New Stock Issuance - New stock issuance for Shichang Co., Ltd. at an issuance price of 10.90 on September 9, 2025[1] - Fushun Special Steel (stock code: 600399) is in the offer period from August 12 to September 10, 2025[1] - Cash option for *ST Tianmao (stock code: 000627) is open from September 15 to September 19, 2025[1] Trading Alerts - *ST Zitian (stock code: 300280) enters the delisting arrangement period starting September 15, 2025[1] - Significant abnormal fluctuations reported for Kaipu Cloud (stock code: 688228) on August 30, 2025[1] - Multiple companies including Tianji Co. (stock code: 002759) and Tongrun Equipment (stock code: 002150) have recent announcements regarding trading activities[1] Market Trends - A total of 30 companies reported abnormal trading activities, indicating potential market volatility[2] - The report highlights a trend of increased scrutiny on companies with significant price fluctuations, suggesting a regulatory focus on market stability[2]

Fee Structure Changes - The maximum subscription fee rates for equity funds, mixed funds, and bond funds have been reduced to 0.8%, 0.5%, and 0.3% respectively[2] - Sales service fee rates for equity and mixed funds, index funds, bond funds, and money market funds have been lowered, with no service fees for equity and mixed funds held for over one year[10] Redemption Fee Adjustments - Redemption fees will now be fully included in the fund property, with simplified rates based on holding periods: less than 7 days at 1.5%, 7 to 30 days at 1.0%, and 30 days to 6 months at 0.5%[13] - The new rules aim to increase costs for short-term holdings, encouraging long-term investment[13] Client Maintenance Fee Differentiation - The client maintenance fee for individual investors remains capped at 50%, while for institutional investors, it is maintained at 30% for equity and mixed funds, and reduced from 30% to 15% for other funds[18] Promotion of Direct Sales - The regulations support the establishment of a direct sales service platform for institutional investors, enhancing the efficiency of fund transactions[19] Impact on Fund Distribution Models - The new rules may pressure fund distribution institutions, potentially altering their business models, especially those relying on high turnover and subscription fees[21]

Report Investment Rating - No information provided regarding the industry investment rating. Core Viewpoints - Last week (from September 1, 2025, to September 5, 2025), the equity market experienced volatile adjustments, with the Wind All - A Index falling 1.37%. The recent intensified market adjustments are due to the extreme differentiation of the previous market structure and the rapid rise of core varieties, which require short - term fluctuations for digestion and consolidation [12]. - The high - level sub - sectors of AI computing power, such as PCB, optical modules, domestic AI chips, and the foundry segment, had a significant volume fluctuation last Thursday, indicating that the industrial trend investment centered around the AI computing power chain may enter a transition phase. The new energy and power sector may offer a new direction for flexible funds under the dual - drive of anti - involution and technological breakthroughs [13]. - On September 5, 2025, the CSRC issued the "Regulations on the Management of Sales Fees of Publicly Offered Securities Investment Funds (Exposure Draft)", which is the third - stage reform after the management fee and trading fee reforms. The new regulations are expected to improve the ecological environment of the public fund industry [14]. Summary by Directory 1. Weekly Market Observation 1.1. Equity Market Review and Observation - Market performance: The Wind All - A Index fell 1.37% last week. The ChiNext Index and micro - cap stocks led the gains, while the CSI 1000 and the STAR 50 Index declined. In terms of industry sectors, the medical and advanced manufacturing sectors led the gains, while the financial real - estate and technology sectors led the losses [12]. - Market adjustment reasons: Extreme differentiation in the previous market structure, rapid rise of core varieties, and the end of the National Day parade on September 3, which made some funds choose to cash out [12]. - Market sentiment: Although the equity market fluctuated last week, there was no obvious decline in risk appetite. The average daily trading volume of A - shares last week was 2603.2 billion yuan, a 13% week - on - week decrease but still at a relatively high level. The margin trading balance reached a record high of 2280.8 billion yuan on September 1 and then slightly declined to 2264.2 billion yuan on September 4 [12]. - Industry trends: The AI computing power chain may enter a transition phase, and the new energy and power sector may provide a new direction for funds [13]. 1.2. Public Fund Market Dynamics - On September 5, 2025, the CSRC issued the "Regulations on the Management of Sales Fees of Publicly Offered Securities Investment Funds (Exposure Draft)", aiming to reasonably reduce subscription/redemption fees and sales service fees, optimize redemption arrangements, and guide sales institutions to shift from a "traffic" mindset to a "retention" mindset [14]. 2. Active Equity Fund Index Performance Tracking 2.1. Active Stock Fund Selection Index - Positioning: Each period selects 15 funds with equal - weight allocation. Core positions select active equity funds based on performance competitiveness and style stability in value, balanced, and growth styles, and the style distribution is roughly balanced according to the CSI Active Equity Fund Index [16]. - Performance: It fell 0.74% last week and has accumulated an excess return of 11.91% since its establishment [7]. 2.2. Value Stock Fund Selection Index - Positioning: Selects 10 funds with deep - value, quality - value, and balanced - value styles based on multi - period style classification [18]. - Performance: It rose 0.36% last week and has accumulated an excess return of 1.63% since its establishment [7]. 2.3. Balanced Stock Fund Selection Index - Positioning: Selects 10 funds with relatively balanced and value - growth styles based on multi - period style classification [20]. - Performance: It fell 0.32% last week and has accumulated an excess return of 8.54% since its establishment [7]. 2.4. Growth Stock Fund Selection Index - Positioning: Selects 10 funds with active - growth, quality - growth, and balanced - growth styles based on multi - period style classification [21]. - Performance: It fell 1.79% last week and has accumulated an excess return of 15.29% since its establishment [7]. 2.5. Pharmaceutical Stock Fund Selection Index - Positioning: Selects funds with an average purity of no less than 60% in the pharmaceutical industry over the past three years or since establishment, and constructs an evaluation system to form an index with 15 funds [26]. - Performance: It rose 3.93% last week and has accumulated an excess return of 22.15% since its establishment [7]. 2.6. Consumption Stock Fund Selection Index - Positioning: Selects funds with an average purity of no less than 50% in the consumption industry over the past three years or since establishment, and constructs an evaluation system to form an index with 10 funds [28]. - Performance: It fell 0.57% last week and has accumulated an excess return of 20.81% since its establishment [7]. 2.7. Technology Stock Fund Selection Index - Positioning: Selects funds with an average purity of no less than 60% in the technology industry over the past three years or since establishment, and constructs an evaluation system to form an index with 10 funds [32]. - Performance: It fell 3.63% last week and has accumulated an excess return of 18.77% since its establishment [7]. 2.8. High - end Manufacturing Stock Fund Selection Index - Positioning: Selects funds with an average purity of no less than 50% in the high - end manufacturing industry over the past three years or since establishment, and constructs an evaluation system to form an index with 10 funds [34]. - Performance: It rose 0.55% last week and has accumulated an excess return of - 3.63% since its establishment [7]. 2.9. Cyclical Stock Fund Selection Index - Positioning: Selects funds with an average purity of no less than 50% in the cyclical industry over the past three years or since establishment, and constructs an evaluation system to form an index with 5 funds [36]. - Performance: It rose 1.47% last week and has accumulated an excess return of - 2.77% since its establishment [7].

1. Report Industry Investment Rating There is no information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report The report presents several ETF strategy indices developed by Huabao Research, aiming to help investors convert quantitative models or subjective views into practical investment strategies. It tracks the performance and holdings of these indices on a weekly basis, providing data on their returns and excess returns compared to benchmarks [13]. 3. Summary by Relevant Catalogs 3.1 ETF Strategy Index Tracking - **Overall Performance Last Week**: The table shows the performance of different ETF strategy indices last week, including their returns, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a return of -0.80% last week, compared to the benchmark CSI 800's return of -1.09%, resulting in an excess return of 0.29% [14]. 3.2 Huabao Research Size Rotation ETF Strategy Index - **Strategy Principle**: It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. The model outputs weekly signals to determine positions and obtain excess returns [4][15]. - **Performance**: As of September 5, 2025, the excess return since 2024 was 19.21%, the excess return in the past month was - 0.01%, and the excess return in the past week was 0.29%. The current position is 100% in the SSE 300ETF [15][20]. 3.3 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 major Barra factors to achieve market - outperforming returns. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4]. - **Performance**: As of September 5, 2025, the excess return since 2024 was 13.81%, the excess return in the past month was - 2.52%, and the excess return in the past week was - 1.63% [4]. 3.4 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of medium - to long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behaviors of various market participants. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs out potential sectors to obtain excess returns [5]. - **Performance**: As of September 5, 2025, the excess return since 2024 was 20.39%, the excess return in the past month was 7.87%, and the excess return in the past week was 2.03%. The current positions include the Science and Technology Innovation Board 50ETF, CSI 2000ETF, etc. [24][27]. 3.5 Huabao Research Quantitative Balance ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend judgment. It also predicts the market's large - and small - cap styles to adjust the equity market position distribution and obtains excess returns through comprehensive timing and rotation [5]. - **Performance**: As of September 5, 2025, the excess return since 2024 was - 8.68%, the excess return in the past month was - 5.64%, and the excess return in the past week was 0.17%. The current positions include the 10 - Year Treasury Bond ETF, Enhanced 500ETF, etc. [28][29]. 3.6 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and mines hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry event tracking, investor sentiment and professional views, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio to capture market hot - spots and assist investors in making investment decisions [6]. - **Performance**: As of September 5, 2025, the excess return in the past month was - 1.16%, and the excess return in the past week was 3.95%. The current positions include the Non - Ferrous Metals 50ETF, Hong Kong Stock Connect Pharmaceutical ETF, etc. [32][34]. 3.7 Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity and price - volume indicators to screen effective timing factors and predicts bond yields through machine learning. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond portfolio to improve long - term returns and drawdown control [6]. - **Performance**: As of September 5, 2025, the excess return in the past month was 0.36%, and the excess return in the past week was - 0.02%. The current positions include the Short - Term Financing ETF, 10 - Year Treasury Bond ETF, etc. [35][36].

New Stock Listings - New stock "Sanxie Electric" (证券代码: 920100) listed at an issuance price of 8.83[1] Equity Announcements - "Fushun Special Steel" (证券代码: 600399) has a tender offer period from August 12, 2025, to September 10, 2025[1] - "ST Tianmao" (证券代码: 000627) has a cash option declaration period from September 15, 2025, to September 19, 2025[1] - "ST Zitian" (证券代码: 300280) enters the delisting arrangement period starting September 15, 2025[1] Severe Abnormal Fluctuations - "KaiPu Cloud" (证券代码: 688228) reported severe abnormal fluctuations[1] - "XinHua Jin" (证券代码: 600735) also reported severe abnormal fluctuations[1] - "TianJi Shares" (证券代码: 002759) reported severe abnormal fluctuations[1] Additional Announcements - "ST Zhengping" (证券代码: 603843) and "ShouKai Shares" (证券代码: 600376) have recent announcements regarding their stock performance[1] - "ST Jinfeng" (证券代码: 000908) and "HaiBo SiChuang" (证券代码: 688411) have also made recent announcements[1]

Group 1: Report Overview - The report is a weekly report on public - offering funds from September 1, 2025, to September 5, 2025, covering the market review, public - offering fund market dynamics, and performance tracking of fixed - income - related fund indices [1][2] Group 2: Market Review Bond Market - In the domestic bond market, from September 1, 2025, to September 5, 2025, the equity market fluctuated sharply. The bond market went from profit - taking to long - making and then to a pullback, with yields first falling and then rising, showing a "V" shape. The 1 - year Treasury yield rose 2.61BP to 1.40%, the 10 - year Treasury yield fell 1.19BP to 1.83%, and the 30 - year Treasury yield fell 2.5BP to 2.11%. Short - term yield decline space is not opened, and the 10 - year Treasury yield is expected to fluctuate mainly in the 1.75% - 1.8% range. High - coupon assets can be mainly focused on [2][10] - The US Treasury bonds showed a bull - flattening trend. The 1 - year US Treasury yield fell 18BP to 3.65%, the 2 - year yield fell 8BP to 3.51%, and the 10 - year yield fell 13BP to 4.10%. The trend is mainly influenced by the volatility of the European bond market and the significantly lower - than - expected US employment data [11] REITs Market - The China Securities REITs Total Return Index closed at 1078.42 points, showing a volatile upward trend with a weekly increase of 0.47%, continuing the previous repair pattern. Except for a slight decline in data center REITs, other assets achieved positive returns, and some previously weak REITs rebounded. In the primary market, the first foreign - funded consumer REITs completed the inquiry, and as of September 5, 2025, there were 1 REITs product in the accepted stage, 3 in the in -quired stage, 4 in the feedback stage, 6 passed and waiting for listing, and 10 first - issue products that have been listed [11] Group 3: Public - Offering Fund Market Dynamics - On September 5, 2025, the China Securities Regulatory Commission revised and issued the "Regulations on the Administration of Sales Fees of Publicly Offered Securities Investment Funds (Exposure Draft)", which is the "last crucial step" in the phased fee - rate reform. The regulations mainly include six aspects such as reasonably reducing subscription fees, purchase fees, and sales service fees, optimizing redemption fees, encouraging long - term holding, setting different trailing commission payment ratio caps, strengthening fee standardization, and establishing a direct - sales service platform for institutional investors in the fund industry [3][12] Group 4: Performance Tracking of Fixed - Income - Related Fund Indices Overall Performance | Index Name | Last Week's Return | One - Month Return | YTD Return | Since Inception Return | | --- | --- | --- | --- | --- | | Money Enhancement Index | 0.03% | 0.12% | 1.05% | 4.02% | | Short - Term Bond Fund Preferred Index | 0.03% | 0.07% | 0.77% | 4.19% | | Medium - and Long - Term Bond Fund Preferred Index | 0.09% | - 0.16% | 0.67% | 6.31% | | Low - Volatility Fixed - Income + Fund Preferred Index | 0.11% | 0.62% | 2.54% | 3.83% | | Medium - Volatility Fixed - Income + Fund Preferred Index | 0.06% | 1.70% | 4.32% | 4.85% | | High - Volatility Fixed - Income + Fund Preferred Index | 0.08% | 1.64% | 6.64% | 6.38% | | Convertible Bond Fund Preferred Index | 0.83% | 2.91% | 15.82% | 19.44% | | QDII Bond Fund Preferred Index | 0.14% | 0.30% | 4.25% | 9.29% | | REITs Fund Preferred Index | 1.53% | - 1.11% | 28.42% | 37.59% | [5][13][14] Index Positioning - **Money Enhancement Strategy Index**: Aims at liquidity management, pursues a curve that surpasses money funds and rises smoothly. It mainly allocates money market funds and inter - bank certificate of deposit index funds in passive index - type bond funds. The performance benchmark is the China Securities Money Fund Index [15] - **Short - Term Bond Fund Preferred Index**: Aims at liquidity management, pursues a smooth upward curve on the basis of ensuring drawdown control. It mainly allocates 5 funds with stable long - term returns, strict drawdown control, and significant absolute return capabilities. The performance benchmark is 50% * Short - Term Pure Bond Fund Index + 50% * Ordinary Money Fund Index [15][17] - **Medium - and Long - Term Bond Fund Preferred Index**: Invests in medium - and long - term pure bond funds, pursues stable returns while controlling drawdowns, and aims for excess returns relative to the medium - and long - term bond fund index and a stable upward net value curve. It selects 5 funds each period, flexibly adjusts the duration according to the market, and adjusts the proportion of credit bond funds and interest - rate bond funds [19] - **Low - Volatility Fixed - Income + Preferred Index**: The equity center is positioned at 10%, and 10 funds are selected each period. It selects fixed - income + targets with an equity center within 15% in the past three years and recently. The performance benchmark is 10% China Securities 800 Index + 90% ChinaBond New Composite Full - Price Index [21][22] - **Medium - Volatility Fixed - Income + Preferred Index**: The equity center is positioned at 20%, and 5 funds are selected each period. It selects fixed - income + targets with an equity center between 15% - 25% in the past three years and recently. The performance benchmark is 20% China Securities 800 Index + 80% ChinaBond New Composite Full - Price Index [24] - **High - Volatility Fixed - Income + Preferred Index**: The equity center is positioned at 30%, and 5 funds are selected each period. It selects fixed - income + targets with an equity center between 25% - 35% in the past three years and recently. The performance benchmark is 30% China Securities 800 Index + 70% ChinaBond New Composite Full - Price Index [27] - **Convertible Bond Fund Preferred Index**: Selects bond - type funds with the average proportion of convertible bond investment in bond market value greater than or equal to 60% in the latest period and greater than or equal to 80% in the past four quarters as the sample space. It constructs an evaluation system from multiple dimensions and finally selects 5 funds to form the index [30] - **QDII Bond Fund Preferred Index**: The underlying assets are overseas bonds. It selects 6 funds with stable returns and good risk control according to credit and duration conditions [31] - **REITs Fund Preferred Index**: The underlying assets are mainly mature, high - quality, and stable - operating infrastructure projects. It selects 10 funds with stable operation, reasonable valuation, and certain elasticity according to the type of underlying assets [34]

Macro Strategy Overview - The report indicates that the U.S. labor market continues to weaken, with marginal economic deterioration observed. However, high-frequency indicators show that the employment market has not fully deteriorated, suggesting a structural weakness in the labor market due to tightened immigration policies [6][27]. - U.S. inflation remains controllable, with July CPI rising by 2.7%, slightly below expectations, indicating a trend of easing inflation. The Federal Reserve is likely to initiate interest rate cuts in September, with expectations of two cuts by the end of the year [8][32]. Domestic Economic Environment - The report highlights that the domestic policy is currently in an observation phase, focusing on implementing existing policies and addressing weak areas. The emphasis is shifting from short-term stimulus to long-term strategic goals such as technological innovation and sustainable economic development [8][40]. - Economic recovery has slowed down, with July data showing a decline in consumption growth to 3.7% and a further drop in investment growth. The industrial production index also showed a slight decline, indicating potential pressures on future production [42][57]. A-share Market Strategy - The A-share market is expected to continue its upward trend, driven by a return of core asset profitability. The report suggests a relatively optimistic outlook for A-shares, with a focus on structural adjustments and the impact of external factors such as reduced tariff disturbances [9][10]. - The report emphasizes a multi-theme rotation strategy, with a strong performance expected in technology and growth sectors. Investors are advised to maintain a balanced portfolio while focusing on high-elasticity sectors like technology and new energy [9][10]. Industry Performance - In August, the A-share market saw a significant increase, with the ChiNext Index rising by 24.13%, indicating strong market sentiment and a positive feedback loop forming as retail savings shift towards the stock market [13][14]. - The report notes that all major sectors experienced gains in August, particularly in technology, electronics, and materials, driven by favorable policies and market conditions [16][15]. Asset Allocation Insights - The report suggests a balanced approach to asset allocation, with a focus on technology growth sectors for higher elasticity. It also highlights the importance of diversifying across global assets, including Japanese and European stocks, as well as commodities like gold [10][9].

New Stock Listings - Huaxin Jingke (603370) listed at an issuance price of 18.6 on September 5, 2025[1] Rights Issues and Offers - Fushun Special Steel (600399) has a tender offer period from August 12 to September 10, 2025[1] - Cash option for *ST Tianmao (000627) is available from September 15 to September 19, 2025[1] Stock Performance Alerts - Significant abnormal fluctuations reported for KaiPu Cloud (688228) on August 30, 2025[1] - New stock listings and trading alerts include various companies with specific announcement links for further details[1] Trading Volume Insights - Notable trading volumes for several stocks, including Dongjie Intelligent (300486) at 6241 and Kedi Shares (605255) at 6820[1] - Other stocks with significant trading volumes include Huawen Technology (001380) at 9056 and ST Jinfeng (000908) at 9022[1]

New Stock Offerings - Fushun Special Steel (600399) is undergoing a tender offer period from August 12, 2025, to September 10, 2025[1] - *ST Tianmao (000627) has a cash option declaration period from September 15, 2025, to September 19, 2025[1] - Tianpu Co., Ltd. (605255) has announced its latest updates on September 4, 2025[1] Market Alerts - Kaipu Cloud (688228) has reported severe abnormal fluctuations as of August 30, 2025[1] - Siquan New Materials (301489) and Xinhua Jin (600735) also reported significant market movements on August 22 and August 30, 2025, respectively[1] - Multiple companies including *ST Baoying (002047) and Wantong Development (600246) have updates as of September 4, 2025[1] Trading Notifications - A total of 30 companies have issued trading notifications with specific dates for announcements and updates, indicating active market participation[1] - The report includes links to detailed announcements for each company, ensuring transparency and accessibility of information[1]

Quantitative Factors and Construction 1. Factor Name: Market Style Factor - **Construction Idea**: This factor tracks the relative performance and volatility of different market styles, such as large-cap vs. small-cap and value vs. growth styles, to understand market preferences and dynamics[10][12] - **Construction Process**: - **Style Performance**: Measure the relative returns of large-cap vs. small-cap stocks and value vs. growth stocks over the week - **Style Volatility**: Calculate the weekly changes in the volatility of these style returns - **Evaluation**: The factor effectively captures the market's preference for growth over value and the balanced performance between large-cap and small-cap stocks during the observed period[10][12] 2. Factor Name: Market Structure Factor - **Construction Idea**: This factor evaluates the dispersion of industry returns, the speed of industry rotation, and the concentration of trading activity to assess market structure and dynamics[10][12] - **Construction Process**: - **Industry Return Dispersion**: Compute the standard deviation of excess returns across industry indices - **Industry Rotation Speed**: Measure the rate of change in leading industries over the week - **Trading Concentration**: Calculate the proportion of total trading volume contributed by the top 100 stocks and the top 5 industries - **Evaluation**: The factor highlights an increase in industry return dispersion and trading concentration, indicating a more focused market structure[10][12] 3. Factor Name: Market Activity Factor - **Construction Idea**: This factor tracks market volatility and turnover rates to gauge overall market activity levels[11][12] - **Construction Process**: - **Volatility**: Measure the weekly changes in index-level volatility - **Turnover Rate**: Calculate the weekly changes in market turnover rates - **Evaluation**: The factor shows a rise in both market volatility and turnover, reflecting heightened market activity during the week[11][12] 4. Factor Name: Commodity Market Factor - **Construction Idea**: This factor monitors the strength of trends, basis momentum, volatility, and liquidity in commodity markets to understand their dynamics[19][25] - **Construction Process**: - **Trend Strength**: Assess the directional movement of commodity indices - **Basis Momentum**: Measure the changes in the basis (spot price vs. futures price) for energy and precious metals - **Volatility**: Calculate the weekly changes in commodity price volatility - **Liquidity**: Track the weekly changes in trading volume and bid-ask spreads - **Evaluation**: The factor indicates a decline in trend strength and volatility, while basis momentum for energy and precious metals increased, and liquidity showed a downward trend[19][25] 5. Factor Name: Option Market Factor - **Construction Idea**: This factor evaluates implied volatility, skewness, and discount rates in the options market to assess market sentiment and hedging activity[28] - **Construction Process**: - **Implied Volatility**: Track the implied volatility levels of the SSE 50 and CSI 1000 indices - **Skewness and Discount Rates**: Measure the skewness of put options and the implied discount rates for these indices - **Evaluation**: The factor reveals high implied volatility levels, with an increase in put skewness and discount rates for the CSI 1000 index, suggesting rising hedging activity and market divergence[28] 6. Factor Name: Convertible Bond Market Factor - **Construction Idea**: This factor examines the premium rates and trading activity in the convertible bond market to understand its dynamics[30] - **Construction Process**: - **Premium Rates**: Analyze the average premium rates for bonds with low conversion premiums - **Trading Activity**: Measure the weekly changes in trading volume - **Evaluation**: The factor shows an increase in the proportion of low-premium bonds and stable trading activity, indicating potential short-term adjustments in the market[30] --- Factor Backtesting Results 1. Market Style Factor - **Large-Cap vs. Small-Cap Performance**: Balanced[10][12] - **Value vs. Growth Performance**: Growth outperformed value[10][12] - **Style Volatility**: Large-cap/small-cap volatility decreased; value/growth volatility increased[10][12] 2. Market Structure Factor - **Industry Return Dispersion**: Increased[10][12] - **Industry Rotation Speed**: Peaked and then declined[10][12] - **Trading Concentration**: Increased for both top 100 stocks and top 5 industries[10][12] 3. Market Activity Factor - **Volatility**: Increased[11][12] - **Turnover Rate**: Increased[11][12] 4. Commodity Market Factor - **Trend Strength**: Declined[19][25] - **Basis Momentum**: Increased for energy and precious metals[19][25] - **Volatility**: Declined[19][25] - **Liquidity**: Declined[19][25] 5. Option Market Factor - **Implied Volatility**: High for SSE 50 and CSI 1000[28] - **Skewness and Discount Rates**: Increased for CSI 1000[28] 6. Convertible Bond Market Factor - **Premium Rates**: Low-premium bonds increased[30] - **Trading Activity**: Stable[30]