Report Industry Investment Rating - The report does not mention the industry investment rating. Core Viewpoints of the Report - The report proposes an active equity fund product research system for allocation - type funds, aiming to make product research configurable and practical. Allocation - type funds are defined as those that serve allocation goals, focus on controllable excess returns, and provide significant Stable beta + tool attributes [4][9]. - Aiming to beat the portfolio benchmark, an enhanced bottom - position fund pool for the all - market equity - oriented fund index is established, updated quarterly, to provide better risk - return ratio targets for portfolio bottom - position allocation [4][20]. - The bottom - position fund portfolio focuses on achieving a slight victory over the benchmark, with characteristics such as stable operation, style alignment with the benchmark, and high - win - rate to create excess returns [23]. Summary by Directory 1. Allocation - type Funds: Serving Allocation Goals and Providing Stable beta+ - **Product Research System Advancement**: The current fund product research has completed in - depth exploration and full - scale Alpha decomposition of fund products. However, the results often focus on label improvement, making it difficult to serve clear allocation goals. The report suggests advancing to the stage of productizing fund managers' capabilities, making products configurable and practical [8]. - **Providing Allocation Attributes and Serving Allocation Goals**: Any fund that meets allocation goals from the perspective of allocation attributes belongs to the category of allocation - type funds. Different allocation schemes can select different types of allocation - type funds, including those from risk - return, style, investment methodology, and asset - class perspectives. The goal is to select high - quality active equity products for investors' portfolio allocation [11][12]. - **Focusing on Controllable Excess Returns**: The rapid development of ETFs has challenged active equity funds in terms of scale, excess returns, and allocation. Active equity funds should focus on controllable, trackable, and sustainable excess returns, with stock - picking ability as the foundation. Regulatory policies also guide the industry to return to the origin of value creation [13][14][15]. - **Providing Stable beta + Tool Attributes**: Stable beta + funds are active equity products that leverage fund managers' stock - picking abilities and have stable allocation - attribute excess returns. They fill the gap between traditional passive investment and active management, providing better risk - adjusted returns and enhancing portfolio elasticity for institutional investors [16][17]. 2. Allocation - type Funds: Slight Victory over the Benchmark, Enhanced Bottom - position Fund Selection - **Building the Bottom - position around the Benchmark**: For portfolio investors, beating the portfolio benchmark is an important goal. The Wind All - Market Active Equity Fund Index 885001.WI is used as a performance comparison benchmark. The bottom - position fund portfolio aims for a slight victory over the benchmark while meeting the stability requirements [21][22]. - **Selection Method for Slight - Victory Benchmark, Enhanced Bottom - position Funds**: First, the funds need to meet basic conditions such as appropriate scale, long - term equity orientation, and stable fund managers. Then, through style constraints (correlation coefficient with the index ≥ 0.86 and better 1 - year cumulative return) and short - term win - rate selection (monthly win - rate over 60% in the past 6 months), the top 10 funds are selected as the active bottom - position. If there are less than 10 funds, all are included, and no more than 3 products managed by the same fund manager are selected in the same period [24][30]. 3. Results of Slight - Victory Benchmark, Enhanced Bottom - position Fund Selection - **Selection Results**: The latest selection results as of December 31, 2025, show that the fund targets in the portfolio have significant growth attributes, relatively dispersed allocation sectors, and no significant industry labels. The funds have good return indicators and significant excess returns compared to the benchmark [25][27]. - **Performance of the Portfolio**: In the back - testing period (2017/01/01–2026/02/28), the portfolio achieved continuous and stable excess returns, with an annualized return of 13.28% and a maximum drawdown of - 33.38%, significantly better than the benchmark. It has characteristics such as outstanding bear - market defense ability, stable performance in bull markets, and superior risk control. In the long - term, the annual positive - return probability is 70%, and the annual win - rate relative to the benchmark is 80% [33][34][35].

Macro Economic Overview - The manufacturing PMI in February recorded 49.0%, down 0.3 percentage points from January's 49.3%, indicating continued pressure on the manufacturing sector, influenced by declines in production index, employment index, and supplier delivery time index [3] - In January, the CPI rose by 0.2% year-on-year, while the PPI fell by 1.4%. Compared to December, the CPI growth rate narrowed due to a decrease in food prices, and the decline in both living and production materials slowed, contributing to a smaller year-on-year drop in PPI [3] A-Share Market Performance - The A-share market showed a fluctuating upward trend in February, with major indices recording gains. The Shanghai Composite Index and Shenzhen Component Index rose by 1.14% and 2.05%, respectively [4] - 23 out of 31 Shenwan industry sectors saw increases, with the comprehensive, steel, and building materials sectors rising over 8%. Conversely, the banking, non-bank financial, and media sectors fell by over 3% [4] - The steel sector's strong performance was driven by the implementation of the "Steel Industry Stabilization Growth Work Plan (2025-2026)", which is expected to optimize industry structure and enhance concentration [4] Bond Market Performance - The bond market strengthened in February, supported by policy and market sentiment recovery. The central bank's actions, including reverse repos, helped maintain liquidity and boost the bond market [5][6] - The yield on 5-year and 10-year government bonds fell by 3 basis points and 4 basis points to 1.54% and 1.78%, respectively, while the 1-year government bond yield rose by 2 basis points to 1.32% [6] - The overall return of the bond market, as reflected by the China Bond Index, increased by 0.17% in February [6] Fund Performance - The Morningstar China Open-End Fund Index recorded a 0.72% increase in February, with all fund types showing positive returns. The stock and bond markets' strong performance led to gains in various fund indices [14] - Among equity funds, small-cap mixed funds outperformed large-cap funds, with average returns of 3.34%, 3.12%, and 2.55% for small-cap mixed, mid-cap balanced, and mid-cap growth funds, respectively [16] - Fixed-income funds collectively rose, with convertible bond funds, active bond funds, and ordinary bond funds achieving average returns of 0.33%, 0.25%, and 0.19%, respectively [17]

1. Report Industry Investment Rating - The report does not mention the industry investment rating. 2. Core Viewpoints of the Report - The report proposes an active equity fund product research system for allocation - type funds, aiming to make product research configurable and practical. Allocation - type funds serve allocation goals, focus on controllable excess returns, and provide significant Stable beta+ tool attributes [4]. - The report focuses on the Stable beta+ funds in the sub - sectors of allocation - type funds, and presents a method for selecting such funds, including beta anchoring, Stable optimization, qualitative optimization, etc. [4]. - The selected Stable beta+ funds in the sub - sectors can effectively allocate funds in sub - sectors, becoming good "tool - based" allocation choices and contributing significant excess returns in sub - directions [4]. 3. Summary According to the Directory 3.1 Configuration - Type Funds: Serving Allocation Goals and Providing Stable beta+ - **Provide Allocation Attributes and Serve Allocation Goals**: Any fund that meets allocation goals from the perspective of allocation attributes belongs to the category of configuration - type funds. From different configuration schemes, various types of configuration - type funds can be selected, including sub - sector Stable beta+ funds, core bottom - position Stable beta+ funds, etc. The goal is to provide high - quality targets for investors' portfolio allocation [11][12]. - **Focus on Controllable Excess Returns, Trackable, Sustainable, and Controllable**: The rapid development of ETFs has challenged active equity funds in terms of scale, excess returns, and allocation. Active equity funds should focus on controllable excess returns, with stock - selection ability as the foundation. The regulatory policy also guides the industry to return to the origin of value creation [13][14][15]. - **Provide Stable beta+ Tool Attributes**: Stable beta+ tool - attribute funds are defined as active equity products that exert the true stock - selection ability of fund managers and have stable allocation - attribute excess returns. They can optimize portfolio configuration and enhance returns, filling the gap between traditional passive investment and active management [16]. 3.2 Configuration - Type Funds: Selection of Sub - Sector Stable beta+ Funds - **Beta Benchmark Anchoring: Establishing a Sub - Direction Index Map**: Select sub - sectors and use effective benchmarks to segment and track industry themes, establishing a sub - sector index map. The selection of sub - directions is based on the existing indexes tracked by passive ETFs, aiming to select the best in each sub - sector for configuration [21]. - **Selection Method for Sub - Sector Stable beta+ Funds** - **Correlation Test**: Determine the correlation coefficient threshold according to the correlation between funds and corresponding indexes and the distribution characteristics of funds in different fields, and classify funds within the benchmark range. Use a two - stage threshold method to ensure the flexibility and dynamic optimization of coefficients [30][31][35]. - **Tiered Optimization Method Test**: Select tiered indicators (information ratio > excess return > tracking error, mean > standard deviation) according to the distribution of rolling tracking error, rolling information ratio, and rolling excess return of funds in each sub - field. Establish tiered sorting rules and verify the tiered results [39][40][44]. - **Qualitative Optimization**: Qualitative screening mainly considers three dimensions: stable matching, long - term in - depth cultivation, and long - term layout, emphasizing the long - term stability of fund managers [56]. 3.3 Configuration - Type Funds: Results of Selecting Sub - Sector Stable beta+ Funds - **Sub - Sector Stable beta+ Funds in the Cycle and Technology Sectors**: Based on the established sub - sector index map, select Stable beta+ funds in sub - directions and update them monthly. Present the matching results of sub - sector Stable beta+ funds in the cycle and technology sectors in December 2025, which can be used as good configuration targets for the satellite positions of the current portfolio [57][65]. - **High - Win - Rate Sub - Sector Stable beta+ Funds**: Introduce the win - rate indicator to further select the best from the Stable beta+ funds in sub - sectors. Select funds with a monthly win - rate of 67% as high - win - rate sub - sector Stable beta+ funds. These funds can effectively allocate funds in sub - sectors and cross - verify the accuracy of the screening results [68][72].

Macro Economic Overview - The domestic macroeconomic situation showed some improvement in May, but remains under pressure, with the manufacturing PMI rising to 49.5%, up 0.5% from April's 49.0%, indicating continued contraction [1] - CPI decreased by 0.1% year-on-year in April, while PPI fell by 2.7%, with the decline in PPI accelerating compared to March [1] Stock Market Performance - In May, the A-share market experienced a recovery in early May due to easing US-China tariff conflicts and the implementation of central bank policies, with the Shanghai Composite Index and Shenzhen Component Index rising by 2.09% and 1.42% respectively [2] - The majority of the 31 Shenwan industry sectors saw gains, with 25 sectors rising and 6 declining; notable increases were seen in the environmental protection, pharmaceutical, defense, banking, and textile sectors, each exceeding 6% [2] Bond Market Dynamics - Bond yields initially fell following the central bank's rate cuts but later rebounded due to signals of easing US-China trade tensions, which negatively impacted the bond market [3] - The yield on 1-year government bonds decreased by 5 basis points to 1.46%, while 5-year and 10-year yields increased by 5 basis points to 1.56% and 1.67% respectively [3] Fund Performance - The Morningstar China Open-End Fund Index recorded a 0.88% increase in May, with stock and allocation fund indices rising by 1.27% and 0.64% respectively [13] - Value-style funds outperformed growth-style funds, with large-cap value stock funds achieving an average return of 2.76% in May [16] International Market Trends - The US Markit Composite PMI rose to 53.0% in May, indicating expansion, while the Eurozone manufacturing PMI was at 49.4%, still in contraction [5] - Major overseas stock indices collectively rose in May, with the S&P 500 increasing by 6.15% and the Nikkei 225 by 5.53% [5]

Macro Economic Overview - In April, the domestic macro economy faced pressure, with the manufacturing PMI dropping to 49.0%, down 1.5% from March's 50.5%, indicating a return to contraction after two months [1] - The decline in manufacturing sentiment was primarily due to decreases in production index, new orders index, raw material inventory index, and employment index [1] - The CPI decreased by 0.1% year-on-year in March, while the PPI fell by 2.8%, with the PPI decline widening compared to February's decreases of 0.7% and 2.2% respectively [1] Market Performance - Global stock markets, including China, experienced significant adjustments in April due to U.S. tariff policies, but A-shares rebounded after state-owned enterprises intervened [2] - Major stock indices collectively fell in April, with the Shanghai Composite Index and Shenzhen Component Index down by 1.70% and 5.75% respectively [2] - The majority of the 31 Shenwan industry sectors declined, with only 4 sectors rising; beauty care and agriculture sectors saw increases of over 3% [2] Sector Analysis - The agriculture and livestock sectors gained market favor amid the backdrop of U.S.-China trade tensions, supporting the rise in the agriculture, forestry, animal husbandry, and fishery sectors [2] - The beauty care sector's growth was driven by regulatory actions against illegal institutions and the implementation of consumption-boosting policies [2] Bond Market Insights - The bond market saw a downward trend in yields due to a generally loose monetary environment and weak stock market performance, with 1-year, 5-year, and 10-year government bond yields falling to 1.46%, 1.52%, and 1.62% respectively [2] - The overall return of the bond market, as reflected by the China Bond Index, increased by 1.41% in April, with government bonds outperforming credit bonds [2] International Economic Context - The U.S. Markit Composite PMI fell to 50.6% in April from 53.5% in March, while the Eurozone manufacturing PMI slightly improved to 49.0% from 48.6% [4] - Brent crude oil prices dropped by 18.30% in April, influenced by OPEC+ production decisions and global economic recession concerns [4] - Gold prices rose by 4.88% due to heightened risk aversion stemming from escalating global trade tensions [4] Fund Performance Overview - The Morningstar China Open-End Fund Index recorded a 1.59% decline in April, with stock and allocation fund indices falling by 2.72% and 1.09% respectively [12] - Fixed income funds showed mixed performance, with interest rate bond funds and pure bond funds achieving monthly gains of 0.90% and 0.61% respectively [17] - QDII funds benefited from strong performances in German, Taiwanese, and Japanese stocks, with emerging market mixed funds returning 2.29% [23]