Summary of Conference Call Notes Industry or Company Involved - The discussion revolves around quantitative investment strategies and market style dynamics, specifically focusing on the performance of different investment styles such as growth, value, and small-cap strategies. Core Points and Arguments 1. **Market Style Influence on Investment Strategies** Different fundamental quantitative investment approaches are significantly influenced by market styles. Growth styles perform better in favorable economic conditions, while value styles excel during value-dominant periods. Adjusting allocations based on market conditions is essential to maximize alpha and beta contributions [1][2][4]. 2. **Quantitative Model Characteristics** The model developed by CICC emphasizes risk considerations rather than momentum. It incorporates temporal information to assess the current risk level and allocate high alpha assets when risks are low, enhancing overall returns [1][5][6]. 3. **Style Risk Attribute Model** The model evaluates style risk using indicators such as valuation differences, capital participation, and intra-portfolio differentiation. Valuation differences are positively correlated with future returns, particularly in growth and value styles, with a correlation of around 0.5 [1][10]. 4. **Active Inflow Rate Indicator** The active inflow rate indicator shows varying correlations across styles. For growth styles, high inflow rates may indicate overcrowding, while for small-cap and value styles, increased inflows can signal positive recognition. Extreme inflow rates across all styles indicate potential risks [11]. 5. **Concentration and Differentiation Effects** In growth and small-cap styles, higher concentration correlates with better future returns, while in value and dividend styles, greater differentiation leads to improved returns. Different strategies should be applied based on the specific style [12]. 6. **Effectiveness of Timing Indicators** The effectiveness of timing indicators, such as valuation differences and capital participation, is statistically validated. These indicators provide unique insights and can be used simultaneously without diminishing their effectiveness [13]. 7. **Dynamic Allocation and Rotation Strategies** Dynamic allocation strategies involve independent monthly assessments of investment styles based on their current risk and value. Rotation strategies focus on selecting the highest probability styles for concentrated holdings [18][19]. 8. **Performance of Style Rotation Model** Historical data shows that the style rotation model performs well at key style nodes, with an average turnover rate of about 45%. The model has maintained consistent performance across various years, with only a few years showing slight losses [21][22]. 9. **Sample Out-of-Sample Data Validation** Out-of-sample data has validated the model's effectiveness, with significant year-to-date returns exceeding 30% as of June [23]. 10. **Future Tracking and Evaluation** Continuous tracking and evaluation will be conducted monthly, providing timely updates on market styles and critical indicators. This proactive approach aims to enhance the robustness of the quantitative investment framework [24]. Other Important but Possibly Overlooked Content - The report emphasizes the importance of risk control in investment strategies, highlighting that while dynamic allocation can reduce maximum drawdowns, it may not always yield higher absolute returns compared to fixed allocation strategies [20].

Overall Summary - The report is a weekly financial engineering report on the fund market, covering market performance, style analysis, and factor performance as of August 1, 2025 [3]. Market Performance - In the week ending August 1, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -1.14%, 0.13%, and -2.46% respectively [3]. - In the public - fund market, there was a divergence in stock - bond returns in the past week, with medium - and long - term bonds outperforming. The index weekly return was 0.14%. Passive index returns in the equity market weakened, neutral strategy products mostly rose, pure - bond strategy returns in the bond market rebounded, convertible bond returns declined, and silver and energy - chemical ETFs in the commodity market significantly corrected, while gold and soybean meal ETFs had slightly weaker returns [3]. Style Analysis 1. Zhongxin Five - Style Index - Last Friday, the style index closed down, with growth and consumption relatively stronger. The style rotation chart showed that the relative strength of each style decreased month - on - month, and the cyclical style had a large decline in the indicator momentum [3]. - In the public - fund pool, the average return of consumption - style funds in the past week did not outperform the benchmark index, while cyclical and growth - style funds had better excess performance. The style coefficients of growth and stable styles slightly increased [3]. - The growth style rose to a historically high - congestion range [3]. 2. Style Timing Model - According to the latest scoring results of the style timing model, the financial style weakened marginally this week, the stable style rebounded, and the current signal favored the consumption style. The return of the style timing strategy last week was -0.41%, and the excess return compared to the benchmark balanced allocation was 0.97% [3]. Barra Factor Performance - In the past week, the return of the residual volatility factor continued to strengthen, with a weekly excess return of 1.02%. The returns of the profitability and liquidity factors weakened. In terms of winning rate, the capital flow factor strengthened marginally, and the leverage and residual momentum factors decreased month - on - month [3]. - This week, the cross - sectional rotation speed of factors decreased marginally and was currently in a historically low - quantile range [3].

Report Summary 1. Report Industry Investment Rating - There is no information provided regarding the industry investment rating in the report. 2. Core View of the Report - As of the week ending July 25, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond Index, and Nanhua Commodity Index were 2.11%, -0.48%, and 2.73% respectively. In the public - fund market, the returns of stock - bond strategies were differentiated in the past week. Among equity strategies, passive index - type products led in returns, and market - neutral strategy products mostly rose. In bond strategies, the pure - bond fund index showed a significant decline. In the commodity market, energy - chemical ETFs were strong with a weekly increase of 6.00%, non - ferrous metal ETFs rebounded, and precious - metal ETFs continued the upward trend of net value [3]. - Among the CITIC five - style indices, all style indices closed up last Friday. The cycle and growth styles led in returns. The style rotation chart showed that the relative strength of the cycle and stable styles increased significantly, while the momentum of the consumption style decreased slightly. In the public - fund pool, the average returns of financial and consumption - style funds significantly outperformed the index in the past week, with excess returns of 1.14% and 0.23% respectively. The excess returns of cycle and growth - style funds continued to shrink. The stable style strengthened slightly, and the cycle style declined. In terms of crowding, the growth and cycle styles rebounded marginally, while the consumption and financial styles remained in the historically high - crowding range [3]. - Among Barra factors, the residual volatility factor performed well in the past week, with an excess return of 0.60%. The returns of momentum and valuation factors weakened marginally, and the excess return of the profitability factor continued to shrink. In terms of winning rate, the growth factor declined, and the capital - flow factor strengthened slightly. This week, the cross - sectional rotation speed of factors rose from the historically low - quantile range to the middle range. According to the latest scoring results of the style timing model, the financial style weakened marginally this week, and the consumption style recovered. The current signal favors the consumption style. The return of the style timing strategy last week was 0.36%, and the excess return compared to the benchmark balanced allocation was - 1.59% [3]. 3. Summary by Relevant Catalogs 3.1 Market Index Performance - Tonglian All A (Shanghai, Shenzhen, Beijing) had a weekly return of 2.11%, the ChinaBond Composite Bond Index had a return of - 0.48%, and the Nanhua Commodity Index had a return of 2.73% as of July 25, 2025 [3]. 3.2 Public - Fund Market Performance - **Equity Strategies**: Passive index - type products led in returns, and market - neutral strategy products mostly rose [3]. - **Bond Strategies**: The pure - bond fund index showed a significant decline [3]. - **Commodity Market**: Energy - chemical ETFs had a weekly increase of 6.00%, non - ferrous metal ETFs rebounded, and precious - metal ETFs continued the upward trend of net value [3]. 3.3 CITIC Five - Style Index Performance - **Return Performance**: All style indices closed up last Friday. The cycle and growth styles led in returns [3]. - **Relative Strength and Momentum**: The relative strength of the cycle and stable styles increased significantly, while the momentum of the consumption style decreased slightly [3]. - **Fund Excess Return**: The average returns of financial and consumption - style funds significantly outperformed the index in the past week, with excess returns of 1.14% and 0.23% respectively. The excess returns of cycle and growth - style funds continued to shrink [3]. - **Style Trend**: The stable style strengthened slightly, and the cycle style declined [3]. - **Crowding**: The growth and cycle styles rebounded marginally, while the consumption and financial styles remained in the historically high - crowding range [3]. 3.4 Barra Factor Performance - **Factor Return**: The residual volatility factor had an excess return of 0.60%. The returns of momentum and valuation factors weakened marginally, and the excess return of the profitability factor continued to shrink [3]. - **Winning Rate and Momentum**: The growth factor declined in terms of winning rate, and the capital - flow factor strengthened slightly [3]. - **Factor Rotation Speed**: The cross - sectional rotation speed of factors rose from the historically low - quantile range to the middle range [3]. 3.5 Style Timing Strategy - According to the latest scoring results of the style timing model, the financial style weakened marginally this week, and the consumption style recovered. The current signal favors the consumption style. The return of the style timing strategy last week was 0.36%, and the excess return compared to the benchmark balanced allocation was - 1.59% [3].

Report Industry Investment Rating - The report gives a one-star rating (★☆☆) for the CITIC Five-Style - Financial, indicating a bullish bias but with limited operability in the market [3]. Core Viewpoints - In the public fund market, the returns of equity and bond strategies showed slight differentiation in the past week. The energy and chemical ETF had a significant net value increase, while the non-ferrous metal ETF had a slight decline. The financial and cyclical styles of the CITIC Five-Style recorded positive returns, and the style timing model signals a preference for the financial style this week [3]. - Among the Barra factors, the residual volatility factor performed well in the past week, and the factor cross-sectional rotation speed increased slightly this week. The style timing strategy had a return of 0.44% last week, with an excess return of 0.66% compared to the benchmark balanced allocation [3]. Summary by Relevant Catalogs Recent Market Returns - As of the week ending June 13, 2025, the weekly returns of the Tonglian All-A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -0.41%, 0.17%, and 2.14% respectively [3]. - In the public fund market, equity strategies showed mixed performance, with index enhancement strategies slightly回调 and market neutral strategies under slight pressure. Bond strategies saw better performance in medium - and long - term pure bonds, and the convertible bond index weakened slightly. Commodity strategies had significant increases in the energy and chemical ETF and the soybean meal ETF [3]. CITIC Style Index - Last Friday, the returns of the CITIC Five-Style index were differentiated, with the financial and cyclical styles recording positive returns. The style rotation chart showed a slight decline in the consumer and stable styles in terms of relative strength, and the cyclical style strengthened marginally in terms of indicator momentum [3]. - Only growth-style funds outperformed the index in the public fund pool in the past week, with an excess return of 0.15%. Some financial-style funds shifted towards consumer and cyclical styles [3]. Barra Factors - In the past week, the residual volatility factor had a weekly excess return of 0.82%. The scale factor's excess return continued to compress, and the leverage and growth factors' returns strengthened slightly. The medium - and long - term momentum and growth factors had better performance in terms of win - rate [3]. - The factor cross - sectional rotation speed increased slightly this week and is currently in the medium - to low - percentile range of history [3]. Style Timing Model - According to the latest score of the style timing model, the financial style rebounded this week, while the consumer and cyclical styles declined, and the current signal favors the financial style. The style timing strategy's return last week was 0.44%, with an excess return of 0.66% compared to the benchmark balanced allocation [3].