Core Viewpoint - Wall Street's top investment banks are establishing a new "bull-bear divide" as market sentiment becomes increasingly cautious [1] Group 1: Market Trends and Technical Levels - Goldman Sachs identifies 6725 points as a critical technical inflection point for the S&P 500 index; a breach could signal the end of a positive market trend that has persisted since February [2] - JPMorgan warns that the S&P 500 index faces key support levels at 6700, 6631, and 6525 points; breaking these levels could confirm a downward trend, potentially lasting until early 2026 [3][9] - The report highlights that the Nasdaq 100 and Russell 2000 indices have also breached short-term momentum thresholds, indicating a potential for significant selling pressure from algorithm-driven commodity trading advisors (CTAs) [7] Group 2: Upcoming Market Events - The market is preparing for significant events, including Nvidia's earnings report, which could lead to a market capitalization fluctuation of up to $300 billion, and the first U.S. government employment report in two and a half months [4] Group 3: Defensive Rotation and Sector Performance - There is a notable shift of funds from growth sectors to defensive sectors, with the VIX index rising above 23 for the fourth time since April, indicating increased market anxiety [11] - In the technology, media, and telecommunications (TMT) sectors, short selling has outpaced long buying, while defensive sectors like healthcare and consumer staples have seen stronger demand [11] - Despite the defensive shift, overall stock exposure has not significantly decreased, suggesting persistent market volatility [11] Group 4: Momentum Factor and Market Risks - A sharp decline in the momentum factor has been observed, with Goldman Sachs' momentum index experiencing one of its worst trading periods in a decade, raising concerns about potential instability [13] - The report indicates that despite the poor performance of the momentum factor, investor exposure remains high, which could lead to larger-scale deleveraging and asset repricing if selling continues [13]

Core Viewpoint - The S&P 500 index at 6725 points is identified by Goldman Sachs as a critical technical threshold, with a potential breach signaling a trend reversal and triggering systematic selling by CTA funds [3][5][6]. Market Trends and Indicators - The S&P 500 is currently testing the first support level around 6700 points, with further critical levels at 6631 and 6525 points. A breach of these levels could confirm a bearish trend reversal, targeting a drop to approximately 6150 points [6]. - The Russell 2000 index has shown the most concerning breakdown pattern, confirming a bearish trend reversal and opening up space for further declines [6]. Fund Flows and Sector Rotation - There is a notable shift of funds from growth sectors, particularly technology, to defensive sectors such as healthcare and consumer staples. The VIX index has spiked above 23, indicating increased market anxiety [8][9]. - In the technology, media, and telecommunications (TMT) sectors, short selling has outpaced long buying, while defensive sectors have seen stronger demand from long-term funds [8][9]. Volatility and Risk Factors - Nvidia has exhibited significant volatility, with market expectations of its earnings report potentially impacting its market cap by up to $300 billion. This volatility is concerning given Nvidia's market cap is approximately $4.6 trillion, significantly larger than the average market cap of Russell 2000 constituents [10]. - A sharp decline in momentum factors has been observed, with a Goldman Sachs momentum index experiencing one of its worst trading periods in a decade. This could lead to broader deleveraging and asset repricing if selling pressure continues [10].

Core Viewpoint - Wall Street's top investment banks are establishing a new "bull-bear divide" as market sentiment becomes increasingly cautious, with Goldman Sachs identifying 6725 points on the S&P 500 index as a critical technical inflection point that, if breached, could signal the end of a positive market trend lasting several months [1][2]. Group 1: Market Trends and Indicators - Goldman Sachs' report emphasizes that the S&P 500 index's 6725 points is crucial; falling below this level could mark a second negative trend since February of this year [1][2]. - JPMorgan has warned that if the S&P 500 breaches key support levels of 6700, 6631, and 6525 points, it would confirm a downward trend, potentially leading to market adjustments lasting until early 2026 [1][2]. - The Russell 2000 index is showing the most concerning breakdown pattern, indicating a bearish trend and opening up space for further declines [1][3]. Group 2: Systematic Selling Risks - The report highlights that the market's technical structure is precarious, with algorithm-driven Commodity Trading Advisor (CTA) funds likely to lead the next phase of selling [2]. - Goldman Sachs' analysis indicates that the short-term momentum thresholds for the Nasdaq 100 and Russell 2000 indices were breached last week, with CTAs expected to sell approximately 20% of their NDX and RTY positions in the coming week [2]. - A critical level for CTAs is set at 6442 points; if breached, it could trigger over $32 billion in sell orders within a week, potentially causing significant market turmoil [2]. Group 3: Defensive Sector Rotation - Evidence suggests that funds are shifting from growth sectors to defensive sectors, with the VIX index rising above 23, marking the fourth occurrence since April [5]. - In the Technology, Media, and Telecommunications (TMT) sector, short selling has outpaced long buying, while defensive sectors like healthcare and consumer staples have seen stronger demand from long buyers [5]. - Despite this defensive trend, overall stock exposure has not significantly decreased, indicating persistent market volatility [5]. Group 4: Technology Sector Concerns - There is a surge in demand for hedging against declines in large-cap technology stocks, with the implied volatility spread between the Nasdaq 100 and S&P 500 indices nearing a one-year high [7]. - Nvidia's recent volatility has been notably higher than the average for small-cap stocks, raising concerns given its market capitalization of approximately $4.6 trillion compared to the average market cap of Russell 2000 constituents at $1.7 billion [7]. - A sharp decline in momentum factors has been observed, with Goldman Sachs' momentum index experiencing one of its worst trading periods in a decade, raising concerns about potential broader market instability [7].

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Views of the Report - In the medium - term, the expectation of a slow - bull market in the equity market remains solid. With a temporary decline in market risk appetite, the dumbbell strategy is expected to achieve excess returns. The valuation factor and volatility factor are expected to strengthen marginally. In the short - term, attention should be paid to the risk of excess drawdown due to style mismatch in the convertible bond market. It is recommended to maintain a neutral position to enjoy the excess returns brought by the spill - over of the equity bull market, taking into account both growth and defense [1][22] Group 3: Summary by Relevant Catalog 1. Convertible Bond Weekly Thinking - From November 10 to November 14, 2025, the style of the convertible bond market changed significantly, with the tech - growth style retreating and the energy and consumption indices strengthening. The main line of the convertible bond market is not clear, and sector rotation has accelerated. The technology sectors represented by AI computing power and semiconductors have declined, while the power equipment and photovoltaic industries have performed well. The dividend style has strengthened due to risk - aversion and overseas tech valuation bubbles. As the year - end approaches, some investors may lock in profits, and the market is likely to be dominated by rotation, increasing the difficulty of convertible bond trading [11] - In the volatile market, the valuation of bond - like convertible bonds is firm, and the market tends to be defensive in the short - term. As of November 14, 2025, the median price of convertible bonds is close to 134 yuan, a recent high. The market style has shifted from offensive to defensive, with bond - biased convertible bonds performing better than equity - biased ones. The pure - bond premium rate of bond - like convertible bonds has been rising. In terms of valuation, the convertible bond valuation is oscillating at a high level, with the premium rate of bond - like convertible bonds at 84.51%, the balanced convertible bonds at about 22.66%, and the equity - like convertible bonds at 10.18%, down about 1.13 percentage points from the recent high [3][12] - In the volatile market, attention should be paid to the tail risk of the momentum factor to avoid the risk of excess return drawdown caused by trend reversal. The convertible bond momentum factor has performed well this year, mainly because it has captured the "trend effect" in the convertible bond market since Q2 2025. However, with the continuous small - scale outflow of passive funds represented by ETFs, there is a possibility of style switching in the convertible bond market. The momentum effect brought by liquidity premium may be the source of excess returns in the convertible bond market this year. In the short - term, attention should be paid to the risk of excess drawdown due to style mismatch. As the equity market enters the performance verification stage, the valuation factor and volatility factor are expected to strengthen, enabling investors to enjoy the excess returns from the value regression of undervalued convertible bonds and through high - selling and low - buying in the volatile market [4][14][19] - In November, investors are recommended to focus on convertible bonds such as Shangyin, Shouhua, Aola, Jingke, Baolong, Keshun, Yingbo, Wei, Jin 25, and Anji [23] 2. Convertible Bond Market Tracking 2.1 Convertible Bond Market Conditions - The report provides the performance data of various convertible bond indices in different time periods (recent week, recent two weeks, since September, recent month, recent two months, recent half - year, and recent one - year), including the Wande Convertible Bond Energy Index, Wande Convertible Bond Materials Index, etc. [24] 2.2 Convertible Bond Individual Securities - The report shows the top ten and bottom ten individual convertible bonds in terms of price increase and decrease in the recent week [26][27] 2.3 Convertible Bond Valuation - The report presents the valuation trends of bond - like, balanced, and equity - like convertible bonds, as well as the valuation trends of convertible bonds with different parities [28][36] 2.4 Convertible Bond Price - The report shows the proportion trend of high - price bonds and the median price trend of convertible bonds [38]

Report Information - Title: Commodity Quantitative CTA Weekly Tracking [1] - Author: Research Institute of Guotou Futures, Financial Engineering Group - Date: November 11, 2025 Industry Investment Rating - Not provided Core View - This week, the proportion of long positions in commodities has rebounded. The factor strength of the black sector has declined, while those of the precious metal and non - ferrous sectors have increased. Currently, the non - ferrous and precious metal sectors are relatively strong in cross - section, and the black and energy sectors are relatively weak. [3] Summary by Commodity Sector Overall Commodity - The proportion of long positions in commodities has rebounded this week, with the black sector's factor strength decreasing and the precious metal and non - ferrous sectors' increasing. The non - ferrous and precious metal sectors are cross - sectionally strong, while the black and energy sectors are weak. [3] Precious Metals - The time - series momentum of gold has marginally rebounded, and the trading volume of silver has increased significantly. The cross - sectional divergence has narrowed. [3] Non - Ferrous Metals - The position factor of the non - ferrous sector has marginally rebounded, and the long - term momentum continues to rise. Lithium carbonate is strong and nickel is weak in cross - section. There is a divergence between long - and short - cycle momentum. [2][3] Black Metals - The positions of iron ore and rebar have decreased, reflecting poor market demand after the realization of positive news. Coking coal is relatively strong in cross - section. [3] Energy - The short - cycle momentum factor of the energy sector has declined, and the chemical industry sector is in the cross - sectionally short end. [3] Agricultural Products - The cross - sectional divergence of oil and meal has narrowed. The short - cycle momentum of soybean oil has marginally increased, and the momentum of soybean meal has remained unchanged. [3][9] Summary by Commodity Variety Methanol - Last week, the supply factor increased by 0.33%, and the synthetic factor strengthened by 0.21%. This week, the comprehensive signal is short. Fundamentally, the supply side is short, the demand side is long, the inventory side is short, and the spread side is neutral to short. [4] Float Glass - Last week, the inventory factor increased by 0.38%, the spread factor weakened by 0.19%, and the synthetic factor decreased by 0.14%. This week, the comprehensive signal is long. Fundamentally, the supply side is neutral, the demand side is neutral, the inventory side has turned neutral from strong short, the spread side is long, and the profit side is neutral to long. [7] Iron Ore - Last week, the supply factor decreased by 0.99%, and the comprehensive factor weakened by 0.2%. This week, the comprehensive signal has turned neutral. The supply side has turned from long to short, the demand side has turned to short feedback, the inventory side has turned to long, and the spread side has strengthened the long feedback. [7] Lead - Last week, the supply factor decreased by 0.07%, the demand factor weakened by 0.07%, the spread factor decreased by 0.06%, and the synthetic factor weakened by 0.05%. This week, the comprehensive signal remains short. The supply side's short feedback has weakened but remains short, the inventory side has turned to short, and the spread side remains short. [7]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - In a unilateral rising market, the momentum factor can amplify returns by concentrating on strong-performing stocks, resulting in significant excess returns. When combined with the growth factor, it can capture trends while adding a fundamental safety net to the investment portfolio, making it suitable for medium-risk preference investors. The "growth + momentum" dual-factor investment logic is systematically implemented in the ChiNext Momentum Growth Index and its linked product, the Huaxia ChiNext Growth ETF [1][11]. Summary According to the Directory Product Fund - Huaxia ChiNext Growth ETF (159967) - **Investment Attributes and Returns**: The Huaxia ChiNext Growth ETF closely tracks the ChiNext Momentum Growth Index, serving as a passive investment tool for high-growth and strong-momentum portfolios on the ChiNext board. Since its establishment in June 2019, it has achieved a cumulative return of 113.97%, significantly outperforming broad-based indices such as the CSI 300. In the rising market since May 2025, it has shown outstanding performance with a six-month return of 46.51%, demonstrating its offensive nature in a bull market. However, it has high volatility, with a three-year return of 1.10% significantly trailing the CSI 300's 22.70% [2][11][14]. - **Fund Manager and Fund Company**: The fund is managed by Rong Ying, who manages 21 funds with a total scale of approximately 138.292 billion yuan. As of October 22, 2025, the Huaxia ChiNext Growth ETF has a scale of 30.39 billion yuan. Huaxia Fund, the fund manager, has a total public fund management scale of 2041.571 billion yuan as of October 22, 2025, with 114 ETFs worth 896.351 billion yuan and 13 money market funds worth 774.607 billion yuan, consolidating its leading position in public offering index investment [15][19]. Tracking Index - ChiNext Momentum Growth Index (399296.SZ) - **Index Composition and Calculation**: The index is compiled by Guozheng Index Company, selecting 50 listed company securities with good growth ability and obvious momentum effects from the ChiNext board. It uses a Paasche weighting method with a single stock weight cap of 15% and adjusts samples and weights quarterly. The sample selection involves screening stocks based on liquidity and then using growth and momentum factors to calculate scores and determine the final 50 stocks [20][21][27]. - **Performance and Returns**: Since its release in 2019, the index has achieved a cumulative return of 157.46%, significantly higher than mainstream broad-based indices. In 2020, it had a return of 97.14%, showing high growth elasticity. In the period from May 1 to October 22, 2025, it had a cumulative return of 40.24%, also outperforming major broad-based indices [4][31][35]. - **Weighted Stocks and Industry Distribution**: The top ten component stocks account for 76.63% of the total weight, with high concentration in the technology growth sector. The top four industries (communications, power equipment, electronics, and non-bank finance) account for nearly 80% of the total weight, highlighting the index's focus on the technology growth sector [3][37][52]. - **Valuation and Earnings**: As of October 22, 2025, the index's PE TTM is 40.83 times, slightly lower than the historical median of 44.73 times, indicating a reasonable valuation. From 2019 to 2024, the index's component stocks showed strong growth in revenue and net profit, and it is expected to maintain double-digit growth from 2025 to 2026 [61][64]. - **Sources of High Growth and Excess Returns**: The index's high growth elasticity and excess returns stem from its precise sample screening, factor tilt weighting, high-growth and high-elasticity asset characteristics, and regular dynamic adjustments [71]. Sample Space - ChiNext Composite Index - **Market Value and Industry Structure**: The index shows a pattern where small-cap stocks dominate in number and large-cap stocks dominate in weight. The industry structure has been evolving towards power equipment, electronics, and communications, with the power equipment industry's weight increasing from 13.89% in 2020 to 23.46% in 2025, and the communications industry's weight rising from 2.90% to 9.69% [76][78]. - **Growth and Profitability**: The index has shown strong growth momentum in revenue, with its growth rate consistently higher than that of major market indices from 2020 to 2024. Its average net profit growth rate from 2020 to 2024 was 11.73%, significantly higher than that of mainstream broad-based indices. The average ROE in the past five years was 6.86%, indicating relatively good profitability [79][81][83]. - **Industry Focus and New Productivity Layout**: The index's industry structure focuses on technology growth, with a low financial sector weight and high weights in emerging technology fields such as communications and computers, reflecting the trend of new productivity development and industrial upgrading [88].

Quantitative Models and Construction Methods - **Model Name**: "Day and Night Convergence" New Momentum Factor **Model Construction Idea**: The model is based on the price-volume relationship during intraday and overnight trading sessions. It improves traditional momentum factors by incorporating transaction volume information and separating the trading periods into day and night to explore their respective characteristics and logic[6][7] **Model Construction Process**: 1. The trading period is divided into intraday and overnight sessions 2. The price-volume relationship is analyzed separately for each session to identify distinct features 3. The improved intraday and overnight factors are synthesized into a new momentum factor 4. The factor is tested on the entire A-share market (excluding Beijing Stock Exchange stocks) from February 2014 to October 2025, using a 10-group long-short hedging strategy[7] **Model Evaluation**: The model demonstrates significant stock selection ability, outperforming traditional momentum factors in terms of stability and performance[6][7] Model Backtesting Results - **"Day and Night Convergence" New Momentum Factor**: - Annualized Return: 18.15% - Annualized Volatility: 8.68% - Information Ratio (IR): 2.09 - Monthly Win Rate: 78.01% - Maximum Drawdown: 9.07%[1][7][14] Quantitative Factors and Construction Methods - **Factor Name**: "Day and Night Convergence" New Momentum Factor **Factor Construction Idea**: The factor leverages the distinct characteristics of price-volume relationships during intraday and overnight trading sessions to enhance the signal strength of momentum factors[7] **Factor Construction Process**: 1. Separate the trading period into intraday and overnight sessions 2. Analyze the price-volume relationship for each session to identify unique features 3. Combine the improved intraday and overnight factors into a single momentum factor 4. Test the factor on the entire A-share market (excluding Beijing Stock Exchange stocks) from February 2014 to October 2025, using a 10-group long-short hedging strategy[7] **Factor Evaluation**: The factor significantly outperforms traditional momentum factors, with higher stability and better stock selection ability[6][7] Factor Backtesting Results - **"Day and Night Convergence" New Momentum Factor**: - Annualized Return: 18.15% - Annualized Volatility: 8.68% - Information Ratio (IR): 2.09 - Monthly Win Rate: 78.01% - Maximum Drawdown: 9.07%[1][7][14] - **Traditional Momentum Factor**: - Information Ratio (IR): 1.09 - Monthly Win Rate: 62.75% - Maximum Drawdown: 20.35%[6] October 2025 Performance - **"Day and Night Convergence" New Momentum Factor**: - Long Portfolio Return: 0.85% - Short Portfolio Return: -2.35% - Long-Short Hedging Return: 3.20%[1][10]

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The proportion of long and short positions in commodities changed little this week. The factor strength of the non - ferrous sector rebounded, while that of the precious metals and agricultural products sectors declined. The non - ferrous sector was relatively strong in the cross - section, while the chemical and precious metals sectors were relatively weak [2]. - Different commodities have different trends in strategy net value and fundamental factors. For example, in the methanol market, the comprehensive signal was long this week; in the float glass market, it was neutral; in the iron ore market, it remained neutral; and in the Shanghai lead market, it remained short [4][7][9]. 3. Summary by Commodity Methanol - **Strategy Net Value**: Last week, the supply factor increased by 0.11%, the demand factor increased by 0.13%, the inventory factor increased by 0.02%, and the synthetic factor strengthened by 0.19%. The comprehensive signal this week is long [3][4]. - **Fundamental Factors**: High import volume of methanol signaled a short on the supply side; increased开工负荷 of acetic acid and MTBE plants signaled a long on the demand side; methanol inventory in East China ports signaled a long on the inventory side; the spot price of inland methanol signaled a short, and the East China basis signaled a long, with the spread side being neutral to short [4]. Float Glass - **Strategy Net Value**: Last week, the inventory factor decreased by 0.06%, the spread factor weakened by 0.07%, the profit factor increased by 0.06%, and the synthetic factor decreased by 0.05%. The comprehensive signal this week is neutral [7]. - **Fundamental Factors**: The capacity utilization rate of float glass remained flat, so the supply side remained neutral; the increase in the number of commercial housing transactions in 30 large - and medium - sized cities signaled a long on the demand side; continuous inventory accumulation of domestic float glass enterprises signaled a short on the inventory side; the continuous slight decline in the spot market and the stable recovery of the futures price made the spread side change from a strong short to neutral [7]. Iron Ore - **Strategy Net Value**: Last week, each factor remained flat compared with the previous week, and the comprehensive signal this week remained neutral [9]. - **Fundamental Factors**: Decreased shipments from FMG and Rio Tinto and reduced arrivals at northern ports strengthened the long feedback on the supply side; decreased daily port clearance volume and steel mill consumption of domestic sintered ore powder maintained the short signal on the demand side; inventory accumulation at major national ports slightly strengthened the short feedback on the inventory side; the increase in the spot price center strengthened the long feedback on the spread side, and both the inventory and spread sides maintained a neutral signal [9]. Shanghai Lead - **Strategy Net Value**: Last week, the supply factor decreased by 0.45%, the demand factor weakened by 0.44%, the spread factor decreased by 0.57%, and the synthetic factor weakened by 0.38%. The comprehensive signal this week remained short [9]. - **Fundamental Factors**: Reduced losses of SMM tax - free recycled lead and a lower ratio of waste battery prices to recycled refined lead prices maintained the short signal on the supply side; inventory reduction in LME and SHFE made the inventory side turn to a long feedback, maintaining a neutral signal; the narrowing of the near - far month discount and the expansion of the spot discount weakened the short feedback on the spread side, and the signal turned to neutral [9]. Sector - Specific Momentum and Structure - **Momentum and Structure Data**: The report provides momentum and structure data for different sectors, including the egg - related, non - ferrous, energy - chemical, agricultural products, equity index, and precious metals sectors. For example, the non - ferrous sector had a momentum sequence value of 0.06, a momentum cross - section value of 0.93, a term structure value of - 2.2, and a position - holding volume value of - 0.64 [5].

Market Overview - Major averages are reaching record highs, indicating strong market momentum and positive sentiment [1][2] - Trade talks and a Federal Reserve meeting are contributing to market optimism, with positive responses to trade news, particularly regarding Asian trade talks [3][4] Earnings Season Insights - Approximately 87% of S&P 500 companies that have reported earnings have exceeded bottom-line estimates, although estimates have been revised down since April [10] - The current earnings season shows that stocks are being rewarded for good news, with a more forgiving market attitude towards companies that miss expectations, as seen with Tesla [11][12] Stock Performance Trends - There is a notable increase in thematic stocks, with significant activity in companies like Beyond Meat, Regetti, and Oaklo [5][6] - Quality stocks, particularly those with strong dividends, are showing latent demand, as evidenced by positive reactions from companies like Coca-Cola and Dr. Pepper to earnings news [6][7] Market Dynamics - A short squeeze has led to a doubling of a basket of the most shorted stocks since the market low in April, with a rally of over 30% since September [5] - The market is currently favoring momentum-driven strategies, although there are considerations for longer-term investments in undervalued stocks [9]

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 0.53% this week and 18.86% year-to-date [1][7] - The CSI 500 index enhanced portfolio recorded an excess return of 0.45% this week and 9.03% year-to-date [1][7] - The CSI 1000 index enhanced portfolio had an excess return of 0.34% this week and 19.00% year-to-date [1][7] - The CSI A500 index enhanced portfolio experienced an excess return of -0.46% this week and 8.18% year-to-date [1][7] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as quarterly ROA, quarterly ROE, and one-year momentum performed well [1][10] - In the CSI 500 component stocks, factors like SPTTM, executive compensation, and three-month institutional coverage showed strong performance [1][10] - For the CSI 1000 component stocks, factors such as three-month earnings revisions, standardized unexpected revenue, and standardized unexpected earnings performed well [1][10] - In the CSI A500 index component stocks, factors like one-year momentum, quarterly revenue year-on-year growth, and DELTAROA showed good performance [1][10] - Among publicly offered fund heavy stocks, factors like one-year momentum, standardized unexpected revenue, and three-month earnings revisions performed well [1][10] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 2.02%, a minimum of -1.13%, and a median of 0.06% this week [1][23] - The CSI 500 index enhanced products recorded a maximum excess return of 1.24%, a minimum of -1.61%, and a median of 0.19% this week [1][25] - The CSI 1000 index enhanced products achieved a maximum excess return of 1.52%, a minimum of -1.23%, and a median of 0.45% this week [1][29] - The CSI A500 index enhanced products had a maximum excess return of 0.84%, a minimum of -0.53%, and a median of 0.03% this week [1][30]