Overall Introduction - The book introduces market rules, asset allocation logic, and strategies for different asset classes, including stocks, bonds, and commodities, while addressing practical issues faced by investors [4]. Core Views - The book proposes three dimensions to assess the market: policy, economy, and inflation, which are used to determine market conditions [7]. - Economic cycles are divided into six stages, each with corresponding asset preferences, ranging from bonds in the early slowdown to cash and commodities in the stagflation phase [11][12][13][39]. - Effective asset allocation strategies include the Permanent Portfolio, All Weather Portfolio, and Global Market Portfolio, emphasizing diversification and risk management [14][15][16]. Current Situation - Current policies are characterized as accommodative, with indicators such as M1 growth increasing from 0.39% in January to 5.96% in August [33]. - Economic recovery is weak, with industrial value-added growth declining from 7.7% to 5.2% [37]. - The market is likely in a transition between the late slowdown phase and the early recovery phase, suggesting a preference for small-cap growth stocks [39][40]. Investment Insights - Long-term asset allocation is crucial for sustained success, with diversified strategies proven to provide stable returns [44]. - A balanced stock-bond allocation is suitable for most investors, allowing for flexibility in extreme market conditions [45]. - Simplifying investment approaches and focusing on fundamental market principles can lead to better outcomes [47][48].

Market Overview - In September, domestic stock market indices showed a comprehensive increase, with the ChiNext Index rising significantly by 12.04%, while the CSI 1000 had a smaller increase of 1.83%. Year-to-date, the ChiNext Index has performed strongly with a gain of 51.20%, compared to a weaker performance of the CSI 300 at 17.94% [1][4]. - In terms of market style, small-cap stocks outperformed large-cap stocks in September, and growth stocks outperformed value stocks. Year-to-date, the ChiNext Small Cap Index has increased by 28.12%, while the ChiNext Large Cap Index has only risen by 17.64%. The Guozheng Growth Index has shown a gain of 30.64%, while the Guozheng Value Index has only increased by 4.61% [1][5]. - The best-performing sectors in September were Power Equipment and New Energy (+18.64%), Nonferrous Metals (+12.44%), and Electronics (+10.28%). Conversely, the worst-performing sectors were Comprehensive Finance (-8.04%), Banking (-6.65%), and Defense and Military Industry (-6.62%) [1][10]. - In the bond market, the total wealth index for corporate bonds decreased by 0.04%, while the total wealth index for government bonds fell by 0.52%. Year-to-date, corporate bonds have performed better with a gain of 1.46%, compared to a loss of 0.42% for government bonds [1][5]. - In the commodity market, major domestic commodity indices showed mixed results in September, with the Nanhua Gold Index rising by 11.05% and the Nanhua Agricultural Products Index declining by 2.79%. Year-to-date, the Nanhua Gold Index has increased by 39.76%, while the Nanhua Energy and Chemical Index has decreased by 10.57% [1][5]. - In overseas markets, major stock indices showed mixed results in September, with the Hang Seng Technology Index rising by 13.95% and the German DAX Index declining by 0.09%. Year-to-date, the Hang Seng Technology Index has performed well with a gain of 44.71%, while the French CAC40 Index has shown a decline of 6.98% [1][7]. ETF Strategy Performance - As of September 30, 2025, the Style Rotation Portfolio has shown outstanding cumulative returns since inception at 118.04%, surpassing its benchmark by 76.98%. The 80/20 Rotation Portfolio has also performed well with a cumulative return of 56.82%, exceeding its benchmark by 16.30% [2][11]. - The Valuation Selection ETF has demonstrated strong performance this year with a cumulative return of 44.33%, exceeding its benchmark by 39.72%. The Global Allocation Portfolio has achieved a cumulative return of 23.66% this year, surpassing its benchmark by 10.01% [2][11]. - The Dynamic Duration Strategy has shown a cumulative return of 19.41% since inception, exceeding its benchmark by 4.01%. The Asset Rotation Strategy has performed well this year with a cumulative return of 25.44%, surpassing its benchmark by 19.87%. The Asset Rotation Strategy 2.0 has also shown a cumulative return of 23.21% this year, exceeding its benchmark by 17.64% [2][11].

证券研究报告 | 金融工程 2025 年 10 月 12 日 短期扰动不改看好观点 ——A 股趋势与风格定量观察 20251012 1. 当前市场观察 ❑ 节后两日市场先涨后跌，成长风格明显回调，价值风格逆势上涨。具体来 看，万得全 A 指数下跌 0.36%，上证 50、沪深 300、中证 1000 分别下跌约 0.47%、0.51%、0.54%。国证价值上涨约 1.52%，而国证成长下跌约 1.41%，创业板指、科创 50 分别下跌约 3.85%、2.85%。 ❑ 择时观点上，10 月 10 日夜间中美摩擦再度升级，下周一权益市场大概率走 弱，不过从历史统计上来看，类似事件发生后 5 日内权益资产大概率会有所 修复，结合当前交易情绪仍偏强，我们认为短期扰动并不会改变前期对 A 股 市场震荡看好的观点。具体来看，我们统计了 2018 年以来包括中美贸易摩 擦、疫情、地缘冲突等事件发生当日、5 日、20 日内股、债、商、汇、权益 风格走势，可以发现利空事件发生当日 A 股、港股、美股均有较为明显的回 调（万得全 A 与恒生科技平均跌幅为 3.80%和 4.94%），顺周期的商品如铜 也会明显走低（平均跌幅 2. ...

Market Overview - The overall market has seen a decline, with the closing rating at 4.1 stars [1] - All market caps, including large, medium, and small caps, experienced a downturn [2] - Growth style stocks faced significant declines, while value style stocks remained relatively stable [3][7] Index Performance - The ChiNext index dropped over 4% after reaching overvalued levels [4] - The Sci-Tech 50 index fell by 4.7% [5] - The Hong Kong stock market also experienced declines, particularly in technology and growth sectors [11][12] Investment Style Dynamics - There is a notable rotation in market styles, with growth stocks showing high volatility and value stocks exhibiting lower volatility during corrections [14] - Indices focused on dividends, value, and free cash flow generally saw increases, with free cash flow indices rising for five consecutive trading days [8][9] Hong Kong Market Insights - The Hong Kong medical index has shown significant volatility, with a 4.9% drop recently [16] - The Hong Kong medical index has increased by 60-80% from the beginning of the year to the end of September, despite some recent corrections [30] - The Hong Kong medical index is categorized differently than its A-share counterparts, with a focus on healthcare and innovative drugs [21][25] Valuation and Future Outlook - The Hong Kong medical index reached overvalued levels in early September but has since seen a valuation correction [31][32] - The overall valuation of the Hong Kong market is currently between 3.5 and 3.6 stars, with fewer undervalued stocks compared to the previous year [33] - The market is expected to continue adjusting, with some stocks being sold to increase bond holdings in response to rising stock asset values [43]

Group 1 - The article discusses the concept of different stock markets not moving in tandem, suggesting that understanding multiple markets can provide investors with more opportunities [2] - It emphasizes that global investment can significantly reduce volatility risk, highlighting the importance of diversifying investments across different regions [2] - A free course is offered to teach methods for investing in global stock markets through index funds, along with supplementary materials like course notes and mind maps [2][3] Group 2 - The article introduces various terms used in the A-share market to describe stocks that have underperformed, such as "old Deng stocks," which refer to stocks that have seen little price increase recently [4][10] - It explains the historical context of terms like "big rotten stinky" and "three fools," which were used during different market cycles to describe underperforming stocks compared to their high-performing counterparts [6][9] - The article notes that market trends are cyclical, and when certain assets are undervalued or overvalued, it presents opportunities for investors to buy low or sell high [14][15]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - In the week ending September 26, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.21%, -0.27%, and 0.43% respectively [3]. - In the public - fund market, passive index products had strong performance in the past week, neutral strategy products mostly declined, convertible bonds outperformed pure bonds, and precious - metal ETFs continued to strengthen, with silver ETF rising 5.72% and soybean meal ETF continuing to decline [3]. - Among the CITIC five - style indices, growth and cyclical styles rose last week, while the others fell. The style timing model signals a preference for the growth style this week [3]. - The short - term momentum factor in Barra factors had a good performance last week, with a weekly excess return of 1.85%. The style timing strategy had a return of 1.58% last week, with an excess return of 1.85% compared to the benchmark balanced allocation [3]. 3. Summary by Related Catalogs Recent Market Returns - Market indices: Tonglian All A (Shanghai, Shenzhen, Beijing) rose 0.21%, ChinaBond Composite Bond declined 0.27%, and Nanhua Commodity Index rose 0.43% in the week ending September 26, 2025 [3]. - Public - fund market: Passive index products performed strongly, neutral strategy products mostly declined, convertible bonds outperformed pure bonds, precious - metal ETFs strengthened (silver ETF +5.72%, soybean meal ETF declined), and consumer - style funds had an excess return of 0.91% in the past week [3]. CITIC Style Index - Performance: Growth and cyclical styles rose last week, while the others fell. The cyclical style weakened marginally in relative strength, and the stable and financial styles slightly recovered in indicator momentum [3]. - Style timing: According to the style timing model, consumer and cyclical styles declined marginally this week, while stable and financial styles slightly recovered, with a signal favoring the growth style. The style timing strategy had a return of 1.58% last week, with an excess return of 1.85% compared to the benchmark balanced allocation [3]. Barra Factors - Factor performance: The short - term momentum factor had a weekly excess return of 1.85%, and the cash - flow and growth factors' returns recovered marginally. The residual momentum factor's win - rate improved [3]. - Factor rotation: The factor cross - section rotation speed increased this week, reaching the medium historical quantile range [3].

Core Viewpoint - The article discusses various investment styles, emphasizing the importance of diversification and the cyclical nature of investment styles, suggesting that different styles may perform better at different times [5][12]. Group 1: Investment Styles - Balanced style is characterized by a diversified portfolio across multiple industries, typically resulting in smaller maximum drawdowns compared to the market [2][3]. - Deep value style, represented by Graham, focuses on valuation metrics such as low price-to-earnings (P/E) and price-to-book (P/B) ratios, as well as high dividend yields [5]. - Growth value style, exemplified by Buffett, emphasizes a company's profitability and cash flow, often investing in high return on equity (ROE) and stable cash flow stocks [7][8]. - Growth style prioritizes high revenue and earnings growth rates, showing a higher tolerance for valuations compared to the overall market [9]. - Deep growth style targets early-stage industries where revenue and earnings have not yet reached high growth phases, commonly seen in venture capital [10][11]. Group 2: Style Rotation and Strategy - Different investment styles do not move in tandem; style rotation occurs approximately every 3-5 years, although predicting the exact timing is challenging [12]. - The strategy involves maintaining a diversified portfolio with low-valued stocks across different styles, adjusting allocations based on valuation changes [12].

Core Viewpoint - The market is experiencing style rotation, with growth styles currently performing strongly while value styles are lagging behind. The recent rise in the ChiNext index indicates a shift in market dynamics, suggesting potential investment opportunities in growth sectors [4][10][11]. Market Performance - The market saw a rise during the day, reaching a peak of 4.1 stars, but closed at 4.2 stars, indicating a slight pullback [1][2]. - Large-cap stocks showed minor gains, while small-cap stocks experienced slight declines [3]. - The growth style overall is on the rise, with significant increases in the ChiNext index recently, which had been undervalued for a long time [4][7][8]. Valuation Insights - The ChiNext index is approaching a price-to-earnings (P/E) ratio of approximately 45 times, indicating it is nearing overvaluation [9]. - Value styles, such as free cash flow and Hong Kong-Shanghai dividend stocks, have seen increases, with the latter rising 7-8% this year, marking the fifth consecutive year of growth [12][13]. - The average turnover rate in A-shares is significantly high, suggesting that many retail investors hold stocks for less than a month, which may not be sufficient to weather market corrections [42][43]. Investment Behavior - Historical data shows that during bull markets, it is common to experience pullbacks, and the market often exhibits a pattern of sharp rises followed by corrections [18][24]. - Attempting to time the market by selling before a correction and buying back at lower prices is challenging and often leads to missed opportunities [27][28]. - Frequent trading and chasing market trends can significantly reduce investor returns, with studies indicating that high turnover rates correlate with lower average profits [52]. Long-term Investment Strategy - Long-term stock and fund investments are closely tied to valuation and earnings growth, with valuation primarily affecting short-term returns and earnings growth driving long-term performance [44][46]. - Investors are encouraged to focus on controlling costs and enhancing revenue, akin to running a business, to achieve better investment outcomes [49][50]. Dividend and Cash Flow Indices - The article includes a valuation table for various dividend and free cash flow indices, providing insights into their earnings yields, P/E ratios, and other financial metrics for reference [51][65].

Core Viewpoint - The market is experiencing a structural rotation, with growth styles recently underperforming while value styles are gaining traction. This indicates a potential shift in investment strategies and opportunities in different sectors [5][7][22]. Market Performance - The market index showed a decline during the day, reaching a low of 4.3 stars but rebounded to 4.2 stars by the end of the trading session [1][2]. - Large-cap stocks experienced a smaller decline compared to mid and small-cap stocks, which saw more significant drops [3]. - Growth styles faced a more considerable downturn, while value styles overall increased [4][7]. Sector Analysis - The banking index saw an overall increase, although it had previously reached a high valuation before correcting to a normal valuation [8][9][10]. - The recent market structure favors active selection strategies, as evidenced by the slight increase in active selection portfolios [12][13]. Market Trends - The market is characterized by structural bull markets where certain sectors lead while others lag, with each bull market cycle featuring different leading sectors [14]. - Bull markets are not continuous; they often exhibit patterns of rapid increases followed by corrections, indicating the need for patience from investors [15][16]. - The A-share and Hong Kong markets have shown 2-3 cycles of significant short-term increases followed by consolidation or corrections [17][18]. Investment Strategy - For investment strategies, the index-enhanced advisory portfolio has returned to normal valuation, suggesting a pause in new investments while maintaining existing holdings until a low valuation is reached again [21]. - The active selection portfolio continues normal investments, while the monthly salary treasure portfolio, which consists of 40% stocks and 60% bonds, is recommended for stable market participation [44][45]. Personal Pension Investment - The pension index funds, specifically the CSI A500 and CSI Dividend, have returned to normal valuations, leading to a pause in new investments until they reach undervalued levels again [31][32]. - The performance of these pension index funds has shown profitability, with the CSI A500 up by approximately 20% and the CSI Dividend up by about 4% over the recent months [37].

Core Viewpoint - The article discusses the current state of the A-share market, highlighting the phenomenon of style rotation and the emergence of terms like "old Deng stocks" to describe underperforming stocks in a market characterized by structural bull runs [1][32]. Market Overview - The overall market showed slight gains, maintaining a rating of 4.2 stars [2]. - Both large-cap and small-cap stocks experienced minor increases, with similar growth rates [3]. - There is a noticeable divergence in market performance, with growth styles like the ChiNext showing more significant gains compared to value styles, which are generally declining [5][6]. Style Rotation - The article introduces the term "old Deng stocks," referring to stocks that have seen minimal price increases over the past two years [8][27]. - Examples of "old Deng stocks" include sectors like liquor, home appliances, and coal, which have not performed as well as the recent strong growth sectors such as technology and chips [29][30]. - The discussion of "old Deng stocks" reflects a broader trend of style rotation within the A-share market, where certain categories of stocks outperform while others lag behind [32][34]. Historical Context - The article references past market trends, such as the "big rotten stinky" label for large-cap stocks during the small-cap bull market of 2015, and the "three fools" term for underperforming bank and insurance stocks during the growth bull market of 2020-2021 [10][16][22]. - It notes that the definitions of these terms have evolved over time, with new categories emerging as market dynamics shift [25][26]. Investment Implications - The article suggests that when certain assets are ridiculed, it may present buying opportunities due to potential undervaluation [41][42]. - Conversely, when assets are highly favored, it may indicate a selling opportunity due to potential overvaluation [43][44]. - The cyclical nature of the market is emphasized, indicating that strong-performing stocks may eventually face valuation corrections, while currently underperforming stocks may rise in prominence [38][39].