Core Viewpoint - The article provides a comprehensive review of various investment strategies and performance over the past year, highlighting the effectiveness of different asset classes and the importance of liquidity in the market. Group 1: Convertible Bonds - Convertible bonds have been a consistent investment since 2015, with a notable annual return of 37% in 2021 and a current year-to-date return of 11% [1]. Group 2: B Shares - B shares are viewed as a combination of dividend and arbitrage investments, with a current portfolio including Long An B (dividend yield: 9.54%), Guangdong Expressway B (6.69%), and Gujing Gong B (6.12%) [2]. - The overall semi-annual return for the B share portfolio is 5.07%, influenced by policy impacts on the liquor industry [2]. Group 3: Bank Stocks - Bank stocks are characterized by low valuations, with a strategy yielding an annualized return of 25% since 2017 by rotating into the highest dividend yield and return on equity stocks [3]. - Current holdings include Chengdu Bank (50%), China Merchants Bank (20%), Jiangsu Bank (20%), and Nanjing Bank (10%) [3]. Group 4: Micro-cap Growth and Value - A strategy focusing on micro-cap stocks with low P/E ratios and growing net profits has yielded an annualized return of nearly 30% since 2017 [4][5]. Group 5: Other Stocks - Long-term holdings include Gree Electric Appliances, with a reduced cost basis of 50%, and BYD, which was sold due to concerns over market saturation despite initial gains [7]. - Other A-share investments are based on ROE above 15% and PEG below 1, with mixed results [8]. Group 6: Arbitrage - Arbitrage activities have been exploratory, with some losses impacting overall returns, but certain positions like Hangzhou Steam Turbine B and ST Xinchao have shown promise [6][9]. Group 7: Funds and REITs - Investments in North China 50 and Nasdaq funds have yielded around 10% returns, while REITs are seen as a fixed income option worth exploring further [11][12]. Group 8: Future Plans - The strategy for the second half of the year includes maintaining and increasing positions in bank stocks, micro-cap growth, and low-priced convertible bonds, with a focus on high-dividend B shares and REITs as potential alternatives [13].

Group 1: Banking Sector Insights - The quantitative backtest results indicate that undervalued strategies contribute to excess returns while effectively reducing drawdowns [1] - High ROE and the strategy based on "provision coverage ratio - non-performing loan ratio - attention ratio" show superior performance, while short-term improvement strategies underperform [1] - The combined strategy of high ROE/PB and high "provision coverage ratio - non-performing loan ratio - attention ratio" × dividend yield has achieved over 300% cumulative excess returns since 2011, highlighting the importance of quality and value in bank stock investments [1] Group 2: Dividend Strategy Analysis - Current dividend strategies exhibit significant bottom characteristics, with a rare "negative return - high volatility" feature over the past three months, indicating potential for recovery [2] - The 40-day excess return of dividends is nearly -10% below the annual average, suggesting a high probability of excess return reversion based on historical patterns [2] - The dividend ETF is in a net subscription state with reduced trading volume, typically corresponding to a bottom phase for the strategy [2] Group 3: Copper Industry Outlook - The expectation of increased tariffs on imported copper in the U.S. is likely to push copper prices back to peak levels, with COMEX copper prices reaching new highs compared to LME prices [3] - The tariff impact on domestic demand in China is expected to be limited, but it may restrict imports of refined copper and scrap copper [3] - Positive policy developments and market dynamics are expected to accelerate the convergence of trading and fundamental factors, leading to a bullish outlook for copper prices [3] Group 4: Quantitative Strategy Improvements - The traditional asset rotation framework has been improved to address issues such as low flexibility and fixed scoring standards, enhancing the model's comprehensiveness and adaptability [4] - The industry rotation model constructed from 26 indicators achieved a 32% annualized absolute return during the backtest period from 2017 to January 2025, outperforming the Shanghai and Shenzhen 300 index [5] Group 5: U.S. Stock Market Strategy - U.S. stock markets are experiencing downward pressure due to uncertainties surrounding Trump's policies and tariffs, with major indices giving back all gains since the Fed's rate cuts in September 2023 [7] - Economic indicators from the U.S. have underperformed expectations, and trade tensions may further weaken the economic fundamentals, leading to capital rotation out of U.S. equities [7] - The outlook for U.S. stocks is expected to remain volatile until late March or early April, with recommendations to focus on healthcare, consumer services, traditional telecommunications, and utilities sectors [7] Group 6: Bond Market Insights - The demand for bond ETFs is increasing due to heightened market volatility, offering investors a more convenient and diversified investment tool compared to traditional bond allocations [8] - Local government bond ETFs are noted for their potential yield enhancement and better drawdown control compared to other bond ETF types [8] Group 7: Magnesium Alloy Market Potential - The demand for magnesium alloys in China is expected to grow due to rich domestic magnesium production and the lightweighting needs in automotive and robotics sectors [10] - The semi-solid magnesium alloy forming technology is anticipated to open new growth avenues for leading companies in the industry [10] Group 8: Dairy Industry Forecast - The potential implementation of child-rearing subsidies by 2025 may improve birth rates, positively impacting the demand for infant formula and cheese products [11] - The expected increase in the population of children aged 0-6 years is likely to boost the market outlook for children's cheese products [11]

Core Viewpoint - The article emphasizes the importance of combining quality and valuation factors in bank stock investments, highlighting that strategies based on high ROE/PB and high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio) × dividend yield" have achieved cumulative excess returns exceeding 300% since 2011, indicating the significance of "quality" and "value" in bank stock investments [1][12]. Summary by Sections Quantitative Backtesting Overview - The report introduces a quantitative backtesting approach tailored for bank stocks, utilizing industry-specific fundamental, financial, and operational indicators to develop effective trading strategies [2][4]. Methodology - The core of quantitative strategies lies in identifying specific indicators (factors) to select stocks that aim to optimize the risk-return profile, with backtesting serving as a method to evaluate these strategies using historical data [3]. Investment Strategy Analysis - A total of 11 bank stock investment strategies were backtested, revealing that: 1. Valuation factors showed effectiveness in controlling drawdowns, with low PE strategies outperforming high dividend strategies and low PB strategies in terms of excess returns [6]. 2. Profitability factors had limited impact during periods of declining valuations, with high ROE and profit growth strategies yielding less than 50% excess returns [6]. 3. Quality factors contributed significantly to excess returns, particularly the high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio)" strategy, which achieved a cumulative excess return of 201% [6]. 4. The combination of fundamental and valuation factors improved portfolio performance, with high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio) × dividend yield" and high ROE/PB strategies achieving excess returns of 326% and 309%, respectively [6]. Insights from Backtesting Results - Key insights include: 1. Profitability, asset quality, and reasonable valuation are critical for bank investments, with ROE and asset quality being significant drivers of relative returns [7]. 2. Different market styles lead to significant variations in strategy performance, with low PB and high profit growth strategies dominating in rising markets, while high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio) × dividend yield" strategies excel in core asset styles [7]. Performance Metrics - The performance metrics of various strategies indicate that: - The low PB strategy achieved a total return of 313.71% with an excess return of 74.15% [8]. - The high ROE/PB strategy yielded a total return of 548.19% with an excess return of 308.63% [8]. - The high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio) × dividend yield" strategy reached a total return of 565.15% with an excess return of 325.59% [8].