以多元资产配置 平衡持有体验和长期收益 ◎记者 聂林浩 今年以来，全球大类资产相关性提升，结构性行情持续演绎。如何有效配置不同资产，实现持有体验和 账户收益的平衡，成为众多投资者共同面临的难题。针对这个问题，专注于FOF与量化投研工作的广发 基金资产配置部基金经理宋家骥，形成了以宏观量化框架和风险预算体系为核心的多资产配置方法。 宋家骥在接受上海证券报记者采访时表示，资产配置的价值不仅在于获取收益，还在于通过科学的方法 构建风险收益更优的组合。在此投资理念下，其参与管理的偏债混合型FOF以较小的波动取得良好的收 益。Wind数据显示，截至9月25日，广发悦享一年持有FOF近一年回报10.12%，最大回撤2.48%，卡玛 比率4.33，而同期同类FOF产品的平均最大回撤为10.2%。 资产配置的"道"与"术" 资产配置是FOF产品的"骨架"，其核心价值在于通过跨市场、跨类别的大类资产配置，增加组合收益来 源，同时降低整体波动，获得比单一资产更优的风险收益特征。在实际操作中，宋家骥将其拆解为两个 层次：第一层是大类资产配置，这是决定组合风险收益特征的"地基"；第二层则是底层基金及基金经理 的优选，是在既定框架中发 ...

Group 1 - The total number of fund advisory portfolios on the Tian Tian Fund APP reached 454 as of the end of August 2025, an increase of 4 from the previous month, with new portfolios in consumption, pharmaceuticals, dividends, and overseas strategies [9][10][11] - The performance of the fund advisory portfolios showed that the median return of the equity-debt balanced portfolios lagged behind similar FOF products over the past year, with all types of equity-debt balanced portfolios underperforming their benchmarks in the month [17][18] - The active equity funds saw significant increases in holdings, particularly in quantitative strategies, industry rotation strategies, and growth styles, indicating a shift towards more dynamic investment approaches [41][42] Group 2 - The performance of sector-specific portfolios indicated that all sector portfolios had positive median returns over the past year, with pharmaceuticals, new energy, consumption, dividends, and state-owned enterprises outperforming their benchmarks [23][27] - The regional portfolios, particularly those focused on Hong Kong stocks, outperformed their benchmarks over the past year, while overseas strategy portfolios underperformed in the same period [22][23] - The top-performing sector portfolios this year were concentrated in pharmaceuticals and technology, with the highest returns coming from the "Pharmaceutical Hamburger" and "China's Hard Technology" portfolios [25][27] Group 3 - The tracking of fund positions revealed that the conservative advisory portfolios reduced their holdings in index funds while increasing their allocation to mixed funds, reflecting a strategic shift in asset allocation [30][32] - The balanced advisory portfolios decreased their bond fund holdings and increased their mixed fund allocations, indicating a preference for more flexible investment strategies [32][35] - The aggressive advisory portfolios also reduced their stock fund holdings while increasing their allocations to active equity funds, suggesting a trend towards more active management in pursuit of higher returns [32][35]

1. Report Title and Information - The report is titled "Fund Analysis Special Report (In - depth): Counting the Semi - annual Report of Public Active Equity Funds in 2025 - Institutional Funds Focus on the Top, Market Activity and Fund Turnover Increase" [1] - The analysts are Wang Ziwei and Wang Dandan, and the report was released on September 5, 2025 [1] 2. Core View - In the first half of 2025, the A - share market recovered and became more active, but the total share of active equity funds decreased compared with last year. The proportion of institutional holdings increased, while that of individual holdings decreased slightly. Both individual and institutional investor funds were significantly concentrated in top - scale funds, with individual investors preferring larger - scale funds more than institutions [2] 3. Summary by Catalog 3.1 Holder Structure 3.1.1 Share/Proportion Changes - In the first half of 2025, the total share of active equity funds decreased compared with last year. The proportion of institutional holdings increased, and that of individual holdings decreased slightly. By the end of the first half of 2025, the institutional share of active equity funds was 424.585 billion shares, accounting for 15.51%, and the individual share was 2313.5 billion shares, accounting for 84.49%. The institutional holding ratio increased by 1.78% compared with the end of 2024 and 0.58% compared with the end of the first half of 2024. Among different investment categories, the ordinary stock - type funds had the highest institutional holding ratio at 23.59%, and the balanced hybrid - equity - oriented funds had the lowest at 11.50% [17] 3.1.2 Institutional/Individual Fund Distribution - In the first half of 2025, both individual and institutional investor funds were significantly concentrated in top - scale funds. By mid - 2025, 37.05% of institutional funds were concentrated in the top 5% of funds by scale, with the proportion increasing by 2.51% compared with the end of 2024 and 11.38% compared with the end of the first half of 2024. 38.16% of individual funds were concentrated in the top 5% of funds by scale, with the proportion decreasing by 0.66% compared with the end of 2024 but increasing by 1.27% compared with the end of the first half of 2024. Individual investors preferred larger - scale funds [22] 3.2 Institutional Positioning 3.2.1 Funds with Larger Holding Shares - As of the end of the first half of 2025, among the top ten ordinary stock - type funds held by institutions, 8 were increased in holdings and 2 were decreased. Among the partial - equity hybrid funds, 9 were increased and 1 were decreased. Among the flexible - allocation equity - oriented funds, 7 were increased and 3 were decreased. The ordinary stock - type, partial - equity hybrid, and flexible - allocation equity - oriented funds with the largest institutional holdings were "Invesco Great Wall Research Selection", "Changxin Jinli Trend", and "China Europe Dividend Premium", with holding shares of 3.465 billion, 9.571 billion, and 4.383 billion respectively, and the share changes in the past six months were 669 million, - 2.143 billion, and 2 billion respectively [26] 3.2.2 Funds with Larger Increased Holding Shares - In the first half of 2025, the ordinary stock - type fund with the largest increase in institutional holdings was "Fullgoal Consumption Selection 30" managed by Zhou Wenbo, with an increase of 1.755 billion shares. The partial - equity hybrid fund with the largest increase was "Fullgoal Steady Growth" managed by Fan Yan, with an increase of 5.108 billion shares. The flexible - allocation equity - oriented fund with the largest increase was "China Europe Dividend Premium" managed by Lan Xiaokang, with an increase of 2 billion shares [31][34][36] 3.2.3 Small - and Medium - Sized Funds with Faster - Rising Proportions - Among small - sized funds with a scale between 100 million and 500 million, the top ten funds with the fastest - rising institutional holding ratios were "Haitong Quantitative Forward", "Changxin Huizhi Quantitative Stock Selection", etc. Among small - sized funds with a scale between 500 million and 1 billion, the top ten funds with the fastest - rising institutional holding ratios were "China Europe High - end Equipment", "GF Balanced Growth", etc. [38][40] 3.3 FOF Positioning 3.3.1 Funds with Larger Holding Market Values - As of mid - 2025, the active partial - equity funds with the largest FOF holding market values were "Dacheng Gaoxin" with a holding market value of 896 million yuan. Other top - ten funds included "Fullgoal Steady Growth" (773 million yuan), "Xingquan Business Model Preferred" (568 million yuan), etc. [44] 3.3.2 Funds with Larger Increased Holding Shares - From the perspective of the share changes of FOF - held funds in the latest period, "Fullgoal Steady Growth" had the largest increase in FOF holdings, with an increase of 638 million shares. Other funds with large increases included "E Fund Strategic Emerging Industries", "E Fund Active Growth", etc. [47] 3.3.3 Funds with a Larger Number of Holders - As of mid - 2025, "Dacheng Gaoxin" was held by 169 FOFs. The second - and third - ranked funds were "Fullgoal Steady Growth" managed by Fan Yan and "Invesco Great Wall Quality Evergreen" managed by Nong Bingli, held by 132 and 88 FOFs respectively. Other top - ten funds included "Dongfanghong JD Big Data", "Boda Growth Zhihang", etc. [50] 3.4 Shareholding Characteristics 3.4.1 Fund Turnover - In the first half of 2025, the average turnover of all active partial - equity funds was 2.12, higher than that in the first half of 2024 (2.08) and the second half of 2024 (1.93). Among different types of active equity funds, the flexible - allocation equity - oriented funds had the highest turnover in the first half of 2025 at 2.26, followed by partial - equity hybrid funds and balanced hybrid - equity - oriented funds with turnovers of 2.11 and 1.98 respectively. The ordinary stock - type funds had the lowest turnover at 1.92 [53] 3.4.2 Market Value/Plate Changes - In terms of market - value style, active partial - equity funds were mainly allocated to small - and medium - cap stocks. By the end of the first half of 2025, stocks with a market value below 30 billion accounted for the highest proportion at 42.71%. Compared with the end of 2024, the proportion of large - cap stocks increased, while that of small - and medium - cap stocks decreased. By the end of the first half of 2025, among all the holdings of active partial - equity funds, the technology sector accounted for the highest proportion, and the financial sector accounted for the lowest. Compared with the end of 2024, the technology sector had the largest increase in market - value proportion, and the manufacturing sector had the largest decrease [64] 3.4.3 Industry Allocation Proportion Changes - At the sub - industry level, in the first half of 2025, the industries with a relatively large increase in shareholding market - value proportion were pharmaceutical biology, media, electronics, non - ferrous metals, and non - bank finance. The proportions of the power equipment, food and beverage, and household appliance industries decreased significantly. As of mid - 2025, the top three industries held by active equity funds were electronics, pharmaceutical biology, and power equipment, with their shareholding market - value proportions accounting for 17.03%, 12.12%, and 7.53% respectively [66] 3.4.4 "Hidden Heavy Positions" - In the first half of 2025, among the stocks with a heavy - position market value ranked below 50 in the second - quarter heavy - position holdings of active equity funds, the stock with the highest non - heavy - position market value calculated according to all shareholding details was Dongshan Precision, with a total shareholding market value of 922.9 million yuan, of which 380.2 million yuan was non - heavy - position holding. Among the stocks with a heavy - position market value ranked below 100, the stock with the highest non - heavy - position market value was Naxinwei [69] 3.4.5 Sub - Industry Changes - From the perspective of the market value of holdings in Shenwan primary industries, in the technology sector, the allocation proportions of the electronics and media industries increased significantly, and those of the communication and computer industries increased slightly. In the large - consumption sector, the pharmaceutical biology industry was booming in the first half of the year, while traditional consumption - related fields were reduced in holdings. In the cycle - manufacturing sector, except for a slight increase in the proportions of the national defense and military industry and the machinery equipment industry, other industries decreased, with the power equipment industry having the most significant decrease. In terms of resource products, the market - value proportion of the non - ferrous metals industry increased significantly [71][77]

Investment Rating - The report maintains a "Buy-A" investment rating for the company [3][6]. Core Views - The company achieved a robust profit growth in H1 2025, with operating revenue of 1.83 billion yuan (YoY +20.20%) and a net profit attributable to shareholders of 490 million yuan (YoY +21.41%) [1]. - The company has significantly improved its ranking in debt underwriting, completing 70 debt financing projects with a total underwriting amount of 25.274 billion yuan (YoY +296.64%), moving up 29 places to rank 26 in the industry [3]. - The asset management business has seen a total of 66.325 billion yuan in funds under management, an increase of 23.65% from the end of 2024, while public fund management has decreased by 5.72% to 596.15 billion yuan [2]. Summary by Sections Financial Performance - In H1 2025, the company reported net income from various business lines: brokerage at 230 million yuan (YoY +47%), investment banking at 140 million yuan (YoY +38%), asset management at 440 million yuan (YoY -6%), credit at 60 million yuan (YoY +22%), and proprietary trading at 690 million yuan (YoY +22%) [1]. Asset Management and Investment Banking - The company is focusing on ESG and FOF advantages in its asset management sector, with a notable increase in public fund management [2]. - The company has successfully filed for one IPO project on the Beijing Stock Exchange and has two projects under review as of H1 2025 [3]. Future Projections - The report forecasts EPS for 2025, 2026, and 2027 to be 0.23 yuan, 0.24 yuan, and 0.26 yuan respectively, with a target price of 8.74 yuan based on a P/B ratio of 2.2x for 2025 [3].

Core Viewpoint - The article discusses the dramatic fluctuations in the market throughout the year, highlighting the impact of AI advancements and government support for emerging industries on A-shares, followed by a shift towards defensive investment styles as investors took profits. The article emphasizes the growing popularity of multi-asset investment strategies, particularly FOF (Fund of Funds) products, in both the U.S. and China as a response to market uncertainties [1][4][9]. Market Performance - A-shares initially rebounded due to significant breakthroughs in AI and supportive government policies, with sectors like AI models and humanoid robots performing well. However, the market cooled down as investors began to take profits, leading to a resurgence in new consumption and innovative pharmaceuticals [1]. - Global asset performance in the first seven months of the year showed strong results for indices such as the Korean Composite Index (+35.63%), gold (+34.05%), and the Hang Seng Index (+25.51%), with the Hang Seng Technology Index also performing well (+22.89%) [2]. Investor Sentiment - Investors are experiencing a dilemma between the fear of missing out on a bull market and the anxiety of potential market downturns, leading to cautious and indecisive investment behaviors [2]. FOF Product Growth - In the U.S., FOF products have grown to a scale of $3.4 trillion by the end of 2024, with 1,317 funds available, becoming a mainstream investment method. This growth is attributed to the diversification benefits of FOFs, which reduce non-systematic risks by investing in various funds with different strategies [4][5][9]. - The development of FOFs in the U.S. began in 1985 with the launch of the first public FOF product, leading to significant growth in the 1990s as more pension plans entered the market [4][5]. Domestic FOF Market - The domestic FOF market has rapidly developed since the first public FOF was issued in 2017, overcoming initial challenges related to public awareness and acceptance. The market has matured, with increased recognition and a variety of underlying assets available for investment [9][11]. Investment Strategy - The article highlights the importance of multi-asset strategies in the current market environment, with products like Huazhong Yingrui demonstrating effective asset allocation across various categories, including A-shares, pure bonds, U.S. stocks, gold, and commodities [13][14]. - The management team behind Huazhong Yingrui employs a systematic asset management approach, focusing on strategic and tactical asset allocation to optimize risk-return profiles [16][17]. Performance Metrics - Huazhong Yingrui has shown promising performance, with a return of 5.59% since its inception on May 19, 2023, outperforming its benchmark and similar funds [11][13].

Group 1: Regulatory Impact and Strategic Direction - The revised "Securities Company Classification Evaluation Regulations" emphasizes differentiated development for small and medium-sized institutions, which aligns with the company's focus on wealth management 3.0 transformation [1] - The company aims to enhance its classification evaluation score through targeted strategies that align with the new regulatory guidelines [1] Group 2: Wealth Management 3.0 Transformation - Wealth management 3.0 focuses on a customer-centric approach, utilizing product innovation and financial technology to enhance service delivery [1] - The company is committed to building a comprehensive wealth management system that integrates human expertise and technology, improving customer service experiences [1] Group 3: Asset Management and Product Strategy - The company is integrating asset securitization into its investment banking line to refocus on client investment needs, developing a diverse product system including FOF and quasi-fixed income products [2] - The aim is to meet the diverse needs of clients through a well-rounded product offering [2] Group 4: New Marketing Service Model - A new marketing service model is being developed, combining research, investment, investment banking, and wealth management to provide comprehensive financial services [2] - The company has established a dedicated business system to enhance customer service and internal collaboration [2] Group 5: Research Business Development - The research department aims to achieve revenue of RMB 125 million in 2024, focusing on long-term and value investments while enhancing its market influence [2] - The strategy includes deepening internal collaboration and regional economic research to support local industries [2] Group 6: Investment in Financial Technology - The company invested RMB 236 million and RMB 241 million in information technology in 2023 and 2024, respectively, focusing on AI, big data, cloud computing, and blockchain [3] - The development of proprietary technologies, such as the "Kongming AI Assistant," aims to enhance operational efficiency and support differentiated business development [3]

Core Viewpoint - The Morgan Yingyuan Stable Three-Month Holding Mixed FOF was sold out in one day, indicating strong investor interest driven by a recovering equity market and effective sales capabilities of the custodian bank, China Merchants Bank [2][9]. Fund Issuance Highlights - The fund's fundraising period was originally set to end on August 22 but was closed early on August 4 due to high demand, with all valid subscription applications on that day confirmed [6]. - The fund employs a "fixed income plus" strategy, aiming for stable long-term returns by selecting high-quality bond funds and diversifying investments across various asset classes, including public REITs, gold, and QDII funds [6][12]. Market Context - Since the beginning of 2025, the A-share market has shown significant recovery, with overall equity fund issuance gradually improving. As of August 4, 810 new fund products were established, totaling 626.85 billion yuan in issuance [11]. - The popularity of FOF products has surged, with several funds achieving substantial fundraising success, such as the Dongfanghong Yingfeng Stable Six-Month Holding Mixed FOF, which raised 6.573 billion yuan [11]. Investment Strategy and Team - Morgan Asset Management's multi-asset investment team manages over 3 trillion yuan in client assets globally, focusing on guiding investors in establishing scientific asset allocation concepts [7]. - The firm emphasizes protecting investor interests by limiting the initial fundraising scale and prioritizing long-term holding experiences over short-term gains [9].

Core Viewpoint - The public FOF industry is accelerating towards a 2.0 era characterized by diversified, globalized, and tool-based asset allocation, with Penghua Fund leading the way through innovative strategies and product offerings [1][4]. Group 1: Industry Trends - The proportion of commodity funds in public FOFs increased from 20.16% to 49.40% from 2020 to 2024, while QDII equity funds rose from 25.81% to 65.93%, and QDII bond funds jumped from 4.03% to 32.06% [2]. - By the end of 2024, 8.27% of FOFs had allocated to REITs, indicating a growing interest in real estate assets [2]. - Passive funds are gaining importance, with stock index and bond index fund holdings increasing from 70.97% and 35.48% to 86.69% and 60.69%, respectively, and 90.73% of FOFs holding ETFs, significantly above the market average of 11.93% [2]. Group 2: Company Strategies - Penghua Fund emphasizes a customer-centric product design philosophy, creating a multi-tiered FOF product line that includes target date funds (TDF), target risk funds (TRF), and actively managed funds to meet diverse investor needs [3]. - The TDF products utilize a "glide path" strategy to gradually reduce equity exposure as the target date approaches, aligning with the changing risk tolerance of investors over their life cycles [3]. - Penghua is also exploring customized FOF/MOM services for high-net-worth and institutional clients, offering tailored solutions across various risk levels [3]. Group 3: Investment Philosophy - The investment philosophy of Penghua Fund combines a focus on domestic market opportunities with a global perspective, aiming to enhance portfolio diversity and stability [4]. - The research team prioritizes fundamental analysis of the A-share market while dynamically adjusting asset allocation based on macroeconomic cycles and industry trends [4]. - Penghua has developed a systematic FOF management framework that includes strategic and tactical asset allocation, risk management, and fund manager selection to support its diversified and global investment practices [4]. Group 4: Risk Management - Penghua Fund has established a comprehensive risk management system that integrates risk constraints during product design and employs quantitative models for real-time monitoring [5]. - The fund manager selection process utilizes a multi-factor fund database to ensure selected managers have sustainable alpha generation capabilities [5]. - The proprietary "Dynamic Beta Adjustment System" enhances tactical allocation efficiency and adaptability in extreme market conditions by quantifying risk exposure of passive tools like ETFs [5].

Group 1: Fund Management Changes - Bank of China Fund announced the resignation of Chairman Zhang Yan due to work adjustments, effective June 16, with Executive President Zhang Jiawen acting as interim chairman [1] - Xinyuan Fund appointed two new deputy general managers: Zhang Pengfei and Yang Xiaoyu, both of whom joined the company in December 2022 [2] - Wu Huijuan resigned from all managed products at Green Fund due to personal reasons, with her management tenure being less than four months [4] Group 2: Fundraising and Market Activity - Dongfanghong Yingfeng Stable 6-Month Holding FOF announced an early end to its fundraising on June 17, with a maximum fundraising scale of 8 billion RMB [3] - The stock market showed a slight recovery with the Shanghai Composite Index up 0.04% and the Shenzhen Component Index up 0.24%, with total trading volume at 1.19 trillion RMB, a decrease of 161 billion RMB from the previous trading day [5] Group 3: ETF Market Insights - Energy Chemical ETF led the market with a gain of 2.82%, while several 5G and communication-related ETFs also performed well [5][6] - The aerospace sector is highlighted as a key beneficiary due to increasing military expenditures globally, with Chinese military enterprises gaining recognition in international arms trade [8] Group 4: Upcoming Fund Launches - Huatai Baoxing plans to launch a new index fund focused on the STAR Market, managed by Shang Shuo Hui, with a performance benchmark linked to the STAR Market Composite Index [9]

Quantitative Models and Construction Methods Hidden Risk Model - **Model Name**: Hidden Risk Model - **Construction Idea**: Funds with high correlation in net asset value (NAV) trends are likely exposed to similar risks (explicit or hidden). By regressing fund factors weighted by correlation with similar funds, hidden risks can be stripped away [3][68][69] - **Construction Process**: 1. Identify funds with high NAV correlation over the past year (top N funds, N=20) [70] 2. Calculate weighted daily returns of similar funds based on correlation [70] 3. Perform time-series regression of the target fund's daily returns against the weighted returns of similar funds. The intercept term represents the adjusted alpha factor [70] - Formula: $$R_{p}=\alpha+\beta\cdot SimiRet+\varepsilon_{p}$$ [90] - **Evaluation**: Provides higher explanatory power for fund returns compared to traditional models like Fama-Five-Factor [3][86][90] Hidden Risk-Adjusted Comprehensive Selection Factor - **Factor Name**: Hidden Risk-Adjusted Comprehensive Selection Factor - **Construction Idea**: Combine factors improved by hidden risk adjustments (e.g., Sharpe ratio, hidden trading ability) with original factors that do not require adjustment (e.g., reverse investment ability) [115][118] - **Construction Process**: 1. Adjust factors like Sharpe ratio and hidden trading ability using hidden risk regression [94][101] 2. Combine adjusted factors with original factors using equal weighting [115] - **Evaluation**: Improves stability and predictive power of selection factors, with RankICIR increasing significantly [107][118] Sharpe Ratio Factor Adjustment - **Factor Name**: Hidden Risk-Adjusted Sharpe Ratio Factor - **Construction Idea**: Adjust the original Sharpe ratio factor by regressing it against the weighted Sharpe ratios of similar funds [94] - **Construction Process**: 1. Calculate weighted Sharpe ratios of similar funds based on correlation [94] 2. Perform cross-sectional regression of the original Sharpe ratio against the weighted Sharpe ratios [94] - Formula: $$Sharpe=\alpha+\beta\cdot SimiSharpe+\varepsilon$$ [94] - **Evaluation**: Stability significantly improved, with RankICIR increasing from 0.77 to 1.99 [96][98] Hidden Trading Ability Factor Adjustment - **Factor Name**: Hidden Risk-Adjusted Hidden Trading Ability Factor - **Construction Idea**: Adjust the original hidden trading ability factor by regressing it against the weighted hidden trading ability of similar funds [101] - **Construction Process**: 1. Calculate weighted hidden trading ability of similar funds based on correlation [101] 2. Perform cross-sectional regression of the original hidden trading ability against the weighted hidden trading ability [101] - **Evaluation**: Stability significantly improved, with RankICIR increasing from 1.68 to 2.23 [102][106] --- Model Backtesting Results Hidden Risk Model - **RankIC Mean**: 92.32% [86] - **RankICIR**: Not explicitly mentioned - **RankIC Win Rate**: Not explicitly mentioned Hidden Risk-Adjusted Comprehensive Selection Factor - **RankIC Mean**: 13.99% [118][121] - **RankICIR**: 3.18 [118][121] - **RankIC Win Rate**: 93.01% [118][121] - **Annualized Excess Information Ratio**: 2.4 [3] Sharpe Ratio Factor Adjustment - **RankIC Mean**: 7.70% [98] - **RankICIR**: 1.99 [98] - **RankIC Win Rate**: 87.41% [98] Hidden Trading Ability Factor Adjustment - **RankIC Mean**: 7.21% [102] - **RankICIR**: 2.23 [102] - **RankIC Win Rate**: 90.21% [102] --- Factor Backtesting Results Hidden Risk-Adjusted Comprehensive Selection Factor - **RankIC Mean**: 13.99% [118][121] - **RankICIR**: 3.18 [118][121] - **RankIC Win Rate**: 93.01% [118][121] - **Quarterly Excess Return (Top Decile)**: 1.46% [118][121] - **Quarterly Long-Short Return**: 2.74% [118][121] Sharpe Ratio Factor Adjustment - **RankIC Mean**: 7.70% [98] - **RankICIR**: 1.99 [98] - **RankIC Win Rate**: 87.41% [98] - **Quarterly Excess Return (Top Decile)**: 0.86% [98] - **Quarterly Long-Short Return**: Not explicitly mentioned Hidden Trading Ability Factor Adjustment - **RankIC Mean**: 7.21% [102] - **RankICIR**: 2.23 [102] - **RankIC Win Rate**: 90.21% [102] - **Quarterly Excess Return (Top Decile)**: 0.92% [102] - **Quarterly Long-Short Return**: Not explicitly mentioned --- FOF Portfolio Construction Results Hidden Risk-Adjusted Comprehensive Selection Factor-Based Portfolio - **Annualized Excess Return**: 8.86% [147] - **Annualized Tracking Error**: 3.52% [147] - **Excess Information Ratio**: 2.31 [147] - **Maximum Relative Drawdown**: 3.40% [147] - **Relative Return-to-Drawdown Ratio**: 2.61 [147] - **Monthly Win Rate**: 75.91% [147]