今日A股三大指数集体收跌。截至收盘，上证指数跌0.40%，深证成指跌0.76%，创业板指跌1.12%，北 证50跌1.00%，全天成交额1.72万亿元，较上日缩量200亿元，超3850只个股下跌。板块题材上，海南、 银行、锂矿板块走高，中船系、化工、旅游板块调整。 值得注意的是，本周市场的确堪称是地狱级别，大盘指数收出了3阴1阳，几乎每天都是绿多红少，即便 是唯一的阳线当天，市场也是超过4000只个股"待涨"，赚钱效应着实难以令人满意。也正因为如此，不 少投资者对牛市的信念再度动摇。 不过站在中长期视角，支撑本轮牛市的诸多逻辑并未改变，并且我国科技与军事实力的飞速提升有目共 睹，在大国博弈过程中的自信和底气也越来越足，同时国内提振经济发展、促进产业升级的政策力度有 增无减，这些都将成为推动资本市场稳步向上的关键力量。叠加国家持续推动资本市场高质量发展的导 向，"慢牛"格局下的震荡整固反而有利于消化获利盘、修复估值结构，为后续行情延续积蓄动能。因此 我们预计，经过震荡调整、清理浮筹后，市场后续仍有望重新回到上行区间，并向着下一个新高发起进 攻。 那么，后续行情又该如何演绎呢？ 客观地讲，经历了近期的连续回调，目 ...

1. Report Industry Investment Rating - No information provided regarding the report industry investment rating. 2. Core Viewpoints of the Report - The report presents several ETF strategy indices developed by Huabao Research, aiming to provide investors with strategies to obtain excess returns relative to the market. These indices are tracked weekly for performance and holdings [13]. 3. Summary by Relevant Catalog 1. ETF Strategy Index Tracking - **Overall Performance Table**: The table shows the performance of different ETF strategy indices in the last week, including their returns, benchmark returns, and excess returns. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week return of - 1.06%, with a benchmark (CSI 800) return of - 1.13% and an excess return of 0.07% [14]. 1.1. Huabao Research Small - Large Cap Rotation ETF Strategy Index - **Strategy**: It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. The model outputs signals weekly to determine holdings [15]. - **Performance**: As of 2025/11/14, the excess return since 2024 was 20.08%, the excess return in the last month was - 0.02%, and the excess return in the last week was 0.07%. The index's last - week return was - 1.06%, compared to the CSI 800's - 1.13% [15][18]. - **Holdings**: As of 2025/11/14, it held 100% of the Shanghai - Shenzhen 300ETF [20]. 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 major Barra factors [20]. - **Performance**: As of 2025/11/14, the excess return since 2024 was 18.92%, the excess return in the last month was 2.02%, and the excess return in the last week was 1.63%. The index's last - week return was 0.50%, compared to the CSI 800's - 1.13% [20][23]. - **Holdings**: As of 2025/11/14, it held multiple ETFs, such as the 512890.SH Dividend Low - Volatility ETF with a 25.15% weight [24]. 1.3. Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and crowding signals to indicate industry risks and digs out potential sectors [24]. - **Performance**: As of 2025/11/14, the excess return since 2024 was 37.09%, the excess return in the last month was 6.32%, and the excess return in the last week was 1.25%. The index's last - week return was 0.12%, compared to the CSI 800's - 1.13% [24][26]. - **Holdings**: As of 2025/11/14, it held ETFs like the 516160.SH New Energy ETF with a 20.47% weight [28]. 1.4. Huabao Research Quantitative Balancing Act ETF Strategy Index - **Strategy**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend analysis. It also predicts the market's large - and small - cap styles to adjust equity market positions [28]. - **Performance**: As of 2025/11/14, the excess return since 2024 was - 11.12%, the excess return in the last month was - 1.10%, and the excess return in the last week was 0.77%. The index's last - week return was - 0.31%, compared to the Shanghai - Shenzhen 300's - 1.08% [28][29]. - **Holdings**: As of 2025/11/14, it held the 511260.SH 10 - Year Treasury Bond ETF with a 9.23% weight [31]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It tracks and mines hot - spot index target products through market sentiment analysis, industry event tracking, investor sentiment, professional views, policy changes, and historical analysis to build an ETF portfolio that can capture market hot - spots [31]. - **Performance**: As of 2025/11/14, the excess return in the last month was 0.51%, and the excess return in the last week was 2.99%. The index's last - week return was 2.46%, compared to the CSI All - Share Index's - 0.53% [31][34]. - **Holdings**: As of 2025/11/14, it held the 159652.SZ Non - Ferrous Metals 50ETF with a 36.05% weight [35]. 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy**: It uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine learning. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond portfolio [35]. - **Performance**: As of 2025/11/14, the excess return in the last month was - 0.05%, and the excess return in the last week was - 0.01%. The index's last - week return was 0.04%, compared to the ChinaBond Aggregate Index's 0.05% [35][36]. - **Holdings**: As of 2025/11/14, it held the 511260.SH 10 - Year Treasury Bond ETF with a 50.00% weight [38].

Core Insights - As of November 14, 2023, 19 public funds have doubled their performance this year, all of which are actively managed funds, indicating the unique advantages of active investment strategies in capturing excess returns [1][2] Fund Performance and Strategy - The majority of these funds saw a significant increase in net asset value starting from the second quarter, largely due to heavy investments in strong sectors such as optical modules, PCB, innovative pharmaceuticals, and storage [1][4] - Many funds exhibited a notable increase in concentration, with over 60% of their net asset value held in the top ten stocks by the end of the second and third quarters [1][2] Notable Fund Examples - The top-performing fund, Yongying Technology Smart Selection, achieved a return rate exceeding 180% this year, with its manager, Ren Jie, having a background as a TMT researcher [1][2] - This fund underwent significant portfolio adjustments, completely changing its top ten holdings multiple times within the year, reflecting Ren Jie's preference for concentrated holdings [2][3] Sector Focus - The top holdings of the funds are heavily concentrated in the optical communication, PCB, and cloud computing sectors, with the top three stocks in the optical module sector accounting for nearly 30% of the fund's net asset value [3][4] - The performance of these top holdings has been impressive, with seven stocks doubling in value during the third quarter, including Industrial Fulian, which saw a rise of over 200% [3][4] Common Trends Among High-Performing Funds - A significant trend among the 19 funds is the heavy investment in optical module stocks, with nearly 70% of the funds having optical module stocks as their top holdings by the end of the second quarter [4] - Other sectors contributing to the strong performance include PCB and innovative pharmaceuticals, with specific funds like Yongying Technology Smart Selection and Hengyue Advantage Select showing substantial gains from these sectors [4][5]

Core Insights - The recent performance of active equity funds has been under scrutiny, with over 38% of these funds still in losses over the past five years despite a significant number achieving positive returns since 2025 [1][2][3] - Key factors contributing to the underperformance include high-level accumulation, frequent trading, and reliance on specific sectors, which have eroded fund values [1][5][7] Performance Overview - As of November 10, 2025, the Shanghai Composite Index has risen by 19.42%, while 97.45% of active equity funds reported positive returns [2][3] - However, 1019 active equity funds remain in losses, with 38% of the total, indicating a stark contrast in performance for investors who entered the market earlier [1][2] Fund Performance Analysis - Among the 2695 active equity funds with over five years of existence, 1676 have achieved positive returns, with six funds reporting over 200% returns [3] - Conversely, nearly 40% of active equity funds have not turned a profit in five years, with some funds experiencing maximum drawdowns starting in 2021 [3][4] Underperforming Funds - Notable underperformers include funds managed by well-known managers, with losses exceeding 30% over five years [4] - Specific funds like Tianzhi New Consumption and Fangzheng Fubang Innovation Power have reported losses of -65.25% and -62.32%, respectively [3][4] Trading Behavior - High average stock positions during market peaks have been linked to poor long-term performance, with funds showing an average stock position of 84.22% during critical periods [5][6] - Frequent trading has also negatively impacted fund performance, with an average turnover rate of 460.71% across all active equity funds, rising to 508.45% for those with over 30% losses [7][8] Sector Reliance - Many funds have shown over-reliance on traditional sectors, leading to underperformance despite being labeled as "new" or "growth" funds [8][9] - Funds like Tianzhi New Consumption and Invesco Great Wall New Growth have shifted their holdings but still struggle to achieve positive returns [8][9] Market Outlook - The active equity fund market is seeing a resurgence, with 1354 new funds launched in 2025, indicating renewed investor interest [11] - Fund managers are advised to focus on sectors with long-term growth potential, such as high-end manufacturing and new consumption, while being cautious of market volatility [12]

Core Insights - The article emphasizes the stability and long-term performance of the fixed income team at ICBC Credit Suisse Asset Management, highlighting the rarity of fund managers who maintain consistent performance over a decade or more [1][5][13] Group 1: Investment Strategy - The fixed income investment approach is likened to a marathon, focusing on long-term rhythm and endurance rather than short-term speed [1] - The company has developed a mature system to continuously seek excess returns in a low-yield, high-volatility environment, emphasizing the importance of macroeconomic foresight and institutional behavior tracking [2][3] - Asset pricing dynamics are crucial for identifying investment opportunities, with the company considering various valuation indicators to inform its "fixed income+" product strategies [3] Group 2: Team and Talent - The fixed income team at ICBC Credit Suisse has grown to 46 members, with a structured growth path for team members to ensure the continuity of research capabilities [7] - The presence of experienced fund managers, such as Ouyang Kai and He Xiuhong, who have managed funds for over a decade, contributes to the company's stability and performance [6][5] Group 3: Product Offering - The company has established a comprehensive "fixed income super shelf" with a diverse range of products tailored to different investor needs, including short-term, medium-term, and various types of bond funds [8][10] - The "fixed income+" products are categorized into three tiers based on equity positions and risk-return characteristics, catering to different market cycles and investor risk appetites [9] Group 4: Historical Development - The development of ICBC Credit Suisse's fixed income business has been marked by significant milestones, including the launch of the first money market fund in 2006 and the establishment of a robust investment research framework [10][11] - The company has achieved substantial growth, with its fixed income business scale surpassing 670 billion yuan by 2024, reflecting a successful transition to high-quality development [12] Group 5: Future Outlook - The company aims to enhance its investment capabilities and continue innovating in product offerings, particularly in response to the evolving market environment and investor needs [13]

Core Viewpoint - The first batch of new floating-rate funds has shown uneven performance, with some funds excelling in the AI sector while others lagged due to conservative investments in sectors like liquor and banking [1][3]. Performance Analysis - As of October 27, the average increase of the first 26 floating-rate funds is approximately 14.3%, but performance varies significantly due to different investment strategies [3]. - Notable performers include Huashang Zhiyuan Return with a return of 53.58%, followed by Jiashi Growth Win at 47.57%, and Yifangda Growth Progress at around 40% [3][4]. - Conversely, several funds have underperformed, with some showing returns below 5% [5]. Investment Strategy - Leading funds have heavily invested in the booming AI sector, with top holdings including stocks like Zhongji Xuchuang and Dongshan Precision [5][6]. - Funds with average performance predominantly invested in the liquor and banking sectors, which did not perform well in the recent tech-driven market [6]. Benchmark Comparison - Out of the 26 funds, only 9 have outperformed their benchmarks, which include indices like the CSI 300 and CSI 800 [9]. - The design of the floating-rate fund management fee structure ties fees to performance relative to benchmarks, incentivizing fund managers to achieve excess returns [9][10]. Future Outlook - The performance of the first batch of floating-rate funds is expected to positively influence the fundraising and operation of the second batch [12]. - The second batch of funds is diversifying into industry-specific themes, such as high-end equipment and healthcare, indicating a shift from broad market selection to targeted strategies [12][13].

Core Viewpoint - The article emphasizes the strategy of investing in small-cap stocks to uncover hidden value and generate sustainable long-term returns through deep research and a focus on fundamental analysis [1][2]. Group 1: Investment Strategy - The company aims to identify undervalued small-cap stocks in a liquidity-rich environment, which inherently possess higher uncertainty and potential for greater returns [1][2]. - The approach involves a defensive strategy that prioritizes safety by selecting high-quality assets based on fundamental research, which helps in controlling drawdowns while maximizing upside potential [2][3]. Group 2: Market Conditions - The current A-share market exhibits significant structural differentiation, with concentrated trading in sectors like AI, semiconductors, and robotics, leading to relative weakness in small-cap stocks [4][5]. - Historical patterns suggest that extreme market structures are often unsustainable, indicating that investment opportunities may become more diversified in the near future [5]. Group 3: Valuation Insights - As of October 22, the Wind data shows that the micro-cap stock index has a price-to-book (PB) ratio of 2.49, lower than the 2.81 of the CSI 2000, highlighting a relative valuation gap for small-cap assets [5]. - The current market sentiment may shift, providing accumulation opportunities for small-cap stocks that have solid fundamentals, low previous gains, and are aligned with industrial policy but not yet fully recognized by the market [5].

Report Title - Which Active Equity Funds are Suitable for Core Portfolio Allocation? - Weekly Insights on Financial Products 20251025 [1] Core Viewpoints - From the allocation needs of core funds, the report sets the characteristics that core funds should possess, aiming to provide basic excess returns, improve the holding experience, and effectively respond to the volatile market environment. It proposes three strategies to find suitable core funds: high win - rate relative to the equity - focused fund index, good holding experience, and wide distribution of the ability circle [3]. Summary by Sections Strategy 1: High Win - Rate Relative to the Equity - Focused Fund Index (Active & Quantitative) - **Difficulty of Outperforming the Index**: It is not easy for active equity funds to outperform the equity - focused fund index (885001) in the long term. Only 2 products (Huashang New Trend Optimization, Anxin Advantage Growth) have outperformed 885001 every year in the past 10 years. The proportion of products that outperform 885001 in different time intervals is shown in relevant tables [3][10][12]. - **Investment Style Analysis of Anxin Advantage Growth**: Since being managed by Nie Shilin, it has outperformed 885001 every year. The product has a balanced and flexible industry distribution, with a certain proportion of allocation in multiple major active equity sectors, and the industry distribution is flexibly adjusted. It has relatively concentrated holdings to obtain excess returns through concentrated stock selection [15]. - **Excess Return Analysis**: In terms of the relationship between annualized excess and annualized tracking error, for funds with a tracking error within 10%, 8 products have an annualized excess of over 10%; for those within 8%, 1 product has an annualized excess of over 8%. Only 63 products (2.69% of the total) can generate excess returns in both rising and falling environments of 885001 [20]. - **Selection of High - Win - Rate Funds**: 20 active equity funds are selected based on positive cumulative excess returns in both rising and falling daily environments of 885001 in the past five years and ranked by information ratio. Some products have their current fund managers managing them for a full five - year period, and some products have high quarterly and annual win - rates [23]. - **Screening Framework and List**: The report screens high - win - rate active equity funds by calculating four indicators, setting time intervals, and eliminating certain types of funds. The final list includes more balanced funds like Bodao Shengyan and funds with greater elasticity like Huaxia Innovation Frontier [26][27] Strategy 2: Good Holding Experience (Low Volatility & High Sharpe Ratio) - **Characteristics of Funds with Good Holding Experience**: These funds are close to the efficient frontier (low volatility and outstanding long - term performance) and have a high number of record - high days. Some examples are given according to different quantile criteria [46]. - **Screening Process and Results**: The report screens funds by calculating two indicators, eliminating certain types of funds, and finally selects 30 funds with better comprehensive capabilities. Representative products selected over the past three years and two years are also provided [48] Strategy 3: Wide Distribution of the Ability Circle (Individual Ability vs. Platform System) - **Requirement of the Ability Circle**: To effectively respond to the volatile market environment, fund managers need a wide ability circle, with both the ability to allocate in multiple tracks and the ability to select stocks deeply within tracks [3] - **Analysis of Fund Managers' Investment Styles**: The investment styles of several fund managers such as Zhou Yun, Hu Song, Chen Wen, Qiao Qian, and Zhang Jiansheng are analyzed, including their investment concepts, stock - selection methods, and portfolio adjustment strategies [30]

Group 1 - The article discusses the importance of considering both returns and risks when making investment decisions, highlighting that focusing solely on returns can be dangerous [4][6] - It introduces the Sharpe Ratio as a key metric that helps investors evaluate the "cost-effectiveness" of their investments by considering both returns and risks [8][9] - The Sharpe Ratio is defined as the ratio of excess return (returns above the risk-free rate) to the volatility of the investment, where the risk-free rate is typically represented by short-term government bond yields [13][15][19] Group 2 - An example is provided comparing two funds: Fund A with a 15% return and Fund B with a 20% return, emphasizing that Fund A may be a better choice due to its lower volatility risk [21][23] - The article notes that investors do not need to calculate the Sharpe Ratio themselves, as it is usually provided in the product descriptions of both public and private funds [24] - It outlines that a Sharpe Ratio below 0 indicates that the investment is underperforming compared to risk-free assets, suggesting that such investments should be avoided [25] Group 3 - The article warns against comparing Sharpe Ratios across different strategies, as they have inherently different risk-return characteristics [27] - It emphasizes the importance of using a longer time frame (3-5 years) for evaluating the reliability of the Sharpe Ratio, as shorter periods may not capture complete market cycles [29] - The article concludes that while the Sharpe Ratio is a valuable tool, it should not be the sole metric for investment decisions; other dimensions should also be considered [31][32]

Core Insights - The report focuses on the application of event signals in the A-share market and the construction of strategies based on these signals [2][11] - Short-term event signals show a high win rate and can capture market inefficiencies, while long-term event signals indicate potential investment opportunities but require multi-dimensional analysis for better certainty [11][25] Short-term Event Signals - Short-term events include high dividend announcements, deep report coverage recommendations after a year, upward profit forecast adjustments, earnings announcements exceeding consensus expectations by 20%, and index inclusion announcements [12][13] - The cumulative excess return win rate for these events is close to 60% within 20 trading days, indicating significant market reaction inefficiencies [4][12] - A strategy based on these short-term events has achieved an annualized return of 18.0% and a Sharpe ratio of 1.47 from 2015 to 2025, with positive returns even in years of high systemic risk [4][41] Long-term Event Signals - Long-term events include announcements of share buybacks, upward profit forecast adjustments, and stock incentive plans, which generally have a higher risk-reward ratio and moderate win rates [5][25] - The annualized excess return for a strategy based on long-term events can reach 14%, with a significant portion of excess returns generated from 2021 to 2025 [5][25] - Basic factors such as shareholder count changes and earnings quality contribute positively to long-term event strategies, while price-volume factors show limited effectiveness [5][25] Mechanisms of Excess Returns - Excess returns arise from the mispricing of stocks relative to their actual value, driven by factors such as market overreaction, underreaction to positive news, and specific fund flows during index adjustments [7][8][9] - Short-term price deviations often occur due to market sentiment and insufficient reactions to positive earnings announcements, particularly in small-cap stocks [8][14] - Long-term price deviations can be attributed to low market attention and insufficient pricing of fundamental trends, which can be exploited through in-depth fundamental analysis [9][25] Strategy Optimization - The report suggests optimizing short-term event signals by incorporating robust growth factors and liquidity factors to enhance returns [28][39] - For index adjustment events, the strategy should focus on stocks with low prior performance and good liquidity, as these factors have shown predictive power for future returns [39][41] - The strategy's performance is sensitive to the amount invested per signal, with recommendations to keep individual signal investments below 20 million yuan to maintain optimal returns [46][47]