.67%, CSI 500 4.79%, CSI 1000 2.28%, CSI 2000 0.00%, ChiNext Index 13.46%, and STAR Market 11.75% [5][24] - The sectors closest to their 250-day new highs include Power and Utilities, Steel, Comprehensive Finance, Pharmaceuticals, and Non-ferrous Metals, while Food and Beverage, Coal, Consumer Services, Automotive, and Oil and Petrochemicals are further away [8][24] Group 2 - A total of 873 stocks reached a 250-day new high in the past 20 trading days, with the most significant numbers in Basic Chemicals, Machinery, and Pharmaceuticals [2][13] - The highest proportion of new high stocks is found in Banking, Comprehensive Finance, and National Defense and Military Industry, with respective proportions of 90.48%, 40.00%, and 33.61% [13] - The manufacturing and cyclical sectors had the most new high stocks this week, with 245 and 233 stocks respectively [15] Group 3 - The report identifies 38 stocks that are considered stable new highs, including Shenghong Technology, Beijing North, and Nanhua Futures, with the most in the Manufacturing and Technology sectors [3][21] - The Manufacturing sector had the highest number of new highs, particularly in the National Defense and Military Industry, while the Technology sector saw the most in the Electronics industry [21][25]

- The report tracks the market trend by monitoring stocks, industries, and sectors that have reached new highs, using a 250-day high distance metric[11][12][13] - The 250-day high distance is calculated as: $ 250 \text{ day high distance} = 1 - \frac{Closet}{ts\_max(Close, 250)} $ where Closet is the latest closing price and $ ts\_max(Close, 250) $ is the maximum closing price in the past 250 trading days[11] - As of June 20, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 3.72%, Shenzhen Component Index 12.96%, CSI 300 9.62%, CSI 500 10.92%, CSI 1000 9.26%, CSI 2000 7.07%, ChiNext Index 21.19%, and STAR 50 Index 14.99%[2][12][13] - The report identifies 816 stocks that reached a 250-day high in the past 20 trading days, with the highest numbers in the pharmaceutical, basic chemicals, and machinery industries[3][19][20] - The report also tracks "stable new high stocks" based on analyst attention, relative stock strength, trend continuity, price path stability, and new high sustainability, selecting 26 stocks such as Sijia Photon, Shenghong Technology, and Boryung Pharmaceutical[3][25][27] - The selected stable new high stocks are mainly from the financial and cyclical sectors, with the financial sector having the most new highs in the banking industry and the cyclical sector in the basic chemicals industry[3][28][29]

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of June 13, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 3.23%, Shenzhen Component Index 11.94%, CSI 300 9.21%, CSI 500 9.33%, CSI 1000 7.65%, CSI 2000 4.96%, ChiNext Index 19.86%, and STAR Market 13.66% [5][25] - The industry indices that are closest to their 250-day new highs include non-ferrous metals, banking, pharmaceuticals, agriculture, forestry, animal husbandry, fishery, and electric power and public utilities [8][25] Group 2 - A total of 838 stocks reached a 250-day new high in the past 20 trading days, with the most significant numbers in the pharmaceutical, basic chemicals, and machinery sectors [2][13] - The highest proportion of new high stocks is found in the banking, textile and apparel, and pharmaceutical industries, with respective proportions of 71.43%, 29.29%, and 24.95% [13][16] - The manufacturing and cyclical sectors had the most new high stocks this week, with 262 and 212 stocks respectively [16] Group 3 - The report identifies 42 stocks that have shown stable new highs, with the majority coming from the manufacturing and consumer sectors, each contributing 9 stocks [22][26] - The mechanical industry had the most new highs within the manufacturing sector, while the food and beverage industry led in the consumer sector [22][26] - The selection criteria for stable new high stocks include analyst attention, relative strength of stock prices, price path stability, and continuity of new highs [19][20]

Core Viewpoint - The article promotes an upcoming live debate event titled "Tortoise and Hare Debate" organized by Tian Tian Fund and Huitianfu Fund, focusing on different investment strategies: long-term holding versus momentum trading [1][2]. Summary by Sections Event Details - The event features two representatives from Tian Tian Fund and two opinion leaders, divided into two camps: the "Wise Tortoise" advocating for long-term investment and compounding, and the "Agile Hare" favoring short-term trading and momentum [1][3]. Program Highlights - The event includes various segments such as a guessing game about indices, a debate on whether investment should be fast or slow, AI asset diagnostics, and a discussion on the choice between AI advisory and professional advisory services [3]. Engagement and Promotion - The article encourages readers to reserve their spots for the live event scheduled for May 28 at 14:00, promising more surprises during the broadcast [2].

Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of May 23, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 4.05%, Shenzhen Component Index 11.85%, CSI 300 8.78%, CSI 500 10.70%, CSI 1000 9.41%, CSI 2000 7.40%, ChiNext Index 20.73%, and STAR Market 12.98% [5][18] Group 2: New High Stocks Overview - A total of 647 stocks reached a 250-day new high in the past 20 trading days, with the highest numbers in the basic chemicals, machinery, and pharmaceuticals sectors, totaling 93, 88, and 53 stocks respectively [11][19] - The highest proportion of new high stocks is found in the banking, textile and apparel, and transportation sectors, with respective proportions of 64.29%, 24.24%, and 23.58% [11][19] Group 3: Stable New High Stocks - The report identifies 41 stable new high stocks, with the manufacturing and consumer sectors contributing the most, each with 11 stocks selected [16][19] - The automotive industry leads in the manufacturing sector for new highs, while the food and beverage industry leads in the consumer sector [16][19] Group 4: Sector and Concept Indexes - Among the sector indices, banking, automotive, home appliances, electric power and utilities, and non-ferrous metals are closest to their 250-day new highs, with distances of 0.96%, 2.38%, 3.08%, 1.95%, and 4.71% respectively [7][18] - Concept indices such as automotive, banking selection, gold, innovative drugs, and banking are also near their 250-day new highs [8][18]

Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of May 16, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 3.50%, Shenzhen Component Index at 11.44%, CSI 300 at 8.62%, CSI 500 at 9.71%, CSI 1000 at 8.22%, CSI 2000 at 5.97%, ChiNext Index at 20.03%, and STAR Market 50 Index at 11.68% [5][24] Group 2: High-Performing Stocks - A total of 544 stocks reached a 250-day new high in the past 20 trading days, with the highest numbers in the basic chemical, machinery, and pharmaceutical sectors, totaling 81, 64, and 43 stocks respectively [2][13] - The highest proportion of new high stocks is found in the banking, transportation, and defense industries, with respective proportions of 64.29%, 20.33%, and 17.65% [13][26] Group 3: Sector Analysis - The manufacturing and cyclical sectors had the most stocks reaching new highs this week, with 174 and 157 stocks respectively, while the consumer, technology, pharmaceutical, and financial sectors had 68, 67, 43, and 32 stocks respectively [16] - The proportion of new high stocks in various indices includes: CSI 2000 at 10.05%, CSI 1000 at 7.80%, CSI 500 at 7.40%, CSI 300 at 10.33%, ChiNext Index at 5.00%, and STAR Market 50 Index at 6.00% [16][26] Group 4: Stable High-Performing Stocks - The report identifies 47 stable high-performing stocks, including Shuanglin Co., Wanchen Group, and Zhongchong Co., with the majority from the manufacturing and consumer sectors, totaling 17 and 11 stocks respectively [3][21] - The automotive industry leads in the manufacturing sector for new highs, while the agriculture, forestry, animal husbandry, and fishery industry leads in the consumer sector [21]

2025 年 05 月 09 日 重塑基金业绩衡量体系：另辟蹊径 探索定量选基新思路 ——基金投资策略研究系列报告之八 相关研究 《寻找"新"中之"锐"：新锐基金 经理定量业绩追踪体系——基金投 资策略研究系列报告之五》 2024/03/12 《因子选基第一步：三大维度判断选 基因子优势领域——基金投资策略 研究系列报告之三》 2023/08/11 证券分析师 奚佳诚 A0230523070004 xijc@swsresearch.com 蒋辛 A0230521080002 jiangxin@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 奚佳诚 (8621)23297818× xijc@swsresearch.com 本研究报告仅通过邮件提供给 中庚基金 使用。1 ⚫ 在金融行为学研究中，"动量"是一个重要的概念，其广泛应用在各类资产的投资策略 之中。主动基金所谓的"动量"的底层逻辑与其他资产存在区别。在主动基金研究的语 境之下，投资者配置过往业绩表现较好的基金产品，本质是对基金经理投资能力的认可， 而主动基金的动量效应，本质则是基金 ...

Core Viewpoint - The report emphasizes the importance of considering multiple trading factors in industry comparisons, as relying solely on a single factor may not yield long-term success [2][3]. Trading Factors Worth Noting - Stock prices do not always reflect fundamentals, making trading factors crucial to avoid the risk of "correct logic but poor timing" [3]. - Momentum is highlighted as a key factor, indicating potential industry benefits; industries with positive momentum are likely to perform better in the future [3]. - Turnover rate serves as a measure of how well stock prices reflect positive news; industries with low turnover rates tend to perform better than those with high turnover rates [3]. - Trading congestion is identified as a risk aversion indicator; higher congestion levels often correlate with poorer industry performance [4]. Industry Comparison Scoring Logic - A scoring system based on trading factors is proposed, focusing on industries with potential benefits that are not fully reflected in stock prices and are not overcrowded in trading [5]. - Historical data from February 2014 to January 2025 shows that industries with higher scores yield better performance, with annualized returns of 11.5% for the highest scoring group compared to 0.3% for the lowest [5]. Long/Short Strategy Performance - A long/short strategy, holding the highest scoring industries while shorting the lowest, achieved an annualized return of 10.1% and a Sharpe ratio of 0.75 from February 2014 to January 2025, indicating the effectiveness of the trading factor scoring system [7].