Quantitative Models and Construction Methods 1. Model Name: Liquidity Impact Coefficient Model - **Model Construction Idea**: This model measures the liquidity impact of index adjustments on individual stocks by calculating the ratio of net fund flows to the stock's recent average daily trading volume[12][13] - **Model Construction Process**: The liquidity impact coefficient for a stock is calculated as follows: $$ impact_{i} = \sum_{k=1}^{N} \frac{\Delta weight_{k,i} \times AUM_{k}}{amt\_avg_{i,20}} $$ - \( \Delta weight_{k,i} \): Estimated weight change of stock \( i \) in index \( k \) - \( AUM_{k} \): Total assets under management of passive products tracking index \( k \) as of the end of November - \( amt\_avg_{i,20} \): Average daily trading volume of stock \( i \) over the past 20 trading days as of the end of November[12][13] - **Model Evaluation**: The model provides a quantitative framework to estimate short-term liquidity shocks caused by index adjustments, but it is subject to data discrepancies and assumptions, which may lead to deviations from actual results[13] --- Model Backtesting Results Liquidity Impact Coefficient Model - **Top 5 Stocks with Highest Positive Impact Coefficients**: - Zhangjiagang Bank (002839 CH): 11.55[15] - Jiangzhong Pharmaceutical (600750 CH): 11.44[15] - Tower Group (002233 CH): 11.04[15] - Jichuan Pharmaceutical (600566 CH): 10.14[15] - Zhengbang Technology (002157 CH): 9.99[15] - **Top 5 Stocks with Highest Negative Impact Coefficients**: - Shenzhen Expressway (600548 CH): -24.95[16] - Vanward Electric (002543 CH): -20.90[16] - Aviation Materials (688563 CH): -14.06[16] - Huaxi Biology (688363 CH): -10.81[16] - Ninghu Expressway (600377 CH): -10.54[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Net Fund Flow Factor - **Factor Construction Idea**: This factor estimates the net fund inflow or outflow for stocks due to index adjustments, based on changes in index weights and the total AUM of passive products tracking the index[9][10] - **Factor Construction Process**: - Outflow Amount: Total AUM of linked products multiplied by the stock's actual weight in the index as of the end of November - Inflow Amount: Total AUM of linked products multiplied by the estimated weight of the stock in the index post-adjustment - Weight estimation is based on free-float market capitalization and index-specific weighting rules, such as dividend yield weighting or market capitalization weighting[9][10] - **Factor Evaluation**: The factor provides a transparent and systematic approach to estimate fund flows, but it is sensitive to assumptions about future index weights and AUM changes[9][10] --- Factor Backtesting Results Net Fund Flow Factor - **Top 5 Stocks with Highest Net Fund Inflows**: - Victory Precision (300476 CH): 112.61 billion CNY[10] - Dongshan Precision (002384 CH): 99.32 billion CNY[10] - Guangqi Technology (002625 CH): 77.81 billion CNY[10] - Sugon Information (603019 CH): 65.44 billion CNY[10] - Top Group (601689 CH): 53.07 billion CNY[10] - **Top 5 Stocks with Highest Net Fund Outflows**: - China Mobile (600941 CH): -40.02 billion CNY[11] - CRRC Corporation (601766 CH): -36.40 billion CNY[11] - Aluminum Corporation of China (601600 CH): -34.29 billion CNY[11] - TCL Zhonghuan (002129 CH): -30.07 billion CNY[11] - Huagong Tech (000988 CH): -27.44 billion CNY[11]

Investment Rating - The report maintains an "Overweight" rating for the real estate and property management sectors, indicating a positive outlook for the industry [2]. Core Insights - The initiation of commercial real estate REITs (Real Estate Investment Trusts) by the China Securities Regulatory Commission (CSRC) is expected to significantly enhance the development potential of commercial real estate in China, with a market space exceeding 10 trillion yuan [2]. - The planned commercial real estate REITs will complement existing infrastructure REITs, creating a comprehensive public REITs market in China, where the market capitalization of holding-type real estate and infrastructure assets accounts for approximately 60% and 40% globally [2]. - The pilot program for commercial real estate REITs aims to broaden the underlying asset base to include office buildings and hotels, thereby expanding the scope of asset revitalization [2]. - The establishment of a multi-tiered market for commercial real estate asset securitization will facilitate direct financing for enterprises, optimize capital structures, and provide new options for strategic transformation from developers to asset managers [2]. - The commercial real estate REITs are seen as a crucial vehicle for constructing a new development model in the real estate sector, emphasizing the operational and sustainable development of existing assets [2]. Summary by Sections Investment Opportunities - The report highlights two major opportunities: the elevation of housing policies and the favorable performance of quality commercial enterprises during a monetary easing cycle, which may lead to a revaluation of consumer-oriented commercial real estate assets [2]. - Recommended companies include: 1. Commercial Real Estate: China Resources Land, New Town Holdings, Kerry Properties, Longfor Group, with a focus on Swire Properties and New Town Development 2. Quality Housing Enterprises: Jianfa International, Binjiang Group, China Jinmao, Greentown China 3. Undervalued Recovery Enterprises: Jianfa Shares, China Merchants Shekou, Yuexiu Property, China Overseas Development, Poly Developments 4. Property Management: China Resources Vientiane, Greentown Services, China Merchants Jinling, Poly Property, China Overseas Property 5. Second-hand Housing Agencies: Beike-W, with a focus on I Love My Home [2]. Market Context - The report notes that while the real estate sector in China is expected to continue facing challenges, core cities are likely to stabilize sooner, indicating a potential turning point for the market [2].

Investment Rating - The report maintains an "Overweight" rating for the commercial real estate REITs sector, indicating a positive outlook for investment opportunities in this area [3]. Core Insights - The China Securities Regulatory Commission (CSRC) has initiated a pilot program for commercial real estate investment trusts (REITs), which is expected to significantly enhance the valuation of quality commercial assets [3]. - The potential market for public REITs in China is estimated to exceed 10 trillion yuan, with the current market size at 219.9 billion yuan, of which commercial real estate accounts for 130.9 billion yuan, indicating substantial growth potential [3]. - The pilot program aims to create a multi-tiered market for commercial real estate asset securitization, which will help in revitalizing existing assets, mitigating risks, and facilitating corporate transformation [3]. - The new model of real estate development emphasizes the operational management of existing assets rather than new construction, aligning with the broader economic goals of sustainable development [3]. Summary by Sections Pilot Program Overview - The CSRC has launched a pilot for commercial real estate REITs, which will include a wider range of underlying assets such as office buildings and hotels, thereby expanding the asset revitalization scope [3]. Market Potential - The global REIT market is characterized by a significant proportion of holding-type real estate and infrastructure assets, with market values approximately 60% and 40% respectively [3]. - The report highlights that the commercial real estate REITs pilot will complement existing infrastructure REITs, forming a complete public REITs market in China [3]. Strategic Implications - The introduction of commercial real estate REITs is seen as a critical step in transitioning the real estate sector from a developer-focused model to an asset management-oriented approach, which is essential for high-quality development [3]. - The report identifies two key opportunities: the favorable policy environment for quality housing and the strong performance of quality commercial enterprises during a period of monetary easing [3]. Investment Recommendations - The report recommends several companies for investment, including: - Commercial real estate: China Resources Land, New Town Holdings, Kerry Properties, Longfor Group, with a focus on Swire Properties and New Town Development [3]. - Quality housing companies: Jianfa International, Binjiang Group, China Jinmao, and Greentown China [3]. - Undervalued companies: Jianfa Shares, China Merchants Shekou, Yuexiu Property, China Overseas Development, and Poly Developments [3]. - Property management: China Resources Vientiane, Greentown Services, China Merchants Jinling, Poly Property, and China Overseas Property [3]. - Second-hand housing intermediaries: Beike-W, with attention to I Love My Home [3].

Group 1 - The 25th issue of medium-term notes (MTN005) by Xiamen C&D Group Co., Ltd. was issued on November 24, 2025, with a maturity date of November 26, 2028, and an actual issuance amount of 1.5 billion yuan [1] - The bond has a fixed coupon rate of 2.33% and is set to pay interest annually, with a face value of 100 yuan [1] - The trading volume of the bond reached 1.74 billion yuan on the closing date of November 27 [1] Group 2 - Xiamen C&D Group Co., Ltd. was established in 2000 and is primarily engaged in business services, with a registered capital of 1 billion yuan and a paid-in capital of 900 million yuan [1] - The company has made investments in 53 enterprises and participated in 107 bidding projects, holding 913 trademark registrations and 1 patent [2] - Additionally, the company possesses 39 administrative licenses [2]

Core Insights - The 2025 Fujian Top 100 Enterprises list was announced, with the entry threshold reaching 10.6 billion yuan, significantly up from 10.071 billion yuan last year [1] - Total assets have seen positive growth for seven consecutive years, with an increase of over 80% and an average annual compound growth rate of nearly 9% [1] Group 1: Regional Distribution - Fuzhou leads with 41 companies, an increase of one from last year [1] - Xiamen follows with 26 companies, a decrease of one [1] - Quanzhou and Zhangzhou each have 10 companies, ranking third in the province [1] - Other cities include Ningde with 4, Putian with 3, and Longyan, Nanping, and Sanming each with 2 [1] Group 2: Company Types - The list includes 49 state-owned enterprises, 46 private enterprises, 3 foreign enterprises, and 2 joint ventures [1] Group 3: Industry Distribution - Manufacturing leads with 50 companies, followed by the service industry with 41, and construction with 7 [1] Group 4: Notable Companies - Notable companies include Yonghui Supermarket, Anta Sports, Dell (China), Pupu Technology, Sanan Optoelectronics, and Hengan Group [3] - The top ten companies saw an entry threshold increase from 103.009 billion yuan to 109.63 billion yuan, a growth of 6.4% [3] Group 5: Key Performers - Ningde Times remains fifth on the list despite a 9.7% revenue decline to 362.013 billion yuan, leading the manufacturing sector [5] - The company has maintained the highest global sales volume of power batteries for eight consecutive years and energy storage batteries for four years [5] - The global power battery installation volume increased by 34.7% to 811.7 GWh in the first three quarters of 2025, with Ningde Times holding a 36.6% market share [5] Group 6: Leading Enterprises - Jianfa Group, Guomao Holdings, and Xiangyu Group occupy the top four positions in both the overall and service industry rankings [7] - Jianfa Group, established in 1980, has a total asset scale exceeding 830 billion yuan and operates in five major sectors [7] - Jianfa Group's core subsidiary reported a revenue of 498.98 billion yuan, with a slight decline in net profit [7]

Core Insights - The Shanghai new housing market is undergoing a significant adjustment, with a focus on quality and structural differentiation as the new norm following the implementation of the "Good House" regulations on September 26 [1][5] - The launch of Jianfa Haichen, the first "lighthouse" project in Shanghai by Jianfa Real Estate, marks a pivotal moment in the market, showcasing the company's innovative approach to high-quality housing [1][6] Market Dynamics - The new housing market in Shanghai is experiencing a deep adjustment, with a clear trend towards quality enhancement and structural differentiation [1] - The "Good House" regulations are encouraging upgrades in design aspects such as balconies and facades, leading to increased market expectations for quality [1] Project Overview - Jianfa Haichen is located in the New Jiangwan City, an area recognized for its ecological advantages and proximity to top educational institutions and businesses, enhancing its appeal to high-quality residents [2][4] - The project has a total area of approximately 100,000 square meters with a low plot ratio of 1.55, featuring a mix of 10 small high-rise buildings and 30 low-rise villas, catering to a diverse range of buyers [5][6] Sales Performance - Jianfa Haichen achieved a remarkable 128% subscription rate during its first launch on September 30, setting multiple sales records for high-value projects in Shanghai [5] - The project continues to attract attention with its ongoing sales and the opening of a real-life display area, reinforcing its status in the market [5] Product Features - The project emphasizes high-quality living standards with features such as multiple balconies, efficient space utilization, and premium finishes, including top-tier kitchen and bathroom fixtures [6][7] - Jianfa Haichen incorporates cultural elements and craftsmanship, reflecting a unique "Sea-Pai Oriental" aesthetic that blends global styles with traditional Chinese culture [6][7] Strategic Framework - Jianfa Real Estate's "Lighthouse Strategy" aims to innovate housing products by focusing on customer needs and integrating cultural, value, strategy, and technology dimensions [6][7] - The company has developed a six-dimensional value system to enhance the living experience, emphasizing safety, comfort, and sustainability in its housing offerings [7]

Core Insights - The China Securities State-Owned Enterprises Dividend Index has shown a slight increase of 0.15% as of November 25, 2025, with notable gains in constituent stocks such as Fujian Expressway, which rose by 9.97% [1] - The National Enterprise Dividend ETF (159515) has also increased by 0.26%, indicating a positive trend in dividend-focused investments [1] - Market sentiment is under pressure due to a lack of performance policies and fluctuating expectations regarding the Federal Reserve's interest rate decisions, leading to a focus on dividend assets [1] Market Performance - The National Enterprise Dividend ETF recorded a turnover rate of 0.06% with a transaction volume of 27,200 yuan, and an average daily transaction volume of 3.54 million yuan over the past week [1] - The overall industry prosperity index continued to decline in October, but at a slower rate, with essential consumption, midstream manufacturing, and large financial sectors showing the most improvement [1] Investment Strategy - The dividend strategy is highlighted as a foundational investment approach, focusing on high dividend yields and stable cash flows from quality enterprises, which can provide continuous cash flow and long-term compounding potential [1] - A balanced investment approach is recommended, incorporating growth, cyclical, and dividend assets to identify opportunities with improving industry conditions and relatively low valuations [1] Index Composition - The China Securities State-Owned Enterprises Dividend Index comprises 100 listed companies selected for their high and stable cash dividend yields, reflecting the overall performance of high-dividend securities among state-owned enterprises [2] - As of October 31, 2025, the top ten weighted stocks in the index accounted for 17.08% of the total index weight, including companies like COSCO Shipping Holdings and Agricultural Bank of China [2]

Core Viewpoint - The logistics sector experienced a slight decline of 0.04% on November 24, with Jianfa Co. leading the losses, while the Shanghai Composite Index rose by 0.05% and the Shenzhen Component Index increased by 0.37% [1][2]. Summary by Category Market Performance - The logistics sector's performance was mixed, with Jianfa Co. reporting a significant drop of 5.31% in share price, closing at 10.17 yuan [2]. - The overall market saw the Shanghai Composite Index close at 3836.77 points and the Shenzhen Component Index at 12585.08 points, reflecting minor gains [1]. Individual Stock Movements - Notable gainers in the logistics sector included: - ST Haiqin, up 3.79% to 8.22 yuan with a trading volume of 84,700 shares and a turnover of approximately 17 million yuan [1]. - XinNing Logistics, up 2.21% to 4.17 yuan with a trading volume of 205,600 shares and a turnover of about 8.5 million yuan [1]. - Conversely, significant decliners included: - Jianfa Co., down 5.31% with a trading volume of 555,100 shares and a turnover of 574 million yuan [2]. - Longzhou Co., down 4.90% with a trading volume of 1,256,700 shares and a turnover of approximately 681 million yuan [2]. Capital Flow - The logistics sector saw a net outflow of 127 million yuan from institutional investors, while retail investors contributed a net inflow of 106 million yuan [2][3]. - Specific stock capital flows indicated: - SF Holding had a net inflow of 29.94 million yuan from institutional investors, while it faced a net outflow of 52.47 million yuan from speculative funds [3]. - Jianfa Co. experienced a net inflow of 22.95 million yuan from institutional investors but a net outflow of 31.64 million yuan from retail investors [3].

Investment Rating - The industry maintains an "Overweight" rating, with a focus on real estate-related stocks due to expected policy support and market recovery [5][7]. Core Insights - The report emphasizes the need for urban renewal, highlighting the government's commitment to improving living conditions and urban infrastructure, which is expected to support high-quality urban development [2][12]. - The real estate market is showing signs of pressure, with new home sales in 30 cities down 38.2% year-on-year, despite a 6.5% month-on-month increase [3][27]. - The report suggests that the competitive landscape in the real estate sector is improving, with leading state-owned enterprises and select private firms expected to benefit from favorable policies and market conditions [5]. Summary by Sections 1. Market Overview - The real estate index decreased by 5.8% this week, underperforming the CSI 300 index by 2.06 percentage points, ranking 20th among 31 sectors [2][16]. 2. New Home Sales - In the latest week, new home sales in 30 cities totaled 169.3 million square meters, with a year-on-year decline of 38.2% and a month-on-month increase of 6.5% [3][27]. - Year-to-date, new home sales in these cities have reached 85.89 million square meters, down 9.7% year-on-year [33]. 3. Second-Hand Home Sales - Second-hand home sales in 14 cities totaled 199.9 million square meters, down 12.6% year-on-year and slightly down 0.2% month-on-month [38][39]. - Cumulatively, second-hand home sales for the year have increased by 9.9% [38]. 4. Credit Bond Issuance - A total of 9 credit bonds were issued by real estate companies this week, amounting to 4.71 billion yuan, with a net financing amount of -1.79 billion yuan [4][48]. 5. Investment Recommendations - The report recommends focusing on companies with strong fundamentals and those benefiting from urban renewal policies, including both state-owned and select private enterprises [5].

Market Overview - The logistics sector experienced a decline of 1.86% on November 21, with Longzhou Co. leading the drop [1] - The Shanghai Composite Index closed at 3834.89, down 2.45%, while the Shenzhen Component Index closed at 12538.07, down 3.41% [1] Individual Stock Performance - Jianfa Co. (600153) saw an increase of 2.58% in its closing price at 10.74, with a trading volume of 503,600 shares and a transaction value of 538 million [1] - Longzhou Co. (002682) reported a significant drop of 9.92%, closing at 5.72, with a trading volume of 1,066,100 shares and a transaction value of 614 million [2] - Other notable declines included Pulu Tong (002769) down 6.56% and Tiensheng Co. (002800) down 6.48% [2] Capital Flow Analysis - The logistics sector experienced a net outflow of 746 million from institutional investors, while retail investors saw a net inflow of 401 million [2] - The data indicates that speculative funds had a net inflow of 344 million [2] Detailed Capital Flow for Selected Stocks - Guanghui Logistics (600603) had a net inflow of 16.10 million from institutional investors, while it faced a net outflow of 10.09% from speculative funds [3] - Hongchuan Wisdom (002930) reported a net inflow of 6.75 million from institutional investors and a net inflow of 4.51 million from speculative funds [3] - New Ning Logistics (300013) had a net inflow of 1.75 million from institutional investors, with speculative funds showing a net inflow of 10.38 million [3]