Group 1 - The core viewpoint of the news is that the China Securities Regulatory Commission (CSRC) emphasizes stimulating the vitality of a multi-tiered market and plans to launch a comprehensive set of measures to deepen the reform of the ChiNext board, including the introduction of a third set of standards to support the listing of high-quality, unprofitable innovative enterprises [1] - The policy is expected to enhance the inclusiveness of the capital market, better meet the financing needs of early-stage growth companies, and promote the recovery of investment banks' underwriting business income, particularly benefiting leading institutions deeply involved in the sci-tech innovation sector [1] - The steady implementation of the ChiNext reform measures will further strengthen market confidence in growth sectors and solidify the trend of stabilization and improvement in the capital market [1] Group 2 - The Guotai ChiNext 50 ETF (159375) tracks the ChiNext 50 Index (399673), which can experience daily fluctuations of up to 20%. This index selects 50 securities from the ChiNext board based on market capitalization and liquidity, focusing on emerging industries such as information technology, new energy, financial technology, and pharmaceuticals [1] - The index exhibits significant volatility and elasticity, with a high proportion of weight in the electric equipment and new energy sectors [1] - Investors without stock accounts can consider the Guotai ChiNext 50 ETF Initiator Link C (023372) and Guotai ChiNext 50 ETF Initiator Link A (023371) [1]

Quantitative Models and Construction Methods Model Name: Central Enterprise Innovation Index (000861.CSI) - **Model Construction Idea**: The index selects 100 representative listed companies under the State-owned Assets Supervision and Administration Commission (SASAC) based on their innovation and profitability to reflect the overall performance of innovative central enterprises[8] - **Model Construction Process**: - **Sample Space**: All listed companies under SASAC[9] - **Step 1**: Rank the securities in the sample space by average daily trading volume over the past year and exclude the bottom 20%[9] - **Step 2**: Select the remaining securities controlled by SASAC and its subsidiaries[9] - **Step 3**: Exclude securities with negative operating cash flow in the past year and negative net profit excluding non-recurring items in the past two years[9] - **Step 4**: Calculate the innovation score for non-financial companies based on R&D expenditure, R&D personnel ratio, patent quality score, and participation in national or industry standards. For financial companies, use revenue, net profit, patent quality score, and participation in standards[9] - **Step 5**: Rank the remaining securities by innovation score and select the top 50% as innovation-themed securities[9] - **Step 6**: Calculate the quality score for non-financial companies based on ROE, net profit growth, earnings quality, and financial leverage. For financial companies, use ROE and net profit growth. Combine the quality score with the scale score (based on market cap) to get a comprehensive score[9] - **Step 7**: Select the top 100 securities by comprehensive score as index samples[9] - **Adjustment**: The index samples are adjusted semi-annually[9] - **Model Evaluation**: The index is designed to reflect the performance of innovative central enterprises, with a focus on maintaining representativeness and accuracy through regular adjustments[8][9] Model Backtesting Results - **Central Enterprise Innovation Index**: - **Cumulative Return Since Inception**: 138.08%[5][10] - **Excess Return Over Major Indices**: - CSI 300: 79.25%[5] - SSE Composite Index: 83.67%[5] - CSI 500: 54.40%[5] - CSI 800: 74.09%[5] - **5-Year Cumulative Return**: 33.70%[10] - **Excess Return Over Major Indices in 5 Years**: - CSI 300: 49.24%[10] - SSE Composite Index: 29.47%[10] - CSI 800: 47.94%[10] Quantitative Factors and Construction Methods Factor Name: Innovation Score - **Factor Construction Idea**: Evaluate the innovation capability of non-financial and financial companies based on specific indicators[9] - **Factor Construction Process**: - **Non-Financial Companies**: - R&D expenditure to market cap ratio (40% weight) - R&D personnel ratio (10% weight) - Patent quality score (40% weight) - Participation in national or industry standards (10% weight)[9] - **Financial Companies**: - Revenue (40% weight) - Net profit (10% weight) - Patent quality score (40% weight) - Participation in national or industry standards (10% weight)[9] - **Calculation**: Sum the weighted scores to get the innovation score[9] Factor Name: Quality Score - **Factor Construction Idea**: Assess the financial quality of companies based on profitability and financial stability[9] - **Factor Construction Process**: - **Non-Financial Companies**: - ROE (30% weight) - Net profit growth (35% weight) - Earnings quality (25% weight) - Financial leverage (10% weight)[9] - **Financial Companies**: - ROE (50% weight) - Net profit growth (50% weight)[9] - **Calculation**: Sum the weighted scores to get the quality score[9] Factor Backtesting Results - **Innovation Score**: - **Top 50% Selection**: Used to identify innovation-themed securities[9] - **Quality Score**: - **Comprehensive Score Calculation**: Combined with scale score to select top 100 securities[9]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In Q2 2025, the positions of funds increased slightly, and the concentration decreased again. Funds reduced their holdings in the Main Board and increased their holdings in the Science and Technology Innovation Board and the Growth Enterprise Market. The proportion of Hong Kong stock holdings continued to rise, and the overall stock market value proportion of four types of active stock - type funds increased slightly. The concentration of fund holdings decreased, and the profitability of heavy - holding stocks was differentiated. The allocation of leading companies continued to decline [11][14][17]. - The overall management scale and share of public funds shrank. The management scale changes of funds of different sizes were differentiated, but the position - adjustment directions of large and small public funds were relatively consistent. Small - scale funds switched from consumption to TMT, while large - scale products separately increased their positions in manufacturing and raw materials [61][70][75]. - Manufacturing and consumption sectors were under - weighted, while TMT and cyclical sectors were over - weighted. The upstream, mid - stream manufacturing, and mid - stream processing sectors within manufacturing showed different trends in position allocation, with some industries increasing and some decreasing [78][85][118]. 3. Summary According to Relevant Catalogs 3.1 Position Slightly Increased, Concentration Decreased Again - **Plate Allocation**: In Q2 2025, funds reduced their holdings in the Main Board, with the heavy - holding allocation ratio decreasing by 1.81 percentage points to 72.52%. They increased their holdings in the Science and Technology Innovation Board and the Growth Enterprise Market, with the Growth Enterprise Market increasing by 1.76 percentage points to 15.20%. The proportion of Hong Kong stock holdings continued to rise [11]. - **Stock - holding Ratio of Funds**: The stock - holding ratio of four types of funds increased slightly compared with the previous quarter. The proportion of stocks in the total fund assets increased to 84.24% quarter - on - quarter, while the proportion of bonds decreased to 4.63%, and the cash ratio also decreased [14]. - **Concentration of Fund Holdings**: The concentration of the top 50 heavy - holding stocks in Q2 2025 reached 38.2%. The profitability of heavy - holding stocks was differentiated. The average return of the top 50 heavy - holding stocks in Q1 2025 in Q2 2025 was 3.1%, higher than the 2.5% of the common stock - type fund index, while the average return of the top 10 heavy - holding stocks was - 5.1%, significantly underperforming the index [17][18]. - **Allocation of Leading Companies**: The holding ratios of first - tier and second - and third - tier leading companies in Q2 2025 decreased by 1.26 and 0.13 percentage points respectively compared with Q1 2025, to 27.06% and 13.24%. In terms of industries, funds mainly increased their positions in the leading companies of the communication and agriculture, forestry, animal husbandry, and fishery industries and reduced their positions in the leading companies of the electronics, food and beverage, and household appliance industries [21]. - **Industry Allocation**: In Q2, funds significantly increased their positions in the communication and finance sectors, with an increase of 3.2% and 1.9% respectively, and reduced their positions in the optional consumption and necessary consumption sectors, with a decrease of 2.3% and 1.5% respectively. In terms of heavy - holding allocation ratio changes, the communication, bank, national defense and military industry, and non - bank sectors had the largest increases, while the food and beverage, automobile, electric power equipment and new energy, and machinery sectors had the largest decreases [30][32]. 3.2 Public Funds' Scale and Share Shrunk - **Overall Scale and Share**: The overall management scale and share of public funds shrank [61]. - **Differentiated Changes in Different - Sized Funds**: The management scale changes of funds of different sizes were differentiated, but the position - adjustment directions of large and small public funds were relatively consistent. Small - scale funds switched from consumption to TMT, while large - scale products separately increased their positions in manufacturing and raw materials. Funds of different sizes reduced their heavy - holding stock allocations [64][70][75]. 3.3 Manufacturing and Consumption Under - weighted, TMT and Cyclical Sectors Over - weighted - **Upstream Sector**: The heavy - holding allocation ratio of the upstream sector declined overall, with internal structural differentiation. The allocation ratio of the petroleum and petrochemical sector remained stable at 0.52% in Q2, while the allocation ratio of the coal sector decreased by 0.1 percentage point to 0.36%. The allocation ratio of non - ferrous metals increased by 0.12 percentage points to 4.68%, and the allocation ratio of steel decreased by 0.26 percentage points to 0.37% [85][90]. - **Mid - stream Manufacturing**: The overall heavy - holding allocation of the manufacturing sector decreased. The allocation ratio of the electric power equipment and new energy sector decreased by 0.99 percentage points to 8.78% in Q2, while the allocation ratio of the national defense and military industry sector increased by 0.89 percentage points to 3.64% [118]. - **Mid - stream Processing**: The overall heavy - holding allocation of the manufacturing sector decreased. The allocation ratio of the machinery sector decreased by 0.99 percentage points to 5.55% in Q2, the allocation ratio of building materials remained stable at 0.47%, the allocation ratio of transportation increased by 0.31 percentage points to 1.97%, and the allocation ratio of light industry manufacturing decreased by 0.01 percentage points to 0.86% [123][127].

- The total number of quantitative funds in the market reached 604 by the end of Q2 2025, with an increase of 53 funds compared to Q1 2025. The total fund size amounted to 2854.39 billion yuan, marking a quarter-on-quarter growth of 144.46 billion yuan, or 5.33%[159] - Quantitative funds are categorized into active funds, index-enhanced funds, and hedging funds. Active funds accounted for 894.30 billion yuan, with a quarter-on-quarter growth rate of 8.48%. Index-enhanced funds reached 1908.69 billion yuan, growing by 4.29% quarter-on-quarter. Hedging funds totaled 51.39 billion yuan, showing a decline of 7.15% quarter-on-quarter[160][159] - Among active quantitative funds, the top fund by size was "招商量化精选A" (49.01 billion yuan), followed by "国金量化多因子" (43.40 billion yuan) and "信诚多策略" (34.41 billion yuan). The top 10 funds collectively accounted for 56.05% of the market[164][165] - Active quantitative funds tracking broad-based indices showed strong performance in Q2 2025. For example, "诺安多策略" achieved an excess return of 19.58% and "汇安多策略A" delivered an excess return of 14.67%[166] - Industry-themed active quantitative funds also performed well, with "东吴智慧医疗量化策略A" achieving an excess return of 20.77% and "浙商大数据智选消费A" delivering an excess return of 14.57%[169] - Smart-beta active quantitative funds tracking indices like 中证红利 and 中证国企红利 showed notable excess returns, with "富国中证红利指数增强A" achieving an excess return of 3.94%[179] - Index-enhanced funds reached a total size of 1908.69 billion yuan by the end of Q2 2025. The largest fund was "易方达上证50增强A" with a size of 183.15 billion yuan[172][175] - Among index-enhanced funds, broad-based funds tracking indices like 中证A500 and 国证2000 showed strong excess returns, with "银华中证全指医药卫生增强" achieving an excess return of 4.04%[176] - Hedging quantitative funds totaled 51.39 billion yuan by the end of Q2 2025. The largest fund was "汇添富绝对收益策略A" with a size of 28.00 billion yuan[180][181] - Absolute return rankings for hedging funds in Q2 2025 showed "中邮绝对收益策略" leading with a return of 2.70%, followed by "富国量化对冲策略三个月A" with a return of 2.65%[184] - In Q2 2025, 58 new quantitative funds were established, including 50 index-enhanced funds. The total issuance size was 241.15 billion yuan, marking an increase of 57.95 billion yuan compared to the previous quarter[185]

Report Summary 1. Investment Rating of the Reported Industry There is no information provided regarding the investment rating of the reported industry in the given content. 2. Core Viewpoints of the Report The report analyzes the performance, scale changes, and portfolio configurations of active equity - biased funds in Q2 2025. It shows that in Q2, the North -交所 continued to lead the gains, the large - cap value style was dominant, and the average return of active equity - biased funds was 2.9%. The scale of equity - biased funds declined, the new fund issuance market improved, and the overall stock positions of equity - biased funds increased. Additionally, the funds continued to increase their positions in Hong Kong stocks, with changes in market - value styles and industry distributions [1][4]. 3. Summary According to the Table of Contents I. Active Equity - Biased Fund Market Review - **Performance Overview**: In Q2, the North -交所 led the gains, the large - cap value style was dominant, and the average return of active equity - biased funds was 2.9%. 70% of the funds had positive returns, and most single - quarter returns were between 0% and 5%. Funds heavily invested in innovative drugs, computing power, and the North -交所 performed outstandingly. The Hang Seng Index rose 4.1%, while the Hang Seng Tech Index declined 1.7%. Industries such as comprehensive finance and national defense and military industry led the gains, while the food and beverage industry had a large decline [4][9]. - **Scale Change**: At the end of Q2, the scale of equity - biased funds declined again, decreasing by 1% compared to the end of the previous quarter. The decline was mainly due to the redemption of fund shares. Funds with relatively large scale increases were mainly those heavily invested in military industry, innovative drugs, computing power, and new consumption. The scales of top - tier funds over 20 billion yuan all shrank to varying degrees [4][19]. - **New Fund Issuance Market**: The new fund issuance market improved, with a significant increase in the number and scale of newly issued funds in 2025Q2. A total of 72 active equity - biased funds were established, with a total scale of 37.419 billion yuan. The largest - scale newly established fund in Q2 was Dongfanghong Core Value, with a scale exceeding 1.9 billion yuan [29][35]. II. Position Analysis - **Position Analysis**: At the end of Q2, the overall stock positions of common stock, equity - biased hybrid, flexible allocation, and balanced hybrid funds were 90.10%, 88.49%, 85.77%, and 65.99% respectively, increasing by 0.75, 0.33, 0.87, and 3.21 percentage points compared to the end of the previous quarter [4][38]. - **AH Market Selection**: Active equity - biased funds that can invest in Hong Kong stocks continued to increase their positions in Hong Kong stocks in Q2, with the proportion of Hong Kong stocks in the stock investment market value increasing by about 1.6 percentage points. The Hong Kong stock positions have been increasing for 6 consecutive quarters [4][46]. - **Market - Value Style**: The proportion of the main board continued to decline slightly, while the proportions of the Science and Technology Innovation Board and the Growth Enterprise Market increased. The proportion of small - and medium - cap stocks below 5 billion yuan further increased by 0.76 percentage points [4][51]. - **Industry Distribution**: Active equity - biased funds increased their positions in TMT and financial real estate sectors and reduced their positions in consumption and mid - stream manufacturing sectors. Among the first - tier industries, the industries with the largest increase in heavy - position market value were communications, banking, and national defense and military industry, while the industries with the largest decrease were food and beverage, automobiles, and power equipment and new energy [4][56]. - **Heavy - Positioned Stocks**: At the end of Q2 2025, Tencent Holdings remained the largest heavy - positioned stock of active equity - biased funds, followed by CATL and Kweichow Moutai. Tencent Holdings was significantly reduced, while Inphi and Xinyisheng received the most increases in positions [4][64].

- The report defines "fund clustering degree" as a measure influenced by the clustering degree of heavy stocks and their holding proportions. Stock clustering degree is calculated based on the number of funds holding a specific stock, ranked by percentile within all stocks[25][26] - Fund clustering degree is derived as a weighted sum of heavy stock clustering degrees, with weights being the proportion of the stock's market value to the fund's total stock holdings. The formula is: $ \text{fund\_score}_{\text{j,t}}=\sum_{k=1}^{10}\text{stock\_cap}_{k,t}\times\text{stock\_score}_{k,t} $ where stock_cap represents the proportion of the stock's market value, and stock_score denotes the clustering degree of the stock[27] - In Q2 2025, the fund clustering degree decreased compared to the previous quarter, currently positioned near historical averages[27]

Summary of Key Points Core Viewpoint - The public fund industry has reported strong performance in Q2 2025, with both total fund management scale and non-monetary fund management scale reaching historical highs, indicating a positive trend in the market [1][2]. Fund Management Scale - As of the end of Q2 2025, the total public fund management scale reached 34 trillion yuan, while the non-monetary fund management scale was 20 trillion yuan, both marking historical peaks [2][3]. - The total public fund scale increased by 7.04% from Q1 2025 and by 10.76% year-on-year from Q2 2024 [2]. - The non-monetary fund scale grew by 6.85% from the previous quarter, reaching 20.11 trillion yuan [2]. Fund Types and Performance - The largest market scales were seen in money market funds and bond funds, with sizes of 13.93 trillion yuan and 10.77 trillion yuan, reflecting increases of 7.32% and 8.74% respectively [3]. - Equity funds reached a scale of 4.74 trillion yuan, growing by 6.06% quarter-on-quarter, while mixed funds saw minimal growth [3]. - Commodity funds and fund of funds (FOF) experienced significant growth, with increases of 47.79% and 10.28%, respectively [3]. Investment Trends - Public funds increased their allocations to the financial and technology sectors, with increases of 1.82% and 1.71%, while reducing allocations to the consumer sector by 3.9% [5]. - The top three sectors by allocation weight were electronics, pharmaceuticals, and power equipment & new energy, with weights of 18.88%, 11.11%, and 8.8% respectively [5]. - Notably, the automotive sector, which had seen significant investment in the previous quarter, experienced a reduction in holdings [6]. Major Holdings - The top ten holdings of public funds included Tencent Holdings, CATL, and Kweichow Moutai, with Tencent's total market value held by public funds at approximately 59.2 billion yuan [6][7]. - New entrants to the top ten holdings included Xiaomi Group and New Yisheng, while BYD and Wuliangye exited the list [7]. Investor Behavior - Investors showed a preference for money market funds, bond funds, commodity funds, and QDII funds, leading to net subscriptions in these categories, while equity funds and FOFs faced net redemptions [8][9]. - The total fund share exceeded 30 trillion shares by the end of June, with a net subscription of 1.25 trillion shares in the quarter [8]. - Money market funds and bond funds were the main contributors to net subscriptions, with net subscriptions of 887.67 billion shares and 459.25 billion shares, respectively [9]. Redemption Trends - Equity funds experienced net redemptions totaling 140.27 billion shares, with actively managed equity funds leading in redemptions [10]. - FOFs also faced net redemptions of 5.53 billion shares, indicating a shift in investor sentiment away from these products [11].

报 告 摘 要 一、基金仓位监控 普通股票型基金 仓位中位数为91.27%， 偏股混合型基金 仓位中位数为90.08%，与上一季 度相比略有提升，自2020年以来持续围绕在90%仓位震荡。普通股票型基金仓位处在历史 88.71%分位点，偏股混合型基金仓位处在历史93.55%分位点。 普通股票型和偏股混合型基金 港股仓位 均值分别为12.91%和16.85%，均较上一季度进一 步提升。普通股票型配置港股基金数量为233只，偏股混合型配置港股基金数量为1601只， 普通股票型以及偏股混合型基金中配置港股的基金数量占比为58.35%。 二、基金持股集中度监控 基金重仓股占权益配置比重为52.23%，上一期为53.21%，略有降低；另一方面，基金持股 数量在2025年二季度相较于上一季度有所增加，基金经理总体持股数量为2436只，这意味 着，基金经理持仓的股票差异化有所提升。 三、板块配置监控 2025年二季报中披露的主板配置权重为52.44%、创业板配置权重为15.3%、科创板配置权 重为12.31%，港股配置权重为19.94%，其中创业板配置权重较上个季度提升1.78%，主板 较上个季度降低2.64%。 在202 ...

Quantitative Models and Construction Methods 1. Model Name: Heston Model - **Model Construction Idea**: The Heston model is used to calculate the implied volatility of near-month at-the-money options, serving as a market fear index. It reflects market participants' expectations of future volatility [7] - **Model Construction Process**: The Heston model is a stochastic volatility model where the variance of the asset price follows a mean-reverting square-root process. The model is defined by the following equations: $$ dS_t = \mu S_t dt + \sqrt{v_t} S_t dW_t^S $$ $$ dv_t = \kappa (\theta - v_t) dt + \sigma \sqrt{v_t} dW_t^v $$ where: - \( S_t \): Asset price - \( v_t \): Variance of the asset price - \( \mu \): Drift term - \( \kappa \): Speed of mean reversion - \( \theta \): Long-term variance - \( \sigma \): Volatility of variance - \( W_t^S, W_t^v \): Two Wiener processes with correlation \(\rho\) [7] - **Model Evaluation**: The Heston model is widely recognized for its ability to capture the stochastic nature of volatility, making it suitable for modeling market fear indices [7] --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Industry Timing Factor (Scissors Difference) - **Factor Construction Idea**: This factor is based on the difference in the number of stocks with bullish and bearish signals within an industry. It aims to identify timing opportunities by analyzing the divergence between bullish and bearish signals [14] - **Factor Construction Process**: - Define the number of stocks with bullish signals (\(N_{bullish}\)) and bearish signals (\(N_{bearish}\)) in an industry on a given day - If no bullish or bearish signals are present, set the respective count to 0 - Calculate the scissors difference as: $$ \text{Scissors Difference} = N_{bullish} - N_{bearish} $$ - Normalize the scissors difference to obtain a ratio: $$ \text{Scissors Ratio} = \frac{N_{bullish} - N_{bearish}}{N_{bullish} + N_{bearish}} $$ - Use this ratio to construct an industry timing strategy [14] - **Factor Evaluation**: The backtesting results show that the scissors difference timing model outperforms the respective industry indices in all cases, demonstrating excellent historical performance [14] --- Model Backtesting Results 1. Heston Model - Implied volatility for major indices: - **Shanghai 50**: 13.5% (down 0.91% from last week) - **Shanghai 500**: 15.29% (down 0.11% from last week) - **CSI 1000**: 16.79% (down 1.3% from last week) - **CSI 300**: 13.65% (down 0.83% from last week) [9] --- Factor Backtesting Results 1. Multi-Industry Timing Factor (Scissors Difference) - Backtesting results for selected industries: - **Real Estate**: Strategy annualized return 13.18%, maximum drawdown -34.3%; Index annualized return -1.21%, maximum drawdown -75.09% - **Light Manufacturing**: Strategy annualized return 21.84%, maximum drawdown -37.91%; Index annualized return 2.76%, maximum drawdown -67.79% - **Coal**: Strategy annualized return 28.73%, maximum drawdown -24.76%; Index annualized return -0.1%, maximum drawdown -69.7% - **Pharmaceuticals**: Strategy annualized return 19.22%, maximum drawdown -42.71%; Index annualized return 6.69%, maximum drawdown -55.37% [15][16]

Core Viewpoint - The current A-share market is likely to maintain a strong oscillating trend, similar to the second half of 2014, driven by liquidity and policy easing factors [1][2][3] Group 1: Market Trends - The A-share market in the second half of 2014 and from April to July 2020 was primarily driven by liquidity and policy easing, with a weak economic backdrop but rising stock indices [2] - The current market is expected to continue a structural slow bull trend, with short-term oscillations leaning towards strength [3] - Economic recovery remains weak, with pressures on exports and a potential decline in real estate investment, while corporate earnings are showing signs of recovery [3] Group 2: Sector Performance - In the current environment, sectors such as media, building materials, agriculture, computer, and home appliances are showing superior mid-year profit growth [1] - Growth sectors like media, automotive, pharmaceuticals, power equipment, and new energy, along with blue-chip sectors such as agriculture, non-bank financials, food and beverage, and home appliances, are considered to have high cost-performance ratios [1][3] Group 3: Investment Strategy - Short-term investment strategy suggests a balanced allocation between technology growth and undervalued blue-chip stocks, focusing on sectors with upward policy and industry trends [1][3] - In July and August, the market style is expected to be balanced, with growth potentially outperforming value in August due to economic recovery trends and continued liquidity [4]