Investment Rating - The report maintains an "Overweight" rating for the petrochemical and basic chemical sectors [6]. Core Insights - The petrochemical industry is expected to experience a recovery in prosperity due to the implementation of the "Stabilization Growth Work Plan" for 2025-2026, which aims to enhance high-end supply and optimize capacity in various sub-sectors [1][2]. - The report highlights the importance of controlling new capacity for key products such as refining, ethylene, PX, and coal-to-methanol, which is anticipated to improve the supply structure [2]. - The focus on fertilizer production stability and the development of new types of fertilizers is expected to continue, with recommendations for companies in this sector [3]. - The report emphasizes the acceleration of new materials and emerging technologies in the chemical industry, driven by policy support for high-end supply and digital transformation [4]. Summary by Sections Section 1: Industry Growth Policies - The Ministry of Industry and Information Technology and other departments have issued a plan to stabilize growth in the petrochemical industry, focusing on high-end supply and project management [1]. - The plan includes measures to enhance supply optimization and support the development of high-end chemical materials in electronics, new energy, and medical equipment [1]. Section 2: Capacity Control and Supply Optimization - The plan specifies strict control over new refining capacity and reasonable planning for the addition of ethylene, PX, and coal-to-methanol capacities, supporting the replacement and upgrading of old facilities [2]. - In 2024, China's refining, PX, and methanol capacities are projected to decrease by 1%, remain unchanged, and increase by 2% respectively, indicating a significant slowdown in capacity growth [2]. Section 3: Fertilizer Production Stability - The plan aims to optimize the production management of key fertilizer companies and ensure stable raw material supply through long-term contracts [3]. - The report notes that the prices of some upstream raw materials have risen significantly, which may impact fertilizer production [3]. Section 4: Development of New Materials and Technologies - The report anticipates accelerated development of high-end chemical materials and emerging technologies, including carbon capture and green ammonia applications [4]. - It encourages the development of new materials in sectors such as integrated circuits, new energy, and medical devices, with a focus on innovation and domestic substitution [4]. Section 5: Company Recommendations - The report recommends several companies based on their potential to benefit from the outlined policies, including: - **Buy**: Yun Tianhua, Dongcai Technology, Hualu Hengsheng, and Luxi Chemical [7]. - **Overweight**: Hengli Petrochemical, Huayi Group, Tongkun Co., Guangwei Composite, Xinfeng Group, and Wanwei High-tech [7].

量价因子有所回暖，1000 指增强势 2025 年 9 月 28 日│中国内地 量化投资周报 证券研究报告 本月以来换手率因子多空收益领跑 从因子多空组合收益的平均水平来看，本月以来换手率因子多空收益领跑， 在中证 1000 和全 A 股股票池中表现尤为突出；预期净利润增速因子次之， 整体呈现较可观的多空收益。盈利和成长因子同样呈现正向的平均多空收 益，但较前者有较大差距。其余因子均呈现负向的平均多空收益，其中反转、 估值和小市值因子多空收益较为落后。 本月以来中证 1000 指增基金超额收益保持领先 我们重点跟踪以沪深 300、中证 500、中证 1000 和中证 A500 指数为基准 的量化指数增强基金。基于公募指增基金的复权净值曲线表现来看，本月以 来各类指增基金超额收益呈现分化。从中位数层面来看，中证 1000 指增基 金表现保持领先，呈现较明显的正超额；其余指增基金的超额收益中位数均 呈现负值，整体表现平淡。从今年以来的整体表现来看，中证 1000 指增基 金超额领先，中证 A500 指增基金次之。 风险提示：量化基金的业绩受到多种因素影响，包括环境、政策、基金管理 人变化等，过去业绩好的基金不代表 ...

Quantitative Models and Construction Methods - **Model Name**: A-Share Multi-Dimensional Timing Model **Model Construction Idea**: The model evaluates the directional judgment of the A-share market using four dimensions: valuation, sentiment, capital, and technical indicators. Valuation and sentiment dimensions adopt a mean-reversion logic, while capital and technical dimensions use trend-following logic. The model combines these dimensions to provide a comprehensive view of market trends [2][9][15]. **Model Construction Process**: 1. The model uses the Wind All A Index as a proxy for the A-share market. 2. Each dimension generates daily signals with values of 0, ±1, representing neutral, bullish, or bearish views. 3. Valuation indicators include equity risk premium (ERP). 4. Sentiment indicators include option put-call ratio, implied volatility, and futures member position ratio. 5. Capital indicators include financing purchase amount. 6. Technical indicators include Bollinger Bands and the difference in the proportion of individual stock trading volume [11][15]. 7. The final multi-dimensional score is calculated as the sum of the scores from the four dimensions, determining the overall market view [9][15]. **Model Evaluation**: The model effectively captures market trends and provides actionable insights for timing decisions [9]. - **Model Name**: Style Timing Model **Model Construction Idea**: The model evaluates timing for dividend and size styles using trend-based indicators and crowding metrics [3][17][22]. **Model Construction Process**: 1. **Dividend Style Timing**: - The model uses three indicators: relative momentum of the CSI Dividend Index vs. CSI All Index, 10Y-1Y term spread, and interbank pledged repo transaction volume. - Each indicator generates daily signals with values of 0, ±1, representing neutral, bullish, or bearish views. - The final score is the sum of the three indicators, determining the overall view on dividend style [17][21]. 2. **Size Style Timing**: - The model uses the crowding degree of small-cap and large-cap styles, calculated based on momentum difference and trading volume ratio between the Wind Micro-Cap Index and CSI 300 Index. - Crowding degree is determined by averaging the top three results of six different window lengths for small-cap and large-cap styles. - High crowding is triggered when small-cap crowding exceeds 90% or large-cap crowding falls below 10%. - In high crowding zones, a small parameter double moving average model is used to capture short-term reversals. In low crowding zones, a large parameter double moving average model is used to follow medium- to long-term trends [22][24][26]. **Model Evaluation**: The model provides effective timing signals for style rotation, especially in different market conditions [22][24]. - **Model Name**: Industry Rotation Model **Model Construction Idea**: The model uses genetic programming to directly extract factors from industry index data, focusing on price-volume and valuation characteristics. It employs a dual-objective genetic programming approach to enhance factor diversity and reduce overfitting [4][29][32]. **Model Construction Process**: 1. The model uses 32 CITIC industry indices as underlying assets. 2. Factors are updated quarterly, and the model rebalances weekly. 3. The dual-objective genetic programming approach evaluates factors using |IC| and NDCG@5 metrics to assess monotonicity and performance of long positions. 4. Factors are combined using a greedy strategy and variance inflation factor to reduce collinearity. 5. The highest-weight factor is constructed as follows: - Perform cross-sectional regression of standardized monthly trading volume against the rolling 4-year percentile of price-to-book ratio (P/B). Take residuals as variable A. - Sum the smallest 9 values of variable A over the past 15 trading days to obtain variable B. - Standardize variable B using z-score, reverse values greater than 2.5, and sum the standardized values over the past 15 trading days [29][33][37]. **Model Evaluation**: The model effectively identifies industry rotation factors with strong monotonicity and performance, while reducing overfitting risks [29][33]. - **Model Name**: China Domestic All-Weather Enhanced Portfolio **Model Construction Idea**: The model adopts a macro factor risk parity framework, emphasizing risk diversification across underlying macro risk sources rather than asset classes. It actively allocates based on macro expectation momentum [5][38][41]. **Model Construction Process**: 1. **Macro Quadrant Division and Asset Selection**: Divide growth and inflation dimensions into four quadrants based on whether they exceed or fall short of expectations. Determine suitable assets for each quadrant using quantitative and qualitative methods. 2. **Quadrant Portfolio Construction and Risk Measurement**: Construct sub-portfolios with equal weights for assets within each quadrant, focusing on downside risk. 3. **Risk Budgeting Model for Quadrant Weights**: Adjust quadrant risk budgets monthly based on "quadrant views" derived from macro expectation momentum indicators, which consider buy-side expectation momentum and sell-side expectation deviation momentum [38][41]. **Model Evaluation**: The model effectively balances macro risks and enhances portfolio performance through active allocation [38][41]. --- Model Backtesting Results - **A-Share Multi-Dimensional Timing Model**: - Annualized Return: 25.23% - Maximum Drawdown: -28.46% - Sharpe Ratio: 1.17 - Calmar Ratio: 0.89 - Year-to-Date (YTD): 40.98% - Last Week's Return: 0.15% [14] - **Style Timing Model**: - **Dividend Style Timing**: - Annualized Return: 16.04% - Maximum Drawdown: -25.52% - Sharpe Ratio: 0.87 - Calmar Ratio: 0.63 - YTD: 21.75% - Last Week's Return: 0.23% [20] - **Size Style Timing**: - Annualized Return: 26.25% - Maximum Drawdown: -30.86% - Sharpe Ratio: 1.09 - Calmar Ratio: 0.85 - YTD: 65.89% - Last Week's Return: 1.07% [27] - **Industry Rotation Model**: - Annualized Return: 32.60% - Annualized Volatility: 17.95% - Sharpe Ratio: 1.82 - Maximum Drawdown: -19.63% - Calmar Ratio: 1.66 - Last Week's Return: 0.27% - YTD: 36.44% [32] - **China Domestic All-Weather Enhanced Portfolio**: - Annualized Return: 11.53% - Annualized Volatility: 6.16% - Sharpe Ratio: 1.87 - Maximum Drawdown: -6.30% - Calmar Ratio: 1.83 - Last Week's Return: 0.66% - YTD: 9.02% [42]

- The report discusses the absolute return ETF simulation portfolio, which has increased by 7.47% year-to-date as of September 26, 2025. The portfolio's asset allocation weights are calculated based on recent trends, with stronger assets receiving higher risk budgets. Equity asset internal allocation weights are determined using a monthly industry rotation model and timing views on dividend assets[36][37] - The backtesting results of the absolute return ETF simulation portfolio from May 5, 2016, to September 26, 2025, show an annualized return of 6.61%, annualized volatility of 3.81%, maximum drawdown of 4.65%, Sharpe ratio of 1.73, and Calmar ratio of 1.42[37] - The report highlights the performance of domestic gold ETFs, which have seen a resurgence in net inflows since domestic gold prices broke previous highs. As of September 26, 2025, the total scale of 14 domestic gold ETFs reached 1629 billion yuan, an increase of nearly 160 billion yuan compared to the end of August, approaching the high point of April 24, 2025[12][14][16]

Investment Rating - The report maintains an "Overweight" rating for the Electric Equipment and New Energy sector and the Public Utilities sector [1][4]. Core Views - The report highlights China's new carbon reduction targets announced by President Xi Jinping, aiming for a 7%-10% reduction in greenhouse gas emissions by 2035, with non-fossil energy consumption exceeding 30% of total energy consumption [8][10]. - The transition from the "peak" phase to the "decline" phase in carbon emissions is emphasized, indicating a clear path towards carbon neutrality [8][10]. - The report identifies key beneficiaries in the energy transition, including leaders in the energy storage industry and companies like Sany Heavy Energy and Guodian NARI [8][11]. Summary by Sections Investment Recommendations - Sany Heavy Energy (688349 CH) is rated "Buy" with a target price of 38.01 CNY, reflecting a significant growth potential [4][15]. - Guodian NARI (600406 CH) is also rated "Buy" with a target price of 26.00 CNY, supported by its strong market position in secondary equipment [4][15]. Market Outlook - The report anticipates that by 2030, the cost parity of solar and storage will unlock new capacity for renewable energy installations, with a projected increase in installed capacity to 6,816 GW by 2035 [12][14]. - The need for a higher electrification rate and increased green energy proportion is highlighted to meet the carbon reduction targets without sacrificing energy consumption [11][12]. Company Performance - Sany Heavy Energy reported a revenue of 8.594 billion CNY for H1 2025, a year-on-year increase of 62.75%, with a significant improvement in profitability expected due to higher-margin product sales [16][17]. - Guodian NARI achieved a revenue of 15.348 billion CNY in Q2 2025, reflecting a year-on-year growth of 22.50%, indicating robust demand in the new power system construction [17][18].

Investment Rating - The report maintains a "Buy" rating for Xiaomi Group with a target price of HKD 65.4 [5][7]. Core Insights - Xiaomi's recent product launch includes the Xiaomi 17 series smartphones, Pad 8, smart home appliances, routers, and a customized service for its automotive line, indicating a strong focus on innovation and ecosystem development [1][2]. - The company emphasizes its ongoing investment in hard technology, particularly in self-developed chips and smart vehicles, which are expected to support the development of a comprehensive "people-vehicle-home" ecosystem [1][4]. Summary by Sections Mobile Phones - The Xiaomi 17 series features competitive pricing and significant improvements in battery life, with the standard version priced at HKD 4,499 and the Pro version at HKD 4,999, which is a reduction of HKD 300 from the previous model [2]. - The new series utilizes Qualcomm's Snapdragon 8 Elite chip, manufactured with TSMC's 3nm process, and boasts a battery life improvement of 109% for the standard model compared to the iPhone 17 [2]. Automotive - Xiaomi introduced a customization service for its automotive line, allowing for personalized options for the SU7 Ultra and YU7 Max models, which is expected to attract high-end users and enhance brand prestige [3]. - The gross margin for Xiaomi's automotive and AI innovation business reached 26.4% in Q2 2025, an increase of 11 percentage points year-over-year, indicating a positive trend in profitability [3]. Annual Presentation - Founder Lei Jun highlighted the company's advancements in self-developed chips and electric vehicles since 2021, showcasing the successful launch of the Xuanjie SoC chip and the SU7 Ultra model, which has achieved notable performance metrics [4]. Profit Forecast and Valuation - The report projects Xiaomi's net profit for 2025-2027 to be RMB 443.1 billion, RMB 526.3 billion, and RMB 671.2 billion respectively, maintaining a target price of HKD 65.4 based on a sum-of-the-parts (SOTP) valuation method [5][42].

Group 1: Petrochemical Industry - The PTA industry in China is showing signs of a turning point as the expansion cycle ends, with production capacity increasing by 80% since 2020 and maintaining a healthy operating rate due to growing demand in textiles and consumer goods [2] - The industry has faced low profitability for 13 years, primarily due to the promotion of new technologies leading to increased competition since 2018 [2] - By 2025, the CR5 of the PTA industry in China is expected to reach 70%, with leading companies having a high proportion of new technology capacity, and no new capacity expected to be added in 2026-2027, indicating potential for industry optimization [2] Group 2: Nonferrous Metals - The Grasberg copper mine, the second largest globally, has ceased operations due to an accident, which is projected to reduce copper output by 200,000 tons in 2025 and 270,000 tons in 2026 [3] - Additionally, the Kamoa-Kakula mine's shutdown may also impact copper production in 2026, leading to a significant improvement in the supply-demand balance for copper in Q4 2025 and 2026 [3] - As a result, copper prices are expected to strengthen [3] Group 3: Construction Materials - The Ministry of Industry and Information Technology of China has issued a plan for stable growth in the construction materials industry for 2025-2026, emphasizing the resolution of structural contradictions rather than specific growth targets [3] - The plan includes detailed measures for capacity regulation and management across different sub-industries, with increasing demands for digitalization and greening in the industry [3] - The report remains optimistic about breakthroughs in the cement industry and recommends companies such as Huaxin Cement A, Shangfeng Cement, and Conch Cement A [3] Group 4: Key Companies - Micron Technology reported FY25Q4 revenue of $11.3 billion, a 46% year-over-year increase, exceeding Bloomberg's expectations, with adjusted net profit of $3.47 billion and adjusted EPS of $3.03 [4] - The company anticipates FY26Q1 revenue between $12.2 billion and $12.8 billion, with a non-GAAP gross margin of 50.5%-52.5% [4] - Despite the positive earnings report, concerns about increased competition in HBM technology may pressure Micron's market position [4] Group 5: Other Companies - Nine Dragons Paper achieved FY2025 revenue of 63.24 billion yuan, a 6.3% year-over-year increase, and a net profit of 1.77 billion yuan, reflecting a 135.4% increase due to its integrated pulp and paper layout [5] - The company is expected to continue solidifying its cost advantages as it advances its integrated pulp and paper strategy [5] - Wanhua Chemical anticipates a net profit of 340-420 million yuan for the first three quarters, representing a 70%-110% year-over-year increase, driven by strong demand for PVA optical films and automotive-grade PVB films [5]

Group 1: Fixed Income and Market Trends - Recent market volatility has prompted a reassessment of asset win rates and odds, suggesting a focus on high win-rate assets aligned with macro and industry trends, such as large-cap tech stocks, gold, and non-ferrous metals [2] - Low-position left-side bets on high-odds assets are recommended, maintaining trading activity while waiting for opportunities to materialize, including investments in Chinese bonds, USD, and black commodities [2] Group 2: A-Share Market Insights - A-share market is currently experiencing a sideways trend, with liquidity-driven market sentiment being a key influence on performance [3] - On the demand side, trading funds remain active, with financing activity nearing historical highs, while the supply side faces limited impact from major shareholder reductions and unlocks [3] - Positive sentiment indicators suggest a cautiously optimistic outlook, although valuation differentiation is rising, indicating a need to monitor fund allocation strategies [3] Group 3: Financial Sector Developments - The financial sector is witnessing improvements in market mechanisms and a stable monetary policy stance, with significant achievements in the "14th Five-Year Plan" for financial development [4] - The total market capitalization of A-shares has surpassed 100 trillion yuan, indicating enhanced market resilience and risk management capabilities [4] - Structural opportunities in finance are highlighted, particularly in securities and banking sectors, with recommendations for stocks that offer better valuation and potential for recovery [4] Group 4: Japanese Gaming Industry Analysis - Japan's gaming industry, a pioneer with over 40 years of history, is the third-largest globally, characterized by leading firms leveraging classic IP to create cross-media ecosystems that enhance global influence and resilience [7] - Key strategies include multi-platform distribution and a focus on local creativity and operations to penetrate overseas markets, providing valuable insights for Chinese firms looking to expand internationally [7] Group 5: Company-Specific Insights - Shanghai Port Bay (605598 CH) is expected to see a turning point in its main business, with a robust order book and anticipated revenue growth in the second half of the year, particularly in the commercial aerospace sector [8] - Tencent Holdings (700 HK) has upgraded its AI infrastructure and launched a comprehensive agent strategy, enhancing its SaaS offerings and positioning for growth in vertical industries [9]

Group 1: Market Overview - The A-share market is currently experiencing a period of volatility, with liquidity and market sentiment being key factors influencing its performance [2][4] - Recent data indicates that financing activity is approaching historical highs, with private equity fund registrations returning to mid-July levels and new public fund issuance maintaining around 20 billion [2][4] - The market's ability to break through its current plateau will depend on the continued inflow of public and foreign investment funds [2][4] Group 2: Fixed Income Insights - Since 2024, the structure of credit floating rate bonds has adjusted, with a notable increase in corporate issuances and a contraction in asset-backed securities (ABS) [3] - Floating rate bonds are characterized by their interest rates that follow benchmark rates, providing a defensive advantage, especially during periods of rising rates [3] - The performance of floating rate bonds has lagged behind fixed rate bonds in recent years, suggesting that better investment opportunities may arise when the funding environment tightens [3] Group 3: Real Estate and Construction - In the third week of September, both new and second-hand housing markets showed signs of recovery, particularly in first-tier cities following policy relaxations [4][16] - The construction sector is witnessing an increase in industrial activity, with freight volumes remaining high and coal consumption showing a downward trend [4] - The demand for cement remains stable, while supply is at low levels, indicating a potential for price recovery in the construction materials market [4] Group 4: Energy and New Energy Equipment - In August 2025, China's inverter exports reached 6.29 billion, with a notable demand driven by energy transitions in India and subsidy plans in Australia [7] - The long-term demand for inverters is expected to be supported by rising electricity prices and increased installations of renewable energy sources [7] - The report recommends leading companies in the sector, such as Sungrow Power Supply and DeYe Shares, as having strong performance support [7] Group 5: Transportation and Logistics - Despite August being a traditional off-peak season for e-commerce and express delivery, the industry is experiencing a rebound in demand due to competitive pressures [8] - The report highlights a marginal slowdown in package volumes, but anticipates a price increase as the peak season approaches, which could enhance profitability [8] - Recommended companies in the logistics sector include Shentong Express and YTO Express, with a focus on those benefiting from price increases and strong overseas growth [8] Group 6: Consumer Goods and Retail - The snack retail sector is evolving from rapid expansion to consolidation, with new retail formats emerging in response to changing consumer preferences [13] - The report discusses the competitive landscape of various retail formats, including discount stores and community shops, and their impact on traditional retail channels [13] - Companies like Youyou Foods are highlighted for their strategic positioning in the market, aiming for significant revenue growth through innovative product offerings [13] Group 7: Construction Materials - The report discusses the outlook for specialty electronic fabrics, driven by trends in AI and high-end PCB materials [14] - The demand for low thermal expansion and high-performance materials is expected to grow, with recommendations for companies like China Jushi and China National Materials [14] - The report emphasizes the importance of product upgrades in meeting the evolving needs of the electronics industry [14] Group 8: Company Ratings and Recommendations - New Hongji Real Estate has been rated "Buy" with a target price of 111.51 HKD, supported by its significant land reserves and upcoming project deliveries [17] - Youyou Foods has also received a "Buy" rating with a target price of 15.60 CNY, reflecting its strong market position in the snack sector [19] - The report indicates a positive outlook for companies with robust growth strategies and market adaptability [19]

Group 1: Global Fiscal Dominance - The global economy is entering a new era of fiscal dominance, driven by structural imbalances and the need for fiscal policy to address various societal demands[1] - Countries like France, the UK, and Japan are facing political challenges to fiscal tightening, leading to a necessary shift towards fiscal expansion[1] - In China, fiscal measures are crucial to address internal supply-demand issues, especially given the diminishing effectiveness of monetary policy[1] Group 2: Strategic Significance of Fiscal Expansion - Fiscal expansion is increasingly seen as strategically important in the context of global order reconstruction, including areas like AI, trade restructuring, and national defense[2] - A potential "fiscal dominance + monetary cooperation" model may emerge, where government fiscal deficits significantly increase, compelling central banks to adapt their policies accordingly[2] Group 3: Regional Fiscal Trends - In the US, the "Big and Beautiful" Act is projected to increase federal deficits by $4.1 trillion, with a deficit rate expected to be around 7% next year[3] - European countries are expected to see marginal fiscal loosening, particularly in defense spending, with Germany leading the way with a projected increase in defense spending of approximately €5.5 billion[5] - China's fiscal policy is expected to remain proactive, with a broad deficit rate likely to stay at high levels, supported by various policy measures aimed at boosting demand[8] Group 4: Implications for Global Economy and Markets - The combination of fiscal dominance and monetary cooperation is expected to support global economic growth, with a potential recovery in the global manufacturing cycle[12] - Increased fiscal spending is likely to focus on defense, infrastructure, and supply chain security, which may create cyclical opportunities in physical assets and commodities[12] - The fiscal expansion and monetary cooperation are anticipated to positively influence liquidity and profitability in global markets, particularly benefiting sectors sensitive to interest rates[13]