1. Report Industry Investment Rating - The operation rating for CITIC Five-Style - Stable is ☆☆★ [2] 2. Core Viewpoints - As of the week ending on January 23, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 1.75%, 0.21%, and 2.08% respectively [3] - In the public fund market, the enhanced index strategy performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non-ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] - Among the CITIC Five-Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month-on-month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3] 3. Summary by Related Catalogs Fund Market Review - The enhanced index strategy in the public fund market performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non - ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] CITIC Five - Style Analysis - Among the CITIC Five - Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month - on - month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] Barra Factor Analysis - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] Style Timing Model - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3]

Quantitative Factors and Construction Methods Factor Name: bp - **Construction Idea**: Represents the valuation level of a stock by comparing its book value to its market value [13] - **Construction Process**: Calculated as: $ bp = \frac{\text{Current Net Asset}}{\text{Current Total Market Value}} $ [13] Factor Name: bp three-year percentile - **Construction Idea**: Measures the relative valuation of a stock over the past three years [13] - **Construction Process**: Represents the percentile rank of the current bp value within the last three years [13] Factor Name: Quarterly ep - **Construction Idea**: Evaluates profitability by comparing quarterly net profit to net assets [13] - **Construction Process**: Calculated as: $ \text{Quarterly ep} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ [13] Factor Name: Quarterly ep one-year percentile - **Construction Idea**: Tracks the relative profitability of a stock over the past year [13] - **Construction Process**: Represents the percentile rank of the current quarterly ep value within the last year [13] Factor Name: Quarterly sp - **Construction Idea**: Measures operational efficiency by comparing quarterly revenue to net assets [13] - **Construction Process**: Calculated as: $ \text{Quarterly sp} = \frac{\text{Quarterly Revenue}}{\text{Net Assets}} $ [13] Factor Name: Quarterly sp one-year percentile - **Construction Idea**: Tracks the relative operational efficiency of a stock over the past year [13] - **Construction Process**: Represents the percentile rank of the current quarterly sp value within the last year [13] Factor Name: Quarterly net profit YoY growth - **Construction Idea**: Measures the growth rate of quarterly net profit compared to the same period last year [13] - **Construction Process**: Calculated as: $ \text{Quarterly Net Profit YoY Growth} = \frac{\text{Current Quarter Net Profit} - \text{Last Year Same Quarter Net Profit}}{\text{Last Year Same Quarter Net Profit}} $ [13] Factor Name: Standardized unexpected earnings - **Construction Idea**: Quantifies the deviation of current earnings from expected levels based on historical trends [13] - **Construction Process**: Calculated as: $ \text{Standardized Unexpected Earnings} = \frac{\text{Current Quarter Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average YoY Growth of Last 8 Quarters})}{\text{Standard Deviation of YoY Growth of Last 8 Quarters}} $ [13] Factor Name: Dividend yield - **Construction Idea**: Measures the return to shareholders through dividends relative to the stock's market value [13] - **Construction Process**: Calculated as: $ \text{Dividend Yield} = \frac{\text{Last Year Dividend}}{\text{Current Market Value}} $ [13] --- Factor Backtesting Results IC Performance - **bp**: Weekly IC = 7.22%, Monthly IC = 3.46%, Yearly IC = 1.87%, Historical IC = 2.34% [9] - **bp three-year percentile**: Weekly IC = -1.28%, Monthly IC = 1.67%, Yearly IC = 2.48%, Historical IC = 1.68% [9] - **Quarterly ep**: Weekly IC = 6.27%, Monthly IC = 0.71%, Yearly IC = -0.44%, Historical IC = 1.09% [9] - **Quarterly ep one-year percentile**: Weekly IC = 7.04%, Monthly IC = 2.84%, Yearly IC = 0.95%, Historical IC = 1.72% [9] - **Quarterly sp**: Weekly IC = 2.97%, Monthly IC = 0.68%, Yearly IC = 0.50%, Historical IC = 0.72% [9] - **Quarterly sp one-year percentile**: Weekly IC = -1.88%, Monthly IC = 2.56%, Yearly IC = 2.85%, Historical IC = 1.83% [9] - **Quarterly net profit YoY growth**: Weekly IC = 7.35%, Monthly IC = 2.60%, Yearly IC = 0.60%, Historical IC = 1.28% [9] - **Standardized unexpected earnings**: Weekly IC = 7.52%, Monthly IC = 3.04%, Yearly IC = 0.60%, Historical IC = 0.97% [9] - **Dividend yield**: Weekly IC = 3.43%, Monthly IC = 0.78%, Yearly IC = -0.36%, Historical IC = 0.61% [9] Long-only Portfolio Performance - **bp**: Weekly Excess Return = 0.39%, Monthly Excess Return = 0.53%, Yearly Excess Return = 1.50%, Historical Cumulative Excess Return = 31.88% [11] - **bp three-year percentile**: Weekly Excess Return = -0.16%, Monthly Excess Return = -1.08%, Yearly Excess Return = 0.42%, Historical Cumulative Excess Return = -2.91% [11] - **Quarterly ep**: Weekly Excess Return = 0.56%, Monthly Excess Return = 1.22%, Yearly Excess Return = 3.02%, Historical Cumulative Excess Return = 30.83% [11] - **Quarterly ep one-year percentile**: Weekly Excess Return = 0.24%, Monthly Excess Return = 0.71%, Yearly Excess Return = 3.76%, Historical Cumulative Excess Return = 32.90% [11] - **Quarterly sp**: Weekly Excess Return = -0.25%, Monthly Excess Return = 0.10%, Yearly Excess Return = 1.18%, Historical Cumulative Excess Return = -2.98% [11] - **Quarterly sp one-year percentile**: Weekly Excess Return = -0.43%, Monthly Excess Return = 0.20%, Yearly Excess Return = 8.26%, Historical Cumulative Excess Return = -0.57% [11] - **Quarterly net profit YoY growth**: Weekly Excess Return = 0.47%, Monthly Excess Return = 1.56%, Yearly Excess Return = 9.60%, Historical Cumulative Excess Return = 36.36% [11] - **Standardized unexpected earnings**: Weekly Excess Return = 0.57%, Monthly Excess Return = 0.97%, Yearly Excess Return = -3.21%, Historical Cumulative Excess Return = 7.84% [11] - **Dividend yield**: Weekly Excess Return = 0.63%, Monthly Excess Return = 1.27%, Yearly Excess Return = -4.27%, Historical Cumulative Excess Return = 12.82% [11]