Quantitative Models and Construction Methods - **Model Name**: Convertible Bond Pricing Deviation Model **Construction Idea**: The model measures the valuation level of convertible bonds based on pricing deviation, defined as the difference between the market price and the theoretical price derived from the CCBA model[6][11] **Construction Process**: - Formula: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCBA\ Model\ Price} - 1 $ - Parameters: Convertible bond price represents the market price, and CCBA model price represents the theoretical price adjusted for redemption probability[6][11] **Evaluation**: The model effectively identifies high valuation levels in the convertible bond market, providing insights for timing and allocation strategies[6][11] - **Model Name**: Convertible Bond & Equity-Bond Rotation Strategy **Construction Idea**: The strategy allocates between convertible bonds and a 50% equity-50% bond portfolio based on valuation levels, aiming to achieve stable excess returns[9][11] **Construction Process**: - Formula: $ Z\ Value = \frac{Pricing\ Deviation}{3\ Year\ Standard\ Deviation} $ - Adjustments: Apply ±1.5 standard deviation truncation, divide by -1.5 to calculate the score, and determine convertible bond weight as $ Convertible\ Bond\ Weight = 50\% + 50\% \times Score $ - Remaining allocation is invested in the equity-bond portfolio[11] **Evaluation**: The strategy demonstrates stable excess returns during periods of undervaluation, while reducing exposure during overvaluation[11][15] Model Backtesting Results - **Convertible Bond Pricing Deviation Model**: Current pricing deviation is 4.92%, ranking at the 98.6% percentile since 2018[6][11] - **Convertible Bond & Equity-Bond Rotation Strategy**: - Annualized return: 9.7% - Excess return: 11.5% - Information ratio (IR): 2.00[11][15] Quantitative Factors and Construction Methods - **Factor Name**: CCB_out Pricing Deviation **Construction Idea**: Adjust the CCBA pricing model by incorporating delisting risk to refine valuation deviation[22] **Construction Process**: - Formula: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCB\_out\ Model\ Price} - 1 $ - Parameters: CCB_out model price includes adjustments for delisting risk[22] **Evaluation**: The factor enhances the accuracy of valuation deviation, supporting low-valuation strategies[22] - **Factor Name**: Stock Momentum **Construction Idea**: Combine stock momentum scores over 1, 3, and 6 months to identify high-momentum convertible bonds[25][28] **Construction Process**: - Formula: $ Momentum\ Score = Equal\ Weighted\ Average\ of\ 1, 3, 6\ Month\ Returns $ - Parameters: Historical stock returns over specified periods[25][28] **Evaluation**: The factor improves strategy elasticity and enhances returns during strong market trends[25][28] - **Factor Name**: Convertible Bond Turnover **Construction Idea**: Select convertible bonds with high trading activity to capture liquidity premiums[31][32] **Construction Process**: - Metrics: 5-day and 21-day turnover rates for convertible bonds and their underlying stocks - Formula: $ Turnover\ Ratio = \frac{Convertible\ Bond\ Turnover}{Stock\ Turnover} $ - Parameters: Turnover rates over specified periods[31][32] **Evaluation**: The factor effectively identifies active bonds, contributing to higher returns and lower risk[31][32] Factor Backtesting Results - **CCB_out Pricing Deviation**: - Annualized return: 22.3% - Excess return: 11.5% - IR: 2.00[22][25] - **Stock Momentum**: - Annualized return: 24.5% - Excess return: 13.5% - IR: 2.23[25][28] - **Convertible Bond Turnover**: - Annualized return: 25.0% - Excess return: 13.6% - IR: 2.16[31][32] Composite Strategies and Construction Methods - **Strategy Name**: Low Valuation Strategy **Construction Idea**: Select convertible bonds with the lowest valuation deviation across three market segments (low debt, balanced, high equity)[22] **Construction Process**: - Select the 15 lowest valuation deviation bonds in each segment - Apply filters: balance above 3 billion and rating of AA- or higher[22] **Evaluation**: The strategy achieves strong stability and consistent excess returns, even during challenging market conditions[22] - **Strategy Name**: Low Valuation + Strong Momentum Strategy **Construction Idea**: Combine valuation deviation and stock momentum factors to enhance elasticity[25] **Construction Process**: - Select bonds with low valuation deviation and high stock momentum scores - Apply filters: balance above 3 billion and rating of AA- or higher[25] **Evaluation**: The strategy demonstrates high elasticity and strong performance during bullish market conditions[25] - **Strategy Name**: Low Valuation + High Turnover Strategy **Construction Idea**: Combine valuation deviation and turnover factors to capture liquidity premiums[31] **Construction Process**: - Select bonds with low valuation deviation and high turnover rates - Apply filters: balance above 3 billion and rating of AA- or higher[31] **Evaluation**: The strategy achieves high returns and stable performance, particularly in active markets[31] - **Strategy Name**: Balanced Debt-Enhanced Strategy **Construction Idea**: Focus on low-valuation convertible bonds while enhancing debt and balanced segments with turnover and momentum factors[36] **Construction Process**: - Select the lowest 50% valuation bonds - Apply turnover and momentum factors in debt and balanced segments[36] **Evaluation**: The strategy achieves high absolute returns with controlled volatility and drawdowns[36] - **Strategy Name**: Credit Bond Substitution Strategy **Construction Idea**: Replace convertible bonds with credit bonds when yield-to-maturity (YTM) exceeds AA-rated credit bonds by 1%[40] **Construction Process**: - Select convertible bonds with YTM+1% > 3-year AA-rated credit bond YTM - Apply stock momentum factor to select the top 20 bonds[40] **Evaluation**: The strategy achieves stable returns with low volatility and drawdowns[40] - **Strategy Name**: Volatility Control Strategy **Construction Idea**: Combine enhanced debt, balanced, and equity strategies with credit bonds to control portfolio volatility[44] **Construction Process**: - Select top 15 bonds in each segment based on valuation deviation and momentum scores - Allocate remaining portfolio to credit bonds - Control portfolio volatility at 4%[44] **Evaluation**: The strategy achieves stable returns with controlled risk metrics[44] Strategy Backtesting Results - **Low Valuation Strategy**: - Annualized return: 22.3% - Excess return: 11.5% - IR: 2.00[22][25] - **Low Valuation + Strong Momentum Strategy**: - Annualized return: 24.5% - Excess return: 13.5% - IR: 2.23[25][28] - **Low Valuation + High Turnover Strategy**: - Annualized return: 25.0% - Excess return: 13.6% - IR: 2.16[31][32] - **Balanced Debt-Enhanced Strategy**: - Annualized return: 23.6% - Volatility: 12.2% - Maximum drawdown: 13.4%[36][39] - **Credit Bond Substitution Strategy**: - Annualized return: 7.3% - Volatility: 2.1% - Maximum drawdown: 2.8%[40][43] - **Volatility Control Strategy**: - Annualized return: 9.9% - Volatility: 4.4% - Maximum drawdown: 4.2%[44][45]

Investment Rating - The report maintains a "Buy" rating for Dongyangguang, indicating a positive outlook for the company in the context of the chemical industry [5]. Core Insights - The chemical sector is experiencing a configuration opportunity, with the index having adjusted from a peak of 9565.18 points to a low of 3876.11 points, a cumulative decline of 59.5% from September 2021 to February 2024. However, the sector has shown resilience with a cumulative increase of 13.9% from July 11 to October 17, 2024 [1]. - Dongyangguang's acquisition of Qinhuai Data for 28 billion RMB is expected to accelerate its strategic transformation into the high-growth data center sector, leveraging core technologies and a strong client base [2]. - The integration of Qinhuai Data is anticipated to enhance Dongyangguang's capabilities in AI infrastructure, particularly in liquid cooling and power management, addressing key performance bottlenecks in AI factories [2][6]. Summary by Sections Industry Overview - The chemical industry has seen a significant downturn but is now poised for recovery, with construction project growth rates declining to negative values by Q1 2025 [1]. - The report highlights the ongoing trend of "anti-involution" contributing to the sector's strength [1]. Company Analysis - Dongyangguang's acquisition of Qinhuai Data is a strategic move to enter the data center market, with projected EBITDA nearing 4 billion RMB by 2025 [2]. - The company is positioned to create a comprehensive solution in liquid cooling and power management, enhancing its competitive edge in the AI infrastructure space [6]. Financial Projections - Dongyangguang's earnings per share (EPS) are projected to grow from 0.12 RMB in 2024 to 0.94 RMB by 2027, with a significant reduction in price-to-earnings (PE) ratio from 190.00 in 2024 to 21.72 in 2027, indicating improved profitability [5].

Group 1: Macro Insights - The report highlights a significant decline in real estate sales, with new home sales in 30 cities dropping by 1.1% month-on-month, marking a new low for the same period in recent years, and a year-on-year decline of 26.6% [4] - The report indicates a decrease in the operating rates of coking, asphalt, and cement industries, suggesting that infrastructure work needs to accelerate [4] - It notes that, apart from coal, prices of major industrial products have mostly fallen, with pork prices rapidly declining, raising questions about the sustainability of price increases in October [4] Group 2: Financial Data Analysis - In September, the total fiscal revenue showed a slight year-on-year increase of 3.2%, while fiscal expenditure continued to decline, with a year-on-year growth rate of 2.3% [5] - The report mentions that the new social financing growth rate in September was 8.7%, with a slight decrease from the previous month, while the total social financing for the month was 3.53 trillion yuan, a year-on-year decrease of 0.23 trillion yuan [16] - The report indicates that the M2 money supply growth rate was 8.4%, with a month-on-month decrease of 0.4% [17] Group 3: Industry-Specific Insights - The report discusses the coal industry, predicting that global coal consumption will peak in the latter half of the next decade and then decline, primarily due to reduced coal use in China and developed countries [19] - It emphasizes that by 2050, China's coal consumption is expected to decrease by about 20%, significantly impacting global coal supply dynamics [20] - The report recommends several coal companies, including Lu'an Huanneng and Yanzhou Coal Mining, highlighting their performance potential in the changing market landscape [21] Group 4: Consumer Goods and Services - The report notes that the white liquor market is stabilizing, with key brands like Luzhou Laojiao and Moutai showing strong long-term growth potential [24] - It highlights the performance of consumer goods companies, suggesting that brands like Qingdao Beer and Yili may benefit from policy support and recovery trends [24] - The report indicates that the sportswear brand Xtep is performing steadily, with a projected net profit growth for the coming years [37] Group 5: Technology and AI - The report discusses the performance of Cambricon Technologies, noting a significant revenue increase of 1333% year-on-year in Q3 2025, with expectations for continued growth driven by AI trends [32][35] - It highlights Hikvision's strong performance in Q3 2025, with a net profit increase of 20.3% year-on-year, reflecting effective management and market positioning [36] - The report suggests that the AI sector is expected to see substantial growth, with Cambricon positioned to benefit from national policies promoting technological independence [33]

Investment Rating - The report maintains a "Buy" rating for key companies in the environmental protection sector, including Huicheng Environmental and GaoNeng Environment [5][31]. Core Insights - The report highlights the acceleration of urban renewal through new infrastructure, with a focus on air pollution control and the transition to cleaner energy sources. It emphasizes the positive impact of recent government policies on environmental monitoring and VOCs management [1][29]. - The macroeconomic environment is characterized by historically low interest rates, which favors high-dividend and growth-oriented assets in the environmental sector [2][31]. Summary by Sections Investment Views - The Ministry of Housing and Urban-Rural Development and other departments issued an action plan to enhance urban infrastructure resilience through digital and intelligent upgrades, benefiting environmental monitoring sectors [1][9]. - Jiangsu Province's 2025 air pollution prevention plan aims to eliminate high-emission equipment and promote clean energy, positively impacting VOCs management and environmental monitoring industries [17][29]. - The environmental sector is currently at a historical low in terms of institutional holdings and valuations, suggesting a potential for sustained rebounds [31]. Market Performance - The environmental sector underperformed the broader market, with a weekly decline of 2.45%, while the Shanghai Composite Index fell by 1.47% [34]. - The top-performing stocks in the environmental sector included Shuangliang Energy and Tianhao Energy, while the worst performers were Changqing Group and Hanwei Technology [34]. Industry News - The Ministry of Industry and Information Technology launched a major innovation initiative for environmental technology, focusing on key areas such as air and water pollution control [43]. - Guangdong Province introduced measures to accelerate technological upgrades in industrial enterprises, aiming to support over 9,000 companies annually [44]. - Chongqing released a compliance guide for enterprises to manage environmental risks throughout their lifecycle [45]. Key Companies - GaoNeng Environment focuses on hazardous waste resource utilization and environmental operation services, with a strong order pipeline due to regulatory changes [33]. - Huicheng Environmental is advancing in hazardous waste projects and has made significant progress in waste plastic recycling technology, indicating strong growth potential [33].

Supply - The average operating rate of 247 sample blast furnaces decreased by 0.1 percentage points to 84.3%, which is 3.0 and 7.5 percentage points higher than the same period in 2024 and 2019, respectively[2] - The average operating rate of coking enterprises fell by 1.0 percentage points to 70.6%, which is 1.2 percentage points higher than 2024 but 2.5 percentage points lower than 2019[2] - The average operating rate of asphalt plants decreased by 2.1 percentage points to 35.2%, which is 6.9 percentage points higher than 2024 but 9.9 percentage points lower than 2019[2] Demand - New home sales in 30 cities fell by 1.1% month-on-month, reaching a new low for the same period in recent years, with a year-on-year decline of 26.6%[3] - The average weekly land transaction area in 100 cities fell by 54.2% month-on-month, marking a year-on-year decrease of 38.3% and a 49.5% drop compared to 2019[3] - Steel apparent demand decreased by 8.7% month-on-month, remaining at the lowest level for the same period in recent years, with a year-on-year decline of 4.4%[3] Prices - The Nanhua Industrial Product Index fell by 2.3% month-on-month, with Brent crude oil prices decreasing by 5.5% and a year-on-year decline of 17.2%[6] - Pork prices dropped by 5.1% to approximately 18.4 CNY/kg, with a year-on-year decline of 26.2%[6] - Cement price index decreased by 1.6% month-on-month, with a year-on-year decline of 18.0%[6] Inventory - Coastal power plants' coal inventory decreased by 2.6% month-on-month but remains at a high level compared to recent years, with a year-on-year decline of 3.8%[7] - Steel and electrolytic aluminum inventories increased by 4.7% and 4.0% respectively, although still at low levels compared to recent years[7] - Asphalt inventory rose by 3.4% month-on-month, with a year-on-year increase of 5.3%[7] Liquidity - The total issuance of bonds in the past half month reached 737.52 billion CNY, with government bonds accounting for 506.5 billion CNY, an increase of 258.97 billion CNY from the previous period[10] - The central bank's net absorption through open market operations was 18.742 billion CNY, leading to a decline in money market interest rates[9]

Investment Rating - The report maintains a "Buy" rating for key coal companies such as China Shenhua, Shaanxi Coal, and Yancoal [11]. Core Viewpoints - The coal industry is experiencing a strong price increase driven by robust demand and supply constraints, with expectations for prices to peak by year-end [4][10]. - The report emphasizes that the current price increase is not merely a rebound but a reversal, supported by regulatory actions limiting production and extreme weather conditions affecting demand [4][10]. - The coal market is expected to maintain a bullish trend due to ongoing supply restrictions and seasonal demand increases, particularly in the context of winter storage needs [10][12]. Summary by Sections Market Review - The CITIC Coal Index rose to 3812.86 points, up 4.27%, outperforming the CSI 300 Index by 6.49 percentage points [2][77]. - Since October, the price of North Port thermal coal has increased by 34 CNY/ton, reaching 739 CNY/ton, while the CITIC Coal Index has risen by 8.8% [3][10]. Industry Trends - The report highlights a significant decline in coal production due to regulatory checks on overproduction, with July and August showing year-on-year decreases [10]. - Extreme weather conditions have led to increased coal demand, particularly in southern regions experiencing high temperatures, while northern areas face rapid cooling [10][12]. - The report notes that safety inspections and regulatory measures are expected to further constrain supply, potentially leading to price increases beyond market expectations [10][12]. Key Areas of Analysis - **Thermal Coal**: Strong demand from non-electric sectors and winter storage needs are driving prices higher, with port inventories significantly reduced due to limited rail transport [12][15]. - **Coking Coal**: The report indicates that downstream demand for coking coal is robust, with prices rising as steel mills replenish their inventories [12][37]. - **Coke**: The market for coke remains tight, with high iron production supporting demand, although profitability for coke producers has declined [12][53]. Investment Strategy - The report recommends focusing on companies with strong earnings potential such as Lu'an Environmental Energy and Yancoal, as well as state-owned enterprises like China Shenhua and China Coal Energy [11][12].

Investment Rating - The report maintains an "Increase" rating for the media industry, indicating a positive outlook for the sector [5]. Core Insights - The media sector experienced a decline of 6.28% during the week of October 13-17, influenced by overall market adjustments. The report remains optimistic about gaming and the potential recovery of the film and television sector due to new policy drivers. AI applications and IP monetization are highlighted as key areas of focus [1][10]. - The report emphasizes the importance of companies that can effectively monetize data through AI applications, particularly in areas like AI companionship, education, and toys. Additionally, it points out the value of traditional cultural IPs [1][10]. Summary by Sections 1.1 Market Overview - The media sector's performance was notably poor, with a 6.28% drop, while other sectors like banking and coal saw gains [10]. - The top gainers in the media sector included companies like Yue Media (9.5%) and Tianwei Vision (9.1%), while significant losers included companies like Liou Shares (-16.6%) and Jibite (-15.0%) [11]. 1.2 Sub-sector Insights - **Gaming**: Key companies to watch include ST Huatuo, Giant Network, Jibite, and Perfect World [1][16]. - **Film and Television**: Focus on Mango Super Media, Huace Film, and Huanrui Century [1][16]. - **IP Monetization**: Companies like Chuangyuan Co., Shanghai Film, and Huali Technology are highlighted [1][16]. - **AI Applications**: Notable companies include Doushen Education, Shengtian Network, and Visual China [1][16]. - **Education**: Companies such as Xueda Education and Fenbi are mentioned [1][16]. - **Hong Kong Stocks**: Attention is drawn to Alibaba, Tencent, and Pop Mart, with an emphasis on the imminent industry explosion for Fubo Group [1][16]. 2. Key Events Review - Google released the video generation model Veo 3.1, enhancing narrative and audio control capabilities, and integrating with Gemini API and Vertex AI [20]. - Alibaba's Tongyi Qianwen launched its strongest visual language model series, Qwen3-VL, outperforming competitors in various benchmarks [20]. 3. Sub-sector Data Tracking - **Box Office**: The total box office from October 13 to 17 was 118 million yuan, with top films including "Volunteer Army: Blood and Peace" and "Wandering Life" [21][23]. - **TV Series Performance**: "Let Me Shine" topped the ratings with a score of 83.8, followed by "A Smile Follows the Song" [21][24]. - **Variety Shows**: "Goodbye Lover Season 5" led the ratings with a score of 77.6 [21][25].

Investment Rating - Maintain "Buy" rating for the industry [6] Core Insights - The power equipment industry is transitioning from "ultra-low price competition" to "structural correction," with significant price increases expected due to changes in export tax policies and supply-side reforms [16][17] - The report highlights three key areas of focus: supply-side reform leading to price increases, long-term growth opportunities from new technologies, and industrialization opportunities from perovskite solar cells [17] Summary by Sections 1. New Energy Generation 1.1 Photovoltaics - The photovoltaic industry is experiencing a critical shift, with expected global component price increases of approximately 9% starting Q4 2025 due to the cancellation of VAT rebates on solar cell exports [16][17] - Domestic component prices have entered an upward trend since July 2025, with N-type component average prices rising by about 3.6% from July to September 2025 [16][17] 1.2 Wind Power & Grid - A new VAT policy for offshore wind power will be implemented from November 2025, allowing a 50% VAT rebate on self-produced electricity, which is expected to accelerate offshore wind development [18][19] - The first project under Jiangsu's 14th Five-Year Plan for offshore wind has been approved, indicating a boost in offshore wind capacity [18][19] 1.3 Hydrogen & Energy Storage - Sinopec's first green hydrogen ammonia synthesis project has been initiated, with a planned hydrogen production capacity of 20,000 tons/year and ammonia production of at least 100,000 tons/year [23] - Energy storage project bidding prices for October 2025 range from 0.4118 to 0.6 CNY/Wh, indicating a competitive market [24][30] 2. New Energy Vehicles - The National Development and Reform Commission has issued a plan to double the charging infrastructure by 2027, aiming to build 28 million charging facilities to support over 80 million new energy vehicles [35][36] - The plan includes enhancing urban rapid charging networks and expanding charging facilities in rural areas [35][36]

Investment Rating - The report maintains an "Overweight" rating for the real estate industry [4][6]. Core Views - The report emphasizes that the current policy environment is being driven by fundamental pressures, suggesting that the policy response may exceed that of previous years such as 2008 and 2014 [4]. - Real estate is viewed as an early-cycle indicator, making it a key economic barometer [4]. - The competitive landscape within the industry is improving, with leading state-owned enterprises and select mixed-ownership and private companies performing well in land acquisition and sales [4]. - The report continues to support investment in first-tier cities and select second- and third-tier cities, which have shown better performance during sales rebounds [4]. - Supply-side policies, including land storage and management of idle land, are highlighted as critical areas to monitor for future developments [4]. Summary by Sections Social Financing and Loan Trends - In September, the total social financing increased by 35,296 million yuan, a year-on-year decrease of 2,339 million yuan, continuing the trend of reduced monthly increases [11]. - The new long-term loans for residents in September amounted to 2,500 million yuan, with a year-on-year increase of 200 million yuan, indicating a weak overall demand for housing loans [11]. New Housing Transactions - In the past week, 30 cities recorded new housing transaction areas of 2,105,000 square meters, a month-on-month increase of 152.1% but a year-on-year decrease of 29.1% [23]. - Cumulatively, for the first 42 weeks of the year, the total new housing transaction area in these cities was 76,819,000 square meters, reflecting a year-on-year decrease of 5.0% [26]. Second-Hand Housing Transactions - The total area of second-hand housing transactions in 14 sample cities was 2,204,000 square meters, a month-on-month increase of 161.4% but a year-on-year decrease of 15.3% [31]. - Year-to-date, the cumulative area of second-hand housing transactions reached 82,406,000 square meters, showing a year-on-year increase of 15.0% [31]. Credit Bond Issuance - In the week of October 13-19, 13 credit bonds were issued by real estate companies, totaling 7,875 million yuan, which is a significant increase from the previous week [40]. - The net financing amount was 2,862 million yuan, reflecting a week-on-week increase of 48.47 million yuan [40].

Investment Rating - The report maintains an "Overweight" rating for the C-REITs sector [7]. Core Insights - The C-REITs market is expected to benefit from a low interest rate environment in 2025, with three main investment strategies suggested: focusing on policy-driven projects, recognizing the value of weak-cycle assets, and monitoring the expansion of REITs alongside new issuances [6]. - The C-REITs market has experienced a correction, with the overall market capitalization of listed REITs at approximately 217.28 billion yuan, and an average market cap of about 2.9 billion yuan per REIT [3][13]. Summary by Sections REITs Index Performance - The CSI REITs total return index fell by 1.44% this week, closing at 1043.5 points, while the CSI REITs index decreased by 1.46%, closing at 814.7 points [1][11]. - Year-to-date, the CSI REITs total return index has increased by 7.81%, ranking fifth among various indices [2][11]. REITs Secondary Market Performance - The secondary market for C-REITs showed an overall downward trend, with only the data center sector showing positive performance. The average weekly decline across listed REITs was 1.38% [3][13]. - The total market capitalization of listed REITs is approximately 217.28 billion yuan, with 7 REITs increasing in value and 68 decreasing [3][13]. REITs Valuation Performance - The internal rate of return (IRR) for listed REITs has shown significant differentiation, with the top three being: China Communications Construction REIT (10%), Ping An Guangzhou Guanghe REIT (9.4%), and Zhongjin Hubei Keti Guanggu REIT (8%) [5]. - Price-to-NAV ratios for REITs range from 0.7 to 1.8, with the highest being 1.8 for the China Power Construction Clean Energy REIT [5]. Investment Recommendations - The report suggests focusing on high-quality, undervalued projects that can recover under policy themes, as well as monitoring the resilience of logistics and factory leasing demand [6]. - It emphasizes the importance of asset resilience and market timing in the current pricing environment for weak-cycle assets [6].