证券研究报告 | 宏观定期报告 2025 年 10 月 19 日 中美预计举行新一轮经贸磋商 ——国际时政周评 回顾：中美计划举行新一轮经贸磋商；美俄元首通话并计划会晤。 未来一周：中美经贸会谈及中欧经贸关系；日本国内政治；美国内政及关税； 地缘冲突。 ❑ 上周时政回顾： 期美俄对于稳定双方关系仍有基础。 ❑ 未来一周关注： 魏芸 S1090522010002 weiyun@cmschina.com.cn 定期报告 敬请阅读末页的重要说明 1）何立峰与美国财政部长贝森特、贸易代表格里尔举行视频通话；预计中 美将举行新一轮经贸会谈。1）短期市场对中美贸易摩擦担忧缓解，助推 周五美股向上修复；本周纳斯达克指数上涨 2.1%。2）美方态度缓和符 合预期。特朗普对中国 100%额外关税威胁建立在对中国稀土政策不满 酝酿已久、谈判前创造筹码、国内政治压力下的政治表演需要等原因， 而中方态度始终如一，在美国短期难以对华硬脱钩的前提下，美方控制 摩擦烈度符合预期。3）但中美经贸谈判难度并未下降，新一轮经贸会谈 或聚焦框架性议题和短期成果。中美经贸谈判议程包含不同层次，如短 期风险议程、关税议程、非关税贸易壁垒与战略资源议程 ...

Group 1 - The report introduces a quantitative model solution for addressing the value-growth style switching issue, based on the combination of odds and win rates [1][8] - The recent performance of the growth style portfolio was -4.26%, while the value style portfolio returned -1.17% [1][8] Group 2 - The estimated odds for the growth style is 1.09, and for the value style, it is 1.12, indicating a negative correlation between relative valuation levels and expected odds [2][14] - The current win rate for the growth style is 63.24%, while the value style has a win rate of 36.76%, based on seven indicators [3][16] Group 3 - The latest investment expectation for the growth style is calculated to be 0.32, while the value style has an investment expectation of -0.22, leading to a recommendation for the growth style [4][18] - Since 2013, the annualized return of the style rotation model based on investment expectations is 27.59%, with a Sharpe ratio of 1.03 [4][19]

Investment Rating - The report maintains a "Recommended" rating for the automotive industry, indicating a positive outlook for the sector [5]. Core Insights - The automotive industry experienced a significant production and sales milestone in September, with production reaching 3.276 million vehicles and sales at 3.226 million vehicles, marking a year-on-year increase of 17.1% and 14.9% respectively. This is the first time production and sales have exceeded 3 million vehicles in the same month [1][2]. - The report highlights the effectiveness of the vehicle replacement policy and the recovery of previously paused regions, contributing to a robust market environment. The industry has seen continuous monthly growth rates above 10% for five consecutive months [1][2]. - The report notes that the automotive sector is undergoing positive changes, with new models being launched and a resilient foreign trade performance [1]. Market Performance Overview - The automotive sector index declined by 6.2% during the week of October 12 to October 18, underperforming compared to other sectors such as banking and coal [2][9]. - Within the automotive industry, all secondary segments experienced declines, with the auto parts segment seeing the most significant drop of 7.5% [11]. - The report provides a detailed performance review of individual stocks, noting that Haima Automobile and ST Meichen saw increases of 19.2% and 16.8% respectively, while Ningbo Huaxiang and Xinquan shares fell by 20.1% and 19.6% respectively [3][16]. Recent Industry Developments - The report outlines several key developments, including the successful listing process of Seres Group on the Hong Kong Stock Exchange and Tesla's expansion plans for its Shanghai factory [23][24]. - Strategic partnerships are highlighted, such as the collaboration between Changan Automobile and JD Group, aimed at enhancing their market presence [24]. - The report also mentions the launch of new vehicle models, including the flagship model from Leap Motor, which aims to set a new standard in the technology luxury SUV segment [27].

- The "Growth-Value Style Rotation Model" suggests overweighting growth stocks based on quantitative economic cycle analysis, where a high profit cycle slope and strong credit cycle favor growth, while high interest rate levels favor value. The model combines signals from fundamentals, valuation, and sentiment to recommend growth allocation[29][30][31] - The "Growth-Value Style Rotation Strategy" has achieved an annualized return of 13.10% since 2012, outperforming the benchmark's 7.77% annualized return. The strategy's annualized excess return is 5.33%, with a maximum drawdown of 43.07% compared to the benchmark's 44.13%[30][32] - The "Small-Cap vs Large-Cap Style Rotation Model" is constructed using 11 effective rotation indicators, including market sentiment concentration, Beta dispersion, and volatility risk. Currently, 7 indicators favor large-cap stocks, maintaining a recommendation to overweight large-cap style[33][34] - The "Small-Cap vs Large-Cap Style Rotation Strategy" has delivered an annualized excess return of 9.91% this year, with a shift from small-cap allocation in the first half to large-cap allocation in the second half. Since 2014, the strategy has consistently generated positive excess returns annually[34][35] - The "Short-Term Timing Strategy" integrates signals from fundamentals, valuation, sentiment, and liquidity. This week, the strategy turned cautious due to weak manufacturing PMI, high PE and PB valuation levels, and subdued market sentiment. Liquidity signals remain neutral[19][20][21] - The "Short-Term Timing Strategy" has achieved an annualized return of 16.52% since 2012, significantly outperforming the benchmark's 4.73%. The strategy's annualized excess return is 11.79%, with a maximum drawdown of 15.49% compared to the benchmark's 31.41%. This year, the strategy has delivered a return of 23.22%, with an excess return of 11.16%[21][24][27]

Investment Rating - The report maintains a recommendation for the AI sector, highlighting the scarcity advantage of domestic computing power and suggesting to focus on companies such as Cambrian, Haiguang Information, and Zhongke Shuguang [2][17]. Core Insights - The report emphasizes that domestic AI computing power is entering a phase of significant growth, with leading companies like Haiguang Information and Cambrian showing substantial revenue increases [6][16]. - Oracle's recent updates indicate a strong market confidence, with a remaining performance obligation (RPO) exceeding $500 billion and a diverse range of AI orders [10][11]. - The report notes that overseas tech companies are intensifying their innovations in the AI field, with significant investments and projects announced by Oracle, OpenAI, and Nvidia [12][24]. Industry Overview - The AI sector is experiencing robust growth, with Haiguang Information reporting a revenue of 9.49 billion yuan for the first three quarters of 2025, a year-on-year increase of 54.65%, and Cambrian reporting a staggering 2386.38% increase in revenue [16][17]. - The report highlights the performance of the AI application sector in China, suggesting a focus on companies like Meitu, Kuaishou, and Kingsoft for consumer-side applications, and ERP companies like Kingdee International and Yonyou for business-side applications [18][19]. - The overall market performance for the computer sector showed a decline of 5.61% in the third week of October 2025, with notable stock movements among various companies [20][21].

Investment Rating - The report maintains a strong buy recommendation for the company, indicating a strong expectation for the stock price to outperform the benchmark index by over 20% [4]. Core Views - The company is experiencing a continuous increase in the proportion of high value-added products, leading to an optimization of profitability and strong growth certainty. The visibility of performance is high, with a steady increase in global market share, reinforcing its position as an industry leader [2][4]. - The company reported Q3 2025 results that met expectations, with a revenue of 11.855 billion yuan, a year-on-year increase of 18.86%, and a net profit attributable to shareholders of 2.259 billion yuan, a year-on-year increase of 14.09% [1][2]. Financial Performance Summary - For the first three quarters of 2025, the company achieved a cumulative revenue of 33.302 billion yuan, a year-on-year increase of 17.62%, and a cumulative net profit of 7.064 billion yuan, a year-on-year increase of 28.93% [1][2]. - The basic earnings per share for the first three quarters was 2.71 yuan, a year-on-year increase of 29.05% [1]. - The report projects net profits for 2025, 2026, and 2027 to be 9.552 billion yuan, 10.809 billion yuan, and 12.495 billion yuan respectively, with corresponding PE ratios of 18.3, 16.1, and 14.0 [2][9]. Financial Data and Valuation - The total revenue for 2025 is estimated at 46.709 billion yuan, with a year-on-year growth of 19% [3][14]. - The company’s operating profit for 2025 is projected to be 11.534 billion yuan, with a year-on-year growth of 27% [3][14]. - The report indicates a steady improvement in profitability metrics, with gross margins expected to reach 38.5% by 2025 [14]. Management Transition - The report notes the transition of the chairman position from Mr. Cao Dewang to Mr. Cao Hui, who is well-prepared to lead the company into its next phase of development, ensuring continuity in management and strategic direction [2][8].

Revenue Insights - In September, general public budget revenue increased by 2.6% year-on-year, up from 2.0% in August[7] - Tax revenue saw a significant rise of 8.7% in September compared to 3.4% in August, while non-tax revenue dropped to -11.4% from -3.8%[7][9] Expenditure Trends - General public budget expenditure grew by 3.1% in September, improving from 0.8% in August[12] - Infrastructure-related expenditure showed a rebound, with energy-saving and environmental protection spending growing by 22.6% year-on-year, although down from 29.8% in August[13] Government Fund Dynamics - Government fund revenue increased by 5.6% in September, recovering from -5.7% in August, while local government fund revenue rose by 5.9% from -0.2%[18] - Government fund expenditure in September was up by 0.4%, a decrease from 19.8% in August, indicating a slower growth rate due to last year's high base[18] Fiscal Policy Outlook - The fiscal spending pace is expected to accelerate in Q4, with a focus on infrastructure projects and easing spending bottlenecks[22] - As of mid-October, new policy financial tools have been deployed exceeding 100 billion yuan, indicating a proactive fiscal stance[22]

1. Report Industry Investment Rating - No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - The report focuses on the performance of the ETF fund market from October 13th to October 17th, summarizing the performance and fund flows of the overall ETF market, different popular segmented ETF funds, and innovative theme and segmented industry ETF funds for investors' reference [1]. - During this period, most stock ETFs declined. Commodity ETFs had the largest increase, with an average gain of 9.05% for funds above a certain scale. Conversely, Hong Kong TMT ETFs, A-share TMT ETFs, and Hong Kong mid - stream manufacturing ETFs had significant drops, with average declines of 7.71%, 6.93%, and 6.93% respectively for funds above a certain scale [2][5]. - Funds flowed significantly into commodity ETFs and Hong Kong TMT ETFs, with net inflows of 20.745 billion yuan and 16.662 billion yuan respectively for the whole week. In contrast, bond ETFs and A-share large - cap ETFs had significant outflows, with net outflows of 13.897 billion yuan and 10.668 billion yuan respectively for the whole week [3][7]. 3. Summaries According to Relevant Catalogs 3.1 ETF Market Overall Performance - **Market Performance**: Most stock ETFs declined. Commodity ETFs led the increase, while Hong Kong TMT ETFs, A-share TMT ETFs, and Hong Kong mid - stream manufacturing ETFs had large drops [2][5]. - **Fund Flows**: Commodity ETFs and Hong Kong TMT ETFs saw large inflows, while bond ETFs and A-share large - cap ETFs had large outflows [3][7]. 3.2 Different Popular Segmented Type ETF Fund Market Performance - **A - share ETFs**: Include various types such as broad - based index (full - market, large - cap/super large - cap, small - and medium - cap, science and technology/growth enterprise board), industry (TMT, new energy, consumption, medicine, cycle, finance and real estate), SmartBeta (value, growth, dividend, free cash flow), and theme ETFs. Each type has different performance in terms of fund scale, weekly fund flow, weekly return, recent one - month return, and year - to - date return [15][16][17]. - **Hong Kong ETFs**: Comprise broad - based index, industry (TMT, mid - stream manufacturing, consumption, medicine, finance and real estate), SmartBeta (dividend), and theme ETFs, with different performance indicators [30][31][32]. - **Shanghai - Hong Kong - Shenzhen ETFs**: Include industry and theme ETFs, showing different performance [38][39]. - **US Stock ETFs**: Divided into broad - based index and industry ETFs, with corresponding performance [40][41]. - **Other QDII - ETFs (excluding Hong Kong/US stocks)**: Have different performance in terms of fund scale, weekly fund flow, etc. [42]. - **Bond ETFs**: Show different performance in terms of fund scale, weekly fund flow, and return [43]. - **Commodity ETFs**: Generally performed well, with significant inflows and high returns [44]. 3.3 Innovative Theme and Segmented Industry ETF Fund Market Performance - **TMT Innovative Themes**: Include themes such as animation and games, film and television, fintech, etc., with different weekly and year - to - date returns [46]. - **Consumption Segmented Industries**: Such as liquor, food and beverage, household appliances, etc., have different performance [47]. - **Medicine Segmented Industries**: Include vaccine biotechnology, traditional Chinese medicine, innovative drugs, etc., with different returns [48]. - **New Energy Themes**: Such as power utilities, green power, photovoltaic industry, etc., have different performance [49]. - **Central and State - owned Enterprise Themes**: Include various central and state - owned enterprise - related themes, with different weekly and year - to - date returns [50][51]. - **Stable Growth Themes**: Such as coal, real estate, non - ferrous metals, etc., have different performance [52]. - **Shanghai - Hong Kong - Shenzhen/Hong Kong Stock Connect Segmented Industries**: Include internet, securities, medicine, etc., with different returns [53]. - **Dividend/Dividend Low - Volatility Index Families**: Different dividend - related indexes have different performance [54]. - **Growth Enterprise Board Index Families**: Different growth enterprise board - related indexes have different performance [55].

1. Report Industry Investment Rating No information provided in the report. 2. Core View of the Report The report focuses on the performance of the quantitative fund market, summarizing the performance of major indices and quantitative funds in the past week, the overall performance and distribution of different types of public - offering quantitative funds, and the top - performing quantitative funds this week. During the week from October 13th to October 17th, 2025, the A - share market declined across the board, while index - enhanced funds recorded positive excess returns [1][2][6]. 3. Summary by Directory 3.1 Near - Week Performance of Major Indices and Quantitative Funds - A - shares declined across the board. The one - week returns of the CSI 300, CSI 500, and CSI 1000 were - 2.22%, - 5.17%, and - 4.62% respectively [3][6]. - Both active quantitative and market - neutral funds recorded negative returns. Active quantitative funds fell by an average of 2.94%, and market - neutral funds fell by an average of 0.12%. All types of index - enhanced funds had negative absolute returns but slightly outperformed their corresponding indices. The CSI 300, CSI 500, CSI 1000, and other index - enhanced funds achieved excess returns of 0.05%, 0.81%, 0.57%, and 0.37% respectively [4][9]. 3.2 Performance of Different Types of Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced Funds**: The one - week return was - 2.17%, with an excess return of 0.05%. The maximum drawdown was - 2.15%, and the excess maximum drawdown was - 0.36% [14]. - **CSI 500 Index - Enhanced Funds**: The one - week return was - 4.35%, with an excess return of 0.81%. The maximum drawdown was - 3.97%, and the excess maximum drawdown was - 0.27% [14]. - **CSI 1000 Index - Enhanced Funds**: The one - week return was - 4.06%, with an excess return of 0.57%. The maximum drawdown was - 3.74%, and the excess maximum drawdown was - 0.30% [15]. - **Other Index - Enhanced Funds**: The one - week return was - 3.73%, with an excess return of 0.37%. The maximum drawdown was - 3.68%, and the excess maximum drawdown was - 0.32% [15]. - **Active Quantitative Funds**: The one - week return was - 2.94%, and the maximum drawdown was - 2.95% [16]. - **Market - Neutral Funds**: The one - week return was - 0.12%, and the maximum drawdown was - 0.33% [16]. 3.3 Performance Distribution of Different Types of Public - Offering Quantitative Funds The report presents the performance trends of different types of public - offering quantitative funds in the past half - year, as well as the performance distribution in the past week and the past year. Index - enhanced funds show their excess return performance [17]. 3.4 High - Performing Funds of Different Types of Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced High - Performing Funds**: The sample - mean one - week excess return was 0.05%. Western Securities CSI 300 Index - Enhanced had a one - week excess return of 1.04% [27]. - **CSI 500 Index - Enhanced High - Performing Funds**: The sample - mean one - week excess return was 0.81%. Shenwan Hongyuan CSI 500 Index - Enhanced had a one - week excess return of 3.46% [28]. - **CSI 1000 Index - Enhanced High - Performing Funds**: The sample - mean one - week excess return was 0.57%. Mingya CSI 1000 Index - Enhanced had a one - week excess return of 1.81% [29]. - **Other Index - Enhanced High - Performing Funds**: The sample - mean one - week excess return was 0.37%. Huashang Shanghai Science and Technology Innovation Board Composite Index - Enhanced had a one - week excess return of 2.18% [30]. - **Active Quantitative High - Performing Funds**: The sample - mean one - week return was - 2.94%. Tianzhi Core Growth had a one - week return of 3.76% [31]. - **Market - Neutral High - Performing Funds**: The sample - mean one - week return was - 0.12%. ICBC Absolute Return had a one - week return of 1.17% [32].

Investment Rating - The report maintains a positive outlook on the banking sector, suggesting that several banks are undervalued based on their asset quality and excess provisioning metrics [4][3]. Core Insights - The valuation premium of banks typically arises from their middle-income and liability advantages, while valuation discounts are often due to concerns over asset quality [2][10]. - The report introduces two key indicators: "broad non-performing asset ratio" and "excess provisioning profit multiple" to objectively assess and compare the current asset quality status of banks [2][10]. - A total of 56 AH-listed banks are analyzed, expanding from the previous report's focus on 42 A-share listed banks, to provide a comprehensive overview of excess provisioning levels and trends [2][10]. Summary by Sections 1. Introduction: Significance of Asset Quality - The report emphasizes the importance of objectively assessing asset quality, as it significantly impacts bank valuations and performance [10]. 2. How to Objectively Assess Bank Non-Performing Assets - Traditional asset quality indicators may not accurately reflect the true provisioning situation due to inconsistent standards and incomplete coverage of assets [14]. - The report proposes a "broad non-performing asset ratio" to better capture the credit risk within banks [14][15]. 3. Construction of Excess Provisioning Profit Multiple Indicator - The excess provisioning profit multiple is constructed to measure the performance elasticity of banks, indicating their potential for future earnings recovery [7][14]. - The report highlights that banks with higher excess provisioning ratios, such as Hangzhou Bank, show strong risk mitigation capabilities [7][14]. 4. Valuation from the Perspective of Broad Excess Provisioning - The long-term correlation between bank valuation levels and ROE is noted, with excess provisioning contributing to performance and valuation improvements [3][4]. - Several banks, including Wuxi Bank and Agricultural Bank (H), are identified as being significantly above the PB-excess provisioning profit multiple regression line, indicating potential investment opportunities [3][4].