Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content. 2. Core Viewpoints of the Report - The report provides several ETF strategy indices constructed with the help of ETFs and tracks the performance and positions of these indices on a weekly basis. These indices aim to achieve excess returns relative to the market through various strategies [11]. 3. Summary by Relevant Catalogs 1. ETF Strategy Index Tracking - The performance of each ETF strategy index last week is as follows: - **Huabao Research Large - Small Cap Rotation ETF Strategy Index**: Last - week index return was 3.61%, benchmark was CSI 800 with a return of 0.80%, and the excess return was 2.81%. As of January 23, 2026, the excess return since 2024 was 32.84%, the excess return in the past month was 7.61%, and the excess return in the past week was 2.81% [12][13]. - **Huabao Research SmartBeta Enhanced ETF Strategy Index**: Last - week index return was 1.65%, benchmark was CSI 800 with a return of 0.80%, and the excess return was 0.85%. As of January 23, 2026, the excess return since 2024 was 24.95%, the excess return in the past month was 1.03%, and the excess return in the past week was 0.85% [12][15]. - **Huabao Research Quantitative Fire - Wheel ETF Strategy Index**: Last - week index return was 4.79%, benchmark was CSI 800 with a return of 0.80%, and the excess return was 3.98%. As of January 23, 2026, the excess return since 2024 was 46.85%, the excess return in the past month was 4.96%, and the excess return in the past week was 3.98% [12][20]. - **Huabao Research Quantitative Balancing Act ETF Strategy Index**: Last - week index return was 0.48%, benchmark was SSE 300 with a return of - 0.62%, and the excess return was 1.10%. As of January 23, 2026, the excess return since 2024 was - 9.77%, the excess return in the past month was 1.04%, and the excess return in the past week was 1.10% [12][24]. - **Huabao Research Hot - Spot Tracking ETF Strategy Index**: Last - week index return was 1.66%, benchmark was CSI All - Share Index with a return of 1.76%, and the excess return was - 0.10%. As of January 23, 2026, the excess return in the past month was 2.44%, and the excess return in the past week was - 0.10% [12][27]. - **Huabao Research Bond ETF Duration Strategy Index**: Last - week index return was 0.19%, benchmark was ChinaBond Aggregate Index with a return of 0.23%, and the excess return was - 0.04%. As of January 23, 2026, the excess return in the past month was 0.31%, and the excess return in the past week was - 0.04% [12][30]. 1.1 Huabao Research Large - Small Cap Rotation ETF Strategy Index - This index uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. The model outputs weekly signals to predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns relative to the market. As of January 23, 2026, the positions included 50% of CSI 500ETF (159922.SZ) and 50% of CSI 1000ETF (512100.SH) [13][17]. 1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - It uses price - volume indicators to time self - built Barra factors and maps the timing signals to ETFs based on their exposures to 9 major Barra factors to achieve excess market returns. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs. As of January 23, 2026, the positions included 25.28% of Full - Science and Technology Innovation Composite Index ETF (589600.SH), 25.28% of Full - Science and Technology Innovation Composite Index ETF (589000.SH), 24.74% of GEM 200ETF (159270.SZ), and 24.70% of Science and Technology Innovation 100ETF (588220.SH) [15][20]. 1.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - Starting from a multi - factor perspective, it includes the grasp of medium - and long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behaviors of various market participants. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs out potential sectors to obtain excess returns relative to the market. As of January 23, 2026, the positions included 21.42% of Non - Ferrous Metals ETF (512400.SH), 20.64% of Chemicals ETF (159870.SZ), 20.23% of Petroleum ETF (159697.SZ), 19.58% of Steel ETF (515210.SH), and 18.13% of Securities and Insurance ETF (512070.SH) [20][25]. 1.4 Huabao Research Quantitative Balancing Act ETF Strategy Index - It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for trend analysis of the equity market. It also establishes a prediction model for the market's large - and small - cap styles to adjust the position distribution in the equity market. Through comprehensive timing and rotation, it aims to obtain excess returns relative to the market. As of January 23, 2026, the positions included 9.05% of 10 - Year Treasury Bond ETF (511260.SH), 6.69% of 500ETF Enhanced (159610.SZ), 6.42% of CSI 1000ETF (512100.SH), 32.87% of 300 Enhanced ETF (561300.SH), 22.51% of Policy - Financial Bond ETF (511520.SH), and 22.45% of Short - Term Financing Bond ETF (511360.SH) [24][27]. 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - It tracks and mines hot - spot index target products in a timely manner through strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional opinions, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot - spots in a timely manner, providing investors with references for short - term market trends and helping them make wiser investment decisions. As of January 23, 2026, the positions included 42.09% of Non - Ferrous Metals 50ETF (159652.SZ), 21.93% of Hong Kong Stock Dividend ETF (513690.SH), 18.90% of Hong Kong Stock Connect Pharmaceutical ETF (513200.SH), and 17.07% of Short - Term Financing Bond ETF (511360.SH) [27][30]. 1.6 Huabao Research Bond ETF Duration Strategy Index - It uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is lower than a certain threshold, it reduces the position of long - duration bonds in the bond investment portfolio to improve the portfolio's long - term return and drawdown control ability. As of January 23, 2026, the positions included 50.01% of 10 - Year Treasury Bond ETF (511260.SH), 25.00% of Policy - Financial Bond ETF (511520.SH), and 24.98% of Treasury Bond ETF (511020.SH) [30][33].

Investment Rating - The report indicates a positive investment rating for the industry, suggesting an "Overweight" position relative to the CSI 300 index, with expected returns exceeding 15% [36]. Core Insights - The report highlights that gold has once again led the gains among major asset classes, with global asset allocation models recording positive returns. The domestic asset BL models showed returns of 0.28% and 0.26%, while global models recorded returns of 0.14% and 0.12% for the week [1][2][4]. Summary by Sections 1. Major Asset Performance Tracking - For the week of January 12 to January 16, 2026, major asset performances were as follows: SHFE gold increased by 2.57%, Hang Seng Index by 2.23%, and CSI 1000 by 1.27%. Conversely, the CSI 300 and S&P 500 saw declines of 0.57% and 0.45% respectively [7][10]. 2. Major Asset Allocation Strategy Tracking - The report details the performance of various quantitative asset allocation models. The domestic asset BL model 1 achieved a weekly return of 0.26%, while model 2 achieved 0.28%. The global asset BL model 1 and 2 recorded returns of 0.12% and 0.14% respectively for the same week [10][17][21]. 2.1. BL Model Strategy Tracking - The domestic asset BL model 1 has a year-to-date return of 1.13% with an annualized volatility of 2.85%. The global asset BL model 1 has a year-to-date return of 0.69% with an annualized volatility of 2.9% [17][18]. 2.2. Risk Parity Model Strategy Tracking - The domestic risk parity model reported a weekly return of 0.20% and a year-to-date return of 0.49%, with an annualized volatility of 1.16%. The global risk parity model achieved a weekly return of 0.13% and a year-to-date return of 0.38% [21][22]. 2.3. Macro-Factor Based Asset Allocation Strategy - The macro-factor based asset allocation strategy yielded a weekly return of 0.23% and a year-to-date return of 0.61%, with an annualized volatility of 1.73% [29].

Core Viewpoint - The discussion around "fixed income plus" products is gaining traction as banks lower short-term large deposit rates to "0" and equity markets show high vitality, prompting investors to seek a balance between stability and growth [1] Group 1: Product Overview - The BlackRock Fuyuan Jinli Mixed Securities Investment Fund, launching on January 19, aims to create a "one-click allocation" stock-bond combination product driven by quantitative models and robust risk control mechanisms [1][2] - This product is positioned as a medium to high volatility "fixed income plus" offering, with an equity allocation cap raised to 30% and inclusion of Hong Kong Stock Connect targets [1][2] Group 2: Investment Strategy - The fund employs a "quantitative aggregation, dual asset plus" strategy, utilizing quantitative methods for dynamic collaboration between stocks and bonds [2] - The equity side will use an industry rotation model based on multiple signal dimensions, while the bond side will focus on duration and credit rotation strategies [3][4] Group 3: Risk Management - The fund incorporates a down-risk control module to manage volatility and drawdown, ensuring that investors can maintain their positions during market fluctuations [4][5] - The strategy aims to provide a systematic approach to risk management, allowing for disciplined adjustments based on market conditions [5][7] Group 4: Market Outlook - The outlook for 2026 remains optimistic for equity markets, particularly for large and mid-cap stocks, with the potential for the CSI 300 index to reach new highs if supportive policies are enacted [6] - The fund manager expresses caution regarding the bond market, suggesting a neutral stance on credit bonds and low expectations for yield increases [6][7] Group 5: Team Expertise - The fund will be managed by a team with extensive experience in global macro investment and quantitative multi-asset strategies, emphasizing disciplined risk management [7]

Report Industry Investment Rating No relevant content provided. Core Views - Last week, all Treasury bond futures contracts closed higher, with the 30-year, 10-year, 5-year, and 2-year main contracts rising by 0.26%, 0.27%, 0.22%, and 0.05% respectively. The basis of each variety was differentiated, and the overall market sentiment remained bearish. T was close to the upper edge of the shock range, with limited room for further increase, while TL was more likely to continue to be under pressure [6]. - Last week, the domestic commodity market was relatively balanced in terms of the number of rising and falling varieties. Silver and tin led the gains, with increases of over 20%, while caustic soda and glass led the declines. Except for the relatively poor returns of the basis and warehouse receipt factors, other types of commodity factors had varying degrees of increase. The volatility of commodity factor returns was rising, and investors were advised to pay attention to several types of commodity factors with long-term expected return capabilities and adopt a balanced allocation method to prevent risks [24][27]. Summary by Relevant Catalogs Treasury Bond Futures Market Review - Last week, all Treasury bond futures contracts closed higher, with the 30-year, 10-year, 5-year, and 2-year main contracts rising by 0.26%, 0.27%, 0.22%, and 0.05% respectively [6]. - The basis of each variety was differentiated. The CTD bond of the 10-year Treasury bond was 250018, and the basis on the 16th was about 0.05 yuan, slightly lower than the seasonal level; the CTD bond of the 30-year Treasury bond was 210005, and the basis on the 16th was 0.22 yuan, lower than the seasonal level [6]. - The overall market sentiment remained bearish. The slight warming of sentiment drove the strength of varieties such as T, TF, and TS, but T was close to the upper edge of the shock range, with limited room for further increase; TL was more likely to continue to be under pressure [6]. Treasury Bond Futures Factor Analysis - For the 10-year Treasury bond, ranked by Sharpe ratio, the factors were the basis factor, risk assets, and member positions, with Sharpe ratios in 2025 of 1.68, 1.93, and 0.59 respectively [6][17]. - For the 5-year Treasury bond, ranked by Sharpe ratio, the factors were high-frequency capital flow, intraday volume-price, risk assets, member positions, and the basis factor, with Sharpe ratios in 2025 of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively [6][18]. - For the 2-year Treasury bond, ranked by Sharpe ratio, the factors were high-frequency capital flow, the basis factor, intraday volume-price, and member positions, with Sharpe ratios in 2025 of 2.45, 1.82, 1.59, and 0.82 respectively [6][19]. Commodity Factor Performance - Last week, the domestic commodity market was relatively balanced in terms of the number of rising and falling varieties. Silver and tin led the gains, with increases of over 20%, while caustic soda and glass led the declines [24][27]. - Except for the relatively poor returns of the basis and warehouse receipt factors, other types of commodity factors had varying degrees of increase. The volume-price trend factors rose by an average of about 2.0%, and the term structure factors also had an increase of over 0.5% [24][27]. - The volatility of commodity factor returns was rising, and investors were advised to pay attention to several types of commodity factors with long-term expected return capabilities and adopt a balanced allocation method to prevent risks [24][27]. Tracking Strategy Performance - The CWFT strategy had an annualized return of 9.2%, a Sharpe ratio of 1.58, a Calmar ratio of 1.05, a maximum drawdown of -8.81%, a return of 0.19% last week, and a return of 0.21% since the beginning of this year [25]. - The C_frontnext & Short Trend strategy had an annualized return of 11.3%, a Sharpe ratio of 1.72, a Calmar ratio of 1.69, a maximum drawdown of -6.72%, a return of -0.05% last week, and a return of 0.41% since the beginning of this year [25]. - The Long CWFT & Short CWFT strategy had an annualized return of 12.0%, a Sharpe ratio of 1.36, a Calmar ratio of 0.92, a maximum drawdown of -13.07%, a return of -0.27% last week, and a return of 0.26% since the beginning of this year [25]. - The CS XGBoost strategy had an annualized return of 5.5%, a Sharpe ratio of 0.92, a Calmar ratio of 0.29, a maximum drawdown of -18.84%, a return of -1.05% last week, and a return of -2.50% since the beginning of this year [25]. - The RuleBased TS Sharp-combine strategy had an annualized return of 11.9%, a Sharpe ratio of 1.55, a Calmar ratio of 1.43, a maximum drawdown of -8.26%, a return of 1.04% last week, and a return of 0.46% since the beginning of this year [25]. - The RuleBased TS XGB-combine strategy had an annualized return of 11.5%, a Sharpe ratio of 2.01, a Calmar ratio of 2.57, a maximum drawdown of -4.49%, a return of 0.08% last week, and a return of -1.30% since the beginning of this year [25]. - The CS strategies, EW combine strategy had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar ratio of 1.70, a maximum drawdown of -7.38%, a return of -0.01% last week, and a return of 0.61% since the beginning of this year [25]. - Among the above six strategies, the CWFT strategy performed the best last week, with a return of 0.19%; the C_frontnext & Short Trend strategy performed the best since the beginning of this year, with a return of 0.41% [46]. - The equal-weight composite strategy of the above cross-sectional strategies (equal-weighted weekly returns) had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar ratio of 1.70, a maximum drawdown of -7.38%, a return of -0.01% last week, and a return of 0.61% since the beginning of this year [46].

- The report discusses the use of convolutional neural networks (CNNs) to model price-volume data and predict future prices. The learned features are mapped to industry theme indices, including the CSI Satellite Industry Index, CSI Industrial Nonferrous Metals Theme Index, CSI Biotechnology Theme Index, CSI Big Data Industry Index, and CSI Computer Theme Index[79][81] - The CNN-based model standardizes price-volume data into graphical representations for analysis, leveraging deep learning techniques to identify patterns and trends in stock price movements[79][80] - The latest thematic configurations derived from the CNN model focus on sectors such as satellites, nonferrous metals, biotechnology, and computing, reflecting the model's ability to capture sectoral trends[79][81]

Group 1 - The core viewpoint of the article highlights a significant acceleration in public fund issuance as of January 15, 2026, with 78 new funds launched, including 6 "sunshine funds" that closed early, indicating a proactive approach by institutions to capitalize on economic transformation opportunities [1][2] - FOF (Fund of Funds) and technology, along with high-end manufacturing thematic funds, are the main drivers of this issuance, reflecting a strong demand for selective stocks and industry quant products that sold out in a day [1][2] - The A-share market showed mixed performance on January 15, with the Shanghai Composite Index down 0.33% to 4112.6 points, while the Shenzhen Component Index and the ChiNext Index rose by 0.41% and 0.56%, respectively, amidst a total market turnover of 2.94 trillion yuan [1] Group 2 - On January 15, 2026, four new funds were launched, primarily equity and FOF funds, with the Penghua CSI Industrial Nonferrous Metals Theme ETF targeting a fundraising goal of 5 billion yuan [2] - In 2025, structured market conditions led to impressive performance for index-enhanced strategies, with 810 products achieving an average annual return of 45.08% and 88.02% of them generating positive excess returns [2] - The end of large public collective funds by the end of 2025, combined with tightened approval for public fund licenses, has intensified pressure on brokerage asset management, leading to a focus on "fixed income+" and multi-asset strategies to stabilize the basic market [2] Group 3 - A detailed list of new funds launched on January 15, 2026, includes various funds with their respective target amounts and investment types, such as the Pengnong Central Asia Industrial Nonferrous Metals Theme ETF with a target of 5 billion yuan [3] - The article also provides a comprehensive overview of fund dividends, with 89 funds distributing dividends, the highest being 2.73 yuan per 10 shares for the ICBC Credit Suisse China Opportunity Global Allocation Equity Fund [4][5]

Report Summary 1. Investment Ratings No investment ratings for the industry are provided in the report. 2. Core Viewpoints The report presents several ETF strategy indices constructed with the help of ETFs, which can convert quantitative models or subjective views into practical investment strategies. The performance and positions of these indices are tracked on a weekly basis [12]. 3. Summary by Directory 1. ETF Strategy Index Tracking - **ETF Strategy Index Last Week's Performance**: - **Huabao Research Size Rotation ETF Strategy Index**: Last week's index return was 7.47%, the benchmark was CSI 800 with a return of 4.18%, and the excess return was 3.30% [13]. - **Huabao Research SmartBeta Enhanced ETF Strategy Index**: Last week's index return was 1.97%, the benchmark was CSI 800 with a return of 4.18%, and the excess return was -2.21% [13]. - **Huabao Research Quantitative Fire - Wheel ETF Strategy Index**: Last week's index return was 3.81%, the benchmark was CSI 800 with a return of 4.18%, and the excess return was -0.36% [13]. - **Huabao Research Quantitative Balance Art ETF Strategy Index**: Last week's index return was 1.73%, the benchmark was SSE 300 with a return of 2.79%, and the excess return was -1.06% [13]. - **Huabao Research Hot - Spot Tracking ETF Strategy Index**: Last week's index return was 6.24%, the benchmark was CSI All - Share with a return of 5.04%, and the excess return was 1.20% [13]. - **Huabao Research Bond ETF Duration Strategy Index**: Last week's index return was -0.12%, the benchmark was ChinaBond Aggregate Index with a return of -0.23%, and the excess return was 0.11% [13]. 1.1 Huabao Research Size Rotation ETF Strategy Index - **Strategy Principle**: It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. The model outputs signals weekly to predict the strength of the index in the next week and determines positions accordingly to obtain excess returns relative to the market [14]. - **Performance**: As of January 9, 2026, the excess return since 2024 was 25.26%, the excess return in the recent month was 2.56%, and the excess return in the recent week was 3.30% [14]. - **Positions**: As of January 9, 2026, it held 50% of CSI 500ETF (code: 159922.SZ) and 50% of CSI 1000ETF (code: 512100.SH) [18]. 1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on the exposure of ETFs to 9 major Barra factors to obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [18]. - **Performance**: As of January 9, 2026, the excess return since 2024 was 18.76%, the excess return in the recent month was -3.73%, and the excess return in the recent week was -2.21% [18]. - **Positions**: As of January 9, 2026, it held 25.21% of High - Dividend ETF (code: 159207.SZ), 25.13% of Shenzhen Dividend ETF (code: 159905.SZ), 24.98% of Free Cash Flow ETF800 (code: 563580.SH), and 24.68% of Dividend Low - Volatility 100ETF (code: 515100.SH) [21]. 1.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behaviors of various market participants. It uses valuation and crowding signals to prompt industry risks and multi - dimensionally digs out potential sectors to obtain excess returns relative to the market [21]. - **Performance**: As of January 9, 2026, the excess return since 2024 was 39.31%, the excess return in the recent month was 2.75%, and the excess return in the recent week was -0.36% [21]. 1.4 Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to build a quantitative timing system for trend judgment of the equity market. It establishes a prediction model for the market's large - and small - cap styles to adjust the position distribution of the equity market and comprehensively obtains excess returns relative to the market through timing and rotation [25]. - **Performance**: As of January 9, 2026, the excess return since 2024 was -12.27%, the excess return in the recent month was -1.07%, and the excess return in the recent week was -1.06% [25]. - **Positions**: As of January 9, 2026, it held 20.50% of Non - Ferrous Metals ETF (code: 512400.SH), 20.11% of Chemical ETF (code: 159870.SZ), 20.06% of Securities and Insurance ETF E Fund (code: 512070.SH), 19.88% of Steel ETF (code: 515210.SH), and 19.46% of Oil and Gas ETF (code: 159697.SZ) [26]. 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and mines hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional opinions, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot - spots in a timely manner, providing investors with references for short - term market trends and helping them make more informed investment decisions [28]. - **Performance**: As of January 9, 2026, the excess return in the recent month was 1.08%, and the excess return in the recent week was 1.20% [30]. - **Positions**: As of January 9, 2026, it held 40.04% of Non - Ferrous Metals 50ETF (code: 159652.SZ), 22.32% of Hong Kong Stock Dividend ETF Bosera (code: 513690.SH), 19.90% of Hong Kong Stock Connect Pharmaceutical E Fund ETF (code: 513200.SH), and 17.74% of Short - Term Financing ETF (code: 511360.SH) [31]. 1.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is lower than a certain threshold, it reduces the long - duration positions in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [31]. - **Performance**: As of January 9, 2026, the excess return in the recent month was 0.15%, and the excess return in the recent week was 0.11% [32]. - **Positions**: As of January 9, 2026, it held 50.00% of 10 - Year Treasury Bond ETF (code: 511260.SH), 25.00% of Treasury Bond ETF 5 - 10 Years (code: 511020.SH), and 25.00% of Policy Financial Bond ETF (code: 511520.SH) [34].

Group 1 - The report suggests an overweight allocation to small-cap stocks for January, while recommending an equal-weight allocation to value and growth styles based on quantitative model signals [1] - As of the end of December, the quantitative model signal for small-cap stocks was 0.17, indicating a preference for small-cap over large-cap stocks [1] - The long-term view indicates that the current market capitalization factor valuation spread is 0.89, which is still below the historical peak range of 1.7 to 2.6, suggesting continued optimism for small-cap stocks [1] Group 2 - The quantitative model signal for value and growth styles is 0, recommending an equal-weight allocation for January [1] - As of the end of December, the model's return for value and growth styles was 22.72%, with an excess return of 1.93% compared to the equal-weight benchmark of 20.4% [1] - The report provides detailed strategy construction in a separate document focused on monthly and weekly value and growth style rotation strategies [1] Group 3 - Among eight major style factors, momentum and value factors showed high positive returns, while dividend factors exhibited high negative returns [2] - For the year, volatility and growth factors had high positive returns, while liquidity and large-cap factors showed negative returns [2] - The report updates the factor covariance matrix, which is essential for predicting stock portfolio risk, using a multi-factor model [2]

Summary of Key Points from Conference Call Industry Overview - The discussion primarily revolves around the Chinese economy and its comparison with Japan, emphasizing that the economic conditions and corporate investments in China are distinct from Japan's past experiences [1][3] - The focus is on the structural performance of the Chinese market, particularly in the TMT (Technology, Media, and Telecommunications) sector, which is becoming increasingly significant [1][6] Core Insights and Arguments - High-quality development is emphasized, prioritizing sustainability over reliance on infrastructure and real estate, which have diminished in importance for A-shares [1][5] - The correlation between memory prices and A-shares is highlighted, with a reported correlation of 0.76, indicating that memory prices are more relevant for investment decisions than real estate prices [6][7] - The contribution of real estate to GDP is declining, with its impact now less significant than that of some software and information sectors [8] - The relationship between housing prices and interest rates is unstable, with historical examples showing varying trends [9] - Consumer behavior is affected by real estate market fluctuations, but this impact varies significantly across different regions [10] - Export data is crucial for asset pricing, but over-reliance on it can lead to misjudgments, as seen in past economic cycles [11] Important but Overlooked Content - The global inflation transmission mechanism indicates a reversal of long-term deflation expectations in China, challenging previous assumptions about the economy [12] - Anticipated monetary policy adjustments for 2026 include a potential rate cut and reserve requirement ratio reduction, but significant credit expansion is unlikely [13] - The bond market faces challenges such as spread issues and changing commercial models, with a forecasted 10-year government bond yield range of 1.7% to 2.1% for 2026 [2][18] - Investment opportunities for 2026 include timing for government bond purchases, EVE indicator management, and changes in fiscal debt structure, with an overall increase in risk appetite due to rising stock proportions in financial products [19]

Group 1: Report Information - Report Name: Golden Industrial Strategy Weekly Report - Analysts: Li Xiaohui (Chief Analyst), Xu Fan (Senior Analyst) - Qualification Numbers: Li Xiaohui (F03120233, Z0019676), Xu Fan (F03107676, Z0022032) [1][2] Group 2: Treasury Bond Futures Analysis Market Review - Last week, all four treasury bond futures varieties rose first and then fell. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts were reported at 112.47 yuan, 107.985 yuan, 105.82 yuan, and 102.464 yuan respectively. The basis declined, the IRR continued to rise, and the inter - period spread was volatile and strong [3]. Timing Strategy - **Ten - year Treasury Bonds**: Based on this year's performance, ranked by Sharpe ratio, the factors are basis factor, risk asset, and member position, with Sharpe ratios in 2025 of 1.68, 1.93, and 0.59 respectively [3][13]. - **Five - year Treasury Bonds**: Based on this year's performance, ranked by Sharpe ratio, the factors are high - frequency fund flow, intraday volume - price, risk asset, member position, and basis factor, with Sharpe ratios in 2025 of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively [3][14]. - **Two - year Treasury Bonds**: Based on this year's performance, ranked by Sharpe ratio, the factors are high - frequency fund flow, basis factor, intraday volume - price, and member position, with Sharpe ratios in 2025 of 2.45, 1.82, 1.59, and 0.82 respectively [3][15]. Group 3: Commodity CTA Factor and Tracking Strategy Analysis Commodity Factor Performance - Last week, domestic commodities generally showed a strong trend, with the comprehensive index having a prominent weekly increase. Precious metals, non - ferrous metals, and some energy - chemical varieties had high upward intensities, and silver and lithium carbonate both had huge increases of over 17%. The overall profitability of commodity factors recovered. Except for the basic factors such as basis and warehouse receipts with basically flat weekly returns, other types of factors increased to varying degrees, especially the volume - price trend factors, mainly due to the recent rise in market sentiment, and the price trend deviated from the fundamental expectations to some extent. Commodity factors still have long - term expected return capabilities, and the overall performance of commodity factors is still optimistic in the medium - to - long term. However, recent market fluctuations may intensify the strategy's volatility risk, and investors are advised to adopt a balanced allocation approach to prevent risks [20][23]. Tracking Strategy Performance | Strategy Name | Annualized Return | Sharpe Ratio | Calmar | Max Drawdown | Recent One - Week Return | YTD Return | | --- | --- | --- | --- | --- | --- | --- | | CWFT | 9.3% | 1.59 | 1.06 | - 8.81% | 0.92% | 4.70% | | C_frontnext & Short Trend | 11.4% | 1.73 | 1.70 | - 6.72% | 0.33% | 4.19% | | Long CWFT & Short CWFT | 12.1% | 1.35 | 0.92 | - 13.07% | 1.71% | 0.49% | | CS XGBoost | 6.0% | 1.01 | 0.36 | - 16.70% | - 0.09% | - 9.13% | | RuleBased TS Sharp - combine | 12.0% | 1.57 | 1.45 | - 8.26% | 0.39% | 10.83% | | RuleBased TS XGB - combine | 11.9% | 2.08 | 2.65 | - 4.49% | - 0.28% | 8.39% | | CS strategies, EW combine | 12.6% | 1.79 | 1.71 | - 7.38% | 0.89% | - 2.10% | [21] Strategy Comparison - Among the above six strategies, Long CWFT & Short CWFT performed best last week with a return of 1.71%, and CWFT performed best this year with a return of 4.70% [42].