Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The report focuses on the strategies of various US funds in response to interest rate declines and low - interest periods. US asset management institutions adapt to cycles and innovate to deal with changes. In the post - financial crisis interest rate decline period, they developed bond ETFs, increased overseas investment, and reduced management fees. In the interest rate increase period after 2021, they increased inflation - linked bond investments [3][87]. - The US has experienced two low - interest periods in the 21st century. The first was from the end of 2008 to the end of 2015, and the second was from March 2020 to March 2022. Different types of funds showed different performance and asset allocation changes during these periods [11]. Summary by Directory 1. US Low - Interest Period Review - 21st - century US low - interest periods: There were two periods when the policy rate was maintained in the 0 - 0.25% range. The first was from the end of 2008 to the end of 2015 due to the 2008 global financial crisis, and the second was from March 2020 to March 2022 because of the global public health event [11]. - 2008 - 2016 interest rate situation: After the sub - prime mortgage crisis, the Fed took measures such as conventional interest rate cuts and quantitative easing. The interest rate showed a "step - by - step decline + periodic shock" feature. The 10Y US Treasury yield dropped sharply in 2008 and then fluctuated [12][21]. - 2020 - 2022 interest rate situation: The global public health event led to a sharp economic downturn. The Fed took aggressive measures. The interest rate cycle turned earlier, and the low - interest period was shorter. The 10 - year US Treasury yield started to rise in September 2020 [25][26]. 2. Evolution of US Mutual Fund Asset Allocation 2.1 Structure Evolution of Mutual Funds - Fund types and scale relationship: US mutual funds include stock, hybrid, bond, and money market funds. Stock funds dominate, so the total scale is highly correlated with the stock market. There is a rotation relationship between bond and money market funds [31]. - 2008 - 2016 asset rotation: In 2008, the financial crisis made money market funds grow. From 2009 - 2012, funds flowed from money market funds to bond funds. After 2012, funds returned from low - risk assets to equity assets [32][37]. - 2020 - 2022 situation: Interest rate trends had no significant impact on the portfolio structure. Investors increased inflation - linked bonds to hedge inflation risks [41]. 2.2 Asset Allocation Changes of Bond Funds - Types of bond funds: Include investment - grade corporate bond funds, high - yield bond funds, global bond funds, government bond funds, etc. [42]. - Asset allocation in different periods: In the interest rate decline and early low - interest periods, low - risk bond funds increased. In the later low - interest period (2013 - 2016), bond funds increased returns through credit downgrading. They also increased overseas bond investments and the proportion of multi - allocation and alternative strategy bond funds [45][52][56]. 2.3 Asset Allocation Changes of Money Market Funds - Types of money market funds: Divided into taxable and tax - exempt. Taxable funds include government and non - government money market funds. - Low - interest period performance: In low - interest periods, the proportion of government money market funds increased, and money market funds increased returns by extending duration [60][64]. 2.4 ETF Structure Changes - ETF composition: Composed of stock, hybrid, bond, and commodity ETFs, with stock ETFs dominant. - Low - interest period performance: In the first low - interest period, the proportion of bond and commodity ETFs increased. Active - management ETFs emerged, and increasing overseas assets became a strategy to increase returns [72][74][75]. 3. Fee Optimization and Operational Innovation of US Mutual Funds - Fee structure: Consists of one - time fees (front - end and back - end sales fees) and continuous fees (management fees, 12b - 1 fees, etc.). - Fee reduction trend: Over the past 20 years, management fees have decreased. Index funds' proportion increased due to their fee advantages. Low - interest rates promoted fee reduction through multiple paths [77]. - Fee - related innovation: Low - interest rates promoted the popularity of no - load shares and zero - commission platforms, and the independence of consulting fees, which reduced the overall industry fee level [84]. 4. Implications of US Fund Asset Allocation in Low - Interest Periods - Interest rate decline strategy: Increase low - risk government and investment - grade bonds during rapid interest rate declines and use credit downgrading after a long - term low - interest period [87]. - Overseas investment: Increase overseas bond investments to balance risks and increase returns [88]. - Fee strategy: With the trend of fee reduction, the proportion of index funds continues to expand [88]. - Financial innovation: Use financial innovation such as multi - allocation and alternative strategies to resist cycle fluctuations and buy inflation - protection bonds to hedge inflation risks [89].

小盘成长风格表现突出，主动权益基金发行市场火热 分析师：宋旸 SAC NO：S1150517100002 2025 年 7 月 3 日 核心观点： 证券分析师 ⚫ 上月市场回顾： 宋旸 songyang@bhzq.com 022-28451131 张笑晨 SAC NO：S1150525070001 zhangxc@bhzq.com 022-23839033 6 月，市场主要指数估值全部上调。市盈率和市净率方面，沪深 300、中证全指的 估值历史分位数涨幅均靠前，而创业板指仍处于历史低位。31 个申万一级行业中 23 个行业上涨，涨幅前 5 的行业分别为通信、国防军工、有色金属、电子和传媒； 跌幅前 5 的行业为食品饮料、美容护理、家用电器、煤炭和交通运输。 相关研究报告 中证 A500 指数资金大幅流 入，主动权益基金仓位下降 —公募基金周报 2025.06.30 基于卡尔曼滤波的高频行业 仓位测算研究—基金专题报 告 2025.06.29 市场结构分化，主动权益基 金收益跑赢指数—公募基金 2025 年半年度投资策略 2025.06.26 ⚫ 公募基金市场概况： 6 月新发行基金 70 只，发行规模 627 ...

Quantitative Models and Construction Methods Model Name: Momentum Model - Construction Idea: The momentum model is designed to capture the trend-following behavior in the market, particularly effective during the end-of-quarter period when funds tend to adjust their positions based on recent performance trends [13][37] - Detailed Construction Process: The model identifies stocks with strong recent performance and allocates more weight to them. The formula used is: $ \text{Momentum Score} = \frac{\text{Price}_{t} - \text{Price}_{t-1}}{\text{Price}_{t-1}} $ where $\text{Price}_{t}$ represents the current price and $\text{Price}_{t-1}$ represents the price at the previous time period [13][37] - Evaluation: The momentum model performs well during the end-of-quarter period, aligning with the characteristic fund allocation behavior [13][37] Model Backtesting Results Momentum Model - Information Ratio (IR): 1.75 [38] - Excess Return: 1.95% [38] Quantitative Factors and Construction Methods Factor Name: Value Factor - Construction Idea: The value factor aims to identify undervalued stocks by comparing their market price to fundamental metrics such as earnings, book value, and cash flow [13][29] - Detailed Construction Process: The factor is constructed using the following formula: $ \text{Value Score} = \frac{\text{Earnings}}{\text{Price}} + \frac{\text{Book Value}}{\text{Price}} + \frac{\text{Cash Flow}}{\text{Price}} $ where $\text{Earnings}$, $\text{Book Value}$, and $\text{Cash Flow}$ are fundamental metrics, and $\text{Price}$ is the current market price [13][29] - Evaluation: The value factor has shown a significant shift in fund allocation from growth to value stocks since April, indicating its effectiveness in capturing the market's structural adjustments [29][33] Factor Backtesting Results Value Factor - Information Ratio (IR): 1.38 [38] - Excess Return: 1.45% [38]

- The report tracks the performance of enhanced index funds, highlighting that in the CSI 300 enhanced index fund category, the best performer last week was E Fund CSI 300 Selected Enhanced A (010736.OF), achieving an excess return of 1.14% relative to the benchmark[5][40][42] - In the CSI 500 enhanced index fund category, HuaAn CSI 500 Enhanced A (005607.OF) delivered an excess return of 0.59% last week[5][40][42] - For the CSI 1000 enhanced index fund category, E Fund CSI 1000 Quantitative Enhanced A (017094.OF) achieved an excess return of 0.84% last week[5][40][42] - In the Guozheng 2000 enhanced index fund category, Penghua Guozheng 2000 Enhanced A (017892.OF) performed the best, with an excess return of 1.04% last week[5][40][42] - Over the past year, the best performer in the CSI 300 enhanced index fund category was Anxin Quantitative Selected CSI 300 Enhanced A (003957.OF), achieving an excess return of 15.24%[41][42][43] - In the CSI 500 enhanced index fund category, ZhongOu CSI 500 Enhanced A (015453.OF) led with an excess return of 9.84% over the past year[41][42][43] - For the CSI 1000 enhanced index fund category, Dacheng CSI 1000 Enhanced A (018661.OF) achieved the highest excess return of 17.26% over the past year[41][42][43] - In the Guozheng 2000 enhanced index fund category, Huaxia Guozheng 2000 Enhanced A (019318.OF) delivered the best performance, with an excess return of 22.77% over the past year[41][42][43]

科技、新消费多主线并进，公募新发升温 —— 量化市场追踪周报（2025W23） [Table_ReportTime] 2025 年 6 月 8 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 证券研究报告 金工研究 [Table_ReportType] 金工定期报告 [Table_Author] 于明明 金融工程与金融产品 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 吴彦锦 金融工程与金融产品 分析师 执业编号：S1500523090002 联系电话：+86 18616819227 邮 箱：wuyanjin@cindasc.com 周君睿 金融工程与金融产品 分析师 执业编号：S1500523110005 联系电话：+86 19821223545 邮 箱：zhoujunrui@cindasc.com [Table_Title] 量化市场追踪周报(2025W23)：科技、新消费多主 线并进，公募新发升温 [Table_ReportDate] 2025 年 6 月 8 日 ...

在股票型 ETF 中，宽基 ETF 上周资金净流入-82.09 亿元，上周科创 50ETF 资金净流入 27.36 亿元，中证 1000ETF 资 金净流入 12.07 亿元，中证 2000ETF 资金净流入 4.81 亿元，而沪深 300ETF 资金净流出额超 50 亿元。 主题行业 ETF 上周资金净流入 9.27 亿元。上周科技、周期、金融地产板块 ETF 资金净流入额分别为 31.14 亿元、0.80 亿元、0.35 亿元，高端制造、医药生物、消费板块 ETF 资金净流出额分别为 4.41 亿元、5.94 亿元、6.73 亿元。 上周共有 8 只 ETF 产品申报，其中 2 只为国证港股通消费主题 ETF。 * [10] M. C. ETF 市场回顾 从一级市场资金流动情况来看，上周（2025.5.6-2025.5.9）已上市 ETF 资金净流入合计-71.05 亿元，其中债券型 ETF 资金净流入 41.99 亿元，商品型 ETF 资金净流入 20.27 亿元，跨境 ETF 资金净流出 26.26 亿元，股票型 ETF 资金净流 出 107.05 亿元。 主动权益及增强指数型基金表现跟踪 上周军工主 ...

2025 年 05 月 09 日 证券研究报告 | 公募基金月报 分析师登记编码：S0890523070001 电话：021-20321306 邮箱：sunshuna@cnhbstock.com 分析师登记编码：S0890522090001 电话：021-20321067 邮箱：wanghua@cnhbstock.com 分析师登记编码：S0890524040001 电话：021-20321096 邮箱：guxin@cnhbstock.com 分析师登记编码：S0890524070001 电话：021-20321079 邮箱：fengsishi@cnhbstock.com 降息降准落地，静待破局机遇 基金配置策略报告（2025 年 5 月期） 分析师：孙书娜 021-20515355 关注？——2025Q1 主动权益型基金季 报点评》2025-04-25 2、《关税扰动加剧，基金组合如何应 对？—基金配置策略报告（2025 年 4 月期）》2025-04-09 3、《拥抱泛科技，探寻边际改善—基 金配置策略报告（2025 年 3 月期）》 2025-03-13 4、《借 DeepSeek 东风，科技成长基金 ...

证券分析师 宋旸 songyang@bhzq.com 022-28451131 研究助理 基金月报 宽基指数大幅净流入，主动权益基金发行遇冷 分析师：宋旸 SAC NO：S1150517100002 2025 年 5 月 6 日 张笑晨 SAC NO：S1150123060017 zhangxc@bhzq.com 022-23839033 相关研究报告 中小板指表现优异，宽基指 数流出规模较大—公募基金 周报 2025.04.29 权益仓位整体上升，增配汽 车、有色；减配电力设备、 非银—公募权益类基金 2025 年一季报持仓分析 2025.04.25 ETF 步入"4 万亿"时代，主动 权益基金仓位下降—公募基 金周报 2025.04.21 核心观点： ⚫ 上月市场回顾： 上月，市场主要指数估值多数下调。市盈率方面，跌幅靠前的创业板指、沪深 300 的估值历史分位数分别降至 4.5%和 44.4%。市净率方面，只有科创 50 估值分位数 上涨，最终值为 36.1%。行业方面，31 个申万一级行业中只有 4 个行业上涨。上涨 的行业分别为美容护理、农林牧渔、商业贸易和公用事业；跌幅前 5 的行业为电气 设备、 ...

近期，公募基金2024年年报披露完毕，机构投资者和个人投资者持有基金份额数据得以曝光。 天相投顾数据显示，相比2023年年底，机构投资者2024年年持有全部公募基金整体份额增加3.5万亿份。其 中，机构投资者借道ETF产品，持续拥抱权益资产，持有股票型基金比例超过40%，相比2022年年底增加近 12个百分点。 机构投资者持续加仓股票型基金 2024年公募基金规模迅速增加。天相投顾数据显示，根据2024年年报，个人投资者持有基金15.69万亿份， 占比54%；机构投资者持有基金13.43万亿份，占比46%。具体来看，个人投资者持有份额最多的基金类型为 货币基金，约9.45万亿份。机构投资者持有份额最多的基金类型为债券基金，约7.76万亿份。 近年来，权益市场震荡较大，股票型基金净值波动较大。不过，国内资金尤其是机构资金持续净流入股票型基 金的力度并未因此减缓。 天相投顾数据显示，国内股票型基金规模持续水涨船高，从2022年年底的1.88万亿份增长至2024年年底的 3.03万亿份，增幅高达61%。 从资金结构来看，机构投资者成为加仓股票型基金的主力，持有股票型基金的份额从2022年年底的5668.79亿 份增 ...