Report Industry Investment Rating - The operation rating for CITIC's five - style stability is ★☆☆, indicating a bullish bias but with limited operability in the market [4] Core Viewpoints - In the week ending November 7, 2025, the weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.63%, - 0.01%, and - 0.47% respectively. In the public fund market, convertible bond products performed well, the common stock strategy index declined slightly, neutral strategy products mostly rose, non - ferrous metal ETFs weakened slightly, and soybean meal ETFs had better returns. Among CITIC's five styles, only the consumer style declined last Friday, while the stable and cyclical styles were strong. The style rotation chart showed that the relative strength of the growth style decreased, and the relative strength momentum of the financial style rebounded marginally. The average returns of various style funds in the public fund pool underperformed the benchmark index. The market's deviation towards the financial style decreased. The congestion index dropped, with the growth style congestion falling to the medium - percentile range of the past year. In the neutral strategy, the contract basis weakened slightly last week, with the current IH basis close to 1 standard deviation below the three - month average. The average premium rates of IC and IM corresponding index ETFs rebounded to the medium - percentile range of the past three months. The profit factor had a good return performance in the past week, with a weekly excess return of 0.97%, and the excess of the growth factor was significantly compressed. The win - rate of the residual momentum factor decreased, but the factor itself strengthened. The cross - section rotation speed of factors rebounded slightly this week, currently at the medium - percentile range of the past year. According to the latest scoring results of the style timing model, the financial style declined marginally this week, the consumer style strengthened slightly, and the current signal favored the stable style. The return of the style timing strategy last week was 1.85%, with an excess return of 0.97% compared to the benchmark balanced allocation [4] Summary by Relevant Catalogs Fund Market Review - The weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.63%, - 0.01%, and - 0.47% respectively [4] - In the public fund market, convertible bond products performed well, the common stock strategy index declined slightly, neutral strategy products mostly rose, non - ferrous metal ETFs weakened slightly, and soybean meal ETFs had better returns [4] Equity Market Style - Among CITIC's five styles, only the consumer style declined last Friday, while the stable and cyclical styles were strong. The style rotation chart showed that the relative strength of the growth style decreased, and the relative strength momentum of the financial style rebounded marginally [4] - The average returns of various style funds in the public fund pool underperformed the benchmark index. The market's deviation towards the financial style decreased. The congestion index dropped, with the growth style congestion falling to the medium - percentile range of the past year [4] Neutral Strategy - The contract basis weakened slightly last week, with the current IH basis close to 1 standard deviation below the three - month average. The average premium rates of IC and IM corresponding index ETFs rebounded to the medium - percentile range of the past three months [4] Barra Factor - The profit factor had a good return performance in the past week, with a weekly excess return of 0.97%, and the excess of the growth factor was significantly compressed. The win - rate of the residual momentum factor decreased, but the factor itself strengthened. The cross - section rotation speed of factors rebounded slightly this week, currently at the medium - percentile range of the past year [4] Style Timing Model - According to the latest scoring results of the style timing model, the financial style declined marginally this week, the consumer style strengthened slightly, and the current signal favored the stable style. The return of the style timing strategy last week was 1.85%, with an excess return of 0.97% compared to the benchmark balanced allocation [4]

Report Investment Rating - The report gives a "★☆☆" rating to CITIC's five-style stability, indicating a slightly bullish view with limited operability in the market [5]. Core Viewpoints - In the week ending October 17, 2025, Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index had weekly returns of -3.39%, 0.21%, and -1.14% respectively. In the public fund market, equity long strategies retreated, pure bonds outperformed, neutral strategy products showed mixed performance, and among commodities, precious metal ETFs rose while non-ferrous metal ETFs declined, and energy chemical and soybean meal ETFs continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. The style rotation chart shows that the growth and consumption styles weakened marginally in terms of relative strength, and the financial style increased significantly in terms of indicator momentum. In the public fund pool, cyclical style funds had better excess performance in the past week, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style currently in a historically high congestion range [5]. - In the neutral strategy, the stock index basis showed a marginal recovery trend last week. The IM contract rebounded from below the -2 standard deviation of the three - month average to within one standard deviation, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had better performance in the past week with a weekly excess return of 2.49%, while the momentum and capital flow factors had excess drawdowns. The win - rates of the profitability and leverage factors improved. The cross - section rotation speed of factors increased significantly this week and is currently in a relatively high quantile range in the past year [5]. - According to the latest scoring results of the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the current signal favors the stable style. The return of the style timing strategy last week was 0.52%, with an excess return of 1.45% compared to the benchmark equal - weighted allocation [5]. Summary by Directory Fund Market Review - In the public fund market, equity long strategies had a drawdown in the past week, pure bonds had better returns, neutral strategy products showed mixed performance, precious metal ETFs in commodities had large increases, non - ferrous metal ETFs had a return correction, and energy chemical and soybean meal ETFs' net values continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. Cyclical style funds had better excess performance in the public fund pool, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style in a historically high congestion range [5]. - In the neutral strategy, the stock index basis recovered marginally last week, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had a weekly excess return of 2.49%, the momentum and capital flow factors had excess drawdowns, and the win - rates of the profitability and leverage factors improved. The factor cross - section rotation speed increased significantly and is in a relatively high quantile range in the past year [5]. - According to the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the style timing strategy had a return of 0.52% last week, with an excess return of 1.45% compared to the benchmark [5]. Recent Market Returns - The weekly, monthly, quarterly, and semi - annual returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond (net), and Nanhua Commodity are presented in the report, along with data on the establishment scale of public funds in the past year, the maximum drawdown of major public fund strategy indices in the past three months, and the weekly returns of major public fund strategy indices [7]. CITIC Style Index - The net value trends of CITIC's financial, cyclical, consumption, growth, and stable style indices are shown, as well as the relative rotation chart of these style indices, which reflects the relative strength and momentum of different styles in different time periods [8][9]. - The excess return performance of CITIC style - based fund style indices in different time periods (weekly, monthly, quarterly, semi - annual, annual) is presented, along with the congestion levels of different styles (excluding the stable style due to data limitations) [10][11]. Barra Factors - The preference levels of Barra single - factors (ranging from 0 - 1) are shown, indicating the degree of preference for different factors. The excess return performance of Barra single - factor style strategies in different time periods (weekly, monthly) is also presented, as well as the excess net value trends of Barra single - factor styles since this year [13][14][17].

Core Viewpoint - The report highlights the performance of various market factors and investment strategies, indicating positive returns in several areas while noting the mixed performance of different factors across industries [4][5][6]. Group 1: Market Factor Performance - The momentum factor achieved a positive return of 0.70%, indicating a momentum effect in the market; profitability and Beta factors also showed positive returns of 0.34% and 0.28% respectively, while the market capitalization factor had a negative return of -0.58%, reflecting a small-cap style [4]. - In the CSI 300 stock pool, the best-performing factors included quarterly operating profit growth rate (1.25%), quarterly ROE (1.07%), and early session return factor (0.95%), while the worst performers were the standard deviation of 6-day trading volume (-0.91%), standardized unexpected income (-0.89%), and quarterly EPS (-0.83%) [5]. - In the CSI 500 stock pool, the top factors were post-early session return factor (1.24%), standard deviation of 5-day trading volume (1.05%), and standard deviation of 6-day trading volume (0.82%), with the weakest factors being ROE stability (-0.96%), 5-minute return skewness (-0.84%), and ROA stability (-0.83%) [5]. Group 2: Industry Factor Performance - Fundamental factors showed varied performance across industries, with net asset growth rate, net profit growth rate, earnings per share, and TTM operating profit factors yielding consistent positive returns in the utilities and leisure services sectors [6]. - Valuation factors, particularly the BP factor, demonstrated significant positive returns in the construction materials, banking, and media sectors, while the EP factor showed notable positive returns in the coal industry [6]. - Residual volatility and liquidity factors yielded consistent positive returns in the defense, oil and petrochemical, and automotive industries, with a significant large-cap style observed in the coal and banking sectors [6]. Group 3: Investment Strategy Performance - The PB-ROE-50 combination achieved positive excess returns in the overall market stock pool, with a negative excess return of -0.40% in the CSI 500 stock pool and a positive excess return of 0.44% in the CSI 800 stock pool [7]. - Public fund research stock selection strategy and private fund research tracking strategy both achieved positive excess returns, with the public fund strategy outperforming the CSI 800 by 3.21% and the private fund strategy by 0.16% [8]. - The block trading combination achieved a positive excess return of 3.61% relative to the CSI All Index [9]. - The targeted issuance combination also achieved a positive excess return of 0.77% relative to the CSI All Index [10].

Group 1 - The core viewpoint of the article highlights the performance of various market factors, indicating a mixed performance across different stock pools with specific factors yielding positive or negative returns [2][3][5]. Group 2 - In the overall market, the profitability factor achieved a positive return of 0.54%, while the residual volatility and beta factors gained 0.28% and 0.23% respectively, indicating a small-cap style market performance [2]. - In the CSI 300 stock pool, the best-performing factors included the price-to-earnings (P/E) ratio (2.85%) and the TTM inverse P/E ratio (2.32%), while the worst performers were the 5-minute return skew (-1.53%) and gross profit margin TTM (-1.03%) [3]. - The CSI 500 stock pool saw the ROIC enhancement factor perform well with a return of 1.46%, while the worst performers included the 5-day reversal (-1.25%) [3]. - The liquidity 1500 stock pool had the TTM inverse P/E ratio as the best performer (1.30%), while early morning return factors showed negative performance [3]. Group 3 - The fundamental factors showed varied performance across industries, with net asset growth rate and net profit growth rate factors performing consistently well in the telecommunications, beauty care, and commercial trade sectors [5]. - Valuation factors, particularly the earnings yield (EP) factor, performed well in the telecommunications, oil and petrochemical, and steel industries [5]. - The small-cap style was notably significant in the beauty care, media, and computer industries this week [5]. Group 4 - The PB-ROE-50 combination achieved positive excess returns across stock pools, with the CSI 500 pool gaining 1.34% and the CSI 800 pool gaining 1.37% [6]. - The public fund research selection strategy and private fund research tracking strategy both recorded negative excess returns relative to the CSI 800, with losses of -1.58% and -1.45% respectively [7]. - The block trading combination underperformed relative to the CSI All Index, with an excess return of -0.62% [8]. - The targeted issuance combination achieved positive excess returns relative to the CSI All Index, with a gain of 1.17% [9].

Core Insights - The report explores the construction and application of a style factor system for A-shares, focusing on four dimensions: market capitalization, valuation, profitability, and momentum [2][9][12] - A-shares have exhibited different dominant factors over various periods, with profitability leading from 2013 to 2014, small-cap factors from 2015 to 2016, valuation from 2016 to 2018, and a return to profitability dominance from 2019 to early 2021 [2][24][27] - The report predicts a resurgence of high valuation factors starting in 2025, driven by expectations of weak profit recovery and strong policy support [2][27] Style Factor Construction and Performance - The style factor system is constructed using a bottom-up approach, assigning style labels to each stock based on their factor indicators [9][12] - The performance of the style factors shows that small-cap stocks have generally outperformed large-cap stocks since 2010, with a notable fivefold return from small-cap strategies [12][17] - Valuation factors indicate that low valuation styles have been particularly strong, especially during specific periods such as 2017-2018 and 2022-2024 [14][15] Influencing Factors of Style Factors - Profitability factors are highly correlated with economic cycles, showing better performance during economic upturns [45][46] - Valuation factors are closely linked to market sentiment, with high valuation stocks performing better during periods of positive sentiment [49][50] - Market capitalization factors are significantly influenced by remaining liquidity, with small-cap factors performing strongly in liquidity-rich environments [53][54] Application of Style Factor System - The report establishes an A-share style investment system based on the identified style factors, suggesting that the current dominant styles are high profitability, high valuation, and small-cap [2][27] - The analysis indicates that the A-share market has not fully priced in the expected profit recovery, suggesting potential upside for high profitability and high valuation factors [2][27] - Different asset types exhibit varying dominant style factors, with emerging growth assets showing significant small-cap advantages and dividend assets reflecting low valuation strengths [29][33]