Group 1: Financial Engineering Research - The report predicts the adjustment list for the constituent stocks of major indices in December 2025 based on the adjustment rules of the CSI and Guozheng indices, and measures liquidity shocks from a market-wide perspective [1][30] - As of the end of October 2025, the ETF sizes for major market indices such as SSE 50, STAR 50, CSI 300, CSI 500, CSI 1000, and ChiNext have reached 192.6 billion, 180.1 billion, 1,254.7 billion, 181.9 billion, 170.2 billion, and 141.0 billion respectively, indicating a 4.7 times growth compared to the end of 2021 [2][30] - The report outlines the periodic adjustment rules for core indices, noting that adjustments occur twice a year for SSE 50, CSI 300, CSI 500, CSI 1000, and ChiNext, and four times a year for STAR 50 [2][30] Group 2: New Stock Research - In the first three quarters of 2025, IPO support policies have been frequent, leading to a recovery in the issuance pace and fundraising scale, with a total of 773.02 billion raised, a 61% year-on-year increase [5][6] - The report anticipates an acceleration in IPO issuance over the next year, estimating that A-class/B-class accounts with a scale of 500 million will see additional yield increases of approximately 2.82% and 2.20% respectively [7][6] - The approval pace for existing projects is tight, with a high-quality project reserve expanding, indicating a positive outlook for future IPOs [6][7] Group 3: Company Research - Yum China - Yum China's Q3 2025 revenue reached 3.206 billion USD, a year-on-year increase of 4%, with operating profit at 400 million USD, up 8% [9][10] - Same-store sales continued to show positive growth, with KFC and Pizza Hut same-store sales increasing by 2% and 1% respectively [9][10] - The company plans to return 3 billion USD to shareholders through dividends and buybacks from 2025 to 2026, with projected EPS for 2025-2027 at 2.50, 2.88, and 3.16 USD [8][9] Group 4: Company Research - Nanwei Medical - Nanwei Medical achieved revenue of 2.381 billion CNY in the first three quarters of 2025, a year-on-year increase of 18.29%, with net profit of 509 million CNY, up 12.90% [17][18] - The company’s overseas sales maintained strong growth, with revenue reaching approximately 1.4 billion CNY, a 42% year-on-year increase [18][19] - The company is focusing on integrating its CME operations, with a new production facility in Thailand expected to be operational by the end of 2025 [19] Group 5: Company Research - Yongxing Materials - Yongxing Materials reported revenue of 5.547 billion CNY in the first three quarters of 2025, a year-on-year decrease of 10.98%, with net profit down 45.25% [21][22] - The decline in performance is attributed to falling lithium prices, with the average price of lithium carbonate showing fluctuations throughout the year [22] - The company maintains a high dividend payout, planning to distribute 528 million CNY in cash dividends in 2024, representing over 50% of its net profit [23] Group 6: Company Research - I Love My Home - I Love My Home reported a revenue of 8.165 billion CNY in the first three quarters of 2025, a year-on-year decrease of 6.81%, while net profit surged by 398.75% [24][26] - The company’s transaction volume increased significantly, with total housing transaction amounts reaching 196.2 billion CNY, a 5.2% year-on-year increase [26][27] - The company continues to focus on core cities, with a total of 2,549 operational stores as of Q3 2025 [26]

- The six-cycle model is introduced to describe China's macroeconomic state based on three dimensions: monetary, credit, and growth. Currently, the economy is in stage 2, characterized by loose monetary policy, credit expansion, and growth recovery. The monetary factor is in a 14% easing range, credit expansion is identified using the three-month difference in medium-to-long-term loan pulses, and growth is assessed through PMI indicators [1][10][17] - Style rotation strategy is proposed based on the six-cycle framework. Growth style dominates in stages 1-2 due to credit expansion and economic recovery, quality style prevails in stages 3-4 as liquidity tightens, and value style performs better in stages 5-6 during economic slowdown and monetary easing. Growth style uses ChiNext ETF, quality style uses free cash flow ETF, and value style uses dividend low-volatility ETF [2][11][13] - Multi-asset rotation strategy is designed under the six-cycle framework. Different asset classes exhibit distinct performance across stages: equities and commodities excel in stages 1-3, bonds perform defensively in stages 4-6, and gold acts as a transitional asset in stages 5-6. Specific ETFs are allocated for each stage, such as ChiNext ETF for growth, free cash flow ETF for quality, and dividend ETF for value [17][18][19] - Strategy design ①: Risk parity is applied across all six stages without predicting economic cycles, inspired by Bridgewater's All Weather approach. The strategy achieves an annualized return of 11.5%, annualized volatility of 6.9%, maximum drawdown of 11.2%, and a Sharpe ratio of 1.66 since 2014 [3][20][23] - Strategy design ②: A multi-asset ETF rotation strategy based on the six-cycle model achieves an annualized return of 23.0%, annualized volatility of 11.3%, maximum drawdown of 12%, and a Sharpe ratio of 2.0 since 2014. Monthly win rate is 72%, and annual turnover is 2.4 times. As of October 2023, the strategy's absolute return is 23.2%, with a drawdown of 4.4% [3][26][29] - Strategy design ③: A volatility-constrained version of the multi-asset ETF rotation strategy limits volatility to around 3%. This strategy achieves an annualized return of 9.4%, annualized volatility of 3.2%, maximum drawdown of 3.4%, and a Sharpe ratio of 2.88 since 2014. As of October 2023, the strategy's absolute return is 5.4% [3][31][34]

Market Overview - The overall market showed a slight increase, with the A-share index rising approximately 18% and the Hong Kong Hang Seng Index increasing by 30% this year [9][10]. - Both large-cap and small-cap stocks experienced minor gains, with a strong performance in value style stocks [2][3][4]. Investment Performance - Most stock funds have also seen gains, with the actively managed selection rising by 27% from the beginning of the year to the end of October [12]. - Over 94% of investors in actively managed selections are profitable, indicating effective investment strategies [16]. Retail Investor Challenges - Despite the overall market uptrend, a significant portion of retail investors are still facing losses, with over 40% reporting negative returns in 2025 [18]. - Historical data shows that even during bull markets, many investors have experienced substantial losses due to poor timing and market entry points [20][26]. Market Behavior Insights - The tendency for retail investors to enter the market during high points leads to increased losses, as many accounts were opened during previous bull markets in 2007 and 2015 [27]. - The average holding period for small retail investors is only 5-10 days, compared to 3-5 years for institutional investors, highlighting a lack of patience in investment strategies [36]. Investment Philosophy - A shift from a trading mindset to a business ownership mindset is recommended, emphasizing the importance of viewing stock investments as ownership in companies rather than mere trading opportunities [5][6]. - The concept of value investing is reinforced, suggesting that investors should focus on acquiring shares of fundamentally sound companies and holding them for the long term [5][6].

Group 1 - The article discusses various investment styles, particularly focusing on "deep growth" stocks, which are less common in funds but prevalent in new stocks on the Sci-Tech Innovation Board and the ChiNext Board [4] - "Growth" style stocks are characterized by high revenue and profit growth, often trading at significantly higher valuations than the market average, with typical price-to-earnings ratios ranging from 40 to 50 times [6][7] - "Growth value" style stocks are in a mature phase with slowing revenue growth but can maintain profitability through cost control, often represented by high ROE stocks in sectors like consumer goods, pharmaceuticals, and technology [8][10] Group 2 - "Deep value" style stocks show stable dividends and high dividend yields, with performance expected to be strong from 2022 to 2024, reflecting a trend of style rotation in the A-share market [11][12] - The article highlights a historical performance pattern where growth styles dominated from 2019 to 2021, while value styles are expected to be strong from 2022 to 2024, with a potential shift back to growth styles in 2025 [12][13] - Understanding the characteristics of different styles allows for strategic adjustments in portfolio allocation based on valuation opportunities [12]

- The report constructs a market style rotation solution based on macro data, including value-growth style rotation strategy and large-small cap style rotation strategy. The value-growth style rotation strategy scores higher for growth style with a comprehensive score of 6 as of October 31, 2025[6][8] - The large-small cap style rotation strategy scores higher for small cap style with a comprehensive score of 4 as of October 31, 2025[8][10] - The industry rotation solution is constructed using four dimensions: macro indicators, fundamental indicators, technical indicators, and crowding indicators, forming a comprehensive evaluation system for industry rotation[11][22] - The macro indicators divide the primary industries into five sectors: upstream cycle, midstream manufacturing, downstream consumption, TMT, and big finance, based on the second-order difference of macro growth and liquidity[13] - The fundamental indicators include historical prosperity, prosperity changes, and prosperity expectations. As of October 31, 2025, the top five industries ranked by fundamental indicators are non-bank finance, non-ferrous metals, electronics, communication, and power equipment and new energy[17] - The technical indicators include index momentum, leading stock momentum, and K-line patterns. As of October 31, 2025, the top five industries ranked by technical indicators are communication, media, banking, computer, and machinery[18] - The crowding indicators include financing inflow, turnover rate, and transaction ratio. As of October 31, 2025, the top five industries ranked by crowding indicators are power equipment and new energy, non-ferrous metals, coal, electronics, and communication[21] - The comprehensive industry rotation score, combining the four dimensions, ranks the top seven industries as banking, machinery, communication, non-ferrous metals, media, automotive, and electronics as of October 31, 2025[22][25] Model Backtest Results - Value-Growth Style Rotation Strategy: Comprehensive score of 6, growth style scored higher[6][8] - Large-Small Cap Style Rotation Strategy: Comprehensive score of 4, small cap style scored higher[8][10] Factor Backtest Results - Fundamental Indicators: Top five industries are non-bank finance, non-ferrous metals, electronics, communication, and power equipment and new energy[17] - Technical Indicators: Top five industries are communication, media, banking, computer, and machinery[18] - Crowding Indicators: Top five industries are power equipment and new energy, non-ferrous metals, coal, electronics, and communication[21] - Comprehensive Industry Rotation Score: Top seven industries are banking, machinery, communication, non-ferrous metals, media, automotive, and electronics[22][25]

Core Viewpoint - The overall market is experiencing a decline, particularly in large-cap stocks, with the CSI 300 index down by 1.47%. The recent rapid rise in the ChiNext and STAR Market has led to a correction, despite the underlying financial reports being solid [2]. Market Performance - The ChiNext and STAR Market saw significant declines after reaching overvalued levels, with the ChiNext rising 50% in Q3, marking the second-fastest quarterly increase in its history [2]. - Small-cap stocks are generally rising, indicating a rotation in market styles, while sectors like consumer and healthcare are seeing gains, contrasting with declines in most other industries [2]. Q3 Earnings Reports - Q3 earnings reports show an improvement in year-on-year profit growth for A-share companies compared to Q1 and Q2, contributing to the market's rise in August and September [2]. - The earnings reports can be categorized into three tiers: - **First Tier**: Strongest profit growth and highest valuations, primarily in technology [2]. - **Second Tier**: Stable profit growth, including sectors with consistent free cash flow and dividends, showing a slow bull market trend [2]. - **Third Tier**: Real estate and consumer sectors, where profit growth has declined, with some leading consumer companies reporting significant year-on-year profit drops [2][3]. Recovery Patterns - Some consumer companies are experiencing significant profit declines in Q3, which may lead to a recovery in 2026 as the lower base makes it easier to show year-on-year growth [3][18]. - The technology and healthcare sectors have shown similar recovery patterns, with technology stocks rebounding significantly after a period of profit decline [4][10][12]. Investment Strategy - The market's volatility suggests a cautious approach to investment, with recommendations to maintain sector exposure within 15-20% for stability [21]. - The focus should be on buying during downturns and selling during peaks, with patience emphasized during uncertain periods [24]. Valuation Insights - The article provides a valuation summary for various Hong Kong stock indices, indicating that the Hong Kong market has outperformed A-shares this year, returning to a higher valuation level [25][27].

Core Viewpoint - The article discusses the concept of investment style drift among fund managers, highlighting its negative implications for long-term performance and competitive advantage [2][4]. Group 1: Investment Style Drift - Investment style is a reflection of a fund manager's long-term investment philosophy, strategy preferences, and stock selection logic [2][4]. - Many fund managers exhibit mediocre performance due to a lack of a stable investment style, leading to frequent shifts in their investment strategies, known as style drift [4]. - Style drift is detrimental to fund operations for two main reasons: it hinders the ability to achieve long-term returns and makes it difficult to establish a competitive advantage [4][6]. Group 2: Long-term Performance - The A-share market demonstrates characteristics of style rotation, with different styles performing strongly in different years, such as growth style in 2015 and value style from 2016 to 2018 [5][6]. - Predicting which investment style will perform well in the next phase is challenging, and chasing market trends can lead to inconsistent results, negatively impacting long-term returns [6]. Group 3: Competitive Advantage - Fund managers have limited time and energy to analyze numerous reports and conduct field research, which restricts their ability to focus on a select number of stocks [7]. - A fund manager typically can only deeply understand a few stocks within specific styles or industries, and spreading efforts too thin can lead to superficial knowledge [8]. - Maintaining a stable investment style allows fund managers to deepen their expertise in their favored areas, thereby building a competitive advantage [8].

Report Investment Rating - There is no specific investment rating for the industry provided in the report. Core Viewpoints - Policy boosts market confidence, and optimism is maintained in the medium term [2] - In the stock index futures market, the Shanghai Composite Index closed above 4,000 points, and all varieties showed an upward trend. The market is expected to be bullish in the medium term [3][4] - In the stock index options market, trading is mainly focused on style rotation, and long - term optimism is maintained [3][4] - In the treasury bond futures market, the market shows a differentiated trend, and it is expected to be oscillating with a bullish bias in the short - term and in the later part of the fourth quarter [5][11] Summary by Directory Market Views Stock Index Futures - The Shanghai Composite Index closed above 4,000 points. The basis, inter - period spreads, and positions of IF, IH, IC, and IM changed. The market rally was concentrated in local sectors, and there are concerns about the sustainability of the rally. The strategy is to use dividend ETF + IM long positions [9] Stock Index Options - The underlying market recovered, and the Shanghai Composite Index closed above 4,000 points. The trading volume of the options market decreased, and trading was mainly focused on style rotation. Sellers' put position ratio continued to rise, and long - term optimism is maintained. Recommended strategies are covered call and bull spread [10] Treasury Bond Futures - Most of the main contracts of treasury bond futures rose. The central bank's reverse repurchase operation led to looser liquidity. The short - and medium - term spot bond buying was strong, while the TL2512 contract was relatively weak. The market is expected to be oscillating with a bullish bias, and different strategies are recommended for different trading purposes [10][11] Economic Calendar - It shows the economic data release schedule for the week, including China's industrial enterprise profit rate, the eurozone's M3 money supply growth rate, the US existing home sales index, the US federal funds rate target, Japan's unemployment rate, China's official manufacturing PMI, and the eurozone's HICP annual rate [12] Important Information and News Tracking - China - US leaders will hold a meeting in Busan, South Korea, to exchange views on bilateral relations and common concerns [13] - Beijing Securities Regulatory Bureau and other units issued an implementation plan to promote the entry of long - term funds into the market [13] - The State Administration of Foreign Exchange issued a notice to facilitate foreign exchange settlement and support the stable development of foreign trade [13] - China welcomes more foreign financial institutions and long - term funds to invest in China, and foreign institutions are optimistic about China's economic and capital market prospects [13] Derivatives Market Monitoring - It includes data on stock index futures, stock index options, and treasury bond futures, but no specific data content is provided in the given text [14][18][30]

Quantitative Models and Construction Methods 1. Model Name: Stock Timing Model - **Construction Idea**: The model is based on the comprehensive judgment of economic growth and liquidity easing[18] - **Construction Process**: - Construct timing factors from two core dimensions: economic growth and liquidity easing[18] - Factors include PMI YoY smoothed value, manufacturing fixed asset investment completion amount cumulative YoY, CPI YoY smoothed value, and new medium and long-term loans cumulative value YoY[19] - Use the formula: $$ \text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases} $$ - Backtest using CSI 800 total return as the benchmark[19] - **Evaluation**: The model effectively captures stock market cycles, avoiding downturns[21] 2. Model Name: Bond Timing Model - **Construction Idea**: The model analyzes from the perspective of monetary liquidity supply and demand[23] - **Construction Process**: - Factors include DR007, SHIBOR, and social financing scale stock YoY smoothed value[24] - Use the formula: $$ \text{Factor} = \begin{cases} 1 & \text{if short-term average < long-term average} \\ 0 & \text{otherwise} \end{cases} $$ - Backtest using ChinaBond Treasury Total Net Price Index as the benchmark[24] - **Evaluation**: The model captures bond market trends, minimizing drawdowns[25] 3. Model Name: All-Weather Strategy - **Construction Idea**: The model adjusts risk budgets for different assets based on timing signals[17] - **Construction Process**: - Use a risk parity model to allocate risk contributions of assets[30] - Adjust risk budgets based on stock and bond timing signals[32] - Optimize the model: $$ \begin{array}{c} \min \sum_{i=1}^{N} \left( RC_i - b_i \sigma_p \right)^2 \\ \text{s.t.} \sum_{i=1}^{N} \omega_i = 1 \\ 0 \leq \omega_i \leq 1 \end{array} $$ - Backtest using a combination of CSI 800, ChinaBond Treasury Total Wealth Index, CSI Convertible Bond Index, S&P 500 ETF, and AAA Credit Bonds[31] - **Evaluation**: The strategy provides higher absolute returns while controlling risk[38] Model Backtest Results Stock Timing Model - Annualized Return: 14.1%[21] - Benchmark Annualized Return: 5.4%[21] - Excess Annualized Return: 8.7%[21] - Monthly Win Rate: 56.7%[21] Bond Timing Model - Annualized Return: 2.3%[25] - Benchmark Annualized Return: 1.1%[25] - Excess Annualized Return: 1.1%[25] - Monthly Win Rate: 68.3%[25] All-Weather Strategy - Annualized Return: 6.1%[38] - Benchmark Annualized Return: 5.1%[38] - Excess Annualized Return: 1.0%[38] - Maximum Drawdown: 2.6%[38] - Sharpe Ratio: 2.04[38] Quantitative Factors and Construction Methods 1. Factor Name: Value-Growth Rotation Factor - **Construction Idea**: The factor is based on economic recovery, liquidity, and market sentiment[47] - **Construction Process**: - Factors include manufacturing fixed asset investment completion amount, PPI YoY smoothed value, M2 YoY smoothed value, social financing YoY smoothed value, medium and long-term loan growth YoY smoothed value, market turnover rate, and margin balance percentile[48] - Use the formula: $$ \text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases} $$ - Backtest using the National Growth Index and National Value Index[48] - **Evaluation**: The factor captures the cyclical characteristics of value and growth styles[47] 2. Factor Name: Size Rotation Factor - **Construction Idea**: The factor is based on economic prosperity, liquidity, and market sentiment[55] - **Construction Process**: - Factors include manufacturing fixed asset investment completion amount, PPI YoY smoothed value, gold daily return rate, government bond yield, credit spread, M1 YoY smoothed value, market turnover rate, and margin balance percentile[56] - Use the formula: $$ \text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases} $$ - Backtest using the CSI 300 Index and CSI 1000 Index[57] - **Evaluation**: The factor captures the cyclical characteristics of large-cap and small-cap styles[55] Factor Backtest Results Value-Growth Rotation Factor - Annualized Return: 9.2%[51] - Benchmark Annualized Return: 1.7%[51] - Excess Annualized Return: 7.5%[51] - Monthly Win Rate: 60.2%[51] Size Rotation Factor - Annualized Return: 9.2%[59] - Benchmark Annualized Return: 0.1%[59] - Excess Annualized Return: 9.0%[59] - Monthly Win Rate: 58.3%[59] Industry Rotation Solution 1. Factor Name: Macro Factor - **Construction Idea**: The factor is based on the second-order changes in economic growth and liquidity[67] - **Construction Process**: - Factors include PMI, social financing scale, manufacturing fixed asset investment completion amount, CPI, M2 growth rate, 10-year government bond yield, and credit spread[70] - Use the formula: $$ \text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases} $$ - Backtest using industry indices[73] - **Evaluation**: The factor captures the marginal inflection points of macro trends[67] 2. Factor Name: Fundamental Factor - **Construction Idea**: The factor is based on historical prosperity, prosperity changes, and prosperity expectations[79] - **Construction Process**: - Factors include industry component stock median, industry profitability, and industry consensus profit expectations[79] - Use the formula: $$ \text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases} $$ - Backtest using industry indices[82] - **Evaluation**: The factor captures the core of industry prosperity[79] 3. Factor Name: Technical Factor - **Construction Idea**: The factor is based on index momentum, leading stock momentum, and K-line patterns[87] - **Construction Process**: - Factors include industry index relative excess return IR, leading stock sharp ratio, and K-line pattern score[89] - Use the formula: $$ \text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases} $$ - Backtest using industry indices[96] - **Evaluation**: The factor captures the technical evaluation of industry trends[87] 4. Factor Name: Crowding Factor - **Construction Idea**: The factor is based on financing inflows, turnover rate, and transaction proportion[100] - **Construction Process**: - Factors include industry financing buy amount, industry turnover rate, and industry transaction amount proportion[101] - Use the formula: $$ \text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases} $$ - Backtest using industry indices[104] - **Evaluation**: The factor captures the crowding level of industries[100] Industry Rotation Backtest Results Macro Factor - Annualized Return: 42.9%[73] - Benchmark Annualized Return: -22.8%[73] - Excess Annualized Return: 65.7%[73] Fundamental Factor - Annualized Return: 11.3%[85] - Benchmark Annualized Return: 2.8%[85] - Excess Annualized Return: 8.5%[85] - IC Mean: 8.2%[85] Technical Factor - Annualized Return: 9.7%[97] - Benchmark Annualized Return: 2.8%[97] - Excess Annualized Return: 6.9%[97] - IC Mean: 8.2%[97] Crowding Factor - Annualized Return: -2.9

Core Viewpoint - The article discusses the different stages of a company's lifecycle and the corresponding investment opportunities available at each stage, emphasizing the importance of understanding these stages for effective investment strategies [2][11]. Group 1: Company Lifecycle Stages - The company lifecycle is divided into six stages: startup, venture capital, deep growth, growth, growth value, and deep value [2][11]. - The startup stage corresponds to angel investment, focusing on creating a product prototype [3]. - The venture capital stage includes multiple rounds of financing (A, B, C) aimed at developing a commercial product and expanding the customer base [4][12]. Group 2: Investment Styles - After a company goes public, it enters the deep growth stage, characterized by rapid growth in market share, revenue, and profits [13][14]. - The deep growth style is less common among funds, but many new stocks in the Sci-Tech Innovation Board and Growth Enterprise Market fit this category [16]. - The growth style typically involves companies that have been listed for some time and maintain high revenue and profit growth rates, with a higher tolerance for valuation [18][21]. Group 3: Value Investment Styles - The growth value style represents companies nearing revenue ceilings, with slower growth rates, exemplified by Warren Buffett's investment strategies [29][30]. - The deep value style focuses on companies with stable dividends and high dividend yields, often associated with low price-to-earnings and price-to-book ratios [36][39]. - The article notes that different investment styles do not have a clear superiority over the long term, but there are noticeable style rotations in the A-share market over 3-5 years [43][45]. Group 4: Investment Strategy - Understanding the characteristics of different investment styles allows for strategic adjustments based on valuation opportunities, such as increasing allocations to undervalued styles or taking profits from overvalued ones [49][51]. - The article highlights a past strategy where the company shifted from high-valued growth styles to value styles during market fluctuations [51].