========= - The Guosen JinGong Index Enhanced Portfolio is constructed using a multi-factor stock selection approach, targeting to outperform benchmarks such as the CSI 300, CSI 500, CSI 1000, and CSI A500 indices[10][11] - The construction process of the Guosen JinGong Index Enhanced Portfolio includes three main components: return prediction, risk control, and portfolio optimization[11] - The performance of the Guosen JinGong Index Enhanced Portfolio for the week is as follows: CSI 300 Index Enhanced Portfolio achieved an excess return of 0.53%, CSI 500 Index Enhanced Portfolio achieved an excess return of 0.45%, CSI 1000 Index Enhanced Portfolio achieved an excess return of 0.34%, and CSI A500 Index Enhanced Portfolio achieved an excess return of -0.46%[4][13] Factor Construction and Performance - Factors are monitored across different stock selection spaces, including the CSI 300, CSI 500, CSI 1000, and CSI A500 indices, as well as the Public Fund Heavyweight Index[10][14] - The factor library includes over 30 common factors categorized into valuation, reversal, growth, profitability, liquidity, corporate governance, and analyst dimensions[15][16] Factor Performance in Different Indices - **CSI 300 Index**: Factors such as single-quarter ROA, single-quarter ROE, and one-year momentum performed well in the past week, while three-month reversal, one-month volatility, and three-month turnover performed poorly[1][18] - **CSI 500 Index**: Factors such as SPTTM, executive compensation, and three-month institutional coverage performed well in the past week, while EPTTM one-year percentile, illiquidity shock, and three-month reversal performed poorly[1][19] - **CSI 1000 Index**: Factors such as three-month earnings revisions, standardized unexpected revenue, and standardized unexpected earnings performed well in the past week, while three-month reversal, BP, and expected EPTTM performed poorly[1][21] - **CSI A500 Index**: Factors such as one-year momentum, single-quarter revenue growth, and DELTAROA performed well in the past week, while three-month reversal, one-month volatility, and EPTTM one-year percentile performed poorly[1][23] - **Public Fund Heavyweight Index**: Factors such as one-year momentum, standardized unexpected revenue, and three-month earnings revisions performed well in the past week, while three-month reversal, one-month volatility, and three-month volatility performed poorly[1][25] Public Fund Index Enhanced Product Performance - **CSI 300 Index Enhanced Products**: In the past week, the highest excess return was 2.02%, the lowest was -1.13%, and the median was 0.06%. In the past month, the highest excess return was 1.87%, the lowest was -1.02%, and the median was 0.02%[2][31] - **CSI 500 Index Enhanced Products**: In the past week, the highest excess return was 1.24%, the lowest was -1.61%, and the median was 0.19%. In the past month, the highest excess return was 2.66%, the lowest was -1.07%, and the median was 1.33%[2][34] - **CSI 1000 Index Enhanced Products**: In the past week, the highest excess return was 1.52%, the lowest was -1.23%, and the median was 0.45%. In the past month, the highest excess return was 3.71%, the lowest was -0.71%, and the median was 1.90%[2][36] - **CSI A500 Index Enhanced Products**: In the past week, the highest excess return was 0.84%, the lowest was -0.53%, and the median was 0.03%. In the past month, the highest excess return was 2.16%, the lowest was -1.28%, and the median was 0.53%[3][39] Factor MFE Portfolio Construction - The MFE (Maximized Factor Exposure) portfolio is constructed using an optimization model to maximize single-factor exposure while controlling for various constraints such as style exposure, industry exposure, individual stock weight deviation, component stock weight proportion, and individual stock weight limits[40][41] - The optimization model's objective function is to maximize single-factor exposure, with constraints including style factor deviation, industry deviation, individual stock deviation, component stock weight limits, and no short selling[41][42] - The construction process involves setting constraints, constructing MFE portfolios at the end of each month, and calculating historical returns and risk statistics for the MFE portfolios[44] =========

Quantitative Models and Construction Methods - **Model Name**: Excellent Fund Performance Enhancement Portfolio **Construction Idea**: Shift from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund holdings for optimal selection [3][19][51] **Construction Process**: 1. Benchmark against active equity fund median returns, represented by the mixed equity fund index (885001.WI) [19][51] 2. Select funds based on performance layering, neutralizing return factors to mitigate style concentration risks [51] 3. Optimize portfolio to control deviations in individual stocks, industries, and styles relative to selected fund holdings [52] **Evaluation**: Demonstrates stability and consistent outperformance against active equity fund medians [51][52] - **Model Name**: Outperformance Selection Portfolio **Construction Idea**: Focus on stocks with significant pre- and post-event excess returns triggered by outperformance events [4][57] **Construction Process**: 1. Filter stocks based on research report titles indicating outperformance and analysts' upward revisions of net profit [4][57] 2. Conduct dual-layer selection using fundamental and technical analysis to identify stocks with both fundamental support and technical resonance [4][57] **Evaluation**: Consistently ranks in the top 30% of active equity funds annually [57] - **Model Name**: Brokerage Golden Stock Performance Enhancement Portfolio **Construction Idea**: Optimize the brokerage golden stock pool to achieve stable outperformance against the mixed equity fund index [5][62] **Construction Process**: 1. Use the brokerage golden stock pool as the stock selection space and benchmark [5][33] 2. Optimize portfolio to control deviations in individual stocks, industries, and styles relative to the golden stock pool [33][62] **Evaluation**: Reflects strong research capabilities and consistently ranks in the top 30% of active equity funds annually [62][63] - **Model Name**: Growth Stability Portfolio **Construction Idea**: Prioritize stocks with strong excess returns during the golden period of growth stock performance [6][67] **Construction Process**: 1. Segment growth stock pools based on the number of days until the scheduled financial report disclosure date, prioritizing stocks closer to the disclosure date [6][67] 2. Use multi-factor scoring to select high-quality stocks when sample size is large [6][67] 3. Introduce mechanisms such as weak balance, transition, buffering, and risk avoidance to reduce turnover and mitigate risks [67] **Evaluation**: Consistently ranks in the top 30% of active equity funds annually [67][68] --- Model Backtesting Results - **Excellent Fund Performance Enhancement Portfolio** - Annualized return: 20.31% (2012.1.4-2025.6.30) - Excess return vs. mixed equity fund index: 11.83% - Consistently ranks in the top 30% of active equity funds annually [53][56] - **Outperformance Selection Portfolio** - Annualized return: 30.55% (2010.1.4-2025.6.30) - Excess return vs. mixed equity fund index: 24.68% - Consistently ranks in the top 30% of active equity funds annually [58][60] - **Brokerage Golden Stock Performance Enhancement Portfolio** - Annualized return: 19.34% (2018.1.2-2025.6.30) - Excess return vs. mixed equity fund index: 14.38% - Consistently ranks in the top 30% of active equity funds annually [63][66] - **Growth Stability Portfolio** - Annualized return: 35.51% (2012.1.4-2025.6.30) - Excess return vs. mixed equity fund index: 26.88% - Consistently ranks in the top 30% of active equity funds annually [68][71]

- The "Hong Kong Stock Selection Portfolio" aims to construct a portfolio by dual-layer screening based on fundamental and technical aspects of stocks recommended by analysts. The portfolio is built using analyst recommendation events such as upward earnings forecast revisions, initial coverage, and unexpected research report titles. Stocks with both fundamental support and technical resonance are selected to form the portfolio. The backtesting period is from January 1, 2010, to June 30, 2025, with an annualized return of 19.11% and an excess return of 18.48% relative to the Hang Seng Index[14][15][19] - The "Stable New High Stock Screening Method" identifies stocks that have reached new highs in the past 20 trading days. The screening criteria include analyst attention, relative stock strength, price path stability, and continuity of new highs. The calculation for the 250-day new high distance is as follows: $ 250 \text{ Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max}(\text{Close}, 250)} $ where $\text{Close}_{t}$ represents the latest closing price, and $\text{ts\_max}(\text{Close}, 250)$ is the maximum closing price over the past 250 trading days. A new high distance of 0 indicates the latest closing price has reached a new high, while a positive value indicates the degree of fallback from the new high[20][22][23] - The screening process for stable new high stocks involves selecting stocks from the entire Hong Kong stock pool (excluding stocks listed for less than 15 months). Stocks are filtered based on analyst attention (at least 5 buy or overweight ratings in the past 6 months), relative stock strength (top 20% in 250-day returns), and price stability. The final selection is based on price path smoothness and the average 250-day new high distance over the past 120 days and the past 5 days[23][22][20] - The backtesting results for the "Hong Kong Stock Selection Portfolio" show annualized returns of 19.11%, excess returns of 18.48%, and various performance metrics such as IR (1.22), tracking error (14.55%), and maximum drawdown (23.73%). The portfolio demonstrates consistent outperformance across different years, with notable returns in 2020 (66.59% absolute return, 70% excess return) and 2019 (42.85% absolute return, 33.78% excess return)[19][15][17]

Investment Rating - The investment rating for the company is "Outperform the Market" [5][25][26] Core Views - The company has achieved record high performance in Q3, with revenue and profit growth driven by expanding overseas business [1][19] - The company has significantly increased its overseas revenue, which accounted for 34% of total revenue in the first half of 2025, reflecting a year-on-year growth of 89% [2][21] - The establishment of a joint venture for IGCT valve group indicates the company's strategic expansion into new business areas [2][24] - The company has made notable advancements in supercapacitor applications, securing major projects in the automotive sector [2][24] Financial Performance Summary - For the first three quarters of 2025, the company reported revenue of 138.27 billion yuan, a year-on-year increase of 32.86%, and a net profit of 21.91 billion yuan, up 46.94% [1][7] - In Q3 2025, the company achieved revenue of 53.30 billion yuan, a year-on-year increase of 25.68%, and a net profit of 8.99 billion yuan, up 48.73% [1][19] - The gross margin for Q3 2025 was 33.25%, an increase of 2.29 percentage points year-on-year, while the net margin was 17.67%, up 2.99 percentage points [1][19] - The company has revised its profit forecasts for 2025-2027, expecting net profits of 30.50 billion yuan, 40.45 billion yuan, and 49.50 billion yuan respectively [3][25] Financial Metrics Summary - The projected revenue for 2025 is 193.96 billion yuan, with a growth rate of 25.5% [4] - The projected net profit for 2025 is 30.50 billion yuan, reflecting a growth rate of 48.8% [4] - The company's PE ratios for 2025, 2026, and 2027 are projected to be 31, 24, and 19 respectively [3][25]

Investment Rating - The report maintains an "Outperform" rating for the media industry [2][7]. Core Insights - The media industry exhibits significant calendar effects, particularly in February and November, which historically show high positive return probabilities. The report suggests that the current market conditions may present a good opportunity for investment [3][4][5]. - The report highlights that the media sector has experienced a notable adjustment in October, with upcoming third-quarter earnings risks expected to be released, providing a potential upward basis for the industry [4][11]. - Key drivers for the media sector's performance include the ongoing improvement in the gaming and trendy toy industries, the introduction of the "21 Regulations" in broadcasting, and the continuous advancement of AI applications [4][24]. Summary by Sections Historical Performance - From January 2008 to September 2025, the media industry has shown a monthly average return of 0.25%, with 43 positive return months, indicating a 46.24% probability of positive returns. Notably, February and November are the best-performing months [6][11]. - The gaming sub-sector has a higher average monthly return of 0.64% and a positive return probability of 44.09% [6]. Current Market Conditions - In the first half of 2025, the media sector achieved revenues of 254.9 billion and a net profit of 21.8 billion, reflecting year-on-year growth of 4.06% and 28.70%, respectively [15][22]. - The gaming sector specifically reported revenues of 27.7 billion and a net profit of 4.6 billion in Q2 2025, with year-on-year growth rates of 22.40% and 104.47% [22]. Investment Recommendations - The report recommends focusing on leading companies in the gaming and trendy toy sectors, such as Giant Network, Kaineng Network, and Jibite, as well as emphasizing AI-driven short dramas and content platforms like Mango Super Media and Bilibili [4][32]. - The report also suggests that the recent adjustments in the media sector provide a favorable opportunity for investment, particularly in AI applications and content policy shifts [4][32].

- The report does not contain any quantitative models or factors for analysis[1][2][3]

证券研究报告 | 2025年10月24日 **Acknowledgement** **The authors thank the anonymous referee for the help and comments on the manuscript.** 乘势而起：市场新高趋势追踪：截至 2025 年 10 月 24 日，上证指数、深 证成指、沪深 300、中证 500、中证 1000、中证 2000、创业板指、科创 50 指数 250 日新高距离分别为 0.00%、3.18%、1.04%、3.85%、2.99%、 3.14%、2.77%、4.99%。中信一级行业指数中通信、石油石化、电力及 公用事业、建筑、电子行业指数距离 250 日新高较近，食品饮料、综合 金融、银行、消费者服务、医药行业指数距离 250 日新高较远。概念指 数中，万得微盘股日频等权、林木、锂矿、电力公用事业、石油天然气、 煤炭、万得全 A 等概念指数距离 250 日新高较近。 见微知著：利用创新高个股进行市场监测：截至 2025 年 10 月 24 日，共 1123 只股票在过去 20 个交易日间创出 250 日新高。其中创新高个股 ...

Report Industry Investment Rating No relevant content provided. Core View - The "Fixed Income +" strategy combines fixed - income assets with other risk assets to enhance returns. As domestic interest rates decline, investment innovation in "Fixed Income +" funds is expanding, with various attempts in different asset classes [1][2]. Summary According to the Catalog What is "Fixed Income +"? Definition of "Fixed Income +" - "Fixed Income +" refers to an investment portfolio with fixed - income assets like bonds as the main allocation, supplemented by other risk assets for higher returns. Common "+" assets include stocks, convertible bonds, derivatives, and commodities [1][12]. Main Features of the "Fixed Income +" Portfolio - The risk and return of the "Fixed Income +" portfolio lie between pure - bond and stock products. It has relatively small fluctuations and a higher Sharpe ratio, aiming for absolute returns [13]. Performance Review of Fixed Income + Public Offering Funds - In the past decade, the annualized returns of various sub - category Fixed Income + public offering fund indices were 3.71%, 3.57%, 4.40%, 7.08%, 4.07%, and 3.06% respectively, with corresponding Sharpe ratios of 1.13, 0.46, 0.73, 0.47, 0.25, and 0.16. The annualized return of flexible allocation funds was the highest, and the Sharpe ratio of hybrid bond - type primary funds was the highest. From 2004 to now, the best - performing years for Fixed Income + funds were usually A - share bull markets, and the worst - performing years were usually A - share bear markets. As of the end of Q2 2025, the total scale of China's Fixed Income + funds was 2327.6 billion yuan, with an average scale of 1.7 billion yuan. In Q2 2025, bond assets accounted for 88.2%, stock assets 7.9%, and bank deposits 1.4%. Among bonds, convertible bonds accounted for 10.6%, corporate bonds 39%, financial bonds 27.5%, and interest - rate bonds 19.7%. The proportion of stock - related assets (stocks + convertible bonds) in the total scale was as high as 17.3% [14][15][18][28][29]. Performance Attribution of High - Performing Fixed Income + Public Offering Funds Fund A: Forward - Looking Asset Allocation - Fund A, established in 2005, has excellent long - term performance. Since 2012, its annualized return has been 7.77%. It has flexible allocation of convertible bonds, stocks, and bonds. In recent five years, the value factor contributed 34%, the market factor 16.6%, and the remaining characteristics accounted for 58.8% in stock investment. In bond investment, 64% of the return came from interest income and 36% from capital gains. Its stock industry allocation is concentrated with low turnover. The price - earnings ratio and price - to - book ratio of its holdings are lower than the industry average. Its leverage ratio fluctuates between 103% and 140%, with an average of 123%. In 2025, it increased stock positions in the first half of the year to share the A - share market's rise [35][36][43][45][47][54][57][59]. Fund B: High - Position Convertible Bonds + Stock Band - Trading - Fund B, established in 2015, has an annualized return of 6.14% and has achieved positive returns every year. Since 2019, it has increased the allocation of convertible bonds, and since 2021, it has significantly increased its stock position. It uses the characteristics of convertible bonds to enhance returns, with a "dumbbell - shaped" convertible bond position distribution. In recent five years, the value factor contributed 62%, the market factor 12%, and the remaining characteristics accounted for 36% in stock investment. In bond investment, 44% of the return came from interest income and 56% from capital gains. Its stock industry allocation is concentrated with relatively low turnover. The price - earnings ratio and price - to - book ratio of its holdings are lower than the industry average. Its leverage ratio fluctuates between 101% and 140%, with an average of 117%. In 2025, it reduced convertible bond positions in the first half of the year to reduce portfolio risk exposure [60][61][66][72][74][82][85][88]. Fund C: Asset Comparison + Risk Diversification - Fund C, established in 2016, has an annualized return of 4.8% and a Sharpe ratio of 0.78 in the past three years. It has achieved positive returns in most years with small drawdowns. It has reduced convertible bond allocation and increased stock positions in recent years. In recent five years, the value factor contributed 33%, the market factor 17%, and the remaining characteristics accounted for 73% in stock investment. In bond investment, 82% of the return came from interest income and 18% from capital gains. Its stock industry allocation is diversified with low turnover. The price - earnings ratio and price - to - book ratio of its holdings are lower than the industry average. Its leverage ratio has decreased in recent years, with an average of 115% since 2021. In Q2 2025, it reduced convertible bond positions and shared the A - share market's rise through stock selection [91][92][97][99][107][111][114][117]. New Exploration of Fixed Income + Public Offering Funds - As domestic interest rates decline, investment innovation in "Fixed Income +" funds is expanding. As of Q2 2025, 63.5% of funds in the sample pool invested in stocks, 27.3% in Hong Kong stocks, 2.16% in other funds, 5.1% in Treasury bond futures, and 1% in stock index futures. Different products have different asset - investment proportions [118][120][123][125][132].

证券研究报告 | 2025年10月24日 **Acknowledgement** **The authors thank the anonymous referee for the help and comments on the manuscript.** 乘势而起：市场新高趋势追踪：截至 2025 年 10 月 24 日，上证指数、深 证成指、沪深 300、中证 500、中证 1000、中证 2000、创业板指、科创 50 指数 250 日新高距离分别为 0.00%、3.18%、1.04%、3.85%、2.99%、 3.14%、2.77%、4.99%。中信一级行业指数中通信、石油石化、电力及 公用事业、建筑、电子行业指数距离 250 日新高较近，食品饮料、综合 金融、银行、消费者服务、医药行业指数距离 250 日新高较远。概念指 数中，万得微盘股日频等权、林木、锂矿、电力公用事业、石油天然气、 煤炭、万得全 A 等概念指数距离 250 日新高较近。 见微知著：利用创新高个股进行市场监测：截至 2025 年 10 月 24 日，共 1123 只股票在过去 20 个交易日间创出 250 日新高。其中创新高个股 ...

Investment Rating - The investment rating for the company is "Outperform the Market" [6][4]. Core Views - The company achieved a net profit attributable to shareholders of 1.211 billion yuan in Q3 2025, representing a year-on-year increase of 15%. For the first three quarters of 2025, the company reported revenue of 45.002 billion yuan, up 32% year-on-year, but a net profit of 2.816 billion yuan, down 12% year-on-year. Excluding stock incentive expenses and specific bad debt provisions, the net profit attributable to shareholders for the first three quarters would be 3.675 billion yuan, reflecting an 18% year-on-year increase [1][4]. - The company's energy storage battery shipments are rapidly increasing, with a total shipment of 83.0 GWh in the first three quarters of 2025, a 47% year-on-year increase. The shipments for Q3 2025 alone reached 32.8 GWh, a 20% increase from the previous quarter [2][4]. - The company is advancing its global strategy and rapidly deploying new technologies, including the successful launch of the "Longquan No. 2" all-solid-state battery, which has an energy density of 300 Wh/kg [3][4]. Summary by Sections Financial Performance - In Q3 2025, the company reported revenue of 16.832 billion yuan, a 36% year-on-year increase and a 9% quarter-on-quarter increase. The net profit attributable to shareholders was 1.211 billion yuan, a 15% year-on-year increase and a 140% quarter-on-quarter increase [1][4]. - The company expects to achieve net profits of 4.505 billion yuan, 7.525 billion yuan, and 9.611 billion yuan for 2025, 2026, and 2027 respectively, with year-on-year growth rates of 11%, 67%, and 28% [4][5]. Market Trends - The company is experiencing a strong demand for its energy storage batteries, with significant partnerships in the electric vehicle sector, including collaborations with BMW, Xiaopeng, and others, which are expected to enhance market share [2][3]. - The company is also expanding its production capacity in Malaysia and Hungary, with plans for a solid-state battery production base in Chengdu [3][4]. Future Outlook - The company anticipates continued growth in both its energy storage and power battery segments, driven by high capacity utilization rates and stable pricing [2][4]. - The forecast for the company's revenue growth is robust, with expected revenues of 64.918 billion yuan in 2025, 91.005 billion yuan in 2026, and 112.856 billion yuan in 2027, reflecting growth rates of 33.5%, 40.2%, and 24% respectively [5][21].