Core Viewpoint - The report provides a comprehensive overview of the performance and management of the招商智星稳健配置混合型基金中基金 (FOF-LOF) for the first half of 2025, highlighting its investment strategies, financial metrics, and market conditions affecting its performance. Fund Overview - Fund Name: 招商智星稳健配置混合型基金中基金 (FOF-LOF) - Fund Manager: 招商基金管理有限公司 - Fund Custodian: 中国银行股份有限公司 - Fund Type: Open-ended mixed fund of funds (FOF-LOF) - Fund Contract Effective Date: June 8, 2022 - Investment Objective: To achieve long-term stable appreciation of fund assets through asset allocation and fund selection while controlling risk [2][3]. Financial Performance - Total realized income for the period: 149,466.59 RMB - Total profit for the period: 269,800.00 RMB - Weighted average net value profit rate: 0.55% - Net asset value at the end of the period: 41,738,549.13 RMB - Fund share net value growth rate: 0.57% - Cumulative net value growth rate: 0.80% [3][4]. Market Conditions - The equity market experienced significant volatility in the first half of 2025, with the Hang Seng Index rising by 20% and the Hang Seng Technology Index increasing by 18.68% [7][10]. - The bond market showed mixed trends, with a notable decline in yields for 10Y and 30Y government bonds by over 25 basis points during the second quarter [9][10]. Investment Strategy - The fund focuses on dynamic asset allocation based on economic cycles and policy changes, aiming to optimize the investment portfolio while maintaining a stable overall risk level [2][3]. - The fund's investment strategies include stock, bond, convertible bond, and asset-backed securities strategies, among others [2][3]. Fund Manager's Report - The fund manager emphasizes adherence to legal regulations and a commitment to managing fund assets with diligence and integrity, ensuring compliance with investment strategies and risk management protocols [4][5][6]. - The fund manager has established a robust research and decision-making process to ensure fair investment opportunities across all portfolios [5][6]. Future Outlook - The fund aims to continue its stable and low-volatility investment philosophy, striving to create sustainable long-term returns for investors [9][10]. - The focus will remain on identifying opportunities in both equity and bond markets while being mindful of external market pressures such as geopolitical risks and inflation [10].

Quantitative Models and Construction Methods 1. Model Name: Multi-Asset Allocation Model - **Model Construction Idea**: The model adopts a top-down allocation approach, strategically allocating 80% to stable assets and 20% to risk assets. It incorporates low-correlation assets such as equity funds, US equity QDII, USD bond QDII, low-volatility dividend ETFs, and gold to diversify risks[9][16]. - **Model Construction Process**: 1. The model uses a strategic allocation ratio of 80% stable assets and 20% risk assets, with a tactical adjustment range of ±5%[16]. 2. Risk assets are allocated among equity funds, US equities, low-volatility dividend ETFs, and gold in a ratio of 6:6:6:2[16][18]. 3. Stable assets include medium-to-long-term pure bond funds, passive bond index funds, bond QDII funds, and money market funds. Adjustments are made based on credit spreads, term spreads, and the relative attractiveness of US Treasuries[16]. 4. Historical correlations among asset classes were calculated using representative indices such as the Wind Equity Hybrid Fund Index, Wind Medium-to-Long-Term Pure Bond Fund Index, S&P 500 ETF, and SGE Gold 9999[19]. 5. A backtest was conducted using the allocation ratio of 80:6:6:6:2 for stable and risk assets, respectively[19][21]. - **Model Evaluation**: The model demonstrates strong diversification, reducing the volatility of single risk asset exposure and maintaining stable net value growth[20]. --- Model Backtest Results 1. Multi-Asset Allocation Model - **Annualized Return**: 5.68%[21] - **Annualized Volatility**: 3.51%[21] - **Maximum Drawdown**: 10.30%[21] - **Annualized Return-to-Volatility Ratio**: 1.62[21] - **Annualized Calmar Ratio**: 0.55[21] --- Quantitative Factors and Construction Methods 1. Factor Name: Fund Selection Alpha Factor - **Factor Construction Idea**: The factor combines quantitative and qualitative methods to select funds, focusing on alpha generation and risk control. It emphasizes historical backtesting of selection indicators and fund manager due diligence[9][23]. - **Factor Construction Process**: 1. Funds are categorized by risk level, investment region, and strategy (e.g., equity, balanced, fixed income)[24][25]. 2. Quantitative screening is performed using metrics such as stock-picking ability and drawdown control[28]. 3. Qualitative due diligence includes analyzing fund managers' tenure, experience, and adaptability to market changes[28]. 4. Internal fund products are prioritized to reduce fees and enhance alpha generation[31]. 5. Excess return contributions are calculated using the formula: $$E R_{p}=w_{p}\sum_{i=1}^{n}w_{i}(R_{i}-R_{b})$$ where \(w_{p}\) is the proportion of the category in the portfolio, \(w_{i}\) is the normalized weight of the fund, \(R_{i}\) is the fund return, and \(R_{b}\) is the benchmark return[53][54]. - **Factor Evaluation**: The factor demonstrates strong fund selection capabilities, particularly in mid-level configurations, with cumulative excess returns of 1% in passive index funds and positive contributions across other fund types[56]. --- Factor Backtest Results 1. Fund Selection Alpha Factor - **Passive Index Fund Excess Return**: 1.02% (cumulative)[57] - **Pure Bond Fund Excess Return**: 0.07% (cumulative)[57] - **Fixed Income Plus Fund Excess Return**: 0.33% (cumulative)[57] - **Active Equity Fund Excess Return**: 0.43% (cumulative)[57] - **Total Excess Return**: 1.85% (cumulative)[57]

Core Viewpoint - The FOF funds managed by companies like Changjiang Asset Management, ICBC Credit Suisse, Guotai Fund, and Huashang Fund have demonstrated strong performance in the market, leading the industry in returns [1][12]. Group 1: Performance of FOF Funds - As of July 28, the top-performing FOF funds over the past year include Changjiang Securities with a return of 29.09%, Guotai Fund at 25.29%, and ICBC Credit Suisse at 23.32% [1][13]. - The top two FOF funds are ICBC Rui Zhi Jin Qu Stock (FOF-LOF) A with a return of 49.17% and Guotai You Xuan Ling Hang One-Year Holding Period Mixed (FOF) at 49.16% [2][3]. Group 2: Investment Strategies - The investment strategy of ICBC Rui Zhi Jin Qu Stock (FOF-LOF) A includes a concentrated portfolio with the top ten holdings accounting for 67.20%, indicating a focused approach [5][7]. - The fund employs a barbell strategy, balancing aggressive investments in high-growth sectors like innovative pharmaceuticals with defensive positions in gold ETFs [7][10]. Group 3: Market Insights and Adjustments - The FOF funds have shown a keen ability to adapt to market changes, such as reducing exposure to US stocks while increasing holdings in Hong Kong and A-shares [8][11]. - The funds are focusing on sectors with high growth potential, including rare earths and innovative pharmaceuticals, which are expected to benefit from supply-side reforms and policy support [11][12]. Group 4: Future Outlook - The outlook for the FOF funds suggests a continued focus on sectors with strong fundamentals and potential for recovery, particularly in the context of policy shifts and market dynamics [12][16]. - The emphasis on dynamic asset allocation and ETF integration is expected to enhance the strategic value of FOF funds in capturing growth opportunities [12][17].