Group 1 - The market style is shifting towards small-cap stocks, with the CSI 2000 ETF (159532) rising over 40% year-to-date [1] - Historically, small-cap stocks tend to experience significant rallies 1-2 weeks after the release of the "Five-Year Plan," suggesting a potential for outperformance compared to large-cap blue chips [1] - The current policy catalyst is likely to direct incremental capital towards small and micro-cap stocks, making it an opportune time for investment [1] Group 2 - The CSI 2000 ETF covers 30 industries, focusing on emerging sectors such as machinery and electronics, which helps to diversify risks associated with single sectors while capturing gains from market rotations [1] - The CSI 2000 ETF (159532) has achieved an information ratio of 3.18 since its inception, significantly higher than the average of similar ETFs (1.4), indicating superior historical performance and tracking efficiency [1] - Guosheng Securities notes that the recent crowding in small-cap stocks has significantly eased, presenting a "strong trend - low crowding" characteristic, which enhances the allocation value [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report is optimistic about the small - cap style, with equity - biased convertible bonds being dominant. In the short - term, the market may still present mainly structural opportunities. Attention should be paid to high - growth sectors such as energy storage, semiconductor equipment and materials, and innovative drugs; sectors with improved supply - demand like photovoltaic and chemical industries; as well as high - dividend sectors such as banks and power, and look for layout opportunities in individual stocks with high volatility of the underlying stocks or low - premium equity - biased convertible bonds [1][2][17]. 3. Summary by Relevant Catalogs Market Trends (2025/11/3 - 2025/11/7) Stock Market - The equity market continued its volatile upward trend last week, with rapid sector rotation among trading days. Due to increased power grid investment and the rapid development of AI driving higher power demand, the power equipment sector performed well. Overall, the value style was dominant, and the technology sector was weak. Among the daily performances, on Monday, the three major A - share indexes rose collectively; on Tuesday, they all declined; on Wednesday, they rose again; on Thursday, they continued to rise; and on Friday, they adjusted [1][7]. - In terms of industries, most Shenwan primary industries closed higher. The power equipment (4.98%), coal (4.52%), petroleum and petrochemical (4.47%), steel (4.39%), and basic chemical (3.54%) sectors led the gains, while the beauty care (-3.10%), computer (-2.54%), pharmaceutical biology (-2.40%), and automobile (-1.24%) sectors lagged [8]. Bond Market - In the first half of the week, the bond market was relatively flat under a generally balanced capital situation. However, in the second half of the week, with the implementation of the central bank's bond trading, the resurgence of the equity market, and the expiration of 700 billion yuan of outright reverse repurchases leading to a marginal tightening of funds, the bond market weakened. The 10 - year treasury bond yield closed at 1.81% on Friday, up 1.88bp from the previous week [1][8]. Convertible Bond Market - Most convertible bond issues closed higher last week. The CSI Convertible Bond Index rose 0.86% for the week, the median price increased by 0.21%, the calculated arithmetic average parity rose 0.48% for the week, and the overall market conversion premium rate decreased by 0.09% compared with the previous week. The arithmetic average conversion premium rates of convertible bonds with parities in the ranges of [90,100), [100,110), and [110,120) changed by +1.18%, +0.33%, and +1.39% respectively, and were at the 89%, 96%, and 93% quantiles since 2023 [1][8]. - In terms of industries, most convertible bond industries closed higher. The steel (+3.18%), power equipment (+2.66%), coal (+2.53%), and commercial retail (+2.05%) sectors led the gains, while the computer (-1.68%), automobile (-1.54%), media (-1.34%), and electronics (-0.91%) sectors lagged [9]. - At the individual bond level, Zhongneng (power grid equipment), Zhenhua (chromium salt), Dazhong (lithium mine), Hangyu (aerospace), and Jize (green alcohol) convertible bonds led the gains, while Titan (solid - state battery), Hengshuai (robot), Jizhi (robot), Yuguang (precious metals), and Yinlun (robot & liquid cooling) convertible bonds led the losses [1][11]. - The total trading volume of the convertible bond market last week was 342.631 billion yuan, with an average daily trading volume of 68.526 billion yuan, higher than the previous week [15]. Views and Strategies (2025/11/10 - 2025/11/14) - The equity market continued to drive convertible bonds upward last week. The market median remained at a high level around 132 yuan. The valuations of most convertible bonds in different parity ranges increased slightly, but the valuations of convertible bonds with parities above 130 were compressed, indicating that the follow - up ability of high - priced equity - biased varieties was generally limited at the current valuation level. The convertible bond ETF continued the net outflow trend since the end of last month [2][17]. - Looking ahead, the market has recently entered a relative vacuum period for listed company performance and important policies. Historically, the small - cap growth style has been relatively dominant, which is somewhat in line with the convertible bond style. However, the convertible bond holder structure data from the exchange in the past two months shows that institutions with absolute - return preferences such as insurance companies have shown obvious profit - taking behavior after the previous high increases in convertible bonds. Therefore, the short - term market may still present mainly structural opportunities. Attention should be paid to high - growth sectors such as energy storage, semiconductor equipment and materials, and innovative drugs; sectors with improved supply - demand like photovoltaic and chemical industries; as well as high - dividend sectors such as banks and power, and look for layout opportunities in individual stocks with high volatility of the underlying stocks or low - premium equity - biased convertible bonds [2][17]. Valuation Overview - As of last Friday (2025/11/07), for equity - biased convertible bonds, the average conversion premium rates of convertible bonds with parities in the ranges of 80 - 90 yuan, 90 - 100 yuan, 100 - 110 yuan, 110 - 120 yuan, 120 - 130 yuan, and above 130 yuan were 49.03%, 33.61%, 27.43%, 20.6%, 12.68%, and 10.31% respectively, at the 99%/100%, 92%/91%, 94%/95%, 92%/94%, 81%/72%, and 88%/79% quantiles since 2010/2021 [18]. - For debt - biased convertible bonds, the average YTM of convertible bonds with parities below 70 yuan was - 5.5%, at the 0%/1% quantiles since 2010/2021 [18]. - The average implied volatility of all convertible bonds was 41.2%, at the 80%/72% quantiles since 2010/2021. The difference between the implied volatility of convertible bonds and the long - term actual volatility of the underlying stocks was - 0.72%, at the 75%/76% quantiles since 2010/2021 [18]. Primary Market Tracking - Last week (2025/11/3 - 2025/11/7), Zhuomei Convertible Bond announced its issuance, and Jinlang Zhuan 02 was listed [26][27]. - Zhuomei Convertible Bond (123260.SZ): The underlying stock is Xingyuan Zhuomei (301398.SZ), belonging to the automobile industry. As of November 7, its market value was 5.937 billion yuan. The company is a professional manufacturer of large - and medium - sized aluminum and magnesium alloy die - casting molds. The issued convertible bond has a scale of 450 million yuan, a credit rating of A+, and was announced for issuance on November 5. After deducting issuance fees, the funds will be fully invested in the project of an annual production of 3 million sets of high - strength large - scale magnesium alloy precision - formed parts for automobiles [26]. - Jinlang Zhuan 02 (123259.SZ): The underlying stock is Jinlang Technology (300763.SZ), belonging to the power equipment industry. As of November 7, its market value was 34.114 billion yuan. The company is a high - tech enterprise focusing on the R & D, production, sales, and service of string inverters for photovoltaic power generation systems. The issued convertible bond has a scale of 1.677 billion yuan, a credit rating of AA, and was listed on November 6. After deducting issuance fees, the funds will be invested in multiple projects including distributed photovoltaic power stations, high - voltage high - power grid - connected inverters, medium - and high - power hybrid energy - storage inverters, R & D centers, digital and intelligent upgrading, and working capital replenishment [27]. - As of the announcements on November 7, there are no convertible bonds scheduled for issuance or listing in the coming week (2025/11/10 - 2025/11/14). Last week, the listing committees approved two companies (Jinpankej and Shangtaikeji), the general meetings of shareholders approved two companies (Huatongxianlan and Zhongqigufen), and the board of directors proposed plans for two companies (Haonenggufen and Fengmaogufen). There were no new companies approved for registration or accepted by the exchanges. Currently, there are 98 convertible bonds waiting to be issued, with a total scale of 146.58 billion yuan, including 5 approved for registration with a total scale of 4.2 billion yuan and 7 approved by the listing committee with a total scale of 6.29 billion yuan [28].

Group 1 - The ChiNext 100 Index rose by 2.3%, the CSI 500 Index increased by 1.6%, the CSI 1000 Index went up by 1.2%, the ChiNext Mid-cap 200 Index gained 1.0%, and the CSI 2000 Index climbed by 0.6% [1] - The CSI 2000 Index focuses on small-cap stocks in the A-share market, characterized by a small and micro-cap style that is capable of quickly absorbing funds, which is expected to drive the rise of small-cap styles due to favorable policies and technological breakthroughs [1] Group 2 - The ChiNext Mid-cap 200 Index consists of 200 stocks with medium market capitalization and good liquidity, reflecting the overall performance of representative companies in the ChiNext market, with the information technology sector accounting for over 40% [7] - The ChiNext Mid-cap 200 Index increased by 1.0% and has a rolling price-to-earnings ratio of 109.3 times since its launch in January 2023 [4][7]

Core Insights - The report suggests an overweight position in small-cap and value styles for November based on quantitative model signals and calendar effects [1][5] Size and Style Rotation Monthly Strategy - As of the end of October, the quantitative model signal was -0.17, indicating a preference for large-cap stocks; however, historical data shows that small-cap stocks tend to outperform in November [1] - The current market capitalization factor valuation spread is 0.88, which is still below the historical peak range of 1.7 to 2.6, indicating that the market is not overcrowded and small-cap stocks remain attractive in the medium to long term [1] - Year-to-date, the size rotation quantitative model has yielded a return of 27.85%, with an excess return of 2.86% relative to an equal-weight benchmark [1] - The combined strategy, incorporating subjective views, has achieved a return of 26.6% with an excess return of 1.61% [1] Value and Growth Style Rotation Monthly Strategy - The monthly quantitative model signal for October was 1, recommending an overweight position in value stocks [1] - Year-to-date, the value-growth style rotation strategy has returned 18.96%, with an excess return of 1.35% compared to an equal-weight benchmark of growth and value indices [1] Style Factor Performance Tracking - Among eight major factors, the dividend and momentum factors showed high positive returns in October, while large-cap and volatility factors exhibited high negative returns [2] - Year-to-date, the volatility and momentum factors have shown strong positive returns, while liquidity and large-cap factors have shown negative returns [2] - In October, the profitability, dividend yield, and momentum factors had high positive returns, while large-cap, profitability, and beta factors had high negative returns [2] - Year-to-date, the beta, profitability volatility, and momentum factors have shown strong positive returns, while mid-cap, liquidity, and large-cap factors have shown negative returns [2] Factor Covariance Matrix Update - The report updates the latest factor covariance matrix as of October 31, 2025, which is crucial for predicting stock portfolio risks [2]

Core Viewpoint - The market shows a positive trend with the 中证2000 index and 创业板中盘200 index both rising by 1.0%, indicating a potential shift towards small-cap stocks following the recent "Five-Year Plan" implementation [1] Group 1: Market Performance - The 中证1000 index increased by 0.5%, while the 科创100 index rose by 0.2%, contrasting with a 0.4% decline in the 中证500 index [1] - Historical analysis suggests that small-cap stocks tend to outperform large-cap stocks in the weeks following the announcement of the "Five-Year Plan" [1] Group 2: Investment Opportunities - The current "十五五" planning period is seen as a catalyst for small-cap market performance, providing opportunities for investors [1] - The 中证2000 index encompasses 30 sectors within the申万一级行业, focusing on emerging sectors such as machinery and electronics, which can effectively capture rotation opportunities and mitigate risks associated with single sectors [1]

- **Barra style factors**: The report tracks several style factors including Beta, Market Cap, Momentum, Volatility, Non-linear Market Cap, Valuation, Liquidity, Profitability, Growth, and Leverage. These factors are constructed using historical data and financial metrics such as turnover rates, earnings growth rates, and market leverage ratios. For example, the Beta factor represents historical beta, while the Valuation factor is calculated as the inverse of the price-to-book ratio. The formulas for constructing these factors include weighted combinations of metrics like turnover rates and earnings ratios [14][15][16] - **Factor performance tracking**: The report evaluates the recent performance of style factors across the market. Beta, Liquidity, and Momentum factors showed strong long positions, while Market Cap, Non-linear Market Cap, and Valuation factors performed better in short positions. The tracking methodology involves selecting stocks from the Wind All A pool, excluding ST stocks, suspended stocks, and newly listed stocks under 120 days. Long positions are taken in the top 10% of stocks with the highest factor values, and short positions in the bottom 10%, with equal weight allocation [16][19][20] - **Factor backtesting results**: The report provides detailed backtesting results for style factors. For example, Beta achieved a weekly return of 4.58%, while Market Cap showed a negative weekly return of -3.55%. Other factors like Momentum and Liquidity also demonstrated varied performance across different time horizons, such as one week, one month, and year-to-date. The report highlights the annualized returns for three-year and five-year periods for each factor [17][18][19] - **GRU factor performance**: GRU factors showed weaker performance overall, with only the barra1d model achieving positive returns. Other GRU models experienced drawdowns in their long-short portfolios. This indicates potential challenges in the effectiveness of GRU factors under current market conditions [20][25][29] - **Technical factors**: Technical factors such as 20-day Momentum, 60-day Momentum, and various volatility measures (e.g., 120-day Volatility) were tracked. These factors generally showed positive returns in long positions, particularly in high-volatility and high-momentum stocks. For example, 120-day Volatility achieved a weekly return of 5.92% in the CSI 300 stock pool [24][27][31] - **Fundamental factors**: Fundamental factors like ROA growth, ROC growth, and Net Profit growth were analyzed. In the CSI 300 stock pool, Net Profit growth achieved a weekly return of 2.51%, while ROA growth showed a return of 1.19%. These factors generally favored stocks with stable and strong growth metrics [23][25][30] - **Multi-factor portfolio performance**: The report evaluates the performance of multi-factor portfolios. The barra5d model outperformed the CSI 1000 index by 0.27% this week and achieved a year-to-date excess return of 5.91%. Other models showed mixed results, with some experiencing slight drawdowns. The multi-factor portfolio achieved a weekly excess return of 0.04% relative to the CSI 1000 index [8][33][34]

- The report discusses the seasonal characteristics of the A-share market in Q4, highlighting a tendency for slight upward movement driven by year-end policy signals and marginal improvements in the funding environment[65][66][55] - Large-cap stocks, represented by the CSI 300 index, typically outperform small-cap stocks in Q4 due to their defensive attributes and institutional fund reallocation preferences. Historical data shows a CSI 300 win rate of 61% and median return of 1.63%, compared to the CSI 1000's win rate of 39% and median return of -1.60%[19][20][27] - Micro-cap stocks exhibit strong resilience in Q4, with a win rate of 78% and median return of 7.35%. This performance is attributed to factors such as liquidity preferences post-holiday and supportive policies for small and micro enterprises[29][30][33] - Growth and dividend styles show distinct characteristics in Q4. Growth stocks often face volatility due to profit-taking and valuation rebalancing, while dividend stocks demonstrate stability with a win rate of 56% and median return of 0.87%[35][38][40] - Industry rankings experience significant shifts in Q4, with most leading industries from the first three quarters dropping in rank, while new leaders emerge due to policy catalysts or valuation adjustments. Stable industries typically benefit from consistent policy support, solid fundamentals, and uninterrupted fund allocation[44][48][50]

- The "Growth-Value Style Rotation Model" suggests overweighting growth stocks based on quantitative economic cycle analysis, where a high profit cycle slope and strong credit cycle favor growth, while high interest rate levels favor value. The model combines signals from fundamentals, valuation, and sentiment to recommend growth allocation[29][30][31] - The "Growth-Value Style Rotation Strategy" has achieved an annualized return of 13.10% since 2012, outperforming the benchmark's 7.77% annualized return. The strategy's annualized excess return is 5.33%, with a maximum drawdown of 43.07% compared to the benchmark's 44.13%[30][32] - The "Small-Cap vs Large-Cap Style Rotation Model" is constructed using 11 effective rotation indicators, including market sentiment concentration, Beta dispersion, and volatility risk. Currently, 7 indicators favor large-cap stocks, maintaining a recommendation to overweight large-cap style[33][34] - The "Small-Cap vs Large-Cap Style Rotation Strategy" has delivered an annualized excess return of 9.91% this year, with a shift from small-cap allocation in the first half to large-cap allocation in the second half. Since 2014, the strategy has consistently generated positive excess returns annually[34][35] - The "Short-Term Timing Strategy" integrates signals from fundamentals, valuation, sentiment, and liquidity. This week, the strategy turned cautious due to weak manufacturing PMI, high PE and PB valuation levels, and subdued market sentiment. Liquidity signals remain neutral[19][20][21] - The "Short-Term Timing Strategy" has achieved an annualized return of 16.52% since 2012, significantly outperforming the benchmark's 4.73%. The strategy's annualized excess return is 11.79%, with a maximum drawdown of 15.49% compared to the benchmark's 31.41%. This year, the strategy has delivered a return of 23.22%, with an excess return of 11.16%[21][24][27]

Group 1: Market Sentiment Indicators - The market sentiment index as of October 10 is 1.75, a slight decrease from 1.85 on September 26, indicating a bearish sentiment [8][11] - The financing balance ratio continues to rise, reflecting an increase in market leverage sentiment and improving trading atmosphere [27][11] - The industry trading volatility continues to decline, suggesting a slowdown in fund switching activity and a decrease in market participants' divergent views on short-term industry value [21][11] Group 2: Timing Model Insights - The model indicates a preference for small-cap value style, with a weak signal strength due to a slight decline in the 5-day RSI relative to the 20-day RSI [45][46] - The short-term trend scores for industries such as non-ferrous metals, power equipment, real estate, machinery, and electronics are notably strong, with non-ferrous metals scoring the highest at 98.31 [34][36] - The model maintains a strong signal for value style, suggesting potential for further strengthening in the future [45][46] Group 3: Industry Crowding and Performance - Recent high returns in non-ferrous metals and coal are accompanied by high fund crowding, indicating potential volatility risks due to valuation and sentiment corrections [42][41] - Industries like automotive and electronics show high crowding but lower returns, while sectors with low crowding such as pharmaceuticals and beauty care may present long-term investment opportunities as risk appetite increases [42][41] - The average crowding levels for industries as of October 10 show automotive, environmental protection, real estate, power equipment, and electronics as the highest, while agriculture, computers, defense, beauty care, and pharmaceuticals are the lowest [40][41]

Core Insights - The style rotation model accurately predicted trends in Q3 2025, with signals favoring small-cap and growth stocks for Q4 2025 [1] - The industry rotation model showed positive excess returns in September, with a monthly return of 3.33% and an excess return of 2.43% relative to the benchmark [1] Style Rotation Model - For Q4 2025, the dual-driven rotation strategy indicates a comprehensive score of -1, predicting a preference for small-cap stocks [2] - The growth style is favored in Q4 2025, with a comprehensive score of -3 from the dual-driven rotation strategy [3] Industry Rotation Insights - In September, the composite factor strategy achieved an excess return of 2.43%, while the single-factor multi-strategy had an excess return of -1.02% [3] - For October, the recommended long positions in single-factor multi-strategy include the computer, communication, electronic, non-bank financial, and banking sectors [3] - The composite factor strategy recommends long positions in home appliances, non-ferrous metals, electronics, communication, and computers [3]