- The report tracks the performance of major broad-based indices and sector indices, noting that the A-share market experienced a significant downturn last week, with major broad-based indices closing down for the week[1][12][13] - The report highlights that the valuation percentiles of major broad-based indices such as the SSE 50, CSI 300, CSI 500, CSI 1000, and ChiNext Index are at "moderate" levels, while the SSE Composite Index is at a "dangerous" level[1][19] - The report tracks quantitative sentiment indicators, including volume timing signals, the proportion of rising stocks in the CSI 300, and moving average sentiment indicators, noting that all volume timing signals for the indices are currently cautious[24][25] - The report observes market profitability effects through cross-sectional and time-series volatility, noting that the cross-sectional volatility of CSI 300 index constituents increased week-on-week, indicating an improved short-term alpha environment, while the cross-sectional volatility of CSI 500 and CSI 1000 index constituents decreased, indicating a deteriorated short-term alpha environment[2][37][38] - The report tracks institutional research activities, noting that the top five stocks of interest to institutions last week were Blue Sail Medical, Hailianxin, Dike Co., Aima Technology, and Oulu Tong[3][55][56] - The report tracks the performance of stock index futures, noting that the main contracts of SSE 50, CSI 300, CSI 500, and CSI 1000 index futures all experienced an increase in discount rates compared to the previous trading week[58][59][60] - The report tracks southbound capital flows, noting that southbound funds had a net outflow of HKD 6.329 billion last week, with HKD 6.121 billion net outflow from the Shanghai Stock Connect and HKD 208 million net outflow from the Shenzhen Stock Connect[3][71] - The report tracks changes in financing scale, noting that as of March 19, 2026, the financing balance was CNY 2.632251 trillion, a decrease of CNY 1.01 billion compared to March 13, 2026[3][73] - The report tracks the ETF market, noting that stock ETFs had a median return of -3.01% last week, with a net outflow of CNY 9.865 billion, while cross-border ETFs had a median return of -0.16%, with a net inflow of CNY 1.642 billion[3][76][77] - The report tracks the degree of fund concentration, noting that the degree of fund concentration increased slightly week-on-week, while the excess returns of concentrated stocks and concentrated funds both decreased week-on-week[3][82][84]

- The report tracks the market performance of various indices and sectors for the week of March 9, 2026, to March 13, 2026, highlighting the divergence in performance among different indices and sectors[1][12][13] - The report includes a quantitative sentiment tracking section, which discusses volume-based timing signals for various indices, indicating a bullish view for indices like the Shanghai Composite Index, SSE 50, CSI 300, and CSI 500, while maintaining a cautious view for others like CSI 1000 and the ChiNext Index[24][25] - The report introduces the "Number of Rising Stocks in CSI 300" sentiment indicator, which calculates the proportion of CSI 300 constituent stocks with positive returns over a given period to gauge market sentiment[26] - The report also discusses the "Moving Average Sentiment Indicator," which uses the eight moving averages of the CSI 300 closing price to determine market trends and sentiment[33][34] - The report evaluates market profitability through cross-sectional and time-series volatility, noting that the short-term Alpha environment has deteriorated for indices like CSI 300, CSI 500, and CSI 1000[38][39][42] - The report tracks institutional research activities, highlighting the most researched stocks and sectors, and provides data on the number of research activities conducted by different types of institutions[43][45][53][55] - The report includes a section on stock index futures tracking, providing weekly statistics for various futures contracts like IF, IH, IC, and IM, and discussing the changes in basis and annualized returns[58][59][60][61] - The report tracks southbound capital flows, noting a net inflow of HKD 524.40 billion for the week, with specific inflows from the Shanghai and Shenzhen Stock Connects[72][74] - The report provides data on changes in financing scale, noting an increase in financing balance by CNY 182.78 billion as of March 12, 2026[74][75] - The report tracks the ETF market, providing data on weekly returns and net inflows/outflows for different types of ETFs, including stock, cross-border, Hong Kong, and commodity ETFs[76][77][78] - The report discusses the tracking of fund clustering degree, using the degree of separation indicator to monitor the clustering degree of funds, noting a slight decline in the clustering degree as of March 13, 2026[84][86][87]

Market Overview - The A-share market experienced a volatile pullback during the week of March 2-6, 2026, influenced by geopolitical conflicts, with the oil and petrochemical sectors seeing price catalysts and leading the industry index [4] - Major indices showed declines: Shanghai Composite Index down 0.93%, SSE 50 down 1.54%, CSI 300 down 1.07%, CSI 500 down 3.44%, CSI 1000 down 3.64%, ChiNext Index down 2.45%, and Northbound 50 Index down 7.14% [4] - The overall market sentiment remains cautious, with stock-type ETF funds experiencing a slight net outflow and financing amounts turning negative [4] Valuation Insights - As of March 6, 2026, the SSE 50, CSI 500, CSI 1000, and ChiNext Index are at a "moderate" valuation percentile, while the Shanghai Index and CSI 300 are at a "danger" valuation percentile [4] - In the CITIC industry classification, food and beverage, as well as non-bank financial sectors, are rated at a "safe" valuation percentile [4] Volatility and Alpha Environment - The cross-sectional volatility of CSI 300, CSI 500, and CSI 1000 index constituents increased compared to the previous week, indicating an improvement in the short-term Alpha environment [5][4] Fund Flow Analysis - The top five stocks attracting institutional attention this week were BeiGene (277 institutions), Sunlord Electronics (162), Jingzhida (147), Weisheng Information (79), and Yirui Technology (77) [6] - Southbound funds saw a net outflow of HKD 8.093 billion during the week, with the Shanghai Stock Exchange's southbound net outflow at HKD 7.930 billion and Shenzhen's at HKD 0.163 billion [6] - The median return for stock-type ETFs was -2.31%, with a net outflow of CNY 376 million, while cross-border ETFs had a median return of -2.30% with a net inflow of CNY 1.031 billion [6][7]

Market Overview - A-shares experienced a volatile pullback this week, influenced by geopolitical conflicts, with the oil and petrochemical sectors leading the industry index gains [5] - The stock-type ETF saw a slight net outflow of funds, and the weekly financing increased turned negative, indicating a cautious market sentiment [5] - The market is expected to maintain a volatile upward trend, with a medium to long-term focus on "dividend + technology" as the main investment strategy [5] REITs Market - The secondary market prices of publicly listed REITs in China showed an overall decline, with the CSI REITs closing at 789.81 and the CSI REITs total return index at 1027.62, both with a weekly return rate of -0.35% [6] - Compared to other major asset classes, the return rates ranked from high to low are: crude oil > pure bonds > REITs > US stocks > convertible bonds > gold > A-shares [6] Electric Power and Environmental Protection - The government work report emphasized carbon dual control, hydrogen energy, and green fuel, with market expectations already set for carbon dual control and hydrogen energy [6] - The concept of "computing power and electricity synergy" is becoming a current market focus, with potential investment opportunities in this area [6] - The electric power operator sector has a low PB valuation and offers a safety cushion, with microgrid and virtual power plant projects expected to continue to emerge [6] Public Utilities - The national carbon reduction targets for 2026 and the "14th Five-Year Plan" were released, aiming for a 3.8% reduction in carbon emissions per unit of GDP by 2026 and a cumulative reduction of 17% during the "14th Five-Year Plan" [8] - There is a positive outlook for enhancing green electricity consumption scenarios, particularly in hydrogen production and data center power supply [8] - Recommended companies include Electric Power Investment Green Energy, Goldwind Technology, and power operators like Yunnan Energy and Gansu Energy [8] Company Performance - For 2025, the company expects to achieve revenue between 9.1 billion to 9.2 billion yuan, a year-on-year increase of 34.0% to 35.4%, exceeding market expectations [8] - The projected net profit for 2025 is between 1.14 billion to 1.16 billion yuan, reflecting a year-on-year increase of 41.9% to 44.4% [8] - The first half of 2025 is expected to generate revenue of 4.11 billion yuan, a 17.3% increase year-on-year, while the second half is projected to reach 5.04 billion yuan, a 53.2% increase year-on-year [8]

- The report introduces a quantitative timing model based on volume signals, referred to as the "Volume Timing Signal" model. The model evaluates market sentiment by analyzing the volume of major indices. As of March 6, 2026, the volume timing signals for all indices, including the Shanghai Composite Index, Shanghai 50, CSI 300, CSI 500, CSI 1000, ChiNext Index, and Beijing 50, indicate a cautious outlook[23][24] - The "HS300 Rising Stock Proportion Sentiment Indicator" is introduced to assess market sentiment by calculating the proportion of stocks in the CSI 300 index with positive returns over a specific period (N days). The formula is: $ \text{HS300 N-day Rising Stock Proportion} = \frac{\text{Number of CSI 300 stocks with positive returns over N days}}{\text{Total number of CSI 300 stocks}} $ This indicator is effective in capturing upward opportunities but has limitations in predicting market downturns. As of March 6, 2026, the indicator showed a slight increase, with the proportion of rising stocks exceeding 60%, indicating high market sentiment[24][25] - The "HS300 Rising Stock Proportion Timing Tracking" applies two different smoothing windows (N1=50 and N2=35) to the above sentiment indicator. When the short-term smoothed line (fast line) exceeds the long-term smoothed line (slow line), it signals a bullish market sentiment. As of March 6, 2026, both the fast and slow lines were rising, with the fast line above the slow line, suggesting a continued bullish outlook[26][28] - The "Moving Average Sentiment Indicator" is based on the eight-moving-average system, which uses the closing prices of the CSI 300 index and calculates moving averages with parameters 8, 13, 21, 34, 55, 89, 144, and 233. The indicator assigns values of -1, 0, or 1 based on the position of the current price relative to the moving averages. When the current price exceeds more than five of the moving averages, it signals a bullish sentiment. As of March 6, 2026, the CSI 300 index was in a non-prosperous sentiment zone[32][36] - The report also analyzes cross-sectional volatility and time-series volatility as indicators of short-term alpha opportunities. Cross-sectional volatility for CSI 300, CSI 500, and CSI 1000 index components increased week-over-week, indicating an improved short-term alpha environment. Over the past quarter, cross-sectional volatility for CSI 300 and CSI 1000 was in the upper-middle percentile of the past six months, while CSI 500 was in the middle percentile. Time-series volatility for the same indices also increased week-over-week, with CSI 1000 in the upper-middle percentile of the past six months, indicating a favorable alpha environment[37][38][41]

Market Overview - The A-share market experienced a volatile upward trend last week (February 24-27, 2026), with the CSI 1000 index rising by 4.34%, leading major broad-based indices [4] - Major broad-based indices showed a rebound in trading volume, but a cautious outlook remains as further upward movement may require increased volume [4] - The recent changes in the Middle East have led to fluctuations in resource prices, potentially impacting the performance of related equity market sectors [4] - Short-term outlook favors resource allocation opportunities, while the medium to long-term perspective remains positive on "dividend + technology" as the main investment theme [4] Index Performance - Last week, all major indices showed an upward trend: Shanghai Composite Index increased by 1.98%, SSE 50 by 0.17%, CSI 300 by 1.08%, CSI 500 by 4.32%, CSI 1000 by 4.34%, ChiNext Index by 1.05%, and Northbound 50 Index by 0.48% [4] - As of February 27, 2026, the SSE 50, CSI 1000, and ChiNext Index are at a "moderate" valuation level, while the Shanghai Index, CSI 300, and CSI 500 are at a "danger" valuation level [4] Sector Analysis - According to CITIC's primary industry classification, the food and beverage and non-bank financial sectors are at a "safe" valuation level [5] - The cross-sectional volatility of the CSI 300, CSI 500, and CSI 1000 index constituents increased compared to the previous week, indicating a short-term improvement in the Alpha environment [5] - However, the time series volatility for the CSI 300, CSI 500, and CSI 1000 constituents decreased compared to the previous week, suggesting a deterioration in the short-term Alpha environment [5] Fund Flow Insights - The top five stocks attracting the most institutional attention last week were Fenghua Hi-Tech (104 institutions), Frontier Biotechnologies-U (91), Zhuoyue New Energy (58), Hars (53), and JinkoSolar (43) [6] - During the period from February 24 to February 27, 2026, net inflow from southbound funds in the Hong Kong Stock Connect was HKD 6.705 billion, with net inflows of HKD 0.871 billion in the Shanghai Stock Connect and HKD 5.834 billion in the Shenzhen Stock Connect [6] ETF Performance - The median return for stock ETFs last week was 1.49%, with a net outflow of CNY 35.442 billion [7] - The median return for cross-border ETFs was 0.95%, with a net inflow of CNY 2.906 billion [7] - The median return for Hong Kong stock ETFs was -2.29%, with a net inflow of CNY 14.226 billion [7] - The median return for commodity ETFs was 3.06%, with a net inflow of CNY 3.713 billion [7]

- The report discusses a **quantitative timing model based on volume signals**, which evaluates market sentiment and timing by analyzing volume trends. The model's construction involves assessing the volume levels of major indices (e.g., Shanghai Composite, CSI 300, etc.) and assigning a cautious view when volume signals are weak. As of February 27, 2026, all major indices showed a "cautious" volume timing signal[24][25] - A **momentum sentiment indicator** is introduced, which calculates the proportion of stocks in the CSI 300 index with positive returns over a specific period (N days). The formula is: $ \text{CSI 300 N-day Upward Proportion} = \frac{\text{Number of CSI 300 stocks with positive returns in N days}}{\text{Total number of CSI 300 stocks}} $ This indicator is used to capture market sentiment, with higher values indicating optimism. As of February 27, 2026, the indicator was above 60%, reflecting high market sentiment[25][26][27] - A **momentum sentiment timing strategy** is applied by smoothing the momentum sentiment indicator using two moving averages (short-term and long-term). When the short-term average exceeds the long-term average, the model signals a bullish market view. Parameters used are N=230, N1=50, and N2=35. As of February 27, 2026, the short-term line was above the long-term line, maintaining a bullish outlook[27][29] - The report also introduces an **eight-moving-average sentiment indicator**, which evaluates the CSI 300 index's trend by comparing its closing price against eight moving averages (8, 13, 21, 34, 55, 89, 144, 233). The indicator assigns values based on the number of moving averages the index surpasses. If the index price exceeds more than five moving averages, the model signals a bullish view. As of February 27, 2026, the CSI 300 index was in a "sentiment prosperity zone," indicating positive sentiment[34][38] - **Cross-sectional volatility** is analyzed as a measure of alpha opportunities. The report highlights that cross-sectional volatility for CSI 300, CSI 500, and CSI 1000 stocks increased week-over-week, indicating an improved short-term alpha environment. Over the past quarter, cross-sectional volatility for CSI 300 and CSI 1000 was in the upper-middle range of the past six months, while CSI 500 was in the middle range[39][40] - **Time-series volatility** is also examined, showing a week-over-week decline for CSI 300, CSI 500, and CSI 1000 stocks, suggesting a deteriorating short-term alpha environment. Over the past quarter, time-series volatility for CSI 300 and CSI 500 was in the middle range of the past six months, while CSI 1000 was in the upper-middle range[40][43]

Market Overview - The A-share market experienced a volatile decline during the week of February 2 to February 6, 2026, with major indices showing reduced trading volume. As of February 6, 2026, the major indices maintained a cautious signal on timing indicators. [4] - The overall performance of the market was negative, with the Shanghai Composite Index down by 1.27%, the Shanghai 50 down by 0.93%, the CSI 300 down by 1.33%, the CSI 500 down by 2.68%, the CSI 1000 down by 2.46%, the ChiNext Index down by 3.28%, and the North Star 50 Index down by 0.70%. [4] Sector Performance - Resource-related sectors underperformed due to a decline in prices of key commodities like gold, while sectors such as consumption and finance performed relatively better. The TMT sector was also negatively impacted. [4] - The valuation levels of the CSI 300, CSI 500, CSI 1000, and ChiNext Index are categorized as "moderate," while the Shanghai Composite Index and Shanghai 50 are classified as "dangerous." [4] Investment Sentiment - The sentiment in the market remains subdued, with short-term trading emotions not showing signs of improvement. The outlook suggests a continuation of a volatile upward trend, with a medium to long-term positive view on the "dividend + technology" allocation strategy, favoring "dividend" in the short term. [4] Fund Flow Analysis - The stock ETF saw a median return of -1.64% with a net outflow of 7.801 billion yuan. In contrast, cross-border ETFs had a median return of -2.51% with a net inflow of 3.210 billion yuan, while Hong Kong stock ETFs recorded a median return of -2.08% with a net inflow of 18.493 billion yuan. Commodity ETFs had a median return of -6.07% with a net outflow of 2.887 billion yuan. [7] - The top five stocks attracting institutional attention this week were Ying Tang Zhi Kong (195 institutions), Hua Qin Technology (186), Jinko Solar (158), Zhong Ji Xu Chuang (137), and Huan Xu Electronics (113). [6] Volatility and Alpha Environment - The cross-sectional volatility of the CSI 300, CSI 500, and CSI 1000 index constituents decreased compared to the previous week, indicating a deterioration in the short-term Alpha environment. However, the time series volatility for these indices increased, suggesting an improvement in the Alpha environment. [5]

Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model Name: Volume Timing Model - **Model Construction Idea**: The model uses volume signals to determine market timing[12] - **Model Construction Process**: - The model evaluates the volume timing signals for major indices as of February 6, 2026, and maintains a cautious view[24] - **Model Evaluation**: The model is currently signaling a cautious outlook for all major indices[24] Model Name: Momentum Sentiment Indicator - **Model Construction Idea**: The model uses the number of stocks with positive returns within an index to gauge market sentiment[24] - **Model Construction Process**: - Calculate the proportion of stocks in the CSI 300 index with positive returns over the past N days - The formula is: $ \text{CSI 300 Index N-day Upward Stock Proportion} = \frac{\text{Number of stocks with positive returns in the past N days}}{\text{Total number of stocks in the index}} $[24] - **Model Evaluation**: The indicator can quickly capture upward opportunities but may miss out on gains during sustained market exuberance and has limitations in predicting downturns[25] Model Name: Moving Average Sentiment Indicator - **Model Construction Idea**: The model uses the eight moving average system to determine the trend state of the CSI 300 index[32] - **Model Construction Process**: - Calculate the eight moving average values for the CSI 300 index closing prices with parameters 8, 13, 21, 34, 55, 89, 144, 233 - Assign values to the moving average indicator based on the moving average interval values - The formula is: $ \text{Indicator Value} = \begin{cases} -1 & \text{if interval value is 1/2/3} \\ 0 & \text{if interval value is 4/5/6} \\ 1 & \text{if interval value is 7/8/9} \end{cases} $[32] - **Model Evaluation**: The recent CSI 300 index is in a non-prosperous sentiment interval[32] Model Backtesting Results Volume Timing Model - **Signal**: Cautious for all major indices[24] Momentum Sentiment Indicator - **Current Value**: The indicator is above 60%, indicating high market sentiment[25] Moving Average Sentiment Indicator - **Current Value**: The CSI 300 index is in a non-prosperous sentiment interval[32] Quantitative Factors and Construction Methods Factor Name: Cross-sectional Volatility - **Factor Construction Idea**: The factor measures the cross-sectional volatility of index constituent stocks to assess the Alpha environment[36] - **Factor Construction Process**: - Calculate the cross-sectional volatility for the CSI 300, CSI 500, and CSI 1000 index constituent stocks - The formula is: $ \text{Cross-sectional Volatility} = \sqrt{\frac{1}{N-1} \sum_{i=1}^{N} (R_i - \bar{R})^2} $ where $ R_i $ is the return of stock i, and $ \bar{R} $ is the average return[37] - **Factor Evaluation**: The short-term Alpha environment has deteriorated, but the quarterly view shows a good Alpha environment for the CSI 300 and CSI 1000 indices[36] Factor Name: Time-series Volatility - **Factor Construction Idea**: The factor measures the time-series volatility of index constituent stocks to assess the Alpha environment[37] - **Factor Construction Process**: - Calculate the time-series volatility for the CSI 300, CSI 500, and CSI 1000 index constituent stocks - The formula is: $ \text{Time-series Volatility} = \sqrt{\frac{1}{T-1} \sum_{t=1}^{T} (R_t - \bar{R})^2} $ where $ R_t $ is the return at time t, and $ \bar{R} $ is the average return[40] - **Factor Evaluation**: The recent week shows an improvement in the Alpha environment for all indices[37] Factor Backtesting Results Cross-sectional Volatility - **CSI 300**: - Last quarter average: 2.17% - Last quarter percentile (2 years): 70.99% - Last quarter percentile (1 year): 74.07% - Last quarter percentile (6 months): 65.64%[37] - **CSI 500**: - Last quarter average: 2.48% - Last quarter percentile (2 years): 48.41% - Last quarter percentile (1 year): 53.97% - Last quarter percentile (6 months): 56.35%[37] - **CSI 1000**: - Last quarter average: 2.63% - Last quarter percentile (2 years): 66.53% - Last quarter percentile (1 year): 68.92% - Last quarter percentile (6 months): 66.14%[37] Time-series Volatility - **CSI 300**: - Last quarter average: 0.96% - Last quarter percentile (2 years): 58.02% - Last quarter percentile (1 year): 60.91% - Last quarter percentile (6 months): 47.94%[40] - **CSI 500**: - Last quarter average: 1.27% - Last quarter percentile (2 years): 50.00% - Last quarter percentile (1 year): 57.94% - Last quarter percentile (6 months): 60.32%[40] - **CSI 1000**: - Last quarter average: 1.22% - Last quarter percentile (2 years): 63.35% - Last quarter percentile (1 year): 71.31% - Last quarter percentile (6 months): 66.93%[40]

Market Overview - The A-share market experienced narrow fluctuations this week, with the broad market index slightly rising while the mid and small-cap indices declined [4] - Major broad market indices showed a cautious signal in terms of volume indicators, with stock-type ETFs continuing to see net outflows [4] - Gold prices exhibited significant volatility, potentially leading to short-term adjustments in the resource sector and a decline in equity market sentiment due to tightening trading funds [4] Index Performance - The Shanghai Composite Index fell by 0.44%, while the Shanghai 50 rose by 1.13%, and the CSI 300 increased by 0.08%. The CSI 500 and CSI 1000 both dropped by 2.56% and 2.55%, respectively, and the ChiNext Index decreased by 0.09% [4] - As of January 30, 2026, the CSI 500, CSI 1000, and ChiNext Index were rated as "moderate" in terms of valuation, while the Shanghai Composite Index, Shanghai 50, and CSI 300 were rated as "dangerous" [4] Sector Analysis - According to the CITIC industry classification, the food and beverage sector and non-bank financials are rated as "safe" in terms of valuation [4] Volatility and Alpha Environment - The cross-sectional volatility of the CSI 300, CSI 500, and CSI 1000 index constituents increased compared to the previous week, indicating an improvement in the short-term Alpha environment [5] - The time series volatility for the CSI 300 index constituents also increased, while the CSI 500 remained unchanged, and the CSI 1000 saw a decline, suggesting a deterioration in its Alpha environment [5] Fund Flow Insights - The top five stocks attracting institutional attention this week were Jingzhida (170 institutions), Jiangsu Bank (135), Aerospace Hongtu (101), Nanjing Bank (76), and Keda Manufacturing (74) [6] - During the trading period from January 26 to January 30, 2026, southbound funds recorded a net inflow of HKD 2.708 billion, with the Shanghai-Hong Kong Stock Connect seeing a net outflow of HKD 1.921 billion and the Shenzhen-Hong Kong Stock Connect a net inflow of HKD 4.629 billion [6] ETF Performance - The median return for stock-type ETFs this week was -1.02%, with a net outflow of CNY 318.882 billion. In contrast, cross-border ETFs had a median return of 0.86% with a net inflow of CNY 0.784 billion, while Hong Kong ETFs saw a median return of -1.15% with a net inflow of CNY 0.859 billion. Commodity ETFs had a median return of 4.56% with a net inflow of CNY 24.297 billion [7]