Quantitative Factor and Construction Methodology - **Factor Name**: Turnover Distribution Uniformity (UTD) Factor [1][6][7] - **Factor Construction Idea**: The UTD factor is an improvement over the traditional turnover rate factor, leveraging minute-level transaction volume data to reduce misclassification of stock samples and enhance stock selection performance [1][6][7] - **Factor Construction Process**: 1. Collect minute-level transaction volume data for individual stocks [1][7] 2. Calculate the turnover rate distribution uniformity based on the dispersion of turnover rates across different time intervals [7] 3. Construct the UTD factor by quantifying the uniformity of turnover rate distribution [7] 4. Perform style, industry, and proprietary factor neutralization to ensure the purity of the UTD factor [1] - **Factor Evaluation**: The UTD factor significantly reduces the misclassification of stock samples and demonstrates superior stock selection performance compared to traditional turnover rate factors [1][6][7] --- Factor Backtesting Results - **Traditional Turnover Rate Factor (Turn20)**: - Monthly IC Mean: -0.072 [6] - Annualized ICIR: -2.10 [6] - Annualized Return: 33.41% [6] - IR: 1.90 [6] - Monthly Win Rate: 71.58% [6] - **UTD Factor (2014/01-2025/09)**: - Annualized Return: 19.82% [1][7][12] - Annualized Volatility: 7.39% [1][7][12] - IR: 2.68 [1][7][12] - Monthly Win Rate: 77.30% [1][7][12] - Maximum Drawdown: 5.51% [1][7][12] - **UTD Factor (September 2025)**: - 10-group long portfolio return: 0.91% [1][11] - 10-group short portfolio return: 0.52% [1][11] - 10-group long-short portfolio return: 0.39% [1][11]

- The report introduces the "Information Distribution Uniformity (UID) factor" as a stock selection factor, which is constructed using minute-level data of individual stocks to calculate daily high-frequency volatility[1][6] - The UID factor significantly outperforms traditional volatility factors in stock selection, even after removing the interference of commonly used market styles and industries, with an annualized ICIR of -3.17[1] - The performance of the UID factor from January 2014 to September 2025 includes an annualized return of 26.48%, annualized volatility of 9.88%, an information ratio (IR) of 2.68, a monthly win rate of 78.72%, and a maximum monthly drawdown of 6.05%[1][7][12] - In September 2025, the 10-group long portfolio of the UID factor in the entire A-share market had a return of 1.84%, the 10-group short portfolio had a return of 0.04%, and the 10-group long-short hedged portfolio had a return of 1.80%[1][11] - The construction process of the UID factor involves using minute-level price data to calculate the high-frequency volatility of individual stocks and then constructing the UID factor based on the uniformity of information distribution[1][6] - The report highlights that the UID factor, despite being a single factor, shows good stock selection ability and can be a valuable addition to the factor library[1][6]

Macro Strategy - The report identifies three main policy directions: early use of debt quota, 500 billion policy financial tools, and monetary easing [1][4][5] - It predicts a moderate approach to new growth policies, focusing on stabilizing rather than stimulating the economy, with expected GDP growth of around 5% for the year [5][6] Fixed Income and REITs - The report suggests a strategic allocation in public REITs from urban investment platforms, emphasizing a "region first, type second" strategy to identify investment opportunities with economic resilience and stable cash flows [1][7] - It highlights the performance of various provincial REITs, noting that Zhejiang has five existing products with a total scale of 17.443 billion, while Guangdong has three products totaling 12.414 billion [7][8] Company Analysis: Xiaogoods City (小商品城) - Xiaogoods City reported a significant increase in net profit for Q3 2025, with a year-on-year growth of 101%, driven by market operations and trade services [2][8] - The company achieved a revenue of 130.6 billion for the first three quarters of 2025, a 23.1% increase year-on-year, and a net profit of 34.6 billion, up 48.5% [2][8] - The report raises the profit forecast for Xiaogoods City for 2025-2027, with expected net profits of 49.0 billion, 61.6 billion, and 72.8 billion respectively, reflecting a growth of 59%, 26%, and 18% [3][8]

Investment Rating - The report maintains a "Buy" rating for the company [1] Core Insights - The company's Q3 net profit attributable to shareholders increased by 101% year-on-year, driven by significant growth in market operations and trade services [1] - The company achieved total revenue of 13.06 billion yuan in the first three quarters of 2025, representing a year-on-year growth of 23.1% [7] - The company is strategically positioned as a key export hub under the Belt and Road Initiative, with multiple growth drivers such as new market expansions and the Chinagoods platform [7] Financial Performance Summary - For 2025, the company forecasts total revenue of 22.26 billion yuan, a year-on-year increase of 41.44% [1] - The net profit attributable to shareholders is projected to reach 4.90 billion yuan in 2025, reflecting a year-on-year growth of 59.47% [1] - The latest diluted EPS is expected to be 0.89 yuan per share in 2025, with a P/E ratio of 21.30 based on the closing price on October 15 [1][8] Market and Business Development - The new sixth-generation market, the Global Trade Center, commenced operations on October 14, 2025, contributing to revenue growth [7] - The YiwuPay payment service saw transaction volumes exceed 27 billion yuan, growing over 30% year-on-year, indicating expanding business opportunities [7] - The company has successfully launched an overseas market in Osaka, Japan, enhancing its global footprint [7] Future Outlook - The company has revised its net profit forecasts for 2025-2027 upwards, now expecting 4.90 billion yuan, 6.16 billion yuan, and 7.28 billion yuan respectively, indicating strong growth potential [7] - The report highlights the ongoing development of the import positive list and overseas expansion as key growth areas [7]

Macro Strategy - The report identifies three main policy directions for economic stabilization: early use of debt quota, introduction of 500 billion yuan in policy financial tools, and monetary easing [1][7][8] - It predicts that the economic growth rate for the third quarter will be between 4.7% and 4.9%, with an annual target of around 5.0% achievable if the fourth quarter growth exceeds 4.5% [7][8] - The report suggests that the new round of growth stabilization policies will be moderate, focusing on support rather than strong stimulus [8][9] Public REITs Market - The development of public REITs in China has gone through several stages: exploration (2005-2019), initial formation (2020-2021), innovation (2021-2024), and steady expansion (from July 2024 to present) [1][10] - As of September 2025, there are 75 public REITs with a total issuance of 194.33 billion yuan, indicating a growing market [10] - The report highlights that city investment platforms have played a crucial role in the public REITs market, helping to optimize capital structures and reduce debt through asset securitization [1][10] Company-Specific Insights Smoore International (06969.HK) - The company reported a revenue of 10.21 billion yuan for the first three quarters of 2025, a year-on-year increase of 21.8%, with a net profit of 1.13 billion yuan [2][12] - The third quarter saw a revenue increase of 27.2% year-on-year, driven by the successful iteration of new products and local marketing efforts [12] - The company maintains a "buy" rating with projected net profits of 1.33 billion, 2.22 billion, and 2.89 billion yuan for 2025-2027 [2][12] New China Life Insurance (601336) - The company expects a significant increase in net profit for the third quarter, with estimates ranging from 30 billion to 34.1 billion yuan, reflecting a year-on-year growth of 45% to 65% [3][13] - The increase is primarily attributed to improved investment returns and a favorable stock market environment [13] - The report raises the profit forecast for 2025-2027 to 38.7 billion, 40.2 billion, and 41.8 billion yuan, maintaining a "buy" rating [3][13] Chipone Technology (688049) - The company anticipates a revenue increase of 54.5% year-on-year for the first three quarters of 2025, with a net profit growth of 112.94% [4][16] - The focus on AI chip development has led to significant market penetration and revenue growth in various audio products [16] - The report maintains a "buy" rating, adjusting revenue forecasts slightly for 2025-2027 [4][16] Zhongchong Co., Ltd. (002891) - The company reported a 21.1% year-on-year revenue increase for the first three quarters of 2025, with a net profit of 330 million yuan [5][18] - The growth is driven by strong performance in self-owned brands and a stable customer base in overseas markets [18] - The report maintains a "buy" rating with profit forecasts of 450 million, 550 million, and 650 million yuan for 2025-2027 [5][18] Zhenyu Technology (300953) - The company expects a net profit of 600 million to 620 million yuan for the third quarter, reflecting a year-on-year increase of 364% to 413% [6][19] - The report highlights the successful expansion into robotics and the development of new products [19] - The profit forecast for 2025-2027 is raised to 600 million, 900 million, and 1.3 billion yuan, maintaining a "buy" rating [6][19]

M&A Dynamics Overview - From September 15 to October 12, there were a total of 308 merger and acquisition (M&A) events involving listed companies, with 85 classified as significant M&A transactions[9] - Out of these, 67 M&A transactions were completed, including 3 significant ones involving Weitai, Zongyi Co., and Longyang Electronics[9] Policy Updates - On September 30, the China Securities Regulatory Commission (CSRC) emphasized the need to deepen reforms in issuance, refinancing, and M&A to enhance the attractiveness and inclusivity of the capital market[7] - The CSRC also highlighted the importance of institutional investors in corporate governance and encouraged listed companies to increase dividend payouts and share buybacks[7] Major M&A Events - A total of 25 M&A events involved central state-owned enterprises as acquirers during the reporting period[13] - Significant transactions included the acquisition of 100% equity of Cangzhou Xuyang by Binhai Energy, valued at approximately CNY 264.86 million[14] M&A Failure Events - There were 12 failed M&A attempts during the reporting period, indicating a failure rate of approximately 3.9% of total M&A events[17] - Notable failures included the acquisition of 55% equity in Canxi Engineering by Bocheng Co., which was reported on October 11[18] Financial Regulations - New regulations stipulate that the proportion of equity financing in M&A transactions should not be less than 30%, while leveraged financing should not exceed 70% of the transaction value[7]

Investment Rating - The investment rating for the company is "Accumulate" (maintained) [1] Core Views - The company has shown rapid revenue growth, with a 21.8% year-on-year increase in total revenue for the first three quarters of 2025, amounting to 10.21 billion yuan [8] - The HNB (Heated Not Burned) products are gradually being promoted, with positive feedback from customers and plans for expansion into new markets [8] - The company is expected to benefit from stricter regulations in the electronic vaporization market, leading to a recovery in its business [8] Financial Summary - Total revenue projections for 2023A, 2024A, 2025E, 2026E, and 2027E are 11,168 million yuan, 11,799 million yuan, 13,722 million yuan, 16,166 million yuan, and 18,395 million yuan respectively, with year-on-year growth rates of -8.04%, 5.64%, 16.30%, 17.81%, and 13.79% [1] - The net profit attributable to the parent company for the same years is projected to be 1,645 million yuan, 1,303 million yuan, 1,331 million yuan, 2,219 million yuan, and 2,893 million yuan, with year-on-year growth rates of -34.47%, -20.78%, 2.11%, 66.75%, and 30.37% [1] - The latest diluted EPS (Earnings Per Share) is forecasted to be 0.27 yuan, 0.21 yuan, 0.21 yuan, 0.36 yuan, and 0.47 yuan for the years 2023A to 2027E [1] Market Data - The closing price of the company's stock is 15.77 HKD, with a market capitalization of approximately 89.18 billion HKD [5] - The price-to-book ratio is 3.97 [5] - The company has a total share capital of 6,193.04 million shares [6]

- The report introduces the **RPV factor (Renewed Correlation of Price and Volume)**, which is constructed by combining intraday and overnight price-volume correlation information. The factor leverages the reversal effect of closing price sequences and the momentum effect of overnight returns, enhanced by turnover rate sequences. The construction process involves identifying the best representatives for intraday and overnight price-volume correlations (CCOIV and COV), and integrating their information into a unified factor. This factor is designed to capture both reversal and momentum effects effectively[6][7][10] - The report also introduces the **SRV factor (Smart Correlation of Price and Volume)**, which is a refined version of the RPV factor. The SRV factor splits intraday price movements into morning and afternoon sessions, calculates a "smart" indicator for the afternoon session, and identifies the 20% of time intervals with the highest informed trading activity. It then uses the turnover rate during these intervals to calculate the correlation with afternoon price movements. For overnight price-volume correlation, the turnover rate is replaced with the turnover rate of the last half-hour of the previous trading day, which is considered to have a higher proportion of informed trading. The SRV factor combines the improved intraday and overnight price-volume correlation factors into a single composite factor[6][10][11] - The **RPV factor** is evaluated as a novel and effective factor that incorporates both reversal and momentum effects, making it a robust tool for stock selection[6][7] - The **SRV factor** is evaluated as an improvement over the RPV factor, with better performance metrics, including higher annualized returns, information ratio, and lower maximum drawdown. It is considered a more effective factor for stock selection[6][10] - The **RPV factor** achieved an annualized return of 14.26%, annualized volatility of 7.70%, IR of 1.85, monthly win rate of 72.14%, and maximum drawdown of 10.63% during the backtesting period from January 2014 to September 2025[7][10] - The **SRV factor** achieved an annualized return of 17.07%, annualized volatility of 6.51%, IR of 2.62, monthly win rate of 74.29%, and maximum drawdown of 3.93% during the same backtesting period[7][10] - In September 2025, the **RPV factor** achieved a 10-group long portfolio return of 1.24%, short portfolio return of -0.89%, and long-short portfolio return of 2.12%[10] - In September 2025, the **SRV factor** achieved a 10-group long portfolio return of 1.70%, short portfolio return of -1.51%, and long-short portfolio return of 3.21%[10]

Investment Rating - The report maintains an "Overweight" rating for the insurance sector [2] Core Insights - The insurance sector has seen improvements on both asset and liability sides, with valuations and public fund holdings still at low levels. The asset side has been the main driver of the sector's performance in 2024, significantly influenced by the stock market. The fundamentals of the sector are improving, with expectations for steady profit growth in Q3 due to a strong stock market and stable long-term interest rates. The sector's valuation remains attractive compared to historical levels, and the overall new business value (NBV) is expected to maintain a rapid growth rate [2][5][11]. Summary by Sections Historical Performance - Since the listing of insurance stocks in 2007, the insurance index has increased by 165%, outperforming the market by 55%. Notably, in years like 2014, 2017, 2022, and 2024, the sector achieved over 20% excess returns [5][11][12]. Catalysts for Insurance Stock Performance - The three main factors influencing insurance stock performance are stock market trends, long-term interest rates, and liability performance. The correlation between the insurance index and the stock market is strong, with bull markets acting as key catalysts for insurance stock performance. Long-term interest rates significantly impact the insurance companies' profit margins and product sales, while liability performance is assessed through new business premiums and NBV [5][16][19]. Historical Market Trends - The report identifies five significant market trends for the insurance sector since 2014, highlighting the importance of stock market performance, interest rate movements, and liability improvements in driving excess returns. For instance, the 2014-2015 period was characterized by a bull market and high growth in the liability side, while the 2017 period saw a combination of rising interest rates and value transformation leading to significant excess returns [5][42][45]. Current Investment Value - The report indicates that insurance stocks have shown significant excess returns since 2024, with a notable narrowing of the A-H share price gap. Future catalysts for upward price movement in the insurance sector are anticipated [5][11].

- Model Name: "Day and Night Convergence" New Momentum Factor; Model Construction Idea: Based on the price-volume relationship during the day and overnight, the intraday factor and overnight factor are improved and then recombined into a new momentum factor[1][7] - Model Construction Process: 1. Split the trading period into day and night sessions[7] 2. Explore the price-volume relationship in each session separately[7] 3. Construct the "Day and Night Convergence" new momentum factor based on the findings[7] - Model Evaluation: The new factor significantly outperforms the traditional momentum factor in terms of stock selection ability[6][7] - Factor Name: "Day and Night Convergence" New Momentum Factor; Factor Construction Idea: Incorporate the information of "trading volume" into the previous "momentum factor segmentation" research to further explore the differences in investor trading behavior[7] - Factor Construction Process: 1. Split the trading period into day and night sessions[7] 2. Explore the price-volume relationship in each session separately[7] 3. Construct the "Day and Night Convergence" new momentum factor based on the findings[7] - Factor Evaluation: The new factor significantly outperforms the traditional momentum factor in terms of stock selection ability[6][7] Model Backtest Results - "Day and Night Convergence" New Momentum Factor, Annualized Return: 17.95%, Annualized Volatility: 8.70%, IR: 2.06, Monthly Win Rate: 77.86%, Maximum Drawdown: 9.07%[1][7][14] Factor Backtest Results - "Day and Night Convergence" New Momentum Factor, Annualized Return: 17.95%, Annualized Volatility: 8.70%, IR: 2.06, Monthly Win Rate: 77.86%, Maximum Drawdown: 9.07%[1][7][14]