- The report discusses the construction of an out-of-sample effective index allocation portfolio, focusing on three key aspects: price judgment, tool expression, and risk control. Price judgment involves forming predictions on the price trends of major assets, industries, or individual stocks using macro, meso, and micro-level information through qualitative, quantitative, or mixed methods. Tool expression refers to selecting investable tools for portfolio implementation, while risk control manages potential losses in the portfolio[9] - The primary goal of the strategy is to reduce overfitting risks to enhance out-of-sample effectiveness. This is achieved through three measures: expanding the pool of targets, neutralizing factors to reduce style impact, and managing portfolio risks to mitigate the impact of tail risks on excess returns. Signal sustainability outside the sample is emphasized as a critical factor[2] - The report highlights the advantages of using equity indices as allocation tools. Indices, being a basket of stocks, can hedge individual stock-specific risks to some extent. They also serve as better tools for expressing investment views due to their distinct target attributes. Additionally, risk models at the index level are more effective, providing better risk management outcomes[11][12] - The construction of the index risk control model follows a process similar to stock risk control models but requires additional steps to synthesize index-level data. The process includes selecting indices published before the given trading day, ensuring all index components are A-shares, obtaining index component lists and weights, and calculating weighted scores for industry/style exposures based on real-time weights. The model's effectiveness is significantly higher than individual stock models, with industry contributions surpassing style contributions[22][23] - The report categorizes factors into four main types: fundamental, analyst, price-volume, and high-frequency. Each type is further divided into subcategories, such as growth, profitability, valuation, momentum reversal, volatility, liquidity, and fund flows. The factor library includes a total of 275 factors, with specific counts for each subcategory[26][27][30] - Historical performance analysis of sub-strategies shows varying correlations among them, emphasizing the necessity of multi-strategy approaches. For the period of January to August 2025, fundamental factors like profitability and growth, as well as price-volume sub-strategies, performed well. However, individual sub-strategies experienced periodic drawdowns, highlighting the importance of diversification[27][30] - Based on selected sub-strategies, the report constructs a composite index scoring signal for portfolio allocation. Anchored to the CSI All Share Index, the portfolio controls deviations in industry and major style exposures. The out-of-sample performance, including returns, drawdowns, and tracking errors, aligns closely with backtest results[32][33] - The report evaluates the use of existing products, including active and passive types, for tracking the target index portfolio. Combining active and passive products yields better out-of-sample tracking results compared to using ETFs alone. While ETFs perform well in certain months, the combined approach demonstrates superior consistency[37][38] - The report identifies the overall performance of factors in 2025, with fundamental factors like growth and profitability, as well as price-volume factors such as momentum reversal, volatility, and liquidity, showing strong results[36]

嗨，大家晚上好！今天整体行情还不错，基本都在按照昨晚的节奏走，而且情绪比预计的还强一些，六月算是有了个不错的开门红，那六月份的大体走势 就出来了。 六月份的节奏还是量化主导的轮动+游资主导的抱团结合的套路，玩得转的话这个月应该还不错。玩不转的话行情好的时候打打野，行情不好的时候休息 为主，特别是下半个月。 今天三大指数低开修复后震荡为主，就是昨晚给的剧本，成交量1.14万亿跟上一交易日基本持平，因为今天这个节点修复力度比较不错，那指数这里反倒 有点有点盼头了，本周前半周预计指数震荡走高为主，后半周看分歧回调。本月而言指数这里短期看震荡走高，5月14日附近高点是个强压位，上半个月 指数涨的越多后半个月风险越大。明天指数看震荡走高，问题不大。 市场情绪 涨停：67家 跌停：6家 上涨：3190家 下跌：1724家 连板高度 5板：德邦股份 4板：御银股份、联化科技 3板：恒宝股份、翠微股份、海联金汇 2板：共创草坪、永悦科技、申科股份、中天火箭、中恒设计、万邦德、海南海药、百利电气（6天4板）、哈三联 题材股今天修复力度还不错，虽然还有六个跌停但明天应该都会开板，明天情绪继续看修复，应该又是轮动抱团机会，题材股会 ...