Core Viewpoint - The article provides predictions for the periodic adjustments of major indices in the Chinese stock market, specifically focusing on the changes expected in December 2025 for various indices including the Shanghai Stock Exchange 50 Index, CSI 300 Index, CSI 500 Index, CSI 1000 Index, ChiNext Index, Shenzhen 100 Index, Sci-Tech 50 Index, and Sci-Tech 100 Index [1][4]. Group 1: Shanghai Stock Exchange 50 Index Adjustment Predictions - The Shanghai Stock Exchange 50 Index will see the inclusion of China National Offshore Oil Corporation, China Construction Bank, SAIC Motor Corporation, and Zhongke Shuguang, while Poly Developments, China CRRC Corporation, Guodian Nari Technology, and Shaanxi Coal and Chemical Industry will be removed [6][5]. Group 2: CSI 300 Index Adjustment Predictions - The CSI 300 Index will include Dongshan Precision, Ningbo Port, Huadian Energy, Anker Innovations, and Shanghai Electric, while it will exclude Baiyun Mountain, Oppein Home Group, TCL Zhonghuan, and others [8][7]. Group 3: CSI 500 Index Adjustment Predictions - The CSI 500 Index will add Electric Power Investment Energy, Supor, and 48 other stocks, while it will remove China Great Wall and 49 other stocks [10][9]. Group 4: CSI 1000 Index Adjustment Predictions - The CSI 1000 Index will include BAIC Blue Valley, Changshan Beiming, and 98 other stocks, while it will exclude Baoxing Bird and 99 other stocks [12][11]. Group 5: ChiNext Index Adjustment Predictions - The ChiNext Index will add Changshan Pharmaceutical, Huicheng Environmental Protection, and 6 other stocks, while it will remove Bihai Source and 7 other stocks [17][16]. Group 6: Shenzhen 100 Index Adjustment Predictions - The Shenzhen 100 Index will include Guangqi Technology and 6 other stocks, while it will remove Tiger Medical and 7 other stocks [20][19]. Group 7: Sci-Tech 50 Index Adjustment Predictions - The Sci-Tech 50 Index will add Huahong Semiconductor and Nuo Cheng Jianhua, while it will remove BGI Genomics and Hangcai Co., Ltd. [22][21]. Group 8: Sci-Tech 100 Index Adjustment Predictions - The Sci-Tech 100 Index will include Jiachizhi Technology and 9 other stocks, while it will remove Wukuang New Energy and 9 other stocks [24][23].

Core Viewpoint - The quantitative convertible bond portfolio experienced a slight decline in October, with a year-to-date return of 21.01% and an excess return of 4.02% [1] Group 1: Portfolio and Performance - The quantitative convertible bond portfolio is generated based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly adjustments [5] - The portfolio's performance in October showed a return of -0.83% and an excess return of -0.72% [1] Group 2: Factor Data Tracking - A total of 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors are tracked for convertible bonds [2][8] - The report provides a detailed list of factors used in the portfolio construction, referencing various research reports [8] Group 3: Risk Warnings - The report includes risk warnings for convertible bonds based on forced delisting and risk alert rules, as well as event-based and credit scoring methods [3][12] - Specific convertible bonds are flagged for trading-related forced delisting risks, financial-related forced delisting risks, and other credit risks [12] Group 4: Timing of Convertible Bond Index - The report employs price-volume models, pricing deviations, and convertible bond elasticity for timing and position management of the CSI Convertible Bond Index [4][13] - As of the end of October, the price-volume model and pricing model indicate a bullish signal, with a recommended position of 2/3 [4][13] Group 5: Pricing Deviation Factors - The report showcases the latest pricing deviation factors, which represent the difference between market prices and theoretical pricing for various convertible bonds [10][11] - A table lists specific convertible bonds along with their pricing deviation factors, indicating significant deviations for some bonds [11]

Market Performance - The Sci-Tech 50 Index decreased by 3.19% over the last five trading days, while the ChiNext Index increased by 0.50%. The large-cap value index fell by 0.38%, and the large-cap growth index dropped by 0.40%. The Shanghai 50 Index declined by 1.12%, whereas the small-cap index represented by the CSI 2000 rose by 1.18%. The power equipment and non-ferrous metals sectors performed well, while telecommunications and beauty care sectors lagged behind [1]. Risk Premium and Valuation Levels - As of October 29, 2025, the risk premium, calculated as the inverse of the static PE of the CSI All Share Index minus the yield of ten-year government bonds, stands at 2.84%. The two-standard deviation boundary is 4.75% [1]. - The valuation levels indicate that the CSI All Share Index's PETTM is at the 81st percentile, with the Shanghai 50 and CSI 300 at 75% and 73%, respectively. The ChiNext Index is close to the 53rd percentile, while the CSI 500 and CSI 1000 are at 63% and 61%, respectively. The ChiNext Index's valuation is relatively at the historical median level [1]. ETF Fund Flow - In the last five trading days, there was an outflow of 6.9 billion yuan from ETFs, while the margin trading balance increased by approximately 46.9 billion yuan. The average daily trading volume across both markets was 22,967 billion yuan [2]. Convolutional Neural Network Analysis - A convolutional neural network (CNN) model was utilized to analyze charted price and volume data, mapping learned features to industry themes. The latest thematic allocations include banking, energy, and dividends, specifically focusing on indices such as the CSI Bank Index, CSI Energy Index, and CSI Central Enterprises Dividend Index [2][11].

Group 1 - The company is recruiting interns for positions in Shenzhen, Shanghai, and Beijing, with a requirement for in-person internships lasting at least three months and a minimum of three days per week [1] - The internship offers opportunities for outstanding candidates to secure a permanent position based on performance evaluations [1] Group 2 - Responsibilities include data processing, analysis, and assisting researchers with quantitative investment projects, as well as developing and tracking financial engineering strategy models [2] - Additional tasks will be assigned by the team [2] Group 3 - Basic requirements include being a master's or doctoral student in STEM fields or financial engineering, with strong programming skills in Python and familiarity with SQL databases [3] - Candidates should possess strong self-motivation, responsibility, and excellent analytical, communication, and interpersonal skills [3] Group 4 - Preferred qualifications include solid knowledge of financial markets, experience with research projects, and familiarity with financial terminals like Wind and Bloomberg [4] - Knowledge of machine learning and experience with tools such as PyTorch and Linux are advantageous [4] - Previous internships related to quantitative research are also a plus [4] Group 5 - Interested candidates should submit their resumes in PDF format to the specified email address, following a specific naming convention for the email subject [5] - Resumes not adhering to the naming format will be treated as spam [5] - Qualified candidates will be contacted for written tests and interviews after the resume collection deadline [5]

Market Performance - The Sci-Tech 50 Index increased by 7.27% and the ChiNext Index rose by 8.05% over the last five trading days, while the large-cap value index grew by 1.30% and the large-cap growth index by 5.08% [1] - The Shanghai Stock Exchange 50 Index increased by 2.63%, and the small-cap index represented by the CSI 2000 rose by 3.58%. The telecommunications and electronics sectors performed well, while agriculture, forestry, animal husbandry, and food and beverage sectors lagged [1] Valuation Levels - As of October 24, 2025, the static PE ratio of the CSI All Share Index is at an 81% percentile, with the Shanghai 50 and CSI 300 at 76% and 73% respectively. The ChiNext Index is close to the 52% mark, while the CSI 500 and CSI 1000 are at 62% and 59% respectively, indicating that the ChiNext Index's valuation is relatively at the historical median level [1] Risk Premium - The risk premium, calculated as the inverse of the static PE of the CSI All Share Index minus the yield of ten-year government bonds, stands at 2.79% as of October 24, 2025. The two standard deviation boundary is at 4.75% [1] Fund Flows - In the last five trading days, ETF inflows amounted to 2.4 billion yuan, while margin trading decreased by approximately 6.2 billion yuan. The average daily trading volume across the two markets was 177.95 billion yuan [2] Thematic Indexes - The latest thematic allocations include the CSI Energy Index, CSI Banking Index, and CSI Coal Index, among others [2][3]

Market Performance - The Sci-Tech 50 Index decreased by 6.46% over the last five trading days, while the ChiNext Index fell by 5.71%. In contrast, the large-cap value stocks rose by 2.08%, and large-cap growth stocks declined by 3.90%. The Shanghai Stock Exchange 50 Index dropped by 0.24%, and the small-cap stocks represented by the CSI 2000 fell by 4.69%. The banking and coal sectors performed well, while electronics and media lagged behind [1]. Risk Premium and Valuation Levels - As of October 17, 2025, the static PE of the CSI All Share Index indicates a risk premium of 2.97%, calculated as the inverse of the PE minus the yield of ten-year government bonds. The two standard deviation boundary is set at 4.75%. The valuation levels show that the CSI All Share Index's PETTM is at the 77th percentile, with the Shanghai 50 and CSI 300 at 73% and 70%, respectively. The ChiNext Index is close to the 47th percentile, while the CSI 500 and CSI 1000 are at 60% and 54% [1]. Fund Flows and Trading Activity - In the last five trading days, ETF inflows amounted to 68.6 billion yuan, and the margin trading balance increased by approximately 70.5 billion yuan. The average daily trading volume across both markets was 2.1746 trillion yuan [2]. Thematic Indexes - The latest thematic allocations focus on low-carbon economy, new energy, and semiconductor materials. Specific indices include the CSI Mainland Low-Carbon Economy Theme Index, ChiNext New Energy Index, and the Shanghai Stock Exchange Sci-Tech Board Semiconductor Materials Equipment Theme Index [2][3]. Long-Term Market Sentiment - The report includes observations on the proportion of stocks above the 200-day moving average, indicating long-term market sentiment trends [13]. Financing Balance - The report tracks the financing balance, which reflects the overall leverage and risk appetite in the market [16].

Market Performance - The Sci-Tech 50 Index decreased by 1.48% over the last five trading days, while the ChiNext Index fell by 3.79%. In contrast, the large-cap value stocks rose by 1.03%, and the large-cap growth stocks declined by 0.67%. The Shanghai 50 Index increased by 1.13%, and the small-cap index represented by the CSI 2000 dropped by 0.15%. The sectors of non-ferrous metals and steel performed well, while media and communication lagged behind [1]. Risk Premium and Valuation Levels - As of October 10, 2025, the risk premium, calculated as the inverse of the static PE of the CSI All Share Index minus the yield of ten-year government bonds, stood at 2.84%. The two-standard-deviation boundary is 4.76%. The valuation levels indicate that the CSI All Share Index's PETTM is at the 80th percentile, with the Shanghai 50 and CSI 300 both at 71%. The ChiNext Index is close to the 50th percentile, while the CSI 500 and CSI 1000 are at 63% and 61%, respectively. The ChiNext Index's valuation is relatively at the historical median level [1]. ETF Fund Flows - In the last five trading days, ETF inflows amounted to 68.6 billion yuan, and the margin trading balance increased by approximately 15.3 billion yuan. The average daily trading volume across the two markets was 233.17 billion yuan [2]. Industry Focus - The latest thematic allocation focuses on semiconductor materials, chips, and information technology. This includes specific indices such as the CSI Semiconductor Industry Index, the Shanghai Stock Exchange Sci-Tech Board Semiconductor Materials Equipment Theme Index, the CSI Semiconductor Materials Equipment Index, the Shanghai Stock Exchange Sci-Tech Board Chip Index, and the Shanghai Stock Exchange Sci-Tech Board New Generation Information Technology Index [2][3]. Long-term Market Sentiment - The report includes observations on the proportion of stocks above the 200-day long-term moving average, indicating market sentiment trends [13]. Financing Balance - The report tracks the financing balance, which is a critical indicator of market liquidity and investor sentiment [16]. Individual Stock Performance - There is a statistical distribution of individual stocks based on their year-to-date performance across different return intervals, providing insights into stock performance trends [18]. Oversold Indices - The report highlights indices that are currently considered oversold, which may present potential investment opportunities [20].

Core Viewpoint - The article presents a comprehensive analysis of macroeconomic and technical indicators for major asset classes, indicating a bullish outlook for equities and gold, while suggesting caution for industrial products and bonds [1][7][23]. Macroeconomic Analysis - Equities: The macroeconomic outlook is generally positive for equity assets, supported by favorable indicators [2][7]. - Bonds: The macroeconomic environment is also favorable for bond assets, although technical indicators suggest a downward trend [2][7]. - Industrial Products: The macroeconomic perspective is negative for industrial products, with both macro and technical indicators indicating a downward trend [2][7]. - Gold: The macroeconomic outlook is positive for gold assets, with technical indicators showing an upward trend [2][7]. Technical Analysis - Equities: The technical trend for equity assets is upward, with a moderate valuation and current capital outflow [2][12][19]. - Bonds: The technical trend for bond assets is downward, despite a positive macroeconomic outlook [2][12]. - Industrial Products: The technical trend for industrial products is also downward, aligning with the macroeconomic view [2][12]. - Gold: The technical trend for gold assets is upward, consistent with the macroeconomic analysis [2][12]. Asset Performance Tracking - Historical performance of a fixed ratio combined with macro and technical indicators shows a return of 9.47% for 2025, with an annualized return of 12.04% since April 2006 [3][28]. - The volatility-controlled and risk parity combinations yielded returns of 14.15% and 5.90%, respectively, with annualized returns of 9.65% and 9.68% since April 2006 [3][30][33]. Summary of Indicators - The article summarizes the scores for macro and technical indicators across asset classes, indicating a total score of 3 for equities, 2 for bonds, -2 for industrial products, and 2 for gold [21][22][23].

Summary of Key Points Core Viewpoint - The article discusses the performance and outlook of CTA (Commodity Trading Advisor) products in the third quarter of 2025, highlighting a decline in new issuances, favorable conditions for stock index CTA strategies, opportunities in government bond futures, and trends in commodity markets. Group 1: CTA Product Overview - In Q3 2025, 52 new CTA products were issued, showing a significant decline compared to the previous quarter [5] - Among the 172 CTA products with reported quarterly returns, 72.7% were profitable, with a median annualized return of 7.34% and a median Sharpe Ratio of 1.26 [10] Group 2: Stock Index CTA Strategy Outlook - The A-share market experienced significant growth in Q3, creating a favorable environment for trend-following CTA strategies despite high valuations [2][36] - The high volatility associated with risk assets is conducive to generating profits for CTA strategies [2][36] Group 3: Government Bond Futures - Government bond yields are at historically low levels, with limited room for downward movement, while upward movement is constrained by domestic inflation [3][47] - There are still opportunities for participation in government bond futures CTA strategies during periods of high volatility [3][47] Group 4: Commodity Market Trends - The commodity market saw low volatility in Q3, with precious metals and black commodities leading the market, while other sectors remained stable [4][48] - Precious metals have recently broken historical resistance levels, indicating potential for further gains, while the black commodity sector's performance is contingent on domestic inflation trends [4][60]

Market Performance - The Sci-Tech 50 Index increased by 6.47% over the last five trading days, while the ChiNext Index rose by 1.96%. In contrast, the large-cap value index fell by 0.34%, and the large-cap growth index increased by 2.48%. The SSE 50 Index saw a gain of 1.07%, while the small-cap index represented by the CSI 2000 declined by 1.27%. The sectors of electric equipment and non-ferrous metals performed well, whereas social services and comprehensive sectors lagged behind [1]. Valuation Levels - As of September 26, 2025, the static PE of the CSI All Share Index is at a percentile of 77%. The SSE 50 and CSI 300 are at 70% and 69%, respectively, while the ChiNext Index is close to 51%. The CSI 500 and CSI 1000 are at 62% and 58%, respectively. The valuation of the ChiNext Index is relatively at the historical median level [1]. Risk Premium - The risk premium, calculated as the inverse of the static PE of the CSI All Share Index (EP) minus the yield of ten-year government bonds, stands at 2.88% as of September 26, 2025. The two standard deviation boundary is at 4.76% [1]. ETF Fund Flows - In the last five trading days, ETF inflows amounted to 17.8 billion yuan, while the margin trading balance increased by approximately 41.7 billion yuan. The average daily trading volume across the two markets was 22,921 billion yuan [2]. Thematic Indexes - The latest thematic allocations focus on semiconductor materials, chips, and information technology, including the SSE Sci-Tech Board Semiconductor Materials Equipment Index, CSI Semiconductor Industry Index, SSE Sci-Tech Board Chip Index, and SSE Sci-Tech Board New Generation Information Technology Index [2][3]. Long-term Market Sentiment - The report includes observations on the proportion of stocks above the 200-day moving average, indicating long-term market sentiment [12]. Financing Balance - The report tracks the financing balance, which reflects the risk appetite for equity assets compared to bond assets [15]. Individual Stock Performance - There is a statistical distribution of individual stocks based on their year-to-date return ranges, providing insights into performance trends [18]. Oversold Indices - The report notes instances of indices being oversold, which may present potential investment opportunities [19].