Report Industry Investment Rating - The report does not mention the industry investment rating. Core Viewpoints - As of the week ending on February 27, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, and Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 2.73%, -0.15%, and 3.56% respectively [3]. - In the public - fund market, the enhanced index strategy had strong performance with a weekly return of 2.29% in the past week; neutral - strategy products mostly rose; medium - and long - term pure - bond strategies had a slight decline. In the commodity market, precious - metal and non - ferrous - metal ETFs performed strongly, with the net value of gold ETFs rising by 3.04% [3]. - Among the CITIC five - style indices, the cycle and growth styles had strong returns in the past week, while the financial style declined. The style - rotation chart showed that the relative strength of the stable style strengthened recently, and the relative - strength momentum of the consumption and growth styles decreased month - on - month [3]. - In the public - fund pool, the financial - style fund index outperformed the benchmark with a weekly excess return of 1.65%. The market's deviation from the stable and cycle styles slightly increased. The current congestion indicators remained at a low level, and the congestion of the cycle and financial styles increased marginally [3]. - Among the Barra factors, the liquidity and momentum factors had strong returns in the past week, with a weekly excess return of 1.77% each. The return of the profitability factor decreased month - on - month. In terms of winning rate, the growth factor performed well recently, and the volatility factor decreased during the week. The cross - section rotation speed of factors decreased marginally this week and was currently in the upper - middle quantile range of the past year [3]. - According to the latest scoring results of the style - timing model, the financial style recovered this week, and the current signal favored the stable style. The return of the style - timing strategy last week was 4.36%, with an excess return of 2.04% compared to the benchmark balanced allocation [3]. Summary by Related Catalogs Market Index Returns - The weekly returns of Tonglian All A (Shanghai, Shenzhen, and Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 2.73%, -0.15%, and 3.56% respectively as of the week ending on February 27, 2026 [3]. Public - Fund Market - Enhanced index strategy had a weekly return of 2.29% in the past week; neutral - strategy products mostly rose; medium - and long - term pure - bond strategies had a slight decline. Gold ETFs' net value rose by 3.04% [3]. CITIC Five - Style Indices - Cycle and growth styles had strong returns in the past week, while the financial style declined. The relative strength of the stable style strengthened recently, and the relative - strength momentum of the consumption and growth styles decreased month - on - month [3]. Public - Fund Pool - The financial - style fund index outperformed the benchmark with a weekly excess return of 1.65%. The market's deviation from the stable and cycle styles slightly increased. The current congestion indicators remained at a low level, and the congestion of the cycle and financial styles increased marginally [3]. Barra Factors - Liquidity and momentum factors had a weekly excess return of 1.77% each in the past week. The return of the profitability factor decreased month - on - month. The growth factor had a good winning rate recently, and the volatility factor decreased during the week. The cross - section rotation speed of factors decreased marginally and was in the upper - middle quantile range of the past year [3]. Style - Timing Model - The financial style recovered this week, and the current signal favored the stable style. The return of the style - timing strategy last week was 4.36%, with an excess return of 2.04% compared to the benchmark balanced allocation [3].

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Combination - **Model Construction Idea**: The PB-ROE-50 combination is constructed based on the principle of selecting stocks with low price-to-book (PB) ratios and high return on equity (ROE), aiming to capture excess returns through fundamental valuation and profitability metrics [23] - **Model Construction Process**: The model selects stocks from different stock pools (e.g., CSI 500, CSI 800, and the entire market) based on the PB and ROE metrics. The portfolio is rebalanced periodically to maintain the desired exposure to these factors. Detailed construction methodology is referenced in earlier reports [23] - **Model Evaluation**: The PB-ROE-50 combination consistently delivers positive excess returns across different stock pools, indicating its effectiveness in capturing alpha [23] 2. Model Name: Block Trade Combination - **Model Construction Idea**: This model is based on the principle that stocks with higher block trade transaction ratios and lower six-day transaction volatility tend to perform better subsequently [29] - **Model Construction Process**: The combination is constructed by selecting stocks with high block trade transaction ratios and low six-day transaction volatility. The portfolio is rebalanced monthly to align with the "high transaction, low volatility" principle. Detailed methodology is provided in earlier reports [29] - **Model Evaluation**: The block trade combination demonstrates strong performance, consistently achieving positive excess returns relative to the CSI All Share Index [29] 3. Model Name: Private Placement Combination - **Model Construction Idea**: This model leverages the event-driven effects of private placements, focusing on stocks involved in such events to capture potential investment opportunities [35] - **Model Construction Process**: The combination is constructed by selecting stocks based on private placement events, considering factors such as market capitalization, rebalancing frequency, and position control. The methodology is detailed in earlier reports [35] - **Model Evaluation**: The private placement combination effectively captures excess returns, demonstrating its value in event-driven investment strategies [35] --- Model Backtesting Results 1. PB-ROE-50 Combination - **CSI 500**: Weekly excess return of 0.70%, absolute return of 5.06% [24] - **CSI 800**: Weekly excess return of 2.32%, absolute return of 4.39% [24] - **Entire Market**: Weekly excess return of 2.25%, absolute return of 5.06% [24] 2. Block Trade Combination - **Weekly Excess Return**: 1.06% [30] - **Absolute Return**: 3.84% [30] 3. Private Placement Combination - **Weekly Excess Return**: 0.97% [36] - **Absolute Return**: 3.75% [36] --- Quantitative Factors and Construction Methods 1. Factor Name: Beta Factor - **Factor Construction Idea**: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk [18] - **Factor Evaluation**: Delivered a weekly return of 1.04%, indicating strong performance in the current market environment [18] 2. Factor Name: Profitability Factors - **Factor Construction Idea**: Includes metrics such as ROA, ROE, and net profit growth to capture a company's operational efficiency and profitability [12][14][16] - **Factor Evaluation**: Profitability factors such as single-quarter ROA (2.93%) and single-quarter ROA YoY (2.83%) performed well in the CSI 300 stock pool [12] 3. Factor Name: Liquidity Factor - **Factor Construction Idea**: Captures the ease of trading a stock, often measured by metrics like turnover rate and trading volume [18] - **Factor Evaluation**: Delivered a weekly return of 0.55%, reflecting its effectiveness in the current market [18] 4. Factor Name: Valuation Factors - **Factor Construction Idea**: Includes metrics like PB ratio, PE ratio, and sales-to-price ratio to assess a stock's valuation relative to its fundamentals [14][16] - **Factor Evaluation**: Valuation factors such as PB ratio (0.83%) and inverse sales-to-price ratio (0.72%) performed well in the CSI 500 stock pool [14] --- Factor Backtesting Results 1. Beta Factor - **Weekly Return**: 1.04% [18] 2. Profitability Factors - **Single-Quarter ROA**: Weekly return of 2.93% [12] - **Single-Quarter ROA YoY**: Weekly return of 2.83% [12] 3. Liquidity Factor - **Weekly Return**: 0.55% [18] 4. Valuation Factors - **PB Ratio**: Weekly return of 0.83% [14] - **Inverse Sales-to-Price Ratio**: Weekly return of 0.72% [14]

- The report tracks the performance of Guosen Financial Engineering's index enhancement portfolios, which are constructed based on benchmarks such as CSI 300, CSI 500, CSI 1000, and CSI A500 indices, aiming to consistently outperform their respective benchmarks [11][12][14] - The construction process of the index enhancement portfolios includes three main components: return prediction, risk control, and portfolio optimization [12] - The report monitors the performance of common stock selection factors across different stock selection spaces, including CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices, by constructing single-factor Maximized Factor Exposure (MFE) portfolios and tracking their relative excess returns [11][15][42] - The MFE portfolio construction process involves optimizing the portfolio to maximize single-factor exposure while controlling for various constraints such as industry exposure, style exposure, stock weight deviation, turnover rate, and component stock weight proportion [42][43][44] - The optimization model for MFE portfolios is expressed as follows: $\begin{array}{ll}max&f^{T}\ w\\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\\ &h_{l}\leq H(w-w_{b})\leq h_{h}\\ &w_{l}\leq w-w_{b}\leq w_{h}\\ &b_{l}\leq B_{b}w\leq b_{h}\\ &\mathbf{0}\leq w\leq l\\ &\mathbf{1}^{T}\ w=1\end{array}$ where `f` represents factor values, `w` is the stock weight vector, and constraints include style factor deviation, industry deviation, stock weight deviation, component stock weight proportion, and stock weight limits [42][43] - The report provides detailed performance tracking of single-factor MFE portfolios across different stock selection spaces, highlighting factors such as SP, SPTTM, EP, and others that performed well in specific indices like CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices [15][18][20][22][24][26] - The report also tracks the excess returns of public fund index enhancement products, including CSI 300, CSI 500, CSI 1000, and CSI A500, with detailed statistics on maximum, minimum, and median excess returns over different time periods [28][32][35][38][41]

1. Report Industry Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints of the Report - Risk preference recovery and the strengthening of the equity nature in the convertible bond market suggest that the liquidity style is expected to strengthen again. The convertible bond market has entered the "high-beta stage of a slow bull market", with the pricing logic shifting from "bond defense" to "equity elasticity". The liquidity factor is expected to strengthen once more [1]. - In the short - term, as the global market's expectation of recent liquidity tightness eases marginally, the correction space of the convertible bond market with sufficient incremental funds may be limited. Under the slow - bull expectation, the equity market's spring rally is in the making, and the convertible bond market still has structural opportunities [2][11]. - In the medium - term, the marginal improvement in liquidity and market structural characteristics highlight the allocation value of the liquidity style. The liquidity factor is expected to shift from "steady contribution" to "strong performance" [3][18]. - In the long - term, the convertible bond market shows obvious liquidity premium. The liquidity style has the best performance under a market - neutral condition [4][12]. 3. Summary According to the Table of Contents 3.1 Convertible Bond Weekly Thinking - From December 15th to December 19th, 2025, the small - and medium - cap stocks' trend was initially weak and then strong. The convertible bond market fluctuated upward following the underlying stocks. High - priced targets performed weakly, while low - priced convertible bonds performed strongly. The increase of convertible bonds was significantly lower than that of the underlying stocks due to the drag of high - priced convertible bonds. In terms of industries, the materials (+1.62%), optional consumption (+1.04%), and healthcare (+0.97%) sectors strengthened, while the finance (-0.43%) and information technology (-0.11%) sectors weakened [2][11]. - The Bank of Japan's interest rate hike was finalized this week, removing the suppressing factor for risk preference. The U.S. CPI data on Friday was lower than market expectations, providing more room for the subsequent monetary easing policy of the Federal Reserve [2][11]. 3.2 Convertible Bond Market Tracking 3.2.1 Convertible Bond Market Conditions - The report presents the performance of various convertible bond indices in different time periods (recent week, recent two weeks, since September, recent month, recent two months, recent half - year, and recent one - year), such as the Wind Convertible Bond Energy Index, Wind Convertible Bond Materials Index, etc [21]. 3.2.2 Convertible Bond Individual Securities - The report shows the top ten and bottom ten convertible bond individual securities in terms of price increase and decrease in the recent week, but specific names and data are not fully presented [22][24]. 3.2.3 Convertible Bond Valuation - The report provides the moving average trends of the conversion premium ratios of bond - like, balanced, and equity - like convertible bonds over the weeks [28][30][34]. 3.2.4 Convertible Bond Prices - The report shows the trends of the proportion of high - priced bonds and the median price of convertible bonds [31][32].

Core Viewpoint - The article discusses the investment strategy for 2026, emphasizing a focus on profit anchoring, midstream industries, and tool adaptation, rooted in the threefold resonance of declining risk premiums, rising profits, and structural differentiation [1][12]. Growth Factors - The expected GDP growth rate for China in 2026 is 4.9% for real GDP and 5.2% for nominal GDP, indicating a moderate recovery characterized by a "stable real and rising nominal" trend [3][14]. - The seasonal growth pattern is anticipated to be "steady at first, then rising," with various factors contributing to this trajectory throughout the year [3][14]. Corporate Profitability - Industrial profit margins are projected to recover to 5.8%-6.0% in 2026, driven by supply-side reforms and a return of pricing power, while the return on equity (ROE) for listed companies is expected to rise to 9.5%-10% [4][15]. - The recovery in corporate profitability is expected to shift from structural highlights to overall improvement, supporting a transition in the equity market from liquidity-driven to profit-driven dynamics [4][15]. Inflation Factors - The Consumer Price Index (CPI) is expected to rise moderately to 0.5% in 2026, while the Producer Price Index (PPI) is projected to turn positive in the third quarter, with an annual average of -0.4% [5][16]. - The inflation dynamics are characterized by weak recovery on the consumption side and gradual relief on the production side, with key marginal variables influencing these trends [5][16]. Liquidity Factors - The yield on 10-year government bonds is expected to fluctuate at a low level, with a "low first, high later" pattern, influenced by ongoing debt resolution processes and a moderate economic recovery [6][17]. - The Loan Prime Rate (LPR) is likely to be reduced by 10 basis points, aligning with growth stabilization policies while avoiding excessive pressure on bank profitability [6][17]. Asset Allocation Strategy - Equity assets are anticipated to enter a "profit-driven" golden period, with a focus on new productive forces (electronics, high-end equipment) and cyclical goods benefiting from expected PPI recovery [9][20]. - The bond market is expected to exhibit "low volatility and narrow fluctuations," balancing liquidity and yield [9][20]. - Indirect investment tools such as wealth management products and funds are expected to benefit from the "relocation" of household savings, serving as a transitional choice for conservative funds [10][21]. - The attractiveness of RMB-denominated assets is expected to increase, suggesting a moderate allocation to these assets to mitigate single currency risks [10][21].

Report Investment Rating - The report gives an operation rating of ★☆☆ for CITIC's five-style - stable [4] Core View - In the week ending November 21, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -5.12%, -0.02%, and -1.81% respectively. The equity strategy index in the public fund market weakened, short - term pure bonds had strong returns, convertible bond strategies had a pullback, and the returns of non - ferrous and precious metal ETFs and energy and chemical ETFs declined. In the CITIC five - style, all styles fell last Friday, with the cycle and growth styles performing weakly. The style timing signal favors the stable style this week [3][4] Section Summaries Fund Market Review - The equity strategy index in the public fund market weakened collectively in the past week, with the ordinary stock index falling 5.13%. Short - term pure bond returns were strong, convertible bond strategy returns pulled back, non - ferrous and precious metal ETF returns adjusted, and energy and chemical ETF net values continued to decline [4] Equity Market Style - **CITIC Five - Style Performance**: All five styles closed down last Friday, with the cycle and growth styles having weak returns. The style rotation chart shows that the relative strength and relative strength momentum of the five styles declined. In the public fund pool, the average performance of cycle and consumption style funds outperformed the benchmark in the past week. The market's deviation from the financial and growth styles increased. The crowding indicator changed little compared to last week, and the growth and cycle styles were in the lower quantile range in the past year [4] - **Neutral Strategy**: As of last week, the basis of IH and IF (futures - spot) declined and fell below the range of one standard deviation below the three - month average. In contrast, the basis of IC and IM showed an upward trend. Recently, the average premium rate index of ETFs corresponding to stock indices rebounded, with the premium rate indices of CSI 500 and CSI 1000 ETFs rising more significantly [4] - **Barra Factors**: In the past week, the leverage and intraday volatility factors had better returns, with a weekly excess return of 1.14%. The returns of medium - and long - term momentum factors continued to weaken. In terms of winning rates, the residual momentum factor increased slightly, and the growth factor decreased. The cross - section rotation speed of factors this week was the same as last week and was in the higher quantile range in the past year [4] - **Style Timing Model**: According to the latest scoring results of the style timing model, the cycle style declined this week, and the growth style rebounded slightly. The current signal favors the stable style. The return of the style timing strategy last week was -3.94%, with an excess return of 0.59% compared to the benchmark equal - weighted allocation [4]

- The PB-ROE-50 portfolio achieved an excess return of 1.15% in the CSI 500 stock pool, 0.29% in the CSI 800 stock pool, and -0.30% in the entire market stock pool[23][24] - The public research stock selection strategy achieved an excess return of 0.54% relative to the CSI 800, while the private research tracking strategy achieved an excess return of 2.61% relative to the CSI 800[25][26] - The block trading portfolio achieved an excess return of -0.61% relative to the CSI All Share Index[29][30] - The directed issuance portfolio achieved an excess return of 0.12% relative to the CSI All Share Index[35][36] - The momentum factor and growth factor achieved positive returns of 0.12% and 0.04% respectively, while the liquidity factor, beta factor, and size factor achieved significant negative returns of -0.56%, -0.52%, and -0.40% respectively[18][20] - In the CSI 500 stock pool, the best-performing factors this week were gross profit margin TTM (1.65%), single-quarter ROA (1.40%), and single-quarter total asset gross profit margin (1.26%)[14][15] - In the liquidity 1500 stock pool, the best-performing factors this week were 5-day average turnover rate (0.45%), 5-minute return skewness (0.36%), and downside volatility ratio (0.33%)[16][17] - In the CSI 500 stock pool, the worst-performing factors this week were single-quarter net profit year-on-year growth rate (-0.42%), 5-day reversal (-0.49%), and post-morning return factor (-0.64%)[14][15] - In the liquidity 1500 stock pool, the worst-performing factors this week were momentum spring factor (-1.07%), 5-day reversal (-1.11%), and single-quarter net profit year-on-year growth rate (-1.19%)[16][17] - In the CSI 300 stock pool, the best-performing factors this week were net profit gap (1.30%), 5-day exponential moving average of trading volume (1.15%), and total asset gross profit margin TTM (1.02%)[12][13] - In the CSI 300 stock pool, the worst-performing factors this week were logarithmic market value factor (-1.02%), momentum spring factor (-1.12%), and post-morning return factor (-1.29%)[12][13] - The net asset growth rate factor performed well in the comprehensive industry, and the net profit growth rate factor performed well in the steel industry[21][22] - The BP factor performed well in the beauty and personal care industry, and the EP factor performed well in the coal industry[21][22]