Quantitative Models and Construction Methods 1. Model Name: Counter-Cyclical Allocation Model - **Model Construction Idea**: Predict the macroeconomic environment using proxy variables and allocate assets that perform best under the predicted environment[26][31] - **Model Construction Process**: - Use proxy variables to forecast the macroeconomic environment (e.g., Inflation, Growth, etc.) - Allocate assets based on historical performance under the predicted environment - For Q3 2025, the model predicted an "Inflation" environment, leading to allocations in CSI 300, CSI 2000, Nanhua Commodity Index, and ChinaBond Total Wealth Index[26] - **Model Evaluation**: Provides a systematic approach to asset allocation based on macroeconomic conditions[26] 2. Model Name: Macro Momentum Model - **Model Construction Idea**: Constructed using multiple dimensions such as economic growth, inflation, interest rates, exchange rates, and risk sentiment to time asset classes like stocks and bonds[26] - **Model Construction Process**: - Incorporate macroeconomic indicators, positioning data, volume-price factors, and sentiment factors - Apply the model to time assets such as CSI 300, ChinaBond Total Wealth Index, and gold contracts (AU9999)[26] - **Model Evaluation**: Offers a multi-dimensional perspective for timing asset allocation[26] 3. Model Name: Multi-Factor Industry Rotation Model - **Model Construction Idea**: Combines historical fundamentals, expected fundamentals, sentiment, volume-price technicals, and macroeconomic factors to rotate among industries[27] - **Model Construction Process**: - Match ETFs with their corresponding CSI Level-1 industries - Use a pool of 23 industries to construct the benchmark - Allocate weights to ETFs based on the model's output[27][29] - **Model Evaluation**: Provides a structured approach to industry rotation, leveraging multiple factor dimensions[27] 4. Model Name: Absolute Return Strategies (Blended Models) - **Model Construction Idea**: Combine macro timing and industry rotation strategies with asset rebalancing to achieve absolute returns[31][37] - **Model Construction Process**: - Implement 20/80 stock-bond rebalancing and risk parity strategies - Enhance these strategies with macro timing and industry ETF rotation[31][37] - **Model Evaluation**: Enhances traditional rebalancing strategies with timing and rotation components for better returns[31][37] --- Model Backtesting Results 1. Counter-Cyclical Allocation Model - CSI 300 Q3 2025 Return: 14.38%[26] - CSI 2000 Q3 2025 Return: 16.58%[26] - Nanhua Commodity Index Q3 2025 Return: 4.17%[26] - ChinaBond Total Wealth Index Q3 2025 Return: -1.08%[26] 2. Macro Momentum Model - CSI 300 September 2025 Return: 0.11%[26] - ChinaBond Total Wealth Index September 2025 Return: -0.31%[26] - AU9999 Gold Contract September 2025 Return: 5.72%[26] 3. Multi-Factor Industry Rotation Model - Weekly Return: 0.61% (Excess Return: 0.79% over Wind All A Index)[27][28] - Monthly Return (September 2025): 0.82% (Excess Return: 0.28% over Wind All A Index)[27][28] 4. Absolute Return Strategies (Blended Models) - **Macro Timing + 20/80 Rebalancing**: - Weekly Return: -0.10% - Monthly Return: -0.09% - YTD Return: 3.85% - Annualized Volatility: 3.38% - Max Drawdown: 1.78% - Sharpe Ratio: 1.61[32] - **Macro Timing + Risk Parity**: - Weekly Return: -0.01% - Monthly Return: -0.15% - YTD Return: 1.58% - Annualized Volatility: 1.75% - Max Drawdown: 1.50% - Sharpe Ratio: 1.27[32] - **Macro Timing + Industry ETF Rotation + 20/80 Rebalancing**: - Weekly Return: 0.22% - Monthly Return: 0.21% - YTD Return: 7.83% - Annualized Volatility: 5.28% - Max Drawdown: 2.54% - Sharpe Ratio: 2.12[32] - **Macro Timing + Industry ETF Rotation + Risk Parity**: - Weekly Return: 0.11% - Monthly Return: -0.03% - YTD Return: 2.94% - Annualized Volatility: 2.18% - Max Drawdown: 1.45% - Sharpe Ratio: 1.90[32] --- Quantitative Factors and Construction Methods 1. Factor Name: PB Earnings - **Factor Construction Idea**: Focuses on price-to-book ratios and earnings growth to identify undervalued stocks with growth potential[39][41] - **Factor Construction Process**: - Calculate PB ratios for stocks - Combine with earnings growth metrics to rank stocks[39][41] - **Factor Evaluation**: Targets value-oriented opportunities with growth potential[39][41] 2. Factor Name: High Dividend Yield - **Factor Construction Idea**: Selects stocks with high dividend yields for stable income generation[39][41] - **Factor Construction Process**: - Rank stocks based on dividend yield - Adjust for payout sustainability metrics[39][41] - **Factor Evaluation**: Suitable for income-focused strategies[39][41] 3. Factor Name: Small-Cap Value - **Factor Construction Idea**: Targets small-cap stocks with low valuations for higher growth potential[39][41] - **Factor Construction Process**: - Identify small-cap stocks - Rank based on valuation metrics like P/E and P/B ratios[39][41] - **Factor Evaluation**: Captures the small-cap premium with a value tilt[39][41] 4. Factor Name: Small-Cap Growth - **Factor Construction Idea**: Focuses on small-cap stocks with high growth potential[39][41] - **Factor Construction Process**: - Identify small-cap stocks - Rank based on growth metrics like revenue and earnings growth rates[39][41] - **Factor Evaluation**: Targets high-growth opportunities in the small-cap space[39][41] --- Factor Backtesting Results 1. PB Earnings - **10/90 Rebalancing**: - Weekly Return: -0.18% - Monthly Return: -0.04% - YTD Return: 2.49% - Annualized Volatility: 2.34% - Max Drawdown: 1.82% - Sharpe Ratio: -0.01[41] - **20/80 Rebalancing**: - Weekly Return: -0.39% - Monthly Return: -0.11% - YTD Return: 4.06% - Annualized Volatility: 4.71% - Max Drawdown: 3.79% - Sharpe Ratio: 0.19[41] 2. High Dividend Yield - **10/90 Rebalancing**: - Weekly Return: -0.12% - Monthly Return: -0.09% - YTD Return: 1.91% - Annualized Volatility: 2.09% - Max Drawdown: 1.39% - Sharpe Ratio: -0.18[41] - **20/80 Rebalancing**: - Weekly Return: -0.28% - Monthly Return: -0.22% - YTD Return: 2.88% - Annualized Volatility: 4.19% - Max Drawdown: 3.47% - Sharpe Ratio: 0.05[41] 3. Small-Cap Value - **10/90 Rebalancing**: - Weekly Return: -0.27% - Monthly Return: -0.07% - YTD Return: 5.35% - Annualized Volatility: 3.55% - Max Drawdown: 3.69% - Sharpe Ratio: 0.47[41] - **20/80 Rebalancing**: - Weekly Return: -0.57% - Monthly Return: -0.16% - YTD Return: 9.91% - Annualized Volatility: 7.14% - Max Drawdown: 7.74% - Sharpe Ratio: 0.60[41]

Core Viewpoint - On September 24, Liao Group Co., Ltd. experienced a decline of 5.27%, with a stock price of 5.93 yuan per share, a trading volume of 1.492 billion yuan, a turnover rate of 4.25%, and a total market capitalization of 40.157 billion yuan [1] Group 1: Company Overview - Liao Group Co., Ltd. is located at 2900 Zhongshan North Road, Shanghai, and was established on May 21, 2001, with its listing date on April 27, 2007 [1] - The company's main business includes mechanical manufacturing and digital marketing, with revenue composition as follows: media agency business 75.15%, mechanical manufacturing 20.98%, digital marketing services 1.95%, metal materials trading 0.96%, and others 0.67% [1] Group 2: Shareholder Information - According to data, one of the top ten circulating shareholders of Liao Group is a fund under GF Fund Management, specifically the GF CSI Media ETF Link A (004752), which increased its holdings by 850,700 shares in the second quarter, holding a total of 26.113 million shares, accounting for 0.45% of circulating shares [2] - The fund has a current scale of 729 million yuan, with a year-to-date return of 32.02%, ranking 1498 out of 4220 in its category, and a one-year return of 73.42%, ranking 1146 out of 3814 [2] Group 3: Fund Performance - The GF CSI Media ETF (512980) also increased its holdings in Liao Group by 850,700 shares in the second quarter, holding a total of 26.113 million shares, which represents 3.57% of the fund's net value [4] - The fund has a current scale of 2.563 billion yuan, with a year-to-date return of 33.44%, ranking 1426 out of 4220, and a one-year return of 78.43%, ranking 999 out of 3814 [4]

Group 1: Fixed Income + Product Performance Tracking - As of September 5, 2025, the total scale of fixed income + funds in the market is 1,785.415 billion, with 1,179 products, of which 94 reached historical net value highs last week [2][18] - The median performance of various fund types for the week (September 1-5, 2025) is as follows: mixed bond type I (0.09%), mixed bond type II (0.05%), and bond type FOF (0.14%) [2][12] - The performance of conservative, stable, and aggressive funds for the week is 0.07%, 0.06%, and 0.05% respectively [2][12] Group 2: Major Asset Allocation and Industry ETF Rotation Strategy Tracking - The macro environment forecast for Q3 2025 indicates an inflation scenario, with the performance of major indices as follows: CSI 300 (-0.81%), national debt total wealth index (0.11%), and AU9999 contract (3.78%) [3][22] - Recommended industry ETFs for September 2025 include: Huafu CSI Artificial Intelligence Industry ETF, Guotai CSI All-Share Securities Company ETF, Guotai CSI All-Share Communication Equipment ETF, and GF CSI Media ETF [3][22] - The combined return for the recommended ETFs last week was -3.04%, with a cumulative return of -3.04% for September [3][22] Group 3: Absolute Return Strategy Performance Tracking - The macro-timing driven stock-bond 20/80 rebalancing strategy had a return of -0.15% last week, with a year-to-date (YTD) return of 3.77% [4] - The small-cap growth style in the stock-bond 20/80 combination showed the best performance with a YTD return of 10.99% [4] - The cumulative return for the small-cap growth combination based on a macro momentum model is 12.48% [4]

Group 1 - The core viewpoint of the news is that Light Media (300251.SZ) has reported significant institutional investment, with 51 institutional investors holding a total of 1.451 billion shares, representing 49.46% of the total share capital as of August 26, 2025 [1] - The top ten institutional investors collectively hold 48.66% of the shares, with an increase of 1.33 percentage points compared to the previous quarter [1] Group 2 - In the public fund sector, two public funds increased their holdings, namely the Huaxia CSI Animation Game ETF and the E-Fund Growth Enterprise ETF, with an increase ratio of 0.31% [2] - One public fund, the Su Xin CSI 500 Index Enhanced A, reduced its holdings slightly, while 33 public funds were not disclosed in the current period, including several notable ETFs [2] - Foreign investment sentiment shows that one foreign fund, Hong Kong Central Clearing Limited, increased its holdings by 0.21% [2]