- The report discusses the performance of different types of fund advisory products in August 2025, categorizing them into pure bond, fixed income plus, mixed equity and bond, and equity fund advisory products[3][11][17] - The average absolute returns for pure bond, fixed income plus, mixed equity and bond, and equity fund advisory products in August were 0.14%, 1.34%, 4.48%, and 8.80% respectively[3][11][17] - The report further breaks down equity fund advisory products into QDII, industry theme, and general equity types, with general equity types further divided into macro-driven, industry rotation, index-driven, and active selection strategies[11][17] - In August, the industry rotation type of equity fund advisory products had the highest returns among the different strategies, with absolute returns of 10.07%[16] - The report provides detailed performance data for top-performing fund advisory products in 2025, including "All-weather Active Portfolio" and "Anxin Aggressive 90" for equity fund advisory products, "Peach and Plum Silent" and "Anxin Balanced Selection" for mixed equity and bond fund advisory products, "Guotai Idle Money Steady Walk" and "Guotai Idle Money Steady Walk" for fixed income plus fund advisory products, and "Guotai Steady Finance" and "Lazy Cat Global Steady" for pure bond fund advisory products[23][24][26][27] - The report analyzes the rebalancing behavior of fund advisory products in August 2025, noting that 106 fund advisory products underwent rebalancing, with specific changes in bond and equity asset allocations[28][29][30][31] - For bond assets, pure bond fund advisory products increased holdings in fixed income plus funds, USD bond funds, and passive index bond funds, while reducing holdings in credit bond coupon strategies[30][31] - For equity assets, mixed equity and bond fund advisory products increased holdings in fixed income plus funds and reduced holdings in bond funds, while equity fund advisory products saw internal migration within equity funds[35][36] - The report highlights changes in industry allocation, with fund advisory products increasing allocations to the electronics and non-ferrous metals industries and reducing allocations to the banking industry[38][39] - The report also examines style allocation, noting a decrease in the proportion of dividend funds and a slight increase in the proportion of micro-cap stocks in the underlying assets of equity fund advisory products[41][43][46][48] - The report discusses the allocation to popular sectors, noting a slight increase in the proportion of ChiNext and STAR Market stocks and a decrease in the proportion of Hong Kong stocks in August[48][51][53][54] - The report analyzes the rebalancing behavior of QDII and macro-driven fund advisory products, noting an increase in global equity funds and a decrease in US equity funds in August[55][56][61]

Quantitative Models and Construction Methods Model 1: Industry Rotation Model - **Model Name**: Industry Rotation Model - **Model Construction Idea**: The model aims to capture excess returns by rotating investments across different industries based on their performance trends - **Model Construction Process**: - Identify industry sectors with strong performance trends - Allocate investments to these sectors while reducing exposure to underperforming sectors - Monitor and adjust the portfolio periodically to maintain optimal sector allocation - **Model Evaluation**: The model has shown to perform well in capturing excess returns by timely rotating across industries[11][13][17] Model 2: Macro-Driven Model - **Model Name**: Macro-Driven Model - **Model Construction Idea**: This model leverages macroeconomic indicators to guide investment decisions - **Model Construction Process**: - Analyze macroeconomic data such as GDP growth, inflation rates, and employment figures - Adjust portfolio allocations based on the expected impact of these indicators on different asset classes - Continuously update the model with new macroeconomic data to refine investment decisions - **Model Evaluation**: The model has demonstrated effectiveness in aligning investments with macroeconomic trends, leading to favorable returns[11][13] Model Backtesting Results - **Industry Rotation Model**: - Absolute return in July: 5.85%[13] - One-year return: 30%[17] - **Macro-Driven Model**: - Absolute return in July: 3.99%[13] - One-year return: 25%[17] Quantitative Factors and Construction Methods Factor 1: Duration Extension - **Factor Name**: Duration Extension - **Factor Construction Idea**: Increase the duration of bond holdings to enhance returns in a declining interest rate environment - **Factor Construction Process**: - Identify bonds with longer maturities - Increase the allocation to these bonds while reducing exposure to shorter-term bonds - Monitor interest rate trends and adjust the duration accordingly - **Factor Evaluation**: This factor has been effective in enhancing returns during periods of declining interest rates[4][28][32] Factor 2: Equity Allocation Adjustment - **Factor Name**: Equity Allocation Adjustment - **Factor Construction Idea**: Adjust the allocation between equity and debt based on market conditions - **Factor Construction Process**: - Increase equity allocation during bullish market conditions - Reduce equity allocation and increase debt holdings during bearish market conditions - Continuously monitor market indicators to adjust allocations - **Factor Evaluation**: This factor has shown to improve portfolio performance by dynamically adjusting to market conditions[5][34][37] Factor Backtesting Results - **Duration Extension**: - Increase in duration for pure bond products: 0.10 years[32] - Increase in duration for fixed income plus products: 0.05 years[32] - **Equity Allocation Adjustment**: - Increase in equity allocation for mixed bond products: 1.74%[36] - Increase in equity allocation for stock products: 0.97%[36]

- The June 2025 performance of stock-oriented investment advisory products outperformed the CSI 300 index, with absolute average returns of 3.47% for stock-oriented products, 1.90% for mixed stock-bond products, 0.79% for fixed-income plus products, and 0.28% for pure bond products [3][11][13] - Among stock-oriented investment advisory products, sector rotation strategies performed the best in June 2025, achieving an absolute return of 4.41%, followed by index-driven strategies at 3.50%, actively selected strategies at 3.41%, and macro-driven strategies at 2.71% [13][17][18] - For pure bond investment advisory products, June 2025 saw a shift from money market funds (-1.09%) and secondary mixed bond funds (-1.44%) to short-term pure bonds (+1.51%) and medium-to-long-term pure bonds (+1.63%) [27][28][30] - Fixed-income plus investment advisory products increased allocations to medium-to-long-term pure bonds (+3.15%) and primary mixed bond funds (+1.85%), while reducing allocations to flexible allocation funds (-5.60%) and money market funds (-0.99%) [27][28][30] - The duration of pure bond investment advisory products decreased by an average of 0.05 years in June 2025, while fixed-income plus products increased their duration by an average of 0.11 years [30][31] - Stock-bond mixed investment advisory products increased allocations to active equity funds (+2.06%) and flexible allocation funds (+1.19%), while reducing allocations to index funds (-2.75%) [33][35] - Stock-oriented investment advisory products reduced allocations to QDII funds (-1.49%) and increased allocations to flexible allocation funds (+1.54%) [33][35] - Sector allocation changes in June 2025 included increased exposure to non-ferrous metals (+1.29%) and pharmaceuticals (+1.16%), while reducing exposure to real estate (-1.22%) and electronics (-0.40%) [35][36][38] - Dividend-focused funds saw an increase in allocation, with the average proportion rising from 5.17% to 5.38% in June 2025, reflecting optimism about domestic economic recovery [37][39][40] - Micro-cap stock allocations slightly increased from 5.48% to 5.52%, while small-cap stock allocations decreased from 10.81% to 10.79% in June 2025 [41][42] - Hot sector allocations showed a decrease in the average proportion of ChiNext stocks from 6.75% to 6.69% and a slight decrease in STAR Market stocks from 6.94% to 6.92% in June 2025 [43][46][48] - Hong Kong stock allocations increased, with the average proportion rising from 8.39% to 9.37% in June 2025 [49][52] - QDII and macro-driven investment advisory products in June 2025 increased allocations to silver funds (+4.0%), global bonds (+2.8%), and oil and gas funds (+0.6%), while reducing allocations to Hong Kong stocks (-5.3%) and Vietnam funds (-4.4%) [49][50][54]