Report Industry Investment Rating - No relevant information provided Core Viewpoints - As of the week ending on September 12, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 2.08%, -0.33%, and 0.02% respectively. The public - fund market showed a pattern of strong stocks and weak bonds, with enhanced strategy indices performing strongly, and precious - metal ETFs having rising returns while energy - chemical ETFs' returns declined [3]. - All the five - style indices of CITIC rose last week, with the growth style leading in returns. The financial style declined in relative strength, while the stability and growth styles had large increases in indicator momentum. Financial - style funds had better excess performance, and the deviation of products from growth and financial styles increased marginally [3]. - The overall market congestion decreased slightly this week, and the consumer style remained in a historically high - congestion range. In the neutral strategy, the stock - index basis fluctuated and recovered, and the ETF premium - rate index rose and then fell. The latest signal indicated a short - term decline risk for the IF basis [3]. - The momentum - reversal factor had better return performance with a weekly excess return of 2.00%, and the leverage factor's excess return continued to decline. The valuation and profit factors strengthened month - on - month in terms of winning rate. The factor cross - section rotation speed increased month - on - month and was in the low - to - middle historical range [3]. - According to the latest score of the style - timing model, the consumer and growth styles rebounded slightly this week, and the current signal favored the stability style. The style - timing strategy's return last week was 1.44%, with an excess return of - 0.41% compared to the benchmark balanced allocation [3]. Summary by Related Catalogs Market Performance - **Overall Market Index**: As of the week ending on September 12, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 2.08%, -0.33%, and 0.02% respectively [3]. - **Public - Fund Market**: The public - fund market showed a pattern of strong stocks and weak bonds. Enhanced strategy indices performed strongly with a weekly return of 2.17%. Precious - metal ETFs' returns continued to rise (gold ETF net value increased by 2.31%), while energy - chemical ETFs' returns continued to decline [3]. Style Analysis - **CITIC Five - Style Indices**: All five - style indices rose last week, with the growth style leading in returns. The financial style declined in relative strength, and the stability and growth styles had large increases in indicator momentum [3]. - **Fund Style**: Financial - style funds had a weekly excess return of 0.77%. The deviation of products from growth and financial styles increased marginally. The overall market congestion decreased slightly this week, and the consumer style remained in a historically high - congestion range [3]. Neutral Strategy - **Stock - Index Basis**: The stock - index basis (futures - spot) fluctuated and recovered. Some contracts of IH and IF were slightly at a premium, and the basis was within one - standard - deviation range of the one - month average. The ETF premium - rate index rose and then fell to the middle - level range of the past month, and the latest signal indicated a short - term decline risk for the IF basis [3]. Barra Factor - **Factor Return**: The momentum - reversal factor had a weekly excess return of 2.00%, and the leverage factor's excess return continued to decline. The valuation and profit factors strengthened month - on - month in terms of winning rate [3]. - **Factor Rotation**: The factor cross - section rotation speed increased month - on - month and was in the low - to - middle historical range [3]. Style - Timing Model - **Style Score**: The consumer and growth styles rebounded slightly this week, and the current signal favored the stability style [3]. - **Strategy Return**: The style - timing strategy's return last week was 1.44%, with an excess return of - 0.41% compared to the benchmark balanced allocation [3].

Quantitative Models and Factor Analysis Quantitative Models and Construction - **Model Name**: GRU-based Models - **Construction Idea**: GRU (Gated Recurrent Unit) models are used to capture sequential patterns in financial data, aiming to predict stock movements based on historical trends and other input features [3][4][5] - **Construction Process**: GRU models are trained on historical data to optimize their predictive capabilities. Specific variations of GRU models include `barra1d`, `barra5d`, `open1d`, and `close1d`, which differ in their input features and time horizons [3][4][5] - **Evaluation**: GRU models show mixed performance, with `barra1d` consistently achieving positive returns, while other variations like `close1d` and `barra5d` experience significant drawdowns [3][4][5] Model Backtesting Results - **GRU Models**: - `barra1d`: Weekly excess return of 0.14%, monthly return of 1.20%, and YTD return of 4.77% [32][33] - `barra5d`: Weekly excess return of -0.59%, monthly return of -2.84%, and YTD return of 5.03% [32][33] - `open1d`: Weekly excess return of 0.22%, monthly return of -1.23%, and YTD return of 5.45% [32][33] - `close1d`: Weekly excess return of -0.20%, monthly return of -2.64%, and YTD return of 2.92% [32][33] --- Quantitative Factors and Construction - **Factor Name**: Style Factors (Barra) - **Construction Idea**: Style factors are designed to capture systematic risks and returns associated with specific stock characteristics, such as size, momentum, and valuation [14][15] - **Construction Process**: - **Beta**: Historical beta of the stock - **Size**: Natural logarithm of total market capitalization - **Momentum**: Mean of historical excess returns - **Volatility**: Weighted combination of historical excess return volatility, cumulative excess return deviation, and residual return volatility - **Valuation**: Inverse of price-to-book ratio - **Liquidity**: Weighted turnover rates over monthly, quarterly, and yearly periods - **Profitability**: Weighted combination of analyst-predicted earnings yield, cash flow yield, and other profitability metrics - **Growth**: Weighted combination of earnings and revenue growth rates - **Leverage**: Weighted combination of market leverage, book leverage, and debt-to-asset ratio [15] - **Evaluation**: Style factors exhibit varying performance, with size, non-linear size, and liquidity factors showing strong long positions, while valuation and growth factors perform better in short positions [16][17] - **Factor Name**: Fundamental Factors - **Construction Idea**: Fundamental factors are derived from financial statements and aim to capture the financial health and growth potential of companies [17][18][20] - **Construction Process**: - **ROA Growth**: Growth in return on assets - **ROC Growth**: Growth in return on capital - **Net Profit Growth**: Growth in net profit - **Sales-to-Price Ratio**: Inverse of price-to-sales ratio - **Operating Profit Growth**: Growth in operating profit [21][25][27] - **Evaluation**: Fundamental factors like ROA and ROC growth show positive returns, while static financial metrics like sales-to-price ratio exhibit mixed results [21][25][27] - **Factor Name**: Technical Factors - **Construction Idea**: Technical factors are based on price and volume data, aiming to capture momentum and volatility patterns [18][20][24] - **Construction Process**: - **Momentum**: Calculated over 20, 60, and 120-day periods - **Volatility**: Measured over similar time horizons - **Median Deviation**: Deviation of stock prices from the median [25][27][30] - **Evaluation**: High-momentum stocks generally outperform, while long-term volatility factors show weaker performance [25][27][30] --- Factor Backtesting Results - **Style Factors**: - Size: Weekly return of 0.22%, monthly return of 1.20%, and YTD return of 4.77% [16][17] - Valuation: Weekly return of -0.20%, monthly return of -2.64%, and YTD return of 2.92% [16][17] - **Fundamental Factors**: - ROA Growth: Weekly return of 1.31%, monthly return of 12.03%, and YTD return of 33.49% [21][25] - ROC Growth: Weekly return of 1.74%, monthly return of 4.75%, and YTD return of 10.89% [21][25] - **Technical Factors**: - 20-day Momentum: Weekly return of 3.25%, monthly return of 12.92%, and YTD return of 2.35% [25][27] - 60-day Volatility: Weekly return of 3.65%, monthly return of 16.15%, and YTD return of 28.43% [25][27]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - A-share market continued to rebound this week with an oscillating upward trend. The growth style performed well, driving up TMT-themed funds. However, many quantitative index-enhanced products still had mediocre excess returns. The weekly average daily trading volume of the two markets decreased by 10.63% week-on-week. If the trading volume continues to shrink, the chips in high-position sectors will loosen and differentiate, and the market will shift from a unilateral rise to a range-bound pattern. It is recommended to focus on the supplementary rise opportunities of low-position sectors. The basis of four types of stock index futures contracts showed differentiation, with the IM contract having a large discount and the IF contract having a large premium. In the upcoming week with a dense schedule of important macroeconomic events, the A-share market is likely to maintain a volatile and relatively strong market. It is recommended to focus on technology frontier tracks such as robotics and AI computing power, and also seize the rotation and supplementary rise opportunities of sectors such as securities, pig cycles, and games. After a deep adjustment, the national debt market has shown rare allocation value, and investors are advised to moderately increase the allocation ratio [1][11][16]. 3. Summary According to Relevant Catalogs 3.1 This Week's Market Review 3.1.1 Industry Index - The A-share market continued to rebound this week, with the growth style performing well and driving up TMT-themed funds. The weekly average daily trading volume of the two markets was 2.3 trillion yuan, a week-on-week decrease of 10.63%. The basis of four types of stock index futures contracts showed differentiation, and the average and median returns of neutral hedge funds this week were -0.06% and -0.08% respectively. This week, the electronics, real estate, agriculture, forestry, animal husbandry, and fishery, media, and computer sectors led the gains. The real estate and agriculture, forestry, animal husbandry, and fishery sectors had a relatively large increase in the weekly trading volume ratio compared with last week, while the trading activity of the comprehensive finance and national defense and military industry sectors decreased significantly. The real estate sector rose 5.82% this week, and the weekly trading volume ratio increased to a new high in the past four weeks at 1.50%. The power equipment and new energy sector only rose 0.50% this week, and the weekly trading volume ratio was a new high in the past four weeks at 9.04%, and the sector may face short-term adjustment pressure [11]. 3.1.2 Market Style - This week, the growth style index rose 3.56%, and the weekly trading volume ratio slightly decreased to 58.73%. The consumption style index rose 0.88%, and the weekly trading volume ratio increased to 11.85%. The financial style index performed weakly in the past month, rising only 0.24% this week, and the weekly trading volume ratio decreased significantly to a new low in the past four weeks at 5.59%. The cyclical style index rose 1.87%, and the weekly trading volume ratio increased to a new high in the past four weeks at 20.69%. The stable style index rose 1.14%, and the weekly trading volume ratio increased significantly to a new high in the past four weeks at 3.13%. Based on the CSI A-share index, the CSI 500 index led the gains this week, rising 3.38%, and the weekly trading volume ratio was a new high in the past four weeks at 19.03%, while the Shanghai and Shenzhen 300 index only rose 1.38%, and the weekly trading volume ratio decreased to 27.65%. In the past three months, the market has shown highly structured characteristics, and the CSI 500 index has performed strongly. In an environment with abundant liquidity, funds clearly prefer opportunities with certainty, driving the collective supplementary rise of high-quality leading stocks in various industries [15]. 3.2 Active Equity Funds 3.2.1 Funds with Excellent Performance in Different Thematic Tracks This Week - The report screened single-track and double-track funds based on six sectors: TMT, financial real estate, consumption, medicine, manufacturing, and cycle. Single-track funds are those with a position in a certain sector greater than 70% for multiple consecutive periods, and double-track funds are those with positions in two sectors both greater than 30% for multiple consecutive periods. The report listed the top five funds in each sector in terms of performance this week [20][21]. 3.2.2 Funds with Excellent Performance in Different Strategy Classifications - The report improved the growth, BP, and profit factors to obtain growth, valuation, and quality factors, and divided the funds into different types such as deep undervaluation, high growth, high quality, quality growth, quality undervaluation, GARP, and balanced cost-effectiveness. It also listed the funds with relatively excellent performance in different types of funds this week [22]. 3.3 Index-Enhanced Funds 3.3.1 Distribution of Excess Returns of Index-Enhanced Funds This Week - This week, the Shanghai Composite Index rose 1.52%, the Shenzhen Component Index rose 2.65%, the ChiNext Index rose 2.10%, the STAR 50 rose 5.48%, and the Beijing Stock Exchange 50 fell 1.07%. The representative indexes of the value style sector, such as the Shanghai 50, CSI 100, and Shanghai and Shenzhen 300, rose 0.89%, 1.54%, and 1.38% respectively, while the representative indexes of the growth style sector, such as the Small and Medium 100, CSI 500, CSI 1000, and CSI 2000, rose 3.66%, 3.38%, 2.45%, and 2.16% respectively. The report also listed the average and median excess returns of different index-enhanced funds and the top three funds in terms of excess returns in each category this week [25][26][30]. 3.4 This Week's Fund High-Frequency Position Detection - After excluding funds with high positions in Hong Kong stocks and Beijing Stock Exchange stocks, funds with a scale of less than 200 million yuan, industry-themed funds, and quantitative funds, the results showed that active equity funds significantly increased their positions in the basic chemical (0.61%), machinery (0.24%), and power equipment and new energy (0.19%) industries this week, and significantly reduced their positions in the electronics (0.55%), computer (0.41%), and national defense and military industry (0.19%) industries. From a one-month perspective, the positions in the electronics (2.12%) and communication (0.97%) industries increased significantly, while the positions in the banking (1.11%) and automobile (1.04%) industries decreased significantly [3][43].

Market Overview - The trading activity of dividend style has shown a recovery, with the micro盘 index's congestion level continuing to decline[1] - The weekly trading volume in the market has slightly decreased, while the Shanghai Composite Index has risen[1] - The growth style has rebounded from last week's pullback, indicating ongoing style switching in the market[1] Sector Performance - The real estate sector has led the weekly gains, with TMT (Technology, Media, and Telecommunications) sectors also performing relatively well[3] - High dividend sectors such as coal and insurance remain at low congestion levels, suggesting potential for future growth[1][3] Fund Performance - The fund-heavy indices have continued their upward trend, with the fund-heavy index gaining 2.50% this week, outperforming the benchmark[23] - The Northbound heavy series has underperformed compared to the overall market since the beginning of 2025[27] Style Tracking - The "Growth+" series has performed well, with the growth index showing a weekly gain of 4.78%[33] - The high profitability quality index has also seen a recovery, indicating a positive trend in profitability quality[1][3] Thematic Trends - The specialized and innovative series indices have shown good rebounds, with the specialized and innovative selected index gaining 6.92% this week[35] - The carbon neutrality and rural revitalization indices have also performed positively, with gains of 2.08% and 1.03% respectively[35]

Market Performance - On September 12, 2025, the three major indices collectively declined: Shanghai Composite Index down 0.12%, Shenzhen Component Index down 0.43%, and ChiNext Index down 1.09%[2] - Market turnover reached 25,483.13 billion CNY, an increase of 837.23 billion CNY from the previous trading day[2] - A total of 1,926 stocks rose while 3,373 stocks fell across the market[2] Sector and Style Analysis - Among the 30 CITIC first-level industries, the top performers were non-ferrous metals (up 1.96%), real estate (up 1.43%), and steel (up 1.34%); the worst performers included telecommunications (down 2.07%), banking (down 1.54%), and non-bank financials (down 1.48%)[20] - In terms of investment style, growth stocks outperformed value stocks, with small-cap growth leading the way[20] Capital Flow - On September 12, 2025, the net outflow of main funds was 536.40 billion CNY, with large orders contributing to a net outflow of 231.38 billion CNY and small orders showing a net inflow of 543.27 billion CNY[26] - Major ETFs saw a decrease in trading volume compared to the previous day, with notable declines in the turnover of several ETFs, including a drop of 18.85 billion CNY for the Huaxia SSE 50 ETF[30] Global Market Trends - On September 12, 2025, major Asia-Pacific indices closed higher, with the Hang Seng Index up 1.16% and the Nikkei 225 Index up 0.89%[33] - European indices also saw gains on September 11, 2025, with the DAX Index up 0.30% and the FTSE 100 Index up 0.78%[34]

Market Overview - The stock market experienced increased volatility with a notable adjustment in the small-cap growth sector, while value stocks outperformed growth stocks [3][9] - The Shanghai Composite Index fell by 1.2%, the CSI 300 decreased by 0.8%, while the ChiNext Index rose by 2.4% [3] Bond Market - Bond yields saw a slight decline, with the 10-year government bond yield down by 1 basis point to 1.83% and the 30-year yield down by 3 basis points to 2.11% [4] International Market - The U.S. labor market showed weakness with only 22,000 non-farm jobs added in August, significantly below the expected 75,000, leading to a decline in U.S. Treasury yields [5][10] - The Hang Seng Index rose by 1.4%, outperforming A-shares due to expectations of interest rate cuts by the Federal Reserve and continued inflow of capital [5] Sector Performance - Notable sectors included power equipment and new energy (up 5.91%), non-ferrous metals (up 2.26%), and pharmaceuticals (up 1.49%), while defense and military (-11.61%) and computers (-6.76%) underperformed [7][9] - The market saw a shift in capital flow, with low-growth sectors like power equipment and new energy performing well due to high-low switching of funds [9] Fund Issuance - A total of 38 public funds were issued last week, accumulating 27.6 billion units, with a noticeable shift towards equity funds [13]

Group 1 - Morgan Stanley reports that U.S. investors' interest in the Chinese market has reached a three-year high, with over 90% of investors expressing willingness to increase exposure, a level not seen since early 2021 [2] - Factors driving this trend include China's global leadership in humanoid robots, biotechnology, and drug development, as well as gradual policy measures aimed at stabilizing the economy and supporting capital markets [2] - Improved liquidity conditions and the need for diversified global asset allocation further support investment intentions [2] Group 2 - Wells Fargo emphasizes that the growth style remains in trend, with significant valuation gaps between Chinese companies and their overseas counterparts in high-end manufacturing, indicating substantial growth potential [4] - Huabao Fund suggests an investment strategy of "digging deep for Alpha while waiting for Beta," reflecting a focus on active management to achieve excess returns beyond market benchmarks [5] Group 3 - Guotai Fund identifies three main investment directions: innovative drugs, AI healthcare, and low-valuation leading companies in new cycles, with expectations that the current innovative drug market will see greater market capitalization growth than previous cycles [6] - The manager notes that the recognition of efficient R&D and clinical innovation in the pharmaceutical industry is driving this trend [6] Group 4 - Xingyin Fund highlights that product strength has become the core competitiveness of consumer companies, as consumers increasingly favor "self-satisfying" scenarios, reshaping the industry landscape [9] - The ability to continuously launch innovative products that meet precise consumer needs is crucial for corporate growth [9] Group 5 - Quanguo Fund points out that major global model manufacturers have released significant upgrades, emphasizing China's indispensable role in autonomous hardware and model capabilities, with substantial potential in domestic computing power and application-related fields [11]

Core Viewpoint - The article discusses the current challenges faced by investors heavily invested in dividend stocks, highlighting the underperformance of dividend indices compared to broader market indices since June 23, 2025, and suggests strategies for adjusting portfolios to improve returns [7][9][21]. Group 1: Market Performance - Since June 23, 2025, broad-based and actively managed equity funds have seen gains of 20% or more, while dividend indices like the Shanghai Dividend and CSI Dividend have seen maximum gains of no more than 5% [7]. - The article notes that investors who are fully invested in dividend stocks may be experiencing significant discomfort due to the poor performance of these assets [8]. Group 2: Investor Strategies - For long-term investors who have held dividend stocks through various market cycles, the article suggests that they may not need to take any action, as they understand the nature of these assets [8]. - For newer investors who entered the market during the recent dividend bull run, the article provides actionable strategies to navigate the current market conditions [9][21]. Group 3: Transitioning Investment Focus - The article emphasizes that both dividend and growth assets cannot be effective or ineffective in the long term, suggesting a potential shift towards growth-oriented investments while maintaining a balanced risk profile [11]. - It proposes that investors consider reallocating from pure dividend holdings to deep value fund managers who have shown better performance relative to dividend indices [14]. Group 4: Upgrading Dividend Indices - The article recommends upgrading dividend indices by incorporating growth factors, suggesting two main investment directions: 1. Free Cash Flow series indices, which have outperformed traditional dividend indices since June 23, 2025 [16][17]. 2. Dividend Quality indices, which have also shown significant gains compared to pure dividend indices [18]. Group 5: Additional Optimization Methods - The article suggests considering large-cap broad-based or value-oriented indices, such as the CSI 300 or Shanghai Composite Index, as they are expected to outperform pure dividend strategies in the near term [19]. - It also recommends exploring dividend-paying stocks with growth attributes, particularly in sectors like consumer goods and liquor, which may offer better returns than traditional dividend stocks [20]. Conclusion - The article concludes that rather than making drastic changes to investment portfolios, investors should focus on optimizing their holdings to align with current market conditions while maintaining patience [21][22].

Market Overview - The current market sentiment remains heated, with the A-share upward cycle not yet over, but transitioning from a unilateral rise to a "slow bull" phase, indicating potential short-term volatility [1][4] - Growth style shows greater elasticity supported by industrial trends and earnings growth prospects, while cyclical style remains more stable; a balanced approach is recommended for investors [1][4] Equity Market Analysis - Last week, the market style favored large-cap stocks, with value style significantly outperforming; the volatility of large and small-cap styles increased rapidly, while value and growth style volatility decreased [6][7] - The excess return dispersion of industry indices increased, indicating a rise in industry rotation speed, while the proportion of rising constituent stocks decreased, suggesting a weakening of the strong index trend [6] - The trading concentration increased, with the top 100 stocks' trading volume share rising, while the top five industries' trading volume share remained stable compared to the previous period [6] Market Activity - Market volatility and turnover rate continued to rise last week, indicating increased market activity [7] Commodity Market Insights - In the commodity market, the energy and chemical sector's trend strength increased, while other sectors remained stable; the basis differential momentum for black and energy sectors rose [21] - Volatility increased in the black and precious metals sectors, with liquidity performance showing divergence across sectors [21] Options Market Overview - Implied volatility for the SSE 50 and CSI 1000 remains high but has shown marginal easing; the skew of put options for the 50ETF has risen rapidly, while the CSI 1000 remains unchanged [25] Convertible Bond Market Analysis - The convertible bond market experienced a decline followed by recovery, with significant volatility; the premium rate for bonds convertible at 100 yuan stabilized at a mid-level [27] - The proportion of low premium convertible bonds has notably decreased, with these bonds performing relatively well; market trading volume has contracted but remains within a healthy range [27]

Market Overview - The Shanghai Composite Index experienced increased volatility with a slight decline in trading volume during the week[2] - Growth style saw a pullback, but a strong rebound was noted on the last trading day, particularly in the ChiNext Index[2] Trading Activity - Dividend style trading activity showed signs of recovery, while high profitability quality continued to rise[3] - The congestion level in high dividend sectors like coal and insurance remains at the bottom, indicating potential for growth[2] Sector Performance - The healthcare sector led the weekly performance, with healthcare leaders significantly outperforming dividend stocks in the same sector[3] - The value stable and value prosperity composite strategies outperformed during the week[3] Fund Performance - The Fund Heavyweight 50 Index recorded a weekly return of 2.35%, continuing its upward trend[22] - The overall performance of the Fund Heavyweight Index was volatile, but it led the institutional series in returns[22] Theme Trends - The low-carbon leader indices (30/60) showed strong weekly performance, with returns of 8.58% and 8.26% respectively[34] - The carbon neutrality index also performed well, with a weekly return of 5.53%[34]