Core Viewpoint - The article emphasizes the importance of providing low-volatility absolute return products to meet the changing needs of clients in a low-interest-rate environment, highlighting the investment philosophy of Shao Yunqi from Huatai-PineBridge Fund Management [3][10]. Group 1: Investment Strategy - Shao Yunqi combines macro strategy insights with product thinking, focusing on long-term macro trends and user demand [3][9]. - The investment approach includes expressing macro views through underweighting certain industries while maintaining a balanced industry allocation to reduce equity volatility [5][18]. - Emphasis is placed on safety margins in stock selection, prioritizing low volatility dividend stocks to optimize the portfolio's Sharpe ratio [5][20]. Group 2: Product Design and Client Needs - The goal is to design investment tools that clients can hold long-term, providing better returns than bank deposits while managing volatility [8][10]. - The demand for stable, low-volatility products is increasing as clients seek alternatives to low-risk bank wealth management products [10][30]. - The investment philosophy is centered around absolute returns rather than relative rankings, focusing on providing a better holding experience for clients [6][31]. Group 3: Market Outlook - The outlook for the market is optimistic, with expectations that money will flow from low-risk bank products to equity and bond combinations that offer better returns with manageable volatility [29][30]. - The article suggests that the liquidity easing trend will continue to support valuation increases, particularly in equity assets [30].

Core Viewpoint - The A-share market is experiencing fluctuations, with the Shanghai Composite Index closing in the green and reaching a new high for the year, driven by sectors such as semiconductors, precious metals, and banking [2][4]. Group 1: Market Performance - The A-share market's trading volume increased to 1.83 trillion yuan, with significant gains in the semiconductor, precious metals, and banking sectors, while traditional Chinese medicine and photovoltaic sectors saw corrections [4]. - Agricultural Bank of China (ABC) achieved a historic market capitalization of 2.11 trillion yuan, surpassing Industrial and Commercial Bank of China (ICBC) at 2.09 trillion yuan, marking ABC's first position as the largest market cap in A-shares [5][6]. Group 2: Banking Sector Analysis - The banking sector's total market capitalization in A-shares has surpassed 10 trillion yuan for the first time in the first half of the year, with ABC's rise reflecting a market reassessment of bank stocks characterized by low valuations and high dividends [6][10]. - ABC's net profit growth in Q1 2025 was 2.2% year-on-year and 6.23% quarter-on-quarter, contrasting with ICBC's decline of 3.99% year-on-year and 13.1% quarter-on-quarter, indicating ABC's stronger earnings resilience [7]. - Analysts predict a positive outlook for the banking sector, with several banks reporting net profit growth in their mid-year forecasts, suggesting an overall improvement in industry performance [9]. Group 3: Investment Opportunities - The low valuation and high dividend characteristics of bank stocks are attracting stable income-seeking funds, such as insurance and pension funds, which are expected to drive further growth in ABC's market value [10][16]. - Recent reforms in public fund management are likely to lead to increased allocations towards the banking sector, which has been significantly underweighted in many portfolios [11]. - Insurance capital has been increasing its holdings in bank stocks, with notable cases of shareholding increases in various banks, indicating a trend of growing institutional interest [15]. Group 4: Fund Holdings and Performance - As of Q2 2025, 353 public funds from 93 fund companies held shares in ABC, with a total market value of approximately 6.097 billion yuan [17]. - The top fund holding ABC is Huatai-PB Value Selection, with a holding value of 505 million yuan, emphasizing the preference for dividend-paying assets in the current market [18]. Group 5: Long-term Investment Strategy - The current market environment favors dividend-style investments, with the banking sector's dividend yield at approximately 5.13%, significantly higher than long-term bond yields [20]. - A diversified investment approach is recommended for the banking sector, combining it with other sectors to mitigate risks, while regular investment strategies can help manage market volatility [26][27].

Core Insights - The AI Fund Huatai-PineBridge Dividend Smart Selection Mixed Fund A (021515) reported a profit of 675,500 yuan for Q2 2025, with a weighted average profit per fund share of 0.0654 yuan [3] - The fund's net asset value (NAV) growth rate for the reporting period was 6.4%, and as of the end of Q2, the fund size was 11.4554 million yuan [3] - The fund manager indicated a high position operation throughout the reporting period, with a focus on high-dividend Hong Kong stocks and low-volatility sectors like banking and transportation [3] Fund Performance - As of July 18, the fund's three-month cumulative NAV growth rate was 10.38%, ranking 325 out of 615 comparable funds [4] - The six-month cumulative NAV growth rate was 12.76%, ranking 235 out of 615 comparable funds [4] - The fund's Sharpe ratio since inception was 0.1788 as of June 27 [8] Risk Metrics - The maximum drawdown since inception was 8.18%, with the largest quarterly drawdown occurring in Q2 2025 at 7.8% [9] - The average stock position since inception was 81.35%, compared to the peer average of 83.26%, with a peak stock position of 93.31% at the end of H1 2025 [12] Portfolio Composition - As of the end of Q2 2025, the fund's top holdings included Agricultural Bank of China, China Merchants Bank, China Construction Bank, Bank of China, Gree Electric Appliances, Industrial and Commercial Bank of China, China Mobile, Anhui Wanan Highway, Chongqing Rural Commercial Bank, and Citic Bank [16]

Investment Rating - The report maintains an "Overweight" rating for the financial products sector [1]. Core Viewpoints - The market is expected to experience a "volatile upward" trend, with a focus on investment timing [5][18]. - The macro model for the Wande All A Index turned positive on June 24, indicating a potential turning point for upward movement, although fluctuations were noted later in the week [18]. - The risk level for the Wande All A Index is currently at 82.99, suggesting limited upward space despite a favorable trend [18]. Summary by Sections A-share Market Overview (June 23-27, 2025) - Major broad-based indices showed varied performance, with the top three being Wande Micro-Pan Daily Equal Weight Index (6.94%), North Certificate 50 (6.84%), and ChiNext Index (5.69%) [10]. - The top three style indices were Growth (CITIC) (5.21%), Giant Small Cap (4.25%), and Small Cap Growth (4.13%) [12]. - The top three Shenwan first-level industry indices were Computer (7.70%), National Defense and Military Industry (6.90%), and Non-bank Financials (6.66%) [15]. A-share Market Outlook (June 30 - July 4, 2025) - The report anticipates a volatile upward market, with a recommendation for balanced ETF allocation [5][18]. - The growth style is favored, particularly in sectors like communication, computer, and electronics, with communication showing the highest trend risk [18]. - The report suggests that the banking sector may rebound after the end of June, influenced by mid-year reporting [20]. Fund Allocation Recommendations - The report advises a balanced ETF allocation strategy, considering the current market conditions and expected volatility [5][18].

Group 1 - The core viewpoint of the articles highlights the upcoming dividend distributions from major ETFs, indicating a significant cash flow for investors in the coming months [1][2][3] - The Red Chip ETF (510720) announced a dividend of 0.35% on June 10, with the record date on June 12 and payment date on June 18 [1] - The Cash Flow ETF (159399) declared a dividend of 0.20% on June 11, with the record date on June 13 and payment date on June 18 [1] Group 2 - A total of 5,411 A-share companies are expected to disclose their annual reports for 2024, with approximately 3,750 companies planning cash dividends, representing about 70% of the total [3] - The total annual dividend amount is projected to reach 2.39 trillion yuan [3] Group 3 - In a low-interest-rate environment, the value of high-dividend asset allocation is becoming more prominent, with the dividend yield of the Red Chip Index nearing 7%, significantly higher than current bank deposit rates [5] - Various indices have reported dividend yields, with the Shanghai State-Owned Enterprises Dividend Index at 6.74% and the CSI Dividend Index at 6.34% [6] Group 4 - During market fluctuations, dividend strategies tend to outperform, providing a buffer against market downturns [8] - The FTSE Cash Flow Index has shown strong long-term performance, with an annualized return exceeding 18% since its base date, significantly outperforming the CSI Dividend Index and the CSI 300 Index [11] Group 5 - Recent policies encourage dividends, with new regulations aimed at enhancing cash dividend supervision for listed companies, promoting multiple distributions within a year starting January 1, 2025 [14] - The combination of large-cap stocks, state-owned enterprises, and ample cash flow is expected to become a key investment theme in the future [14]

Quantitative Models and Construction Methods 1. Model Name: Dividend Timing Model - **Model Construction Idea**: This model uses macroeconomic indicators such as the 10-year US Treasury yield, domestic M2 growth, and the M1-M2 scissors difference to predict the relative excess return of the CSI Dividend Index compared to the Wind All A Index[8][12] - **Model Construction Process**: - The model incorporates three key indicators: 1. **Global Liquidity**: 10-year US Treasury yield 2. **Internal Liquidity**: Domestic M2 year-on-year growth 3. **Domestic Economic Expectations**: Domestic M1-M2 year-on-year scissors difference - Historical data from 2010 onward is used to calculate the annualized excess return of the timing strategy, which is 8.14%[8] - **Model Evaluation**: The model demonstrates strong predictive power for excess returns, but its performance in 2025 YTD shows a negative excess return of -5.36%, indicating potential short-term challenges[8] 2. Model Name: Regression-Based Valuation Model - **Model Construction Idea**: This model uses the CSI Dividend Index's absolute and relative PETTM valuation levels to predict future absolute and excess returns[19][21] - **Model Construction Process**: - **Absolute Valuation**: - The absolute PETTM valuation of the CSI Dividend Index is calculated using a weighted factor adjustment to align with its dividend yield characteristics - Historical data shows a correlation coefficient of -29.66% between the absolute PETTM percentile and future absolute returns, with a regression T-statistic of -15.61[19] - Regression formula: $ y = -0.281x + 0.2635 $ - $y$: Future absolute return - $x$: Absolute PETTM percentile[23] - **Relative Valuation**: - The relative PETTM is calculated as the ratio of the CSI Dividend Index's PETTM to the Wind All A Index's PETTM - Historical data shows a correlation coefficient of -34.10% between the relative PETTM percentile and future excess returns, with a regression T-statistic of -18.23[21] - Regression formula: $ y = -0.1233x + 0.0984 $ - $y$: Future excess return - $x$: Relative PETTM percentile[30] - **Model Evaluation**: The model effectively identifies valuation extremes, with higher PETTM levels indicating greater downside risk. However, the current valuation levels suggest limited upside potential[19][22] 3. Model Name: Price-Volume Regression Model - **Model Construction Idea**: This model uses price and volume metrics, such as the weight of stocks above the 120-day moving average and trading volume percentiles, to predict future returns[25][31] - **Model Construction Process**: - **Price Dimension**: - The weight of CSI Dividend Index constituents above the 120-day moving average is calculated - Historical data shows a correlation coefficient of -43.92% between this weight and future absolute returns, with a regression T-statistic of -20.70[25] - Regression formula: $ y = -0.2344x + 0.2115 $ - $y$: Future absolute return - $x$: Weight above the 120-day moving average[27] - **Volume Dimension**: - Absolute trading volume percentiles are calculated for the CSI Dividend Index - Historical data shows a correlation coefficient of -39.91% between trading volume percentiles and future absolute returns, with a regression T-statistic of -21.87[31] - Regression formula: $ y = -0.3821x + 0.3434 $ - $y$: Future absolute return - $x$: Trading volume percentile[31] - **Model Evaluation**: The model highlights the importance of price and volume extremes in predicting returns. Current metrics suggest moderate upside potential[25][31] 4. Model Name: Dividend 50 Optimized Portfolio - **Model Construction Idea**: This portfolio combines high dividend yield stocks with a linear multi-factor model to enhance capital gains while maintaining a stable dividend style exposure[45] - **Model Construction Process**: - High dividend yield stocks are selected as the base - A linear multi-factor model is applied to optimize capital gains - Barra style factor constraints are used to ensure consistent dividend style exposure - Timing adjustments are made based on the three-dimensional dividend timing model to further enhance returns[45] - **Model Evaluation**: The portfolio demonstrates strong performance, with significant excess returns over the CSI Dividend Index[45] --- Model Backtest Results 1. Dividend Timing Model - Annualized excess return since 2010: 8.14%[8] - 2025 YTD excess return: -5.36%[8] 2. Regression-Based Valuation Model - **Absolute Valuation**: - Current absolute PETTM: 9.35x - 3-year percentile: 98.53% - Predicted future absolute return: -1.34%[19][22] - **Relative Valuation**: - Current relative PETTM: 0.49x - 3-year percentile: 72.36% - Predicted future excess return: 0.92%[22][30] 3. Price-Volume Regression Model - **Price Dimension**: - Weight above 120-day moving average: 57.03% - Predicted future absolute return: 7.78%[25][27] - **Volume Dimension**: - Absolute trading volume percentile: 47.40% - Predicted future absolute return: 16.23%[31] - Relative trading volume percentile: 7.21% - Predicted future excess return: 0.81%[32] 4. Dividend 50 Optimized Portfolio - **Performance Metrics**: - 1-year absolute return: 9.53% - 1-year excess return: 6.20% - 3-month absolute return: 6.04% - 3-month excess return: 2.91%[46]

Macro Perspective - Recent US Treasury yields are influenced by expectations of interest rate cuts by the Federal Reserve, with a 36.8% probability of a cut in July 2025[3] - Domestic M2 growth in April 2025 was 8.0%, up from 7.0% in the previous month, while the M1-M2 differential decreased to -6.5% from -5.4%[10] Valuation Metrics - The absolute PETTM for the CSI Dividend Index is at the 99.60th percentile over the past three years, indicating a high valuation level[17] - The relative PETTM is at the 77.30th percentile, suggesting a decrease from the previous month's 88.38th percentile[21] Price and Volume Analysis - 64.68% of the CSI Dividend Index component stocks are above the six-month moving average, an increase from 52.14% a month ago, indicating improved price momentum[23] - The absolute trading volume is at the 57.41st percentile over the past three years, down from 72.90% a month ago, suggesting reduced trading activity[30] Fund Flows - The CSI Dividend ETF experienced a net outflow of 28.24 billion yuan this week, with a total net outflow of 53.09 billion yuan over the past month[36] - The exposure of equity mutual funds to dividend strategies has decreased from 0.45 in Q4 2024 to 0.37 in Q1 2025, indicating a reduction in allocation to dividend stocks[36] Summary Insights - The macro model suggests that the dividend style may underperform compared to growth style in the near future due to high valuation levels and reduced trading volume[44] - Long-term outlook remains positive for growth style as liquidity conditions improve with potential monetary and fiscal policy measures[44]

Report Title - The report is titled "Redemption Style Investment Value Tracking (2025W17): The Exposure of Partial Equity Funds to the Redemption Style Declined Quarter-on-Quarter in 2025Q1, and ETF Funds Had Net Outflows for Two Consecutive Weeks" [1][3] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - Macroscopically, the 10-year US Treasury yield has fallen from its high, China's M2 year-on-year growth rate remained flat in March 2025, and the M1 - M2 spread reached a new high since September 2024. The macro model suggests that the redemption style may underperform the growth style in the future. If large - scale monetary and fiscal policies are implemented, the M2 and M1 - M2 spread are expected to improve further. In the medium term, the pro - cyclical redemption sector may regain its allocation value in terms of absolute and excess returns. In the long term, the mean reversion of the growth style is still favored as the Fed cuts interest rates and domestic liquidity gradually eases [4][47] - In terms of valuation, the absolute and relative PEs are high. The absolute trading volume congestion has rebounded recently, and the relative trading volume congestion has also rebounded after reaching a historical low. The price - volume congestion has returned to an appropriate range [4][47] - In terms of funds, the exposure of active partial equity funds to the redemption style decreased in 2025Q1 compared to 2024Q4, and the net inflow of redemption ETF funds was - 1.206 billion yuan this week [4][47] Summary by Directory 1. Macro: M1 - M2 Year - on - Year Spread Maintains an Uptrend, Indicating Improved Economic Expectations - Market performance: The Wande All - A Index rose 1.15%, and the CSI Redemption Total Return Index rose 0.21%, with an excess return of - 0.94% relative to the Wande All - A Index [8] - US Treasury yield: Affected by the Fed's interest - rate cut expectations, the probability of an interest - rate cut in June 2025 is 61.5%, and the probability of another cut in July is 77.9%. The 60 - day moving average of the US Treasury yield crossed above the 250 - day moving average, giving a bullish signal for redemptions in the US Treasury model [8] - Domestic economic data: In March 2025, China's M2 year - on - year growth was 7.0% (unchanged from the previous value), and the M1 - M2 year - on - year spread was - 5.4% (compared to - 6.9% previously). Since August 2024, M2 year - on - year growth has been rising, and since September 2024, the M1 - M2 spread has been rising. Currently, the 3 - month moving averages of both have crossed above the 12 - month moving averages, and the long - term upward trend may be initially confirmed. Both the M2 year - on - year and M1 - M2 spread dimensions are bearish on redemption excess returns [4][12] 2. Valuation: Absolute PE at 97.46% in the Past Three Years, Relative PE at 81.31% - Absolute PETTM: As of April 25, 2025, the current absolute PETTM of the CSI Redemption is 9.03 times, and the previous month's was 8.99 times. The absolute PETTM in the past three years is at the 97.46% percentile (97.60% a month ago), and at the 79.66% percentile in the past five years (78.78% a month ago). The regression model estimates the absolute return for the next year to be - 0.88% [18] - Relative PETTM: As of April 25, 2025, the current relative PETTM of the CSI Redemption is 0.50 times, and the previous month's was 0.48 times. The relative PETTM in the past three years is at the 81.31% percentile (74.90% a month ago), and at the 85.83% percentile in the past five years (78.14% a month ago). The regression model estimates the excess return for the next year to be 0.21% [22] 3. Price - Volume: Redemption Price - Volume Congestion is in an Appropriate Range - Price dimension: As of April 25, 2025, 58.28% of the weights of CSI Redemption constituent stocks are above the half - year moving average (64.55% a month ago). The regression model estimates the absolute return for the next year to be 7.45% [24] - Trading volume congestion: The absolute trading volume of the CSI Redemption is at the 65.15% percentile in the past three years (81.31% a month ago). The regression model estimates the absolute return for the next year to be 9.37%. The relative trading volume is at the 16.15% percentile in the past three years (5.21% a month ago), and the regression model estimates the excess return for the next month to be 0.68% [30][34] 4. Funds: The Exposure of Partial Equity Public Funds to the Redemption Style Declined Quarter - on - Quarter in 2025Q1 - Public fund exposure: The exposure of partial equity public funds to the redemption style turned positive in Q2 2023, with an exposure of 0.45 in Q4 2024 and 0.37 in Q1 2025, still maintaining a positive allocation but lower than the previous quarter [39] - ETF fund flow: This week, the net inflow of domestic redemption - related ETFs was - 1.206 billion yuan, and the total net inflow in the past month was 3.073 billion yuan [40] 5. Summary: The Exposure of Partial Equity Funds to the Redemption Style Declined Quarter - on - Quarter in 2025Q1, and ETF Funds Had Net Outflows for Two Consecutive Weeks - Comprehensive view: Considering all dimensions, in the medium term, the pro - cyclical redemption sector may regain its allocation value. In the long term, the growth style's mean reversion is favored [4][47] - Redemption 50 Preferred Portfolio: The portfolio had an absolute return of 8.08% and an excess return of 4.46% in the past year, an absolute return of 1.21% and an excess return of - 0.01% in the past three months [4][49]

Macro Perspective - Recent US Treasury yields have declined due to expectations of interest rate cuts by the Federal Reserve, with a 68.7% probability of a cut in June 2025 and 67.3% in July 2025[4] - Domestic M2 growth year-on-year was 7.0% in February 2025, unchanged from the previous value, while the M1-M2 differential was -6.9%, slightly down from -6.6%[4] Valuation Metrics - The absolute PETTM for the CSI Dividend Index is at the 90.25th percentile over the past three years, down from 95.59% a month ago, indicating a high absolute valuation[4] - The relative PETTM is at the 79.71st percentile, up from 58.88% a month ago, suggesting a moderately high relative valuation[4] Price and Volume Analysis - 46.48% of the CSI Dividend Index component stocks are above the six-month moving average, down from 55.61% a month ago, indicating a decrease in price congestion[4] - The absolute trading volume is at the 78.10th percentile over the past three years, up from 74.10% a month ago, suggesting a recovery in trading activity[4] Fund Flows - The net inflow into dividend ETFs this week was 34.90 billion CNY, with a total net inflow of 41.03 billion CNY over the past month, indicating strong investor interest in dividend strategies[4] - The exposure of equity mutual funds to dividend strategies has increased to 0.45 in Q4 2024, the highest level since 2019[4] Summary and Outlook - The macro model suggests that the dividend style may underperform relative to growth styles in the near term, but potential improvements in M2 and M1-M2 differential could enhance the outlook[4] - The report indicates a potential for absolute and excess returns in the dividend sector as the technology sector begins to correct and policies are gradually implemented[4]