- The report highlights the performance of quantitative funds, particularly index-enhanced funds, with the China Securities 1000 Index Enhanced Fund achieving a weekly median excess return of 0.72%[3][4][7] - The China Securities 500 Index Enhanced Fund showed a weekly median excess return of -0.13%, while the CSI 300 Index Enhanced Fund achieved 0.42% during the same period[3][4][5] - Other index-enhanced funds recorded a weekly median return of 0.14%, with the best-performing fund achieving a return of 7.42% and the worst-performing fund at -3.19%[3][4][8] - Absolute return (hedging) funds had a weekly median return of 0.12%, while other active quantitative funds achieved a significantly higher weekly median return of 2.35%[3][8][10] - Multi-factor funds demonstrated strong performance with a weekly median return of 3.78%, and the best-performing fund in this category achieved a return of 5.32%[15][19][20] - Big data-driven active investment funds achieved a weekly median return of 1.50%, with the best-performing fund reaching 6.00% and the worst-performing fund at -1.59%[15][20]

Investment Rating - The report maintains a "Recommended" rating for the banking sector, highlighting its dividend value and low valuation as attractive for long-term investors [5][10]. Core Insights - A package of fiscal and financial policies has been introduced to support the banking sector, particularly in optimizing loan structures and stabilizing interest margins [7][8]. - The banking sector has experienced a decline of 7.44% year-to-date, underperforming the broader market, primarily due to passive fund outflows [9][10]. - The report emphasizes the potential for credit growth and structural optimization in the banking sector, driven by government policies aimed at supporting small and medium enterprises [8][9]. Summary by Sections Latest Research Insights - The report discusses the implementation of six fiscal and financial policies aimed at enhancing credit support for small and medium enterprises, including a 1.5% interest subsidy on loans [7][8]. - These policies are expected to lower overall financing costs and stimulate demand, thereby benefiting the banking sector [8]. Weekly Market Performance - The banking sector index fell by 2.70% during the week, while the broader Shanghai and Shenzhen 300 index decreased by 0.62% [18]. - State-owned banks, joint-stock banks, city commercial banks, and rural commercial banks saw declines of 4.36%, 3.08%, 0.43%, and 0.70%, respectively [18]. Valuation and Company Performance - As of January 23, 2026, the banking sector's price-to-book ratio stands at 0.64, indicating a 32.99% discount compared to the overall A-share market [35]. - The sector's dividend yield is reported at 4.92%, which is higher than the average for all A-shares, ranking second among industries [35]. - Eight listed banks have reported stable earnings recovery for 2025, with most showing growth in total assets compared to 2024 [15][16].

Price Trends Analysis - The Producer Price Index (PPI) is expected to rebound, but this does not equate to comprehensive re-inflation, as its influence on the Consumer Price Index (CPI) is conditional and phase-dependent[1] - The divergence between CPI and PPI is attributed to increased labor costs, supply-demand imbalances, and changes in policy environments[1] - In 2012, CPI was at 24% while PPI was significantly lower, indicating a historical trend of divergence[4] Causal Relationships - A significant unidirectional positive causality exists from PPI to CPI, while the reverse is not statistically significant[1] - The price transmission mechanism shows variability over time; during demand expansion and policy alignment, PPI positively influences CPI, but this effect weakens during economic adjustments[1] Future Price Outlook - Short to medium-term price increases are primarily driven by rising international commodity prices, leading to cost-push and substitution effects[1] - A 10% increase in crude oil extraction prices is projected to raise PPI by approximately 0.35 percentage points and CPI by about 0.15 percentage points[1] - A similar 10% increase in non-ferrous metal extraction prices is expected to increase PPI and CPI by approximately 0.18 and 0.05 percentage points, respectively[2] Risk Factors - Potential risks include economic structural adjustments and macroeconomic regulatory factors that may impact the transmission of PPI to CPI[1]

Group 1 - The stock position of actively managed equity funds decreased, while the A-share position continued to rise, with a total stock value of 3.39 trillion yuan at the end of Q4 2025, down by 0.19 trillion yuan from Q3 2025. The A-share market value was 2.91 trillion yuan, a decrease of 0.08 trillion yuan [2][8] - The stock allocation structure saw a decrease of 1.40 percentage points to 84.22%, remaining at a historically high level since 2005. The proportion of A-shares in asset allocation continued to rise, increasing by 0.66 percentage points to 72.18% [2][8] Group 2 - In Q4 2025, the allocation ratio for the ChiNext board increased from 23.62% to 24.83%, while the allocation ratios for other boards declined, with the Sci-Tech Innovation board down by 0.93 percentage points [12][13] - The large-cap style's holding value ratio increased by 1.24 percentage points, while the small-cap style decreased by 0.38 percentage points. Among the five major style indices, the cyclical style's holding value ratio rose by 3.23 percentage points [14][16] Group 3 - In terms of industry allocation, 18 primary industries saw an increase in holding value ratios, with notable increases in non-ferrous metals, communication, non-bank financials, basic chemicals, and machinery equipment, each rising by over 0.5 percentage points [17][20] - The top ten industries with increased holdings included communication equipment, industrial metals, insurance II, components, energy metals, general equipment, chemical products, minor metals, airport operations, and grid equipment [31][32] Group 4 - In the Hong Kong stock market, the allocation ratio for actively managed equity funds decreased to 16.10%, down by 3.09 percentage points from Q3 2025. The materials sector saw a significant increase in holding value ratio by 2.42 percentage points, while the financial sector increased by 2.33 percentage points [40][42] - The top five industries in the Hong Kong stock market included software services, medical biology, consumer discretionary retail, semiconductors, and non-ferrous metals, with respective holding values of 626 billion yuan, 430 billion yuan, 344 billion yuan, 237 billion yuan, and 213 billion yuan [45][46] Group 5 - The concentration of the top twenty stocks held by actively managed equity funds showed slight fluctuations, with 17 A-shares and 3 Hong Kong stocks. The number of stocks in the electronic and non-bank financial sectors increased by one, while those in the electric power equipment and medical biology sectors decreased by one [50][51]

Investment Rating - The report maintains a "Recommended" rating for the banking industry [1] Core Insights - The implementation of six fiscal and financial policies aims to stimulate domestic demand, focusing on structural optimization and interest margin improvement [3] - The fiscal interest subsidies, typically between 1-1.5 percentage points, are designed to lower overall financing costs, boost investment and consumption demand, and guide financial resources towards key areas such as technology innovation and support for small and micro enterprises [3] - The report highlights that the fiscal policies will positively support banks in optimizing their structures and stabilizing interest margins, with expectations of a narrowing decline in interest margins due to the upcoming maturity of high-interest fixed deposits in 2026 [3] - The establishment of a 500 billion yuan special guarantee plan for private investment and the optimization of risk-sharing mechanisms for corporate bonds are expected to enhance banks' asset quality and increase their willingness to issue long-term loans [3] - The report suggests that the collaborative fiscal and financial policies will directly benefit credit growth, structural optimization, and risk expectation improvement, while the stable interest margin guidance remains unchanged [3] Summary by Sections Banking Industry - The report emphasizes the positive impact of fiscal policies on credit growth and structural optimization, with a focus on improving risk expectations and stabilizing interest margins [3] - Specific recommendations for individual banks include Industrial and Commercial Bank of China, Agricultural Bank of China, Postal Savings Bank of China, Jiangsu Bank, Hangzhou Bank, and China Merchants Bank [3]

Policy Coordination - Five new fiscal policies were released on January 20, 2026, focusing on consumer loans and private investment, demonstrating effective coordination with the central bank's monetary policies[1] - The policies aim to enhance domestic demand, technological innovation, and support for small and medium-sized enterprises[1] Fiscal Policy Details - A new interest subsidy policy for small and medium enterprises offers a 1.5% annual subsidy with a loan cap of 50 million, targeting 14 key industrial chains[2] - A special guarantee plan for private investment has a total quota of 500 billion, implemented over two years, with a compensation cap raised to 5%[2] - The equipment upgrade loan interest subsidy policy includes a 1.5% annual subsidy for technology innovation loans, with a two-year term[3] Economic Projections - The fiscal policy framework for 2026 indicates an increase in total expenditure, with a projected narrow deficit rate of around 4.0%, corresponding to a deficit scale of approximately 5.9 trillion[6] - The broad budget deficit is expected to be around 12.5 trillion, with a broad deficit rate of about 8.5%[6] Risk Factors - Risks include potential underperformance of domestic economic recovery, inadequate policy implementation, and significant weakness in the real estate market[9]

- The report primarily focuses on the performance of quantitative funds, particularly index-enhanced funds, absolute return funds, and other active quantitative funds, without detailing specific quantitative models or factor construction methodologies[2][3][4] - The performance of index-enhanced funds is highlighted, with the CSI 300 Index Enhanced Funds achieving a weekly excess return median of 0.49%, while CSI 500 Index Enhanced Funds had a negative weekly excess return median of -0.25%. CSI 1000 Index Enhanced Funds and CSI A500 Index Enhanced Funds recorded weekly excess return medians of 0.43% and 0.39%, respectively[3][4][5] - Absolute return (hedging) funds achieved a weekly return median of 0.19%, while other active quantitative funds recorded a higher weekly return median of 1.51%[8][9][10] - Other strategy funds, such as multi-factor funds, demonstrated strong performance with a weekly return median of 1.89%, while big data-driven active investment funds showed a negative weekly return median of -0.89%[15][19][20]

Investment Rating - The report maintains a "Recommended" rating for the real estate industry [1] Core Insights - The real estate industry is experiencing a decline in sales area, with a total of 880 million square meters sold in 2025, representing a year-on-year decrease of 8.7% [5][9] - In December 2025, the monthly sales area increased by 39.88% month-on-month but decreased by 15.60% year-on-year [5] - The total sales revenue for 2025 was 839.37 billion yuan, down 12.60% year-on-year, with December's sales revenue at 88.07 billion yuan, reflecting a month-on-month increase of 44.09% but a year-on-year decrease of 23.60% [5] - The average sales price for the year was 9,527 yuan per square meter, down 0.20% month-on-month and 4.27% year-on-year [5] - The report anticipates improvements in market expectations due to policy support and effective supply management [5] Sales Summary - National sales area for 2025 was 880 million square meters, with a year-on-year decline of 8.7% [5] - December 2025 saw a monthly sales area of 93.99 million square meters, a month-on-month increase of 39.88% but a year-on-year decrease of 15.60% [5] - The average sales price in December was 9,370 yuan per square meter, reflecting a month-on-month increase of 3.01% but a year-on-year decrease of 9.48% [5] Investment Summary - Total real estate development investment for 2025 was 827.88 billion yuan, down 17.20% year-on-year [13] - December 2025's monthly development investment was 41.97 billion yuan, showing a month-on-month decrease of 16.53% and a year-on-year decrease of 35.79% [13] - New construction area for 2025 was 58.77 million square meters, down 20.40% year-on-year, with December's new construction area at 5.313 million square meters, a month-on-month increase of 20.89% [16] - The total completed area for 2025 was 60.348 million square meters, down 18.10% year-on-year, with December's completed area at 20.894 million square meters, reflecting a significant month-on-month increase of 354.92% [18] Funding Summary - Total funds received by real estate companies in 2025 amounted to 931.17 billion yuan, down 13.40% year-on-year [22] - Domestic loans accounted for 140.94 billion yuan, down 7.3% year-on-year [22] - Self-raised funds totaled 331.49 billion yuan, down 12.20% year-on-year, while deposits and prepayments were 280.89 billion yuan, down 16.20% year-on-year [22] Investment Recommendations - The report highlights several companies with strong operational management and financial advantages, including China Merchants Shekou, Poly Developments, and Longfor Group, among others [39] - It suggests focusing on quality developers like Greentown China and China Overseas Development, as well as property management leaders like Greentown Service [39]

Economic Overview - The GDP growth for 2025 is projected at 4.5%, while the nominal GDP is expected to rise by 5.0%[1] - The actual GDP is forecasted to decline, contrasting with the nominal GDP increase, indicating a potential economic slowdown[4] Consumption Trends - Consumer spending recovery is slowing, with a growth rate of only 0.7% in December 2025, primarily due to weak goods consumption[3] - Service consumption continues to improve, showing a growth of 1.3% in December 2025[14] Manufacturing Sector - Manufacturing investment is experiencing a marginal decline, with a decrease of 10.55% year-on-year in December 2025[27] - High-tech industries are still driving production growth, with a notable increase of 28.4% in December 2025[27] Infrastructure Investment - Infrastructure investment is on a downward trend, with a decline of 2.2% year-on-year in December 2025, indicating ongoing challenges in this sector[30] Real Estate Market - Real estate investment continues to weaken, with a significant drop of 35.8% in December 2025 compared to the previous year[3] - Residential sales prices are also declining, with a decrease of 1.7% in December 2025[3] Employment Situation - Employment remains stable, with an unemployment rate of 5.2% in December 2025, but further support is needed to maintain this stability[3]

Core Insights - The report indicates a pullback in ESG strategy excess returns this week, with both ESG screening and sentiment integration strategies underperforming relative to the benchmark [1][4][8]. ESG Screening Strategy (CSI 300) - The ESG screening strategy, based on the report published on December 8, 2023, experienced a decline of 1.87% as of January 16, 2026, compared to a drop of 0.57% in the CSI 300 benchmark, resulting in an excess return of -1.30% [4][7]. - Over the last month, the total return for this strategy was -2%, with a relative total return of -6%, a maximum gain of 2%, and a maximum loss of -2%. The Sharpe ratio stood at -2.59 [7]. ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, derived from the report published on February 28, 2025, saw a decrease of 2.20% as of January 16, 2026, against the CSI 300 benchmark's decline of 0.57%, leading to an excess return of -1.63% [8][11]. - In the latest month, this strategy recorded a total return of -3% and a relative total return of -7%, with a maximum gain of 1% and a maximum loss of -3%. The Sharpe ratio was -4.97 [11].