Core Conclusions - The speed of market rotation has significantly accelerated, with the rotation index dropping to 61.95% in 2025, and the duration of hot themes shortening, with most themes lasting less than or equal to 20 days [3][4] - The relationship between rotation speed and funding structure indicates that during accelerated rotation, financing balances are highly synchronized with the index, while during slower rotations, financing responses lag [3][14] - Based on the alpha158 factor, derived strategies were constructed for wind hot rotation, industry rotation, and hot index mapping leading stocks. The index rotation strategy achieved an annualized return of 20.25%, outperforming industry rotation at 16.03% [3][4] Industry Rotation Effective Factors - Quantile factors (QTLU/QTUD) are identified as effective for industry rotation, with support momentum (QTUD) being more effective in bear markets and resistance momentum (QTLU) in bull markets [3][4] - The proportion of positive volatility (SUMN) indicates stronger industry strength, while extreme value factors (RSV/MAX) are sensitive to hot themes [3][4] Hot Index Rotation Optimization - The analysis utilized 68 Wind hot indices, focusing on core factors such as quantile factors (QTLU_20_95) and residual ranking factors (RESI30, RANK20) which have shown high win rates in recent years [4][6] - The adjustment strategy involves T+1 closing for rebalancing to mitigate factor decay, with the top 5 components of hot indices yielding an annualized return of 15.79%, significantly outperforming the CSI 300 [4][6] Strategy Application - For industry rotation holdings in 2025, high-frequency positions include banking, automotive, and non-ferrous metals, with recent additions in coal and basic chemicals [4][6] - Hot index holdings for July 2025 included semiconductor, lithium mining, and energy equipment, while automotive parts and liquor indices were removed [4][6] Market Rotation Dynamics - The analysis indicates that the speed of rotation is influenced by the structure of market participation funds, with rapid rotation correlating with high retail participation and financing balance synchronization [14][18] - In contrast, slower rotation reflects a dominance of institutional funds, leading to a significant lag in financing balances compared to index gains [14][18] Performance of Hot Rotation Strategies - The report suggests that in recent years of rapid hot rotation, short-term trend strategies are more likely to achieve excess returns [21][27] - The effectiveness of the index rotation has been higher than that of industry rotation in the past three years, indicating a shift in alpha generation from broader industry to more granular segments [27][28]

Group 1 - Since 2025, the A-share market has shown a structural trend with a focus on small and mid-cap stocks, leading to impressive performance from quantitative strategy private equity, with the best achieving a 73% return [1] - As of mid-year, 51 large private equity firms with performance data reported an average return of 10.87% for the first half of the year, with 94.12% of them achieving positive returns [1] - Among the profitable large private equity firms, 21 had returns within 10%, another 21 had returns between 10% and 19.99%, and 6 firms achieved returns of 20% or more [1] Group 2 - In the quantitative long strategy, the quantitative stock selection strategy private equity products have performed well, with an average return rate close to 20%, and the best product exceeding 54% [2] - The quantitative index enhancement strategy private equity products have an average return rate of 17%, with 94% achieving positive returns, and one product exceeding 73% [2] - As of July 14, the number of large private equity firms reached 89, with quantitative private equity firms increasing to 41, surpassing the number of subjective private equity firms for the first time in history [2] Group 3 - Quantitative investment strategies rely on extensive historical data and statistical analysis to identify price change patterns and trading opportunities, characterized by strong systematic features and strict adherence to model results [3] - While quantitative private equity is not the main driver of small-cap stocks, its growth can influence small-cap styles, although the excess returns from quantitative strategies may revert to neutral levels [3] - The primary risk for small and micro-cap styles comes from liquidity concentration, and potential market themes could absorb liquidity from small and micro-cap stocks, leading to corrections [3]

Core Insights - Since 2025, the A-share market has shown a structural trend favoring small and mid-cap stocks, leading to impressive performance from quantitative strategy private equity funds, with the best performers achieving a return of 73% [1] - The number of private equity funds with over 10 billion yuan in assets has rapidly expanded, surpassing the number of subjective private equity funds for the first time [2] Group 1: Performance Metrics - As of mid-year, 51 private equity funds with over 10 billion yuan reported an average return of 10.87% in the first half of the year, with 94.12% of these funds achieving positive returns [1] - Among the 48 funds that made profits, 21 had returns within 10%, another 21 had returns between 10% and 19.99%, and 6 funds achieved returns of 20% or more [1] - In the quantitative long strategy category, over 800 private equity products reported positive returns this year, with a success rate of approximately 94% [2] Group 2: Strategy Insights - Quantitative stock selection strategies have shown particularly strong performance, with an average return close to 20%, and the best product exceeding 54% [2] - The average return for quantitative index enhancement strategies is 17%, with 94% of these products achieving positive returns [2] - The growth of quantitative private equity funds is not solely driven by small-cap stocks, but rather reflects a broader strategy that can adapt to various market conditions [3]

Core Viewpoint - The article discusses the performance of various private equity strategies in the A-share market amid geopolitical tensions and economic downturns, highlighting the recovery of stock strategies since the "9.24" market event and the strong performance of quantitative long strategies in the first half of 2025 [1][2][4]. Group 1: Private Equity Strategy Performance - As of June 30, 2025, all private equity secondary strategies achieved positive returns in the first half of the year, with quantitative long strategies leading at an average return of 16.31%, followed by subjective long strategies at 10.55% and macro strategies at 9.19% [2][4]. - The total trading volume of the A-share market exceeded 160 trillion yuan in the first half of the year, significantly higher than over 100 trillion yuan in the same period last year, indicating a notable increase in market activity [4]. - The strong performance of quantitative long strategies is attributed to their focus on small-cap stocks, which have performed well, with the CSI 2000 index rising over 15% and the micro-cap stock sector increasing over 40% [4]. Group 2: Top Performing Private Equity Products - As of June 30, 2025, there were 345 quantitative long private equity products with performance data, with the top three products being "Fengshou No. 2," "Liangying Risheng Exclusive No. 1 A Class," and "Baolit Quantitative No. 1," achieving significant excess returns [5][6]. - The top ten quantitative long strategies included products from major firms such as Longqi Technology and Wenbo Investment, with their excess returns also being noteworthy [6][11]. Group 3: Recent Trends in Private Equity Strategies - Over the past year, the top three performing private equity secondary strategies were quantitative long, subjective long, and other derivative strategies, with average returns of 48.32%, 32.00%, and 31.52% respectively [8][10]. - In the last three years, the top three strategies shifted to subjective CTA, other derivative strategies, and bond enhancement, with average returns of 69.36%, 69.29%, and 45.18% respectively, indicating a significant change in market dynamics [12][14].

Fund Overview - The fund is named "Guotai Juxin Quantitative Stock Selection Mixed Initiation Securities Investment Fund" with two classes: A and C [19] - The fund type is a mixed securities investment fund, operating as a contractual open-end fund [19] - The minimum total subscription amount is 10 million units, with a minimum subscription amount of no less than 10 million RMB from the initiator [19] Fund Subscription Details - The subscription period is from July 4, 2025, to September 24, 2025, with a maximum duration of 3 months [25] - The fund shares are offered at a face value of 1.00 RMB [21] - Investors can subscribe multiple times during the subscription period, with A class shares incurring a subscription fee [33][26] Subscription Process - Investors must fully pay the subscription amount as per the sales institution's regulations; partial payments will result in invalid subscriptions [33] - For first-time subscribers, opening a fund account with Guotai Fund Management Co., Ltd. is required [35] - The minimum subscription amount for individual investors is 1.00 RMB, while for institutional investors, it is also set at 10.00 RMB [35] Fund Management and Custody - The fund manager is Guotai Fund Management Co., Ltd., and the custodian is Guotai Haitong Securities Co., Ltd. [49][50] - The fund management company was established on March 5, 1998, with a registered capital of 110 million RMB [50] Investor Information - The fund is open to individual investors, institutional investors, qualified foreign investors, and other investors permitted by laws and regulations [22] - Investors are encouraged to read the fund's contract and prospectus to understand the risk-return characteristics [54]

摘要 5 月小盘股表现优异，获得 2 个百分点以上的绝对收益，验证了模型判 断的准确性。6 月观点进一步倾向小盘，主要受益于宏观、市场情绪和 市场状态三个方面，其中情绪指标如天弘基金募资额、创新高个股占比 和期权 PCR 均利好小盘。 资产配置方面，当前对国内商品资产相对看好，股票资产持中性乐观态 度，而对债券则相对谨慎。宏观预期差模型显示，股票偏谨慎，债券中 性，商品乐观。左侧择时维度显示，股票偏乐观，债券偏谨慎，商品中 性。 行业轮动模型显示，市场轮动速度较快，采用价量因子为主，包括流动 性、动量和调研信息。5 月持仓行业包括银行、家电、综合金融、有色 金属、电科芯片公司和钢铁，组合涨幅 3.7%，跑赢基准 0.7%。 6 月推荐行业包括综合、消费者服务、通信、农林牧渔、钢铁和电子。 综合行业流动性得分靠前，农林牧渔与钢铁行业在调研信息维度有所优 势。综合金融因调研信息与流动性得分回落，未进入最终推荐持仓。 主动量化选股策略中，5 月初预测景气成长型策略与小盘掘金类策略将 表现更佳，小盘掘金类策略表现最佳。2025 年 5 月，小盘掘金类策略 表现最为优异，低关注度掘金策略收益率 9.6%，次新股掘金策略 ...

Core Viewpoint - The article discusses the current volatility in the U.S. stock market and the strategies investors are considering to hedge against potential shocks, particularly in light of uncertainties surrounding Trump's policies [1]. Group 1: Market Volatility and Investor Strategies - Despite a calming of volatility in April, investors are preparing for sudden market shocks, similar to those experienced in the past [1]. - Derivatives strategists suggest that while periodic option selling from income-focused ETFs may suppress overall volatility, short-term shocks will continue to occur [1]. - Investors are weighing their preferences between Gamma and Vega strategies for hedging against market fluctuations [1][2]. Group 2: Gamma vs. Vega Strategies - Gamma represents a strategy focused on short-term options to capitalize on intraday volatility, while Vega pertains to long-term contracts benefiting from market turbulence [2]. - Data from Bloomberg indicates that short-term options were the biggest winners in April, but if the market retraces to previous lows, extreme volatility may not be repeated [2]. - Analysts expect a gradual repricing of the market driven by weak future guidance, indicating a low-volatility bear market [2]. Group 3: Alternative Hedging Tools - VKO (Volatility Knock Out) options are gaining popularity as a speculative method to short stocks or volatility, offering a cheaper alternative to standard options [3]. - Hedge funds have actively engaged in VKO during recent market declines to secure better entry points, emphasizing the importance of timing in establishing positions [3]. - Quantitative Investment Strategies (QIS) are also being considered for hedging, with a mixed approach potentially being more effective given the varied performance of these strategies during April's volatility [3]. Group 4: Cost Trends and Market Outlook - Trading costs have returned to levels seen at the end of March, providing a favorable environment for hedgers [5]. - Analysts predict that earnings downgrades and valuation compression will lead to a gradual decline in U.S. stocks, testing lows expected in 2025 [5]. - The article notes that while sudden news shocks previously defined market declines, the next downturn is anticipated to be a slow erosion rather than a sharp sell-off [5].

Core Viewpoint - The Shanghai Securities Regulatory Bureau has issued a notice to enhance the compliance and operational standards of private fund managers in the region, emphasizing the need for self-assessment and rectification amidst increasing regulatory scrutiny [1][2][3] Regulatory Requirements - Private fund managers in Shanghai are required to organize collective learning sessions on relevant laws and regulations, including the Securities Investment Fund Law and the Private Investment Fund Supervision Regulations [2] - Participation in compliance training is mandated, with the Shanghai Securities Regulatory Bureau providing guidance and resources for private fund managers to improve their operational compliance [2] - A self-assessment and rectification process must be conducted by private fund managers, focusing on their operational status, fund performance, and any unregistered partnerships [2][3] Self-Assessment Focus Areas - The notice outlines specific self-assessment requirements for different types of private funds, including checks on investment management practices, compliance with fund contracts, and the handling of fund assets [4][5] - For equity investment funds, managers must verify the use of professional custodians and assess potential conflicts of interest and fund pooling practices [4] - For quantitative strategy funds, self-assessment must include evaluations of risk management, model testing, and the adequacy of IT systems [5] Market Activity - Despite stricter regulations, the enthusiasm for new private fund products remains high, with a nearly 40% year-on-year increase in the number of private fund product registrations in 2024 [1][6] - In April, 638 private securities managers registered a total of 1,170 private securities products, marking a 12.18% increase from March and the highest monthly registration in nearly two years [6][7] - Equity strategy products accounted for over 64% of the total registrations in April, indicating a renewed investor interest in stock assets [6][7]

Group 1 - The private equity market in A-shares is experiencing increased enthusiasm for allocation despite market fluctuations, with a notable rise in the number of private securities products registered in April [1] - In April, 638 private equity managers registered a total of 1,170 private securities products, marking a 12.18% increase from March's 1,043 products, and this is the first time in 2024 that the monthly registration exceeded 1,000 for two consecutive months [1] - Stock strategies dominate the registration, accounting for over 60% of the total, with 752 stock strategy products registered in April, representing 64.27% of the total [1] Group 2 - Quantitative private equity products also saw significant activity, with 545 quantitative securities products registered in April, making up 46.58% of the total registered products, indicating a strong preference for quantitative investment strategies [2] - Among the quantitative products, stock strategy products accounted for 380, or 69.72%, while futures and derivatives strategies had 84 products, representing 15.41% [2] - The confidence in the market is reflected in the active registration of private products, with firms expressing optimism about the future of the Chinese economy and potential revaluation of Chinese assets [2] Group 3 - The recovery of the stock market from tariff impacts and the gradual increase in index levels are key factors influencing future market trends, alongside domestic policy developments [3] - High tariffs are expected to significantly raise inflation levels in the U.S., increasing the likelihood of a dollar depreciation and a potential recession [3] - The combination of tariff improvements and supportive domestic policies is seen as a strong foundation for the stock market [3]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report provides several ETF strategy indices constructed with the help of ETFs and tracks the performance and positions of these indices on a weekly basis. These indices aim to obtain excess returns relative to the market through different strategies and models [11]. 3. Summary by Relevant Catalogs 3.1 ETF Strategy Index Tracking - **ETF Strategy Index Last Week's Performance**: - **HuaBao Research Large - Small Cap Rotation ETF Strategy Index**: Last week's index return was 0.46%, the benchmark was CSI 800 with a return of 0.59%, and the excess return was -0.14% [12]. - **HuaBao Research Quantitative Fire - Wheel ETF Strategy Index**: The index return was 0.75%, the benchmark was CSI 800 with a return of 0.59%, and the excess return was 0.15% [12]. - **HuaBao Research Quantitative Balance Art ETF Strategy Index**: The index return was 0.28%, the benchmark was SSE 300 with a return of 0.38%, and the excess return was -0.11% [12]. - **HuaBao Research SmartBeta Enhanced ETF Strategy Index**: The index return was 0.28%, the benchmark was CSI 800 with a return of 0.59%, and the excess return was -0.32% [12]. - **HuaBao Research Hot - Spot Tracking ETF Strategy Index**: The index return was 1.55%, the benchmark was CSI All - Share Index with a return of 1.10%, and the excess return was 0.45% [12]. - **HuaBao Research Bond ETF Duration Strategy Index**: The index return was -0.10%, the benchmark was ChinaBond Aggregate Index with a return of -0.08%, and the excess return was -0.02% [12]. 3.2 HuaBao Research Large - Small Cap Rotation ETF Strategy Index - **Strategy Principle**: 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 predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns [13]. - **Performance**: As of April 25, 2025, the excess return since 2024 was 16.35%, the excess return in the recent month was 0.58%, and the excess return in the recent week was -0.14%. The position was 100% in the SSE 300 ETF [13][16]. 3.3 HuaBao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on the exposure of ETFs to 9 major Barra factors to obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [16]. - **Performance**: As of April 25, 2025, the excess return since 2024 was 18.06%, the excess return in the recent month was 3.02%, and the excess return in the recent week was -0.32%. The position was 100% in the Dividend Low - Volatility ETF [16][21]. 3.4 HuaBao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behaviors of various market participants. It uses valuation and congestion signals to prompt industry risks and multi - dimensionally digs out potential sectors to obtain excess returns [20]. - **Performance**: As of April 25, 2025, the excess return since 2024 was 0.74%, the excess return in the recent month was 0.92%, and the excess return in the recent week was 0.15%. The positions included 21.03% in the Agriculture ETF and 18.93% in the Home Appliance ETF [20][23]. 3.5 HuaBao Research Quantitative Balance Art ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to construct a quantitative timing system for trend judgment of the equity market. It also builds a prediction model for the large - small cap style of the market to adjust the position distribution in the equity market and comprehensively obtains excess returns through timing and rotation [23]. - **Performance**: As of April 25, 2025, the excess return since 2024 was 1.99%, the excess return in the recent month was 2.40%, and the excess return in the recent week was -0.11%. The positions included various ETFs such as the CSI 1000 ETF, Enhanced 500 ETF, etc. [23][26]. 3.6 HuaBao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and mines hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional views, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot - spots in a timely manner to provide investors with references for short - term market trends and help them make more informed investment decisions [26]. - **Performance**: As of April 25, 2025, the excess return in the recent month was 2.74%, and the excess return in the recent week was 0.45%. The positions included the Real Estate ETF, Hong Kong Stock Consumption ETF, etc. [26][30]. 3.7 HuaBao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is lower than a certain threshold, it reduces the position of long - duration bonds in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [30]. - **Performance**: As of April 25, 2025, the excess return in the recent month was 0.17%, and the excess return in the recent week was -0.02%. The positions included the 10 - Year Treasury Bond ETF, Policy Financial Bond ETF, etc. [30][34].