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]