Core Viewpoint - The demand for low-volatility and stable investment products has reached unprecedented heights due to increased market volatility, leading to a significant interest in fixed income plus and low-risk FOF products [1][2]. Group 1: Market Demand and Product Development - Investors consistently seek products that can achieve stable wealth growth regardless of market conditions, which underpins the growth of fixed income plus funds and low-risk FOFs [2]. - A significant gap exists between the supply of absolute return products that strictly control drawdowns and the actual demand from risk-averse investors, prompting a focus on conservative FOFs [2][3]. - The challenge of managing a conservative FOF product is compounded by the manager's previous experience primarily in high-equity strategies, necessitating a clear product positioning focused on safeguarding investor trust [2][3]. Group 2: Investment Strategy and Risk Management - The investment strategy emphasizes risk control and volatility management to construct a low-volatility, steadily growing return curve, drawing on the manager's extensive experience in absolute return investing [3][5]. - The conservative FOF aims to maintain a maximum drawdown of less than 2% while achieving an annualized return of over 3%, a standard that few funds have met in the past five years [2][5]. - The manager prioritizes drawdown control over short-term high returns, believing that long-term upward net value is essential for the product's sustainability [6]. Group 3: Asset Allocation and Transparency - The asset allocation strategy focuses on clear and transparent holdings, primarily investing in pure bond funds and utilizing ETFs for equity exposure to minimize volatility [7]. - Short-duration bonds with high Sharpe ratios are preferred for their safety, while ETFs are chosen for their ability to mitigate unconventional market risks [7]. - The approach involves infrequent adjustments to bond positions, relying on precise duration management to control risk effectively [7].

Core Viewpoint - The demand for low-volatility and stable-return investment products has reached unprecedented heights due to increased market volatility, prompting the public fund industry to focus on products like fixed income plus and low-risk FOFs [1][2] Group 1: Investment Strategy - The strategy of the conservative FOF managed by the company emphasizes strict control of maximum drawdown while aiming for sustainable positive returns, addressing the urgent expectations of investors for stable income [2][5] - The company aims to create a product that prioritizes "strict control of maximum drawdown" to meet the needs of risk-averse investors, as there is a significant mismatch between market supply and actual demand for such products [2][5] Group 2: Performance Metrics - Since its establishment on March 20, 2024, the conservative FOF managed by the company has achieved a cumulative net value growth rate that surpasses the performance of the mixed bond FOF index, with a maximum drawdown of only 0.88%, significantly better than the same period's mixed bond FOF index and performance benchmark [4] Group 3: Risk Management - The company places a higher weight on controlling maximum drawdown compared to return metrics in its self-assessment, aiming to keep maximum drawdown within a small range and prioritizing long-term net value growth over short-term high returns [5] - The investment approach includes a focus on fixed income assets while diversifying with a small allocation to equities and commodities to enrich sources of return and achieve a smooth, low-volatility net value curve [5][6] Group 4: Asset Allocation - The asset allocation strategy emphasizes transparency and modularity, with a focus on pure bond funds and ETFs to ensure clear visibility of holdings [6] - Short-duration bonds with high Sharpe ratios are prioritized as a safety net, while ETFs are utilized to mitigate unconventional "pulse risks" that could disrupt the net value curve [6]

Group 1 - The core viewpoint of the article is the rapid development of ETFs in the A-share market since 2019, with the total number of ETFs increasing from 198 in Q4 2018 to 1209 by Q2 2025, and the total scale rising from 0.51 trillion yuan to 4.31 trillion yuan during the same period [1][9][11] - As of Q2 2025, stock-type ETFs account for approximately 75% of the total scale, while cross-border ETFs, currency-type ETFs, bond-type ETFs, and commodity-type ETFs collectively account for about 25% [11][12] Group 2 - The article discusses the construction of an all-weather diversified ETF portfolio based on various methods, including A-share market asset allocation ETFs, overseas equity index QDII-ETFs, relative return ETFs, and absolute return ETFs [2][13] - The methodology for constructing the A-share market asset allocation ETF portfolio and overseas equity index QDII-ETF portfolio involves quantitative scoring based on macro and technical perspectives [4][19] Group 3 - The performance of the all-weather diversified ETF portfolio shows an annualized return of 9.22% with a maximum drawdown of 3.64% and an annualized volatility of 3.85% from December 31, 2016, to June 30, 2025 [6][40] - The portfolio consistently achieved positive absolute returns across different years within the backtesting period, indicating a balanced source of returns [6][40] Group 4 - The construction method for the A-share market asset allocation ETF portfolio includes selecting large-cap indices such as CSI 300 and CSI 500, and bond indices like 1-5 year national development bonds [22][23] - The strategic allocation models used include fixed ratio, volatility control, and risk parity models, with monthly adjustments based on macro and technical indicators [35][36] Group 5 - The QDII-ETF portfolio construction method focuses on overseas equity indices, including the Hang Seng Index, S&P 500, and Nikkei 225, with macro and technical indicators influencing the scoring and weighting [43][44] - The QDII-ETF portfolio achieved an annualized return of 17.24% with a maximum drawdown of 17.20% during the backtesting period [54][55] Group 6 - The relative return ETF portfolio is constructed based on six dimensions, including historical fundamentals and capital flow, to implement an index rotation strategy [57][60] - The portfolio that incorporates index crowding indicators outperformed the standard relative return ETF portfolio, achieving an annualized return of 16.59% compared to 14.04% [79] Group 7 - The absolute return ETF portfolio is designed to focus on absolute returns by selecting indices with stable fundamentals and significant dividend yields, while minimizing exposure to market volatility [83]

Core Viewpoint - The departure of Zhang Yifei, a prominent fund manager at Anxin Fund, raises concerns about the stability and performance of the public fund industry, particularly in the context of increasing turnover among star fund managers [1][8]. Group 1: Departure of Zhang Yifei - Zhang Yifei announced his resignation from Anxin Fund on July 17, managing over 30 billion yuan in assets and achieving a total return of 82.45% with an annualized return of 6.1% during his tenure [1][3]. - His investment strategy focused on absolute returns with a low maximum drawdown of 7.2%, appealing to investors seeking stability in a volatile market [3][4]. - Zhang Yifei's next move is speculated to be a transition to the private equity sector, continuing to explore absolute return strategies [4]. Group 2: Management Transition - Following Zhang Yifei's departure, Li Jun and Huang Wanshu from the mixed investment team at Anxin Fund will take over the management of the funds previously overseen by Zhang [5][6]. - Li Jun has 20 years of experience in the securities industry and has worked alongside Zhang for nearly 8 years, while Huang Wanshu has been with Anxin Fund since 2016, bringing diverse experience in bond trading and research [6]. Group 3: Industry Trends - The public fund industry has seen over 2,700 changes in fund managers this year, with 194 resignations and 307 new appointments, indicating a high turnover rate [8]. - The departure of several high-performing fund managers reflects the pressures they face, including performance expectations and market volatility [8]. - The trend suggests a shift from individualistic management styles to a more team-oriented approach in the public fund sector [8].

Core Viewpoint - The A-share market has shown steady performance since the second half of 2025, with the Shanghai Composite Index surpassing 3500 points for the first time in eight months, indicating a positive market outlook despite existing uncertainties [1]. Market Performance - The June CPI has turned from decline to increase year-on-year, with core CPI continuing to rise, reflecting the gradual effectiveness of policies aimed at boosting consumption [1]. - There are still uncertainties in the market, including differences in global economic recovery and valuation corrections in certain industries, necessitating flexible investment strategies [1]. Fund Performance - The Guotai Multi-Strategy Income Mixed Fund, managed by Hu Zhilei since September 3, 2024, has shown significant performance advantages, achieving a return of 5.39% over the past six months, compared to 2.40% and 1.71% for the medium- and long-term pure bond index and short-term bond fund index, respectively [1][2]. - The fund has a maximum drawdown of only 0.27%, significantly lower than the average maximum drawdown of 11.88% for similar funds [5]. Investment Strategy - The Guotai Multi-Strategy Income Mixed Fund employs a relatively conservative investment strategy, primarily focusing on fixed-income assets to achieve low volatility and small drawdowns [4]. - The fund's current allocation is mainly in medium- to short-duration bonds, with a flexible approach to using interest rate bond strategies and selectively investing in lower-risk convertible bonds to enhance portfolio elasticity [4]. Risk Control - The fund has demonstrated excellent historical risk control metrics, with recent maximum drawdown, Sharpe ratio, annualized volatility, downside risk, and Calmar ratio all significantly outperforming the average of similar funds [5]. - The fund managers, Hu Zhilei and Wang Lin, are both experts in absolute return strategies, with Hu Zhilei specializing in fixed-income investments and Wang Lin combining macro perspectives with stock selection capabilities [5][8]. Conclusion - The Guotai Multi-Strategy Income Mixed Fund is positioned to adapt to both market uptrends and volatility, making it a practical choice for investors seeking balanced returns in a complex market environment [8].

Core Viewpoint - The recent strategy meeting highlighted investment opportunities in the banking wealth management market amidst high volatility, focusing on multi-asset strategies and the outlook for major asset classes [1] Group 1: Investment Strategies - The current stage of wealth management products shows an increased net worth, with low bond market interest rates aiding the development of equity investments [1][2] - The absolute return strategy for equity investments has two core approaches: "fixed income + options" and multi-asset strategies [3][4] - The "fixed income + options" model allows clients to participate in equity markets under certain conditions while mitigating significant impacts from adverse events [3][4] Group 2: Dual-Driven Investment Approach - The company employs a dual-driven equity investment strategy, combining in-house research and external partnerships with top fund managers and private equity firms to enhance management capabilities and product returns [2][4] - The assembly of different management styles based on their characteristics aims to improve the risk-return profile of products [2] Group 3: Market Outlook - The company maintains a positive outlook for the future performance of balanced products involving stocks, bonds, and gold, driven by low inflation and ample liquidity in the market [4][5] - The anticipated recovery of the Chinese economy and the potential for increased capital inflow into the stock market are expected to support asset price growth [4][5]

Report Overview - The report is a private equity fund special report focusing on the long - end analysis of market neutral strategies: quantitative stock selection, titled "How the Model Determines Your Return Cap" and is part of the Huabao Aggregation series of popular science articles [1] Core Viewpoint - The market neutral strategy, as an important pillar of the absolute return system, provides investors with a relatively stable return path through a long - short hedging mechanism [11] Section Summaries Market Neutral Strategy Long - end Construction Logic and Operational Characteristics - The long - end of the stock market neutral strategy constructs a stock portfolio with excess return capabilities through a systematic method, using a multi - level screening mechanism including initial screening based on core factors, further identification of targets, and dynamic adjustment to maintain risk balance. The strategy's return comes from the excess return difference between the long portfolio and the hedging instrument, and managers need to monitor key indicators and optimize the portfolio structure. The effectiveness of the quantitative stock - selection model is restricted by the market environment and requires parameter adjustment [5] Domestic Quantitative Model Development History - The development of the stock market neutral strategy's stock - selection method is coordinated with the capital market regulatory system. It has evolved from qualitative fundamental analysis in the early stage to the use of linear multi - factor models, and then to non - linear machine learning models and neural network models, affected by regulatory policies and market events such as the launch of margin trading and short - selling, the abnormal market fluctuations in 2015, and the implementation of registration systems [6] Secrets of Surviving Bull and Bear Markets: Survival Rules and Winning Logic of Neutral Strategies - The construction of quantitative models needs to balance historical rules and real - world changes. Investors should evaluate the strategy's full - cycle adaptability and the manager's ability to control drawdowns in special periods. Managers need to maintain the stability of core factors and establish a fast - response channel for new feature mining [7] How to Evaluate the Long - end of Market Neutral Strategies - Evaluating the long - end of market neutral strategies requires a multi - dimensional analysis framework, including examining the sustainability of returns and the completeness of the risk - control system. Ordinary investors should focus on the verifiability of the strategy's underlying logic, historical maximum drawdown, and the manager's ability to respond to market structure changes [9] Avoiding Three Cognitive Traps for Successful Neutral Strategy Investment - Investors should be aware of three cognitive blind spots: clarifying the essence of stock - selection logic, understanding the value of diversified allocation, and recognizing the inherent risk boundaries of the strategy. They should also check if the manager has a complete extreme stress - testing system [10]

Group 1: Macro Insights - The report analyzes five historical low-price cycles in China, the US, and Japan, identifying that the core issue of sustained low prices is demand, and emphasizes the need for coordinated policies to elevate prices, with demand policies being the most critical [3] - It suggests five policy measures to promote reasonable price recovery in China, including fiscal policy requiring a broad deficit rate of 12.8%, further easing in real estate, monetary policy adjustments, consumption stimulation, and supply-side structural reforms in key industries [3] Group 2: Financial Engineering - The report discusses the challenges of low-risk premiums and low-interest environments for absolute return strategies, proposing a bottom-up approach to asset allocation that emphasizes strategy configuration over market timing [4] - It highlights that since 2018, multi-asset income strategies have shown robust performance with an annualized return of 8.7% and a maximum drawdown of only 2.8% [4] Group 3: Automotive Sector - Hengshuai Co., Ltd. - Hengshuai Co., Ltd. reported a revenue of 960 million yuan in 2024, a year-on-year increase of 4%, and a net profit of 210 million yuan, up 6% [6] - The company has diversified its customer base, contributing to revenue growth, and has expanded its product offerings in the electric motor sector, achieving a revenue of 430 million yuan from electric motors, a 17% increase [7] - The company is advancing in the ADAS intelligent cleaning sector and is strategically positioning itself in the robotics market, leveraging its technological expertise [8] Group 4: Construction and Decoration - Northern International - Northern International has seen significant growth in profitability, with improved gross margins driving net profit increases, and is expanding its investment projects, including a 720 million yuan increase for a photovoltaic project in Bosnia [9] - The forecast for net profit from 2025 to 2027 is 1.18 billion, 1.32 billion, and 1.45 billion yuan, respectively, with a projected growth rate of 13%, 12%, and 9% [9] Group 5: Real Estate - Greentown China - Greentown China achieved a revenue of 158.55 billion yuan in 2024, a year-on-year increase of 20.7%, but net profit decreased by 37.9% due to significant impairment losses [11][12] - The company has made substantial impairment provisions, including 4.039 billion yuan in asset impairment losses, which has impacted overall profit performance [12] - Future performance is expected to stabilize as the company focuses on high-quality land acquisitions and has a strong liquidity position backed by state-owned enterprise support [13] Group 6: Computer Sector - Yonyou Network - Yonyou Network reported a revenue of 9.153 billion yuan in 2024, a decrease of 6.57%, and a net loss of 2.061 billion yuan, a decline of 113.13% [14] - The company is focusing on enhancing operational efficiency and increasing its subscription model, which is expected to lead to a turnaround despite current external pressures [14] - The revenue forecast for 2025 to 2027 is approximately 10.167 billion, 11.195 billion, and 12.307 billion yuan, with net profits projected to improve over the years [14]

Core Viewpoint - The event "Wind Talk Financial Experts Talk" organized by Wind Fund and Western Li De Fund focused on investment strategies for 2025, highlighting the importance of adapting to market changes and exploring new investment opportunities [2][9]. Group 1: Event Overview - The "Respectful Gathering" was held in Shanghai, bringing together leaders and experts from the asset management industry to discuss investment strategies for 2025 [1][2]. - Keynote speeches were delivered by senior executives from Wind Group and Western Li De Fund, emphasizing the need for strategic thinking in the current market environment [2][3]. Group 2: Investment Strategies - Dong Weiwei from Western Li De Fund discussed an absolute return strategy aimed at achieving long-term positive returns while managing drawdown risks [4]. - He proposed a "three-in-one" investment system that includes decision-making, risk control, and mindset management to navigate market complexities [5]. - The current monetary and fiscal easing environment suggests a reduced probability of significant market downturns, with a focus on sectors like AI, domestic consumption, and renewable energy [5]. Group 3: Fixed Income Market Insights - Yi Shengqian highlighted the challenges in the fixed income market due to low interest rates and external economic pressures, predicting a year of volatility with trading opportunities [6][7]. - She recommended focusing on short-term interest rates for better value and emphasized the attractiveness of local government bonds and convertible bonds in the current market [7]. Group 4: Global Market Perspectives - Zhang Xin from Morgan Fund discussed the impact of U.S. policy changes on global markets, suggesting that while U.S. inflation may rebound in the short term, long-term stability is expected [8][9]. - He advised a diversified and balanced global asset allocation strategy to mitigate market uncertainties, highlighting the relative attractiveness of U.S. investment-grade bonds and the need for caution in emerging markets like India [8][9]. Group 5: Recognition and Future Outlook - The event concluded with an award ceremony recognizing outstanding contributions in the wealth management sector, aiming to set industry benchmarks for high-quality development [9]. - Wind Fund plans to continue leveraging data-driven investment research and technology to enhance service offerings and foster collaboration within the wealth management industry [9].