Quantitative Models and Construction Methods 1. Model Name: Active Equity Fund Position Estimation Model - **Model Construction Idea**: The model aims to estimate the high-frequency positions of active equity funds using quantitative methods based on daily disclosed net value sequences[64] - **Model Construction Process**: - Utilize constrained multivariate regression models to find the optimal estimation results of fund positions among the constructed asset sequences[64] - Construct simulated portfolios for each fund to improve the accuracy of position estimation[64] - Measure the overall position change trend of active equity funds and further estimate their latest industry preferences[64] - **Model Evaluation**: The model provides a high-frequency estimation of fund positions, which is crucial for understanding the investment behavior of active equity funds[64] 2. Model Name: REITs Series Index Construction Model - **Model Construction Idea**: The model provides a new perspective for asset allocation using REITs indices based on index investment philosophy[48] - **Model Construction Process**: - Construct a complete series of REITs indices to reflect the market performance comprehensively[48] - Provide detailed sub-indices for different underlying assets and project types, considering the high dividend characteristics of REITs[48] - Use a tiered rounding method to ensure the stability of the index calculation[48] - Apply the divisor adjustment method to maintain the continuity of the index when non-trading factors (e.g., new issuance, expansion) occur[48] - **Model Evaluation**: The model effectively captures the performance of various REITs assets and provides valuable tools for investors to measure the risk-return profile of REITs[48] Model Backtesting Results Active Equity Fund Position Estimation Model - **Weekly Position Change**: The estimated positions of active equity funds decreased by 0.19 percentage points compared to the previous week[64] - **Industry Allocation Trends**: Increased allocation in electronics, home appliances, and automobiles; decreased allocation in computers, non-bank finance, and banking sectors[64] REITs Series Index Construction Model - **Weekly Performance**: The comprehensive REITs index increased by 0.87%[50] - **Sub-Indices Performance**: - Property REITs Index: +0.81%[50] - Franchise REITs Index: +1.00%[50] - Affordable Rental Housing REITs Index: +1.51%[50] Quantitative Factors and Construction Methods 1. Factor Name: ESG Fund Performance Tracking - **Factor Construction Idea**: Track the performance of ESG funds by considering environmental, social, and governance factors in investment strategies[79] - **Factor Construction Process**: - Classify ESG funds into thematic ESG funds and general ESG funds based on their investment strategies[79] - Thematic ESG funds include "ESG," "sustainable," and "responsible investment" themes[79] - General ESG funds cover themes like "low carbon," "carbon neutral," "green," "environment," "climate," "ecology," "Yangtze River protection," etc.[79] - Social themes include "social responsibility," "poverty alleviation," "rural revitalization," "Belt and Road," "Silk Road," "regional development," etc.[79] - Governance themes include "corporate governance" and "governance"[79] - **Factor Evaluation**: The factor provides a comprehensive classification and tracking of ESG funds, helping investors understand the performance and impact of ESG investments[79] Factor Backtesting Results ESG Fund Performance Tracking - **Number of ESG Funds**: 213 funds with a total scale of 1520.28 billion yuan[80] - **Thematic Distribution**: - ESG Theme: 172.07 billion yuan[80] - Environmental Theme: 1185.57 billion yuan[80] - Social Theme: 137.23 billion yuan[80] - Governance Theme: 25.41 billion yuan[80] - **Type Distribution**: - Active Equity Funds: 804.90 billion yuan[80] - Stock Passive Index Funds: 202.64 billion yuan[80] - Pure Bond Funds: 221.67 billion yuan[80] - Bond Passive Index Funds: 278.98 billion yuan[80] - QDII Funds: 12.08 billion yuan[80] - **Weekly Performance**: - Active Equity ESG Funds: Median net value change of -1.67%[84] - Stock Passive Index ESG Funds: Median net value change of -1.13%[84] - Bond ESG Funds: Median net value change of +0.04%[84]

Group 1: Market Overview - The domestic equity market indices generally rose, while the Hong Kong stock market experienced a pullback. The new fund market remains active with 61 new funds launched, totaling 36.607 billion shares issued [2] - In terms of thematic fund performance, new energy and TMT thematic funds showed superior net value growth, while pharmaceutical thematic funds continued to decline. The semiconductor thematic products performed notably well [2] Group 2: Construction and Building Materials - The Ministry of Industry and Information Technology issued the "Construction Materials Industry Steady Growth Work Plan (2025-2026)", focusing on coordinated efforts on both supply and demand sides. The report suggests attention to new materials and construction-related companies such as China Jushi, Guoen Co., Puyang Huachang, and others [3] - Key companies to watch include China Construction, Dongfang Yuhong, and Anhui Conch Cement, which are positioned well within the infrastructure and real estate supply chain [3] Group 3: Pharmaceutical Industry - Pfizer's acquisition of Metsera and its next-generation weight loss product portfolio marks a significant endorsement of the GLP-1 market potential, following similar moves by Eli Lilly and Novo Nordisk. This highlights the industry's urgent demand for next-generation therapies [4] - The global GLP-1 research competition has entered a critical phase, where depth of the supply chain, technological iteration capabilities, and cost control will be key to success. The report expresses strong optimism regarding the rise of China's weight loss drug supply chain [4] Group 4: Steel Industry - The asphalt operating rate is at its highest level in five years, with ductile iron pipe prices and processing fees at year-to-date highs. The steel sector's profitability is expected to recover to historical average levels, supported by government policies aimed at phasing out outdated capacity [5] - The report indicates that the steel sector's price-to-book ratio (PB) is likely to recover alongside profitability improvements [5]

Investment Rating - The report indicates a positive investment sentiment towards the financial real estate theme funds, which have shown a net value increase of 1.45% this week [2]. Core Insights - The overall market performance for the week of May 12-16, 2025, saw significant gains in U.S. stocks, while the domestic equity market showed mixed results, with the CSI 300 index rising by 1.12% [13]. - The beauty care, non-bank financial, and automotive sectors led the gains, with respective increases of 3.08%, 2.49%, and 2.40% [15]. - The fund market experienced a resurgence, with 24 new funds launched, totaling 240.04 billion units, including 12 equity funds and 6 bond funds [22]. Summary by Sections Market Performance Overview - U.S. stocks surged, with the S&P 500 up by 5.27% and the Hang Seng Index rising by 2.09%. The CSI 300 index increased by 1.12% [13]. - The beauty care, non-bank financial, and automotive sectors performed well, while the computer, defense, and media sectors faced declines [15]. Fund Product Issuance - A total of 24 new funds were established this week, with a combined issuance of 240.04 billion units. The largest issuance was from the Huian Yuhong Rate Bond A fund, totaling 60 billion units [22][27]. - The overall market saw 34 new funds issued, with 18 being equity funds, 7 mixed funds, and 6 bond funds [29]. Fund Product Performance Tracking - The financial real estate theme funds continued to perform well, with a net value increase of 1.45%. Other themes like consumption and new energy also showed positive performance [2]. - The average return for equity ETFs was 0.74%, while the commodity ETFs saw a median return of -4.71% [2][3]. ETF Market Tracking - Significant inflows were observed in the Sci-Tech and TMT theme ETFs, with respective net inflows of 17.98 billion and 9.39 billion yuan. Conversely, broad market ETFs experienced substantial outflows [3]. - The active equity fund positions decreased by 0.66 percentage points, indicating a shift in sector allocations, with increased investments in pharmaceuticals and beauty care [3]. ESG Financial Products Tracking - The green bond market remained stable, with 10 new issuances totaling 7.313 billion yuan, bringing the cumulative issuance to 4.43 trillion yuan [4]. - ESG funds showed varied performance, with active equity ESG funds having a median return of 0.26% [4].

- The report tracks the performance of various industry-themed funds, with the new energy theme fund performing the best this week, showing a return of 2.76%[2][32] - The report includes the construction of a complete REITs series index to reflect the REITs market performance comprehensively, providing indices for different underlying assets and project types[44][45] - The report highlights the significant inflow of funds into commodity ETFs, particularly gold ETFs, with a net inflow of over 100 billion yuan this week[2][48] - The report mentions the high-frequency estimation of active equity fund positions, showing a decrease of 0.31 percentage points compared to the previous week[3][60] - The report tracks the issuance of green bonds, noting that 15 new green bonds were issued this week, with a total issuance scale of 33.6 billion yuan[3][66] - The report provides a detailed breakdown of the performance of different types of ESG funds, with active equity ESG funds showing a median net value change of 2.14% this week[3][76] - The report includes a list of the top-performing active equity funds, with the best-performing fund being Yongying Advanced Manufacturing Select A, which had a weekly net value change of 13.25%[35][36] - The report tracks the performance of passive index funds, with the best-performing fund being the Hong Kong Stock Connect Innovative Drug ETF, which had a weekly net value change of 10.77%[37][38] - The report tracks the performance of pure bond funds, with the best-performing fund being Zhongyin Securities Huiyu One-Year Fixed Open, which had a weekly net value change of 0.75%[39][41] - The report tracks the performance of mixed bond funds, with the best-performing fund being Jinying Yuanfeng A, which had a weekly net value change of 2.71%[42][43] - The report tracks the performance of REITs funds, noting that the REITs comprehensive index fell by 3.12% this week[44][45] - The report provides a detailed breakdown of the net inflows and outflows of different types of domestic stock ETFs, with the largest net inflow being into the Gold Fund ETF, which had a net inflow of 3.611 billion yuan this week[48][58] - The report provides a detailed breakdown of the net inflows and outflows of different types of domestic stock ETFs, with the largest net outflow being from the China Securities A500 ETF Fund, which had a net outflow of 1.574 billion yuan this week[48][59]