Report Investment Rating - The operation rating of CITIC Five-Style - Stable is ★☆☆ [4] Core Viewpoints - In the week ending March 27, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -0.76%, 0.06%, and -0.25% respectively. The convertible bond strategy in the public fund market performed well with a weekly return rate of 0.60%, while the equity long strategy index continued to decline, and most neutral strategy products rose. The pure - bond strategy index closed up, and the medium - to - long - term return was stronger than that of short - term pure bonds. Among commodities, the energy and chemical ETF rose 3.35%, the precious metal ETF net value continued to decline, and the non - ferrous metal ETF's return rebounded slightly [3] - Among the CITIC Five - Style indices, the stable and cyclical styles closed up, while the other styles closed down. The style rotation chart shows that the relative strength of the cyclical style has increased significantly recently, and the relative strength momentum of the consumption style has declined marginally. In the public fund pool, the growth and financial style fund indices outperformed the benchmark, with weekly excess return rates of 0.89% and 0.64% respectively. The market's bias towards the growth and financial styles has increased. This week, the market congestion index rebounded, and the current financial style congestion is in the medium - to - high percentile range of the past year [3] - Among the Barra factors, the short - term momentum factor performed strongly in the past week, the return of the profitability factor adjusted, the winning rate of the liquidity factor continued to decline, and the valuation and scale factors rebounded marginally. This week, the cross - section rotation speed of factors increased month - on - month and is currently in the medium percentile range of the past year [3] - According to the latest scoring results of the style timing model, the financial style rebounded marginally this week, and the current signal continues to be the stable style. The return rate of the style timing strategy last week was 0.56%, and the excess return rate compared with the benchmark balanced allocation was 1.13% [3] Summary by Directory Fund Market Review - **Market Index Returns**: The weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -0.76%, 0.06%, and -0.25% respectively [3] - **Public Fund Strategy Performance**: The convertible bond strategy had a weekly return of 0.60%. The equity long strategy index continued to decline, most neutral strategy products rose. The pure - bond strategy index closed up, with medium - to - long - term returns stronger than short - term pure bonds. The energy and chemical ETF rose 3.35%, the precious metal ETF net value continued to decline, and the non - ferrous metal ETF's return rebounded slightly [3] CITIC Five - Style Analysis - **Style Index Performance**: The stable and cyclical styles closed up, while the other styles closed down. The relative strength of the cyclical style increased significantly, and the relative strength momentum of the consumption style declined marginally [3] - **Fund Pool Performance**: The growth and financial style fund indices outperformed the benchmark, with weekly excess return rates of 0.89% and 0.64% respectively. The market's preference for growth and financial styles increased [3] - **Style Congestion**: The market congestion index rebounded, and the current financial style congestion is in the medium - to - high percentile range of the past year [3] Barra Factor Analysis - **Factor Performance**: The short - term momentum factor performed strongly, the return of the profitability factor adjusted, the winning rate of the liquidity factor continued to decline, and the valuation and scale factors rebounded marginally [3] - **Factor Rotation Speed**: The cross - section rotation speed of factors increased month - on - month and is currently in the medium percentile range of the past year [3] Style Timing Model - The financial style rebounded marginally this week, and the current signal continues to be the stable style. The return rate of the style timing strategy last week was 0.56%, and the excess return rate compared with the benchmark balanced allocation was 1.13% [3]

Report Industry Investment Rating - The report gives a one-star rating (★☆☆) for the CITIC Five-Style - Stable, indicating a bullish bias but with limited trading opportunities in the market [2] Core Viewpoints - As of the week ending March 13, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), China Bond Composite Index, and Nanhua Commodity Index were -0.48%, -0.12%, and 5.18% respectively [3] - In the public fund market, only the short-term pure bond index rose in the past week. The ordinary stock strategy index fell 0.71%, with a narrower decline compared to the previous week. The neutral strategy products had more declines than increases. The pure bond strategy outperformed the convertible bond strategy index. In the commodity sector, the Energy and Chemical ETF continued to rise, up 14.24%, the soybean meal ETF rose 7.74%, and the gold ETF had a slight pullback [3] - In the CITIC Five-Style, the stable and consumption styles rose in the past week, while the rest fell. The style rotation chart showed that the relative strength of the financial style strengthened recently, and the relative strength momentum of the growth and cyclical styles increased month-on-month. Among the public fund pools, the cyclical style fund index outperformed the benchmark last week, with a weekly excess return of 1.83%. The market's deviation from the growth and financial styles rebounded. The market congestion index changed little compared to last week, and the cyclical style congestion rose to a relatively high percentile range in the past year [3] - In terms of Barra factors, the short-term momentum factor performed strongly in the past week, with a weekly excess return of 2.97%. The residual volatility factor continued to weaken. In terms of win rate, the valuation and liquidity factors rebounded slightly, while the medium- and long-term momentum factor declined. The cross-sectional rotation speed of factors decreased marginally, currently in the middle percentile range in the past year [3] - According to the latest score of the style timing model, the financial style rebounded this week, and the current signal favors the stable style. The return of the style timing strategy last week was 3.16%, with an excess return of 2.97% compared to the benchmark balanced allocation [3] Summary by Relevant Catalog Recent Market Returns - The weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), China Bond Composite Index (net), and Nanhua Commodity Index were -0.48%, -0.12%, and 5.18% respectively [3] Public Fund Market - Only the short-term pure bond index rose among major strategies in the past week. The ordinary stock strategy index fell 0.71%, with a narrower decline than the previous week. The neutral strategy products had more declines than increases. The pure bond strategy outperformed the convertible bond strategy index [3] - In the commodity sector, the Energy and Chemical ETF continued to rise, up 14.24%, the soybean meal ETF rose 7.74%, and the gold ETF had a slight pullback [3] CITIC Five-Style - The stable and consumption styles rose in the past week, while the rest fell [3] - The relative strength of the financial style strengthened recently, and the relative strength momentum of the growth and cyclical styles increased month-on-month [3] - The cyclical style fund index outperformed the benchmark last week, with a weekly excess return of 1.83% [3] - The market's deviation from the growth and financial styles rebounded, and the cyclical style congestion rose to a relatively high percentile range in the past year [3] Barra Factors - The short-term momentum factor performed strongly in the past week, with a weekly excess return of 2.97% [3] - The residual volatility factor continued to weaken. The valuation and liquidity factors rebounded slightly in terms of win rate, while the medium- and long-term momentum factor declined [3] - The cross-sectional rotation speed of factors decreased marginally, currently in the middle percentile range in the past year [3] Style Timing Model - The financial style rebounded this week, and the current signal favors the stable style [3] - The return of the style timing strategy last week was 3.16%, with an excess return of 2.97% compared to the benchmark balanced allocation [3]

Core Insights - The multi-strategy rotation model (Strategy Configuration 1.0) has outperformed the benchmark of equity mixed funds by approximately 5 percentage points in 2025, although it has shown significant volatility since June 2025, underperforming compared to single strategies like growth and small-cap strategies [1][7][31] - The model has been optimized across four levels, including enhancing the timing indicators, increasing observation frequency to daily, and conducting stability tests on the effectiveness of timing indicators [1][8][14] Strategy Configuration 1.0 Model Performance - The model has demonstrated a total annualized return of 40.2% since 2015, with an annualized excess return of 30.0% compared to the equity mixed fund index, and a monthly win rate of 68.7% [3][31] - The model's performance in the validation set for 2024 and 2025 showed annualized returns of 13.4% and 78.9%, respectively, significantly outperforming the benchmark [3][31] Factors Influencing Future Style Returns - For small-cap style, attention should be paid to the willingness of capital inflows, as the active inflow rate is significantly positively correlated with future returns [2][30] - For growth style, the valuation deviation from the market is crucial, as significant deviations indicate a strong mean-reversion characteristic [2][24] - The internal differentiation degree of styles can monitor the crowding level in small-cap and growth styles, with low differentiation indicating potential systemic risk [2][30] Strategy Configuration 2.0 Model - The new model aims for an annualized return of 40%, focusing on the rotation of small-cap, growth, value, and dividend strategies based on the insights from the timing models [3][26] - The model has shown strong performance in both the training and validation sets, confirming its robustness and transferability [31] Performance of Active Quantitative Strategies - The small-cap strategy has shown exceptional performance, with an annualized return of 90.5% in 2025, while the growth strategy also performed well with a return of 48.5% [4][31] - The model's annualized returns and risk control have been validated through backtesting, demonstrating its effectiveness in various market conditions [3][31] Style Timing Model - The style timing model has effectively improved the Sharpe ratio across various styles, with the small-cap style achieving an annualized return of 16.7% and a Sharpe ratio increase from 1.66 to 2.28 [2][28]

1. Report Industry Investment Rating - The operation rating for CITIC Five-Style - Stable is ☆☆★ [2] 2. Core Viewpoints - As of the week ending on January 23, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 1.75%, 0.21%, and 2.08% respectively [3] - In the public fund market, the enhanced index strategy performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non-ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] - Among the CITIC Five-Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month-on-month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3] 3. Summary by Related Catalogs Fund Market Review - The enhanced index strategy in the public fund market performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non - ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] CITIC Five - Style Analysis - Among the CITIC Five - Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month - on - month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] Barra Factor Analysis - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] Style Timing Model - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3]

1. Report Industry Investment Rating - The report gives a "★☆☆" rating to the CITIC Five - Style - Growth, indicating a bullish bias but with limited trading opportunities on the market [4]. 2. Core Viewpoints - As of the week ending November 28, 2025, the weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond Index, and Nanhua Commodity Index were 2.87%, - 0.26%, and 1.99% respectively. In the public fund market, equity strategies rebounded in the past week, while medium - and long - term pure - bond strategies declined. The net value of silver futures ETF increased significantly by 5.07%, and the returns of energy and chemical ETFs stabilized and rebounded. Among the CITIC five - styles, all styles rose last Friday, with the growth style leading in terms of returns. The style rotation chart shows that the relative strength of the financial style declined, while that of the consumer style strengthened. The medium - and long - term momentum factor's return rebounded, with a weekly excess return rate of 1.66%. According to the latest score of the style timing model, the growth style strengthened this week, and the signal currently favors the growth style [3][4]. 3. Summary by Relevant Catalogs Fund Market Review - In the public fund market, equity strategies rebounded in the past week, with the ordinary stock strategy index rising 3.33%. Medium - and long - term pure - bond strategies declined. The net value of silver futures ETF increased by 5.07%, and the returns of energy and chemical ETFs stabilized and rebounded [4]. Equity Market Style - **CITIC Five - Style Performance**: All five styles of CITIC rose last Friday, with the growth style leading in returns. The style rotation chart shows that the relative strength of the financial style declined, and that of the consumer style strengthened. In the public fund pool, financial and growth - style funds outperformed their benchmarks on average in the past week. The market's deviation towards cyclical and financial styles increased. The congestion index changed little compared to last week, and the congestion of financial - style funds is currently in the relatively high - percentile range of the past year [4]. - **Neutral Strategy**: As of last week, the basis of stock index futures (futures - spot) fluctuated and weakened. The basis of IC and IM fell below the average of the past three months. Meanwhile, the average premium rate index of the corresponding ETFs of stock indices decreased month - on - month and dropped to the low - percentile range of the past three months [4]. - **Barra Factors**: The return of the medium - and long - term momentum factor rebounded in the past week, with a weekly excess return rate of 1.66%. The leverage and profitability factors weakened slightly. In terms of win - rate, the liquidity factor weakened, and the reversal factor rebounded. The cross - sectional rotation speed of factors continued to increase this week and is currently in the high - percentile range of the past year [4]. - **Style Timing**: According to the latest score of the style timing model, the growth style strengthened this week, and the stable style declined slightly. The current signal favors the growth style. The return of the style timing strategy last week was 0.80%, and the excess return compared to the benchmark balanced allocation was - 1.19% [4].

Report Investment Rating - The report gives an operation rating of ★☆☆ for CITIC's five-style - stable [4] Core View - In the week ending November 21, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -5.12%, -0.02%, and -1.81% respectively. The equity strategy index in the public fund market weakened, short - term pure bonds had strong returns, convertible bond strategies had a pullback, and the returns of non - ferrous and precious metal ETFs and energy and chemical ETFs declined. In the CITIC five - style, all styles fell last Friday, with the cycle and growth styles performing weakly. The style timing signal favors the stable style this week [3][4] Section Summaries Fund Market Review - The equity strategy index in the public fund market weakened collectively in the past week, with the ordinary stock index falling 5.13%. Short - term pure bond returns were strong, convertible bond strategy returns pulled back, non - ferrous and precious metal ETF returns adjusted, and energy and chemical ETF net values continued to decline [4] Equity Market Style - **CITIC Five - Style Performance**: All five styles closed down last Friday, with the cycle and growth styles having weak returns. The style rotation chart shows that the relative strength and relative strength momentum of the five styles declined. In the public fund pool, the average performance of cycle and consumption style funds outperformed the benchmark in the past week. The market's deviation from the financial and growth styles increased. The crowding indicator changed little compared to last week, and the growth and cycle styles were in the lower quantile range in the past year [4] - **Neutral Strategy**: As of last week, the basis of IH and IF (futures - spot) declined and fell below the range of one standard deviation below the three - month average. In contrast, the basis of IC and IM showed an upward trend. Recently, the average premium rate index of ETFs corresponding to stock indices rebounded, with the premium rate indices of CSI 500 and CSI 1000 ETFs rising more significantly [4] - **Barra Factors**: In the past week, the leverage and intraday volatility factors had better returns, with a weekly excess return of 1.14%. The returns of medium - and long - term momentum factors continued to weaken. In terms of winning rates, the residual momentum factor increased slightly, and the growth factor decreased. The cross - section rotation speed of factors this week was the same as last week and was in the higher quantile range in the past year [4] - **Style Timing Model**: According to the latest scoring results of the style timing model, the cycle style declined this week, and the growth style rebounded slightly. The current signal favors the stable style. The return of the style timing strategy last week was -3.94%, with an excess return of 0.59% compared to the benchmark equal - weighted allocation [4]

Report Industry Investment Rating - The operation rating for CITIC's five - style stability is ★☆☆, indicating a bullish bias but with limited operability in the market [4] Core Viewpoints - In the week ending November 7, 2025, the weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.63%, - 0.01%, and - 0.47% respectively. In the public fund market, convertible bond products performed well, the common stock strategy index declined slightly, neutral strategy products mostly rose, non - ferrous metal ETFs weakened slightly, and soybean meal ETFs had better returns. Among CITIC's five styles, only the consumer style declined last Friday, while the stable and cyclical styles were strong. The style rotation chart showed that the relative strength of the growth style decreased, and the relative strength momentum of the financial style rebounded marginally. The average returns of various style funds in the public fund pool underperformed the benchmark index. The market's deviation towards the financial style decreased. The congestion index dropped, with the growth style congestion falling to the medium - percentile range of the past year. In the neutral strategy, the contract basis weakened slightly last week, with the current IH basis close to 1 standard deviation below the three - month average. The average premium rates of IC and IM corresponding index ETFs rebounded to the medium - percentile range of the past three months. The profit factor had a good return performance in the past week, with a weekly excess return of 0.97%, and the excess of the growth factor was significantly compressed. The win - rate of the residual momentum factor decreased, but the factor itself strengthened. The cross - section rotation speed of factors rebounded slightly this week, currently at the medium - percentile range of the past year. According to the latest scoring results of the style timing model, the financial style declined marginally this week, the consumer style strengthened slightly, and the current signal favored the stable style. The return of the style timing strategy last week was 1.85%, with an excess return of 0.97% compared to the benchmark balanced allocation [4] Summary by Relevant Catalogs Fund Market Review - The weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.63%, - 0.01%, and - 0.47% respectively [4] - In the public fund market, convertible bond products performed well, the common stock strategy index declined slightly, neutral strategy products mostly rose, non - ferrous metal ETFs weakened slightly, and soybean meal ETFs had better returns [4] Equity Market Style - Among CITIC's five styles, only the consumer style declined last Friday, while the stable and cyclical styles were strong. The style rotation chart showed that the relative strength of the growth style decreased, and the relative strength momentum of the financial style rebounded marginally [4] - The average returns of various style funds in the public fund pool underperformed the benchmark index. The market's deviation towards the financial style decreased. The congestion index dropped, with the growth style congestion falling to the medium - percentile range of the past year [4] Neutral Strategy - The contract basis weakened slightly last week, with the current IH basis close to 1 standard deviation below the three - month average. The average premium rates of IC and IM corresponding index ETFs rebounded to the medium - percentile range of the past three months [4] Barra Factor - The profit factor had a good return performance in the past week, with a weekly excess return of 0.97%, and the excess of the growth factor was significantly compressed. The win - rate of the residual momentum factor decreased, but the factor itself strengthened. The cross - section rotation speed of factors rebounded slightly this week, currently at the medium - percentile range of the past year [4] Style Timing Model - According to the latest scoring results of the style timing model, the financial style declined marginally this week, the consumer style strengthened slightly, and the current signal favored the stable style. The return of the style timing strategy last week was 1.85%, with an excess return of 0.97% compared to the benchmark balanced allocation [4]

Summary of Conference Call Notes Industry or Company Involved - The discussion revolves around quantitative investment strategies and market style dynamics, specifically focusing on the performance of different investment styles such as growth, value, and small-cap strategies. Core Points and Arguments 1. **Market Style Influence on Investment Strategies** Different fundamental quantitative investment approaches are significantly influenced by market styles. Growth styles perform better in favorable economic conditions, while value styles excel during value-dominant periods. Adjusting allocations based on market conditions is essential to maximize alpha and beta contributions [1][2][4]. 2. **Quantitative Model Characteristics** The model developed by CICC emphasizes risk considerations rather than momentum. It incorporates temporal information to assess the current risk level and allocate high alpha assets when risks are low, enhancing overall returns [1][5][6]. 3. **Style Risk Attribute Model** The model evaluates style risk using indicators such as valuation differences, capital participation, and intra-portfolio differentiation. Valuation differences are positively correlated with future returns, particularly in growth and value styles, with a correlation of around 0.5 [1][10]. 4. **Active Inflow Rate Indicator** The active inflow rate indicator shows varying correlations across styles. For growth styles, high inflow rates may indicate overcrowding, while for small-cap and value styles, increased inflows can signal positive recognition. Extreme inflow rates across all styles indicate potential risks [11]. 5. **Concentration and Differentiation Effects** In growth and small-cap styles, higher concentration correlates with better future returns, while in value and dividend styles, greater differentiation leads to improved returns. Different strategies should be applied based on the specific style [12]. 6. **Effectiveness of Timing Indicators** The effectiveness of timing indicators, such as valuation differences and capital participation, is statistically validated. These indicators provide unique insights and can be used simultaneously without diminishing their effectiveness [13]. 7. **Dynamic Allocation and Rotation Strategies** Dynamic allocation strategies involve independent monthly assessments of investment styles based on their current risk and value. Rotation strategies focus on selecting the highest probability styles for concentrated holdings [18][19]. 8. **Performance of Style Rotation Model** Historical data shows that the style rotation model performs well at key style nodes, with an average turnover rate of about 45%. The model has maintained consistent performance across various years, with only a few years showing slight losses [21][22]. 9. **Sample Out-of-Sample Data Validation** Out-of-sample data has validated the model's effectiveness, with significant year-to-date returns exceeding 30% as of June [23]. 10. **Future Tracking and Evaluation** Continuous tracking and evaluation will be conducted monthly, providing timely updates on market styles and critical indicators. This proactive approach aims to enhance the robustness of the quantitative investment framework [24]. Other Important but Possibly Overlooked Content - The report emphasizes the importance of risk control in investment strategies, highlighting that while dynamic allocation can reduce maximum drawdowns, it may not always yield higher absolute returns compared to fixed allocation strategies [20].

Overall Summary - The report is a weekly financial engineering report on the fund market, covering market performance, style analysis, and factor performance as of August 1, 2025 [3]. Market Performance - In the week ending August 1, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -1.14%, 0.13%, and -2.46% respectively [3]. - In the public - fund market, there was a divergence in stock - bond returns in the past week, with medium - and long - term bonds outperforming. The index weekly return was 0.14%. Passive index returns in the equity market weakened, neutral strategy products mostly rose, pure - bond strategy returns in the bond market rebounded, convertible bond returns declined, and silver and energy - chemical ETFs in the commodity market significantly corrected, while gold and soybean meal ETFs had slightly weaker returns [3]. Style Analysis 1. Zhongxin Five - Style Index - Last Friday, the style index closed down, with growth and consumption relatively stronger. The style rotation chart showed that the relative strength of each style decreased month - on - month, and the cyclical style had a large decline in the indicator momentum [3]. - In the public - fund pool, the average return of consumption - style funds in the past week did not outperform the benchmark index, while cyclical and growth - style funds had better excess performance. The style coefficients of growth and stable styles slightly increased [3]. - The growth style rose to a historically high - congestion range [3]. 2. Style Timing Model - According to the latest scoring results of the style timing model, the financial style weakened marginally this week, the stable style rebounded, and the current signal favored the consumption style. The return of the style timing strategy last week was -0.41%, and the excess return compared to the benchmark balanced allocation was 0.97% [3]. Barra Factor Performance - In the past week, the return of the residual volatility factor continued to strengthen, with a weekly excess return of 1.02%. The returns of the profitability and liquidity factors weakened. In terms of winning rate, the capital flow factor strengthened marginally, and the leverage and residual momentum factors decreased month - on - month [3]. - This week, the cross - sectional rotation speed of factors decreased marginally and was currently in a historically low - quantile range [3].

Report Summary 1. Report Industry Investment Rating - There is no information provided regarding the industry investment rating in the report. 2. Core View of the Report - As of the week ending July 25, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond Index, and Nanhua Commodity Index were 2.11%, -0.48%, and 2.73% respectively. In the public - fund market, the returns of stock - bond strategies were differentiated in the past week. Among equity strategies, passive index - type products led in returns, and market - neutral strategy products mostly rose. In bond strategies, the pure - bond fund index showed a significant decline. In the commodity market, energy - chemical ETFs were strong with a weekly increase of 6.00%, non - ferrous metal ETFs rebounded, and precious - metal ETFs continued the upward trend of net value [3]. - Among the CITIC five - style indices, all style indices closed up last Friday. The cycle and growth styles led in returns. The style rotation chart showed that the relative strength of the cycle and stable styles increased significantly, while the momentum of the consumption style decreased slightly. In the public - fund pool, the average returns of financial and consumption - style funds significantly outperformed the index in the past week, with excess returns of 1.14% and 0.23% respectively. The excess returns of cycle and growth - style funds continued to shrink. The stable style strengthened slightly, and the cycle style declined. In terms of crowding, the growth and cycle styles rebounded marginally, while the consumption and financial styles remained in the historically high - crowding range [3]. - Among Barra factors, the residual volatility factor performed well in the past week, with an excess return of 0.60%. The returns of momentum and valuation factors weakened marginally, and the excess return of the profitability factor continued to shrink. In terms of winning rate, the growth factor declined, and the capital - flow factor strengthened slightly. This week, the cross - sectional rotation speed of factors rose from the historically low - quantile range to the middle range. According to the latest scoring results of the style timing model, the financial style weakened marginally this week, and the consumption style recovered. The current signal favors the consumption style. The return of the style timing strategy last week was 0.36%, and the excess return compared to the benchmark balanced allocation was - 1.59% [3]. 3. Summary by Relevant Catalogs 3.1 Market Index Performance - Tonglian All A (Shanghai, Shenzhen, Beijing) had a weekly return of 2.11%, the ChinaBond Composite Bond Index had a return of - 0.48%, and the Nanhua Commodity Index had a return of 2.73% as of July 25, 2025 [3]. 3.2 Public - Fund Market Performance - **Equity Strategies**: Passive index - type products led in returns, and market - neutral strategy products mostly rose [3]. - **Bond Strategies**: The pure - bond fund index showed a significant decline [3]. - **Commodity Market**: Energy - chemical ETFs had a weekly increase of 6.00%, non - ferrous metal ETFs rebounded, and precious - metal ETFs continued the upward trend of net value [3]. 3.3 CITIC Five - Style Index Performance - **Return Performance**: All style indices closed up last Friday. The cycle and growth styles led in returns [3]. - **Relative Strength and Momentum**: The relative strength of the cycle and stable styles increased significantly, while the momentum of the consumption style decreased slightly [3]. - **Fund Excess Return**: The average returns of financial and consumption - style funds significantly outperformed the index in the past week, with excess returns of 1.14% and 0.23% respectively. The excess returns of cycle and growth - style funds continued to shrink [3]. - **Style Trend**: The stable style strengthened slightly, and the cycle style declined [3]. - **Crowding**: The growth and cycle styles rebounded marginally, while the consumption and financial styles remained in the historically high - crowding range [3]. 3.4 Barra Factor Performance - **Factor Return**: The residual volatility factor had an excess return of 0.60%. The returns of momentum and valuation factors weakened marginally, and the excess return of the profitability factor continued to shrink [3]. - **Winning Rate and Momentum**: The growth factor declined in terms of winning rate, and the capital - flow factor strengthened slightly [3]. - **Factor Rotation Speed**: The cross - sectional rotation speed of factors rose from the historically low - quantile range to the middle range [3]. 3.5 Style Timing Strategy - According to the latest scoring results of the style timing model, the financial style weakened marginally this week, and the consumption style recovered. The current signal favors the consumption style. The return of the style timing strategy last week was 0.36%, and the excess return compared to the benchmark balanced allocation was - 1.59% [3].