- 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]

Quantitative Models and Construction Methods - **Model Name**: Fund Position Estimation Model **Model Construction Idea**: The model aims to estimate the complete stock holdings of public funds based on disclosed top 10 heavy holdings and industry allocation information, addressing the time lag in fund reports[2][8][9] **Model Construction Process**: 1. Use quarterly fund reports to obtain the top 10 heavy holdings and industry allocation data[9] 2. Combine this with the top 10 shareholders' information from listed companies[8] 3. Assume that non-heavy holdings remain unchanged in terms of stock types across two periods, with only proportional weight adjustments[10] 4. Scale the weights of non-heavy holdings from the previous period (T-1) to simulate the current period (T) non-heavy holdings[10] **Model Evaluation**: The model provides a practical approach to estimate fund positions with limited disclosed data, though it relies on assumptions about non-heavy holdings' stability[8][10] - **Model Name**: Fund Style Monitoring Model **Model Construction Idea**: This model monitors the daily style exposure of public funds by decomposing their stock holdings into large-cap and small-cap components[3][11] **Model Construction Process**: 1. Use simulated fund holdings to estimate stock positions[11] 2. Decompose stock holdings into large-cap and small-cap components[3] 3. Apply weighted least squares regression using fund daily returns and large-cap/small-cap index daily returns to estimate fund allocations to large-cap and small-cap portfolios[11] 4. Monitor fund positions daily and analyze style changes across dimensions such as size exposure and industry allocation[3][11] **Model Evaluation**: The model effectively captures dynamic changes in fund styles, providing insights into size and industry exposures[3][11] Model Backtesting Results - **Fund Position Estimation Model**: - Median stock position for equity funds: 87.39% as of 2025-05-30, up 0.10% from two weeks prior[4][16] - Median stock position for hybrid funds: 83.76% as of 2025-05-30, down 0.18% from two weeks prior[4][16] - Large-cap allocation changes: +2.48% for equity funds, +1.34% for hybrid funds[4][16] - Small-cap allocation changes: -2.37% for equity funds, -1.52% for hybrid funds[4][16] - **Fund Style Monitoring Model**: - Equity funds' large-cap allocation: 44.2%, small-cap allocation: 43.2% as of 2025-05-30[15] - Hybrid funds' large-cap allocation: 36.8%, small-cap allocation: 47.0% as of 2025-05-30[15] - Current position percentiles (2016 onwards): 34.43% for equity funds, 35.04% for hybrid funds[16] Quantitative Factors and Construction Methods - **Factor Name**: Size Allocation Factor **Factor Construction Idea**: This factor quantifies the allocation of fund holdings to large-cap and small-cap stocks[3][11] **Factor Construction Process**: 1. Decompose fund holdings into large-cap and small-cap components based on simulated positions[11] 2. Use weighted least squares regression to estimate allocation weights for large-cap and small-cap portfolios[11] **Factor Evaluation**: The factor provides a clear measure of size exposure, aiding in understanding fund style dynamics[3][11] - **Factor Name**: Industry Allocation Factor **Factor Construction Idea**: This factor measures the weight of fund holdings in different industries based on simulated positions[3][24] **Factor Construction Process**: 1. Classify stocks into industries using the CITIC Level-1 industry classification[24] 2. Calculate the weight of each industry in the fund's simulated holdings[24] **Factor Evaluation**: The factor effectively captures industry preferences and shifts in fund allocations[24] Factor Backtesting Results - **Size Allocation Factor**: - Equity funds: Large-cap 44.2%, Small-cap 43.2% as of 2025-05-30[15] - Hybrid funds: Large-cap 36.8%, Small-cap 47.0% as of 2025-05-30[15] - **Industry Allocation Factor**: - Top industries for equity funds: Electronics (14.32%), Medicine (10.99%), Electrical Equipment (9.29%), Machinery (6.51%), Food & Beverage (8.46%)[20] - Top industries for hybrid funds: Electronics (16.46%), Medicine (9.29%), Electrical Equipment (8.36%), Machinery (8.00%), Food & Beverage (6.10%)[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 ...

金融工程 | 金工定期报告 2025 年 05 月 18 日 作者 吴先兴 分析师 SAC 执业证书编号：S1110516120001 wuxianxing@tfzq.com 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：小市值、资产周转率因子表现较好 -20250516》 2025-05-17 2 《金融工程：金融工程-哪些行业进 入高估区域？——估值与基金重仓股配 置监控 2025-05-17》 2025-05-17 3 《金融工程：金融工程-基金持仓与 基准偏离视角下的行业潜在冲击研究》 2025-05-14 金融工程 证券研究报告 基金风格配置监控周报： 权益基金连续两周下调大盘股票仓位 公募基金风格监控 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 ...

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]

金融工程 | 金工定期报告 金融工程 证券研究报告 2025 年 05 月 05 日 基金风格配置监控周报： 上周偏股混合型基金显著下调小盘股票仓位 公募基金风格监控 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。假设基金非重仓股持仓在两期各行业下持股种类不变，仅持 股权重按比例变化，那么根据 T-1 期非重仓股持仓按比例放缩权重可得到 T 期非重仓股模拟持仓。 在每年 1、4、8、10 月末我们能得到公募基金模拟持仓（其中 8 月末为基 金半年报真实持仓），基于模拟持仓我们首先估计公募基金股票仓位，进而 刻画公募基金的风格表现。基于公募基金模拟持仓，本文将基金股票持仓 拆分成大、小盘两部分，利用基金日收益率以及基金大、小盘指数日收益 率，本文用加权最小二乘法估计 ...

Quantitative Models and Construction Methods Model Name: Fund Position Estimation Model - **Model Construction Idea**: The model aims to estimate the fund positions by simulating the complete stock holdings of public funds based on disclosed top 10 heavy stocks and industry allocation information[8][9][10]. - **Model Construction Process**: - **Step 1**: Obtain the top 10 heavy stocks from the quarterly fund report and the top 10 shareholders from the listed company quarterly report[8][9]. - **Step 2**: Use the industry allocation information from the fund quarterly report and the complete stock holdings from the latest semi-annual and annual reports to simulate the non-heavy stock holdings[10]. - **Step 3**: Assume the types of non-heavy stocks remain unchanged across periods, and adjust the weights proportionally based on the previous period's non-heavy stock holdings to simulate the current period's non-heavy stock holdings[10]. - **Step 4**: Combine the simulated non-heavy stock holdings with the disclosed heavy stock holdings to estimate the complete stock holdings of the fund[8][10]. - **Step 5**: Use weighted least squares to estimate the fund's allocation in large-cap and small-cap combinations based on the fund's daily returns and the daily returns of large-cap and small-cap indices[12]. - **Step 6**: Monitor the fund's positions daily and analyze the average style changes from three dimensions: large/small-cap allocation, market value exposure, and industry allocation[12]. - **Model Evaluation**: The model provides a detailed and timely estimation of fund positions, allowing for daily monitoring and analysis of fund style changes[12]. Model Backtesting Results - **Fund Position Estimation Model**: - **Ordinary Stock Fund**: Median position 89.38%, increased by 0.06% compared to last week[15]. - **Partial Equity Hybrid Fund**: Median position 87.57%, decreased by 0.29% compared to last week[15]. - **Large-cap Combination**: Ordinary stock fund position decreased by 0.86%, partial equity hybrid fund position decreased by 1.40%[15]. - **Small-cap Combination**: Ordinary stock fund position increased by 0.92%, partial equity hybrid fund position increased by 1.12%[15]. - **Position Percentile**: Ordinary stock fund at 68.67%, partial equity hybrid fund at 81.54% since 2016[15]. Quantitative Factors and Construction Methods Factor Name: Fund Style Monitoring Factor - **Factor Construction Idea**: The factor aims to monitor the style changes of public funds by estimating their positions in large-cap and small-cap combinations[12]. - **Factor Construction Process**: - **Step 1**: Obtain the simulated complete stock holdings of public funds based on the fund position estimation model[12]. - **Step 2**: Use weighted least squares to estimate the fund's allocation in large-cap and small-cap combinations based on the fund's daily returns and the daily returns of large-cap and small-cap indices[12]. - **Step 3**: Monitor the fund's positions daily and analyze the average style changes from three dimensions: large/small-cap allocation, market value exposure, and industry allocation[12]. - **Factor Evaluation**: The factor provides a comprehensive and timely monitoring of fund style changes, allowing for detailed analysis of fund behavior[12]. Factor Backtesting Results - **Fund Style Monitoring Factor**: - **Ordinary Stock Fund**: Stock position 89.4%, small-cap position 48.0%, large-cap position 41.4%[14]. - **Partial Equity Hybrid Fund**: Stock position 87.6%, small-cap position 53.4%, large-cap position 34.2%[14].