Group 1 - The report emphasizes a multi-strategy stock selection approach, highlighting the importance of value and quality styles in the current market environment [1][2] - In December 2025, the weight allocation for the quality stock selection strategy is the highest at approximately 38.84%, while the growth stock selection strategy has the lowest allocation at about 7.64% [2][19] - The multi-strategy stock selection strategy recorded an absolute return of -3.72% in November, with a relative excess return of -1.48% compared to the CSI All Share Index [2][27] Group 2 - The "High BETA" stock selection strategy has the highest weight allocation in large-cap value stocks at 50%, while the allocation for small-cap value stocks is the lowest at 14.17% [4][46] - In November, the "High BETA" strategy achieved an absolute return of -0.76% and a relative excess return of -1.56% compared to the CSI All Share Index [4][16] - The report indicates that the "High BETA" strategy's performance is closely monitored, with adjustments made based on market conditions [3][46] Group 3 - The "Dividend+" preferred stock strategy achieved an absolute return of 1.99% in November, with a relative excess return of 4.38% compared to the CSI All Share Index [5][18] - This strategy includes a total of 30 selected stocks, with an average market capitalization of 658.36 billion, primarily concentrated in the banking and light manufacturing sectors [5][18] - The report highlights the strong performance of the "Dividend+" strategy relative to its benchmarks, indicating its effectiveness in the current market [5][18] Group 4 - The moving average trend strategy recorded an absolute return of 1.81% in November, with a relative excess return of 4.19% compared to the CSI All Share Index [6][18] - Year-to-date, this strategy has achieved an absolute return of 22.14% and a relative excess return of 1.22% [6][18] - The strategy's holdings are primarily in the oil, petrochemical, and telecommunications sectors, indicating a focus on specific industries [6][18] Group 5 - The sentiment price-volume strategy's top 50 portfolio had an absolute return of -2.52% in November, with a relative excess return of -0.25% compared to the CSI All Share Index [6][16] - The top 100 portfolio recorded an absolute return of -4.41%, with a relative excess return of -2.18% [6][16] - This strategy's holdings are mainly in the electronics, machinery, and automotive sectors, reflecting its targeted investment approach [6][16] Group 6 - The Sci-Tech Innovation Board strategy achieved an absolute return of -0.75% in November, with a relative excess return of 5.86% compared to the CSI All Share Index [7][16] - Year-to-date, this strategy has recorded an impressive absolute return of 75.29% and a relative excess return of 30.62% [7][16] - The strategy's holdings are primarily concentrated in the electronics industry, showcasing its focus on high-growth sectors [7][16]

- The report includes six quantitative stock selection strategies: multi-strategy stock selection, extreme style high BETA stock selection, "dividend+" preferred stock strategy, moving average trend strategy, sentiment price-volume strategy, and STAR Market strategy[20][21][22] - **Multi-strategy stock selection**: This strategy combines four sub-strategies (value stocks, growth stocks, quality stock selection, and distressed stock clearing) using traditional risk parity and momentum-optimized risk parity to adjust weights. The weights are based on the past 12 months' risk characteristics and 80-day momentum rank sorting. In October 2025, the quality stock selection strategy had the highest weight at 35.71%, while the value stock strategy had the lowest at 15.61%[22][23][27] - **Extreme style high BETA stock selection**: This strategy divides non-ST stocks into four groups (large-cap growth, large-cap value, small-cap growth, small-cap value) based on market capitalization and growth-value criteria. It uses specific factors like low turnover, low volatility, and high dividend yield for large-cap value stocks, and profitability and expected net profit factors for large-cap growth stocks. For small-cap value stocks, it employs low volatility and reversal factors, while for small-cap growth stocks, it uses expected profit growth and turnover rate factors. In October 2025, the large-cap value strategy had the highest weight at 50%, while the small-cap growth strategy had the lowest at 17.29%[45][47][48] - **"Dividend+" preferred stock strategy**: This strategy enhances traditional dividend strategies by selecting stocks with high dividend yields from the CSI 800 and CSI 1000 indices. It incorporates factors like volatility, ROE, valuation, and profit growth. The October 2025 portfolio included 30 stocks, with an average market capitalization of 1320.14 billion RMB, concentrated in the banking sector (40%) and utilities (16.7%)[75][76][79] - **Moving average trend strategy**: This strategy uses the relative position of moving averages to represent trend and reversal states. It calculates the trend strength factor as "(20-day moving average - 240-day moving average) / 20-day moving average" and selects stocks from the CSI 800 index. The October 2025 portfolio included 33 stocks, with an average market capitalization of 1794.32 billion RMB, concentrated in the oil and petrochemical sector (29.23%) and communication (19.11%)[107][108][109] - **Sentiment price-volume strategy**: This strategy combines price-volume resonance factors with market sentiment scoring (LWMA240). It adjusts factor scoring based on sentiment scores and avoids excessive price-volume resonance. The October 2025 portfolio included 50 stocks, with an average market capitalization of 409.69 billion RMB, concentrated in electronics (20%), automotive (16%), and communication (12%)[131][136][137] - **STAR Market strategy**: This strategy focuses on the STAR Market, emphasizing factors like analyst expectations, cash flow, valuation, volatility, and trend breakthroughs. It excludes stocks with low expectations, high volatility, and high price-to-cash flow ratios. The October 2025 portfolio included 30 stocks, with an average market capitalization of 457.35 billion RMB, concentrated in electronics (76.12%)[156][159][163] - **Performance results**: - Multi-strategy stock selection: September 2025 absolute return -0.38%, relative return -2.95%; annualized excess return since 2017: 13.68%, IR: 1.55[30][41][44] - Extreme style high BETA stock selection: September 2025 absolute return -3.28%, relative return -5.77%; annualized excess return since 2011: 21.01%, IR: 2.27[62][68][74] - "Dividend+" preferred stock strategy: September 2025 absolute return 0.83%, relative return -1.77%; annualized excess return since 2011: 10.93%, IR: 1.09[85][97][102] - Moving average trend strategy: September 2025 absolute return 0.60%, relative return -1.99%; annualized excess return since 2016: 13.40%, IR: 0.93[116][123][129] - Sentiment price-volume strategy: September 2025 absolute return 1.54%, relative return -1.08%; annualized excess return since 2014: 17.94%, IR: 1.13[143][151][155] - STAR Market strategy: September 2025 absolute return 10.92%, relative return -0.5%; annualized excess return since 2020: 24.62%, IR: 1.28[163][170][175]

Market Overview - In July, the overall A-share market experienced an increase, with the CSI 300 index rising by 3.54%, the CSI 1000 by 4.80%, the CSI 500 by 5.26%, and the ChiNext by 8.14% [16][17] - The top three performing sectors in July were steel, pharmaceuticals, and telecommunications, while the banking sector saw a decline [16] Multi-Strategy Stock Selection - The multi-strategy stock selection strategy achieved an absolute return of 6.04% in July, with a relative excess return of 1.64% compared to the CSI All Share Index [30] - The strategy's weight allocation for August shows the highest allocation to growth stocks at approximately 31.03%, while the lowest allocation is to value stocks at about 15.62% [21][22] - The strategy includes four sub-strategies: value stock strategy, growth stock strategy, quality stock strategy, and liquidation stock strategy, which are adjusted based on risk parity and momentum optimization [21][30] Extreme Style High BETA Stock Selection - The extreme style high BETA stock selection strategy recorded an absolute return of 3.05% in July, with a relative excess return of -1.23% compared to the CSI All Share Index [5][19] - The weight allocation for August indicates the highest allocation to large-cap value stocks at approximately 66.86%, while the smallest allocation is to small-cap value stocks at about 33.14% [53][54] "Dividend +" Preferred Stock Strategy - The "Dividend +" preferred stock strategy achieved an absolute return of 3.70% in July, with a relative excess return of -0.60% compared to the CSI All Share Index [6][19] - The strategy's portfolio consists of 30 selected stocks, with an average market capitalization of 1,095.78 million, primarily concentrated in the power and public utilities, machinery, and transportation sectors [6] Moving Average Trend Strategy - The moving average trend strategy recorded an absolute return of 5.07% in July, with a relative excess return of 0.71% compared to the CSI All Share Index [7][19] - The strategy's portfolio includes 30 stocks, mainly distributed across the non-ferrous metals, telecommunications, and steel industries [7] Sentiment Price-Volume Strategy - The sentiment price-volume strategy's top 50 combination achieved an absolute return of 7.68% in July, with a relative excess return of 3.21% compared to the CSI All Share Index [8][19] - The strategy's portfolio consists of 50 selected stocks, primarily in the electronics, machinery, and automotive sectors [8] Sci-Tech Innovation Board Strategy - The Sci-Tech Innovation Board strategy achieved an absolute return of 14.11% in July, with a relative excess return of 9.27% compared to the ChiNext 50 Index [8][19] - The strategy's portfolio includes 30 selected stocks, with nearly 40% concentrated in the pharmaceutical industry [8]