Group 1 - The report identifies three main factors influencing convertible bond performance: equity-debt price ratio, dollar liquidity, and large-small cap style [2][11][20] - The current economic environment is characterized by a recovery phase, but limited incremental benefits due to insufficient momentum from households and enterprises [2][12][39] - The dollar is expected to remain in a loose monetary environment, which historically supports equity markets [2][16][19] Group 2 - Convertible bonds are currently in a trading phase that follows the performance of underlying stocks, having experienced three cycles since 2018 [3][27][28] - The median price of convertible bonds as of November 3, 2025, is 132.72 yuan, placing it at the 99.3% historical percentile, indicating a high valuation level [4][34][35] - The median conversion premium is 27%, which is at the 55.3% historical percentile, suggesting a relatively high valuation in the current market [4][34][35] Group 3 - The report recommends a balanced investment strategy for convertible bonds, focusing on equity-like convertible bonds priced above 120 yuan, with specific recommendations for various sectors [5][39][41] - Recommended convertible bonds include those from financial consumption, public utilities, AI and robotics, as well as semiconductor and manufacturing sectors [5][39][41] Group 4 - The investor behavior analysis shows that the total outstanding convertible bond scale has decreased from 844.7 billion yuan in January 2025 to 759.5 billion yuan in October 2025, with funds increasing their holdings [29][31] - The report highlights a shift in investor composition, with funds increasing their share from 34.3% to 39.8% during the same period, while insurance institutions have reduced their holdings significantly [29][32]

Group 1: Small and Large Cap Style Rotation - The report suggests an overweight position in small-cap style for November based on quantitative model signals and calendar effects, as historical data indicates small caps tend to outperform in November [1][8]. - The current market capitalization factor valuation spread is 0.88, indicating that small caps still have room for growth compared to large caps, which are at historical high levels of 1.7 to 2.6 [8][16]. - Year-to-date, the small and large cap rotation quantitative model has achieved a return of 27.85%, with an excess return of 2.86% relative to the benchmark [8][9]. Group 2: Value and Growth Style Rotation - The monthly quantitative model signal for value style is 1, recommending an overweight position in value style for November [23][26]. - Year-to-date, the value-growth style rotation strategy has yielded a return of 19.95%, with an excess return of 1.35% compared to the equal-weighted benchmark [23][26]. - The current model indicates that fundamental, macroeconomic, and valuation dimensions are all pointing towards value [26][27]. Group 3: Factor Performance Tracking - In October, the dividend, momentum, and value factors achieved positive returns of 0.43%, 0.38%, and 0.15% respectively, while large-cap, volatility, growth, quality, and liquidity factors experienced negative returns [29][30]. - Year-to-date, the volatility, momentum, and growth factors have positive returns of 10.17%, 1.54%, and 1.29%, while liquidity, large-cap, dividend, quality, and value factors have negative returns [29][30].

Core Conclusions - The report indicates that after a peak in turnover rate during a bull market, there is often a period of sideways consolidation, with fast bull markets experiencing shorter consolidation periods and slow bull markets experiencing longer ones [2][3][9] - It is noted that after consolidation in a bull market, there is a high probability of a change in market style, particularly between large-cap and small-cap stocks, although the transition between growth and value styles does not follow a clear pattern [2][3][8] Market Style Changes During Bull Markets - In the slow bull market period from July to October 2020, the market style shifted from small-cap growth to large-cap growth after a consolidation phase lasting three and a half months. Strong sectors before the consolidation included food and beverage and electric equipment, while electronics and computers weakened afterward [3][11] - Historical examples from the fast bull market of 2005-2007 show that prior to the consolidation periods in June-August 2006, January-February 2007, and June-July 2007, the market styles were small-cap growth, large-cap value, and small-cap value respectively, transitioning to large-cap growth, small-cap value, and large-cap value after the consolidations [3][14][15][16] Current Market Assessment - The report suggests that the current market is likely in the mid-stage of a bull market, with expectations of continued upward movement in the fourth quarter following a narrow consolidation in September. The market is becoming less sensitive to current earnings, and structural profit-making effects have been observed for nearly a year [17][18] - The report highlights that the recent increase in turnover rates and concentrated trading in certain sectors may lead to adjustments, but it does not foresee significant negative impacts, maintaining a bullish outlook for the market [18][21] Sector Allocation Recommendations - The report recommends reallocating within the financial sector from banks to non-bank financials, as the latter is expected to show increased performance elasticity in the context of a rising bull market [22][23] - It also suggests focusing on sectors such as electric equipment, non-ferrous metals, and chemicals, with an emphasis on the potential for cyclical stocks to perform well in the coming months due to expected policy support for demand stabilization [22][23]

Report Industry Investment Rating No relevant content provided. Core View of the Report Last week, the major domestic stock indices rose across the board, with small and medium - cap indices outperforming large - cap indices. ETFs in different sectors showed mixed performance, and there were significant differences in capital flows among various sectors [1][8]. Summary According to the Table of Contents 1. Fund Market Overview 1.1 Stock Market Last week (2025/09/08 - 2025/09/12), major domestic stock indices all rose. Large - cap indices such as the CSI 300, SSE 50, and SSE Composite Index had weekly changes of 1.38%, 0.89%, and 1.52% respectively. Small and medium - cap indices like the CSI 500, CSI 1000, and ChiNext Index had changes of 3.38%, 2.45%, and 2.10% respectively. Style indices showed mixed performance, with the financial, cyclical, consumer, growth, and stable style indices changing by 0.24%, 1.87%, 0.88%, 3.56%, and 1.14% respectively. Among the growth style, the large - cap, mid - cap, and small - cap growth style indices changed by 2.30%, 2.26%, and - 1.20% respectively. The recent trading activity of A - shares has been oscillating upwards and is currently close to the level in December 2024 [1][8][9]. 1.2 Bond Market and Futures Market Last week, the SSE Convertible Bond Index changed by 0.33%. Pure - bond indices showed mixed performance, with the SSE Treasury Bond, SSE Corporate Bond, and Shenzhen Local Government Bond indices changing by - 0.19%, 0.03%, and - 0.18% respectively. The main contracts of major stock index futures all rose, with the CSI 300, SSE 50, and CSI 500 futures changing by 1.63%, 1.00%, and 3.83% respectively. The prices of 10 - year, 5 - year, and 2 - year Treasury bond futures changed by - 0.16%, 0.07%, and 0.01% respectively [15][16]. 1.3 Commodity Market In the past week, the commodity market showed mixed performance. The Nanhua Precious Metals Index, CRB Commodity Index, and CRB Metal Spot Index changed by 2.34%, 1.33%, and 1.17% respectively. The main contracts of domestic key commodity futures also showed mixed performance. For example, the SHFE Silver, SHFE Gold, and DCE Iron Ore main contracts changed by 2.79%, 2.41%, and 1.59% respectively [18][21]. 2. ETF Market行情统计 The report selects representative ETFs in different sectors of comprehensive and industry themes for long - term tracking. By classifying these ETFs into large - and small - cap styles and monitoring indicators such as changes in circulating shares, net buying funds, and trading volume, it can serve as a reference for market style switching and capital flows [23]. 2.1 Domestic Stock - Type ETF Trading Activity Ranking Using the weekly fund turnover rate as a measure of ETF trading activity, last week's trading hotspots were mainly concentrated in comprehensive indices such as ChiNext 50 and ChiNext, as well as sectors such as semiconductors, home appliances ETF, and bank ETF [24]. 3. Large - and Small - Cap Style Monitoring 3.1 Comprehensive Stock ETF As of last week, the trading volume of comprehensive ETF funds was 103.231 billion yuan, a change of - 29.2 billion yuan from the previous week. Among them, the trading volume of large - and mid - cap style comprehensive ETFs was 38.176 billion yuan, a change of - 10.858 billion yuan; the trading volume of small - and mid - cap comprehensive ETFs was 67.061 billion yuan, a change of - 18.634 billion yuan. The on - site share of comprehensive ETF funds was 352.087 billion shares, a change of - 16.62 billion shares from the previous week. Among them, the on - site share of large - and mid - cap style comprehensive ETFs was 239.009 billion shares, a change of - 7.75 billion shares; the on - site share of small - and mid - cap comprehensive ETFs was 113.078 billion shares, a change of - 8.87 billion shares [26]. 3.2 Theme Stock ETF As of last week, the average weekly change rate of 32 theme ETFs was 2.83%. The average weekly change rate of large - cap style ETFs was 1.55%, and that of small - and mid - cap style ETFs was 3.83%. The total trading volume of the tracked theme ETFs was 93.485 billion yuan, a change of - 28.186 billion yuan from the previous week. Among them, the trading volume of large - cap style ETFs was 52.494 billion yuan, a change of - 8.399 billion yuan; the trading volume of small - and mid - cap style ETFs was 40.992 billion yuan, a change of - 197.87 billion yuan. The on - site share of the tracked theme ETFs was 420.971 billion shares, an increase of 47.27 billion shares from the previous week. Among them, the on - site share of large - and mid - cap style theme ETFs was 212.673 billion shares, an increase of 78.16 billion shares; the on - site share of small - and mid - cap style theme ETFs was 208.298 billion shares, a change of - 30.89 billion shares [27]. 4. Sector Capital Flow Tracking As of last week, among comprehensive ETFs, the top three in terms of returns were the Innovation and Entrepreneurship 50 ETF, 500ETF, and 1000ETF, with changes of 3.91%, 3.29%, and 2.42% respectively. The last three were the 50ETF, ChiNext 50, and 300ETF, with changes of 1.04%, 1.43%, and 1.47% respectively. Among industry - theme ETFs, the top three were the Chip ETF, Semiconductor 50, and Electronic ETF, with changes of 7.79%, 7.62%, and 7.11% respectively. The last three were the Pharmaceutical ETF, Biomedical, and Bank ETF, with changes of - 1.12%, - 1.08%, and - 0.72% respectively. In terms of capital flow, among comprehensive ETFs, the important broad - based index CSI 300 had capital outflows, while the ChiNext and CSI 500ETF had capital inflows. In industry themes, multiple important sectors such as securities and non - ferrous metals had significant capital inflows, while semiconductor chips had capital outflows [31]. 5. Commodity ETF Last week, the tracked commodity ETF funds showed mixed performance. The Gold ETF, Boshi Gold, Soybean Meal ETF, Non - Ferrous Metals Futures, and Energy and Chemical ETF changed by 2.30%, 2.31%, 0.75%, 1.40%, and - 0.84% respectively. The overall on - site share of the tracked commodity ETFs increased by 278 million shares compared with the previous week, and the overall trading volume changed by - 5.371 billion yuan compared with the previous week [36]. 6. Overseas ETF Last week, among the tracked overseas ETF funds, the Nasdaq ETF, H - share ETF, and Hang Seng ETF changed by 0.63%, 3.40%, and 3.77% respectively. The overall on - site share of the tracked overseas ETF funds changed by - 124 million shares compared with the previous week, and the overall trading volume changed by - 1.175 billion yuan compared with the previous week [38]. 7. Money - Market ETF As of the end of last week, the overnight SHIBOR was 1.37%, an increase of 0.05% from the previous week; the one - week SHIBOR was 1.47%, an increase of 0.03% from the previous week. The seven - day annualized yield of Huabao Tianyi decreased by - 0.01% from the previous week, and that of Yinhua Rili decreased by - 0.14% from the previous week. In terms of on - site shares, the on - site share of Huabao Tianyi was 68.379 billion shares, a change of - 619 million shares from the previous week; the on - site share of Yinhua Rili was 70.266 billion shares, a change of - 7.967 billion shares from the previous week [42].