Report Industry Investment Rating No relevant content provided. Core Viewpoints - If the new public offering sales regulations are implemented as per the draft for soliciting opinions, the cost - effectiveness of using traditional bond funds as liquidity management tools for institutional investors, especially wealth management products and bank proprietary trading, will be significantly weakened. Bond ETFs, outside the scope of the new fee reform and with advantages such as good liquidity and low trading costs, may become high - quality alternative tools for institutional liquidity management. The "new regulations" may drive institutional funds to migrate to credit - bond ETFs, bringing expansion opportunities for such products [2][5]. - The bond ETF market's scale slightly increased last week, with the increment mainly coming from credit - bond ETFs. As interest rates rise to a high - value level and institutional funds gradually enter the market, the bond market is expected to stop falling and rebound, which may drive the recovery of the bond ETF market. Additionally, with the upcoming implementation of the new public offering sales regulations and the bond market entering a volatile period, the potential value of bond ETFs as liquidity management and tactical allocation tools is expected to be re - evaluated by the market [2][45]. Summary by Directory 1. Sales New Regulations Impact: Credit - Bond ETF Incremental Funds Calculation - **Potential Scale of Migratable Funds**: - Approximate the scale of short - term pure - bond and passive index - type bond funds as the scale of bond funds held by wealth management products and bank proprietary trading for liquidity management. The combined proportion of short - term pure - bond and passive index - type bond funds under the heavy - position caliber of wealth management products and the affiliated - party holding caliber of bank proprietary trading is 28.9% and 10.1% respectively [9]. - Determine the proportion of credit - type bond funds in the short - term pure - bond and passive index - type bond funds held by wealth management and bank proprietary trading. The proportion of credit - type bond funds in short - term pure - bond and passive index - type bond funds under the heavy - position caliber of wealth management and the affiliated - party caliber of bank proprietary trading is 62.8% and 16.8% respectively, accounting for 18.1% and 1.7% of the total bond - fund scale held by each [11]. - Calculate the full - scale bond - fund scale held by wealth management products and bank proprietary trading. The estimated bond - fund holding scale of wealth management products and bank proprietary trading is 8496 billion yuan and 6927.1 billion yuan respectively. Based on this, the potential scale of migratable funds in the bond - type fund positions of wealth management products and bank proprietary trading under the full - scale is 1540.1 billion yuan and 1181.5 billion yuan respectively [21][22]. - **Actual Migrated Funds Calculation**: - Follow the "duration matching" principle. Part of the funds in the (0, 1], (1, 2], (2, 3], and (3, 4] duration intervals of credit - type short - term pure - bond and passive index - type bond funds held by wealth management products and bank proprietary trading will be transferred to credit - bond ETF products with similar duration intervals after the new regulations are implemented. - Set three scenarios: optimistic, neutral, and pessimistic, corresponding to 10%, 20%, and 50% of the fund migration ratio respectively. The incremental funds obtained by credit - bond ETFs in the optimistic, neutral, and pessimistic scenarios are 234.0 billion yuan, 467.9 billion yuan, and 1169.9 billion yuan respectively, with year - on - year increases of 4.7%, 9.3%, and 23.3% [33]. - **Market Capacity**: Even in the pessimistic scenario with the highest migration ratio, the incremental funds in each duration interval only account for 2.2%, 0.9%, 1.1%, and 0.4% of the corresponding index capacity. Existing credit - bond ETFs can absorb the potential fund migration caused by the new regulations without substantial constraints [42]. 2. Weekly Situation of Bond ETFs - **Fund Inflows of Various Bond ETFs**: - Last week, the net inflows of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were +0.15 billion yuan, +25.42 billion yuan, and - 3.69 billion yuan respectively. The total net inflow of the bond ETF market was 21.89 billion yuan. The scale increment mainly came from credit - bond ETFs [45]. - Among them, science - innovation bond ETFs had the largest net inflow, with a net inflow of 31.59 billion yuan, followed by corporate - bond ETFs (+8.62 billion yuan) and local - bond ETFs (+3.27 billion yuan). The benchmark market - making credit - bond ETF had the largest net outflow, with a net outflow of 13.45 billion yuan [46]. - **Share Trends of Various Bond ETFs**: As of December 5, 2025, the share inflows were concentrated in credit - bond ETFs. The shares of treasury - bond, policy - financial - bond, local - bond, credit - bond, and convertible - bond ETFs were 732.23 million shares, 434.03 million shares, 134.61 million shares, 7415.46 million shares, and 5010.55 million shares respectively, with changes of - 0.31%, - 0.36%, 2.18%, 0.34%, and - 0.55% respectively compared to November 28, 2025 [60]. - **Share and Net Value Trends of Major Bond ETFs**: - The shares of convertible - bond ETFs and 30 - year treasury - bond ETFs significantly outflowed. As of December 5, 2025, compared to November 28, 2025, the share changes of 30 - year treasury - bond ETFs, policy - financial - bond ETFs, 5 - year local - bond ETFs, urban - investment - bond ETFs, and convertible - bond ETFs were - 7.06 million shares, - 1.93 million shares, 0.15 million shares, no change, and - 26.20 million shares respectively [63]. - The net values of all major bond ETFs declined, with the 30 - year treasury - bond ETF showing a significant decline. As of December 5, 2025, compared to November 28, 2025, the net - value changes of 30 - year treasury - bond ETFs, policy - financial - bond ETFs, 5 - year local - bond ETFs, urban - investment - bond ETFs, and convertible - bond ETFs were - 1.82%, - 0.30%, - 0.15%, - 0.05%, and 0.07% respectively [67]. - **Share and Net Value Trends of Benchmark Market - Making Credit - Bond ETFs**: - The shares of benchmark market - making credit - bond ETFs slightly outflowed. As of December 5, 2025, compared to November 28, 2025, the share changes of 8 existing benchmark market - making credit - bond ETFs were mostly negative [70]. - The net values of benchmark market - making credit - bond ETFs continued to decline. As of December 5, 2025, compared to November 28, 2025, the net - value changes of these 8 ETFs were all negative [71]. - **Share and Net Value Trends of Science - Innovation Bond ETFs**: - The share inflow of the science - innovation bond ETF嘉实 was the largest. Among the 24 existing science - innovation bond ETFs, the total share inflow last week was 31.62 million shares, with a 1.24% increase compared to the previous week [76]. - The net - value decline of science - innovation bond ETFs accelerated. As of December 5, 2025, the average net values of the first - batch and second - batch science - innovation bond ETFs decreased by 0.11% and 0.10% respectively compared to the previous week's closing [75]. - **Market Performance of Single Bond ETFs**: - Constrained by the weak bond - market situation, the net values of bond ETF products generally declined. The 30 - year treasury - bond ETF, 30 - year treasury - bond ETF博时, and benchmark treasury - bond ETF led the decline, with decreases of - 1.94%, - 1.83%, and - 0.48% respectively [78]. - In terms of the premium - discount rate, the benchmark treasury - bond ETF, 30 - year treasury - bond ETF, and 5 - year local - bond ETF had higher premium rates, while the benchmark market - making credit - bond and science - innovation bond ETFs generally had higher discount rates [78]. - In terms of scale changes, the science - innovation bond ETF嘉实 (+31.15 billion yuan), corporate - bond ETF (+8.62 billion yuan), and science - innovation bond ETF景顺 (+7.95 billion yuan) had the largest net inflows, while the 30 - year treasury - bond ETF博时, 30 - year treasury - bond ETF, and credit - bond ETF had the largest net outflows [78].

Investment Rating - The report indicates a slight decrease in the overall investment rating for the pharmaceutical sector, with public fund holdings at 9.67%, down by 0.21 percentage points from the previous quarter [2][9]. Core Insights - The pharmaceutical sector's market capitalization accounted for 7.83% of the total market, reflecting an increase of 1.52 percentage points [2][9]. - The top five holdings by public funds include 恒瑞医药 (Hengrui Medicine) with 745 funds, 药明康德 (WuXi AppTec) with 608 funds, 信达生物 (Innovent Biologics) with 297 funds, 迈瑞医疗 (Mindray) with 249 funds, and 三生制药 (3SBio) with 206 funds [2][9]. - The report highlights a significant increase in foreign investment, with a total market value of 1839.40 billion yuan, up by 229.2 billion yuan from the beginning of the period [6][10]. Summary by Sections Public Fund Holdings - The total public fund holdings in the pharmaceutical sector decreased to 9.67%, with a notable drop in active pharmaceutical fund holdings to 6.74% [2][9]. - The market capitalization of the pharmaceutical sector increased to 76270.93 billion yuan [13]. Sector Performance - The top sectors by public fund holdings include chemical preparations at 28.75%, other biological products at 14.27%, and medical research outsourcing at 9.16% [19][20]. - The report notes a significant increase in the holdings of other biological products, which rose by 3.43 percentage points [3][15]. Foreign Investment - Foreign investment in the pharmaceutical sector has shown a notable increase, with the total market value held by foreign investors rising to 1839.40 billion yuan [10][6]. - The report indicates that the foreign shareholding in the pharmaceutical sector is 2.41%, reflecting a slight decrease of 0.02 percentage points [10]. Top Holdings and Changes - The top five companies by total market value held by public funds are 药明康德 (461 billion yuan), 恒瑞医药 (427 billion yuan), 信达生物 (217 billion yuan), 迈瑞医疗 (199 billion yuan), and 康方生物 (135 billion yuan) [2][8]. - The report highlights significant increases in holdings for 药明康德 (+209.4 billion yuan) and 恒瑞医药 (+110.3 billion yuan) [2][8].

Domestic Developments - The National Development and Reform Commission (NDRC) released a list of industry scopes for infrastructure REITs, indicating a more diversified asset base and aiming to enhance the REITs market structure[1] - The NDRC and four other departments issued opinions to address the structural mismatch between digital talent supply and industry demand, highlighting a talent gap of over 32 million in the digital economy[10] - The State Council emphasized the role of new urbanization in driving high-quality economic development, targeting an urbanization rate of nearly 70% by 2028, up from 67% at the end of 2024[15] International Developments - The Bank of Japan hinted at a potential interest rate hike in December, with the 20-year Japanese government bond yield rising to 2.88%, the highest since June 1999[16] - The U.S. ADP employment report showed a decrease of 32,000 private sector jobs in November, the largest drop since March 2023, indicating increasing pressure on the U.S. job market[20] - The European Union proposed a 70% local content requirement for key products, aiming to reduce external dependencies and bolster local manufacturing[22] Market Trends - Brent crude oil prices increased by 0.69% week-on-week, while iron ore and copper prices rose by 0.48% and 3.15%, respectively[24] - Real estate sales in major cities fell by 24.29% week-on-week, with first-tier cities down 25.61% and second-tier cities down 30.47%[40] - The average daily retail sales of passenger cars increased by 2% year-on-year in the last week of November, despite a 7% decline in total retail sales for the month compared to the previous year[40]

Group 1 - The report discusses a significant shift in the pricing paradigm of major assets, characterized by a "K-shaped divergence" where traditional macroeconomic anchors have failed, leading to a decoupling of asset prices from economic fundamentals [4][10][37] - The report quantifies the extent of K-shaped divergence, revealing that the S&P 500 has deviated by approximately 141% from employment data, while gold has shown an extreme deviation of over 400%, indicating a fundamental shift from a "monetary-dominated" phase to a "fiscal-dominated" phase [4][20][37] - The analysis highlights the relationship between interest rates, copper, and gold, noting that since 2022, the nominal interest rates have diverged significantly from implied rates derived from copper and gold, with a maximum gap of 660 basis points [4][38][41] Group 2 - The report introduces a unique "gold coordinate system" perspective, suggesting that in this framework, the S&P 500 aligns more closely with employment data, indicating that the stock market has transformed into a "gold-like" asset that hedges against currency depreciation [4][42][46] - The analysis of various asset models shows that the extreme divergence of the S&P 500 and gold reflects a deep-seated fiscal risk premium embedded in asset prices, with a notable 600 basis point gap between actual interest rates and implied equilibrium rates [4][59][54] - The report outlines potential macro paths for the future evolution of K-shaped divergence, including scenarios of moderate recovery, inflationary pressures leading to political shocks, and recessionary pathways, emphasizing the need for vigilance regarding mid-term recession risks [4][61][69]

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market was weak last week, leading to a double decline in the net value and share of bond ETFs. The market was affected by negative factors such as the rumored implementation of new public - offering sales regulations and Vanke's request for bond extension. In the short term, if the repair market continues, the bond ETF market is expected to gradually stabilize. Also, if the new regulations are implemented as per the draft, bond ETFs may attract some funds migrating from traditional bond funds [2][5]. Summary by Directory 1.1 Various Bond ETFs' Capital Inflow Situation - Last week, the net inflows of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were +3.09 billion yuan, - 4.50 billion yuan, and - 11.06 billion yuan respectively. The total net inflow of the bond ETF market was - 12.47 billion yuan. As of November 28, 2025, the bond ETF fund scale was 716.624 billion yuan, down 0.30% from the previous week and up 298.63% from the beginning of the year, accounting for 12.60% of the total market ETF scale [2][5]. - Short - term financing ETFs, treasury - bond ETFs, and science - innovation bond ETFs had the top three net inflows last week, while benchmark market - making credit - bond ETFs had the largest net outflow of - 24.10 billion yuan [2][6]. 1.2 Various Bond ETFs' Share Trends - As of November 28, 2025, the shares of treasury - bond, policy - financial - bond, local - bond, credit - bond, and convertible - bond ETFs changed by 1.1%, - 1.2%, 1.2%, 0.0%, and - 1.6% respectively compared to November 21, 2025. The total share of bond - type ETFs changed by - 0.5% [18]. 1.3 Main Bond ETFs' Share and Net Value Trends - The shares of convertible - bond ETFs and 30 - year treasury - bond ETFs significantly decreased. As of November 28, 2025, compared to November 21, 2025, the shares of selected main bond ETFs changed by - 20.06 million shares, - 6.18 million shares, 0.15 million shares, 6.70 million shares, and - 113.10 million shares respectively [22]. - Due to the cooling of interest - rate cut expectations, the net values of main bond ETFs all declined. As of November 28, 2025, compared to November 21, 2025, the net values of selected main bond ETFs changed by - 0.66%, - 0.16%, - 0.05%, - 0.06%, and - 0.28% respectively [27]. 1.4 Benchmark Market - Making Credit - Bond ETFs' Share and Net Value Trends - Affected by the panic caused by Vanke's bond extension on November 26, 2025, the 8 existing benchmark market - making credit - bond ETFs faced large redemption pressure. As of November 28, 2025, compared to November 21, 2025, the shares of these 8 ETFs changed by - 5.00 million shares, no change, - 7.20 million shares, no change, - 1.00 million shares, 4.20 million shares, - 2.00 million shares, and - 12.90 million shares respectively [29]. - The net values of these 8 ETFs all declined. As of November 28, 2025, compared to November 21, 2025, the net values changed by - 0.15%, - 0.11%, - 0.12%, - 0.13%, - 0.20%, - 0.19%, - 0.20%, and - 0.21% respectively [30]. 1.5 Science - Innovation Bond ETFs' Share and Net Value Trends - The overall share of science - innovation bond ETFs increased slightly last week. The net inflow of shares was 5.71 million shares, a 0.23% increase from the previous week. The top three products in terms of share inflow were Science - Innovation Bond ETF Fuguo, Science - Innovation Bond ETF Dacheng, and Science - Innovation Bond ETF Taikang [35]. - The net values of science - innovation bond ETFs declined overall. The average net values of the first - batch and second - batch science - innovation bond ETFs decreased by 0.17% and 0.16% respectively compared to the previous week [37]. 1.6 Single Bond ETFs' Market Performance - Constrained by the weak bond market, the net values of bond ETFs generally declined. Shanghai - Stock - Exchange Convertible - Bond ETF, 30 - Year Treasury - Bond ETF Boshi, and 30 - Year Treasury - Bond ETF had the largest declines, at - 0.77%, - 0.75%, and - 0.71% respectively [40]. - In terms of premium - discount rates, Benchmark Treasury - Bond ETF, 30 - Year Treasury - Bond ETF Boshi, and 30 - Year Treasury - Bond ETF had the highest premium rates. In terms of scale changes, Benchmark Treasury - Bond ETF, Science - Innovation Bond ETF Dacheng, and Science - Innovation Bond ETF Fuguo had the top three net inflows [40].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market's interest rate curve widened to 43.95BP last week due to the stable funding situation and volatile market sentiment. Short - term interest rates remained resilient, while long - term and ultra - long - term interest rates fluctuated significantly. The market may experience a repair trend around key events in December. Although short - term fluctuations are inevitable, the expectation of "loose money" is strong, which is expected to create a window for interest rate decline. It is recommended to adopt a left - hand layout strategy, prioritize 3 - 5 - year treasury bonds and policy financial bonds in early December, and gradually extend the duration as the policy signal becomes clear, with the overall duration of the portfolio controlled within 5 - 7 years [3][90][91]. 3. Summary by Relevant Catalogs 3.1 Important Matters - In November 2025, the net MLF injection was 100 billion yuan, and the outstanding scale reached 7.15 trillion yuan, approaching the historical peak [6]. - On the evening of November 26, Vanke announced that it would hold a creditor's meeting to discuss the extension of "22 Vanke MTN004", and the meeting will be held on December 10 [9]. - On November 28, the China Securities Regulatory Commission drafted the "Announcement on Launching the Pilot Program of Commercial Real Estate Investment Trust Funds (Draft for Comment)" and solicited public opinions. The announcement includes product definition, registration and operation management requirements, responsibilities of fund managers and professional institutions, and regulatory responsibilities [10]. 3.2 Money Market 3.2.1 Open Market Operations and Funding Rate Trends - The central bank conducted 7 - day reverse repurchase operations, with a total injection of 1.5118 trillion yuan and maturity of 1.676 trillion yuan, resulting in a net injection of - 164.2 billion yuan. The funding situation was generally loose at the beginning and middle of the week, but the funding stratification intensified on Friday. As of November 28, the R001, R007, DR001, and DR007 rates changed by 3.75BP, 2.70BP, - 1.76BP, and 2.60BP respectively compared to November 21 [11][13][15]. 3.2.2 Certificate of Deposit (CD) Rate Trends and Repurchase Transaction Volume - In the primary market, the CD issuance scale last week was 559.55 billion yuan, with a net financing of - 242.49 billion yuan. The issuance scale of urban commercial banks was the largest, with a net financing of - 827 million yuan. The issuance rates of state - owned banks, joint - stock banks, urban commercial banks, and rural commercial banks for 3 - month and 1 - year CDs changed to varying degrees compared to the previous week. In the secondary market, the yields of CDs with a term of less than 3 months declined, while those with a term of more than 3 months increased [20][23][31]. 3.3 Bond Market 3.3.1 Primary Market - The supply of interest - rate bonds increased last week, mainly due to the growth of local government bond supply. The actual issuance of interest - rate bonds was 716.069 billion yuan, with a net financing of 490.648 billion yuan. From January to November, the financing of local government bonds and treasury bonds was approaching the end. The cumulative net financing of various treasury bonds and local government bonds in 2025 was about 6.23 trillion yuan and 7.12 trillion yuan respectively, showing an obvious increase compared to the average from 2021 to 2024. As of last week, the issuance of special refinancing bonds had reached 2.24 trillion yuan, mainly in long - term and ultra - long - term maturities [34][38][40]. 3.3.2 Secondary Market - The funding situation was relatively stable at the end of the month. Short - term interest rates were stable, while medium - and long - term interest rates fluctuated significantly during the week and slightly recovered on Friday. The spreads between the active and sub - active bonds of 10 - year treasury bonds and national development bonds were relatively stable. The term spread of 10 - year and 1 - year treasury bonds widened to 43.95BP, and the variety spreads of 10 - year and 30 - year local government bonds over treasury bonds also widened [46][53][59]. 3.4 Institutional Behavior Tracking - The scale of leveraged trading was generally stable last week and declined on Friday due to approaching the end of the month. In terms of the cash bond market trading volume, state - owned banks significantly increased their net purchases of treasury bonds with a term of less than 5 years and also increased their purchases of 5 - 10 - year treasury bonds. Rural commercial banks sold treasury bonds with a term of less than 5 years throughout the week but increased their purchases of other term and variety interest - rate bonds, especially 5 - 10 - year policy financial bonds. Insurance companies' willingness to hold treasury bonds with a term of more than 10 years increased significantly. Securities firms and funds were the main sellers, with funds mainly selling treasury bonds with a term of more than 10 years and 5 - 10 - year policy financial bonds. The leverage ratio of all institutions in the inter - bank market in October was about 118.77% [65][74][77]. 3.5 High - Frequency Data Tracking - Last week, the settlement price of rebar futures decreased by 0.73% week - on - week, the settlement price of wire rod futures remained flat, the settlement price of cathode copper futures increased by 1.58%, the cement price index decreased by 0.69%, and the Nanhua Glass Index increased by 4.38%. The CCFI index decreased by 0.09%, and the BDI index increased by 12.53%. The wholesale price of pork decreased by 0.45%, and the wholesale price of vegetables increased by 1.40%. The settlement prices of Brent crude oil futures and WTI crude oil futures decreased by 100.00% and increased by 1.02% respectively. The central parity rate of the US dollar against the RMB was 7.08 [88]. 3.6 Market Outlook - The market may experience a repair trend around the Central Economic Work Conference and the Federal Reserve's interest - rate meeting in December. The "loose money" expectation is strong, which is expected to create a window for interest rate decline. It is recommended to adopt a left - hand layout strategy, prioritize 3 - 5 - year treasury bonds and policy financial bonds in early December, and gradually extend the duration as the policy signal becomes clear, with the overall duration of the portfolio controlled within 5 - 7 years [90][91][92].

Quantitative Models and Construction Methods - **Model Name**: GAN_GRU **Model Construction Idea**: The GAN_GRU model combines Generative Adversarial Networks (GAN) for processing volume-price sequential features and Gated Recurrent Unit (GRU) for encoding sequential features to construct a stock selection factor [4][13] **Model Construction Process**: 1. **GRU Model**: - The GRU model is based on 18 volume-price features, including closing price, opening price, trading volume, turnover rate, etc. [14][17][19] - Training data includes the past 400 days of volume-price features for all stocks, with feature sampling every 5 trading days. The feature sampling shape is 40x18, using the past 40 days' features to predict the cumulative return over the next 20 trading days [18] - Data processing includes outlier removal and standardization for each feature in the time series and cross-sectional standardization at the stock level [18] - The model structure includes two GRU layers (GRU(128, 128)) followed by an MLP (256, 64, 64). The final output, predicted return (pRet), is used as the stock selection factor [22] - Training is conducted semi-annually, with training points on June 30 and December 31 each year. The training set and validation set are split in an 80:20 ratio [18] - Hyperparameters: batch_size equals the number of cross-sectional stocks, optimizer is Adam, learning rate is 1e-4, loss function is IC, early stopping rounds are 10, and maximum training rounds are 50 [18] 2. **GAN Model**: - The GAN model consists of a generator (G) and a discriminator (D). The generator learns the real data distribution and generates realistic samples, while the discriminator distinguishes between real and generated data [23][24] - Generator loss function: $$L_{G} = -\mathbb{E}_{z\sim P_{z}(z)}[\log(D(G(z)))]$$ where \(z\) represents random noise, \(G(z)\) is the generated data, and \(D(G(z))\) is the discriminator's output probability for the generated data [24][25] - Discriminator loss function: $$L_{D} = -\mathbb{E}_{x\sim P_{data}(x)}[\log D(x)] - \mathbb{E}_{z\sim P_{z}(z)}[\log(1-D(G(z)))]$$ where \(x\) is real data, \(D(x)\) is the discriminator's output probability for real data, and \(D(G(z))\) is the discriminator's output probability for generated data [27][29] - The generator uses an LSTM model to retain the sequential nature of input features, while the discriminator employs a CNN model to process the two-dimensional volume-price sequential features [33][37] **Model Evaluation**: The GAN_GRU model effectively captures volume-price sequential features and demonstrates strong predictive power for stock selection [4][13][22] Model Backtesting Results - **GAN_GRU Model**: - IC Mean: 0.1131*** - ICIR (non-annualized): 0.90 - Turnover Rate: 0.83 - Recent IC: 0.1241*** - One-Year IC Mean: 0.0867*** - Annualized Return: 37.52% - Annualized Volatility: 23.52% - IR: 1.59 - Maximum Drawdown: 27.29% - Annualized Excess Return: 23.14% [4][41][42] Quantitative Factors and Construction Methods - **Factor Name**: GAN_GRU Factor **Factor Construction Idea**: The GAN_GRU factor is derived from the GAN_GRU model, leveraging GAN for volume-price sequential feature processing and GRU for sequential feature encoding [4][13] **Factor Construction Process**: - The factor is constructed using the predicted return (pRet) output from the GAN_GRU model. The factor undergoes industry and market capitalization neutralization, as well as standardization [22] **Factor Evaluation**: The GAN_GRU factor demonstrates robust performance across various industries and time periods, with significant IC values and excess returns [4][13][41] Factor Backtesting Results - **GAN_GRU Factor**: - IC Mean: 0.1131*** - ICIR (non-annualized): 0.90 - Turnover Rate: 0.83 - Recent IC: 0.1241*** - One-Year IC Mean: 0.0867*** - Annualized Return: 37.52% - Annualized Volatility: 23.52% - IR: 1.59 - Maximum Drawdown: 27.29% - Annualized Excess Return: 23.14% [4][41][42] Industry-Specific Performance - **Recent IC Rankings (Top 5 Industries)**: - Social Services: 0.2198*** - Real Estate: 0.2027*** - Steel: 0.1774*** - Non-Bank Financials: 0.1754*** - Coal: 0.1537*** [4][41][42] - **One-Year IC Mean Rankings (Top 5 Industries)**: - Non-Bank Financials: 0.1401*** - Steel: 0.1367*** - Retail: 0.1152*** - Textiles & Apparel: 0.1124*** - Utilities: 0.1092*** [4][41][42] - **Recent Excess Return Rankings (Top 5 Industries)**: - Environmental Protection: 7.24% - Machinery: 4.37% - Real Estate: 4.03% - Textiles & Apparel: 3.89% - Building Materials: 2.91% [4][45][46] - **One-Year Average Excess Return Rankings (Top 5 Industries)**: - Building Materials: 2.15% - Real Estate: 1.97% - Social Services: 1.77% - Textiles & Apparel: 1.71% - Retail: 1.62% [4][45][46]

Investment Rating - The report does not explicitly state an investment rating for the ophthalmology industry Core Insights - The ophthalmology medical service market in China is experiencing stable growth, with the market size projected to reach CNY 2,521.5 billion by 2025, reflecting a compound annual growth rate (CAGR) of 16.0% from 2020 to 2025 [7][10] - The revenue structure of companies in the industry is diversifying, with a notable increase in the proportion of refractive and optical services, while the basic medical sector faces pressure from policy changes and demand structure [3][50] - The overall growth rate of ophthalmology hospitals is slowing, with private hospitals expected to increase to 3,044 by 2028, while public hospitals will only expand to 83 [10][11] Company Summaries - Aier Eye Hospital continues to lead the industry with a revenue of CNY 174.84 billion, showing a 7.3% year-on-year growth, demonstrating strong risk resistance [25][29] - Huaxia Eye Hospital reported a revenue of CNY 32.7 billion, with a slight increase of 2.8% year-on-year, while its net profit rose by 3% to CNY 4.3 billion [25][26] - Puri Eye Hospital achieved a revenue of CNY 22.01 billion, with a 3.0% increase, but its net profit saw a significant drop of 66.1% due to new hospital losses and high expenses [25][30] - He Eye Hospital's revenue decreased by 1.1% to CNY 8.6 billion, but its net profit surged by 232.2% to CNY 0.54 billion, benefiting from regional business optimization [25][30] - Xima Medical reported a revenue of CNY 8.6 billion in 2025H1, a 61.29% increase year-on-year, achieving breakeven in mainland China operations [41][41] Market Dynamics - The proportion of refractive income is increasing across companies, with Puri Eye Hospital leading at 49.34%, followed by Aier Eye Hospital at 40.13% [50][47] - The cataract income share is declining, particularly for Huaxia Eye Hospital, which dropped from 22.70% to 20.15% due to the impact of centralized procurement policies [50][51] - The report highlights a trend of increasing high-end surgical procedures, which is driving up average transaction prices in the industry [58]

Investment Rating - The report does not explicitly state an investment rating for the pharmaceutical industry Core Insights - The pharmaceutical industry is gradually stabilizing, with a total revenue of 16,766.9 billion yuan in the first three quarters of 2025, reflecting a slight decline of 0.7% year-on-year. The net profit attributable to shareholders decreased by 1.1% to 1,427.5 billion yuan, while the net profit excluding non-recurring items fell by 8.5% to 1,219.9 billion yuan [3][13][37] - Among the 388 selected pharmaceutical companies, 197 companies achieved revenue growth, accounting for 51%, while 189 companies reported positive net profit growth, representing 49% [3][13] - The third quarter of 2025 saw a positive revenue growth rate of 1.9% year-on-year, with net profit showing stable growth [14] Summary by Sections Overall Industry Performance - The pharmaceutical industry experienced a revenue decline of 0.7% in the first three quarters of 2025, with a total revenue of 16,766.9 billion yuan. The net profit attributable to shareholders decreased by 1.1% to 1,427.5 billion yuan [3][37] - The first three quarters showed a quarterly revenue of 5,586 billion yuan in Q1, 5,593 billion yuan in Q2, and 5,588 billion yuan in Q3, with Q3 marking a return to positive growth [14][16] Sector Performance - **Innovative Drugs and Formulations**: Revenue of 3,437.8 billion yuan (+0.6%) and net profit of 342.8 billion yuan (+5.0%) [4] - **Medical Devices**: Revenue of 1,457 billion yuan (-2.4%) and net profit of 265 billion yuan (-14.4%) [5] - **CXO**: Revenue of 695.7 billion yuan (+13.0%) and net profit of 165.4 billion yuan (+60.0%) [5][30] - **Active Pharmaceutical Ingredients**: Revenue of 782.1 billion yuan (-1.5%) and net profit of 114.2 billion yuan (+6.6%) [5] - **Life Sciences Upstream**: Revenue of 60.2 billion yuan (+0.1%) and net profit of 4.4 billion yuan (+15.6%) [5] - **Medical Services**: Revenue of 436 billion yuan (+0.4%) and net profit of 57.3 billion yuan (-13.8%) [5] - **Blood Products**: Revenue of approximately 176 billion yuan (+0.5%) and net profit of approximately 37.7 billion yuan (-20.0%) [5] - **Retail Pharmacies**: Revenue of 859 billion yuan (+0.7%) and net profit of 35.2 billion yuan (+8.9%) [6] - **Pharmaceutical Distribution**: Revenue of 6,087.3 billion yuan (+1.4%) and net profit of 116.8 billion yuan (+5.5%) [6] - **Traditional Chinese Medicine**: Revenue of 2,506 billion yuan (-3.6%) and net profit of 292.7 billion yuan (-0.5%) [6] - **Vaccine Sector**: Revenue of 174 billion yuan (-49.2%) and net profit of -9 billion yuan (-121.6%) [6] Profitability Analysis - The overall industry saw a decline in gross profit margin and net profit margin, with the gross profit margin at 33.7% and net profit margin at 8.5% [37][40] - The CXO sector exhibited the highest growth in net profit, increasing by 60% [31][35] - The medical device sector faced significant profit pressure, with a net profit decline of 14.4% [5][30]

Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - The resonance of the central bank's outright reverse repurchase and the stock - bond seesaw effect has led to a recovery in the net inflow of bond ETFs. The high - level correction of the equity market last week boosted the bond market, with most types of bond ETFs seeing net inflows [2][5]. - The share of convertible bond ETFs, which had shrunk for many weeks, turned positive significantly. It is expected to be a contrarian position - adding operation during the equity correction period in a slow - bull trend [2][17]. - The overall share of benchmark market - making credit bond ETFs had a small outflow, while the net value increased across the board, which is related to the year - end chasing - up market of underlying credit bonds [2][30]. - The overall share of science and technology innovation bond ETFs increased slightly compared with the previous week, and the net value trend was flat [35][37]. - Funds were buying convertible bond ETFs on dips, as the net value of convertible bond ETFs led the decline while the net inflow ranked high [38]. Summary According to the Directory 1.1 各类债券 ETF 资金净流入情况 - The net inflow of bond ETFs recovered. Last week, the net inflow of interest - rate bond ETFs, credit bond ETFs, and convertible bond ETFs was +37.39 billion yuan, +65.43 billion yuan, and +35.52 billion yuan respectively, with a total net inflow of 138.34 billion yuan in the bond ETF market. As of November 21, 2025, the bond ETF fund scale was 718.778 billion yuan, up 1.77% from the previous week's close and 299.83% from the beginning of the year, accounting for 12.82% of the total market ETF scale [2][5]. - Most types of bond ETFs saw net inflows, with treasury bond ETFs leading in net inflow for three consecutive weeks. Only policy - financial bond ETFs (-0.97 billion yuan) and benchmark market - making credit bond ETFs (-3.23 billion yuan) had small net outflows [2][6]. 1.2 各类债券 ETF 份额走势 - The share of convertible bond ETFs, which had shrunk for many weeks, turned positive significantly. As of the close last week, the shares of treasury bond, policy - financial bond, local bond, credit bond, and convertible bond ETFs increased by 4.83%, -0.20%, 0.95%, 2.32%, and 5.49% respectively compared with the previous week, and the share of bond - type ETFs increased by 3.5% [2][17]. - After continuous net outflows for many weeks, funds flowed into convertible bond ETFs, and it is expected to be a contrarian position - adding operation during the equity correction period in a slow - bull trend [2][17]. 1.3 主要债券 ETF 份额及净值走势 - The shares of major bond ETFs generally increased. As of the close on November 21, 2025, the shares of selected targets changed by 5.15 million shares, -0.15 million shares, no change, 117.60 million shares, and 197.40 million shares respectively compared with the previous week's close [21]. - The 30 - year treasury bond ETF was bought on dips. Affected by long - term interest rate fluctuations and the equity market, the 30 - year treasury bond ETF and convertible bond ETF corrected, with the latter having a more significant decline. The net value of the 30 - year treasury bond ETF turned down while the share showed a net inflow, which may be related to its safe - haven asset attribute during the stock market correction and the central bank's liquidity - caring behavior [2][26]. 1.4 基准做市信用债 ETF 份额及净值走势 - The overall share of benchmark market - making credit bond ETFs had a small outflow. As of the close on November 21, 2025, the shares of 8 credit bond ETFs had little change or a small decrease [27][30]. - The net value of benchmark market - making credit bond ETFs increased across the board, which is related to the year - end chasing - up market of underlying credit bonds. Due to the difficult - to - mine long - end interest - rate bond returns this year, the year - end performance demand promoted credit bond allocation, especially the 3 - 5 - year credit bonds with higher yields, which pushed up the net value of benchmark market - making credit bond ETFs since October [2][30]. 1.5 科创债 ETF 份额及净值走势 - The overall share of science and technology innovation bond ETFs increased slightly compared with the previous week. The net inflow of shares last week was 17.99 million shares, an increase of 0.72% compared with the previous week. Some products had significant net inflows or outflows [35]. - The net value trend of science and technology innovation bond ETFs was flat. As of the close on November 21, 2025, the average net values of the first - batch and second - batch science and technology innovation bond ETFs changed little compared with the previous week [37]. 1.6 单只债券 ETF 市场表现情况 - Funds were buying convertible bond ETFs on dips. Last week, the net values of convertible bond ETFs and Shanghai - Stock - Exchange convertible bond ETFs led the decline due to the adjustment of the equity market. In terms of the premium - discount rate, benchmark treasury bond ETFs, convertible bond ETFs, and 30 - year treasury bond ETFs led in premium rates [38]. - In terms of scale changes, convertible bond ETFs (+26.78 billion yuan), short - term financing ETFs (+25.83 billion yuan), and benchmark treasury bond ETFs (+20.12 billion yuan) ranked in the top three in net inflow, which confirmed the logic of funds allocating convertible bond ETFs on dips [38].