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].

Core Viewpoint - The article discusses various investment styles, emphasizing the importance of diversification and the cyclical nature of investment styles, suggesting that different styles may perform better at different times [5][12]. Group 1: Investment Styles - Balanced style is characterized by a diversified portfolio across multiple industries, typically resulting in smaller maximum drawdowns compared to the market [2][3]. - Deep value style, represented by Graham, focuses on valuation metrics such as low price-to-earnings (P/E) and price-to-book (P/B) ratios, as well as high dividend yields [5]. - Growth value style, exemplified by Buffett, emphasizes a company's profitability and cash flow, often investing in high return on equity (ROE) and stable cash flow stocks [7][8]. - Growth style prioritizes high revenue and earnings growth rates, showing a higher tolerance for valuations compared to the overall market [9]. - Deep growth style targets early-stage industries where revenue and earnings have not yet reached high growth phases, commonly seen in venture capital [10][11]. Group 2: Style Rotation and Strategy - Different investment styles do not move in tandem; style rotation occurs approximately every 3-5 years, although predicting the exact timing is challenging [12]. - The strategy involves maintaining a diversified portfolio with low-valued stocks across different styles, adjusting allocations based on valuation changes [12].

Core Viewpoint - The market is experiencing style rotation, with growth styles currently performing strongly while value styles are lagging behind. The recent rise in the ChiNext index indicates a shift in market dynamics, suggesting potential investment opportunities in growth sectors [4][10][11]. Market Performance - The market saw a rise during the day, reaching a peak of 4.1 stars, but closed at 4.2 stars, indicating a slight pullback [1][2]. - Large-cap stocks showed minor gains, while small-cap stocks experienced slight declines [3]. - The growth style overall is on the rise, with significant increases in the ChiNext index recently, which had been undervalued for a long time [4][7][8]. Valuation Insights - The ChiNext index is approaching a price-to-earnings (P/E) ratio of approximately 45 times, indicating it is nearing overvaluation [9]. - Value styles, such as free cash flow and Hong Kong-Shanghai dividend stocks, have seen increases, with the latter rising 7-8% this year, marking the fifth consecutive year of growth [12][13]. - The average turnover rate in A-shares is significantly high, suggesting that many retail investors hold stocks for less than a month, which may not be sufficient to weather market corrections [42][43]. Investment Behavior - Historical data shows that during bull markets, it is common to experience pullbacks, and the market often exhibits a pattern of sharp rises followed by corrections [18][24]. - Attempting to time the market by selling before a correction and buying back at lower prices is challenging and often leads to missed opportunities [27][28]. - Frequent trading and chasing market trends can significantly reduce investor returns, with studies indicating that high turnover rates correlate with lower average profits [52]. Long-term Investment Strategy - Long-term stock and fund investments are closely tied to valuation and earnings growth, with valuation primarily affecting short-term returns and earnings growth driving long-term performance [44][46]. - Investors are encouraged to focus on controlling costs and enhancing revenue, akin to running a business, to achieve better investment outcomes [49][50]. Dividend and Cash Flow Indices - The article includes a valuation table for various dividend and free cash flow indices, providing insights into their earnings yields, P/E ratios, and other financial metrics for reference [51][65].

Core Viewpoint - The market is experiencing a structural rotation, with growth styles recently underperforming while value styles are gaining traction. This indicates a potential shift in investment strategies and opportunities in different sectors [5][7][22]. Market Performance - The market index showed a decline during the day, reaching a low of 4.3 stars but rebounded to 4.2 stars by the end of the trading session [1][2]. - Large-cap stocks experienced a smaller decline compared to mid and small-cap stocks, which saw more significant drops [3]. - Growth styles faced a more considerable downturn, while value styles overall increased [4][7]. Sector Analysis - The banking index saw an overall increase, although it had previously reached a high valuation before correcting to a normal valuation [8][9][10]. - The recent market structure favors active selection strategies, as evidenced by the slight increase in active selection portfolios [12][13]. Market Trends - The market is characterized by structural bull markets where certain sectors lead while others lag, with each bull market cycle featuring different leading sectors [14]. - Bull markets are not continuous; they often exhibit patterns of rapid increases followed by corrections, indicating the need for patience from investors [15][16]. - The A-share and Hong Kong markets have shown 2-3 cycles of significant short-term increases followed by consolidation or corrections [17][18]. Investment Strategy - For investment strategies, the index-enhanced advisory portfolio has returned to normal valuation, suggesting a pause in new investments while maintaining existing holdings until a low valuation is reached again [21]. - The active selection portfolio continues normal investments, while the monthly salary treasure portfolio, which consists of 40% stocks and 60% bonds, is recommended for stable market participation [44][45]. Personal Pension Investment - The pension index funds, specifically the CSI A500 and CSI Dividend, have returned to normal valuations, leading to a pause in new investments until they reach undervalued levels again [31][32]. - The performance of these pension index funds has shown profitability, with the CSI A500 up by approximately 20% and the CSI Dividend up by about 4% over the recent months [37].

Core Viewpoint - The article discusses the current state of the A-share market, highlighting the phenomenon of style rotation and the emergence of terms like "old Deng stocks" to describe underperforming stocks in a market characterized by structural bull runs [1][32]. Market Overview - The overall market showed slight gains, maintaining a rating of 4.2 stars [2]. - Both large-cap and small-cap stocks experienced minor increases, with similar growth rates [3]. - There is a noticeable divergence in market performance, with growth styles like the ChiNext showing more significant gains compared to value styles, which are generally declining [5][6]. Style Rotation - The article introduces the term "old Deng stocks," referring to stocks that have seen minimal price increases over the past two years [8][27]. - Examples of "old Deng stocks" include sectors like liquor, home appliances, and coal, which have not performed as well as the recent strong growth sectors such as technology and chips [29][30]. - The discussion of "old Deng stocks" reflects a broader trend of style rotation within the A-share market, where certain categories of stocks outperform while others lag behind [32][34]. Historical Context - The article references past market trends, such as the "big rotten stinky" label for large-cap stocks during the small-cap bull market of 2015, and the "three fools" term for underperforming bank and insurance stocks during the growth bull market of 2020-2021 [10][16][22]. - It notes that the definitions of these terms have evolved over time, with new categories emerging as market dynamics shift [25][26]. Investment Implications - The article suggests that when certain assets are ridiculed, it may present buying opportunities due to potential undervaluation [41][42]. - Conversely, when assets are highly favored, it may indicate a selling opportunity due to potential overvaluation [43][44]. - The cyclical nature of the market is emphasized, indicating that strong-performing stocks may eventually face valuation corrections, while currently underperforming stocks may rise in prominence [38][39].

Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Model - **Model Construction Idea**: The model evaluates the market's short-term timing signals by analyzing macro fundamentals, valuation, sentiment, and liquidity indicators. It aims to provide a comprehensive view of market conditions and guide short-term investment decisions[12][17]. - **Model Construction Process**: 1. **Macro Fundamentals**: - Manufacturing PMI: A PMI value below 50 indicates weak manufacturing activity, providing a cautious signal. - Credit Pulse: The YoY growth rate of medium- and long-term RMB loans is at the 61.02% percentile over the past five years, indicating strong credit growth and providing an optimistic signal. - M1 Growth Rate: The filtered YoY growth rate of M1 is 5.23%, at the 96.61% percentile over the past five years, indicating strong M1 growth and providing an optimistic signal[12][17]. 2. **Valuation**: - PE Median: The current PE median of the A-share market is 45.50, at the 98.84% percentile over the past five years, signaling caution. - PB Median: The current PB median is 3.02, at the 96.94% percentile over the past five years, also signaling caution[12][17]. 3. **Sentiment**: - Beta Dispersion: The current beta dispersion is 8.66%, at the 96.61% percentile over the past five years, signaling caution. - Volume Sentiment Score: The score is 0.40, at the 74.52% percentile, indicating strong volume sentiment and providing an optimistic signal. - Volatility: The annualized volatility is 20.19%, at the 77.67% percentile, providing a neutral signal[13]. 4. **Liquidity**: - Money Market Rate: The rate is 0.00, at the 38.98% percentile, indicating relatively loose liquidity and providing an optimistic signal. - Exchange Rate Expectation: The indicator is -0.42%, at the 33.90% percentile, indicating a strong RMB against the USD and providing an optimistic signal. - Average 5-day Financing Amount: The value is 126.77 billion RMB, at the 97.85% percentile, signaling caution due to high leverage[13]. - **Model Evaluation**: The model effectively integrates multiple dimensions to provide a comprehensive short-term market outlook. It has demonstrated strong performance in historical backtests, with significant excess returns and reduced drawdowns compared to benchmarks[14]. 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: This model identifies optimal allocation between growth and value styles based on macroeconomic cycles, valuation spreads, and sentiment indicators. It aims to capture excess returns through style rotation[24][25]. - **Model Construction Process**: 1. **Macro Fundamentals**: - Profit Cycle Slope: A steep profit cycle slope favors growth. The current slope is high, providing a 100% growth signal. - Interest Rate Cycle: A high interest rate cycle level favors value. The current level is high, providing a 100% value signal. - Credit Cycle: A strengthening credit cycle favors growth. The current cycle is strong, providing a 100% growth signal[24][26]. 2. **Valuation**: - PE Spread: The 5-year percentile of the growth-value PE spread is 45.11%, indicating mean reversion upward, favoring growth. - PB Spread: The 5-year percentile of the growth-value PB spread is 55.48%, also indicating mean reversion upward, favoring growth[24][26]. 3. **Sentiment**: - Turnover Spread: The 5-year percentile of the turnover spread is 38.13%, favoring value. - Volatility Spread: The 5-year percentile of the volatility spread is 94.76%, favoring a balanced allocation[24][26]. - **Model Evaluation**: The model has consistently outperformed its benchmark since 2012, with significant annualized excess returns and reduced drawdowns. It effectively captures style rotation opportunities[25][27]. 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: This model evaluates 11 effective rotation indicators to determine optimal allocation between small-cap and large-cap styles. It aims to exploit market inefficiencies and generate excess returns through size-based style rotation[29][30]. - **Model Construction Process**: 1. **Indicators Favoring Small-Cap**: - Increased financing purchase amounts. - Narrowing credit spreads. - Declining implied market volatility. - Rising PB divergence. - Recovery in small-cap trading volume[29][30]. 2. **Indicators Favoring Large-Cap**: - Declining small-cap theme sentiment. - High beta dispersion. - Rising R007 rates[29][30]. - **Model Evaluation**: The model has delivered positive excess returns every year since 2014, demonstrating its robustness and effectiveness in capturing size-based rotation opportunities[30]. --- Model Backtesting Results 1. Short-term Timing Model - Annualized Return: 17.99% - Annualized Volatility: 15.87% - Maximum Drawdown: 22.44% - Sharpe Ratio: 0.9959 - Excess Return (2025 YTD): 14.15%[14][19][22] 2. Growth-Value Style Rotation Model - Annualized Return: 13.22% - Annualized Volatility: 20.80% - Maximum Drawdown: 43.07% - Sharpe Ratio: 0.6056 - Excess Return (2025 YTD): 8.50%[25][27][28] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 19.10% - Annualized Excess Return: 11.96% - Maximum Drawdown: 39.71% - Average Small-Cap Allocation (2025 YTD): 51.41% - Excess Return (2025 YTD): 4.44%[30][32]

Core Viewpoint - Market style rotation is a typical characteristic of A-shares, where no single style can consistently outperform the market. This rotation significantly impacts quantitative long strategies, influencing their excess returns directly [2][3]. Group 1: Impact of Style Rotation - Style rotation serves as a double-edged sword for quantitative long strategies, affecting performance and sustainability. When market style aligns with historical preferences of quantitative models (e.g., small-cap style), strategies can capture significant stock selection alpha, leading to outstanding performance [3]. - In the first half of 2023 and the small-cap market in 2024, many quantitative products achieved considerable returns. However, when market styles reverse sharply (e.g., collective pullback of small-cap stocks in early 2024), quantitative strategies face significant challenges, often resulting in noticeable drawdowns [3]. - Quantitative models rely on historical data to identify patterns. If a particular style (like small-cap) remains dominant, models will increase exposure to that style. A sudden style reversal can lead to the short-term failure of factors based on historical data, causing stock selection alpha to vanish or even turn negative [3]. Group 2: Performance Disparity Among Strategies - Style rotation exacerbates performance disparities among different quantitative products. Funds focusing on different tracks (e.g., 300 index enhancement vs. 1000 index enhancement) or employing varying style constraints or risk control capabilities will exhibit significant performance differences during style shifts [3]. - The average excess return of over 200 quantitative long strategy products under billion-yuan private equity was approximately -1.69%, with only 22.67% showing positive excess returns, indicating a high exposure to small-cap and growth styles [7]. Group 3: Market Conditions and Future Outlook - The market exhibited significant style switching from August to September 2025, driven by macroeconomic changes, capital flows, and policy expectations. The relative performance of broad-based indices reflects the rotation between large-cap and small-cap styles [7]. - The small-cap factor's return volatility has increased, and the average excess drawdown during rapid style transitions typically ranges from 1-4%, with the potential for a higher average excess drawdown of 8-9% in February 2024. However, subsequent recovery trends are generally smooth [11].

Group 1 - The A-share market is showing signs of recovery, leading to increased enthusiasm for fund subscriptions, with many products selling out on the first day [1][3] - The current trend in equity funds differs from previous years, as the focus has shifted from large-scale funds to smaller, more manageable targets [5][6] - In 2020, there were 91 equity "daylight funds," with 16 exceeding 10 billion and 3 nearing 30 billion, but now new funds typically set fundraising caps at 1 billion or 5 billion [5][6] Group 2 - The recent popularity of equity funds is attributed to two main factors: the positive performance of the A-share market and the gradual recovery of fund performance, restoring investor confidence [6][8] - Fund companies are prioritizing stable performance over large-scale fundraising, leading to early closure of subscriptions to maintain a balance between scale and performance [9][10] - The bond fund market is also experiencing growth, with new rules implemented to encourage the development of "fixed income plus" products that combine stable bond returns with potential equity gains [12][15] Group 3 - Regulatory adjustments aim to promote the development of funds with a minimum stock allocation, allowing for quicker registration processes for compliant products [14][15] - Institutions remain optimistic about future market trends, identifying artificial intelligence and overseas expansion as key investment themes [19] - Overall, the changes in the fund issuance market indicate a maturation process, focusing on sustainable investor returns rather than short-term gains [21]

Group 1 - The A-share market showed resilience amidst a generally subdued Asia-Pacific market, with three major indices rising, although the number of stocks rising was slightly less than those falling, indicating market differentiation and style rotation [3] - The A-share market is expected to maintain a steady upward trend in the short term, supported by the influx of household savings into the capital market, which is crucial for the market index's strength [3] - The sectors performing well included optical electronics, photovoltaic equipment, and batteries, while sectors like precious metals, retail, and travel showed weaker performance [1][3] Group 2 - The recent net inflow of global funds into the A-share market is attributed to the acceleration of household savings transitioning to the capital market, creating a continuous source of incremental funds [1] - The market is anticipated to experience new investment opportunities amidst structural optimization, with close attention needed on policy changes, funding conditions, and external market developments [1] - The current valuation of A-shares remains attractive in the medium to long term, with future "anti-involution" policies and demand-side policies being critical factors for determining the market's height [3]