1. Report Industry Investment Rating No information about the report industry investment rating is provided in the given content. 2. Core Views of the Report - Short - term, the convertible bond market experiences a shift from high - risk to low - risk sectors due to style rotation, mainly driven by risk - aversion sentiment after sudden events. Long - term, the trading momentum of the convertible bond market remains strong, and the current period may be a good time for investors to optimize their portfolio structures [1][2]. - After a phased adjustment, the technology sector becomes more cost - effective. It is expected that a temporary agreement will be reached before the tariff implementation on November 1st. After the major meeting later this month, there may be a new round of domestic growth - stabilizing policies, and the convertible bond market may have pulse - type opportunities with a potential continuation of the slow - bull market. If the macro - narrative changes, combined with better - than - expected quarterly revenues and continuous catalysis from theme industries, the technology sector may regain market focus and show more elasticity [2][14]. 3. Summary According to the Table of Contents 3.1 1. Convertible Bond Weekly Thinking - The convertible bond market shows a high - to - low shift in style rotation, mainly due to risk - aversion sentiment caused by unexpected tariff disturbances. Since October, the convertible bond market has undergone a structural adjustment, similar to the equity market in sector rotation. Short - term funds show obvious risk - aversion, and dividend - related sectors perform well. From October, the Wind Convertible Bond Weighted Index declined by 1.83%, with a more restrained adjustment compared to April. The style shifted from growth to defensive sectors like dividends, and the anti - decline property of convertible bonds is significant. In terms of industries, the Wind Convertible Bond Financial Index and Energy Index recorded 1.07% and 1.77% respectively since October, outperforming the Information Technology (-4.15%) and Consumption (-4.58%) indices [7]. - In terms of trading, the convertible bond market remains resilient, and there are still opportunities for structural market trends. This year, the convertible bond market has performed well, with the CSI Convertible Bond Index rising by 14.39% since 2025. However, in a high - valuation environment, the market is more sensitive to macro - environment changes, and the volatility of the technology growth sector and related products has increased significantly. In the short - term, due to a wait - and - see attitude, there is room for market adjustment, leading to a continuous correction of high - valuation products. Although the price center of convertible bonds has been fluctuating recently, except for high - price convertible bonds, the median price and the balance - weighted average price of the convertible bond market remain at the mid - September level. Except for the consumption sector, the overall turnover rate and trading volume of most industries are still above the 80th percentile of historical data. Long - term, the trading momentum of the convertible bond market remains, and it may be a good time for investors to optimize their portfolio structures. The defensive property of convertible bonds is still attractive [2][8]. 3.2 2. Convertible Bond Market Tracking 2.1 Convertible Bond Market Conditions - The performance of different convertible bond indices varies. For example, the Wind Convertible Bond Energy Index has different changes in different time periods: -0.06% in the recent week, 1.77% in the recent two weeks, etc. The Wind Convertible Bond Information Technology Index declined by 3.51% in the recent week and 4.15% in the recent two weeks [15]. 2.2 Convertible Bond Individual Securities No specific content about convertible bond individual securities is provided other than the mention of relevant charts (Figures 6 and 7 showing the top ten and bottom ten individual securities in terms of price changes in the recent week) [18]. 2.3 Convertible Bond Valuation No specific analysis content about convertible bond valuation is provided, but there are relevant charts (Figures 8 - 11) showing the valuation trends of bond - type, balanced, equity - type convertible bonds and the conversion premium rate valuation trends of convertible bonds with different parities [23][25]. 2.4 Convertible Bond Prices No specific analysis content about convertible bond prices is provided, but there are relevant charts (Figures 12 - 13) showing the proportion trend of high - price bonds and the median price of convertible bonds [30].

Quantitative Models and Construction Methods - **Model Name**: "百元转股溢价率" (Hundred Yuan Conversion Premium Rate) **Model Construction Idea**: This model compares convertible bond valuation with stock valuation by constructing a time-series comparable valuation indicator[4][13] **Model Construction Process**: At each time point, the relationship curve between conversion premium rate and conversion value is fitted in the cross-sectional space. The conversion value of 100 is substituted into the fitting formula to obtain the "百元转股溢价率". The specific fitting formula is: $$ y_{i}=\alpha_{0}+\,\alpha_{1}\cdot\,{\frac{1}{x_{i}}}+\epsilon_{i} $$ In the formula, \( y_{i} \) represents the conversion premium rate of the \( i \)-th bond, \( x_{i} \) represents the conversion value of the \( i \)-th bond[42] **Model Evaluation**: The model provides a relative valuation perspective for convertible bonds and stocks[4][13] - **Model Name**: "修正 YTM – 信用债 YTM"中位数 (Adjusted YTM - Credit Bond YTM Median) **Model Construction Idea**: This model isolates the impact of conversion clauses on convertible bond YTM to compare the relative valuation of debt-oriented convertible bonds and credit bonds[5][13] **Model Construction Process**: $$ 修正 YTM = 转债 YTM ×（1–转股概率）+ 预期转股的到期年化收益率×转股概率 $$ Using the BS model, the conversion probability \( N(d2) \) is calculated by substituting stock closing price, option exercise price, stock volatility, remaining term, and discount rate. Then, the adjusted YTM for each debt-oriented convertible bond is calculated. The median of the difference between adjusted YTM and credit bond YTM is expressed as: $$ "修正 YTM – 信用债 YTM"中位数 = median{X1, X2, ... , Xn} $$ Where \( X_{i} \) represents the difference between the adjusted YTM of the \( i \)-th convertible bond and the YTM of a credit bond with the same rating and term[43] **Model Evaluation**: The model effectively evaluates the relative cost-effectiveness of debt-oriented convertible bonds compared to credit bonds[5][13] Model Backtesting Results - **"百元转股溢价率" Model**: Rolling three-year percentile is 98.70%, rolling five-year percentile is 94.90%[4][14] - **"修正 YTM – 信用债 YTM" Model**: Current median value is -2.96%, indicating low cost-effectiveness for debt-oriented convertible bonds[5][14] Quantitative Factors and Construction Methods - **Factor Name**: 转股溢价率偏离度 (Conversion Premium Rate Deviation) **Factor Construction Idea**: Measures the deviation of the conversion premium rate relative to the fitted value, making different parities comparable[19] **Factor Construction Process**: $$ 转股溢价率偏离度 = 转股溢价率 − 拟合转股溢价率 $$ The number of convertible bonds determines the fitting quality[19] **Factor Evaluation**: Provides a systematic enhancement perspective for convertible bond valuation[18][19] - **Factor Name**: 理论价值偏离度 (Theoretical Value Deviation - Monte Carlo Model) **Factor Construction Idea**: Measures the price expectation difference using Monte Carlo simulation, fully considering convertible bond clauses such as conversion, redemption, downward revision, and repurchase[19] **Factor Construction Process**: $$ 理论价值偏离度 = 转债收盘价 / 理论价值 - 1 $$ At each time point, 10,000 paths are simulated using the same credit term limit rate as the discount rate to calculate the theoretical value of the convertible bond[19] **Factor Evaluation**: Performs well in evaluating convertible bonds, especially equity-oriented ones[18][19] - **Factor Name**: 转债综合估值因子 (Convertible Bond Comprehensive Valuation Factor) **Factor Construction Idea**: Combines the above two factors to enhance valuation across all domains and subdomains (equity-oriented, balanced, debt-oriented)[18][19] **Factor Construction Process**: $$ 转债综合估值因子 = Rank（转股溢价率偏离度）+ Rank（理论价值偏离度（蒙特卡洛模拟）） $$ **Factor Evaluation**: Demonstrates superior performance in valuation enhancement across all domains[18][19] Factor Backtesting Results - **Conversion Premium Rate Deviation Factor**: Near-term enhancement excess returns for equity-oriented, balanced, and debt-oriented convertible bonds are -3.01%, -0.34%, and -0.02%, respectively[6][21] - **Theoretical Value Deviation Factor**: Performs best in equity-oriented convertible bonds[18][19] - **Convertible Bond Comprehensive Valuation Factor**: - Equity-oriented low valuation index: IR = 1.24, annualized return = 25.45%, annualized volatility = 20.54%, maximum drawdown = -22.94%, Calmar ratio = 1.11, monthly win rate = 61.96%[22] - Balanced low valuation index: IR = 1.26, annualized return = 14.90%, annualized volatility = 11.85%, maximum drawdown = -15.95%, Calmar ratio = 0.93, monthly win rate = 63.04%[22] - Debt-oriented low valuation index: IR = 1.40, annualized return = 13.28%, annualized volatility = 9.48%, maximum drawdown = -17.78%, Calmar ratio = 0.75, monthly win rate = 58.70%[22] Convertible Bond Style Rotation and Construction Methods - **Rotation Method**: **Idea**: Uses market sentiment indicators (convertible bond momentum and volatility deviation) to construct a convertible bond style rotation portfolio[7][26] **Process**: $$ 转债风格市场情绪捕捉指标 = Rank（转债 20 日动量）+ Rank（波动率偏离度） $$ Based on the ranking of sentiment indicators, the style index with the lowest ranking is selected for allocation. If rankings are equal, equal allocation is applied. If all three styles are selected, 100% allocation is made to the balanced low valuation style. Adjustments are made bi-weekly[27][28] **Evaluation**: Demonstrates stable excess returns compared to the convertible bond equal-weight index[30][33] Style Rotation Backtesting Results - **Convertible Bond Style Rotation**: - IR = 1.45, annualized return = 24.14%, annualized volatility = 16.70%, maximum drawdown = -15.89%, Calmar ratio = 1.52, monthly win rate = 64.13%[32] - Convertible Bond Low Valuation Equal-Weight Index: IR = 1.33, annualized return = 14.68%, annualized volatility = 11.01%, maximum drawdown = -15.48%, Calmar ratio = 0.95, monthly win rate = 61.96%[32] - Convertible Bond Equal-Weight Index: IR = 0.85, annualized return = 9.95%, annualized volatility = 11.75%, maximum drawdown = -20.60%, Calmar ratio = 0.48, monthly win rate = 60.87%[32] - Recent 4-week style rotation return: 2.26%; return since 2025: 37.81%[28][29]

Index Performance - The CSI A500 Index decreased by 3.31% this week, closing at 5392.97 points on October 17 [5] - The average daily trading volume for the week was 8521.04 billion yuan, reflecting a 22.20% decrease compared to the previous week [5] Top Performers - The top ten gainers in the CSI A500 index included: 1. Shanghai Pudong Development Bank (600000.SH) with a gain of 12.50% 2. Agricultural Bank of China (601288.SH) with a gain of 11.57% 3. Huatian Technology (002185.SZ) with a gain of 10.02% 4. Shanghai Jahwa United Co., Ltd. (600315.SH) with a gain of 9.42% 5. Hainan Airport (600515.SH) with a gain of 8.96% 6. Shaanxi Coal and Chemical Industry (601225.SH) with a gain of 8.61% 7. Jiangsu Bank (600919.SH) with a gain of 8.60% 8. Tongwei Co., Ltd. (600438.SH) with a gain of 8.31% 9. Air China (601111.SH) with a gain of 7.63% 10. China Pacific Insurance (601319.SH) with a gain of 7.32% [2] Bottom Performers - The top ten losers in the CSI A500 index included: 1. Shengquan Group (605589.SH) with a loss of 18.04% 2. Wentai Technology (600745.SH) with a loss of 17.17% 3. Betta Pharmaceuticals (300558.SZ) with a loss of 16.98% 4. Leo Group (002131.SZ) with a loss of 16.55% 5. Jinlang Technology (300763.SZ) with a loss of 15.40% 6. Tongfu Microelectronics (002156.SZ) with a loss of 14.98% 7. Yake Technology (002409.SZ) with a loss of 14.35% 8. Lens Technology (300433.SZ) with a loss of 14.26% 9. Zhongding Sealing Parts (000887.SZ) with a loss of 13.99% 10. Robot Technology (300757.SZ) with a loss of 13.95% [2] Fund Performance - All 40 CSI A500 ETFs experienced declines, with notable drops in Huatai-PB's CSI A500 Enhanced ETF and Guolian's A500 Enhanced ETF, both falling over 4% [5] - The total scale of the CSI A500 ETFs fell below 200 billion yuan, with Huatai-PB's fund at 249.03 billion yuan, Guotai's at 226.56 billion yuan, and E Fund's at 221.29 billion yuan [5] Market Insights - Pacific Securities research team suggests a balanced allocation towards low-position sectors, particularly banks and insurance with dividend protection attributes, as well as coal and agriculture sectors benefiting from domestic demand recovery [6] - Guohai Securities research team indicates that uncertainties from trade frictions may lead to a rotation in market styles, with a shift from overvalued growth sectors to undervalued sectors [6]

Market Overview - The overall market experienced a decline, with a rating of 4.2 stars [1] - Large-cap stocks saw less decline compared to small and mid-cap stocks [2] - The market continues to exhibit style rotation, with significant drops in growth style stocks [3][4] - The ChiNext and STAR Market fell by 4% recently [5] Style Performance - Growth style stocks faced substantial declines, while value style stocks remained relatively stable [6] - Recently, previously underperforming "old economy stocks" have shown an overall increase [7] - Indices focusing on value, dividends, and free cash flow have seen overall gains [8] - The 300 Value Index has returned from undervaluation to normal levels [9] Investment Opportunities - There are still some undervalued sectors, particularly in consumer industries, that have started to gain traction [11][13] - The Hong Kong market reflects similar trends, with stable dividends and declines in technology growth stocks, which have not yet returned to undervaluation [14][16] - The volatility in the Hong Kong market has been greater than in the A-share market this year [17] Investment Strategies - The investment strategy includes a pause on regular investments in the index-enhanced advisory portfolio as it has returned to normal valuation, with plans to resume when it returns to undervaluation [20] - The active selection portfolio continues regular investments, while the monthly salary investment portfolio, which consists of 40% stocks and 60% bonds, is recommended for stable market participation [20] - The monthly salary portfolio features a "low buy high sell" strategy and a cash flow distribution function [20] Fund Performance - The performance of the China A500 and China Dividend indices has returned to normal valuation, with plans to pause investments until they reach undervaluation again [26] - The China A500 has achieved a profit of 22%, while the China Dividend index has seen a profit of approximately 6% [26] - The article emphasizes the importance of patience in long-term investments, highlighting that opportunities will continue to arise [33]

Overall Introduction - The book introduces market rules, asset allocation logic, and strategies for different asset classes, including stocks, bonds, and commodities, while addressing practical issues faced by investors [4]. Core Views - The book proposes three dimensions to assess the market: policy, economy, and inflation, which are used to determine market conditions [7]. - Economic cycles are divided into six stages, each with corresponding asset preferences, ranging from bonds in the early slowdown to cash and commodities in the stagflation phase [11][12][13][39]. - Effective asset allocation strategies include the Permanent Portfolio, All Weather Portfolio, and Global Market Portfolio, emphasizing diversification and risk management [14][15][16]. Current Situation - Current policies are characterized as accommodative, with indicators such as M1 growth increasing from 0.39% in January to 5.96% in August [33]. - Economic recovery is weak, with industrial value-added growth declining from 7.7% to 5.2% [37]. - The market is likely in a transition between the late slowdown phase and the early recovery phase, suggesting a preference for small-cap growth stocks [39][40]. Investment Insights - Long-term asset allocation is crucial for sustained success, with diversified strategies proven to provide stable returns [44]. - A balanced stock-bond allocation is suitable for most investors, allowing for flexibility in extreme market conditions [45]. - Simplifying investment approaches and focusing on fundamental market principles can lead to better outcomes [47][48].

Market Overview - In September, domestic stock market indices showed a comprehensive increase, with the ChiNext Index rising significantly by 12.04%, while the CSI 1000 had a smaller increase of 1.83%. Year-to-date, the ChiNext Index has performed strongly with a gain of 51.20%, compared to a weaker performance of the CSI 300 at 17.94% [1][4]. - In terms of market style, small-cap stocks outperformed large-cap stocks in September, and growth stocks outperformed value stocks. Year-to-date, the ChiNext Small Cap Index has increased by 28.12%, while the ChiNext Large Cap Index has only risen by 17.64%. The Guozheng Growth Index has shown a gain of 30.64%, while the Guozheng Value Index has only increased by 4.61% [1][5]. - The best-performing sectors in September were Power Equipment and New Energy (+18.64%), Nonferrous Metals (+12.44%), and Electronics (+10.28%). Conversely, the worst-performing sectors were Comprehensive Finance (-8.04%), Banking (-6.65%), and Defense and Military Industry (-6.62%) [1][10]. - In the bond market, the total wealth index for corporate bonds decreased by 0.04%, while the total wealth index for government bonds fell by 0.52%. Year-to-date, corporate bonds have performed better with a gain of 1.46%, compared to a loss of 0.42% for government bonds [1][5]. - In the commodity market, major domestic commodity indices showed mixed results in September, with the Nanhua Gold Index rising by 11.05% and the Nanhua Agricultural Products Index declining by 2.79%. Year-to-date, the Nanhua Gold Index has increased by 39.76%, while the Nanhua Energy and Chemical Index has decreased by 10.57% [1][5]. - In overseas markets, major stock indices showed mixed results in September, with the Hang Seng Technology Index rising by 13.95% and the German DAX Index declining by 0.09%. Year-to-date, the Hang Seng Technology Index has performed well with a gain of 44.71%, while the French CAC40 Index has shown a decline of 6.98% [1][7]. ETF Strategy Performance - As of September 30, 2025, the Style Rotation Portfolio has shown outstanding cumulative returns since inception at 118.04%, surpassing its benchmark by 76.98%. The 80/20 Rotation Portfolio has also performed well with a cumulative return of 56.82%, exceeding its benchmark by 16.30% [2][11]. - The Valuation Selection ETF has demonstrated strong performance this year with a cumulative return of 44.33%, exceeding its benchmark by 39.72%. The Global Allocation Portfolio has achieved a cumulative return of 23.66% this year, surpassing its benchmark by 10.01% [2][11]. - The Dynamic Duration Strategy has shown a cumulative return of 19.41% since inception, exceeding its benchmark by 4.01%. The Asset Rotation Strategy has performed well this year with a cumulative return of 25.44%, surpassing its benchmark by 19.87%. The Asset Rotation Strategy 2.0 has also shown a cumulative return of 23.21% this year, exceeding its benchmark by 17.64% [2][11].

证券研究报告 | 金融工程 2025 年 10 月 12 日 短期扰动不改看好观点 ——A 股趋势与风格定量观察 20251012 1. 当前市场观察 ❑ 节后两日市场先涨后跌，成长风格明显回调，价值风格逆势上涨。具体来 看，万得全 A 指数下跌 0.36%，上证 50、沪深 300、中证 1000 分别下跌约 0.47%、0.51%、0.54%。国证价值上涨约 1.52%，而国证成长下跌约 1.41%，创业板指、科创 50 分别下跌约 3.85%、2.85%。 ❑ 择时观点上，10 月 10 日夜间中美摩擦再度升级，下周一权益市场大概率走 弱，不过从历史统计上来看，类似事件发生后 5 日内权益资产大概率会有所 修复，结合当前交易情绪仍偏强，我们认为短期扰动并不会改变前期对 A 股 市场震荡看好的观点。具体来看，我们统计了 2018 年以来包括中美贸易摩 擦、疫情、地缘冲突等事件发生当日、5 日、20 日内股、债、商、汇、权益 风格走势，可以发现利空事件发生当日 A 股、港股、美股均有较为明显的回 调（万得全 A 与恒生科技平均跌幅为 3.80%和 4.94%），顺周期的商品如铜 也会明显走低（平均跌幅 2. ...

Market Overview - The overall market has seen a decline, with the closing rating at 4.1 stars [1] - All market caps, including large, medium, and small caps, experienced a downturn [2] - Growth style stocks faced significant declines, while value style stocks remained relatively stable [3][7] Index Performance - The ChiNext index dropped over 4% after reaching overvalued levels [4] - The Sci-Tech 50 index fell by 4.7% [5] - The Hong Kong stock market also experienced declines, particularly in technology and growth sectors [11][12] Investment Style Dynamics - There is a notable rotation in market styles, with growth stocks showing high volatility and value stocks exhibiting lower volatility during corrections [14] - Indices focused on dividends, value, and free cash flow generally saw increases, with free cash flow indices rising for five consecutive trading days [8][9] Hong Kong Market Insights - The Hong Kong medical index has shown significant volatility, with a 4.9% drop recently [16] - The Hong Kong medical index has increased by 60-80% from the beginning of the year to the end of September, despite some recent corrections [30] - The Hong Kong medical index is categorized differently than its A-share counterparts, with a focus on healthcare and innovative drugs [21][25] Valuation and Future Outlook - The Hong Kong medical index reached overvalued levels in early September but has since seen a valuation correction [31][32] - The overall valuation of the Hong Kong market is currently between 3.5 and 3.6 stars, with fewer undervalued stocks compared to the previous year [33] - The market is expected to continue adjusting, with some stocks being sold to increase bond holdings in response to rising stock asset values [43]

Group 1 - The article discusses the concept of different stock markets not moving in tandem, suggesting that understanding multiple markets can provide investors with more opportunities [2] - It emphasizes that global investment can significantly reduce volatility risk, highlighting the importance of diversifying investments across different regions [2] - A free course is offered to teach methods for investing in global stock markets through index funds, along with supplementary materials like course notes and mind maps [2][3] Group 2 - The article introduces various terms used in the A-share market to describe stocks that have underperformed, such as "old Deng stocks," which refer to stocks that have seen little price increase recently [4][10] - It explains the historical context of terms like "big rotten stinky" and "three fools," which were used during different market cycles to describe underperforming stocks compared to their high-performing counterparts [6][9] - The article notes that market trends are cyclical, and when certain assets are undervalued or overvalued, it presents opportunities for investors to buy low or sell high [14][15]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - In the week ending September 26, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.21%, -0.27%, and 0.43% respectively [3]. - In the public - fund market, passive index products had strong performance in the past week, neutral strategy products mostly declined, convertible bonds outperformed pure bonds, and precious - metal ETFs continued to strengthen, with silver ETF rising 5.72% and soybean meal ETF continuing to decline [3]. - Among the CITIC five - style indices, growth and cyclical styles rose last week, while the others fell. The style timing model signals a preference for the growth style this week [3]. - The short - term momentum factor in Barra factors had a good performance last week, with a weekly excess return of 1.85%. The style timing strategy had a return of 1.58% last week, with an excess return of 1.85% compared to the benchmark balanced allocation [3]. 3. Summary by Related Catalogs Recent Market Returns - Market indices: Tonglian All A (Shanghai, Shenzhen, Beijing) rose 0.21%, ChinaBond Composite Bond declined 0.27%, and Nanhua Commodity Index rose 0.43% in the week ending September 26, 2025 [3]. - Public - fund market: Passive index products performed strongly, neutral strategy products mostly declined, convertible bonds outperformed pure bonds, precious - metal ETFs strengthened (silver ETF +5.72%, soybean meal ETF declined), and consumer - style funds had an excess return of 0.91% in the past week [3]. CITIC Style Index - Performance: Growth and cyclical styles rose last week, while the others fell. The cyclical style weakened marginally in relative strength, and the stable and financial styles slightly recovered in indicator momentum [3]. - Style timing: According to the style timing model, consumer and cyclical styles declined marginally this week, while stable and financial styles slightly recovered, with a signal favoring the growth style. The style timing strategy had a return of 1.58% last week, with an excess return of 1.85% compared to the benchmark balanced allocation [3]. Barra Factors - Factor performance: The short - term momentum factor had a weekly excess return of 1.85%, and the cash - flow and growth factors' returns recovered marginally. The residual momentum factor's win - rate improved [3]. - Factor rotation: The factor cross - section rotation speed increased this week, reaching the medium historical quantile range [3].