Investment Rating - The report maintains a neutral stance on the stock market, cautious on bonds, and optimistic on commodities [2][4]. Core Insights - The report highlights that the PPI was below expectations while social financing and CPI exceeded expectations, leading to a neutral outlook for the stock market. GDP growth was above expectations, putting pressure on the bond market, while the commodity market outlook remains optimistic [1][2]. - The industry rotation model for August recommends sectors such as comprehensive, comprehensive finance, media, agriculture, forestry, animal husbandry, fishery, telecommunications, and light industry manufacturing, indicating a shift from real estate and consumer services [4][12]. - The small-cap growth style is expected to continue its dominance, supported by macroeconomic indicators and investor sentiment [5][6]. Summary by Sections Economic Indicators - As of the end of July, PPI was below expectations, while social financing and CPI were above expectations, leading to a neutral view on the stock market. GDP growth was consistently above expectations, negatively impacting the bond market [2][4]. Industry Recommendations - The August industry rotation model recommends comprehensive, comprehensive finance, media, agriculture, forestry, animal husbandry, fishery, telecommunications, and light industry manufacturing, while excluding real estate and consumer services [4][12]. Investment Strategies - The best-performing strategy in July was the new stock strategy, achieving a monthly return of 11.3%, significantly outperforming major small-cap indices [8]. - The growth trend resonance stock selection strategy yielded a return of 7.9%, while the XG Boost growth selection strategy achieved a return of 5.8% [9]. - For August, the report suggests focusing on small-cap combinations and dividend/valued selections, while not recommending growth strategies due to ongoing valuation declines [11][12]. Quantitative Models - The report discusses advancements in quantitative models, particularly deep learning models that have outperformed benchmarks significantly [13][14].

Report Industry Investment Rating - Not provided in the content Core Views - Short - term macro expectations have adjustment pressure after being fulfilled, but the medium - and long - term policy guidance remains bullish [4] - The domestic economy will maintain a weak reality. Pay attention to the improvement opportunities of cyclical industries that reverse deflation [4] - Domestic and overseas liquidity is expected to be loose, and the domestic stock market will receive incremental funds, but there are also some unfavorable factors such as the increase in the pressure of equity financing and the marginal increase in the pressure of share unlocking [4] - After a short - term sharp rise, the valuations of various indices have entered the neutral to high level in history, and the attractiveness of allocation funds is average [4] - In August, it is recommended to reduce long positions or conduct short - term shorting of IC and IM during rebounds, and go long on IF and IH during sharp drops. Also, use out - of - the - money put options to protect against adjustment risks [4] Summary by Directory 1. Market Review - **Stock Market Performance**: In the past month, A - shares led the rise, and the Nasdaq led the decline. The growth rate rankings of various indices are as follows: ChiNext > CSI 500 > Dow Jones > FTSE Emerging Markets > Hang Seng Index > Nikkei 225 > FTSE Europe > Nasdaq Composite. In terms of industries, steel led the rise, and comprehensive finance led the decline [7][8][12] - **Futures Basis and Spread**: The basis rates of the four major stock index futures (IH, IF, IC, and IM) changed by 0.7%, 0.45%, 0.12%, and 0.35% respectively, and the discounts of each futures contract significantly narrowed. The inter - period spread rates of the four major stock index futures (current month and next month) and (next quarter and current month) also changed, with different trends for different contracts [20] 2. Fund Flow - **Margin Trading and Stabilization Funds**: In July, margin trading funds flowed in 134.35 billion yuan to reach 1.98 trillion yuan, and the proportion of margin trading balance in the market value of tradable shares in the Shanghai and Shenzhen stock markets increased by 0.07% to 2.33%. The scale of passive stock ETF funds exceeded 3 trillion yuan, an increase of 78.13 billion yuan from the previous month, but the share decreased by 11.65 billion shares [23] - **Industrial Capital**: In July, equity financing was 46.49 billion yuan, and the scale of equity financing significantly declined to a low level. The market value of share unlocking was 288.39 billion yuan, a month - on - month increase of 69.89 billion yuan, and the marginal increase continued [26] 3. Liquidity - **Money Supply**: In July, the central bank's OMO reverse repurchase had a net withdrawal of 36.43 billion yuan, and the MLF had a net injection of 10 billion yuan. The overall liquidity supply was neutral to loose [28] - **Money Demand**: In July, the net demand for money in the bond market was 208.386 billion yuan, maintaining a high level, driven by the debt financing needs of national bonds, local government bonds, and enterprises [31] - **Fund Price**: In July, DR007, R001, and SHIBOR overnight rates changed by - 49.1bp, - 73.1bp, and - 10.7bp respectively, and the issuance rates of inter - bank certificates of deposit also decreased. The overall fund price rebounded slightly at a low level [34] - **Term Structure**: In July, the yield term structure of bonds flattened slightly, and the credit spread between national bonds and policy - bank bonds widened at the long - end [38] - **Sino - US Interest Rate Spread**: In July, the Sino - US interest rate spread inverted degree narrowed, the offshore RMB depreciated by 0.5%, and the US dollar against the RMB oscillated at the central level of the nearly three - year range [41] 4. Macroeconomic Fundamentals - **Real Estate Demand**: As of July 31, the weekly transaction area of commercial housing in 30 large - and medium - sized cities seasonally rebounded but was at a relatively low level in the same period. The second - hand housing sales seasonally declined. The real estate market was generally weak, but rigid demand supported the lower limit [44] - **Service Industry Activities**: As of August 1, the subway passenger volume in 28 large - and medium - sized cities remained high, and the service industry economic activities were at a high level. The traffic congestion delay index in 100 cities decreased, and the service industry economic activities tended to grow naturally and stably [48] - **Manufacturing Tracking**: In July, the capacity utilization rates of the manufacturing industry were differentiated. The overall internal and external demand of the manufacturing industry was still under pressure [52] - **Goods Flow**: The goods flow and passenger flow remained at a relatively high level, but the growth in some fields cooled down weekly. The highway and railway transportation were relatively weak, and there was a seasonal decline after August [57] - **Import and Export**: The export rush after the Sino - US trade talks ended, and the export was expected to be under pressure from August to September [59] - **Overseas Situation**: In the US in July, the employment market was mixed, the ISM manufacturing PMI dropped to the lowest level in the year, and the market's expectation of the Fed's interest rate cut increased [62][66] 5. Other Analyses - **Valuation**: In the past month, the risk premium of the stock - bond market decreased, and the foreign capital risk premium index also decreased. The relative valuation levels of major indices were not low, and the attractiveness of small - cap stocks decreased significantly [69][74] - **Quantitative Diagnosis**: According to the seasonal law, the stock market is in a period of seasonal shock decline and structural differentiation from August to September. It is recommended to pay attention to the trading and arbitrage opportunities of different index futures [77]

Quantitative Models and Construction Methods 1. Model Name: Quantitative Market Trend Judgment Framework - **Model Construction Idea**: The framework identifies the dominant market style by comparing the intrinsic attributes of assets, which are tied to their industry lifecycle stages. It prioritizes assets based on the sequence of growth rate (g) > return on equity (ROE) > dividend yield (D) to determine the most advantageous assets and focuses on the most promising sectors[5][6][9] - **Model Construction Process**: 1. Define five style stages for equity assets: external growth, quality growth, quality dividend, value dividend, and distressed value[5] 2. Compare assets globally to identify advantageous ones based on their intrinsic characteristics[5] 3. Use the priority sequence g > ROE > D to evaluate whether good assets exist and whether they are overvalued[5][6] 4. Focus on sectors with the most advantageous characteristics in the current market[5][6] - **Model Evaluation**: The framework has demonstrated strong explanatory power for A-share market style rotations since 2009, achieving an annualized return of 26.70%[16] 2. Model Name: Asset Comparison Strategy - **Model Construction Idea**: This model categorizes assets into primary and secondary groups. Primary assets include actual growth, expected growth, and profitability assets. Secondary assets are prioritized based on crowding levels and fundamental factors[9] - **Model Construction Process**: 1. Classify assets into primary (expected growth, actual growth, profitability) and secondary (quality dividend, value dividend, distressed value) categories[9] 2. Allocate market funds to primary assets when any of them show an advantage; otherwise, shift to secondary assets[9] 3. Rank secondary assets by crowding levels and fundamental factors, with the order: quality dividend > value dividend > distressed value[9] --- Model Backtesting Results 1. Quantitative Market Trend Judgment Framework - Annualized return: 26.70% since 2009[16] - Historical performance: Positive excess returns in most years, with limited effectiveness in 2011, 2012, 2014, and 2016[16][19] - Excess returns by year: - 2009: 51% - 2010: 14% - 2013: 36% - 2017: 27% - 2020: 44% - 2022: 62%[19] --- Quantitative Factors and Construction Methods 1. Factor Name: Expected Growth (gf) - **Factor Construction Idea**: Measures the expected growth rate based on analysts' forecasts, regardless of the industry lifecycle stage[6] - **Factor Construction Process**: 1. Use analysts' forecasted growth rates as the primary input[6] 2. Calculate the spread (Δgf) between top and bottom groups to assess the trend of expected growth[21] - **Factor Evaluation**: The factor has shown consistent expansion, with top groups driving the increase, indicating analysts' optimism about high-growth sectors[21] 2. Factor Name: Actual Growth (g) - **Factor Construction Idea**: Focuses on performance momentum (Δg) during transition and growth phases[6] - **Factor Construction Process**: 1. Calculate the spread (Δg) between top and bottom groups based on actual growth rates[25] 2. Monitor the trend of Δg to identify growth opportunities in the market[25] - **Factor Evaluation**: The factor has shown gradual expansion, with opportunities in sectors maintaining strong momentum despite a slowdown in top-tier growth[25] 3. Factor Name: Profitability (ROE) - **Factor Construction Idea**: Evaluates valuation levels using the PB-ROE framework, focusing on mature industries[6] - **Factor Construction Process**: 1. Calculate the PB-ROE residuals for each industry[40] 2. Rank industries based on residuals to identify undervalued high-ROE sectors[40] - **Factor Evaluation**: The factor's advantage has declined, and its crowding level remains low, suggesting limited opportunities in the current market[28] 4. Factor Name: Quality Dividend (DP+ROE) - **Factor Construction Idea**: Combines dividend yield (DP) and ROE to identify high-quality dividend-paying industries[6] - **Factor Construction Process**: 1. Calculate DP and ROE scores for each industry[43] 2. Combine the scores to rank industries and select the top-performing ones[43] - **Factor Evaluation**: The factor has shown significant excess returns in specific years, such as 2016, 2017, and 2023[43] 5. Factor Name: Value Dividend (DP+BP) - **Factor Construction Idea**: Combines dividend yield (DP) and book-to-price ratio (BP) to identify undervalued dividend-paying industries[6] - **Factor Construction Process**: 1. Calculate DP and BP scores for each industry[47] 2. Combine the scores to rank industries and select the top-performing ones[47] - **Factor Evaluation**: The factor has demonstrated strong excess returns in years like 2009, 2017, and 2021-2023[47] 6. Factor Name: Distressed Value (PB+SIZE) - **Factor Construction Idea**: Identifies industries with low price-to-book ratios (PB) and small market capitalization (SIZE), focusing on stagnation and recession phases[6] - **Factor Construction Process**: 1. Calculate PB and SIZE scores for each industry[51] 2. Combine the scores to rank industries and select the lowest-scoring ones[51] - **Factor Evaluation**: The factor has shown significant excess returns during periods like 2015-2016 and 2021-2023[51] --- Factor Backtesting Results 1. Expected Growth (gf) - Δgf continues to expand, driven by top-tier groups, indicating analysts' optimism about high-growth sectors[21] 2. Actual Growth (g) - Δg shows gradual expansion, with opportunities in sectors maintaining strong momentum despite a slowdown in top-tier growth[25] 3. Profitability (ROE) - ROE advantage continues to decline, with low crowding levels and limited opportunities in the current market[28] 4. Quality Dividend (DP+ROE) - Significant excess returns in 2016, 2017, and 2023[43] 5. Value Dividend (DP+BP) - Strong excess returns in 2009, 2017, and 2021-2023[47] 6. Distressed Value (PB+SIZE) - Significant excess returns during 2015-2016 and 2021-2023[51]

Quantitative Models and Construction Methods Style Factors 1. **Factor Name**: Beta Factor - **Construction Idea**: Captures the market sensitivity of stocks - **Construction Process**: - Calculate the daily returns of individual stocks and the market index (CSI All Share Index) over the past 252 trading days - Perform an exponentially weighted regression with a half-life of 63 trading days - The regression coefficient is taken as the Beta factor - **Evaluation**: High Beta stocks outperformed low Beta stocks in the recent week, indicating a preference for market-sensitive stocks[15][16] 2. **Factor Name**: Leverage Factor - **Construction Idea**: Measures the financial leverage of companies - **Construction Process**: - Calculate three sub-factors: Market Leverage (MLEV), Debt to Assets (DTOA), and Book Leverage (BLEV) - MLEV = Non-current liabilities / Total market value - DTOA = Total liabilities / Total assets - BLEV = Non-current liabilities / Shareholders' equity - Combine the three sub-factors equally to form the Leverage factor - **Evaluation**: Low leverage companies outperformed high leverage companies, indicating a market preference for financially stable companies[15][16] 3. **Factor Name**: Growth Factor - **Construction Idea**: Measures the growth potential of companies - **Construction Process**: - Calculate two sub-factors: Sales Growth (SGRO) and Earnings Growth (EGRO) - SGRO = Regression slope of past five years' annual sales per share divided by the average sales per share - EGRO = Regression slope of past five years' annual earnings per share divided by the average earnings per share - Combine the two sub-factors equally to form the Growth factor - **Evaluation**: The Growth factor showed a negative return, indicating a decline in market preference for high-growth stocks[15][16] Stock Selection Factors 1. **Factor Name**: Single Quarter ROA - **Construction Idea**: Measures the return on assets for a single quarter - **Construction Process**: - Single Quarter ROA = Net income attributable to parent company / Total assets - **Evaluation**: Performed well in the CSI 300 stock pool over the past week[21][24] 2. **Factor Name**: 240-Day Skewness - **Construction Idea**: Measures the skewness of daily returns over the past 240 trading days - **Construction Process**: - Calculate the skewness of daily returns over the past 240 trading days - **Evaluation**: Performed well in the CSI 300 stock pool over the past week[21][24] 3. **Factor Name**: Single Quarter ROE - **Construction Idea**: Measures the return on equity for a single quarter - **Construction Process**: - Single Quarter ROE = Net income attributable to parent company / Shareholders' equity - **Evaluation**: Performed well in the CSI 300 stock pool over the past week[21][24] Factor Backtesting Results 1. **Beta Factor**: Weekly long-short return: 1.86%, Monthly long-short return: 1.64%[17] 2. **Leverage Factor**: Weekly long-short return: -3.07%, Monthly long-short return: -1.58%[17] 3. **Growth Factor**: Weekly long-short return: -1.73%, Monthly long-short return: -5.13%[17] Stock Selection Factor Backtesting Results 1. **Single Quarter ROA**: Weekly excess return: 0.98%, Monthly excess return: 2.61%, Annual excess return: 9.49%, Ten-year annualized return: 3.69%[22] 2. **240-Day Skewness**: Weekly excess return: 0.75%, Monthly excess return: 2.48%, Annual excess return: 6.40%, Ten-year annualized return: 2.85%[22] 3. **Single Quarter ROE**: Weekly excess return: 0.74%, Monthly excess return: 1.55%, Annual excess return: 8.96%, Ten-year annualized return: 3.46%[22]

Core Viewpoint - China Ping An's stock price decreased by 2.04% to 52.85 CNY per share, with a trading volume of 3.364 billion CNY as of August 1 [1] Company Overview - China Ping An Insurance (Group) Co., Ltd. is one of the most comprehensive financial groups in China, holding a wide range of financial licenses and operating in insurance, banking, asset management, and healthcare sectors [1] - The company focuses on enhancing its "comprehensive finance + healthcare and elderly care" service system, offering professional services including "financial advisory, family doctor, and elderly care management" [1] Financial Performance - As of the first quarter of 2025, China Ping An reported total revenue of 146.113 billion CNY and a net profit of 27.016 billion CNY [1] Analyst Ratings - On July 30, Jiao Yin International Securities maintained a "buy" rating for China Ping An, raising the target price to 73 HKD [1] Upcoming Events - China Ping An is scheduled to disclose its mid-year report for the fiscal year 2025 on August 26 [1]

Group 1 - The current VIX index of the CSI 300 has risen, indicating a bullish sentiment in the derivatives market towards equity assets [1] - Industries gaining attention from institutions include oil and petrochemicals, non-ferrous metals, steel, non-bank financials, and comprehensive finance [1] - The coal, non-ferrous metals, steel, basic chemicals, construction, building materials, machinery, banking, and transportation sectors are at the threshold of triggering crowded indicators, reflecting overall optimistic market sentiment [1] Group 2 - The CSI 300 Enhanced ETF (561300) not only tracks the CSI 300 index but also incorporates quantitative strategies to pursue excess returns based on quality beta [1] - Investors without stock accounts may consider the Guotai CSI 300 Enhanced Strategy ETF Initiated Link A (021847) and Link C (021848) [1]

Group 1 - The core point of the article highlights that China Ping An's stock price decreased by 2.04% to 55.15 CNY per share, with a trading volume of 504 million CNY as of 09:40 on July 31 [1] - China Ping An is recognized as one of the most comprehensive financial groups in China, with a wide range of licenses and services including insurance, banking, asset management, and healthcare [1] - The company emphasizes the integration of "comprehensive finance + healthcare and elderly care" services, offering specialized services such as "financial advisory, family doctor, and elderly care manager" [1] Group 2 - As of the first quarter of 2025, China Ping An reported total operating revenue of 146.113 billion CNY and a net profit of 27.016 billion CNY [1] - On July 30, Jiao Yin International Securities maintained a "buy" rating for China Ping An, raising the target price to 73 HKD [1] - China Ping An is scheduled to disclose its mid-year report for the fiscal year 2025 on August 26 [1]

Core Insights - The 2025 Fortune Global 500 list ranks Ping An at 47th globally with a revenue of $158.63 billion, marking a rise of 6 positions from the previous year and ranking 9th among global financial companies [1] - China has 130 companies on the list, the second highest globally, with a total revenue of approximately $10.7 trillion for 2024, averaging $82 billion per company [1] Group 1: Business Performance - Ping An's operating profit attributable to shareholders reached ¥121.86 billion in 2024, a year-on-year increase of 9.1%, while net profit surged by 47.8% to ¥126.61 billion [2] - The company's total revenue for 2024 was ¥1,028.93 billion, reflecting a 12.6% year-on-year growth, and total assets grew by 11.9% to ¥12.96 trillion [2] Group 2: Strategic Initiatives - The "Comprehensive Finance + Medical and Elderly Care" strategy has strengthened personal customer management, with 242 million personal customers and a retention rate of 98% [2] - AI technology has been integrated into financial operations, with 1.84 billion AI service interactions in 2024, covering 80% of customer service volume, and achieving 93% instant underwriting for life insurance policies [3] Group 3: Customer-Centric Services - The "Three Savings" service initiative aims to enhance customer experience by providing 82 convenient services for car insurance and expanding home care services to 75 cities [4] - Ping An has invested nearly ¥10.14 trillion in supporting the real economy and has a green investment scale of ¥124.71 billion, with green insurance premium income reaching ¥58.61 billion in 2024 [4] Group 4: Corporate Responsibility - The company emphasizes its commitment to social responsibility and aims to meet the growing financial, medical, and elderly care needs of society [5] - Ping An's MSCI ESG rating has improved to AA, ranking first in the Asia-Pacific region for three consecutive years in the "Comprehensive Insurance and Brokerage" category [4][5]

Core Viewpoint - China Ping An has appointed Wang Xiaohang as Chief Technology Officer (CTO) to accelerate its digital transformation process [2][3] Group 1: Appointment and Background - Wang Xiaohang previously held senior positions at Ant Group and has extensive experience in digital finance and AI innovation [2][3] - His educational background includes a Master's degree in Computer Science from the National University of Singapore [3] Group 2: Digital Transformation Strategy - The appointment aims to enhance AI technology research and application, integrating self-developed large models with big data platforms [3] - China Ping An is focused on building five digital systems: digital operations, management, marketing, services, and business [3] Group 3: Technological Infrastructure - The company has established a "953" technology foundation, which includes nine major databases, five laboratories, and three technology companies to support tech development and application [4][5] - This infrastructure is designed to strengthen the company's competitive edge in the financial and healthcare sectors [5] Group 4: AI and Efficiency - The company emphasizes the value creation of AI through improved efficiency and data-driven decision-making [5] - The internal "953" model leverages vast data resources and advanced research capabilities to enhance operational efficiency [5] Group 5: Talent and Achievements - By the end of 2024, China Ping An is expected to have over 21,000 technology developers and more than 3,000 scientists [6] - The company has won 45 domestic and international AI competition championships and holds 55,435 patent applications, ranking among leading international financial institutions [6]

Core Insights - China Ping An has appointed Wang Xiaohang as Chief Technology Officer (CTO) to accelerate its digital transformation process [1][2] - The appointment aims to enhance AI technology research and application, integrating self-developed large models with open-source big data platforms [2][3] Group 1: Appointment and Background - Wang Xiaohang previously held senior positions at Ant Group and has extensive experience in digital finance and AI innovation [2][3] - His background includes roles at Google and Bloomberg, and he has been instrumental in developing AI financial products [2][3] Group 2: Strategic Focus - China Ping An emphasizes a customer-centric approach and aims to empower business scenarios through continuous R&D investment [3] - The company is building a comprehensive ecosystem combining "integrated finance + healthcare and elderly care" [3] Group 3: Technological Infrastructure - The company utilizes a "953" technology framework, which includes nine major databases and five leading laboratories to support its AI initiatives [4] - This framework is designed to create a competitive advantage in the financial and healthcare sectors by leveraging vast amounts of data [4] Group 4: Talent and Achievements - By the end of 2024, China Ping An is expected to have over 21,000 technology developers and more than 3,000 scientists [5] - The company has won 45 domestic and international AI competition championships and has filed 55,435 patent applications, positioning itself among leading international financial institutions [5]