广发证券资深金工分析师 周飞鹏 SAC: S0260521120003 zhoufeipeng@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发金工安宁宁陈原文团队 摘要 主要结论： 在前期报告《龙头扩散效应行业轮动之二-优选行业组合构建》中我们构建了月度优选行业轮动组合。而由于部分一级行业暂无 对应ETF作为投资工具，部分时期可能存在无法直接持有特定行业标的的情况。为最大限度获取轮动收益，本报告尝试从选股的角度探讨以 持股来复制或增厚轮动策略收益的方式。 行业个股双驱优选组合月度调仓，2013年以来年化收益33.6%，相对中证500指数年化超额收益 28.3%，IR2.07，相对最大回撤27.8%。 板块行情的底层驱动机制： 受活跃资金挖掘概念主题手法的启发，我们思考板块行情的启动和发展过程或许在微观层面上源自板块内个股上涨的 蔓延与扩散，从最初的行情龙头到概念相关的更多个股，正是行情覆盖范围的逐渐延伸催生了一轮行业上行趋势。我们将此过程称为"龙头扩散效 应"。 收益复制角度： 行业全复制组合收益复制效果最理想，但由于 ...

Group 1 - The core viewpoint of the report indicates that all three major indices have experienced five consecutive months of gains, with the ChiNext 50 index rising by 59.45% and the Shanghai Composite Index increasing by 12.73% in Q3 2025 [1][9][10] - In terms of industry performance, only a few sectors reported negative returns, with the telecommunications sector up by 50.20% and the electronics sector up by 44.49% [1][11] - The report highlights that the timing models for Q3 2025 generally achieved absolute positive returns, although it was challenging to outperform the benchmark itself [1][5] Group 2 - The report suggests a positive outlook for Q4 2025, particularly favoring sectors such as electric equipment and new energy, telecommunications, and comprehensive sectors [2] - The report emphasizes the development of various effective strategies based on historical timing, industry rotation, and stock selection models [5][6] - The report outlines the performance of different types of funds, noting that equity mixed funds had the best average return of 25.83% during a period of rising market indices [13]

Fund Overview - The fund is named Penghua Strategy Preferred Flexible Allocation Mixed Securities Investment Fund, managed by Penghua Fund Management Co., Ltd. and custodied by Industrial and Commercial Bank of China [2][3] - The fund aims for long-term capital appreciation and excess returns while effectively controlling risks through a flexible selection of investment strategies [2][3] Investment Strategy - The fund employs an asset allocation strategy that considers macroeconomic variables such as GDP growth rate, CPI trends, M2 levels, and interest rates to assess the economic cycle and adjust asset allocation among stocks, bonds, and cash [2][4] - Stock investments involve a two-step process: strategy selection and individual stock analysis, focusing on market leaders and stocks benefiting from significant industry changes [3][4] - The fund also utilizes various strategies for bond investments, including duration strategy, yield curve strategy, and credit strategy, to enhance returns [5][6] Financial Performance - As of June 30, 2025, the fund's total net asset value is approximately CNY 510.1 million, with a net asset value per share of CNY 2.811 [10][24] - The fund achieved a realized income of CNY 14.7 million and a profit of CNY 2.2 million during the reporting period [10][11] - The fund's net value growth rate for the period is 2.03%, outperforming the benchmark growth rate of 0.62% [21][12] Management Report - The fund manager emphasizes a focus on high-quality assets with competitive advantages and long-term growth potential, maintaining a consistent investment style [21][20] - The fund's portfolio is primarily concentrated in the financial, consumer goods, and industrial sectors [21] - The management reports a positive outlook for the A-share market, indicating potential for upward movement and opportunities outweighing risks [21][22] Custodian Report - The custodian, Industrial and Commercial Bank of China, confirms compliance with relevant laws and regulations, ensuring no actions detrimental to the interests of fund shareholders [26]

Core Viewpoint - The article outlines the agenda for the 2025 Quantitative Salon in Shanghai, focusing on various investment strategies and risk management techniques in the financial sector [1][2]. Group 1: Event Details - The event is scheduled for August 13, 2025, from 13:30 to 17:00 at the Jinling Zijinshan Hotel in Shanghai [1]. - The agenda includes multiple sessions led by experts from Guosen Securities, covering topics such as stock selection strategies, multi-strategy enhancement, and risk models [1][2]. Group 2: Session Summaries - The first session will discuss "Steady Stock Selection Strategies" led by Zhang Xinwei, the Chief Analyst of Financial Engineering at Guosen Securities [1]. - The second session will focus on "Multi-Strategy Enhanced Portfolio from a Heuristic Perspective," also presented by Zhang Xinwei [1]. - The third session will cover "Alpha Information Contained in Intraday Special Moments," presented by Neng Yu, Co-Chief Analyst of Financial Engineering [1]. - The fourth session will address "Comprehensive Guide to Risk Models," led by Zhang Yu, Co-Chief Analyst of Financial Engineering [2]. - The fifth session will explore "Expansion and Enhancement of Alpha Factors in Financial Statements," also by Zhang Yu [4]. - The sixth session will discuss "Contrarian Investment Ability and Performance of Fund Managers," presented by Chen Mengqi, an Analyst at Guosen Securities [4]. - The final session will focus on "Unified Improvement Framework for Selection Factors from the Perspective of Hidden Risks," led by Hu Zhichao, an Analyst at Guosen Securities [4]. Group 3: Participation and Benefits - Participation is limited, and interested attendees must register through a specific process to ensure a good experience [2]. - Attendees who successfully register and attend will receive a copy of the "Selected Research Report of Guosen Financial Engineering Team for 2025" [5].

特朗普4月关税政策引发的市场剧烈波动为选股策略创造了有利环境。股市在关税冲击后大跌随后反 弹，促使资产配置者寻求超越宽基指数的保护，推动资金流入长期低迷的选股基金。 Indus Capital合伙人兼客户咨询主管Zlata Gleason表示： "选股者的市场回来了。" 在2025年市场动荡中，擅长选股的多空对冲基金迎来十年来的首次复苏。 《金融时报》援引Hedge Fund Research数据显示，股票多空对冲基金（买入预期强势股并做空弱势股） 在上半年实现了9.2%回报，6月单月回报达3.5%，上半年吸引了100亿美元资金的净流入，成为对冲基 金业表现最佳的类别之一。 具体看，Chris Hohn的TCI基金和John Armitage的Egerton基金等在截至6月今年回报率均超过20%，科技 股基金SurgoCap Partners今年的累计涨幅也达17%。 股市回报的多元化也提供了助力。今年以来，标普500等权重版本与市值加权指数步伐相当，说明多年 来由美国大型科技股主导的市场格局正在松动， 欧洲市场表现突出 据PivotalPath数据，欧洲股票策略今年成为所有地区中表现最佳的策略，欧洲指数在特 ...

文 ｜ 张强 伍家豪 史周 赵文荣 王博隆 周宇迪 机构调研信息披露及时且覆盖率高，投研价值应重视。基于回测分析，我们发现机构调研的事件效 应较弱，而市值行业中性化处理后的机构调研热度对股票收益的区分能力较强，故基于机构调研选 股不宜重视事件性收益的获取，更应关注高调研热度的股票。我们将各行业高调研热度股票构建组 合，根据我们回测，2 0 1 3年- 2 0 2 5年1月期间，其绝对收益年化达1 3 . 8%；相对中证全指超额收益 年化达9 . 4%，仅2 0 1 4年、2 0 1 7年及2 0 2 4年超额为负，胜率较高。 ▍ 机构调研信息披露及时且覆盖率高，投研价值应重视。 目前，沪深交易所分别要求"尽快"、"次一交易日开市前"披露机构调研相关活动，我们基于Wi n d 的A股机构调研数据统计，近1 0年来机构调研信息披露的滞后天数持续维持在较低水平，各年滞 后天数均值基本在7天以内，中位数为1 - 2天。调研覆盖率自2 0 1 9年起呈现提升趋势，2 0 2 4年机 构调研共计覆盖3 0 5 8家上市公司，覆盖率达5 7%。 ▍ 机构调研偏向大市值公司，侧重于成长型行业。 基于历史数据分析，我们发现机构 ...