Investment Rating - The report maintains an "Overweight" rating for the power equipment and new energy sector [6] Core Insights - The industry cycle is on an upward trend, with internal differentiation observed across various segments [18] - The demand for new energy vehicles (NEVs) has significantly increased, with domestic sales reaching 6.935 million units in 25H1, a year-on-year increase of 40% [29] - The domestic energy storage market is experiencing robust growth, with new installations reaching 56.1 GWh in 25H1, up 68% year-on-year [3] - The photovoltaic (PV) sector is driven by a surge in installations, with domestic PV installations increasing by 168% year-on-year in Q2 [4] - Wind power installations also saw substantial growth, with new installations of 51.4 GW in 25H1, a 99% increase year-on-year [5] Summary by Sections New Energy Vehicles - Domestic NEV sales reached 6.935 million units in 25H1, up 40% year-on-year, with battery installations at 299.7 GWh, a 47% increase [29][30] - The average battery capacity for domestic NEVs increased to 51.5 kWh, up 9.8% year-on-year [29] - The report highlights the importance of companies with cost and technology advantages in the supply chain [2] Energy Storage - New energy storage installations in China reached 56.1 GWh in 25H1, a 68% increase year-on-year, driven by policy incentives [3] - The bidding scale for energy storage projects reached 176.6 GWh, up 181% year-on-year, indicating strong market demand [3] - The report anticipates that domestic energy storage installations could exceed 150 GWh by the end of 25 [3] Photovoltaics - The domestic PV sector saw a significant increase in installations, with Q2 25H1 showing a 168% year-on-year growth [4] - The report notes that the PV industry is benefiting from price recovery and increased shipment volumes, leading to improved profitability [4] - It emphasizes the importance of monitoring the supply-demand dynamics to reshape the industry landscape [4] Wind Power - Wind power installations in China reached 51.4 GW in 25H1, marking a 99% increase year-on-year, with a bidding scale of 71.9 GW, up 9% [5] - The report indicates that the wind turbine prices have stabilized and are expected to recover due to changes in bidding rules [5] - The outlook for the wind power sector remains positive, particularly for offshore wind projects [5] Industrial Control - The industrial control sector is experiencing upward momentum, with revenue growth of 17.3% year-on-year in 25Q2 [12] - The report highlights the potential for growth in the AIDC (Automatic Identification and Data Capture) industry, driven by increased investment in data centers [12] - Companies with strong product iteration barriers and deep customer relationships are recommended for investment [12]

Investment Rating - The investment rating for Chengdu Bank is maintained at "Buy" with a target price of RMB 23.33 [1][9]. Core Views - The report highlights the steady progress of the major shareholder's increase in holdings, reflecting confidence in the bank's value and development potential [5][6]. - Recent trends show a wave of share buybacks among listed banks, indicating strong recognition of value and confidence in future growth [8]. - The bank's fundamentals remain solid, with a stable transition in management and a focus on risk control, maintaining a high provision coverage ratio [7]. Financial Performance and Forecast - Chengdu Bank's revenue and net profit are projected to grow steadily, with expected revenues of RMB 22,982 million in 2024 and RMB 24,311 million in 2025, reflecting growth rates of 5.89% and 5.78% respectively [4][19]. - The bank's net profit attributable to shareholders is forecasted to reach RMB 12,858 million in 2024 and RMB 13,817 million in 2025, with growth rates of 10.17% and 7.46% respectively [4][19]. - The non-performing loan ratio is expected to remain stable at 0.66% for 2025 and 2026, indicating strong asset quality management [4][19]. Valuation Metrics - The report maintains a target price-to-book (PB) ratio of 1.10 for 2025, with a corresponding target price of RMB 23.33, reflecting the bank's strong position in the industry [9]. - The forecasted earnings per share (EPS) for 2025 is RMB 3.26, with a price-to-earnings (PE) ratio of 5.38 [19]. - The dividend yield is projected to increase from 4.99% in 2024 to 5.37% in 2025, indicating a commitment to returning value to shareholders [19].

Investment Rating - The report maintains a "Buy" rating for the electric power equipment and new energy sector [8] Core Views - The domestic computing power is accelerating iteration and deployment, with a focus on the AIDC (Artificial Intelligence Data Center) industry chain, which is expected to drive demand growth in the data center industry chain and enhance order visibility [1][14] - The report highlights opportunities in various sub-industries, including lithium batteries and materials, industrial control, energy storage, photovoltaic, and wind power [2] Summary by Sections Sub-industry Insights - **New Energy Vehicles**: Positive outlook on lithium battery and material segments [2] - **Industrial Control**: Focus on the AIDC industry chain due to accelerated domestic computing power [2] - **Energy Storage**: Since 2025, over 208 GWh of energy storage orders have been signed for overseas markets, indicating strong potential for domestic companies [2][15] - **Photovoltaics**: Significant results from anti-involution policies, with continuous price increases in the industry chain [2][17] - **Wind Power**: Progress in multiple domestic offshore wind power projects [2][22] Key Companies and Developments - **GCL-Poly Energy**: Notable cost advantages in granular silicon, with a steady increase in market share [3][26] - **Sungrow Power Supply**: Maintains a leading position in the solar-storage sector, with accelerated AIDC layout [3][27] Recommended Companies - **GCL-Poly Energy (3800 HK)**: Target price of 2.22, rated as "Buy" [10][25] - **Sungrow Power Supply (300274 CH)**: Target price of 147.42, rated as "Buy" [10][25]

1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core View of the Report In August 2025, fiscal revenue and expenditure performance was relatively stable. Tax revenue's cumulative year - on - year growth turned positive for the first time, possibly an early sign of improved economic vitality, but land transfer revenue still had a large drag, reflecting the inertia of the "old economy." The general budget target for this year is not difficult to achieve, while the government - funded budget may face a certain gap, but policy - based financial instruments may form a certain hedge [8]. 3. Summary by Relevant Catalogs 3.1 General Budget Revenue - **Overall Growth and Composition**: In August, the national general budget revenue increased by 2.0% year - on - year, slightly lower than July. Tax revenue increased by 3.4% (previous value 5.0%), and non - tax revenue's year - on - year decline narrowed from - 12.9% to - 3.8%. From January to August, tax revenue's cumulative year - on - year growth was 0.02%, the first positive growth this year, and non - tax revenue's cumulative year - on - year growth was 1.5% [1]. - **Total Progress and Regional Differences**: From January to August, the cumulative year - on - year growth of general budget revenue was 0.3%, 0.1% higher than the annual budget target, and about 67% of the annual budget was completed, slightly faster than the same period last year. In August, the year - on - year growth of central and local fiscal revenues was both 2.0%, with a slight decline from the previous value. Considering the convergence of economic data in recent months, there may still be some pressure on revenue growth in the future [2]. 3.2 Tax Structure - **High - growth Taxes**: In August, value - added tax, personal income tax, and corporate income tax continued to grow rapidly. Value - added tax increased by 4.4% year - on - year, personal income tax and corporate income tax increased by 9.7% and 33.4% respectively, mainly related to strengthened tax supervision, active capital markets, and improved corporate profitability [3]. - **Slowing - growth Taxes**: The year - on - year growth rate of consumption tax slowed down to 0.9% (previous value 5.4%). Low consumer enthusiasm and high - base pressure in the fourth quarter may affect consumption tax revenue [3]. - **Declining Taxes**: The decline of real - estate - related taxes widened, with a 11.6% year - on - year decrease in August. Real - estate policies had limited impact on sales, and investment and construction indicators continued to decline [4]. - **Increasing Taxes**: The year - on - year growth of stamp duty further increased, with the year - on - year growth of stamp duty rising from 24% in July to 154%, and the year - on - year growth of securities trading stamp duty rising from 125% to 226%, due to the strong rise of the stock market [4]. 3.3 General Budget Expenditure - **Overall Growth**: In August, general public budget expenditure increased by 0.8% year - on - year, slower than the previous value of 3.0%. The cumulative year - on - year growth in the first eight months was 3.1%, lower than the annual budget target of 4.4% [5]. - **Expenditure Areas**: The main driving force was still people's livelihood expenditure, such as social security and employment, health, and education. Infrastructure - related expenditure was still weak, and the growth rate of generalized and narrow - sense infrastructure investment declined [5]. 3.4 Government - Funded Revenue - **Overall Growth**: In August, government - funded revenue decreased by 5.7% year - on - year, turning negative from positive. From January to August, the cumulative year - on - year growth was - 1.4%, lower than the annual budget target of 0.7%. Land transfer revenue's cumulative year - on - year decline was 4.7% [6]. - **Completion Progress and Forecast**: By August, government - funded revenue had completed about 42% of the annual budget. Assuming the current real - estate demand trend continues, the annual revenue growth of the second - account budget is expected to be around - 5%, resulting in a revenue gap of 300 - 500 billion yuan [6]. 3.5 Government - Funded Expenditure - **Growth and Reasons**: In August, government - funded expenditure increased by 19.8% year - on - year, still maintaining high growth. The cumulative year - on - year growth in the first eight months was 30.0%, above the annual budget target of 23.1%. The high - intensity expenditure was mainly due to the front - loaded issuance of local bonds and the injection of special treasury bonds [7]. - **Combined Fiscal Deficit**: The combined broad - fiscal deficit of the two accounts in the first eight months was 6.7 trillion yuan, nearly 2 trillion yuan higher than the same period last year. After excluding the 500 - billion - yuan special treasury bond for capital injection, the broad - fiscal deficit was 6.2 trillion yuan, comparable to the same period in 2022 [7]. 3.6 Future Fiscal Concerns - **Rhythm**: In the third quarter, replacement bonds and special treasury bonds were completed successively. In the fourth quarter, government bond supply will enter a low - season, and the fiscal support for the economy will decline year - on - year, but there is still room for the expenditure of existing funds, mainly in the general budget [9]. - **Tools**: In August, core economic indicators weakened, and the market expected pro - growth policies. However, considering the small gap in the annual target, the possibility of additional fiscal deficits in the fourth quarter is low. Policy - based financial instruments are the core focus, and attention should also be paid to whether there is incremental support for implicit debt resolution [9]. - **Investment Direction**: This year, fiscal focus is not only on infrastructure, but also on child - rearing subsidies, urban renewal, consumer loan interest subsidies, and enterprise arrears. These will still be the focus of future efforts, and attention should be paid to whether there is incremental capital support [9].

Macro Overview - The Federal Reserve lowered interest rates by 25 basis points, bringing the target range for the federal funds rate to 4.0-4.25% and indicated an additional 50 basis points of cuts may occur within the year [2][3] - The employment market is showing signs of slowing down, with a slight increase in the unemployment rate, leading to a more dovish stance from the Fed [2][3] Precious Metals Industry - Following the Fed's rate cut, gold prices may face short-term pressure due to profit-taking, although the long-term investment value remains intact [3] - The Fed's continued path of rate cuts amidst economic adjustments and persistent inflation concerns supports the long-term appeal of gold as a hedge against economic stagnation [3] ESG Investment Insights - ESG factors are increasingly influencing asset pricing, with improved disclosure rules in the A-share market leading to a rise in ESG report quality [4] - Empirical analysis shows that ESG factors have positive stock selection capabilities and are less correlated with traditional price-volume factors, indicating a growing pricing power for ESG in the A-share market [4] Japanese Gaming Industry - Japan's gaming industry, a pioneer with over 40 years of history, remains the third-largest market globally, with leading companies leveraging classic IPs to create resilient business models [5] - The success of Japanese gaming firms is attributed to their ability to diversify game distribution and localize operations, providing valuable lessons for Chinese companies looking to expand internationally [5] Company Spotlight: Shangmei Co., Ltd. - Shangmei Co., Ltd. reported strong revenue and profit growth in the first half of 2025, with continued expansion in product categories and brands expected to drive growth in the second half [7] - The company's operational capabilities in multi-brand and multi-category strategies have been validated, suggesting potential for further growth if these capabilities are replicated effectively [7]

Quantitative Models and Construction ESG Factor Construction and Analysis - **Factor Name**: "Final Holding of Invention Patent Quality Total Score" **Construction Idea**: This factor measures the quality of a company's innovation output, reflecting its technological barriers and commercialization potential, which can translate into future profitability and competitive advantages[38][42] **Construction Process**: The factor is derived from the total score of invention patent quality held by the company at the end of the period. It is categorized under the "business innovation" type of ESG factors[38] **Evaluation**: The factor demonstrates strong positive stock selection ability, with high-quality patents receiving higher valuation premiums from the market[38][42] - **Factor Name**: "Wages, Bonuses, Allowances, and Subsidies" **Construction Idea**: This factor reflects a company's ability to attract and retain core talent through human capital investment, indirectly indicating employee satisfaction and productivity[39][42] **Construction Process**: The factor is based on the total expenditure on wages, bonuses, allowances, and subsidies, categorized under the "human capital" type of ESG factors[39] **Evaluation**: Companies with higher human capital investment tend to exhibit greater long-term operational stability and innovation potential[39][42] - **Factor Name**: "Equity Concentration Change Rate" **Construction Idea**: This factor captures changes in shareholder confidence, where increased concentration may indicate optimism or governance strengthening, while decreased concentration may signal disagreements or cash-out intentions[40][42] **Construction Process**: The factor measures the rate of change in equity concentration, categorized under the "shareholder" type of ESG factors[40] **Evaluation**: The factor provides insights into shareholder behavior and its implications for governance and company prospects[40][42] - **Factor Name**: "Average Age of Executives" **Construction Idea**: This factor evaluates the stability and strategic maturity of the governance team, where younger teams may lean toward aggressive innovation, and older teams may favor steady operations[40][42] **Construction Process**: The factor calculates the average age of executives, categorized under the "governance structure" type of ESG factors[40] **Evaluation**: The factor reflects investor perceptions of decision-making reliability and governance stability[40][42] - **Factor Name**: "Total Amount of External Donations" **Construction Idea**: This factor highlights a company's commitment to social responsibility and brand image building, which can enhance trust and stakeholder relationships[41][42] **Construction Process**: The factor is based on the total monetary value of external donations, categorized under the "social capital" type of ESG factors[41] **Evaluation**: Companies with consistent and generous donations may reduce operational risks and gain potential policy support[41][42] ESG Composite Factor Construction - **Construction Idea**: The top 10/20/30 ESG factors with the highest RankIC averages are selected and combined using equal weighting or classification-based weighting methods[55] - **Construction Process**: 1. **Equal Weighting**: All selected factors are equally weighted to form the composite factor 2. **Classification Weighting**: Factors within the same secondary indicator category are first equally weighted, and then the resulting category-level factors are equally weighted to form the composite factor[55] - **Evaluation**: The composite factors exhibit robust stock selection effectiveness, with high ESG-scoring portfolios consistently outperforming low-scoring ones. The results are stable across different weighting methods[55][59] --- Backtesting Results of Factors Single Factor Backtesting Results - **"Final Holding of Invention Patent Quality Total Score"**: - RankIC Mean: 5.60% - Annualized Excess Return (Long Portfolio): 6.23% - Annualized Excess Return (Short Portfolio): -7.91% - Turnover Rate (Long Portfolio): 16.80% - Turnover Rate (Short Portfolio): 19.55%[42] - **"Wages, Bonuses, Allowances, and Subsidies"**: - RankIC Mean: 4.27% - Annualized Excess Return (Long Portfolio): 4.12% - Annualized Excess Return (Short Portfolio): -6.98% - Turnover Rate (Long Portfolio): 19.45% - Turnover Rate (Short Portfolio): 21.80%[42] - **"Equity Concentration Change Rate"**: - RankIC Mean: 2.88% - Annualized Excess Return (Long Portfolio): 2.18% - Annualized Excess Return (Short Portfolio): -4.82% - Turnover Rate (Long Portfolio): 68.05% - Turnover Rate (Short Portfolio): 62.90%[42] - **"Average Age of Executives"**: - RankIC Mean: 2.01% - Annualized Excess Return (Long Portfolio): 2.16% - Annualized Excess Return (Short Portfolio): -2.20% - Turnover Rate (Long Portfolio): 16.06% - Turnover Rate (Short Portfolio): 17.00%[42] - **"Total Amount of External Donations"**: - RankIC Mean: 1.83% - Annualized Excess Return (Long Portfolio): 1.17% - Annualized Excess Return (Short Portfolio): -0.56% - Turnover Rate (Long Portfolio): 21.33% - Turnover Rate (Short Portfolio): 22.50%[42] Composite Factor Backtesting Results - **Top 30 Equal Weight Composite Factor**: - RankIC Mean: 5.23% - Annualized Excess Return (Long Portfolio): 4.97% - Annualized Excess Return (Short Portfolio): -7.38% - Turnover Rate (Long Portfolio): 21.72% - Turnover Rate (Short Portfolio): 26.31%[55] --- Index Enhancement Strategy Results CSI 300 Index Enhancement - Annualized Excess Return: 5.75% - Information Ratio (IR): 0.76 - Maximum Excess Drawdown: 14.78%[62][65] CSI 500 Index Enhancement - Annualized Excess Return: 9.11% - Information Ratio (IR): 1.68 - Maximum Excess Drawdown: 9.24%[67][70] CSI 1000 Index Enhancement - Annualized Excess Return: 8.43% - Information Ratio (IR): 1.50 - Maximum Excess Drawdown: 8.47%[73][75]

Group 1: FOMC Statement and Summary of Economic Projections (SEP) - The Fed held its September FOMC meeting and cut the federal funds rate by 25bp as expected, lowering the target range to 4.0 - 4.25%. The statement emphasized rising downside risks in the job market [1]. - The dot - plot shows that most officials think there should be another 50bp cut in 2025, an increase from the June dot - plot. Among 19 officials, views on further rate adjustments vary [2]. - The Fed kept its employment and inflation expectations for the year largely unchanged compared to June but slightly raised the GDP forecast and believes in more significant rate cuts, possibly due to "political pressure." Tariffs' impact on inflation is slow and limited, and the labor market shows "low firing, low hiring" characteristics [3]. - In terms of economic indicators, GDP growth expectations for 2025, 2026, and 2027 were slightly raised; unemployment rate expectations changed little; core PCE inflation expectations for 2026 were adjusted up; and interest rate expectations were significantly lowered [3][4]. Group 2: Powell's Press Conference - Powell affirmed the Fed's commitment to independence and provided three ways for the public to judge that Fed decisions are based on economic prospects: policy communication logic, officials' speech content, and actual decision - making matching economic conditions [5]. - He said that the impact of tariffs on inflation has emerged and is expected to accumulate. The main reason for changes in the labor market is the significant decline in labor supply due to reduced immigration [5]. - Regarding noisy employment data, Powell said the downward revision was in line with expectations, and the data would become more reliable over time, sufficient for policy - making. The Fed also called for more resources for data collection [6][7]. Group 3: Market Performance - Most assets had priced in the rate cut, and after the meeting, some funds took profits. At the close, 2 - year and 10 - year US Treasury yields rose, international precious metal futures fell, the US dollar index rose, and US stocks had mixed results. The OIS market priced in about 44.9bp of further rate cuts in 2025 [10]. Group 4: Follow - up Policy - The Fed's policy focus has shifted to the job market. It is expected that the probability of two rate cuts this year is higher than one, and the rate cut amplitude in 2026 is still uncertain [11]. - Milan's voting behavior may challenge the Fed's independence, and Trump may value the "loyalty" of the next Fed chair. Milan's probability of being nominated for the next Fed chair increased after the meeting [12]. - Considering the potential increase in Trump's influence on the Fed after Powell's departure in 2026, the 2026 interest - rate path may face more downward risks [12]. Group 5: Asset Allocation Outlook - For US Treasuries, short - and long - term yields are at low levels, and the curve may steepen further. It is recommended to take short - term profits on US Treasuries, especially long - term ones, and consider switching to TIPS to avoid inflation risks [13]. - For US stocks, there may be short - term technical adjustments, but in the long - term, the Fed's dovish stance and AI narrative are positive. AI - related sectors and interest - sensitive sectors may perform well [14]. - The US dollar may continue to weaken. Gold's pricing of falling US Treasury yields may be sufficient, and it is advisable to buy on dips. Emerging market stocks, bonds, and currencies may rise, and Hong Kong stocks, especially the Hang Seng Tech Index, may perform better [14].

Monetary Policy Decisions - The Federal Reserve lowered interest rates by 25 basis points, bringing the target range to 4%-4.25%[2] - The dot plot indicates an additional 50 basis points of rate cuts expected within the year, raising the total anticipated cuts from 2 to 3[1][6] Economic Outlook - The Fed revised its 2025 Q4 GDP growth forecast upward by 0.2 percentage points to 1.6%[5] - Core PCE inflation for 2025 remains at 3.1%, while the 2026 forecast was raised by 0.2 percentage points to 2.6%[5] - The unemployment rate forecast for 2025 remains at 4.5%, with slight reductions for 2026 and 2027 to 4.4% and 4.3% respectively[5] Employment and Inflation Insights - The Fed expressed increased concerns about the labor market, noting a shift from "labor market remains robust" to "employment growth has slowed" and acknowledging rising downside risks to employment[2][3] - Inflation risks are perceived to be lower than expected, with tariffs impacting goods prices and service inflation potentially continuing to cool[3] Forward Guidance - Powell emphasized that the recent rate cut is a "risk management cut," and future rate paths will depend on incoming data[4] - The dot plot suggests a total of 5 rate cuts from 2025 to 2027, with 3 cuts anticipated in 2025 alone[4][11] Market Reactions - Financial markets experienced volatility, with the 2-year and 10-year Treasury yields initially dropping before rising again, settling at 3.54% and 4.06% respectively[2] - The S&P 500 index showed mixed movements, while gold prices fell by 0.8% to $3662 per ounce[2]

Quantitative Models and Construction Methods 1. Model Name: Multi-dimensional Timing Model (Version 1) - **Model Construction Idea**: The model integrates four dimensions—funding, technical, valuation, and sentiment—to provide directional views on the A-share market[1][2] - **Model Construction Process**: The model combines signals from the four dimensions to determine market timing decisions. Each dimension includes specific indicators, such as option PCR, implied volatility, and futures positions for sentiment, and Bollinger Bands and individual stock movements for technical analysis[30] - **Model Evaluation**: The model demonstrated strong performance in capturing upward trends while avoiding significant market volatility[2][10] 2. Model Name: Multi-dimensional Timing Model (Version 2) - **Model Construction Idea**: This version expands the original model by adding a fundamental dimension to capture bottom-buying opportunities and enriching the sentiment dimension with new indicators[1][84] - **Model Construction Process**: - The sentiment dimension was expanded to include futures basis and main funds indicators - The fundamental dimension was introduced to identify bottom signals based on macroeconomic indicators like CPI, PMI, and EPU - The model integrates five dimensions: funding, technical, valuation, sentiment, and fundamentals[84] - **Model Evaluation**: The expanded model achieved higher annualized returns and maintained similar levels of volatility and drawdown compared to the original version[85][88] --- Model Backtesting Results 1. Multi-dimensional Timing Model (Version 1) - **Annualized Return**: 24.57%[14] - **Annualized Volatility**: 21.54%[14] - **Maximum Drawdown**: -28.46%[14] - **Sharpe Ratio**: 1.14[14] 2. Multi-dimensional Timing Model (Version 2) - **Annualized Return**: 26.69%[85] - **Annualized Volatility**: 21.48%[85] - **Maximum Drawdown**: -28.46%[85] - **Sharpe Ratio**: 1.24[85] --- Quantitative Factors and Construction Methods 1. Factor Name: Futures Basis (Sentiment Dimension) - **Factor Construction Idea**: The futures basis reflects price information in the futures market and acts as a sentiment amplifier during extreme market conditions[3][32] - **Factor Construction Process**: - Basis = Futures Price - Spot Price - Annualized basis rate is calculated to reduce the impact of contract expiration - Weighted average of the four contracts (current month, next month, current quarter, next quarter) based on open interest[32] - **Factor Evaluation**: The factor is suitable for mean-reversion strategies, with signals generated during overbought or oversold conditions[40] 2. Factor Name: Main Funds (Sentiment Dimension) - **Factor Construction Idea**: This factor captures the flow of main funds in the stock market, reflecting high-selling and low-buying behavior[3][50] - **Factor Construction Process**: - Signals are derived from smoothed 20-day moving averages of net fund inflows and institutional active buying - Positive signals indicate buying opportunities, while negative signals suggest selling[51][54] - **Factor Evaluation**: The factor is effective for momentum strategies, with a high win rate but relatively low payoff ratio[57] 3. Factor Name: Fundamental Bottom Signal (Fundamental Dimension) - **Factor Construction Idea**: This factor identifies bottom-buying opportunities based on macroeconomic indicators, assuming that poor fundamentals often precede market recoveries[4][76] - **Factor Construction Process**: - Signals are triggered when CPI, PMI, and EPU simultaneously indicate weakening fundamentals - A one-quarter window after the bottom signal is used for long positions[76][83] - **Factor Evaluation**: The factor demonstrates high win rates and payoff ratios in bottom-buying scenarios, significantly outperforming the benchmark[83] --- Factor Backtesting Results 1. Futures Basis - **Annualized Return**: 19.06%[50] - **Annualized Volatility**: 20.85%[50] - **Maximum Drawdown**: -31.31%[50] - **Sharpe Ratio**: 0.91[50] 2. Main Funds - **Annualized Return**: 8.75%[60] - **Annualized Volatility**: 19.19%[60] - **Maximum Drawdown**: -30.57%[60] - **Sharpe Ratio**: 0.46[60] 3. Fundamental Bottom Signal - **Annualized Return**: 12.48%[83] - **Annualized Volatility**: 13.27%[83] - **Maximum Drawdown**: -22.62%[83] - **Sharpe Ratio**: 0.94[83]

Report Industry Investment Rating No information provided in the content. Core Viewpoints - Agency behavior has become the core concern recently. The regulations on redemption fees in the new public - offering fund sales rules have raised concerns about bond fund redemptions, leading to declines in policy - financial bonds, Tier 2 and perpetual bonds, and ultra - long - term government bonds. If the new rules are implemented, funds may flow back from bond funds to the balance sheets of banks and insurance companies. Wealth management products and bond ETFs are relatively more advantageous. Under the re - balancing of funds, the spreads of Tier 2 and perpetual bonds preferred by bond funds may widen, while general credit bonds and ETF component bonds are relatively more advantageous, especially those with medium - short durations [1]. - In the short term, institutions are cautious, approaching the quarter - end, and the stock market remains strong. The odds of bonds have improved, but the probability of success is still not high. It is recommended to explore medium - short - duration coupon opportunities and use moderate leverage while defending. Institutions with stable liability ends should gradually increase their allocations during adjustments, with general credit bonds and ABS being better than Tier 2 and perpetual bonds [1]. Summary According to Relevant Catalogs 1. Overall Market Situation - The bond market continues to be under pressure due to the shock - strengthening of the stock market and the disturbance of the new bond fund redemption fee rules, with the curve continuing to steepen. The recent strengthening of the stock market restricts bond - buying, and the new rules on bond fund redemption fees have led to large - scale bond market adjustments from September 8 - 12, with significant declines in policy - financial bonds and Tier 2 and perpetual bonds [12]. - The odds of bonds have increased, but sentiment is weak, and the probability of success is still not high. The real inflection point requires the coordination of fundamentals, the stock market, and the implementation of the new rules [15]. 2. Impact of Agency Behavior Bond Funds - Bond funds are greatly affected by the new rules. If redemption fees increase, their flexibility and cost - effectiveness will weaken significantly, leading to a decline in demand. Funds may flow back to the balance sheets of banks and insurance companies. Wealth management products will have relatively more advantages, and the outsourcing of bond funds may decrease. ETFs are exempt from redemption fees (excluding over - the - counter index funds and ETF link funds), with expanded product advantages, and the "Matthew effect" in the industry may intensify. Certificate of deposit funds and money market funds that are also exempt will also benefit relatively. There is also uncertainty about the adjustment of the tax - exemption policy for public - offering funds [16]. - This shift in behavior significantly affects the demand structure of the bond market. Banks and insurance companies' self - operations prefer government bonds and local government bonds, increasing their allocation demand, while the demand for policy - financial bonds, Tier 2 and perpetual bonds, and even 30 - year government bonds preferred by funds will shrink, and the spreads of relevant varieties will widen significantly. The proportion of trading positions in the bond market will decrease, affecting market trading activity and pricing efficiency [16]. Bond ETFs - The new rules are relatively beneficial to bond ETFs, which have developed rapidly this year and still have room for expansion in the future, bringing about the allocation demand for relevant underlying bonds. The second batch of 14 science and technology innovation bond ETFs was approved on September 8, and after their establishment, they are expected to bring more allocation demand. However, in the short term, the yield of relevant underlying bonds of science and technology innovation bonds has limited room for further decline, and medium - short - duration bonds can be considered for allocation during adjustments [16]. Wealth Management Products - Wealth management products are relatively more advantageous. Without the constraint of redemption fees, with a wider investment scope and better net - value drawdown control, they are more in line with individual investment preferences. If the redemption fees of bond funds increase, wealth management products may further seize market share. The outsourcing of wealth management products may also decrease. Compared with bond funds, wealth management products prefer general credit bonds with shorter durations [20]. Insurance Companies - Insurance companies may return more to their own investments. If redemption fees increase and with the implementation of I9, insurance companies may be more inclined to invest on their own. Compared with funds, insurance companies prefer to allocate ultra - long - term local government bonds and increase their allocation of medium - and high - grade credit bonds during market adjustments [20]. 3. Investment Strategies Coupon Strategy - Institutions with unstable liability ends are recommended to focus on medium - short - duration sinking allocation. Institutions with stable liability ends can gradually increase their allocation of credit bonds during adjustments, initially focusing on bonds with a duration of less than 5 years, and then increasing the allocation of long - duration bonds as the uncertainties in the stock market and agency behavior become clearer. Key attention should be paid to high - quality urban investment bonds in regions with controllable credit risks and central and state - owned enterprises in stable industries such as power, transportation, and non - ferrous metals [23]. Variety Selection - Tier 2 and perpetual bonds are greatly affected by the new bond market redemption fee rules. If the policy is implemented, their variety premiums may be re - evaluated. It is recommended to shorten the duration recently. Trading institutions can focus on trading opportunities brought about by over - adjustments but should also enter and exit quickly within 5 years. Institutions with stable liability ends such as insurance companies can build positions in an inverted - pyramid manner during adjustments. The return of bond - allocation funds to the balance sheets of banks and insurance companies is beneficial to the investment in high - grade ABS, which still has a certain variety spread and can continue to be allocated in medium - and high - grade bonds. Private perpetual bonds need to guard against liquidity and valuation disturbances caused by increased redemption pressure, especially those with medium - long durations [26]. Leverage - The interest - rate spread has widened with market adjustments. The liquidity situation may continue to be neutral and loose, and with the expectation of the central bank's purchase of government bonds rising, moderate leverage can be used to increase returns. However, attention should be paid to liquidity disturbances near the quarter - end [26]. Duration - Continue to focus on medium - short - duration defense. Wait for the uncertainties in the stock market and agency behavior to become clear before looking for opportunities for the bond market to rebound and extend the duration. Currently, the market sentiment is still cautious, and there may still be adjustment risks in the medium - and long - ends due to factors such as bond fund redemptions and wealth management product redemptions at the quarter - end [26]. 4. Specific Bond Types Tier 2 and Perpetual Bonds - If the new bond fund redemption fee rules are implemented, it may lead to a re - pricing of the spreads of Tier 2 and perpetual bonds. As of mid - 2025, bond funds held a total of 2.53 trillion yuan of Tier 2 and perpetual bonds, accounting for 35% of the outstanding scale. If banks, insurance companies, and wealth management products redeem half of their bond funds, Tier 2 and perpetual bonds will bear the brunt due to their good liquidity. Theoretically, it may drive the yields of Tier 2 and perpetual bonds up by 9 - 10BP [2][47]. - After over - adjustments, positive factors include the allocation demand from insurance companies, wealth management products, and annuities. However, compared with bond funds, insurance companies prefer medium - long - duration, medium - high - grade Tier 2 and perpetual bonds, with a higher preference for Tier 2 capital bonds than bank perpetual bonds. Wealth management products may have more demand for general credit bonds. Annuities may prefer new bonds after the new VAT rules [52]. - Recently, caution is recommended for Tier 2 and perpetual bonds. The duration should be appropriately shortened. Trading institutions can focus on trading opportunities brought about by over - adjustments but should also enter and exit quickly within 5 years. Institutions with stable liability ends such as insurance companies can build positions in an inverted - pyramid manner during adjustments [52]. Urban Investment Bonds - In August 2025, urban investment bonds continued the net - repayment trend, but the net - repayment amount decreased compared with the same period last year and the previous month. The registration and review situation showed that the amount of urban investment bonds registered by the association increased year - on - year but decreased month - on - month, and the amount of urban investment bonds whose review was terminated by the exchange decreased year - on - year and month - on - month [81]. - Since this year, debt - resolution resources have become more abundant. As of September 5, 2025, the planned issuance scale of "special bonds for replacing hidden debts" was 1.95 trillion yuan, and 109.85 billion yuan of "special new - issue special bonds" had been issued. Eight provinces had allocated 171.5 billion yuan of special bonds to repay local arrears [86][87][89]. - The yield of urban investment bonds has been rising, with short - end varieties performing better than long - end ones. Since mid - August 2025, affected by the strong stock market and the new bond fund redemption fee rules, the yield of urban investment bonds has generally increased, with the spreads of AAA and AA + rated bonds with a duration of less than 2 years slightly decreasing by about 1BP, while the yields of long - end bonds mostly increasing by more than 10BP [99]. - In the short term, it is recommended to look for opportunities while defending, and the short - duration sinking strategy may be relatively better. Institutions with stable liability ends can gradually participate in the allocation opportunities of medium - long - duration bonds of high - grade issuers. Sinking can focus on regions with controllable credit risks and high coupons, and control the duration within 3 years [103]. Industrial Bonds - In the first half of 2025, the revenue and profits of industrial bond - issuing entities decreased year - on - year, but the operating cash flow improved year - on - year. There was significant profit differentiation among industries. Industries such as home appliances, non - ferrous metals, agriculture, forestry, animal husbandry, and fishery, machinery, and power had profit growth and high ROE. Industries such as steel and cement benefited from anti - involution policies, with product prices rising and profits slightly recovering from a low base. The real estate, light manufacturing, and construction industries remained sluggish, and the profits of the coal industry further declined [4]. - The fundamentals of industrial bonds are weakly recovering, and with increased market disturbances, it is recommended to mainly allocate state - owned enterprise bonds with medium - short durations and moderately sink to explore local state - owned enterprises and leading private enterprises in stable industries such as non - ferrous metals, transportation, power, and new energy. For real estate bonds, the incremental policies are yet to be observed, and the valuation risks may still rise. It is recommended to mainly allocate state - owned enterprise bonds with a duration of about 1 year and medium - high grades, and pay attention to the sales trends in September - October and the statements of real estate - stabilizing policies [4].