【导读】同泰基金披露全市场首批权益基金二季报，基金经理坚定看好新质生产力方向 中国基金报记者 张燕北 公募基金2025年二季报披露拉开帷幕，全市场首批权益基金二季报新鲜出炉。 7月9日，同泰基金旗下三只权益基金率先披露二季报。 从基金重仓股来看，重点聚焦专精特新、机器人和金融科技等新质生产力相关领域。 基金经理积极调仓换股 最早披露二季报的三只权益基金分别是 同泰产业升级混合、同泰金融精选股票、同泰远见灵 活配置混合。 从规模变化看，由王秀管理的同泰产业升级混合、同泰金融精选股票两只基金份额和资产净 值规模环比均出现增长。其中，同泰产业升级混合的规模由一季度末的不足1万元增长至1.45 亿元；同泰金融精选股票规模增长约600万元至4993.4万元。 二季度期间，这三只主动权益基金积极调仓换股。同泰产业升级混合二季度股票资产占基金 资产的90.16%，较一季度末大幅提高。前十大重仓股大换血，由银行股转向机器人方向。二 季度末该基金前十大重仓股中有6席为机器人产业链标的，且大部分为港股和北交所上市公 司。 王秀在二季报中解释道，3月份，机器人板块面临过热和调整压力，短期做了切换。二季度逐 步切换回机器人方向，因板 ...

导读：投资表面上是一场数学的游戏，但数学的尽头是哲学。许多伟大的数学家，有着深刻的哲学思考。在投资中，也有像索罗斯这样 的"哲学家"。他把其导师波普尔教授的思想作为理性生活的基础，最终创造了著名的反身性投资理论。 不出意外，在孔宪政的书单中，我们看到了大量哲学、甚至人类学和心理学类的书籍。包括波普尔的《猜想与反驳》、《客观知识》， 让-保罗·萨特的《存在与虚无》，詹姆斯·弗雷泽的《金枝》，荣格的《原型与集体无意识》等。作为一个读书爱好者，我们居然一本书 都没有看过。也从一个侧面体现了孔宪政的思考深度。 以下，我们先分享一些来自孔宪政的投资"金句"： 诺安基金多资产投资部总经理孔宪政，也是一名具有深度哲学思维的基金经理。他深受波普尔的哲学思维影响，认为量化投资是在不确 定的世界中寻找规律，并且利用这些规律进行规则化的投资。量化投资领域的核心，是建立科学的思维方式，对任何问题都带有客观的 态度，而不要被心中的"思想钢印"蒙蔽双眼。 孔宪政性格中的客观性，成为了他在量化投资领域巨大的竞争优势，使得他的模型建立在科学性的框架之上，不仅能保持持续的迭代， 还能规避人脑线性化思维带来的盲点。 孔宪政很早就实现了量化模型从 ...

2025 年 07 月 02 日 工银主动量化：前沿视角+多元覆 盖，积极主动把握确定性投资机会 ——基金经理研究系列报告之七十一 证 相关研究 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 权 益 量 化 研 究 请务必仔细阅读正文之后的各项信息披露与声明 股 票 基 金 券 研 究 报 告 - ⚫ 工银瑞信基金指数及量化投资部人员充足，研究方向多样：目前团队共有 15 位投研人员， 团队由焦文龙先生牵头管理，15 人中包含 8 名投资人员以及 7 名研究人员。团队人员分工 明确，投研人员各有明确负责的产品或研究领域。 ⚫ 团队投资理念上，工银量化则以"ARC"投资导航系统为核心：A 即为 Active（积极主动）， R 即为 Reversion（均值回归），C ...

Core Insights - The report introduces a quarterly rebalancing industry rotation strategy based on traditional quantitative multi-factor scoring, focusing on "valuation," "quality," "liquidity," and "momentum" [1][11] - The composite strategy achieved an annualized return of 19.64% during the backtesting period (April 1, 2014 - June 6, 2025), significantly outperforming the industry equal-weight benchmark which returned 7.55%, resulting in an annualized excess return of 12.09% [1][68] - The strategy prioritizes low valuation, low crowding, improving economic conditions, upward price momentum over the past year, and industries that have been at low price levels for the past three years [1][11] Industry Factor Backtesting Framework - The backtesting period spans from January 2010 to September 2024, with a quarterly rebalancing approach using data from the last trading day of each quarter [12] - The strategy excludes industries with a weight of less than 2% in the CSI 800 index for risk control, retaining approximately 15-16 major industries for rotation calculations [12][3] Industry Rotation Strategy Overview Valuation Factors - Valuation factors include PE_TTM, PB_LF, PCF_TTM, PEG, and dividend yield, evaluated through various methods such as historical percentiles and marginal changes [15] - Notable factors include: - Dividend yield ranking over three years (4.0% annualized excess for TOP-5) [16] - PE_TTM marginal change over two months (5.8% annualized excess for TOP-5) [16] Quality Factors - Quality factors are based on ROE and ROA, focusing on profitability and financial stability [19] - Key factors include: - ROA_TTM marginal change over one quarter (4.3% annualized excess for TOP-5) [20] - ROE_FY2 (4.7% annualized excess for TOP-5) [20] Liquidity Factors - Liquidity factors are derived from turnover rates of freely circulating shares, assessed through various time frames [21] - Effective factors include: - 21-day average turnover rate (4.3% annualized excess for TOP-5) [22] - Margin of turnover rates over two months (4.6% annualized excess for TOP-5) [22] Momentum Factors - Momentum factors are calculated based on recent returns over different periods, showing varying characteristics [24] - Significant factors include: - One-month momentum (7.7% annualized excess for TOP-5) [26] - Three-month momentum (1.9% annualized excess for TOP-5) [26] Factor Combination - The report explores both z-score and rank equal-weight combinations of selected factors to enhance model performance [27] - The top-performing combinations include: - z-score combination with PE_TTM marginal change, ROE marginal change, and one-year momentum [32] - rank combination with PE_TTM three-year ranking, ROE marginal change, and 21-day momentum [37] Recommended Factors - The report recommends specific factors for the composite strategy: - Momentum: 252_momentum (one-year) and 756_momentum (three-year) [68] - Liquidity: TURNOVER_FREE_m (21-day average) and TURNOVER_FREE_Q_margin (quarterly margin) [68] - Valuation: 股息率_3Y_rank (three-year dividend yield ranking) and PB_LF_d2m (two-month marginal change) [68] - Quality: ROE_TTM_d1q (one-quarter marginal change) and ROE_FY2 (next year's expected ROE) [68]