Investment Strategy Overview - The report emphasizes a fundamental-driven style factor switch, awaiting confirmation of trend movements for 2026 [1][4][8] Factor Performance - Growth factors have shown strong performance, while low volatility and momentum factors have retreated, indicating a rapid rotation among market sectors and themes this year [4][10][12] - Year-to-date performance of various factors in different indices shows growth at 37.93% in CSI 300, while low volatility and liquidity factors have negative returns [10][12] Macro Quantitative Framework - The macroeconomic cycle has shifted more frequently in the past three years, with leading indicators suggesting a downturn in the first half of 2025, followed by a recovery signal towards the end of the year [4][38][43] - The liquidity indicators have shown a weak overall trend, with market trading rates rising, indicating a correction in liquidity for the second half of 2025 [50][54][60] - Credit indicators have shown a preference for expansion in the first half of 2025, transitioning to contraction by November [65][66] 2026 Equity Quantitative Outlook - The report anticipates a fundamental-driven style switch, with a focus on economic fundamentals becoming the key driver, transitioning from liquidity concerns to economic and inflation factors [4][86][91] - Market trends indicate a shift to a consolidation phase since August, with an increasing probability of trend confirmation from late October [92][97] - Emotional indicators have shown a supportive trend since July, with overall sentiment remaining warm and moderate [102][105] Industry Rotation and Focus - The speed of industry rotation has slowed down in 2025, with potential for a main trend to form, particularly in sectors with lower crowding and emerging trends [106][112] - Key sectors to watch include electronics and computing, which have shown lower crowding and are in a trend initiation phase [113][116]

Core Insights - The article discusses the integration of macro quantification and factor momentum to identify resonant factors for investment strategies, emphasizing the importance of economic, liquidity, and credit indicators in shaping market expectations [1][3]. Group 1: Factor Scores and Market Indicators - The macroeconomic indicators show signs of recovery, with economic growth expected to improve, while liquidity is slightly weak and credit conditions are tightening [3][4]. - Value factors have seen a significant increase in scores, becoming resonant factors in the CSI 300 index, while growth factors have declined [4][6]. - The article presents a table of factor scores across different indices, indicating a preference for value and low volatility factors in the current market environment [4]. Group 2: Economic Outlook and Leading Indicators - The economic leading indicators model suggests that the economy is in a rising cycle since September 2025, with a slight upward trend expected in the coming months [6][9]. - Specific indicators such as PMI and fixed asset investment are analyzed, showing a mixed outlook with some indicators in a rising phase while others are nearing a peak [11][12]. - The article highlights the importance of monitoring leading indicators to anticipate future economic cycles and potential downturns [9][10]. Group 3: Liquidity and Credit Conditions - The liquidity environment is assessed as slightly loose despite some tightening in interest rates, with a focus on the net monetary supply and excess reserve rates [12][16]. - Credit indicators show a mixed picture, with overall credit volume and structure remaining low, but some signs of recovery are noted [17][18]. - The article suggests a cautious approach to credit-sensitive investments due to the ongoing tightening in credit conditions [17]. Group 4: Asset Allocation and Market Focus - The asset allocation strategy is adjusted to reflect a neutral to positive stance on A-shares, while reducing exposure to gold and bonds due to changing market dynamics [18]. - The focus on PPI and liquidity as key market drivers indicates a shift in investor sentiment towards these macroeconomic variables [19]. - The article emphasizes the importance of selecting industries that are sensitive to economic changes but less affected by credit conditions, with a preference for sectors like utilities and coal [21].

Group 1 - The article emphasizes the importance of combining macro quantification with factor momentum to select resonant factors, particularly focusing on growth factors while considering market conditions [1][4] - Current macro indicators show economic decline, slightly loose liquidity, and improving credit indicators, leading to a correction in the direction of economic downturn and tight liquidity [3][4] - The article identifies that the stock pools are still biased towards growth factors, especially in the CSI 300 and CSI 1000 indices, while the CSI 500 leans more towards fundamental factors [4][5] Group 2 - Economic leading indicators suggest a potential slight increase after reaching a short-term bottom in August 2025, despite recent declines in PMI and new orders [6][8] - Various leading indicators are analyzed, indicating that many are in a downward cycle, with expectations for some to reach their bottom by early 2026 [9][10] - The liquidity environment is assessed as slightly loose, with interest rates remaining stable and monetary supply indicators suggesting a continuation of this trend [12][14] Group 3 - Credit indicators are generally weak, but the overall credit environment remains positive, with some signs of recovery in recent months [15][16] - The article recommends increasing stock allocations due to improving equity trends, while reducing allocations in other asset classes [16][17] - The focus remains on liquidity as the most significant variable affecting market dynamics, with credit and inflation also being monitored [18][20] Group 4 - The article suggests industry selection based on economic sensitivity and credit sensitivity, highlighting sectors that are less sensitive to economic downturns but more responsive to credit conditions [20][21] - Industries identified as having high growth potential include electronics, media, and beauty care, which are less affected by economic fluctuations [20][21]

Group 1 - The report indicates a weakening of profit expectation indicators, leading to a preference for growth-oriented asset allocation. The economic recovery is noted, but the micro mapping shows a shift towards weaker profit expectations, resulting in a focus on factors that are less sensitive to economic changes and more sensitive to credit conditions [4][7][9] - The economic outlook is positioned at the late stage of an upward trend, with expectations of reaching a peak in June 2025 and entering a downward cycle thereafter. Recent PMI data shows a decline, indicating a potential slowdown [11][14] - Liquidity is maintained at a slightly tight level, with short-term interest rates showing a slight decline while long-term rates have decreased more significantly. Overall liquidity indicators remain neutral to slightly tight [24][27] Group 2 - The report suggests reducing commodity positions in the asset allocation strategy, with a slight increase in A-share positions and a minor recovery in US stock positions. The commodity allocation has been reduced to zero [31] - Market focus has shifted towards liquidity, which has become a significant variable influencing market performance, especially following the recent upward trends in September [32] - In terms of industry selection, the report emphasizes choosing sectors that are less sensitive to economic fluctuations but more sensitive to credit conditions, highlighting industries with growth attributes [33]

Group 1 - The core viewpoint emphasizes the continued significance of low volatility factors as resonance factors in investment strategies, integrating macroeconomic quantitative insights with factor momentum [1][2] - The analysis indicates that the economic recovery is ongoing, liquidity is returning to a neutral-tight state, and credit indicators are improving, with no need for adjustments based on micro mappings [1][2] - The stock pool configurations for various indices such as CSI 300 and CSI 1000 show a consistent preference for low volatility and growth factors, with value factors also being selected in the CSI 500 index [2] Group 2 - Economic leading indicators are positioned in the late stage of an upward trend, with expectations of reaching a peak by June 2025 and entering a downward cycle by December 2025 [3][8] - Specific indicators such as PMI and fixed asset investment are showing positive trends, suggesting continued economic growth in the near term [3][9] - The liquidity environment is tightening, with short-term interest rates rising above their moving averages, indicating a shift towards a tighter monetary policy [11][15] Group 3 - Credit indicators have shown improvement, with social financing stock increasing for two consecutive months, reflecting a more favorable credit environment [16][18] - The asset allocation strategy suggests reducing bond and US stock positions while increasing allocations in A-shares and commodities, reflecting a bullish outlook on domestic markets [18][22] - The focus on liquidity as a key variable driving market performance indicates that fluctuations in liquidity will significantly impact stock volatility and overall market dynamics [19][22]