Core Viewpoint - The recent pullback of dividend indices since late August may present an attractive allocation window for investors, particularly in a low-risk environment where dividend assets remain appealing to risk-averse funds [1][2]. Group 1: Market Performance and Trends - The Shanghai Composite Index has recently surpassed 3,800 points, leading to a continuous pullback in dividend indices, specifically the Dividend ETF (510880) and Low Volatility Dividend ETF (512890) [1]. - From August 27 to September 15, the Dividend ETF and Low Volatility Dividend ETF saw significant trading volume, with daily transaction amounts exceeding 500 million yuan on September 15 [1]. - The Dividend ETF (510880) recorded a net inflow of 1.558 billion yuan over 12 out of 14 trading days during the same period, indicating a growing demand for dividend assets amid market fluctuations [1]. Group 2: Fund Characteristics and Investor Interest - The Dividend ETF (510880) and Low Volatility Dividend ETF (512890) have become key options for investors, with sizes of 19.091 billion yuan and 20.415 billion yuan respectively, making them among the few dividend-themed ETFs exceeding 10 billion yuan in A-share market [2]. - As of September 15, the Dividend ETF (510880) had 421,830 million yuan in total management scale, reflecting the strong interest from investors [4]. - The number of holders for the Dividend ETF reached 421,800, while the Low Volatility Dividend ETF's linked funds had a total of 1,163,100 holders, showcasing their popularity in the market [3]. Group 3: External Factors Influencing Investment - Recent reports indicate a surge in foreign investment interest in the Chinese market, with significant net inflows recorded in August, particularly in high-dividend assets, technology growth, and high-end manufacturing sectors [2]. - The strong inflow of foreign capital is expected to continue supporting the valuation recovery of high-quality dividend assets [2].

Core Viewpoint - The article discusses the cyclical nature of investment styles, particularly the rotation between growth and value styles, and how these cycles can create investment opportunities in different market conditions [2][4]. Group 1: Style Rotation - Style rotation occurs approximately every 3-5 years, with specific periods identified for growth and value styles: - 2016-2018 was a strong period for value style - 2019-2021 favored growth style - 2022-2024 is projected to favor value style - 2025 is expected to favor growth style [2] - Structural bull markets are common in A-shares, with only 2007 being a broad-based bull market where both large and small caps, as well as growth and value styles, saw significant gains [2]. Group 2: Characteristics of Growth and Value Styles - Growth style bull markets are characterized by high volatility, with significant price fluctuations. For instance, certain indices have doubled since May 2024, and the ChiNext index rose over 150% from May 2018 to March 2021 [4]. - Conversely, value style bull markets tend to exhibit more stable growth, resembling a slow bull market typical in European and American markets. This style requires patience and a long-term holding strategy to realize returns [5]. Group 3: Investment Strategy - When opportunities arise for both growth and value styles, the company considers a balanced investment approach, such as combining indices like CSI A500+ and CSI Dividend [6]. - Growth style investments are likened to offensive strategies (sword), while value style investments are seen as defensive (shield). The allocation between these styles is adjusted based on their valuation levels, with higher allocations to undervalued styles [6].

Group 1 - The core issue of "missing out" in a rising market is more painful for investors than experiencing losses in a declining market, highlighting the psychological impact of "loss aversion" [1][2] - Professional investors often face the dilemma of whether to buy into a rising market or risk missing further gains, leading to a sense of frustration when they miss opportunities [1][2] - The lack of confidence in market strength and insufficient research preparation are primary reasons why professional investors may miss out on gains [2][3] Group 2 - The cyclical nature of the stock market, characterized by alternating strong and weak phases, contributes to investor hesitation in participating during early stages of a market upturn [2][3] - Successful investors often focus on individual stocks through in-depth fundamental analysis, allowing them to remain unaffected by broader market fluctuations [3][4] - A well-prepared research team with a strong understanding of specific sectors or companies can mitigate the risk of missing out on market opportunities [4][5] Group 3 - Investors need to broaden their understanding of market adjustments, recognizing that adjustments can take various forms beyond just significant declines in broad indices [5][6] - The current market is described as healthy, with potential for adjustments, but no signs of a market turning point are evident, suggesting a strategy of maintaining high positions [6][7] - In a strong market, it is advised to actively seek opportunities in undervalued sectors rather than waiting for adjustments, as this can lead to missed opportunities [6][7]

Group 1 - The core issue of investors experiencing "踏空" (missing out on market gains) is more painful than losing money in a downturn, as it stems from "loss aversion" psychology [1][2] - Professional investors often face the challenge of missing out on gains due to a lack of confidence in market strength and insufficient research preparation [2][3] Group 2 - The first reason for missing out is a lack of confidence in market strength, leading investors to perceive initial market uptrends as mere rebounds rather than the start of a strong rally [3][4] - The second reason is the failure to conduct thorough research on individual stocks or sectors, resulting in a lack of a solid "base" for investment decisions [4][5] Group 3 - Investors need to have a comprehensive understanding of market adjustments, recognizing that adjustments can take various forms beyond just significant declines in broad indices [6][7] - The current market is healthy, with no signs of a turning point, suggesting that maintaining a high position and optimizing the portfolio is advisable [8] Group 4 - In a strong market, it is essential to actively invest in promising sectors rather than waiting for adjustments, as doing nothing can lead to missed opportunities [9][10] - Companies in undervalued sectors may present attractive investment opportunities, even if they are not the current market leaders [10]

Quantitative Models and Construction Valuation Spread-Based Style Factor Model - **Model Name**: Valuation Spread-Based Style Factor Model - **Model Construction Idea**: This model uses the valuation spread between long and short groups of a factor (e.g., BP) to construct a style factor's odds indicator. It emphasizes a "left-side" signal characteristic, meaning "buy when it drops significantly, sell when it rises significantly" [7][11] - **Model Construction Process**: 1. Select a factor and sort stocks by factor values into five groups (industry-neutral, grouping within each industry and then merging) to determine the long and short groups [11] 2. Calculate the median log(BP) for the long and short groups, where log transformation ensures BP follows a normal distribution [11] 3. Compute the raw valuation spread as the difference between the median log(BP) of the long group and the short group [11] 4. Standardize the raw valuation spread using a rolling six-year z-score [11] - **Model Evaluation**: The valuation spread demonstrates a certain degree of differentiation in predicting the future one-year returns of style factors. It is more suitable for identifying left-side signals [7] --- Quantitative Factors and Construction Dividend Yield Factor - **Factor Name**: Dividend Yield Factor - **Factor Construction Idea**: Represents the valuation spread of the dividend yield factor, indicating the relative attractiveness of value-oriented stocks [14] - **Factor Construction Process**: Constructed using the valuation spread methodology described above, with the dividend yield as the underlying factor [14] PB Factor - **Factor Name**: PB Factor - **Factor Construction Idea**: Represents the valuation spread of the price-to-book ratio (PB), reflecting the relative valuation of value-oriented stocks [14] - **Factor Construction Process**: Constructed using the valuation spread methodology described above, with PB as the underlying factor [14] PE Factor - **Factor Name**: PE Factor - **Factor Construction Idea**: Represents the valuation spread of the price-to-earnings ratio (PE), indicating the relative valuation of value-oriented stocks [14] - **Factor Construction Process**: Constructed using the valuation spread methodology described above, with PE as the underlying factor [14] Quality Factor - **Factor Name**: Quality Factor - **Factor Construction Idea**: Represents the valuation spread of the ROE factor, typically associated with "core assets" like high-quality companies [20] - **Factor Construction Process**: Constructed using the valuation spread methodology described above, with ROE as the underlying factor [20] Low Volatility Factor - **Factor Name**: Low Volatility Factor - **Factor Construction Idea**: Represents the valuation spread of low-volatility stocks, often linked to "stable assets" [20] - **Factor Construction Process**: Constructed using the valuation spread methodology described above, with volatility as the underlying factor [20] Momentum Factor - **Factor Name**: Momentum Factor - **Factor Construction Idea**: Represents the valuation spread of momentum stocks, often associated with stocks heavily held by public funds [20] - **Factor Construction Process**: Constructed using the valuation spread methodology described above, with momentum as the underlying factor [20] --- Backtesting Results of Factors Valuation Spread-Based Style Factor Model - **Odds Indicator**: Demonstrates differentiation in predicting future one-year returns of style factors, with higher odds indicating better opportunities [7][8] Dividend Yield Factor - **Odds**: 0.47 standard deviations, categorized as medium odds [14] PB Factor - **Odds**: 0.63 standard deviations, categorized as medium-high odds [14] PE Factor - **Odds**: 0.82 standard deviations, categorized as medium-high odds [14] Quality Factor - **Odds**: 1.17 standard deviations, categorized as high odds [20] Low Volatility Factor - **Odds**: 1.75 standard deviations, categorized as very high odds [20] Momentum Factor - **Odds**: -1.36 standard deviations, categorized as low odds [20]

Market Overview - The market experienced a pullback today, with the CSI All Share Index down by 1.74%, returning to a rating of 4.3 stars [1] - Large-cap stocks saw slight declines, while small-cap stocks experienced more significant drops [2] - Recent market trends indicate rapid style rotation [3][8] Style Rotation - The previously underperforming value style saw gains today, while the growth style, which had performed well yesterday, faced declines [4][6] - Value and dividend indices showed slight increases, with the banking index rising significantly [5] - The ChiNext and STAR Market experienced notable declines [7] Growth and Value Dynamics - The growth and value styles frequently switch, with a notable speed of change [9] - This year, growth styles have led the market, with some STAR Market indices reaching overvalued levels [10] - The ChiNext has seen less growth compared to the STAR Market but has still achieved a relatively high valuation [11] Volatility and Valuation - Following the increase in valuations, the volatility of growth styles is expected to be higher than last year's undervalued state [12] - Investors should prepare psychologically for market fluctuations [13] Hong Kong Market - The Hong Kong stock market also experienced an overall decline, but the drop was less severe compared to the A-share market [14] - The Hang Seng Index showed slight declines but remained relatively resilient [15] Investment Strategies - The article discusses various investment strategies, including a pause in regular investments for certain indices that have returned to normal valuations, with a focus on maintaining positions until undervalued opportunities arise [17][25] - The "Monthly Salary Treasure" investment strategy, which consists of 40% stocks and 60% bonds, is highlighted as a stable market participation method [45][46] Pension Fund Insights - The article provides insights into personal pension fund investments, emphasizing the importance of patience and the potential for future undervalued opportunities [39][40] - The performance of selected pension index funds, such as the CSI A500 and CSI Dividend, is noted, with the former showing a 19% profit and the latter around 6% [38]

Group 1: Fixed Income Strategies - The strategy for credit bonds and sci-tech bonds ETFs focuses on four main considerations: cash retention versus bond allocation, seeking flexibility versus static returns, duration versus credit risk for yield, and the duration structure of holdings being either barbell or bullet [4] - Historical review indicates that cash retention is typically a short-term phenomenon during periods of weak market conditions, and the likelihood of holding cash is low [4] - In the current low interest rate and low spread environment, actively seeking static returns through credit bond ETFs is not cost-effective, and these ETFs tend to extend duration to seek flexibility when interest rates stabilize or decline [4][5] Group 2: Credit Bond ETF Preferences - Given the current market environment, the preference for sci-tech bond ETFs may align with that of credit bond ETFs during correction periods, focusing on high flexibility and high ratings while favoring a barbell strategy with increased allocation to long-duration bonds [5] - The credit dimension shows that during volatile periods, credit bond ETFs have increased their allocation to high-rated bonds, and this trend is expected to continue for sci-tech bond ETFs, maintaining a dominant position in AAA-rated and above securities [5] Group 3: Selection Strategies for Sci-Tech Bonds - The selection strategy for sci-tech bonds during expansion expectations is based on the excess spread between component bonds and non-component bonds, with a narrowing spread observed as of August 29 [6] - There is an anticipated increase in demand for perpetual (non-subordinated) sci-tech bonds due to expansion expectations, with three of the first ten sci-tech bond ETFs including such bonds [6] - The issuance space for new sci-tech bonds has increased, with an average weekly issuance of 427 billion since July, indicating a growing opportunity for new issuances [6] Group 4: Market Trends in Consumer Goods - The food and beverage sector is expected to show performance advantages in growth, with a stable revenue scale and a deceleration in profit growth, particularly in the beverage and snack segments [15] - The overall performance of the food and beverage sector in Q2 2025 showed a slight increase in revenue and a decrease in net profit, with specific segments like soft drinks and snacks experiencing significant growth [16][17] - The high-end and sub-high-end liquor segments are facing pressure on demand, leading to a notable divergence in performance among brands, with top brands maintaining stability while others struggle [16]

Core Viewpoint - The article discusses the structural bull market in A-shares, highlighting the rotation between growth and value styles, and how investors can navigate these changes to optimize returns [1][57]. Group 1: Market Performance - Since the beginning of 2025, the growth style has significantly outperformed, with the ChiNext Index rising by 38.82%, while the Hong Kong-Shenzhen Dividend Low Volatility Index only increased by 13.52% [3][5]. - Historical performance shows that from 2016 to 2018, value style was strong, followed by growth style dominance from 2019 to 2020, and then a resurgence of value style from 2021 to 2024 [5][29]. Group 2: Style Rotation Characteristics - A-shares exhibit a characteristic of style rotation, where different styles do not move in tandem but rather alternate in performance [5][33]. - Structural bull markets are common in A-shares, where certain sectors rise significantly while others lag behind or even decline [6][34]. Group 3: Investment Strategies - Investors are advised to diversify their portfolios across different styles to benefit from whichever style performs well [47]. - A balanced approach with regular rebalancing can lead to higher returns and lower volatility compared to a single-style investment [50][52]. Group 4: Valuation Insights - The article provides insights into current valuations of various indices, indicating that many value and growth indices are still at relatively attractive levels [11][12]. - The valuation table includes key metrics such as earnings yield, price-to-earnings ratio, and dividend yield for different indices, aiding investors in making informed decisions [13][14].

Market Overview - The market experienced a decline of 1% during the day but rebounded significantly before closing, with the CSI All Share Index rising by 1.5% [1] - Both large, medium, and small-cap stocks saw an increase, although small-cap stocks rose less [2][3] - Recently, the ChiNext and STAR Market have been strong, attracting funds, which led to a decline in small-cap stocks [5] Growth vs. Value Styles - Growth styles have been strong, while value styles have been relatively weak [6] - Dividend and value indices saw slight increases, indicating some resilience in value stocks [7] - The A-share market has shown a pattern of style rotation, with growth styles outperforming value styles in certain years [21][32] Hong Kong Market Dynamics - The Hong Kong stock market continued to decline, particularly in technology stocks, while dividend and value styles remained stable [8][10] - Since the Chinese New Year, the Hong Kong market has experienced a stronger rally compared to A-shares, with technology stocks in Hong Kong outperforming A-share technology stocks by 20-30% at one point [11] - A-shares have recently shown a catch-up rally, while the Hong Kong market remains relatively subdued [12] Bond Market Insights - The bond market has been weak, with long-term pure bonds experiencing significant declines [15][16] - The yield on 10-year government bonds is currently around 1.7-1.8%, which is not considered attractive compared to historical averages [17][18] - Fixed income plus products, which include some equity exposure, have remained stable this year [19] Historical Performance of Growth and Value Styles - Historical data shows that from 2020 to 2025, the performance of dividend low-volatility and ChiNext indices has varied significantly, with growth styles outperforming in some years and value styles in others [24][28][30] - The average return of dividend low-volatility stocks since early 2020 is approximately 68%, while the ChiNext has returned around 62% [30][31] - The rotation of styles typically occurs every 3-5 years, with recent years favoring value styles [34][37] Investment Strategies - The company suggests a balanced approach to investing in both growth and value styles, adjusting the allocation based on valuation levels [65][66] - Growth styles are likened to offensive strategies, while value styles are seen as defensive, requiring different management approaches [66][67] - The company emphasizes the importance of patience and understanding market cycles for long-term investment success [56][76]

Group 1 - The small-cap stocks have struggled in recent years compared to the S&P 500 and Nasdaq 100, but there are signs of a potential long-term bull market returning for these stocks as risk factors seem to be re-emerging [1][2] - The Russell 2000 index, a benchmark for small-cap stocks, last reached a historical high on November 8, 2021, and is currently only about 3% away from that level, marking the longest period without a new high since the dot-com bubble burst around 2000 [1][2] - Recent optimism in the market regarding potential interest rate cuts by the Federal Reserve has led to increased investment sentiment in small-cap stocks, which have outperformed the S&P 500 and Nasdaq in recent weeks [1][2] Group 2 - Bank of America indicates that recent economic data shows resilience in the U.S. economy, suggesting a "soft landing," and that small-cap stocks, particularly micro and small caps, are poised for structural opportunities [2][3] - The expectation of interest rate cuts is expected to benefit small-cap stocks significantly, as they are more sensitive to changes in the Fed's benchmark rates and rely heavily on floating-rate loans [2][3] Group 3 - The Russell 2000 index has risen 7.3% in August, leading the U.S. stock market, and is expected to gain further momentum with the anticipated interest rate cuts from the Federal Reserve [3][5] - Analysts believe that the potential for continued upward movement in small-cap stocks exists, especially as regional banks and small tech and industrial companies, which hold significant weight in the Russell 2000, may benefit from looser monetary policy [3][5] Group 4 - The iShares Russell 2000 ETF (IWM) is trading above $230, breaking a critical technical level, which is seen as a bullish signal for small-cap stocks [5][6] - There is a prevailing sentiment that small-cap stocks may outperform large-cap stocks and tech giants during the Fed's anticipated rate-cutting cycle, as many small-cap stocks remain undervalued compared to the high valuations of major tech companies [5][6] Group 5 - Despite the bullish outlook, some traders remain skeptical about the sustainability of the small-cap rally, with concerns that the performance of large tech stocks could influence the fate of small-cap stocks [7][8] - The market dynamics suggest that if large tech stocks maintain their upward trajectory, it could encourage a rotation of funds into small-cap stocks, but a decline in tech stock valuations could pose risks for small-cap performance [7][8] Group 6 - To capitalize on the potential breakout of the Russell 2000 index, professionals recommend buying call spreads on the IWM ETF, allowing investors to hedge while capturing some upside [8] - This strategy is seen as a way for cautious investors to engage with small-cap stocks without fully committing capital, especially after previous disappointments with false breakouts [8]