Group 1 - The A-share market is showing resilience amidst a complex environment, with institutional focus on AI technology, cyclical stocks, and large-cap blue chips as key investment directions [1] - The overall liquidity in the domestic market is balanced and slightly loose, leading to a liquidity-driven structural market in A-shares, with significant trading volume in Q3, pushing the Shanghai Composite Index to a nearly ten-year high [2] - The Hang Seng Index is positively influenced by the weakening US dollar and continuous inflow of southbound funds, providing dual support for its valuation and liquidity [3] Group 2 - Two categories of equity assets are highlighted for their investment value: high-dividend blue-chip stocks and high-growth stocks in sectors like renewable energy and AI, which are expected to attract long-term funds [4] - There is an expectation for new policies aimed at expanding domestic demand to be introduced by the end of the year, which could benefit leading companies in sectors like coal, cement, steel, and chemicals [5] Group 3 - The bond market is expected to remain volatile, with the 10-year government bond yield fluctuating around 1.8%, and a cautious defensive strategy is recommended [6] - The bond market's performance is being constrained by the strong equity market, but there are opportunities in certain credit products, particularly in city investment bonds and perpetual bonds [7]

Quantitative Models and Construction Methods 1. Model Name: High-Growth and Dividend Rotation Timing Model - **Model Construction Idea**: The model aims to identify effective timing signals for rotating between high-growth and dividend strategies based on macroeconomic and market indicators[9]. - **Model Construction Process**: 1. At the end of each month, the model selects effective signals from single-factor tests, including term spread, social financing growth, CPI and PPI quadrants, US Treasury yields, and capital flow indicators (ETF, insurance funds, foreign capital)[9]. 2. Each indicator provides a signal to either buy high-growth or dividend strategies. 3. The average score of these signals is used as the final score for allocation decisions[9]. - **Model Evaluation**: The model demonstrates a "defensive and offensive" characteristic, balancing risk and return by maintaining a 60% defensive dividend base and 40% growth allocation during volatile market conditions[9]. --- Model Backtesting Results 1. High-Growth and Dividend Rotation Timing Model - **Cumulative Return**: 259.92% - **Annualized Return**: 14.91% - **Maximum Drawdown**: 27.08% - **Annualized Volatility**: 23.16% - **Annualized Sharpe Ratio**: 0.64 - **Calmar Ratio**: 0.55[6] --- Quantitative Factors and Construction Methods 1. Factor Name: Term Spread - **Factor Construction Idea**: Reflects fixed-income market investors' expectations of future economic growth. A declining or low term spread is unfavorable for high-growth styles[13]. - **Factor Construction Process**: 1. Calculate the difference between 10-year and 1-year government bond yields. 2. For June 2025, the 1-year yield was 1.34% (down from 1.46% in May), and the 10-year yield was 1.65% (down from 1.67% in May). 3. The term spread for June 2025 was 0.31, up from 0.22 in May[13]. 2. Factor Name: Social Financing Growth - **Factor Construction Idea**: Serves as a leading macroeconomic indicator. Higher corporate financing demand indicates economic recovery expectations, supporting high-growth styles[13]. - **Factor Construction Process**: 1. Use the year-over-year growth rate of the total social financing stock. 2. For May 2025, the growth rate was 8.7%, unchanged from the previous month, continuing its marginal improvement since bottoming out in October 2024[13]. 3. Factor Name: CPI and PPI Quadrants - **Factor Construction Idea**: Timing effectiveness is higher than the CPI-PPI spread. When CPI and PPI rise simultaneously, especially when CPI rises faster, it indicates strong downstream demand and economic growth, favoring high-growth styles[16]. - **Factor Construction Process**: 1. Analyze CPI and PPI year-over-year changes. 2. For May 2025, CPI was -0.1% (unchanged from April), and PPI was -3.3% (down from -2.7% in April), indicating continued deflation and favoring dividend styles[16]. 4. Factor Name: US Treasury Yields - **Factor Construction Idea**: Rising US Treasury yields lead to foreign capital outflows and reduced global risk appetite, negatively impacting high-growth sectors with high valuations[16]. - **Factor Construction Process**: 1. Monitor the 10-year US Treasury yield. 2. As of June 2025, the yield remained at a high level of 4.35%, suppressing growth styles[16]. 5. Factor Name: Capital Flow Indicators - **Factor Construction Idea**: Reflects foreign capital's willingness to flow into the domestic market, influenced by factors like the USD index, RMB offshore exchange rate, and CDS spreads[17]. - **Factor Construction Process**: 1. Construct a composite index using the USD index, RMB offshore exchange rate, and CDS spreads. 2. A stronger USD, weaker RMB, and wider CDS spreads indicate reduced foreign capital inflow willingness[17]. --- Factor Backtesting Results 1. Term Spread - **June 2025 Value**: 0.31 (up from 0.22 in May)[13] 2. Social Financing Growth - **May 2025 Value**: 8.7% (unchanged from April)[13] 3. CPI and PPI Quadrants - **May 2025 CPI**: -0.1% (unchanged from April) - **May 2025 PPI**: -3.3% (down from -2.7% in April)[16] 4. US Treasury Yields - **June 2025 Yield**: 4.35% (remained at a high level)[16] 5. Capital Flow Indicators - **June 2025 Observation**: Foreign capital inflow willingness improved due to reduced ETF dividend net buying and increased foreign capital inflows[9][17]