Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The Industrial and Commercial Bank of China (ICBC) Credit Suisse Active Quantitative Team has an adequate number of personnel and diverse research directions, with the "ARC" investment navigation system at its core, enabling it to actively seize certain investment opportunities [1][8][14]. - The team's investment framework features a forward - looking perspective and diverse strategies, including multi - factor and SmartBeta strategies, which are characterized by "forward - looking perspectives" and "diverse methods" [1][19]. - The team manages a wide range of products across different quantitative tracks, each with distinct features, aiming to provide investors with specialized solutions and generate excess returns in different tracks [38]. Summary According to the Table of Contents 1. ICBC Active Quantitative Team - Forward - looking Perspective + Diverse Coverage, Actively Seize Certain Investment Opportunities 1.1 Team Overview: Adequate Personnel, Diverse Research Directions, Centered on the "ARC" Concept - The ICBC Credit Suisse Fund Index and Quantitative Investment Department has 15 research and investment personnel, including 8 investment and 7 research staff, led by Mr. Jiao Wenlong. The team members are clearly divided in their responsibilities, covering multiple areas in passive and active quantitative fields [8]. - The core members of the team, such as Jiao Wenlong, He Shun, Zhang Letao, and Liu Zihao, have rich experience in securities and investment management, with different research focuses [9]. - The team's investment philosophy is based on the "ARC" investment navigation system, where A stands for Active, R for Reversion, and C for Certainty, which can maximize its effectiveness given the sufficient personnel and diverse research directions [14]. 1.2 Active Quantitative Investment Framework: Forward - looking Perspective, Diverse Strategy Methods - The team's fund managers adopt various investment methods, including multi - factor and SmartBeta strategies, with "forward - looking perspectives" and "diverse methods" as prominent features [19]. - In the multi - factor investment framework, factors are constructed using both manual and algorithmic mining methods, which are then combined to enhance efficiency. A domain - learning model system is also used to improve factor combination efficiency [20][23][25]. - In SmartBeta product investment, there are four decision - making steps: strategy definition, multi - factor stock selection, fundamental confirmation, and deep - learning - assisted trading [30]. 1.3 Active Quantitative Product Line: Comprehensive Categories, Diverse Product Types - The team manages 11 active products across multiple quantitative tracks, such as SmartBeta enhancement, fixed - income plus, broad - based index enhancement, and long - short strategies, each with distinct features [38]. - The diverse product positioning can meet different investment needs of investors and generate excess returns in different tracks by integrating various quantitative strategies [40]. 2. Analysis of Investment Characteristics of Representative Products of ICBC Active Quantitative 2.1 ICBC Juxiang: Quantitative Strategy Fixed - income Plus Product - Since February 2024, ICBC Juxiang has significantly outperformed its performance benchmark, achieving a return of over 23.4% from 2024 to May 31, 2025 [43]. - The product is positioned as a high - position fixed - income plus product, mainly investing in small - cap stocks in the equity segment, with a moderate turnover rate and low concentration [45][50]. - The product's industry allocation has remained stable and diversified since H2 2023, with no significant industry rotation [54]. 2.2 ICBC Credit Suisse CSI 1000 Index Enhancement: Trading Turnover Contributes Significant Excess Returns - Since He Shun took over the product on May 15, 2024, it has achieved significant excess returns over the CSI 1000 index, with an excess return of over 12.6% as of May 31, 2025 [56]. - The product's excess returns mainly come from stock turnover, with a high turnover rate of over 8 times in H2 2024. It moderately invests in micro - cap stocks [60][63]. - The product has moderate industry deviations and makes small adjustments in industry allocation between periods, with relatively mild style factor exposures that also have small adjustments [67][68]. 2.3 ICBC New Value: Quality Dividend SmartBeta Enhancement - Since 2024, ICBC New Value has outperformed its performance benchmark, with strong performance stability [72]. - The product adopts a low - turnover and moderately diversified investment style, with a preference for large - cap stocks and moderate industry adjustments [73][76]. - The product's excess returns mainly come from stock selection, with diverse sources of absolute returns and strong relative return - capturing ability in the cycle and advanced manufacturing sectors [81][85].

Group 1 - The report focuses on the ICBC Credit Suisse Active Quantitative Investment Team, highlighting their strong performance and innovative strategies in the current market environment [2][12][13] - The team operates under a "multi-perspective, multi-asset, multi-factor, multi-strategy" approach, led by experienced quant expert Jiao Wenlong, which provides them with a significant competitive advantage [2][12][13] - The team has a well-structured organization with diverse backgrounds, allowing for effective collaboration across various asset classes and investment strategies [3][15][24] Group 2 - The team has developed the ARC Investment Navigation System, which emphasizes active management, mean reversion, and certainty in investment decisions, enhancing their ability to navigate macroeconomic cycles [5][24] - The product line is diverse, primarily focusing on fundamental quantitative and index-enhanced strategies, which together account for over 80% of their total assets under management [35][36] - The team has achieved notable performance metrics, with specific products like ICBC New Value and ICBC New Opportunities showing strong returns compared to their benchmarks [4][20][36] Group 3 - The quantitative research framework is comprehensive, utilizing a combination of traditional multi-factor models and advanced algorithms to enhance stock selection capabilities [25][26][30] - The integration of subjective and quantitative analysis allows the team to leverage deep industry insights while maintaining a robust quantitative approach [30][31] - The team has established a systematic platform for research and investment, facilitating efficient collaboration and strategy implementation across the organization [32][33]