Core Viewpoint - The GuoXin Quantitative Team has made significant research contributions over the past year, focusing on various investment strategies and market trends, showcasing their effectiveness and potential for investment opportunities [1]. Team Overview - The GuoXin Quantitative Team consists of 7 members specializing in areas such as active quantitative stock selection, index enhancement, factor research, FOF investment, fund research, industry rotation, asset allocation, Hong Kong stock investment, and CTA strategies [1]. Research Highlights - The team has produced a selection of research reports that cover a wide range of investment strategies, including: - Active quantitative stock selection strategies - Factor-based stock selection and index enhancement strategies - Market trend analysis and research on hot sectors - FOF and fund research series [1][8][10]. Performance Metrics - The "Super Expectation Selected Portfolio" has achieved an annualized return of 36.04% since 2010, outperforming the CSI 500 Index by 32.90% [11][12]. - The "Growth Steady Portfolio" has maintained an annualized return of 41.15% since 2012, exceeding the CSI 500 Index by 34.84% [14][16]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" has delivered an annualized return of 21.78%, consistently ranking in the top 30% of active equity funds since 2018 [19][21]. Strategy Insights - The "Small Cap Selected Portfolio" has generated an annualized return of 39.22% since 2014, outperforming the CSI 2000 Index by 28.66% [25][27]. - The "Stable Selected Portfolio" has achieved an annualized return of 26.18% since 2012, with a lower maximum drawdown compared to the CSI Dividend Total Return Index [30][32]. - The "Multi-Strategy Enhanced Portfolio" has recorded an annualized return of 23.43% since 2013, with a significant information ratio of 2.60 [34]. Sector Rotation Strategies - The "Key Moment Leading Sheep Strategy" has identified strong momentum effects in the A-share market, achieving an annualized return of 25.29% since 2013, outperforming the CSI All Index by 19.65% [39][40].

Core Insights - The total number of private equity securities funds registered in the market reached 7,907 in the first eight months of this year, a significant increase of 82.19% compared to 4,340 in the same period last year [1] - The monthly trend shows a clear recovery in private equity securities fund registrations since March, with monthly new registrations consistently exceeding 1,000, indicating a rising enthusiasm in the industry [1] Group 1: Market Trends - The growth in private equity securities fund registrations is attributed to four main factors: the steady recovery of the A-share market, strong performance in strategic emerging industries like artificial intelligence, improved information disclosure and operational standards in the private fund industry, and the rapid development of quantitative investment strategies [1] - Stock strategy products have become the mainstay of registrations, with 5,173 stock strategy products registered in the first eight months, accounting for 65.42% of total registrations, marking a 91.31% increase from 2,704 last year [1] Group 2: Strategy Types - There has been stable growth in multi-asset strategies and futures and derivatives strategies, with 1,116 multi-asset strategy products and 841 futures and derivatives strategy products registered, representing 14.11% and 10.64% of total registrations, respectively, and increases of 76.58% and 66.87% from last year [2] - The proportion of quantitative private equity securities funds in the overall registered products has continued to rise, with 3,584 quantitative products registered, making up 45.33% of total registrations, doubling from 1,789 last year [2] Group 3: Institutional Insights - Among the private equity fund managers, 2,154 had registered products in the first eight months, with 1,436 institutions managing under 500 million yuan accounting for 34.02% of total registrations, while 76 institutions managing over 1 billion yuan accounted for 24.48% [2] - The leading private equity institutions include Kuande Private Equity with 118 registered products, focusing on stock quantitative long strategies, followed by Heiyi Asset with 112 products, and Mingyun Investment with 101 products, both also emphasizing stock quantitative long strategies [3]

Core Insights - The private equity market has seen significant growth in the number of registered private securities products, with a total of 7,907 products registered as of August 31, marking an 82.19% increase year-on-year [1][3][4] - The stock strategy products dominate the private equity market, with 5,173 products registered, accounting for 65.42% of the total, and showing a 91.31% increase compared to the previous year [4][5] - Quantitative products have also experienced substantial growth, with 3,584 products registered, reflecting a 100.34% year-on-year increase [5] Private Equity Market Trends - The private equity market has maintained a high level of new product issuance, with monthly registrations consistently exceeding 1,100 products from June to August [3] - The demand for diversified asset allocation has led to a notable increase in multi-asset and futures/derivatives strategy products, with 1,116 and 841 products registered respectively, both showing significant growth compared to the previous year [5] - The overall market sentiment has improved due to the steady recovery of the A-share market and the strong performance of sectors like artificial intelligence, which has attracted more investors to private equity products [5] Investor Engagement - There has been a marked increase in private equity firms' engagement in A-share company research, with 1,152 firms participating in 6,053 research activities in August, a 243.34% increase from the previous month [6] - The healthcare and electronics sectors have been the most researched, with 1,095 and 947 research activities respectively, indicating a concentrated interest in these industries [6] - The average position of domestic stock private equity firms has risen to 75.55%, reflecting a positive investment sentiment despite slight fluctuations in larger firms' positions [6]

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]

Group 1 - The Shanghai Composite Index opened lower but rose, with the CSI 300 Fuguo 130/30 Long-Short Strategy Index increasing by 0.07% to 47,596.81 points, with a trading volume of 103.244 billion [1] - The CSI 300 Fuguo 130/30 Long-Short Strategy Index has increased by 0.15% in the past month, 0.77% in the past three months, and 4.39% year-to-date [1] - This index employs a negative weight to reflect the concept of short selling, with a long position of 130% and a short position of -30%, utilizing leverage to provide new risk-return characteristics [1] Group 2 - The top ten holdings of the CSI 300 Fuguo 130/30 Long-Short Strategy Index include Kweichow Moutai (5.36%), CATL (5.27%), iFlytek (4.07%), Hangzhou Bank (4.06%), and others [1] - The market capitalization distribution shows that the Shanghai Stock Exchange accounts for 63.48% and the Shenzhen Stock Exchange accounts for 36.52% [1] - In terms of industry allocation, finance comprises 21.57%, industrials 17.13%, information technology 16.95%, consumer staples 10.81%, and healthcare 10.49% among others [2]

Summary of Conference Call Records Industry or Company Involved - Focus on the small-cap stock market and investment strategies within the A-share market Core Points and Arguments 1. **Small-Cap Stock Performance**: In May, small-cap stocks outperformed with an absolute return of over 2 percentage points, confirming the accuracy of the model's predictions. The outlook for June leans further towards small-cap stocks due to macroeconomic factors, market sentiment, and market conditions [1][3][4] 2. **Asset Allocation Views**: The current stance is optimistic towards domestic commodity assets, neutral to optimistic on stock assets, and cautious on bonds. The macro expectation model indicates a cautious view on stocks, neutral on bonds, and optimistic on commodities [5][6] 3. **Industry Rotation Model**: The industry rotation model shows rapid market rotation, with a focus on liquidity, momentum, and research information. In May, the portfolio included banking, home appliances, comprehensive finance, non-ferrous metals, electronic science and technology chips, and steel, achieving a total return of 3.7%, outperforming the benchmark by 0.7% [7][8] 4. **Recommended Industries for June**: The recommended sectors for June include comprehensive services, consumer services, telecommunications, agriculture, forestry, animal husbandry, fishing, steel, and electronics. The comprehensive sector has a high liquidity score, while agriculture and steel have advantages in research information [7][8] 5. **Active Quantitative Stock Selection Strategy**: The small-cap stock selection strategy performed best in May, with a focus on growth and small-cap strategies. The low attention stock selection strategy yielded a return of 9.6%, while the new stock selection strategy returned 7.5% [2][10] 6. **Investment Recommendations for June**: The analysis suggests focusing on dividend and small-cap selection strategies due to their improved cost-effectiveness compared to growth strategies [11] Other Important but Possibly Overlooked Content 1. **Market Sentiment Indicators**: Indicators such as Tianhong Fund's fundraising amount, the proportion of stocks hitting new highs, and the options PCR are all favorable for small-cap stocks [3][4] 2. **Risks to Monitor**: Potential risks include policy changes, sentiment fluctuations, and crowded institutional holdings that could impact small-cap stock performance [4] 3. **Quantitative Models Performance**: The quantitative models developed by the team have shown varying degrees of success, with the reinforcement learning factor extraction model maintaining an 11% cumulative return, outperforming the benchmark by 3.5 percentage points [11][12]