Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Views of the Report - Yang Dong's fundamental quantitative team provides a product matrix with diverse strategies and low correlations, and the excess returns come from the comprehensive support of the team and the platform [115][116][117] - Yang Dong's team's products mainly fall into two categories: bottom - position funds aiming to beat mainstream indices and style - enhancing funds for enhanced performance [115] Group 3: Summary According to the Table of Contents 1. Guangfa Fund Yang Dong: Combining Subjective Research and Quantitative Investment to Build a Product Matrix with High Strategy Uniqueness and Wide Coverage - **Fund Manager Introduction**: Yang Dong, with a master's degree in finance, has 19 years of securities experience and 16 years of investment management experience. He has worked at Guangfa Fund since 2006 and currently holds multiple positions. His team uses a framework combining "subjective long - only + quantitative investment" to pursue excess returns [11] - **Managed Product Situation**: Yang Dong manages 8 public funds with a total scale of 25.065 billion yuan. The products can be divided into subjective long - only products and "subjective + quantitative" products, each with different investment scopes, strategies, and characteristics [13] - **Product Line with Different Positions and Unique Strategies**: From the perspective of user needs, the products are divided into bottom - position funds and style - enhancing funds. Most products have "subjective + quantitative" features, with differences in position ratios. The products pursue strategy differentiation, and most have low correlations [17][19][24] 2. Subjective Long - Only Products: The Choice for Bottom - Position, Balancing Equilibrium, Value, and Growth Styles - **Guangfa Multi - Factor**: An equilibrium - style fund that has outperformed three major indices for 8 consecutive years. It has a "close - to - benchmark + outstanding - excess - return" bottom - position fund attribute, with balanced industry style and moderate rotation, and strong stock - selection ability [26][34][45] - **Guangfa Value Pilot**: A product with value - growth attributes and outstanding performance elasticity. It focuses on PB and ROE, has a unique industry structure, and its performance comes from stock - selection and industry contributions, with an emphasis on Hong Kong stocks [53][57][60] - **Guangfa Balanced Growth**: An actively - selected product with high rolling win - rates and many days of reaching new highs within the year. It has low - valuation characteristics among growth funds, with balanced industry allocation and a focus on growth, and the ability to select stocks to contribute excess returns [64][68][79] 3. "Subjective + Quantitative" Products: Style Enhancement, Differentiated Smart Beta + Focus on Sectors - **Guangfa Steady Strategy**: A dividend - style enhanced product that has achieved outstanding absolute and excess returns since Yang Dong took office. It balances income elasticity and drawdown control, combines high dividends and growth, and actively allocates Hong Kong stocks [86][89][96] - **Guangfa Growth Smart Selection**: Positioned as a growth - style enhanced product, it shows relatively stable excess returns compared to the benchmark. It emphasizes high - growth sectors, has the ability to rotate industries, and focuses on A - share growth opportunities [99][102] - **Guangfa Smart Selection Series**: The three "Smart Selection" products use a composite strategy of "subjective long - only + active quantification + AI enhancement". Taking Guangfa Manufacturing Smart Selection and Guangfa Technology Smart Selection as examples, they have high industry concentration, a "quantitative - led + active - enhanced" stock - selection feature, and have achieved excess returns compared to the relevant index [105][109][112] 4. Summary - Yang Dong's team's products meet the two solutions provided by public funds: bottom - position funds and style - enhancing funds. The team provides a diverse product matrix with low correlations, and the excess returns come from the comprehensive support of the team and the platform, which is in line with the requirements of the "Action Plan for Promoting the High - Quality Development of Public Funds" [115][116][118]

Core Viewpoint - The article discusses the challenges faced by active fund managers in capturing stable alpha amidst fluctuating market conditions, emphasizing the integration of Smart Beta strategies to enhance investment performance [1][2]. Group 1: Market Dynamics - The Shanghai Composite Index fluctuated from 3800 to 4000 points and back to 3800 over the past three months, reflecting investor sentiment volatility [1]. - The market is transitioning from a high-growth phase dominated by "growth" to one led by "asset revaluation," prompting investors to rebalance their portfolios based on corporate earnings and valuation levels [2]. Group 2: Investment Strategies - Guangfa Fund's assistant general manager, Yang Dong, has been exploring the combination of subjective and quantitative strategies, introducing Smart Beta strategies to capture structural opportunities and achieve stable excess returns [1][3]. - The Guangfa Stable Strategy employs a mix of subjective long positions and active quantitative strategies, focusing on dividend assets in A-shares and Hong Kong stocks, achieving a cumulative return of 53.94% from January 4, 2024, to November 20, 2024, outperforming its benchmark by 29.14 percentage points [2]. Group 3: New Product Launch - Guangfa Fund plans to launch a new product, Guangfa Quality Selected Stocks, from December 1 to December 19, aiming to help investors capture long-term value from high-quality, low-valuation assets [3]. - The new strategy will utilize a combination of subjective long positions, active quantitative methods, and AI enhancements, focusing on companies with sustainable ROE and growth potential while avoiding value traps [3].

- The "PB-ROE-50" strategy is based on the idea of identifying market expectation gaps and enhancing portfolio returns by incorporating surprise factors such as SUE and ROE year-on-year growth. It selects 50 stocks to construct the portfolio using the PB-ROE pricing model derived from Wilcox (1984)[29][33][36] - The "PB-ROE-50" strategy achieved positive excess returns in August 2025 for the CSI 800 and the entire market stock pools, with excess returns of 5.22% and 7.61%, respectively. However, it recorded a negative excess return of -0.54% for the CSI 500 stock pool[29][33][36] - The "Upward Count Proportion Sentiment Indicator" calculates the proportion of stocks in the CSI 300 index with positive returns over the past N days. It is used to gauge market sentiment, with higher proportions indicating optimistic sentiment. The formula is: CSI 300 Index N-day Upward Count Proportion = Number of CSI 300 Index constituent stocks with returns > 0 in the past N days / Total number of constituent stocks[12][13][15] - The "Upward Count Proportion Sentiment Indicator" is smoothed using two different window periods (N1=50, N2=35) to generate fast and slow lines. When the fast line exceeds the slow line, it signals a bullish market sentiment[13][15][16] - The "Moving Average Sentiment Indicator" uses eight moving averages (parameters: 8, 13, 21, 34, 55, 89, 144, 233) to assess the sentiment state of the CSI 300 index. The indicator assigns values based on the range of the moving averages, with values of -1, 0, or 1 corresponding to different sentiment states[19][24][23] - The "Moving Average Sentiment Indicator" signals a bullish sentiment when the current price exceeds the values of more than five moving averages[19][24][23] - The "Fund Concentration Degree Tracking" uses the standard deviation of cross-sectional returns of concentrated fund portfolios as a proxy for fund concentration. Lower standard deviation indicates higher concentration, while higher standard deviation suggests concentration is breaking down[25][28][26] - The "Institutional Research Strategy" includes public fund research stock selection and private fund research tracking strategies. It selects stocks based on the number of times a company is researched and its relative performance before the research. In August 2025, the public fund strategy recorded an excess return of -1.33%, while the private fund strategy recorded -5.05%[37][39][40] - The "Relaxed Interest-Bearing Debt Ratio" is calculated as: (Short-term loans + Interest payable + Transactional financial liabilities + Payable short-term bonds + Lease liabilities + Long-term loans + Payable bonds + Long-term payables + Other current liabilities + Liabilities classified as held-for-sale + Non-current liabilities due within one year) / Total assets. It is used to identify stocks with high liquidity risk[42][43][45] - The "Financial Cost Burden Ratio" is calculated as: Financial expenses: Interest expenses / Earnings before interest and taxes (EBIT). It measures the pressure companies face in paying interest costs. Stocks with high ratios are flagged for potential financial risk[46][47][48]