- The "PB-ROE-50" strategy is based on the idea of identifying market expectation gaps and enhancing portfolio returns by incorporating surprise factors such as SUE and ROE year-on-year growth. It selects 50 stocks to construct the portfolio using the PB-ROE pricing model derived from Wilcox (1984)[29][33][36] - The "PB-ROE-50" strategy achieved positive excess returns in August 2025 for the CSI 800 and the entire market stock pools, with excess returns of 5.22% and 7.61%, respectively. However, it recorded a negative excess return of -0.54% for the CSI 500 stock pool[29][33][36] - The "Upward Count Proportion Sentiment Indicator" calculates the proportion of stocks in the CSI 300 index with positive returns over the past N days. It is used to gauge market sentiment, with higher proportions indicating optimistic sentiment. The formula is: CSI 300 Index N-day Upward Count Proportion = Number of CSI 300 Index constituent stocks with returns > 0 in the past N days / Total number of constituent stocks[12][13][15] - The "Upward Count Proportion Sentiment Indicator" is smoothed using two different window periods (N1=50, N2=35) to generate fast and slow lines. When the fast line exceeds the slow line, it signals a bullish market sentiment[13][15][16] - The "Moving Average Sentiment Indicator" uses eight moving averages (parameters: 8, 13, 21, 34, 55, 89, 144, 233) to assess the sentiment state of the CSI 300 index. The indicator assigns values based on the range of the moving averages, with values of -1, 0, or 1 corresponding to different sentiment states[19][24][23] - The "Moving Average Sentiment Indicator" signals a bullish sentiment when the current price exceeds the values of more than five moving averages[19][24][23] - The "Fund Concentration Degree Tracking" uses the standard deviation of cross-sectional returns of concentrated fund portfolios as a proxy for fund concentration. Lower standard deviation indicates higher concentration, while higher standard deviation suggests concentration is breaking down[25][28][26] - The "Institutional Research Strategy" includes public fund research stock selection and private fund research tracking strategies. It selects stocks based on the number of times a company is researched and its relative performance before the research. In August 2025, the public fund strategy recorded an excess return of -1.33%, while the private fund strategy recorded -5.05%[37][39][40] - The "Relaxed Interest-Bearing Debt Ratio" is calculated as: (Short-term loans + Interest payable + Transactional financial liabilities + Payable short-term bonds + Lease liabilities + Long-term loans + Payable bonds + Long-term payables + Other current liabilities + Liabilities classified as held-for-sale + Non-current liabilities due within one year) / Total assets. It is used to identify stocks with high liquidity risk[42][43][45] - The "Financial Cost Burden Ratio" is calculated as: Financial expenses: Interest expenses / Earnings before interest and taxes (EBIT). It measures the pressure companies face in paying interest costs. Stocks with high ratios are flagged for potential financial risk[46][47][48]

Market Sentiment Tracking - As of February 28, 2025, the proportion of rising stocks in the CSI 300 index has decreased to below 60%, indicating a decline in market sentiment [2] - The momentum sentiment indicators show a downward trend in the short-term line and an upward trend in the long-term line, suggesting a cautious outlook for the near future [2] - The short-term sentiment indicators for the CSI 300 index remain in a prosperous sentiment range [2] Fund Cohesion Tracking - As of February 28, 2025, the degree of fund cohesion remains low, with a high level of fund clustering observed [3] - There has been a slight decline in the excess returns of clustered stocks and funds over the past month [3] PB-ROE-50 Strategy Tracking - In February 2025, the PB-ROE-50 strategy experienced a pullback in excess returns across various stock pools [4] - The excess return for the CSI 500 stock pool was -3.34%, for the CSI 800 stock pool was -5.32%, and for the overall market stock pool was -2.54% [4] Institutional Research Strategy Tracking - The private equity research tracking strategy showed significant excess returns in February [5] - The public fund research selection strategy underperformed the CSI 800 with an excess return of -0.57%, while the private equity research tracking strategy outperformed with an excess return of 2.88% [5] Negative List - As of February 28, 2025, several stocks with high interest-bearing debt ratios ranked poorly, including Zhongyida, Guiding Compass, and others, with rankings of 100 or lower [6] - Stocks with high financial cost burden ratios include Ningbo Fangzheng, Ganfeng Lithium, and others, all with ratios exceeding 10 times [6]