1. Report Industry Investment Rating There is no information provided in the content about the report industry investment rating. 2. Core View of the Report The report indicates that the issuance of science and technology innovation bonds has recovered. In the bond market, science and technology innovation bonds show a pattern of "shrinking volume but strong price". They have an advantage in withstanding market declines, and with the continuous release of policy dividends, the market liquidity of science and technology innovation bonds is expected to further improve. However, it is necessary to be vigilant about the phased impact of ETF fund fluctuations on component bonds [2][3][4]. 3. Summary According to the Directory 3.1 First Part: "Shrinking Volume but Strong Price" of Science and Technology Innovation Bonds 3.1.1 First Sub - part: Primary Issuance Scale and Structure - The supply in the primary market of science and technology innovation bonds has recovered. The new supply scale in the week from March 9 to March 13, 2026, reached 5.755 billion yuan, with the issuance of 1 - 3 - year varieties on the exchange booming. The subscription enthusiasm for science and technology innovation bonds this week exceeded that of non - science and technology innovation credit bonds in the same period, especially for index component bonds, indicating that the market not only recognizes the policy dividends of science and technology innovation bonds but also has a greater demand for high - quality component bonds [2][12]. 3.1.2 Second Sub - part: Secondary Trading Activity and Pricing - **Rating and Industry Distribution**: The ratings of outstanding science and technology innovation bonds are highly concentrated. Bonds with an implied rating of AA+ and above account for 73.7%, and AA - rated medium - quality individual bonds account for 22.1%, reflecting the financing needs of some small and medium - sized science and technology innovation entities. The industry distribution is dominated by traditional industries, with bonds in the construction and decoration, public utilities, and comprehensive industries accounting for 38.2%. The textile and apparel, communication, and non - bank financial industries have an excess spread of more than 16bp compared with the valuation of all credit bonds in the industry [3][20]. - **Liquidity**: In the past two weeks, the weekly trading volume of science and technology innovation bonds has remained stable at around 1,000 transactions, but the turnover rate in the latest week has declined marginally to 1.65%. The continuous outflow of funds from science and technology innovation bond ETFs has suppressed the liquidity of component bonds [3][27]. - **Yield**: This week, science and technology innovation bonds remained strong in terms of pricing. They were still traded at a low valuation, and the performance of short - and medium - term science and technology innovation bonds on the exchange was more stable than that of non - science and technology innovation general credit bonds. The average transaction yield of 1 - 3 - year varieties remained at 1.85%, and the yield of 3 - 5 - year varieties decreased by nearly 4bp compared with the previous week [3][31]. - **Internal Pricing Comparison**: Recently, the spread between index component bonds and non - component bonds of science and technology innovation bonds has narrowed to 19.5bp, and the spread between inter - bank varieties and component bonds has been compressed to 1.4bp. For 1 - 3 - year bonds, there is still a compression space of 19.1bp between inter - bank varieties and index component bonds [4][37].

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - The economy shows mixed signals with some production indicators weakening while demand in the building materials sector rebounds. Inflation presents a situation of increasing divergence between pork and oil prices [2][3]. 3. Summary by Relevant Catalogs 3.1 Economic Growth: General Rebound in Building Material Prices 3.1.1 Production: Power Plant Daily Consumption Weaker than the Past 3 Years - Power plant daily consumption is weaker than the past 3 years. On March 17, the average daily consumption of 6 major power - generating groups was 72.7 tons, a decrease of 8.2% from March 10. On March 12, the daily consumption of power plants in eight southern provinces was 188.7 tons, a decrease of 7.7% from March 5 [5][12]. - The blast furnace operating rate has partially recovered. On March 13, the national blast furnace operating rate was 78.4%, up 0.7 percentage points from March 6; the capacity utilization rate was 82.9%, down 2.4 percentage points from March 6. The blast furnace operating rate of Tangshan steel mills was 92.5%, up 8.4 percentage points from March 6 [5][18]. - The tire operating rate is slightly weaker than in the past two years. On March 12, the operating rate of truck all - steel tires was 70.2%, up 4.3 percentage points from March 5; the operating rate of car semi - steel tires was 77.7%, up 3.7 percentage points from March 5. The loom operating rate in the Jiangsu and Zhejiang regions has recovered slowly [5][21]. 3.1.2 Demand: General Rebound in Building Material Prices - The sales volume of commercial housing in 30 cities has strengthened month - on - month but remains weak year - on - year. From March 1 - 17, the average daily sales area of commercial housing in 30 large and medium - sized cities was 200,000 square meters, up 34.0% from February, down 8.8% from March last year, and up 0.4% from March 2024 [5][27]. - The retail growth of the auto market has strengthened. In February, retail sales increased by 54% year - on - year, and wholesale sales increased by 46% year - on - year [5][31]. - Steel prices have continued to be strong. On March 17, the prices of rebar, wire rod, hot - rolled coil, and cold - rolled coil increased by 0.9%, 0.8%, 2.2%, and 0.3% respectively compared to March 10 [5][38]. - Cement prices have started to rebound. On March 17, the national cement price index increased by 1.4% compared to March 10. The cement prices in the East China and Yangtze River regions increased by 3.2% and 4.1% respectively, outperforming the national average [5][41]. - Glass prices have risen moderately. On March 17, the active glass futures contract price was 1,096 yuan/ton, up 1.4% from March 10 [5][45]. - The growth rate of the container shipping freight index has continued to increase. On March 13, the CCFI index increased by 1.7% compared to March 6, and the SCFI index increased by 14.9% [5][49]. 3.2 Inflation: Increasing Divergence between Pork and Oil Prices 3.2.1 CPI: Deep Drop in Pork Prices at a Low Level - Pork prices have dropped deeply at a low level. On March 17, the average wholesale price of pork was 16.2 yuan/kg, a decrease of 4.1% from March 10. Since the winter solstice, pork prices have been on a downward trend. After the Spring Festival, the imbalance between production and sales has become more obvious, and the decline rate has accelerated [5][54]. - The agricultural product price index is stronger than last year. On March 17, the agricultural product wholesale price index decreased by 1.0% compared to March 10. By variety, mutton (up 0.1%) > eggs (down 0.1%) > beef (down 0.3%) > fruits (down 1.3%) > vegetables (down 2.6%) > chicken (down 2.8%) > pork (down 4.1%) [5][61]. 3.2.2 PPI: Continued Rise in Oil Prices - Oil prices have continued to rise. On March 17, the spot prices of Brent and WTI crude oil were $103.5 and $96.2 per barrel respectively, up 17.2% and 15.3% from March 10. The attacks on energy infrastructure in the Middle East and the increased risk in the Strait of Hormuz have tightened the global supply chain [5][66]. - Copper prices have dropped while aluminum prices have risen. On March 17, the LME 3 - month copper price decreased by 1.8% and the aluminum price increased by 0.7% compared to March 10. The domestic commodity index's month - on - month increase has expanded [5][71]. - Most industrial product prices have turned to an upward trend. Since March, most industrial product prices have risen month - on - month, and the year - on - year decline of most industrial product prices has converged [73].

Investment Rating - The report maintains a "Buy" rating for the company, anticipating a price increase of over 15% in the next 6-12 months [6]. Core Insights - The company achieved a revenue of 64.73 billion yuan in 2025, marking a year-on-year growth of 101.3%, and a net profit attributable to shareholders of 540 million yuan, indicating a turnaround from losses [2]. - In Q4 2025, the automotive business generated revenue of 210.3 million yuan, up 56.3% year-on-year, with a net profit of 36 million yuan, reflecting a significant increase of 339.0% [2][3]. - The company is expanding its global footprint, with a focus on localizing operations in key markets such as Europe and South America, having established around 900 sales service outlets in approximately 40 international markets by the end of 2025 [4]. - The product matrix is set to be enhanced with the launch of four major product series (A, B, C, D) in 2026, which is expected to drive sales growth and help achieve an annual sales target of one million units [5]. Financial Summary - The company is projected to achieve net profits of 4.65 billion yuan, 6.75 billion yuan, and 7.22 billion yuan for the years 2026, 2027, and 2028 respectively, with corresponding P/E ratios of 12, 8, and 8 [6][11]. - The gross margin for Q4 2025 was reported at 15.0%, an increase of 1.8 percentage points year-on-year, attributed to effective cost management and increased sales volume [3]. - The company’s revenue growth rate is expected to stabilize at 53.52% in 2026, following the substantial growth of over 100% in 2025 [11].

Investment Rating - The report maintains a "Buy" rating for the company, anticipating a price increase of over 15% in the next 6-12 months [6]. Core Insights - The company achieved a revenue of 64.73 billion yuan in 2025, marking a year-on-year growth of 101.3%, and a net profit attributable to shareholders of 540 million yuan, indicating a turnaround from losses [2]. - The launch of the B series new cars significantly boosted sales and revenue, with Q4 2025 automotive business revenue reaching 202 million yuan, a year-on-year increase of 53.7% [3]. - The company is expanding its global footprint, with a focus on localizing operations in key markets such as Europe and South America, having established around 900 sales service outlets in approximately 40 international markets by the end of 2025 [4]. - The company is in a strong new product cycle, with four major product series set to launch in 2026, which is expected to drive sales growth and help achieve an annual sales target of one million units [5]. Financial Summary - The company is projected to achieve net profits of 4.65 billion yuan, 6.75 billion yuan, and 7.22 billion yuan for the years 2026, 2027, and 2028, respectively [6]. - The report indicates a significant improvement in gross margin, with Q4 2025 gross margin at 15.0%, up 1.8 percentage points year-on-year [3]. - The company’s revenue growth rate is expected to stabilize at 53.52% in 2026, following the substantial growth of 101.25% in 2025 [11].

1. Report's Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The valuation stratification of convertible bonds has loosened. Last week, the average premium rate of high - parity bonds continued to decline, and the valuation of low - parity debt - biased bonds also adjusted slightly. The market valuation stratification remains obvious, with the average premium rate of convertible bonds with a parity of over 110 at the 87% quantile since 2024, that of bonds with a parity between 80 - 110 at the 92% quantile, and that of bonds with a parity between 70 - 80 above the 95% quantile. The performance of high - price and low - price indexes also reflects this stratification. The high - price index's YTD return has dropped to 3.1% from its peak, while the low - price index still has a 4.08% YTD return, leading among various indexes and experiencing small recent drawdowns. The difference in returns and valuation stratification imply investors' current participation mentality. High - volatility and high - parity bonds are the first to be cashed out when the equity market fluctuates and there are call - back disturbances, and they are also the best offensive tools in an upward market. In contrast, relatively low - price debt - biased bonds are more resilient in market fluctuations and are currently “reluctantly sold” by the market. From the capital aspect, convertible bond ETFs have been the largest marginal pricing funds since the beginning of the year, but they turned to net outflows last week. Currently, the implied volatility of convertible bonds significantly exceeds the historical volatility of the corresponding underlying stocks, and the underlying stocks have been in a volatility - decreasing trend since September 2025. The convertible bond valuation structure is still fragile after short - term adjustments. If the Iran - US conflict continues to exceed expectations, it may lead to a further adjustment in the A - share market. If the profitable funds flowing into convertible bonds this year turn into losses, it may form a negative feedback loop in capital flow, and the loosened valuation may decline further [2]. 3. Summaries According to Relevant Catalogs 3.1 Valuation Stratification after Loosening - Due to the recent re - pricing of call - back provisions and the large number of bonds meeting the call - back conditions, high - price bonds have been collectively adjusted. Last week, the average premium rate of high - parity bonds continued to decline, with the average conversion premium rate of bonds with a parity of over 130 compressing from 14.3% to 12.8%, returning to the level in November 2025. Different from previous weeks, the valuation of debt - biased bonds also loosened, with a significant decline in the premium rate of the debt - biased part. The valuation stratification is significant, with the average premium rate of convertible bonds with a parity of over 110 at the 87% quantile since 2024, that of bonds with a parity between 80 - 110 at the 92% quantile, and that of bonds with a parity between 70 - 80 above the 95% quantile [10][11]. - The performance difference between different indexes since the beginning of the year is obvious. The YTD return of the CSI Convertible Bond Index is 3.4%. The YTD return of the high - price index has dropped to 3.1% from its peak, while the low - price index still has a 4.08% YTD return, leading among various indexes. High - price convertible bonds feature high volatility, high drawdown, and relatively low returns, while low - price convertible bonds show low volatility, low drawdown, and relatively high returns at present [15]. - The difference in returns and valuation stratification imply investors' current participation mentality. High - volatility and high - parity bonds are the first to be cashed out when the equity market fluctuates and there are call - back disturbances, and they are also the best offensive tools in an upward market. In contrast, relatively low - price debt - biased bonds are more resilient in market fluctuations and are currently “reluctantly sold” by the market. Convertible bond ETFs have been the largest marginal inflow and pricing funds since the beginning of the year. The net inflow of two convertible bond ETFs once reached 20 billion yuan, becoming the main driver for the valuation increase of convertible bonds this round. As of now, the scale of the two convertible bond ETFs exceeds 75 billion yuan, accounting for 11% of the convertible bond market. However, they turned to net outflows last week. Since March, the Iran - US geopolitical conflict has continuously exceeded market expectations, leading to a significant increase in the VIX index and oil price volatility. The main A - share indexes have also declined since March, and high - risk - appetite assets represented by the technology sector have been significantly adjusted. So far, the YTD returns of various convertible bond indexes are still above 3%, and the funds flowing in since the beginning of the year are still in a floating - profit state. The implied volatility of convertible bonds is 46%, significantly exceeding the 42% historical volatility of the corresponding underlying stocks in the past 250 trading days, and the ratio is still at 110%, in a historically high range. The underlying stocks have been in a volatility - decreasing trend since September 2025, and the convertible bond valuation structure is still fragile. If the Iran - US conflict continues to exceed expectations, it may lead to a further adjustment in the A - share market, which will drive the parity of convertible bonds to adjust. If the profitable funds flowing into convertible bonds this year turn into losses, it may form a negative feedback loop in capital flow, leading to an accelerated adjustment of convertible bonds [17][22][25]. 3.2 Market Review 3.2.1 Equity Market: Volatile Adjustment - Last week, the Shanghai Composite Index and the ChiNext Index changed by - 0.70% and 2.51% respectively. Affected by the continuous overseas geopolitical conflict, the indexes continued to adjust, with significant differentiation among sectors. In terms of style, affected by the Iran - US geopolitical conflict exceeding expectations, the expectation of coal chemical industry replacing petrochemical industry emerged, so the coal sector continued to rise sharply, while the petrochemical sector fell sharply. The basic chemical sector continued to rise due to the expectation of an increase in industrial chain prices. At the same time, driven by the logic of power shortage and computing power coordination, the public utilities, power equipment, and building decoration sectors rose sharply. The national defense and military industry and media sectors led the decline [28]. - Index valuations continued to decline. The market first rose and then fell last week, but still ended lower overall, and valuations also declined. The PE (TTM) of all A - shares was 18.39X, down from the previous period, at the 67% quantile of the historical valuation level since 2005. The PE (TTM) of the ChiNext was 45.27X, continuing to decline, at the 49.4% quantile of the historical valuation level since 2009. Valuations among sectors were highly differentiated, but the overall level was not low. Affected by geopolitical factors, there was significant differentiation among sectors last week. The valuations of the leading coal, power equipment, and building decoration sectors increased by 1.6X, 0.01X, and 0.46X respectively, while the valuations of the lagging national defense and military industry, petrochemical, and non - ferrous metal sectors decreased by 9.57X, 0.29X, and 1.45X respectively. The valuation of the electronics sector has reached a historical high, and the valuations of other sectors such as computers, automobiles, and the military industry are above the historical median. There are also many sectors whose valuations are still close to the historical median. Only the valuations of sectors such as agriculture, forestry, animal husbandry, fishery, household appliances, food and beverages, and building decoration, which are more related to consumption and real estate, are still around the 10% quantile of history. The market valuation differentiation has converged but is still large, and the overall valuation level is not low [30][34]. 3.2.2 Convertible Bond Market: Valuation Continued to Adjust - Last week, the CSI Convertible Bond Index closed at 508.67, down 1.1%, with a decline comparable to that of major stock indexes. In terms of trading volume, the average daily trading volume was 69.051 billion yuan, down 5.47% from the previous period, and trading volume declined slightly. Among individual bonds, Haitian (42.33%), Wankai (19.63%), and Baichuan Zhuan 2 (16.2%) led the gains, belonging to the environmental protection, basic chemical, and basic chemical sectors respectively. Haitian was a newly - listed bond, and Hebang was a repair of the premium rate after the announcement of no early call - back. The rest followed the performance of the underlying stocks. Fenggong (- 18.67%), Yong 22 (- 18.14%), and Zhenhua (- 17.61%) led the losses, belonging to the machinery equipment, basic chemical, and basic chemical sectors respectively. Yong 22 and Fenggong announced early call - backs, driving the adjustment, and the rest followed the adjustment of the underlying stocks [36]. - Valuations continued to decline. The conversion premium rate (arithmetic average) of convertible bonds with a parity between 90 - 110 was 36.5%, slightly compressed from the previous week. The valuation of current balanced convertible bonds is above the 98% quantile of history. The average YTM of convertible bonds with a parity below 80 was - 3.0%, recovering slightly from before but still at a historical low. In terms of absolute prices, as of last Friday, the median closing price of convertible bonds was 138.3 yuan, above the 95% quantile since 2020, falling another 2 yuan from the previous week. The proportion of convertible bonds with an absolute price below 120 was only 7.5%, and has been within 10% since the beginning of the year [39]. 3.3 Clause Tracking 3.3.1 Call - Back Clause - Last week, 9 individual bonds announced early call - backs, namely Saili Convertible Bond, Yong 22 Convertible Bond, Baichuan Zhuan 2, Zhongchong Zhuan 2, Guangli Convertible Bond, Hongqiang Convertible Bond, Fenggong Convertible Bond, Weice Convertible Bond, and Liyang Convertible Bond. In addition, 6 individual bonds have not announced the last trading day and the last conversion day. Last week, 4 individual bonds announced no early call - backs, namely Titan, Yubang, Weidao, and Hebang. Only Titan was a renewal of the no - early - call - back announcement, and the rest were first announcements. This week, the following convertible bonds are expected to meet the early call - back conditions and announce, among which those with a premium rate still above 15% are Fuchun, Huayuan, Sanjiao, and Jinji [44][45][46]. 3.3.2 Downward Revision Clause - Last week, 1 convertible bond proposed a downward revision, which was Weining. 3 convertible bonds announced the dates of no downward revision, which were Like, Shengtai, and Kehua. Among them, Kehua will not have a downward revision before maturity, and the other two have a 6 - month no - downward - revision cooling - off period. This week, 5 individual bonds are expected to meet the downward - revision conditions, namely Guanyu, Sanfang, Jiete, Ruike, and Fulai [48][49][50]. 3.4 Primary Market - There was no new bond issuance last week. One company issued a convertible bond issuance plan, which was Zhongke Environmental Protection (1 billion yuan). Two companies' convertible bond issuances were accepted by the exchange, which were Qianhong Pharmaceutical (1 billion yuan) and Tianshan Electronics (697.02 million yuan). One company's convertible bond issuance passed the approval of the issuance review committee, which was Diweier (907.71 million yuan). One company obtained the approval and reply from the CSRC, which was Star Semiconductor (1.5 billion yuan) [50][51].

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - Last week (3/9 - 3/13), bond - type ETFs had a net capital outflow of 9.8 billion yuan. The net outflows of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs were 4.8 billion yuan, 3.3 billion yuan, and 1.7 billion yuan respectively. The cumulative unit net value of credit - bond ETFs was basically the same as that of the previous Friday, while the weekly changes in the cumulative unit net values of interest - rate bond ETFs and convertible - bond ETFs were - 0.23% and - 1.11% respectively. The bond market adjusted significantly due to factors such as overseas geopolitical conflicts, a significant increase in international crude oil prices, increased domestic imported inflation pressure, and better - than - expected import and export data from January to February as well as a marginal recovery in social financing and credit. The long - end interest rate rose sharply, but the credit sector showed strong resilience [2][13]. 3. Summary According to Relevant Catalogs 3.1 Issuance Progress Tracking - No new bond ETFs were issued last week [3][17] 3.2 Stock Product Tracking - As of March 13, 2026, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were 128.7 billion yuan, 377.5 billion yuan, and 77.9 billion yuan respectively, with the credit - bond ETFs accounting for 65% of the total. Compared with the previous week, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs decreased by 3.7 billion yuan, 4.5 billion yuan, and 2.8 billion yuan respectively. The market values of the benchmark - market - making credit - bond ETFs and science - innovation bond ETFs were 100.8 billion yuan and 266.3 billion yuan respectively, decreasing by 3.2 billion yuan and 5.1 billion yuan from the previous week [4][19][22] 3.3 ETF Performance Tracking - The average cumulative unit net values of 16 interest - rate bond ETFs and 35 credit - bond ETFs were 1.19 and 1.03 respectively. The returns since the establishment of the benchmark - market - making credit - bond ETFs and science - innovation bond ETFs increased to 1.76% and 0.73% respectively [5][26][27] 3.4 Premium/Discount Rate Tracking - Last week, the average premium/discount rates of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs were - 0.065%, - 0.002%, and - 0.104% respectively. The average trading price of credit - bond ETFs was lower than the fund's unit net value, indicating low allocation sentiment. The weekly average premium/discount rates of the benchmark - market - making credit - bond ETFs and science - innovation bond ETFs were - 0.09% and - 0.07% respectively [6][33] 3.5 Turnover Rate Tracking - Last week, the turnover rate of interest - rate bond ETFs > credit - bond ETFs > convertible - bond ETFs. The weekly turnover rates of interest - rate bond ETFs and credit - bond ETFs improved, reaching 161% and 137% respectively, while the weekly turnover rate of convertible - bond ETFs slightly decreased to 94%. Products such as Huaxia Shanghai Stock Exchange Benchmark - Market - Making Treasury Bond ETF, Southern China Securities AAA Science - Innovation Corporate Bond ETF, and Guotai China Securities AAA Science - Innovation Corporate Bond ETF had relatively high turnover rates [7][38]

Quantitative Models and Factors Summary Quantitative Models and Construction Methods - **Model Name**: Rotation Model **Model Construction Idea**: The model aims to allocate between micro-cap stocks and the "Mao Index" based on relative performance and timing indicators[19][27] **Model Construction Process**: 1. **Rotation Indicators**: - Use the relative net value of micro-cap stocks to the Mao Index. If the value is above the 243-day moving average, the preference is for micro-cap stocks; otherwise, the Mao Index is preferred. - Incorporate the 20-day closing price slope of both indices. When the slopes diverge and one is positive, allocate to the index with a positive slope[19][27] 2. **Timing Indicators**: - Use the 10-year government bond yield (threshold: 0.3) and micro-cap stock volatility crowding degree (threshold: 0.55). If either indicator reaches its threshold, a liquidation signal is triggered[19][27] **Model Evaluation**: The model currently signals a balanced allocation between micro-cap stocks and the Mao Index, with no systemic risk detected in the medium term[19][20][27] Quantitative Factors and Construction Methods - **Factor Name**: Value Factor **Factor Construction Idea**: Focuses on stocks with low valuation metrics, such as price-to-book and price-to-earnings ratios, to identify undervalued opportunities[55][67][70] **Factor Construction Process**: - Key metrics include: - **BP_LR**: Book value per share divided by market price - **EP_FTTM**: Forward 12-month earnings divided by market price - **SP_TTM**: Trailing 12-month sales divided by market price[67][70] **Factor Evaluation**: The value factor performed strongly in the past week, driven by market preference for cyclical and high-dividend assets amid geopolitical and inflationary concerns[55][56] - **Factor Name**: Volatility Factor **Factor Construction Idea**: Measures stock price stability and identifies opportunities in low-volatility stocks[55][67][70] **Factor Construction Process**: - Key metrics include: - **IV_CAPM**: Residual volatility from the CAPM model - **IV_FF**: Residual volatility from the Fama-French three-factor model - **Volatility_60D**: Standard deviation of 60-day returns[67][70] **Factor Evaluation**: The volatility factor showed excellent performance, reflecting market demand for stability during periods of heightened uncertainty[55][56] - **Factor Name**: Technical Factor **Factor Construction Idea**: Utilizes historical price and volume patterns to predict future stock movements[55][67][70] **Factor Construction Process**: - Key metrics include: - **Turnover_Mean_20D**: 20-day average turnover rate - **Price_Chg20D**: 20-day price change - **Skewness_240D**: Skewness of 240-day returns[67][70] **Factor Evaluation**: The technical factor also performed well, benefiting from short-term trading opportunities in a volatile market[55][56] - **Factor Name**: Growth Factor **Factor Construction Idea**: Identifies companies with strong earnings and revenue growth potential[55][67][70] **Factor Construction Process**: - Key metrics include: - **NetIncome_SQ_Chg1Y**: Year-over-year growth in quarterly net income - **OperatingIncome_SQ_Chg1Y**: Year-over-year growth in quarterly operating income - **Revenues_SQ_Chg1Y**: Year-over-year growth in quarterly revenues[67][70] **Factor Evaluation**: The growth factor underperformed due to market rotation into value and defensive sectors[55][56] - **Factor Name**: Convertible Bond Factors **Factor Construction Idea**: Combines equity and bond characteristics to identify attractive convertible bond opportunities[64][67] **Factor Construction Process**: - Key metrics include: - **Parity Premium**: Difference between the convertible bond price and its parity value - **Underlying Stock Metrics**: Factors such as growth, valuation, and quality of the underlying stock[64][67] **Factor Evaluation**: Convertible bond factors, particularly valuation and underlying stock value, achieved high IC averages last week[64][65] Backtesting Results of Models and Factors - **Rotation Model**: - Relative net value of micro-cap stocks to Mao Index: 2.49 (above the 243-day moving average of 1.97)[19][27] - 20-day closing price slope: Micro-cap stocks at 0.2%, Mao Index at -0.29%[19][27] - Volatility crowding degree: 3.37% (below the risk threshold of 55%)[19][22] - 10-year government bond yield: -2.27% (below the risk threshold of 0.3%)[19][22] - **Quantitative Factors**: - **Value Factor**: IC mean of 20.98%[55][56] - **Volatility Factor**: IC mean of 22.08%[55][56] - **Technical Factor**: IC mean of 10.07%[55][56] - **Growth Factor**: IC mean of -6.32%[55][56] - **Convertible Bond Factors**: High IC averages for valuation and underlying stock value[64][65]

Group 1: Macroeconomic Liquidity - The US dollar index continued to rise, and the degree of inversion in the China-US interest rate spread deepened, with inflation expectations also increasing [2][16] - Offshore US dollar liquidity has marginally tightened, while the domestic interbank funding situation remains balanced [2][23] Group 2: Market Trading Activity and Volatility - Market trading activity has decreased, with major indices experiencing increased volatility; sectors such as oil and petrochemicals, electric new energy, public utilities, and construction are above the 90th percentile in trading activity [3][28] - The volatility of major indices, including the CSI 300 and ChiNext, has continued to rise, with steel and military sectors also showing volatility above the 90th historical percentile [3][35] Group 3: Institutional Research - The banking, electronics, electric new energy, computing, and automotive sectors are leading in research activity, with banking and automotive sectors showing a month-on-month increase in research heat [4][46] Group 4: Analyst Forecasts - Analysts have simultaneously raised net profit forecasts for the entire A-share market for 2026/2027, with increases noted in sectors such as electric new energy, non-ferrous metals, construction, machinery, and pharmaceuticals [5][19] - The proportion of stocks with upward revisions in net profit forecasts for 2026/2027 has increased across the A-share market [5][17] Group 5: Northbound Trading Activity - Northbound trading activity has decreased, continuing to net sell A-shares, with a notable increase in the buy/sell ratio for electric new energy, electronics, and automotive sectors [6][32] - Northbound trading primarily net bought coal and oil and petrochemical sectors, while net selling occurred in electronics, computing, and chemicals [6][33] Group 6: Margin Financing Activity - Margin financing activity has slightly increased but remains at a low level, with net buying primarily in electric new energy, chemicals, and computing sectors [7][35] - The proportion of financing purchases has increased across most sectors, with net buying focused on mid-cap growth and mid/small-cap value stocks [7][38] Group 7: Active Equity Funds and ETFs - Active equity funds have increased their positions, particularly in military, machinery, and automotive sectors, while reducing positions in non-ferrous metals, oil and petrochemicals, and steel [9][45] - ETFs have continued to experience net redemptions, particularly in broad-based indices like CSI 500, CSI 300, and ChiNext, while sectors such as electric power and public utilities saw net inflows [9][52]

Group 1 - The report highlights concerns over inflation driven by volatile international oil prices, which have surged to around 120 USD, impacting market expectations for PPI recovery and increasing pressure on the bond market [2][7] - The macroeconomic environment shows that while export data has exceeded expectations, there are signs of weakening in microeconomic structures that previously supported interest rate rebounds, leading to a steepening adjustment in the bond market with the 10-year treasury yield rising above 1.8% [2][4] - The report suggests that the current interest rate pricing is primarily reflecting a "supply shock" scenario, with the market's implied pricing indicating a weaker response to PPI recovery compared to previous cycles [3][16] Group 2 - The report outlines a neutral scenario where if oil prices stabilize around 90 USD per barrel, PPI is expected to turn positive in March, with a projected peak of around 2.7% in the first half of the year, followed by fluctuations in the third quarter and a potential decline to 2.3% in the fourth quarter [3][11] - There is a risk that if the transmission of rising oil prices to downstream sectors is stronger than anticipated, inflation could remain resilient in the second half of the year, delaying the expected decline in PPI [4][15] - The report emphasizes the importance of monitoring the inventory cycles across upstream, midstream, and downstream sectors, as the current price recovery is mainly concentrated in the upstream, with downstream transmission still in early stages [25][26]

Group 1: Macro Liquidity - The US dollar index continued to rise, and the degree of inversion in the China-US interest rate spread deepened, with inflation expectations also increasing [2][16]. - Offshore US dollar liquidity has marginally tightened, while the domestic interbank funding situation remains balanced [2][22]. Group 2: Market Trading Activity - Market trading activity has decreased, with major indices experiencing increased volatility. Sectors such as oil and petrochemicals, electric new energy, public utilities, and construction are trading at above the 90th percentile [3][27]. - The volatility of the steel and military industries is also above the 90th historical percentile [3][35]. Group 3: Institutional Research - The banking, electronics, electric new energy, computing, and automotive sectors are leading in research activity, with banks and automotive sectors seeing a month-on-month increase in research intensity [4][46]. Group 4: Analyst Forecasts - Analysts have simultaneously raised the net profit forecasts for the entire A-share market for 2026/2027. The proportion of stocks with upward revisions in net profit forecasts has increased compared to previous periods [5][54][55]. - Specific sectors such as electric new energy, non-ferrous metals, construction, machinery, and pharmaceuticals have also seen upward adjustments in their 2026/2027 net profit forecasts [5][54]. Group 5: Northbound Trading Activity - Northbound trading activity has decreased, continuing to net sell A-shares. The ratio of buy/sell amounts in sectors like electric new energy, electronics, and automotive has increased, while it has decreased in food and beverage, communications, and non-ferrous metals [6][31]. - Northbound trading primarily net bought coal and oil and petrochemical sectors, while net selling occurred in electronics, computing, chemicals, and other sectors [6][33]. Group 6: Margin Financing Activity - Margin financing activity has slightly rebounded but remains at a low level. The net buying was primarily in electric new energy, chemicals, and computing sectors, while net selling occurred in non-ferrous metals, communications, and military sectors [7][35]. - The financing buy-in ratio has increased across most sectors, indicating a slight recovery in margin financing activity [7][38]. Group 7: Fund Activity - Active equity funds have increased their positions, particularly in military, machinery, and automotive sectors, while reducing positions in non-ferrous metals, oil and petrochemicals, and steel sectors [9][45]. - The correlation of active equity funds with large/mid/small-cap growth has increased, while the correlation with value stocks has decreased [9][48].