Investment Rating - The report maintains a "Buy" rating for the communication industry and communication equipment manufacturing sector [4]. Core Insights - The report highlights the ongoing transformation in AI infrastructure, with a shift towards "super nodes" to address single-card computing limitations, and the adoption of liquid cooling technology [2][11]. - Alibaba's commitment to open ecosystems is emphasized, with the introduction of the Alink interconnection protocol, aiming to create a high-speed interconnected system [2][19]. - The launch of the flagship model Qwen3-Max by Alibaba demonstrates significant advancements in AI capabilities, expanding into multimodal functionalities [2][24][26]. Summary by Sections Market Overview - The communication index decreased by 0.28% while the Shanghai Composite Index rose by 0.21% and the Shenzhen Component Index increased by 1.06% [2][10]. Key Companies and Dynamics - The report recommends several companies for investment, including ZTE Corporation, StarNet, China Mobile, and others, focusing on AI computing power, core asset value reassessment, and new productivity sectors [3][4][61]. AI Infrastructure Developments - The report discusses the emergence of super nodes in AI infrastructure, which optimize computing, networking, storage, and power supply [11]. - Liquid cooling technology is becoming standard across various components, indicating a shift towards more efficient cooling solutions in data centers [14]. Ecosystem and Open Source Initiatives - Alibaba aims to build an open-source ecosystem akin to an "Android" for AI, promoting the Alink protocol to break existing technological barriers [19][20]. - The growth of a developer community around AI models is noted, with significant increases in model usage and the introduction of new development frameworks [20]. Model Advancements - The Qwen3-Max model is highlighted for its superior performance, with extensive training data and capabilities that surpass competitors in various benchmarks [25][26]. - The next-generation model Qwen3-Next is introduced, showcasing improvements in computational efficiency and multimodal capabilities [26]. Investment Recommendations - The report lists specific stocks with target prices and investment ratings, indicating a bullish outlook on companies like ZTE Corporation and China Mobile [4][61].

Investment Rating - The report initiates coverage on the company with a rating of "Buy" and sets a target price of RMB 115.52 / HKD 64.12, corresponding to a 2026 PE of 54x / 27x [1][5][7]. Core Views - The company is a global leader in the optical fiber preform, fiber, and cable industry, maintaining the largest market share since 2016. The report anticipates a new growth cycle driven by the rapid development of AI computing infrastructure, with high demand for hollow-core fibers, multimode fibers, and ultra-low loss single-mode fibers [1][3][20]. - The optical fiber and cable industry is characterized by high barriers to entry, heavy manufacturing, and broad applications, with domestic manufacturers leading globally. The report expects a new growth cycle in the optical fiber industry, particularly in data communication driven by AI applications [2][16][18]. Company Analysis - The company occupies a dominant position in the global optical fiber preform, fiber, and cable industry. It is transitioning from a manufacturing-focused entity to a platform-based company, expanding both vertically and horizontally within the optical communication industry [3][20]. - The company has established eight overseas production bases, with overseas revenue accounting for 33.7% in 2024, indicating a strong international presence [3][18][20]. Industry Analysis - The report highlights a high demand for optical fibers in data centers, with a projected CAGR of 76.0% for AI application-related fiber demand from 2020 to 2029. The hollow-core fiber technology is expected to have significant development potential in various applications [2][17]. - The telecommunications sector in China is experiencing a slowdown in demand, while overseas 5G fixed network construction is expected to boost optical fiber exports [2][17]. Profit Forecast and Valuation - The company is projected to achieve net profits of RMB 8.65 billion, RMB 16.21 billion, and RMB 23.92 billion for the years 2025, 2026, and 2027, respectively, with year-on-year growth rates of 27.96%, 87.48%, and 47.51% [5][10]. - The report uses a 2026 valuation framework, assigning a PE of 54x for A-shares and 27x for H-shares, reflecting the company's leading position in the optical fiber industry and its deep engagement in new fiber technologies [5][10].

Report Industry Investment Rating No relevant content provided. Report's Core View - In the fourth week of September, the new - home market in the real estate sector heated up while the second - hand home market cooled down. The "Golden September" effect remains to be seen, but the year - on - year central value is positive, and the second - hand home market in first - tier cities has shown some repair after policy relaxation. Land transactions and premiums are at a low level. [2] - On the production side, freight volume in the industrial sector remains high, coal consumption per day continues to decline, and the industry's operating rates are differentiated. In the construction industry, cement supply and demand have slightly recovered, black supply and demand are weak, and asphalt operating rate has significantly increased. [2] - In terms of external demand, throughput year - on - year remains high, and freight rates have generally decreased month - on - month but recovered year - on - year. [2] - In the consumption sector, travel enthusiasm remains resilient, automobile consumption is basically flat, and National Day travel orders are booming. [2] - In terms of prices, crude oil is significantly affected by supply and geopolitical factors, black - series prices are generally strong, and copper prices have risen due to supply - expectation disturbances. [2] Summary by Relevant Catalogs 1. Consumption - Travel enthusiasm is differentiated. Subway travel has decreased, the congestion delay index has increased, and flight operation rates are lower than those of the same period last year. [3][7] - Automobile consumption is basically flat, textile consumption has recovered, and express delivery collection volume is at a high level. [3][8] - The National Day travel flow and orders are booming. New - type and cross - border tourism are on the rise, and consumption and prices may increase. [3][9] 2. Real Estate - New - home transaction heat has increased, with third - tier cities leading in structure. Second - hand home market heat has declined, and high - level cities' second - hand home markets have slightly cooled down. [6][11] - Second - hand home listing prices and volumes have both decreased. [6][12] - Land market premiums and transaction volumes are at a low level. [6][12] - Last week, real estate policies continued to strengthen on the demand side, including measures in Shanghai and Dongguan. [13] 3. Production - Coal consumption per day has decreased, hydropower generation remains high, and coal prices have increased. [14][15] - Construction industry funds in place have increased year - on - year, with a differentiation between housing construction and non - housing construction funds. [16] - Cement supply and demand have increased, inventory has increased, and prices have risen. Black supply and demand are weak, inventory has decreased, and prices are differentiated. Asphalt operating rate has increased, and prices have risen. PVC operating rate has increased, and styrene operating rate has decreased. [16][17] - Freight volume heat continues, and operating rates are differentiated between upstream and downstream. [18] 4. Construction Industry - Construction industry construction funds have increased year - on - year. [16] - Cement supply and demand have improved, with demand stronger than supply, inventory has increased, and prices have risen. Black supply and demand are weak, and asphalt operating rate has increased year - on - year. [4][16][17] 5. External Demand - Port cargo throughput and container throughput remain resilient. [4][19] - Freight rates: RJ/CRB year - on - year growth rate has decreased, BDI has recovered, international route freight rates have weakened, and domestic import freight rates have increased month - on - month. [4][19][20] - South Korea's exports in the first 20 days of September and Vietnam's exports in the first half of September have shown positive year - on - year growth. [4][19] - The preliminary values of the US Markit manufacturing and service PMI in September have declined, and the eurozone's manufacturing PMI has unexpectedly fallen into the contraction range. [4][20] 6. Prices - The agricultural product index has increased, while the domestic Nanhua industrial product index and the external RJ/CRB index have decreased. [5] - Crude oil, coke, rebar, glass, and non - ferrous metal prices have increased, and iron ore prices have slightly decreased. [5][22][23]

Group 1: Investment Rating - No investment rating for the industry is provided in the report. Group 2: Core Viewpoints - The market's expectation of the capital market is marginally cautious based on certificates of deposit (CDs) and interest rate swaps [1]. - The central bank's continuous "incremental renewal" of MLF for seven months indicates its care for the capital market, and it is expected that the cross - quarter liquidity will be generally stable, with the capital market likely to ease after the holiday [4]. Group 3: Summary by Related Catalogs CDs and Interest Rate Swaps - Last week, the total maturity of CDs was 969.21 billion yuan, and the issuance was 791.87 billion yuan, with a net financing scale of - 177.34 billion yuan. As of the last trading day of last week, the 1 - year AAA CD maturity yield was 1.69%, up from the previous week. This week, the single - week maturity scale of CDs is about 168.84 billion yuan, with less maturity pressure than the previous week [1]. - In terms of interest rate swaps, the average value of the 1 - year FR007 interest rate swap last week was 1.57%, up from the previous week [1]. Repurchase Market - Last week, the pledged repurchase trading volume was between 6.7 trillion and 7.6 trillion yuan. The average R001 repurchase trading volume was 5.5536 trillion yuan, down 724.7 billion yuan from the previous week. As of the last trading day of last week, the outstanding repurchase balance was 12.2 trillion yuan, up from the previous week [2]. - By institution, the lending scale of large banks decreased, while that of money market funds increased. The borrowing scales of securities firms and funds decreased, while that of wealth management increased. As of Friday, the reverse repurchase balances of large banks and money market funds were 4.28 trillion yuan and 2.48 trillion yuan, down 110.3 billion yuan and up 145 billion yuan respectively from the previous week. The repurchase balances of securities firms, funds, and wealth management were 1.76 trillion yuan, 1.97 trillion yuan, and 867.5 billion yuan, down 30.7 billion yuan, 54.2 billion yuan, and up 122.8 billion yuan respectively from the previous week [2]. Bill and Exchange Rate - Last Friday, the 6M national stock bill transfer quotation was 0.85%, down from the last trading day of the previous week. The decline in bill interest rates indicates a decrease in credit demand and an increase in the demand for bill volume - boosting [3]. - Last Friday, the US dollar - to - RMB exchange rate was 7.13, up from the previous week, and the Sino - US interest rate spread widened. Last week, the number of initial jobless claims in the US dropped to the lowest level since July. The US also announced the PCE price index for August, showing that the increase in personal consumption expenditure in August exceeded expectations, and the basic inflation pressure remained stable [3]. Capital Market and Policy - Last week, the open market had a maturity of 2.1268 trillion yuan, including 1.8268 trillion yuan of reverse repurchase maturity and 300 billion yuan of MLF maturity. The open market made a total investment of 3.0674 trillion yuan, including 1.5674 trillion yuan of 7 - day reverse repurchase, 900 billion yuan of 14 - day reverse repurchase, and 600 billion yuan of MLF, with a net investment of 940.6 billion yuan [6]. - Last week, the capital market was generally tight. The average DR007 was 1.54%, up 2BP from the previous week; the average R007 was 1.62%, up 10BP from the previous week; the average DR001 and R001 were 1.41% and 1.46% respectively. The exchange repurchase interest rate increased, with the average GC007 at 1.82%, up 29BP from the previous week. As of the last trading day of last week, the outstanding balance of reverse repurchase was 2.4674 trillion yuan, up from the previous week [6]. This Week's Focus - This week, the open - market capital maturity is 516.6 billion yuan, all of which are reverse repurchase maturities [4]. - On Monday, the eurozone's economic sentiment index for September will be announced; on Tuesday, China's official manufacturing PMI for September will be announced; on Wednesday, the eurozone's harmonized CPI for September will be announced; on Friday, the US non - farm payroll data for September will be announced. There may also be a Politburo meeting this week [4].

Report Industry Investment Rating No relevant content provided. Report's Core View - The release of the Fixed Income and Money Market Development Roadmap in Hong Kong is beneficial to the dim - sum bond market. Policy support may boost the issuance activity of dim - sum bonds, and attention should be paid to the allocation opportunities of new supplies in 1 - 3 years [1][23] Summary According to Related Catalogs Hong Kong Releases Fixed Income and Money Market Roadmap, Beneficial to Dim - sum Bonds - On September 25, 2025, the Hong Kong Securities and Futures Commission and the Hong Kong Monetary Authority jointly released the "Fixed Income and Money Market Development Roadmap", aiming to make Hong Kong a global fixed - income and currency hub [8] - The roadmap proposes ten measures around four aspects: bond issuance, liquidity, offshore RMB business, and infrastructure. For example, in bond issuance, it includes issuing government bonds, promoting Hong Kong's advantages to target markets, and expanding the investor base [8] - As of September 22, 2025, the issuance amount of Chinese dim - sum bonds this year was 4879.85 billion yuan, basically the same as the same period last year. The first - time issuance scale of dim - sum bonds was 966.69 billion yuan, accounting for about 20% of the total issuance scale [11] - Newly issued dim - sum bonds are mainly industrial bonds, followed by urban investment bonds. About half of the maturities are 3 - year bonds, and the issuance amount of ESG dim - sum bonds accounts for nearly 20%. The coupon rate is mostly between 1 - 3%, and the short - term coupon rate is higher [13][16][17][19] Market Review: Bond Funds Sell Medium - and Long - Term Credit Bonds, Credit Bond Yields Rise Across the Board - From September 19 to September 26, 2025, the new regulations on bond fund redemption fees were negative for the bond market. Bond funds sold 110 billion yuan of 1 - 5Y credit bonds throughout the week, and the yields of credit bonds rose across the board, with the supplementary decline of secondary and perpetual bonds being more obvious [2][24] - The yields of general credit bonds rose by 4 - 12BP, and the yields of medium - and long - term bonds rose by more than 6BP. The yields of secondary and perpetual bonds generally rose by 5 - 18BP, and the yields of medium - and long - term bonds rose by more than 10BP [2][24] - Last week, the buying demand weakened. Wealth management products had a net purchase of 166 billion yuan, and funds had a net purchase of 70 billion yuan. The scale of credit bond ETFs was 3642 billion yuan, a 2.22% increase compared with the previous week [2][24] Primary Issuance: Net Financing of Credit Bonds Declines Month - on - Month, and Most Issuance Interest Rates Rise - From September 22 to September 26, 2025, the total issuance of corporate credit bonds was 428.4 billion yuan, a 25% month - on - month increase; the total issuance of financial credit bonds was 132.8 billion yuan, a 36% month - on - month decrease [3][52] - The total net financing of corporate credit bonds was 69.5 billion yuan, a 35% month - on - month decrease. Among them, urban investment bonds had a repayment of 9.1 billion yuan, and industrial bonds had a net financing of 74.2 billion yuan. Financial credit bonds had a total net repayment of 84.6 billion yuan [3][52] - In terms of issuance interest rates, the average issuance interest rate of medium - and short - term notes showed an upward trend except for AAA, and the average issuance interest rate of corporate bonds showed an upward trend except for AA [3][52] Secondary Trading: Medium - and Short - Term Maturities Are Actively Traded, and Long - Term Maturities Remain at a Low Level - Active trading entities are mainly medium - and high - grade, medium - and short - term, central and state - owned enterprises [4][62] - For urban investment bonds, active trading entities are mainly from strong economic and financial provinces and relatively high - spread areas in large economic provinces. Real estate bonds and private enterprise bonds' active trading entities are still mainly AAA, and the trading maturities are mostly medium - and short - term [4][62] - There were no transactions of urban investment bonds with a maturity of more than 5 years among actively traded bonds, which was the same as the previous week [4][62]

Group 1: Macroeconomic Insights - The Japanese Liberal Democratic Party's presidential election is set for October 4, with significant implications for Japan's political and economic landscape, especially given the current loss of majority seats in both houses [2] - In August, industrial enterprise profits in China rebounded significantly to 20.4% year-on-year, up from -1.5% in July, primarily due to a low base effect from the previous year [2][3] Group 2: Fixed Income and Market Strategy - The current market environment suggests a shift towards mid-cap styles and a focus on sectors with high win rates, such as undervalued traditional sectors and non-bank varieties, as the appeal of chasing tech stocks diminishes [4] - The bond market is experiencing volatility, with the ten-year government bond yield surpassing 1.8%, indicating a critical juncture for the bond market [5] Group 3: Oil and Chemical Industry - The "Stabilization Growth Work Plan for the Petrochemical Industry (2025-2026)" aims to enhance high-end supply and regulate major project construction, which is expected to optimize supply and improve industry conditions [6] - The oil and gas sector is anticipated to see a decline in upstream profitability due to increased production by OPEC+, while downstream sectors are expected to benefit from improved demand and cost conditions [7] Group 4: Utilities and Environmental Sector - The profitability of major thermal power companies is expected to improve in Q3 2025, driven by increased electricity generation during peak summer months [8] - The green electricity sector is poised for growth as national subsidies accelerate, with a focus on cash flow and water price adjustments for environmental companies [8] Group 5: Key Companies - HSBC Holdings is positioned favorably due to its strategic focus on Asia and the recovery of the Hong Kong capital market, benefiting from anticipated interest rate cuts and increased capital inflows [10] - Hengrui Medicine is advancing its international strategy and innovation pipeline, with a target price set at 103.21 CNY for A shares and 114.27 HKD for H shares, reflecting strong growth potential [11]

Investment Rating - The report maintains an "Overweight" rating for the banking sector [2] Core Views - The cost-effectiveness of bank allocations has improved, with a significant number of quality banks offering dividend yields exceeding 5% for 2025 [5][10] - The banking sector is expected to see a recovery in market allocation demand in Q4, driven by calendar effects and a potential shift towards safer investments [5][10] - Core business profitability is improving under supportive policies, with a narrowing decline in net interest income for listed banks [6][10] Summary by Sections Investment Rating - The banking sector is rated as "Buy" for several key banks, including Industrial and Commercial Bank of China (ICBC) with a target price of 7.88 HKD, Chengdu Bank at 23.33 CNY, and Shanghai Bank at 12.02 CNY [4] Market Trends - The banking index has experienced a maximum drawdown of approximately 15% since July, with the PB ratio falling to 0.62x, indicating a favorable valuation compared to historical levels [5][11] - The report highlights that 37 A-share banks have fallen below their six-month moving average, with 14 below their annual moving average, suggesting a potential buying opportunity [5] Performance Outlook - The report anticipates that insurance capital, industrial capital, and foreign investment will become significant incremental allocation sources for the banking sector [7] - The report notes that the banking sector's dividend payout capabilities are stable, making them attractive to long-term investors [7] Economic Indicators - The report discusses the impact of interest rate increases on bank performance, suggesting that banks may buffer non-interest income pressures through realized gains [8][10] - It emphasizes that if the economy enters an upward cycle, rising interest rates could positively impact net interest income and overall bank profitability [8][10]

Investment Rating - The report maintains an "Overweight" rating for the petrochemical and basic chemical sectors [6]. Core Insights - The petrochemical industry is expected to experience a recovery in prosperity due to the implementation of the "Stabilization Growth Work Plan" for 2025-2026, which aims to enhance high-end supply and optimize capacity in various sub-sectors [1][2]. - The report highlights the importance of controlling new capacity for key products such as refining, ethylene, PX, and coal-to-methanol, which is anticipated to improve the supply structure [2]. - The focus on fertilizer production stability and the development of new types of fertilizers is expected to continue, with recommendations for companies in this sector [3]. - The report emphasizes the acceleration of new materials and emerging technologies in the chemical industry, driven by policy support for high-end supply and digital transformation [4]. Summary by Sections Section 1: Industry Growth Policies - The Ministry of Industry and Information Technology and other departments have issued a plan to stabilize growth in the petrochemical industry, focusing on high-end supply and project management [1]. - The plan includes measures to enhance supply optimization and support the development of high-end chemical materials in electronics, new energy, and medical equipment [1]. Section 2: Capacity Control and Supply Optimization - The plan specifies strict control over new refining capacity and reasonable planning for the addition of ethylene, PX, and coal-to-methanol capacities, supporting the replacement and upgrading of old facilities [2]. - In 2024, China's refining, PX, and methanol capacities are projected to decrease by 1%, remain unchanged, and increase by 2% respectively, indicating a significant slowdown in capacity growth [2]. Section 3: Fertilizer Production Stability - The plan aims to optimize the production management of key fertilizer companies and ensure stable raw material supply through long-term contracts [3]. - The report notes that the prices of some upstream raw materials have risen significantly, which may impact fertilizer production [3]. Section 4: Development of New Materials and Technologies - The report anticipates accelerated development of high-end chemical materials and emerging technologies, including carbon capture and green ammonia applications [4]. - It encourages the development of new materials in sectors such as integrated circuits, new energy, and medical devices, with a focus on innovation and domestic substitution [4]. Section 5: Company Recommendations - The report recommends several companies based on their potential to benefit from the outlined policies, including: - **Buy**: Yun Tianhua, Dongcai Technology, Hualu Hengsheng, and Luxi Chemical [7]. - **Overweight**: Hengli Petrochemical, Huayi Group, Tongkun Co., Guangwei Composite, Xinfeng Group, and Wanwei High-tech [7].

- Profitability and turnover rate factors showed positive performance across all stock pools, delivering positive returns this month[1][10] - Valuation factors demonstrated positive returns outside the CSI 300 stock pool, while growth factors performed well in CSI 300 and CSI 500 but experienced pullbacks in other pools[1][10] - Small-cap factors showed mixed results, achieving positive returns in CSI 300 and CSI 1000 stock pools but pulling back in others[1][10] - Expectation-related factors, such as the "exceed expectations" factor, only delivered positive returns in the CSI 300 stock pool, while "expected valuation" and "expected growth rate" factors showed varied performance across different pools[1][10] - Turnover rate factor led the average long-short portfolio returns this month, especially in CSI 1000 and All-A stock pools[2][15] - Expected net profit growth factor ranked second in long-short portfolio returns, followed by profitability and growth factors, which also delivered positive average returns[2][15] - Other factors, including reversal, valuation, and small-cap factors, showed negative average long-short portfolio returns[2][15] - CSI 1000 index-enhanced funds maintained leading excess returns this month, with median performance significantly ahead of other index-enhanced funds[3][25] - CSI 1000 index-enhanced funds also led in excess returns year-to-date, followed by CSI A500 index-enhanced funds[3][25]

Quantitative Models and Construction Methods - **Model Name**: A-Share Multi-Dimensional Timing Model **Model Construction Idea**: The model evaluates the directional judgment of the A-share market using four dimensions: valuation, sentiment, capital, and technical indicators. Valuation and sentiment dimensions adopt a mean-reversion logic, while capital and technical dimensions use trend-following logic. The model combines these dimensions to provide a comprehensive view of market trends [2][9][15]. **Model Construction Process**: 1. The model uses the Wind All A Index as a proxy for the A-share market. 2. Each dimension generates daily signals with values of 0, ±1, representing neutral, bullish, or bearish views. 3. Valuation indicators include equity risk premium (ERP). 4. Sentiment indicators include option put-call ratio, implied volatility, and futures member position ratio. 5. Capital indicators include financing purchase amount. 6. Technical indicators include Bollinger Bands and the difference in the proportion of individual stock trading volume [11][15]. 7. The final multi-dimensional score is calculated as the sum of the scores from the four dimensions, determining the overall market view [9][15]. **Model Evaluation**: The model effectively captures market trends and provides actionable insights for timing decisions [9]. - **Model Name**: Style Timing Model **Model Construction Idea**: The model evaluates timing for dividend and size styles using trend-based indicators and crowding metrics [3][17][22]. **Model Construction Process**: 1. **Dividend Style Timing**: - The model uses three indicators: relative momentum of the CSI Dividend Index vs. CSI All Index, 10Y-1Y term spread, and interbank pledged repo transaction volume. - Each indicator generates daily signals with values of 0, ±1, representing neutral, bullish, or bearish views. - The final score is the sum of the three indicators, determining the overall view on dividend style [17][21]. 2. **Size Style Timing**: - The model uses the crowding degree of small-cap and large-cap styles, calculated based on momentum difference and trading volume ratio between the Wind Micro-Cap Index and CSI 300 Index. - Crowding degree is determined by averaging the top three results of six different window lengths for small-cap and large-cap styles. - High crowding is triggered when small-cap crowding exceeds 90% or large-cap crowding falls below 10%. - In high crowding zones, a small parameter double moving average model is used to capture short-term reversals. In low crowding zones, a large parameter double moving average model is used to follow medium- to long-term trends [22][24][26]. **Model Evaluation**: The model provides effective timing signals for style rotation, especially in different market conditions [22][24]. - **Model Name**: Industry Rotation Model **Model Construction Idea**: The model uses genetic programming to directly extract factors from industry index data, focusing on price-volume and valuation characteristics. It employs a dual-objective genetic programming approach to enhance factor diversity and reduce overfitting [4][29][32]. **Model Construction Process**: 1. The model uses 32 CITIC industry indices as underlying assets. 2. Factors are updated quarterly, and the model rebalances weekly. 3. The dual-objective genetic programming approach evaluates factors using |IC| and NDCG@5 metrics to assess monotonicity and performance of long positions. 4. Factors are combined using a greedy strategy and variance inflation factor to reduce collinearity. 5. The highest-weight factor is constructed as follows: - Perform cross-sectional regression of standardized monthly trading volume against the rolling 4-year percentile of price-to-book ratio (P/B). Take residuals as variable A. - Sum the smallest 9 values of variable A over the past 15 trading days to obtain variable B. - Standardize variable B using z-score, reverse values greater than 2.5, and sum the standardized values over the past 15 trading days [29][33][37]. **Model Evaluation**: The model effectively identifies industry rotation factors with strong monotonicity and performance, while reducing overfitting risks [29][33]. - **Model Name**: China Domestic All-Weather Enhanced Portfolio **Model Construction Idea**: The model adopts a macro factor risk parity framework, emphasizing risk diversification across underlying macro risk sources rather than asset classes. It actively allocates based on macro expectation momentum [5][38][41]. **Model Construction Process**: 1. **Macro Quadrant Division and Asset Selection**: Divide growth and inflation dimensions into four quadrants based on whether they exceed or fall short of expectations. Determine suitable assets for each quadrant using quantitative and qualitative methods. 2. **Quadrant Portfolio Construction and Risk Measurement**: Construct sub-portfolios with equal weights for assets within each quadrant, focusing on downside risk. 3. **Risk Budgeting Model for Quadrant Weights**: Adjust quadrant risk budgets monthly based on "quadrant views" derived from macro expectation momentum indicators, which consider buy-side expectation momentum and sell-side expectation deviation momentum [38][41]. **Model Evaluation**: The model effectively balances macro risks and enhances portfolio performance through active allocation [38][41]. --- Model Backtesting Results - **A-Share Multi-Dimensional Timing Model**: - Annualized Return: 25.23% - Maximum Drawdown: -28.46% - Sharpe Ratio: 1.17 - Calmar Ratio: 0.89 - Year-to-Date (YTD): 40.98% - Last Week's Return: 0.15% [14] - **Style Timing Model**: - **Dividend Style Timing**: - Annualized Return: 16.04% - Maximum Drawdown: -25.52% - Sharpe Ratio: 0.87 - Calmar Ratio: 0.63 - YTD: 21.75% - Last Week's Return: 0.23% [20] - **Size Style Timing**: - Annualized Return: 26.25% - Maximum Drawdown: -30.86% - Sharpe Ratio: 1.09 - Calmar Ratio: 0.85 - YTD: 65.89% - Last Week's Return: 1.07% [27] - **Industry Rotation Model**: - Annualized Return: 32.60% - Annualized Volatility: 17.95% - Sharpe Ratio: 1.82 - Maximum Drawdown: -19.63% - Calmar Ratio: 1.66 - Last Week's Return: 0.27% - YTD: 36.44% [32] - **China Domestic All-Weather Enhanced Portfolio**: - Annualized Return: 11.53% - Annualized Volatility: 6.16% - Sharpe Ratio: 1.87 - Maximum Drawdown: -6.30% - Calmar Ratio: 1.83 - Last Week's Return: 0.66% - YTD: 9.02% [42]