The CSI 300 fell by 3.30% in June, followed by the small-mid cap indexes CSI500 and CSI1000, which fell by -6.89% and -8.58%, respectively. In response to panic risk aversion, market outflow picked large-cap and high-dividend names. Despite challenges, we were able to protect our profits,  indicating that Goku’s model adapts to market with tight risk control and has no bias towards small-cap names.

Extreme volatility typified the first half of June. Alpha suffered short-term negative effects from a decrease in risk appetite and market trading activity, with a series of unanticipated policies were published. However, market returned to a normal pattern in the second half month and alpha was repaired accordingly. We will keep improving and fine-tuning our approach to ensure that investors continue to benefit from risk-adjusted returns in a challenging market.