分析师：程秉哲 登记编号：S0890522110001 分析师：黄浩 登记编号：S0890524110001 投资要点 A股权益市场全周表现强势，市场热度持续升温，本周上证指数收涨3.49%，录得较大涨幅，日内小幅调整后均可以快速反弹修复，资金 对于进入市场仍保持较高热度。境内权益的基金策略指数同样在本周录得不同程度的涨幅，低波策略保持低波动属性，在当前行情下势必 损失超额收益；股基增强策略录得更优收益，表现持续契合我们对于工具化组合的配置建议，增加进攻性和向上的弹性。 量化策略配置观点： 股基增强策略 > 海外权益策略> 常青低波策略 A股方面，上证指数表现强势，对于多个整百点位均在短期震荡调整后快速突破，强力突破去年的高点。综合当前市场情绪、市场风险偏 好以及内外部环境等多重因素，市场有望保持向上的趋势，即使短期有所阻力，回调空间也较为有限。在A股权益基金策略内部，更具弹 性的股基增强组合依旧在当前时点有相对更大空间。常青低波策略可作为打底配置，同时银行等防御风格板块在经历调整后性价比提升， 依旧具有较高长期配置价值。 海外方面，回顾近期动态，美股从计价关税预期缓解，再到与多数国家和地区达成贸易协议，市场 ...

Group 1 - The core viewpoint of the article highlights the strong performance of the A-share equity market, with the Shanghai Composite Index breaking through last year's high points and maintaining an upward trend despite short-term adjustments [3][4] - The article emphasizes the effectiveness of various fund strategies, particularly the stock enhancement strategy, which is expected to accumulate excess returns as the market environment improves [5][20] - The overseas equity market is also recovering, driven by easing tariff expectations and strong earnings from tech companies, although caution is advised for short-term investments due to potential risks in the upcoming months [4][14] Group 2 - The "Evergreen Low Volatility Fund" has shown strong stability and lower volatility compared to the benchmark, making it suitable for risk-averse investors [8][19] - The "Stock Enhancement Fund" aims to identify undervalued companies and is expected to perform better as market conditions improve, despite its recent performance being close to the benchmark [9][20] - The "Cash Growth Fund" has consistently outperformed its benchmark, providing a reliable option for cash management with accumulated excess returns since its strategy launch [11][21] - The "Overseas Equity Allocation Fund" has benefited from the global tech growth trend and is positioned to provide additional returns through diversified investments [14][22]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The A-share equity market showed strong performance throughout the week, with major fund strategy indices hitting new highs. Overseas equities also resumed their upward trend after an early - month shock, and the market was less sensitive to risk factors [2]. - The recommended order of quantitative strategy allocation is: stock fund enhancement strategy > evergreen low - volatility strategy > overseas equity strategy. The A - share market is expected to maintain an upward trend, and the stock fund enhancement portfolio has more room. The evergreen low - volatility strategy can be used as a base configuration, and defensive sectors like banks still have high long - term allocation value. Overseas, the US stock market has been rising, but it's not advisable to chase high in the short term, while maintaining a long - term optimistic view [3][4]. 3. Summary by Related Catalogs 3.1 Quantified Strategy Allocation View - **A - share Market**: The Shanghai Composite Index is strong, breaking through multiple round - number points and last year's high. The market is expected to keep rising, with limited callback space. The stock fund enhancement portfolio has more room, and the evergreen low - volatility strategy and defensive sectors have long - term value [3]. - **Overseas Market**: The US stock market has been rising due to various factors. It's not advisable to chase high in the short term, but the long - term upward trend is still optimistic, and attention should be paid to potential dips for layout [4]. - **Equity Fund Strategies**: The evergreen low - volatility fund strategy rose this week with a return of 1.897% and an excess return of - 2.355%. It can reduce portfolio volatility and is still worth being a base - position configuration. The stock fund enhancement fund strategy rose with a return of 1.922% and an excess return of - 2.330%. The cash - enhancing fund strategy had a return of 0.028%, outperforming the benchmark. The overseas equity allocation fund strategy rose with a return of 1.868% and an excess return of - 1.045% [4][5]. 3.2 Tool - based Fund Portfolio Performance Tracking - **Evergreen Low - Volatility Fund Portfolio**: It has low - volatility characteristics, with significantly better volatility and maximum drawdown than the CSI Active Stock Fund Index. It has achieved significant excess returns since the strategy started in July 31, 2023, and has both defensive and offensive capabilities [11][13]. - **Stock Fund Enhancement Fund Portfolio**: Since the strategy started recently, its performance is close to the CSI Active Stock Fund Index. It is expected to have more elasticity when the market environment improves and can maintain a similar trend to the benchmark in a weak market [11][16]. - **Cash - Enhancing Fund Portfolio**: After double - screening, it continuously outperforms the benchmark, and has accumulated an excess return of over 0.41% since July 2023, providing a reference for cash management [11][17]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, in the context of the Fed's interest - rate cut cycle and the boost of AI technology, it has accumulated high - level excess returns, and global allocation can increase portfolio returns [11][20]. 3.3 Tool - based Fund Portfolio Construction Ideas - **General Idea**: Use quantitative methods to build a new - style fund selection pool for different market environments and risk - preference investors. For money funds and bond funds, also use quantitative methods to develop relevant tool - based portfolios [23]. - **Evergreen Low - Volatility Fund Portfolio**: Select funds with long - term stable returns from high - equity - position actively managed funds. Consider factors such as maximum drawdown, volatility, and valuation to build a low - volatility active equity fund portfolio [26]. - **Stock Fund Enhancement Fund Portfolio**: Aims to meet the needs of high - risk - preference investors. Select fund managers with strong alpha - mining ability, and build a portfolio based on the continuation of alpha returns [27]. - **Cash - Enhancing Fund Portfolio**: Build a money - fund selection system considering multiple factors to help investors obtain higher returns and reduce return volatility [28]. - **Overseas Equity Allocation Fund Portfolio**: Select QDII equity funds corresponding to overseas equity indices based on long - and short - term technical indicators, momentum, and reversal effects to meet the needs of global allocation [25][29].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - A-share and US stock equity markets both showed strong performances after short-term adjustments. All strategy indices gained positive returns this week, with defensive-style sectors that had experienced longer pullbacks performing better, and domestic equity portfolios achieving excess returns. The Evergreen Low-Volatility Strategy and Stock Fund Enhancement Strategy earned 1.826% and 1.620% respectively, while the Overseas Equity Strategy recorded a 0.610% return [2]. - The quantitative strategy configuration preference is: Stock Fund Enhancement Strategy > Evergreen Low-Volatility Strategy > Overseas Equity Strategy. The A-share market is expected to maintain an upward trend, with limited downside potential. The Stock Fund Enhancement Strategy has more room, the Evergreen Low-Volatility Strategy can serve as a base allocation, and defensive sectors like banks still have high long-term allocation value. For the US stock market, it's not advisable to chase high in the short term, but its long-term upward trend is still optimistic, and attention should be paid to potential pullbacks for bottom-fishing opportunities [3][4]. Summary by Relevant Catalogs 1. Toolized Fund Portfolio Performance Tracking - **Evergreen Low-Volatility Fund Portfolio**: Maintained low volatility characteristics, with both portfolio volatility and maximum drawdown significantly better than the CSI Active Equity Fund Index. Since the strategy started on July 31, 2023, it has continued to have low volatility and small drawdowns, achieving significant excess returns and showing both defensive and offensive capabilities [14]. - **Stock Fund Enhancement Fund Portfolio**: The strategy has been running for a relatively short time, and its performance is similar to the CSI Active Equity Fund Index. It is expected to have stronger elasticity when the market environment improves, and can maintain a similar trend to the benchmark in a weak market [16]. - **Cash Enhancement Fund Portfolio**: Through double screening of risk elimination and scoring optimization, it continuously outperformed the benchmark. Since the strategy started at the end of July 2023, the excess return has been continuously accumulated, providing an effective reference for investors in cash management [17]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, in the context of the Fed's interest rate cut cycle and the boost of artificial intelligence technology to global technology stocks, it has accumulated a high level of excess returns, and global allocation can enhance the returns of equity investment portfolios [20]. 2. Toolized Fund Portfolio Construction Ideas - **Active Equity Funds**: Combine fund holding dimension factors and net value dimension factors to construct a low-volatility fund portfolio strategy to meet the defensive needs of investors in high-risk markets and provide stable returns for medium-risk preference investors. Also, construct a fund portfolio strategy with similar risk and volatility characteristics to the equity fund benchmark index to provide a more aggressive option for high-risk preference investors [21]. - **Money Market Funds**: Build a money market fund screening system based on multi-dimensional characteristic factors to select money market funds with better performance and help investors optimize short-term idle funds' returns [22]. - **QDII Funds**: Screen equity indices of multiple countries or regions based on long- and short-term technical indicators, index momentum, and reversal effects, and select corresponding QDII equity funds to construct an overseas market selection portfolio to meet investors' needs for global allocation [24].

Core Viewpoint - The A-share equity market has shown resilience after a brief adjustment following the Shanghai Composite Index's breakthrough of 3600 points, indicating a potential upward trend despite short-term resistance [3][4]. Market Performance - The A-share market rebounded near the 20-day moving average, achieving five consecutive days of gains and closing above 3600 points for four days [3]. - The U.S. equity market also stabilized and rebounded quickly after initial pressure from non-farm employment data, reflecting strong performance [3]. - Various strategy indices recorded positive returns, with defensive style sectors outperforming after a prolonged correction [3]. Strategy Performance - The "Evergreen Low Volatility Strategy" and "Enhanced Equity Strategy" achieved returns of 1.826% and 1.620% respectively, while overseas equity strategies recorded a return of 0.610% [4][5]. - The "Evergreen Low Volatility Strategy" has shown strong stability since its inception, effectively reducing portfolio volatility while maintaining decent returns [10]. - The "Enhanced Equity Strategy" has performed closely to the benchmark, with potential for greater elasticity as market conditions improve [11]. Overseas Market Insights - The U.S. market has benefited from easing tariff expectations and strong earnings reports from tech companies, leading to a sustained upward trend [5]. - Despite being at historically high levels, the U.S. market is expected to maintain a long-term upward trend, with a focus on potential pullback opportunities for strategic positioning [5]. - The overseas equity allocation strategy has accumulated significant excess returns since its inception, driven by the tech sector's growth and the easing of tariff tensions [15]. Fund Strategy Overview - The "Cash Growth Fund Strategy" achieved a return of 0.027%, outperforming the benchmark, with cumulative excess returns since inception exceeding 0.39% [6][13]. - The "Overseas Equity Allocation Fund Strategy" has shown strong performance since July 31, 2023, benefiting from the Fed's easing cycle and the global tech sector's momentum [15][19]. - The report emphasizes the importance of a diversified approach to fund selection, utilizing quantitative methods to identify suitable funds across different market conditions [18][19].

Group 1 - The A-share equity market has shown strong performance, breaking through key levels, with the Shanghai Composite Index approaching 3600 points before facing resistance and adjusting to around 3550 points [2][4] - The stock-based enhancement strategy remains relatively strong despite adjustments in various equity fund strategy indices, with returns of -0.858% for the stock-based enhancement strategy and -1.951% for the evergreen low-volatility strategy [2][6] - The evergreen low-volatility strategy has demonstrated strong stability since its inception, effectively reducing portfolio volatility during market fluctuations, and is recommended for long-term allocation [5][14] Group 2 - The overseas equity allocation strategy has faced a decline of -1.307%, but the long-term outlook remains positive due to the resilience of the U.S. economy and technological advancements [7][20] - The cash-enhanced fund strategy has outperformed its benchmark, achieving a return of 0.027%, indicating effective cash management for investors [6][17] - The report emphasizes the importance of a diversified investment approach, particularly in the context of global asset allocation through QDII funds, to enhance returns [24][28]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - The A-share equity market continues to be strong, while the US equity market shows a high-level consolidation trend. The dividend low-volatility strategy index remains stable, and the equity fund enhancement strategy index shows high elasticity [4]. - The recommended order of quantitative strategy allocation is: equity fund enhancement strategy > evergreen low-volatility strategy > overseas equity strategy [5]. - The report is relatively optimistic about the A-share market. The equity fund enhancement portfolio may have more room, and the evergreen low-volatility strategy can be used as a base allocation. The overseas market has short-term high-level correction risks, but long-term investment value remains [5][6]. 3. Summary by Directory 3.1 Toolized Fund Portfolio Performance Tracking - **Evergreen Low-Volatility Fund Portfolio**: It has maintained low volatility characteristics, with significantly better volatility and maximum drawdown than the CSI Active Equity Fund Index. Since the strategy started on July 31, 2023, it has achieved significant excess returns and has both defensive and offensive capabilities [15]. - **Equity Fund Enhancement Fund Portfolio**: The strategy has been running for a short time, and its performance is close to the CSI Active Equity Fund Index. It is expected to have stronger elasticity after the market environment improves [18]. - **Cash Enhancement Fund Portfolio**: After double screening, it continuously outperforms the benchmark. Since the strategy started at the end of July 2023, the excess return has been continuously accumulated, providing a reference for cash management [19]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, it has accumulated high excess returns, and global allocation can increase the returns of the equity investment portfolio [23]. 3.2 Toolized Fund Portfolio Construction Ideas - **Evergreen Low-Volatility Fund Portfolio**: The goal is to select funds with long-term stable returns from high-equity position actively managed funds. By adding restrictions on fund valuation levels, a low-volatility active equity fund portfolio is constructed [28]. - **Equity Fund Enhancement Fund Portfolio**: The goal is to meet the needs of equity fund investors with different risk preferences. It configures funds managed by fund managers with strong Alpha mining capabilities, and the portfolio shows excellent holding-period win rates [29]. - **Cash Enhancement Fund Portfolio**: A money fund selection system is constructed by comprehensively considering various money fund factors to help investors obtain higher returns and reduce return volatility risks [30]. - **Overseas Equity Allocation Fund Portfolio**: Based on overseas equity market indices, it selects QDII funds corresponding to indices with good upward momentum to construct a portfolio, providing an auxiliary tool for global investment [31].

Core Viewpoint - The A-share equity market continues to show strong performance, driven by multiple favorable factors, while the US equity market exhibits a high-level consolidation trend [2][4]. A-share Market Analysis - The A-share market has shown a sustained upward trend, with the Shanghai Composite Index breaking through the 3500-point level after a period of fluctuation around 3400 points [3]. - Dividend and low-volatility style sectors have performed strongly but may face short-term adjustments, leading to a potential decrease in dividend yield and attractiveness [3][4]. - The Evergreen Low Volatility strategy index recorded a return of 0.872%, while the Stock Enhancement strategy index achieved a return of 1.558%, indicating stronger elasticity in the latter [2][5]. Quantitative Strategy Configuration - The preferred strategy ranking is Stock Enhancement Strategy > Evergreen Low Volatility Strategy > Overseas Equity Strategy [3]. - The Stock Enhancement strategy is expected to gain traction as the market environment improves, with potential for higher returns as undervalued companies become more apparent [5][6]. Overseas Market Dynamics - Recent developments indicate a recovery in overseas markets, particularly in the US, following a reduction in tariff risks and better-than-expected economic data [4]. - The Overseas Equity Strategy recorded a slight decline of -0.376%, reflecting ongoing volatility in the market [6]. - Despite short-term uncertainties, the long-term outlook for the US equity market remains positive, supported by a stable economic backdrop and technological advancements [4][6]. Fund Strategy Performance - The Evergreen Low Volatility Fund has demonstrated strong stability and lower volatility compared to the benchmark, achieving significant excess returns since its strategy inception [11][22]. - The Stock Enhancement Fund has shown performance close to the benchmark, with expectations for improved returns as market conditions stabilize [13][23]. - The Cash Enhancement Fund strategy has consistently outperformed the benchmark, accumulating excess returns since its inception [15][24]. - The Overseas Equity Configuration Fund has benefited from global asset allocation, achieving high levels of excess returns since its strategy launch [16][25].

- The "Style Rotation Fund Selection Strategy" is based on constructing an absolute active rotation indicator using stock holdings from two reporting periods to identify style rotation or stable style funds. The strategy employs semi-annual rebalancing at the end of March and August, focusing on equity-biased mixed funds and ordinary stock funds, excluding transaction costs[26][31][31] - The "Comprehensive Fund Selection Strategy Based on Fund Characteristics and Capabilities" integrates multiple selection factors such as fund size, holder structure, performance momentum, stock-picking ability, hidden trading ability, and gold content. These factors are equally weighted and combined. The strategy uses quarterly rebalancing at the end of January, April, July, and October, excluding transaction costs[35][40][40] - The "Fund Selection Strategy Based on Trading Motivation Factor and Stock Spread Income Factor" combines trading motivation factors and stock spread income factors derived from fund profit statements. It aims to select funds with high stock spread income, active trading motivation, and low likelihood of performance manipulation. The strategy employs semi-annual rebalancing at the end of March and August, focusing on active equity funds, excluding transaction costs[41][42][47] - The "Fund Manager Trading Uniqueness Strategy" constructs a network based on fund manager holdings and trading details to create a trading uniqueness indicator. The strategy uses semi-annual rebalancing at the beginning of April and September, focusing on equity-biased mixed funds, ordinary stock funds, and flexible allocation funds, excluding transaction costs[48][54][54] - The "Style Rotation Fund Selection Strategy" achieved a June return of 4.45%, annualized return of 9.05%, annualized volatility of 19.67%, Sharpe ratio of 0.46, maximum drawdown of 37.30%, annualized excess return of 3.43%, excess maximum drawdown of 11.25%, and IR of 0.46[31] - The "Comprehensive Fund Selection Strategy Based on Fund Characteristics and Capabilities" achieved a June return of 4.26%, annualized return of 13.09%, annualized volatility of 22.51%, Sharpe ratio of 0.58, maximum drawdown of 44.27%, annualized excess return of 4.92%, excess maximum drawdown of 17.38%, and IR of 0.61[40] - The "Fund Selection Strategy Based on Trading Motivation Factor and Stock Spread Income Factor" achieved a June return of 6.47%, annualized return of 9.03%, annualized volatility of 21.66%, Sharpe ratio of 0.42, maximum drawdown of 48.39%, annualized excess return of 3.09%, excess maximum drawdown of 19.13%, and IR of 0.53[47] - The "Fund Manager Trading Uniqueness Strategy" achieved a June return of 5.38%, annualized return of 9.86%, annualized volatility of 19.51%, Sharpe ratio of 0.51, maximum drawdown of 37.26%, annualized excess return of 4.30%, excess maximum drawdown of 10.84%, and IR of 0.85[54]

Investment Insights - A-shares have resumed an upward trend in early June after experiencing fluctuations and short-term adjustments in May, with technology growth sectors like semiconductors and communications rebounding [2][3] - The banking sector continues to perform strongly, attracting significant capital [2] - In the overseas market, U.S. stocks are approaching previous highs, influenced by non-farm employment data and positive developments in the semiconductor industry [2][4] Quantitative Strategy Allocation - The preferred strategy is stock-enhanced strategies, followed by evergreen low-volatility strategies and overseas equity strategies [3] - A-shares have rebounded quickly after a short-term tariff shock, but there are concerns about the sustainability of this rebound as the market approaches previous highs [3] - Defensive sectors like banks have shown strong performance, but potential risks from significant price increases should be monitored [3] Overseas Market Analysis - The easing of U.S. tariff attitudes has led to a recovery in U.S. stocks and other global markets, although uncertainties remain regarding trade negotiations and policy [4][6] - The Nasdaq is nearing its early-year highs, but upward momentum may face resistance [4][7] - Long-term, the outlook for U.S. stocks remains positive, supported by a stable economic backdrop and technological advancements [4][7] Fund Strategy Performance - The Evergreen Low-Volatility Fund Strategy recorded a weekly return of 0.688%, demonstrating strong stability and excess returns in a defensive market [5][8] - The Stock-Enhanced Fund Strategy achieved a weekly return of 1.023%, with potential for excess returns as market conditions improve [5][8] - The Cash Growth Fund Strategy yielded a return of 0.030%, outperforming the benchmark [5][8] Fund Composition Insights - The Evergreen Low-Volatility Fund has consistently maintained low volatility and maximum drawdown, outperforming benchmarks since its strategy launch [9][21] - The Stock-Enhanced Fund aims to identify funds with strong alpha generation capabilities, showing promise in improving performance as market conditions stabilize [12][22] - The Cash Growth Fund has accumulated excess returns since its strategy implementation, providing effective cash management solutions [14][23] - The Overseas Equity Allocation Fund has benefited from the global tech growth driven by AI, accumulating significant excess returns [16][24]