Group 1 - The report indicates a rebound in growth style driven by positive changes in liquidity and industrial catalysts, including the Federal Reserve's interest rate cut and the lifting of restrictions on H200 chip exports to China [2][10] - The AI industry is in a phase of rapid evolution, with infrastructure scaling up and application scenarios being implemented, leading investors to believe that technology growth may remain a key theme in the current bull market [2][10] - The report suggests that the growth sector may still be in a high-level oscillation phase, with various factors such as the uncertainty of the Fed's rate cut schedule and adjustments in overseas tech stocks potentially limiting the rebound space for the tech sector [2][10] Group 2 - The report highlights that during the year-end transition period, growth stocks typically benefit from ample liquidity, and the current macroeconomic expectations are weak, which may create a favorable environment for growth stock rebounds [3][11] - It is assumed that the current phase is still early in the growth stock bull market, with expectations of a second wave of accelerated growth driven by incremental capital in the later stages of the bull market [3][14] - The report emphasizes that high-quality segments within the growth stocks may offer better allocation value, with specific attention to sectors like consumer electronics, gaming, and renewable energy [3][26] Group 3 - The report provides a historical performance analysis of major sectors during year-end transitions, indicating that growth stocks generally outperform other sectors [11][12] - It notes that the internal rotation and expansion of growth stocks are likely to continue, with significant changes in leading sectors and fund holdings compared to previous bull market phases [21][24] - The report suggests that the valuation of growth stocks is generally not low, and high-cost performance segments may present better investment opportunities moving forward [3][26]

Investment Rating - The investment rating for the steel industry is "Positive" [2] Core Viewpoints - The steel sector is currently facing supply-demand contradictions, but with the implementation of various "stabilization growth" policies, overall steel demand is expected to remain stable or slightly increase, supported by real estate stabilization, steady infrastructure investment, and continued manufacturing development [3] - The report highlights that the steel industry is likely to maintain a stable supply-demand situation, with a tightening supply under the expectation of price control policies and increasing industry concentration [3] - The report suggests that there are structural investment opportunities in the steel sector, particularly in high-margin special steel companies and leading steel enterprises with strong cost control and scale effects [3] Supply Situation - As of December 12, the capacity utilization rate of blast furnaces in sample steel companies is 85.9%, down 1.16 percentage points week-on-week [26] - The average daily pig iron output is 2.292 million tons, a decrease of 3.10 thousand tons week-on-week [26] - The total output of five major steel products is 6.957 million tons, down 3.20% week-on-week [26] Demand Situation - As of December 12, the consumption of five major steel products is 8.397 million tons, a decrease of 2.83% week-on-week [36] - The transaction volume of construction steel by mainstream traders is 98,000 tons, down 0.79% week-on-week [36] Inventory Situation - As of December 12, the social inventory of five major steel products is 9.417 million tons, down 3.76% week-on-week [44] - The factory inventory of five major steel products is 3.904 million tons, up 0.86% week-on-week [44] Steel Prices & Profits - As of December 12, the comprehensive index for ordinary steel is 3,434.0 yuan/ton, down 1.14% week-on-week [50] - The profit for rebar produced in blast furnaces is 21 yuan/ton, down 38.24% week-on-week [56] - The profit for electric arc furnace steel for construction is -25 yuan/ton, unchanged week-on-week [56] Raw Material Situation - As of December 12, the spot price index for Australian iron ore (62% Fe) is 785 yuan/ton, down 0.63% week-on-week [74] - The price of first-grade metallurgical coke is 1,825 yuan/ton, down 55 yuan/ton week-on-week [74] Investment Suggestions - The report recommends focusing on regional leading enterprises with advanced equipment and environmental standards, such as Shandong Steel, Hualing Steel, and Baosteel [3] - It also suggests paying attention to companies with excellent growth potential and restructuring capabilities, such as Nanjing Steel and Maanshan Steel [3]

Investment Rating - The investment rating for the coal mining industry is "Positive" [2] Core Viewpoints - The current phase is seen as the beginning of a new upward cycle for the coal economy, with a resonance between fundamentals and policies, making it an opportune time to accumulate coal sector investments [10][11] - The supply-side constraints that have been in place since July remain, suggesting limited downside risk for coal prices, which are expected to stabilize [10][11] - The coal sector is characterized by high profitability, cash flow, return on equity (ROE) of 10-15%, and dividend yields exceeding 5%, indicating strong core asset attributes [10][11] - The coal assets are relatively undervalued, with expectations for overall valuation improvement, supported by high premiums in the primary mining rights market [10][11] - The coal sector is expected to maintain a tight supply-demand balance over the next 3-5 years, with high barriers to entry and strong cash flow characteristics [10][11] Summary by Sections Coal Price Tracking - As of December 13, the market price for Qinhuangdao port thermal coal (Q5500) is 753 CNY/ton, down 38 CNY/ton week-on-week [27] - The international thermal coal offshore price for Newcastle NEWC5500 is 78.0 USD/ton, down 6.0 USD/ton week-on-week [27] - The price for coking coal at Jing Tang port remains stable at 1650 CNY/ton [29] Supply and Demand Tracking - The capacity utilization rate for sample thermal coal mines is 92.5%, an increase of 1.0 percentage point week-on-week [44] - The daily coal consumption in inland provinces has increased by 6.20 thousand tons/day (+1.61%) [45] - The daily coal consumption in coastal provinces has increased by 2.00 thousand tons/day (+1.01%) [45] Inventory Situation - As of December 11, coal inventory in inland provinces has decreased by 11.90 thousand tons week-on-week, while coastal provinces saw a reduction of 71.10 thousand tons [45] - The available days of coal in inland provinces have decreased by 0.50 days week-on-week [45] Key Companies to Watch - Focus on stable operators with solid performance such as China Shenhua, Shaanxi Coal, and China Coal Energy [11] - Pay attention to companies with higher elasticity like Yanzhou Coal, Electric Power Energy, and Guanghui Energy [11] - Consider high-quality metallurgical coal companies such as Huaibei Mining and Lu'an Environmental Energy [11]

Investment Rating - The report does not explicitly state an investment rating for the oil refining industry Core Insights - The report highlights a seasonal decline in demand and weak cost support, leading to a downward trend in chemical product price spreads [2] - Domestic key refining project price spread is 2527.61 CNY/ton, with a week-on-week increase of 22.27 CNY/ton (+0.89%), while the international key refining project price spread is 1330.98 CNY/ton, with a week-on-week decrease of 6.23 CNY/ton (-0.47%) [3] - Brent crude oil weekly average price is 62.00 USD/barrel, with a week-on-week decrease of 1.73% [2] Summary by Sections Refining Sector - Positive signals in China-US trade relations boosted market risk appetite, while concerns over Russian supply supported international oil prices [2] - Brent and WTI crude oil prices on December 12, 2025, were 61.12 USD/barrel and 57.44 USD/barrel, respectively, down by 2.63 USD/barrel and 2.64 USD/barrel from December 5, 2025 [2] - Domestic refined oil prices showed slight fluctuations, with diesel and aviation kerosene prices in Southeast Asia experiencing minor increases, while other regions saw price declines [2] Chemical Sector - The industry is entering a demand off-season, with weak cost support leading to a decline in chemical product prices and spreads [2] - Polyolefins prices and spreads have decreased due to a continuous decline in terminal operating levels [2] - EVA prices have dropped due to supply pressure from new installations and weak demand, with the average price at 10028.57 CNY/ton [2] - Benzene prices remained stable, with a slight increase in spreads, while styrene prices increased due to tight supply [2] Major Refining Companies - Stock price changes for six major private refining companies as of December 12, 2025, include: Rongsheng Petrochemical (-4.69%), Hengli Petrochemical (-5.22%), Dongfang Shenghong (-0.96%), Hengyi Petrochemical (-1.09%), Tongkun Co. (-6.62%), and Xin Fengming (-9.99%) [2]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the A - share market showed a significant differentiation pattern. The performance of broad - based indices was diverse, with the BeiZheng 50 and ChiNext Index leading the gains, while the Shanghai Composite Index and CSI 300 had slight pullbacks, and the CSI Dividend and China Securities Value Index had relatively large pullbacks. At the industry level, the communication sector was strong, while traditional energy and real - estate industrial chain - related sectors were under pressure. The margin trading balance reached a phased high on Wednesday and then declined, with the latest level on Thursday at 25079.82 billion yuan. [3][11] - Active equity funds' stock positions continued the downward trend, with the position of allocation - type funds falling back to the level around the end of July. In terms of industry allocation, in the short - term, the change in the allocation structure was relatively limited. From a medium - term perspective, the positions in the electronics and new energy industries continued to rise, and the exposure level of active equity funds to the large - cap growth style further increased. [3][11] - In the ETF market, A500 and Hong Kong - stock technology - related indices continued to receive net capital inflows, while indices such as the ChiNext Index, securities firms, CSI Bank, and convertible bonds had varying degrees of net capital outflows. [3][11] - In the context of a marginal increase in risk aversion, it is recommended to focus on structural allocation, moderately pay attention to sectors with mid - term prosperity advantages, maintain a relatively balanced allocation at the index level, and control the overall position. [3][11] 3. Summary According to Relevant Catalogs 3.1 This Week's Market Review - **Broad - based Index Performance**: The A - share broad - based indices showed a differentiated trend this week. The BeiZheng 50 and ChiNext Index led the gains, while the Shanghai Composite Index, CSI 300, CSI Dividend, and China Securities Value Index had pullbacks. As of December 12, 2025, the Shanghai Composite Index closed at 3889.35 points, with a weekly change of about - 0.34%; the Shenzhen Component Index closed at 13258.33 points, with a weekly change of about 0.84%; the ChiNext Index closed at 3194.36 points, with a weekly change of about 2.74%; and the CSI 300 closed at 4580.95 points, with a weekly change of about - 0.08%. [11][12] - **Industry Index Performance**: The performance of primary industries was also significantly differentiated. The communication sector led the gains, while coal and petroleum and petrochemical sectors had relatively large declines. The top - performing industries in terms of weekly change were communication (5.92%), national defense and military industry (3.57%), electronics (2.51%), power equipment and new energy (1.34%), and machinery (1.33%); the bottom - performing industries were coal (- 3.80%), petroleum and petrochemical (- 3.43%), textile and clothing (- 2.68%), real estate (- 2.62%), and steel (- 2.53%). [14] 3.2 Public Funds - **Public Fund Position Calculation**: Active equity funds' stock positions continued to decline, with the position of allocation - type funds falling back to the level at the end of July. As of December 12, 2025, the average position of active equity funds was about 88.41%. Among them, the average position of ordinary stock - type funds was about 91.71% (up 0.10 pct from last week), the average position of partial - stock hybrid funds was about 89.72% (down 0.05 pct from last week), the average position of allocation - type funds was about 85.03% (down 0.49 pct from last week), and the average position of "fixed - income +" funds was about 23.33% (up 0.03 pct from last week). [2][21] - **Style Trends of Active Equity Products**: The exposure to the large - cap growth style has significantly increased compared to three months ago, with little change this week. As of December 12, 2025, the large - cap growth position of active partial - stock funds was 42.77% (down 0.12 pct from last week), the large - cap value position was 6.61% (down 0.23 pct from last week), the mid - cap growth position was 7.67% (up 0.09 pct from last week), the mid - cap value position was 7.44% (up 1.43 pct from last week), the small - cap growth position was 26.82% (down 0.86 pct from last week), and the small - cap value position was 8.69% (down 0.31 pct from last week). [3][29] - **Industry Trends of Active Equity Products**: In the past three months, the positions in electronics and new energy have significantly increased, while the positions in medicine and banking have decreased. This week, the industries with relatively large increases in the allocation ratio of active equity funds were petroleum and petrochemical (about 0.92%, up 0.11 pct from last week), electronics (about 20.79%, up 0.11 pct from last week), real estate (about 0.63%, up 0.09 pct from last week), building materials (about 0.93%, up 0.08 pct from last week), and power equipment and new energy (about 8.57%, up 0.07 pct from last week). The industries with relatively large decreases in the allocation ratio were computer (about 4.51%, down 0.20 pct from last week), steel (about 1.12%, down 0.08 pct from last week), agriculture, forestry, animal husbandry and fishery (about 1.78%, down 0.08 pct from last week), transportation (about 1.21%, down 0.06 pct from last week), and medicine (about 10.20%, down 0.05 pct from last week). [3][32] - **ETF Market Tracking**: This week, equity indices with a net inflow of over 1 billion yuan included A500, Hang Seng Technology, Science and Technology Innovation 50, and Hong Kong Stock Connect Technology. Indices with a net outflow of over 1 billion yuan included the ChiNext Index, securities companies, CSI Bank, and CS Artificial Intelligence. The total net outflow of domestic stock - index ETF funds was about 9.893 billion yuan, with a total scale of 36740.46 billion yuan; the total net inflow of overseas index ETFs was about 10.139 billion yuan, with a total scale of 9385.21 billion yuan; the total net inflow of bond - index ETFs was about 2.954 billion yuan, with a total scale of 7208.3 billion yuan; and the total net inflow of commodity - index ETFs was about 0.121 billion yuan, with a total scale of 2435.63 billion yuan. [34] - **Newly Established Funds**: This week, there were 27 newly established domestic funds, including 3 active equity funds. The total newly - issued share of active equity funds was about 2.152 billion shares, which was at the 50% quantile in the past year. Since the beginning of this year, 312 active equity funds have been newly issued, with a total scale of about 156.326 billion yuan, exceeding the levels of last year and 2023. 574 passive equity funds have been newly issued, with a total scale of about 307.153 billion yuan, significantly exceeding the levels of previous years. [40] 3.3 Main/Active Capital Flows - Active funds had a net inflow into electronics and communication. The main funds had a net outflow from electronics, computer, and basic chemicals this week. In terms of individual stocks, stocks with main - fund net inflow and small - and medium - sized order net outflow included Dongshan Precision, Shenghong Technology, BYD, Lingyizao, and Xiangnong Core Creation; stocks with main - fund net outflow and small - and medium - sized order net inflow included ZTE, Sungrow Power Supply, Tianfu Communication, Industrial Fulin, and Aerospace Development. In terms of industries, industries with main - fund net inflow and small - and medium - sized order net outflow were not specified; industries with main - fund net outflow and small - and medium - sized order net inflow included electronics, computer, basic chemicals, communication, and medicine. The net main - buying amount this week was about - 280.694 billion yuan, and active funds had a net inflow into electronics and communication. Active funds were more optimistic about stocks such as New E - Sheng, Dongshan Precision, Ping An of China, Shenghong Technology, and Changxinbochuang, while stocks such as China Merchants Bank, Kweichow Moutai, ZTE, Yonghui Superstores, and Industrial Fulin were net - sold by active funds. The industries with the highest net main - buying amounts were electronics and communication; the industries with relatively large outflows were medicine, basic chemicals, computer, machinery, and non - ferrous metals. [5][50]

云南顶格提升容量电价，"中国管道天然气现货价格"正式发布 【】【】[Table_Industry] 公用事业—电力天然气周报 [Table_ReportDate] 2025 年 12 月 14 日 15666646523.tcy 证券研究报告 [Table_StockAndRank] 公用事业 投资评级 看好 邮 箱：lichunchi@cindasc.com 邢秦浩 电力公用分析师 执业编号：S1500524080001 联系电话：010-83326712 邮 箱：xingqinhao@cindasc.com 化工行业： 唐婵玉 电力公用分析师 执业编号：S1500525050001 邮 箱：tangchanyu@cindasc.com 信达证券股份有限公司 CINDA SECURITIES CO.，LTD 北京市西城区宣武门西大街甲127号金隅大厦 B座 邮编：100031 [Table_Title] 云南顶格提升容量电价，"中国管道天然气现货价 格"正式发布 行业研究——周报 [Table_ReportType] 行业周报 2025 年 12 月 14 日 本期内容提要: 请阅读最后一页免责声明及信息披 ...

11 月乘用车零售销量同比降 8%，中央定调 2026 年优化"两 新"政策实施 [Table_Industry] 汽车周报 [Table_ReportDate] 2025 年 12 月 14 日 2 证券研究报告 行业研究 [Tabl 行业周报e_ReportType] | 1、 板块市场表现：本周 A 股汽车板块跑赢大盘 4 | | --- | | 2、 行业重点新闻 7 | | 3、 上游重点数据跟踪 9 | | 4、 风险因素 10 | | [Table_StockAndRank] 汽车 | | | --- | --- | | 投资评级 | 看好 | | 上次评级 | 看好 | 赵启政 汽车行业分析师 执业编号：S1500525030004 邮箱：zhaoqizheng@cindasc.com [Table_ReportDate] 2025 年 12 月 14 日 投资要点： 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅大厦 B 座 邮编：100031 请阅读最后一页免责声明及信息披露 http://www.cindasc.com ...

Investment Rating - The report maintains a "Positive" investment rating for the environmental sector, consistent with the previous rating [2]. Core Insights - The green liquid fuel market, particularly green ammonia and green methanol, is gaining traction due to supportive policies and market demand. The Ministry of Industry and Information Technology, along with other agencies, has emphasized the development of these fuels as part of the clean energy transition [18][19]. - As of the end of 2024, there are 119 green ammonia projects and 165 green methanol projects in China, with respective production capacities of 20.17 million tons/year and 52.57 million tons/year. Most projects are in early stages, indicating potential for capacity release [22][28]. - The report highlights the significant role of green ammonia in the energy system, particularly in coal power plant modifications, with a target of 10% co-firing by 2024 [19]. - The report suggests that the environmental sector will maintain high growth due to increasing demands for energy efficiency and resource recycling, with a focus on water and waste incineration sectors as stable revenue generators [53]. Summary by Sections Market Performance - The environmental sector underperformed the broader market, with a decline of 0.61% as of December 12, 2025, compared to a 0.34% drop in the Shanghai Composite Index [10][13]. Industry Dynamics - Recent policies include a notification from the Ministry of Industry and Information Technology and the People's Bank of China to support green factory construction through green finance [33]. - The ecological environment ministry is seeking public opinion on emergency control standards for water pollution, aiming to enhance environmental emergency response capabilities [35]. Investment Recommendations - The report recommends focusing on companies like Huanlan Environment, Xingrong Environment, and Hongcheng Environment, which are expected to benefit from the ongoing market reforms and stable cash flows [53].

Investment Rating - The report does not specify a direct investment rating for the industry but emphasizes a positive outlook on green finance initiatives and ESG investments [2][3]. Core Insights - The report highlights the strengthening of green finance supply by two departments, focusing on three key support directions: technological breakthroughs and industrial applications, enterprise green transformation, and zero-carbon factory construction [3][12]. - By 2030, the goal is to increase the output value of green factories at national, provincial, and municipal levels to 40% [3][12]. - The report indicates a significant growth in ESG bonds, with a total issuance of 3,832 bonds and a stock scale of 5.72 trillion RMB, where green bonds account for 62.15% [5][29]. - The ESG public fund market consists of 944 products with a total net value of 11,645.22 billion RMB, with ESG strategy products making up 45.09% [5][35]. - The report notes that 95% of business leaders view climate transition as a source of growth and opportunity, indicating a shift in perspective towards sustainability [21][22]. Summary by Sections Domestic Focus - The Ministry of Industry and Information Technology and the People's Bank of China have issued a notice to enhance green finance support, targeting three main project categories [3][12]. - The report outlines the implementation of a carbon footprint factor database by 2027, aiming to improve data quality and international influence [13]. - Hubei Province has completed the first compliance of multiple industries under the national carbon market, marking a significant local practice for the market's operation [14]. International Focus - The World Bank's report on Mauritania highlights the country's economic challenges and the need for diversification beyond the mining sector, which currently contributes 70% of exports and one-fifth of GDP [4][18]. - The ISSB has made targeted revisions to the IFRS S2 to support the implementation of climate-related disclosures [19]. - Munich Re has set new climate targets for its insurance and investment portfolios, emphasizing a commitment to climate solutions [20]. ESG Financial Products Tracking - The report provides detailed statistics on ESG bonds, public funds, and bank wealth management products, indicating a robust market presence and growth potential [5][29][40]. - The issuance of ESG bonds in the past year totaled 1,231 bonds with a total amount of 13,668 billion RMB [5][29]. Index Tracking - As of December 12, 2025, major ESG indices have shown varied performance, with the Shenzhen ESG 300 index having the highest increase of 14.75% over the past year [7][41]. Expert Opinions - Experts emphasize the integration of technology and finance to build a resilient and efficient sustainable development paradigm, highlighting China's advantages in climate technology [8][42].

Quantitative Models and Construction Methods Model 1: Dividend Forecast and Basis Adjustment Model - **Model Name**: Dividend Forecast and Basis Adjustment Model - **Model Construction Idea**: The model predicts the dividend points of the underlying index of stock index futures during the contract period and adjusts the basis accordingly. - **Model Construction Process**: - Predict the dividend points of the underlying index for the next year. For example, the predicted dividend points for the CSI 500, CSI 300, SSE 50, and CSI 1000 indices are 84.93, 90.40, 75.15, and 63.87, respectively[9][10][11][12][13][14][15][16][17][18]. - Calculate the basis as the difference between the futures contract closing price and the underlying index closing price. - Adjust the basis by adding the expected dividends during the contract period to the actual basis. - Annualize the adjusted basis using the formula: $$ \text{Annualized Basis} = \frac{\text{Actual Basis} + \text{Expected Dividend Points}}{\text{Index Price}} \times \frac{360}{\text{Remaining Days of the Contract}} $$ - Example: The annualized basis for the IC current season contract adjusted for dividends is -8.64%[19][20][21][22][23][24][25][26][27][28][29][30][31][32][33][34][35][36][37][38][39][40][41][42]. - **Model Evaluation**: The model effectively adjusts the basis to account for dividends, providing a more accurate measure of the futures contract's value relative to the underlying index. Model 2: Continuous Hedging Strategy - **Model Name**: Continuous Hedging Strategy - **Model Construction Idea**: The strategy aims to hedge the basis risk by continuously holding futures contracts and adjusting positions based on the contract's expiration. - **Model Construction Process**: - **Backtest Parameters and Settings**: - Backtest period: July 22, 2022, to December 12, 2025[43][44][45]. - Spot end: Hold the total return index of the corresponding underlying index. - Futures end: Use 70% of the funds for the spot end and the same nominal principal amount for the futures end, occupying the remaining 30% of the funds. - Rebalance rule: Continuously hold the current month/season contract until the contract has less than 2 days to expiration, then close the position at the closing price and short the next season/current month contract at the closing price. - **Performance**: - Annualized return: -3.41% (current month), -2.42% (season), -1.94% (minimum basis strategy)[46][47][48][49][50][51][52][53][54][55][56][57][58][59][60]. - Volatility: 3.80% (current month), 4.70% (season), 4.51% (minimum basis strategy). - Maximum drawdown: -11.20% (current month), -8.34% (season), -8.70% (minimum basis strategy). - Net value: 0.8893 (current month), 0.9205 (season), 0.9360 (minimum basis strategy). - **Model Evaluation**: The continuous hedging strategy provides a systematic approach to managing basis risk, though it may result in negative returns under certain market conditions. Model Backtest Results - **Dividend Forecast and Basis Adjustment Model**: - CSI 500: Annualized basis -8.64%[20] - CSI 300: Annualized basis -3.44%[27] - SSE 50: Annualized basis -0.70%[32] - CSI 1000: Annualized basis -12.38%[38] - **Continuous Hedging Strategy**: - CSI 500: Annualized return -3.41% (current month), -2.42% (season), -1.94% (minimum basis strategy)[46] - CSI 300: Annualized return 0.36% (current month), 0.70% (season), 1.08% (minimum basis strategy)[52] - SSE 50: Annualized return 1.08% (current month), 2.02% (season), 1.68% (minimum basis strategy)[56] - CSI 1000: Annualized return -6.43% (current month), -4.70% (season), -4.38% (minimum basis strategy)[58] Quantitative Factors and Construction Methods Factor 1: Cinda-VIX - **Factor Name**: Cinda-VIX - **Factor Construction Idea**: Reflects the market's expectation of future volatility of the underlying asset based on option prices. - **Factor Construction Process**: - Calculate the implied volatility of options with different maturities. - Aggregate the implied volatilities to form the VIX index for different indices. - Example: As of December 12, 2025, the 30-day VIX for SSE 50, CSI 300, CSI 500, and CSI 1000 are 15.93, 17.03, 22.82, and 20.49, respectively[61][62][63][64][65][66][67][68][69][70][71][72]. - **Factor Evaluation**: The Cinda-VIX index provides valuable insights into market sentiment and expected volatility, aiding in risk management and trading decisions. Factor 2: Cinda-SKEW - **Factor Name**: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, indicating market expectations of tail risk. - **Factor Construction Process**: - Calculate the implied volatility for options with different strike prices. - Measure the skewness of the implied volatilities to form the SKEW index. - Example: As of December 12, 2025, the SKEW for SSE 50, CSI 300, CSI 500, and CSI 1000 are 101.80, 108.04, 104.65, and 108.10, respectively[68][69][70][71][72][73]. - **Factor Evaluation**: The Cinda-SKEW index captures market concerns about tail risks, providing a useful tool for assessing potential market stress and investor sentiment. Factor Backtest Results - **Cinda-VIX**: - SSE 50: 15.93[61] - CSI 300: 17.03[61] - CSI 500: 22.82[61] - CSI 1000: 20.49[61] - **Cinda-SKEW**: - SSE 50: 101.80[68] - CSI 300: 108.04[68] - CSI 500: 104.65[68] - CSI 1000: 108.10[68]