Market Performance - The Sci-Tech 50 Index increased by 9.80% over the last five trading days, while the ChiNext Index rose by 3.89%. The large-cap value index grew by 0.47%, and the large-cap growth index increased by 2.82%. The Shanghai 50 Index saw a 3.40% rise, and the small-cap index represented by the CSI 2000 gained 7.21% [1]. Valuation Levels - As of January 9, 2026, the static PE of the CSI All Share Index is at a percentile of 83%. The Shanghai 50 and CSI 300 both stand at 76%, while the ChiNext Index is close to 62%. The CSI 500 and CSI 1000 are at 68% and 67%, respectively. 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 the 10-year government bond, is at 2.52% as of January 9, 2026. The two standard deviation boundary is at 4.69% [1]. ETF Fund Flow - In the last five trading days, there was an outflow of 1.6 billion yuan from ETFs, while the margin trading balance increased by approximately 64.2 billion yuan. The average daily trading volume across the two markets was 28.26 billion yuan [2]. Thematic Investment Focus - The latest thematic investment focus includes sectors such as satellites and semiconductors, with specific indices like the CSI Satellite Industry Index and the Shanghai Stock Exchange Sci-Tech Board Semiconductor Materials and Equipment Theme Index being highlighted [2][3]. Long-term Market Sentiment - The proportion of stocks above the 200-day moving average indicates a positive long-term market sentiment, suggesting a bullish outlook for the market [13]. Financing Balance - The financing balance has shown significant changes, reflecting the market's risk appetite and investor behavior [16]. Individual Stock Performance - Statistics on individual stock performance year-to-date based on return intervals indicate varying levels of performance across different stocks, providing insights into market dynamics [18]. Oversold Indices - Certain indices are identified as oversold, which may present potential buying opportunities for investors looking for value [20].

Summary of Key Points Core Viewpoint - The article provides a comprehensive review of the new stock issuance and offline subscription performance in 2025, highlighting a trend of increasing issuance despite a generally low volume and scale. It emphasizes the strong performance of new stocks on their first trading day and offers predictions for 2026 based on historical data and market conditions. Group 1: 2025 New Stock Issuance Overview - In 2025, a total of 112 new stocks were issued across the Shanghai, Shenzhen, and Beijing stock exchanges, raising approximately 1308.35 billion yuan [9] - The main board led in both the number of new stocks (38) and the total amount raised (616 billion yuan), followed by the ChiNext (31 stocks, 241 billion yuan) and the Sci-Tech Innovation Board (18 stocks, 378 billion yuan) [12][14] - The overall issuance showed signs of acceleration despite being at a low level, indicating a potential recovery in the market [11] Group 2: Offline Subscription Data Characteristics - The average acceptance rate for offline subscriptions in 2025 was 94.4%, with a notable dip in May and June [19] - The median effective bid width for offline subscriptions was 5.1%, indicating a trend towards more concentrated bidding [21] - The average winning rate for subscriptions was 3.44%, with a median of 2.63%, reflecting a relatively low level compared to previous years [27] Group 3: First Day Performance of New Stocks - In 2025, there were no instances of new stocks breaking below their issue price on the first day, with an average price increase of 222.5% and a median of 200.6% [3][30] - The average turnover rate on the first trading day was approximately 79%, indicating strong trading activity [33] - Post-listing, new stocks generally experienced a trend of decline in the following trading days, suggesting a strategy for investors to consider selling on the first day [39] Group 4: Offline Subscription Yield Statistics - For accounts with a scale of 1.5 billion yuan, the annual yield for Class A investors was approximately 4.1%, while Class B investors saw a yield of about 3.0% [4][41] - As account size increased to 3 billion yuan, yields for both classes dropped significantly to 3.2% and 2.2%, respectively [41] - The dual innovation board contributed the most to subscription yields among various boards [41] Group 5: Beijing Stock Exchange Subscription Overview - In 2025, the Beijing Stock Exchange saw 26 new stocks listed, with a noticeable acceleration in issuance in the second half of the year [42] - The average first-day price increase for these stocks was 368.1%, indicating strong market interest [43] - The estimated yield for a 10 million yuan account in the Beijing Stock Exchange was approximately 2.64% [51] Group 6: First Day Selling Strategies - The report suggests optimizing selling strategies based on fixed time, fixed price increase, and turnover rate, with specific recommendations for offline and Beijing Stock Exchange stocks [54][60] - For offline subscription investors, selling when the turnover rate reaches 40%-70% is considered optimal, while for Beijing Stock Exchange stocks, holding until the end of the trading day is recommended [68] Group 7: 2026 Offline Subscription Yield Outlook - The predicted yield for offline subscriptions in 2026 is influenced by the scale of new stock listings, expected price increases, and the number of participating investors [69] - Based on historical data, the estimated yields for a 1.5 billion yuan Class A account under pessimistic, neutral, and optimistic scenarios are 2.1%, 3.3%, and 4.4%, respectively [75]

Core Viewpoint - The article presents a comprehensive analysis of macroeconomic and technical indicators for major asset classes, indicating a bullish outlook for equities, a bearish stance on bonds and gold, and a mixed view on industrial products [1][7][23]. Macroeconomic Analysis - Equities are favored in the current macroeconomic environment, with a positive outlook supported by favorable macro indicators [2][7]. - Bonds are viewed negatively, with macroeconomic conditions suggesting a bearish trend [2][7]. - Gold is also seen as unfavorable from a macro perspective, despite a positive technical trend [2][7]. - Industrial products are supported by macroeconomic factors, although the technical trend is currently downward [2][7]. Technical Analysis - The technical indicators show an upward trend for equities and gold, while bonds and industrial products are trending downward [12][13]. - The latest technical scores indicate that equities have a positive trend score, while bonds and industrial products have negative scores [13]. Asset Allocation Performance Tracking - Historical performance data shows that a fixed ratio combined with macro and technical indicators yielded a return of 12.10% for 2025, with an annualized return of 10.22% since April 2006 [3][28]. - The volatility-controlled and risk parity strategies also demonstrated returns of 14.94% and 7.90%, respectively, since April 2006 [3][31]. Asset Allocation Strategy - The asset allocation strategy involves a fixed ratio for equities, bonds, commodities, and cash, with adjustments based on macro and technical signals [24][25]. - The historical performance of the asset allocation strategies indicates that the combination of macro and technical indicators has been effective in enhancing returns while managing risk [28][31].

Core Viewpoint - The quantitative convertible bond portfolio performed well in December, achieving a return of 4.57% for the month and a cumulative return of 25.63% since 2025, outperforming the China Securities Convertible Bond Index by 6.97% [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 rebalancing [5]. - The portfolio's performance in December 2025 showed a monthly return of 4.57% and an excess return of 2.43% compared to the benchmark [1]. Group 2: Convertible Bond Factors - A total of 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors for convertible bonds are being tracked, with detailed data available for subscription [2]. - The report illustrates the latest data using the pricing deviation factor as an example, which measures the difference between market price and theoretical pricing [12]. Group 3: Convertible Bond Index Timing - The timing strategy for the China Securities Convertible Bond Index is based on price-volume models, pricing deviations, and bond elasticity, indicating a bullish signal at the end of December with a recommended position of 2/3 [4][16]. - The timing signals for December 2025 show a consistent bullish outlook based on pricing models, with a position recommendation of 67% from December 22 onwards [16]. Group 4: Risk Warnings - The report provides risk warnings for convertible bonds based on forced delisting and risk alert rules, identifying specific bonds with trading and financial delisting risks [3][14]. - Various convertible bonds are flagged for different types of risks, including trading-related delisting warnings and event-type credit risk alerts [15].

Group 1 - The core viewpoint of the article highlights the strong performance of domestic CTA products in Q4 2025, with an overall profitability ratio of 80.6% among the analyzed products [1][9][10] - In Q4 2025, 57 new CTA products were issued, maintaining a stable issuance rate [5] - The median annualized return for the analyzed CTA products was 5.82%, with a median Sharpe Ratio of 0.89 and a maximum drawdown of -3.78% [9][10] Group 2 - The A-share market experienced a narrow range of fluctuations in Q4, with weak profitability for trend-based CTAs, as the overall valuation level remains high [2][36] - The bond market is expected to remain in a range-bound state, with limited downward space for interest rates and upward pressure from domestic inflation [3][48] - The commodity market saw a significant price increase driven by metals, with a notable divergence among different sectors [4][62] Group 3 - In the stock index futures market, the average daily trading volume for major contracts showed a slight decline, with the basis reflecting a mild backwardation [11][20] - Various trading strategies, including trend-following and style arbitrage, faced challenges, with the trend strategy yielding a loss of 2.97% in Q4 [25][26][28] - The bond futures market's volatility remained low, with historical data indicating a stable trading environment [37][40] Group 4 - The commodity market's volatility increased in Q4, with precious metals and industrial metals leading the gains, while energy and agricultural products faced declines [49][52] - The average return for commodity trend-following strategies was 2.9%, with copper and asphalt showing particularly strong performance [60][61] - The outlook for Q1 2026 suggests continued high volatility in metal prices, with a focus on related products [62]

Market Performance - The Sci-Tech 50 Index decreased by 0.59% and the ChiNext Index fell by 0.82% over the last five trading days, while the large-cap value index rose by 0.01% and the large-cap growth index declined by 0.39% [1] - The Shanghai Stock Exchange 50 Index increased by 0.20%, and the small-cap index represented by the CSI 2000 rose by 1.09%, with defense and military, as well as oil and petrochemical sectors performing well, while telecommunications and comprehensive sectors lagged [1] Valuation Levels - As of December 31, 2025, the static PE ratio of the CSI All Share Index is at the 82nd percentile, with the Shanghai 50 and CSI 300 both at 75%, and the ChiNext Index close to 58% [1] - The CSI 500 and CSI 1000 are at 62% and 64% respectively, indicating that the ChiNext Index's valuation is relatively at the historical median level [1] Fund Flows - In the last five trading days, ETF inflows amounted to 25.6 billion yuan, and the margin trading balance increased by approximately 23.8 billion yuan, with an average daily trading volume of 208.23 billion yuan across the two markets [2] Thematic Investment - The latest thematic allocation includes sectors such as chemicals, non-bank financials, and satellite communications, specifically focusing on sub-indices like the CSI Sub-Industry Chemical Index, the National Index for Commercial Satellite Communications, and the CSI 300 Non-Bank Financial Index [2][3] AI and Machine Learning Insights - A convolutional neural network (CNN) model has been utilized to analyze charted price and volume data, mapping learned features to industry thematic sectors, indicating a trend towards AI-driven investment strategies [11]

Market Performance - The Sci-Tech 50 Index increased by 2.85% over the last five trading days, while the ChiNext Index rose by 3.90%. The large-cap value index fell by 0.02%, and the large-cap growth index increased by 2.70%. The Shanghai 50 Index gained 1.37%, and the small-cap index represented by the CSI 2000 rose by 3.55%. The sectors of non-ferrous metals and national defense performed well, while beauty care and social services lagged behind [1]. Valuation Levels - As of December 26, 2025, the static PE ratio of the CSI All Share Index is at the 82nd percentile. The Shanghai 50 and CSI 300 both stand at 74%, while the ChiNext Index is close to 59%. The CSI 500 and CSI 1000 are at 62% and 64%, 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 minus the yield of the 10-year government bond, is at 2.69% as of December 26, 2025. The two standard deviation boundary is at 4.70% [1]. Fund Flows - In the last five trading days, ETF inflows amounted to 41.6 billion yuan, and the margin trading balance increased by approximately 45.7 billion yuan. The average daily trading volume across the two markets was 1.9454 trillion yuan [2]. Thematic Investment - The latest thematic investment configuration includes sectors such as chemicals, non-bank financials, communications, and satellite industries. Specific indices mentioned are the CSI Sub-Industry Chemical Index, CSI 300 Non-Bank Financial Index, CSI All Share Communication Equipment Index, and the National Satellite Communication Industry Index [2][3]. AI and Machine Learning Application - The application of convolutional neural networks (CNN) for modeling price and volume data has been explored, focusing on standardizing chart data to predict future prices and mapping learned features to industry themes [10].

Market Performance - The Sci-Tech 50 Index decreased by 2.99% over the last five trading days, while the ChiNext Index fell by 2.26%. In contrast, the large-cap value stocks rose by 1.52%, and large-cap growth stocks declined by 1.39%. The Shanghai Stock Exchange 50 Index increased by 0.32%, and the small-cap index represented by the CSI 2000 dropped by 0.37%. The retail and non-bank financial sectors performed well, while electronics and power equipment lagged behind [1]. Risk Premium and Valuation Levels - As of December 19, 2025, the static PE of the CSI All Share Index indicates a risk premium of 2.79%, calculated as the inverse of the PE minus the yield of ten-year government bonds. The two-standard deviation boundary is at 4.71%. The valuation levels show that the CSI All Share Index's PE TTM is at the 80th percentile, with the Shanghai 50 and CSI 300 at 74% and 73%, respectively. The ChiNext Index is close to 55%, while the CSI 500 and CSI 1000 are at 59% and 60%, respectively, indicating that 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 72.1 billion yuan, while the financing balance decreased by approximately 7.6 billion yuan. The average daily trading volume across the two markets was 1.738 trillion yuan [2]. Convolutional Neural Network Observations - The analysis utilized convolutional neural networks to model charted price and volume data, mapping learned features to industry themes. The latest thematic allocations include non-bank financials, satellite communications, and chemicals, specifically focusing on the CSI 300 Non-Bank Financial Index, the CSI Commercial Satellite Communication Industry Index, and the CSI Sub-Segmented Chemical Industry Theme Index [2][11]. Index Information - The report includes specific index codes and names, such as the CSI 300 Non-Bank Financial Index, the CSI Commercial Satellite Communication Industry Index, and the CSI Sub-Segmented Chemical Industry Theme Index, among others [3][12]. Market Sentiment and Risk Preference - The report tracks the proportion of market sentiment above the 200-day long-term moving average and monitors the risk preferences between equity and bond assets [14]. Financing Balance - The financing balance data is provided, indicating trends in market leverage and investor sentiment [16]. Individual Stock Performance - Statistics on individual stock performance year-to-date based on return ranges are included, providing insights into market dynamics [18]. Oversold Indices - The report notes instances of oversold conditions in certain indices, which may indicate potential buying opportunities [20].

Market Performance - The Sci-Tech 50 Index increased by 1.72% and the ChiNext Index rose by 2.74% over the last five trading days, while the large-cap value index fell by 1.21% and the large-cap growth index increased by 0.86% [1] - The static PE of the CSI All Share Index minus the yield of 10-year government bonds indicates a risk premium of 2.82% as of December 12, 2025, with a two-standard deviation boundary at 4.71% [1] Valuation Levels - As of December 12, 2025, the CSI All Share Index's PETTM percentile is at 79%, with the Shanghai Stock Exchange 50 and CSI 300 at 73% and 71% respectively, while the ChiNext Index is close to 55% [1] ETF and Fund Flows - In the last five trading days, ETF inflows amounted to 18.6 billion yuan, and the margin trading balance increased by approximately 23.5 billion yuan, with an average daily trading volume of 193.37 billion yuan across the two markets [2] Thematic Indexes - The latest thematic allocations include communication, artificial intelligence, and momentum growth in the ChiNext, specifically focusing on the CSI Communication Equipment Theme Index, ChiNext Artificial Intelligence Index, CSI 5G Communication Theme Index, and ChiNext Momentum Growth Index [2][3] Neural Network Analysis - A convolutional neural network (CNN) is utilized to model price and volume data, mapping learned features to industry thematic sectors, indicating a focus on AI and communication sectors [11]

Group 1 - The article emphasizes the growing scale of passive index funds, which reached a total of 4.9 trillion yuan by the end of September, with 1,548 passive index funds (ETFs and off-market funds) [7][11] - The article discusses the periodic adjustments of major indices like the SSE 50, CSI 300, and CSI 500, which occur every June and December, potentially creating investment opportunities due to significant changes in constituent stocks [4][5] Group 2 - Historical adjustment effects show that stocks added to indices tend to outperform the index in the two weeks prior to their inclusion, while stocks removed from indices generally underperform [12][14] - The average excess return for stocks added to the SSE 50 index in the two weeks before inclusion is 4.89%, with a success rate of 66.67% [15] - For the CSI 300 index, the average excess return for added stocks is 4.04%, with a success rate of 59.39% [18] Group 3 - The article presents the latest adjustment impact calculations, indicating that 572 stocks are involved in adjustments, with 20 stocks seeing net buy amounts exceeding 1 billion yuan and 14 stocks with net sell amounts over 1 billion yuan [25] - The impact coefficients for stocks show that 18 stocks have coefficients exceeding 2, indicating significant buying pressure, while 46 stocks have coefficients below -2, indicating selling pressure [25] Group 4 - The article outlines the index compilation schemes, noting that most indices have a weight limit of 10%, with some allowing up to 15% for individual stocks [24] - The methodology for calculating the impact of adjustments includes assessing the expected buy and sell amounts based on the total scale of tracking funds and the weights of constituent stocks [23]