- The report indicates that the market's Alpha environment has improved, with increased cross-sectional volatility in major broad-based indices[1][12] - The volume timing signals for major broad-based indices as of October 31, 2025, suggest a bullish outlook[2][24] - The cross-sectional volatility of the CSI 300, CSI 500, and CSI 1000 index components has increased over the past week, indicating a better short-term Alpha environment[34][42] - The time-series volatility of the CSI 300, CSI 500, and CSI 1000 index components has also increased over the past week, suggesting an improved Alpha environment[42][45] - The moving average sentiment indicator shows that the CSI 300 index is in a positive sentiment range in the short term[32][36] - The momentum sentiment indicator, which uses a double smoothing method with different window periods, shows that the fast line is below the slow line, indicating a cautious market attitude[28][29] - The CSI 300 index's rising stock count ratio sentiment indicator is around 62%, indicating a mixed market sentiment[26][27] - The report highlights the importance of the "dividend + technology" theme, with dividends potentially having an advantage in terms of volatility[12][13] - The report tracks the net inflows of southbound funds, which amounted to HKD 274.91 billion for the week[3][72] - The report also monitors the ETF market, noting a net inflow of RMB 189.58 billion for equity ETFs during the week[3][77]

Report Summary 1. Report Industry Investment Rating The report does not explicitly mention the industry investment rating. 2. Core Views - The overall market uncertainty in November is expected to decline, and the probability of institutional加仓 is relatively high. Geopolitical negotiations between China and the United States are progressing orderly, and there was a summit in Busan at the end of October. Historically, insurance funds tend to enter the market for allocation in November and reduce positions in December. From 2022 - 2024, the average convertible bond position of insurance funds in November increased by 3.2% month - on - month, only slightly lower than that in January. [1][7] - Historically, the convertible bond market in November has a strong risk preference, with small - scale and low - rating bonds having high win - rate and odds. However, in December, there may be an obvious style switch, with large - scale and high - rating convertible bonds being dominant. [2] - The market has continuously broken through the upper edge of the 10 - year "convergent triangle", and the market trend is more optimistic. In October, the Shanghai Composite Index broke through 4000 points and closed above the "convergent triangle" formed since 2015 for many consecutive days. Although there may be a back - test for confirmation later, the trend breakthrough may bring more confidence to the market, and the subsequent market is worth looking forward to. [3][7] - Historically, the convertible bond market in November has a certain calendar effect, with a relatively high probability of positive performance. From 2018 to 2024, the probability of the China Securities Convertible Bond Index rising in November was about 71%, second only to July; the average monthly increase was 1.3%, second only to February and July. The high prosperity of the convertible bond market in November mainly comes from the promotion of the underlying stocks, and the valuation performance is average. [3][8] - Quantitatively, it is recommended to continue to pay attention to convexity and undervaluation strategies. The deep - learning undervaluation + convexity strategy and the traditional high - convexity strategy proposed earlier both achieved positive excess returns in October. The MLP undervaluation strategy had an excess return of nearly 1.8% in the past month and over 15% in the past year, performing the best. [3][22] - The top ten convertible bonds in November are Yiwei, Guanyu, Liyang, Yirui, Shentong, Bojun, Zhongte, ALa, Hebang, and Bengang. [3][26] 3. Summary According to the Directory 3.1 Market Trend Breakthrough and Year - End Allocation Market - In October, due to profit - taking demands, the release of listed companies' third - quarter reports, and geopolitical uncertainties, institutional enthusiasm for participating in the convertible bond market was generally low. In September 2025, the convertible bond positions of insurance institutions in the Shanghai and Shenzhen stock markets decreased by more than 20% month - on - month, reaching the lowest level since 2023. [7] - Looking forward to November, the overall market uncertainty is expected to decline, and the probability of institutional加仓 is relatively high. The market has broken through the upper edge of the 10 - year "convergent triangle", and the subsequent market is worth looking forward to. [7] 3.2 November's Win - Rate and Odds, Focus on Stock - like Nature and Qualification Downgrade - From 2018 to 2024, the probability of the China Securities Convertible Bond Index rising in November was about 71%, and the average monthly increase was 1.3%, indicating a high probability of high prosperity. The high prosperity mainly comes from the promotion of the underlying stocks, and the valuation performance is average. The average change in the 100 - yuan premium rate in November from 2018 to 2024 was - 0.4%, with a probability of more than 50% of a decline. [8][12] - In terms of style, small - scale and low - rating bonds may have high win - rate and odds in November. Since 2020, the average excess return of low - rating bonds relative to high - rating bonds in November was 10.4%, and that of small - scale bonds relative to large - scale bonds was 8.6%, both being the highest among all months. The probability of positive excess returns for small - scale and low - rating convertible bonds in November is about 80%. However, in December, there may be an obvious style switch. [17] 3.3 Quantification: Timing Signals Strengthen at the End of the Month, Focus on Undervaluation and Convexity - In terms of timing, the model's bullish signal strengthened at the end of October. Based on the timing model in the previous report, the model signal fluctuated around the threshold throughout October, and the timing effect slightly outperformed the China Securities Convertible Bond Index. At the end of October, the model signal value was 9.4%, the strongest in the past month. It is considered that the probability of the model being bullish in November is relatively high. [20] - Strategically, it is recommended to continue to pay attention to convexity and undervaluation strategies. The MLP undervaluation strategy had an excess return of nearly 1.8% in the past month and over 15% in the past year, performing the best. The positions of the MLP undervaluation and small - scale high - convexity strategies as of October 31, 2025, are provided. [22][23] 3.4 Individual Bonds: Top Ten Convertible Bonds in November - In November, a dumbbell - shaped combination of technology and cyclical domestic demand is continued. In the technology sector, the lithium - battery and energy - storage directions are favored, such as Yiwei and Guanyu convertible bonds. Technology - related convertible bonds may continue to be the main line in November, such as Liyang, Yirui, and Shentong convertible bonds. For high - performance convertible bonds, Bojun is recommended. In the cyclical + domestic demand sector, Zhongte, ALa, Hebang, and Bengang convertible bonds are recommended. [26] 3.5 October Market Review - In October, the China Securities Convertible Bond Index fluctuated, and the valuation remained high. The index showed a "V" - shaped trend, and Sino - US game was the main influencing factor. Compared with major broad - based indexes, the China Securities Convertible Bond Index performed strongly, underperforming the Guozheng Value and Shanghai Composite Indexes but outperforming the Guozheng 2000 and China Securities 1000 with similar underlying stocks. The 100 - yuan premium rate continued to fluctuate at a high level, closing at 28.8% at the end of the month, remaining above 28% throughout the month. [28] - In terms of clause games, the probability of convertible bond downward revisions decreased month - on - month in October, and the probability of non - call increased. Only three companies proposed downward revisions in October. Nine listed companies announced call provisions in October, the lowest number in the second half of 2025. [30][31] - In terms of supply, there was a net exit of convertible bonds in October, and the acceptance speed of new bonds increased significantly. The net supply of the convertible bond market in October was - 3.31 billion yuan, and the scale of convertible bonds at the end of the month was 55.979 billion yuan. Three convertible bonds were listed in October, with a listing scale of 730.2 million yuan. The two exchanges accepted a total of 20 convertible bond issuance plans, with a face - value scale of 20.144 billion yuan, the highest monthly level since April 2023. [32] - In terms of institutional behavior, insurance funds may have continued to reduce their convertible bond positions in October, while the convertible bond positions of public funds were firm. Insurance's convertible bond positions on the Shanghai Stock Exchange decreased by 7.25% month - on - month in October 2025, and the scale of convertible bonds held by general institutional investors decreased significantly due to the delisting of Pufa Convertible Bonds. Bank - related funds, including wealth management and self - operation, significantly reduced their convertible bond holdings. [34]

Core Insights - A-share companies' profits showed a year-on-year growth of 5.4% in the first three quarters of 2025, with non-financial profits increasing by 1.7% [2][5][25] - The third quarter saw a significant improvement in profit growth across various sectors, with non-financial net profits rising by 11.4% year-on-year, compared to 3.8% in the second quarter [2][5][7] Performance Growth - A-share companies' net profits for the first three quarters of 2025 were 5.4% for all A-shares, 9.5% for financials, and 1.7% for non-financials [5][25] - In Q3 2025, the net profit growth for non-financial sectors was 11.4%, with a notable improvement from Q2 [2][7] - The revenue for non-financial sectors increased by 0.6% year-on-year, indicating a slight recovery in profit margins [2][5] Industry Performance - The number of industries with profit improvements increased, with 48 industries (37% of total) reporting a year-on-year net profit growth exceeding 20% [15][19] - The TMT sector, non-ferrous metals, and certain midstream industries performed well, reflecting the positive impact of policy shifts [15][19] - The energy and raw materials sector saw a decline in profit share from nearly 40% in 2022 to 30.5% in Q3 2025 [13][19] Economic Segmentation - New economy sectors showed a profit growth of 12.1% year-on-year in Q3, while traditional sectors experienced a reduced decline of -2.1% [11][19] - Upstream, midstream, and downstream profit growth rates were 4.0%, 10.3%, and -3.1%, respectively, indicating a recovery in upstream profits [16][19] - The performance of the consumer sector was weak due to policy rollbacks and weak demand, with significant declines in various sub-sectors [17][19] Profit Quality - A-share non-financial ROE stabilized in Q3 2025, with a slight increase compared to Q2, indicating potential stabilization after a prolonged decline [25][26] - The cash flow situation showed improvements, with operating cash flow remaining at a high level, supporting dividend certainty for A-share companies [31][33] - Non-financial companies' free cash flow to equity ratio maintained at around 5.2%, providing a solid foundation for dividends [33]

Group 1: Fund Scale and Performance - The total net asset value of public funds reached 35.41 trillion yuan by the end of Q3 2025, an increase of 1.69 trillion yuan from the end of Q2 2025, with a quarterly growth of 2.65% in the A-share market [3][16]. - Non-monetary market fund scale reached 21.06 trillion yuan, up 1.56 trillion yuan from the previous quarter, representing a quarter-on-quarter increase of 8.02% and a year-on-year increase of 13.48% [3][16]. - Passive index bond funds led the growth with a scale of 1.82 trillion yuan, showing a quarter-on-quarter increase of 19.13% and a year-on-year increase of 80.38% [3][24]. Group 2: Active Equity Funds - As of the end of Q3 2025, there were 4,268 active equity funds with a total scale of 3.94 trillion yuan, reflecting a quarter-on-quarter increase of 1.06% and a year-on-year increase of 4.80% [4][25]. - The average holding ratio of active equity funds was 88.91%, with the top 10 holdings accounting for an average of 39.90% of the fund's net value, indicating a slight increase in concentration [4][27]. - The top ten fund companies accounted for 44.7% of the total active equity fund market, highlighting a significant concentration effect among leading firms [4][28]. Group 3: Fixed Income Plus Funds - By the end of Q3 2025, there were 1,631 fixed income plus funds with a total scale of 2.11 trillion yuan, with a notable increase in the number of funds in the medium and low elasticity categories [5][40]. - The market saw a significant increase in the allocation to electronic, power equipment and new energy, and non-ferrous metals sectors, with respective increases of 4.6%, 3.2%, and 3.0% in heavy positions [5][69]. - The top three fund companies managing fixed income plus funds were E Fund, Invesco Great Wall, and Fortune Fund, with E Fund managing over 237.2 billion yuan [5][46]. Group 4: FOF, ETF, QDII, and Quantitative Funds - As of Q3 2025, there were 518 FOF funds with a total scale of 1934.89 billion yuan, reflecting a quarter-on-quarter increase of 16.8% [6]. - The ETF market reached a total scale of 54,770.41 billion yuan, up 32.08% from Q2 2025 [6]. - The QDII market had 266 funds with a total scale of 740.3 billion yuan, indicating a quarter-on-quarter increase of 22.25% [6][24].

Group 1: Market Outlook - The "14th Five-Year Plan" signals increased reform and innovation, suggesting medium-term upward momentum in the market, despite short-term liquidity concerns at year-end[3] - Focus on sectors aligned with the "14th Five-Year" industrial guidance and Q3 performance, particularly technology growth (AI, semiconductors, innovative pharmaceuticals) and advanced manufacturing (new energy)[3] Group 2: Recommended Stocks - Dongcheng Pharmaceutical (002675.SZ) has a market cap of 12.2 billion CNY, with a TTM PE of 73.3, driven by ongoing innovation and clinical trials[4] - Zhongwei Company (688012.SH) leads in high-end semiconductor equipment with a market cap of 187.9 billion CNY and a TTM PE of 98.2, benefiting from increased product delivery[11] - Haiguang Information (688041.SH) has a market cap of 553.7 billion CNY and a TTM PE of 233.9, positioned well in the AI and domestic substitution trends[19] - Industrial Fulian (601138.SH) focuses on AI, with a market cap of 1548.3 billion CNY and a TTM PE of 50.7, showing strong revenue growth of 38.4% YoY[27] - Penghui Energy (300438.SZ) leads in small-scale energy storage with a market cap of 24.5 billion CNY, benefiting from rising demand and price improvements[35] - Jinfeng Technology (002202.SZ) has a market cap of 66.2 billion CNY and a TTM PE of 26.1, with improving margins in wind turbine manufacturing[42] - Luoyang Molybdenum (603993.SH) has a market cap of 369.8 billion CNY and a TTM PE of 19.3, with copper prices expected to rise[50] - Huaxin Cement (600801.SH) has a market cap of 40.6 billion CNY and a TTM PE of 13.5, with significant growth in overseas operations[57] - China Pacific Insurance (601601.SH) has a market cap of 342.5 billion CNY and a TTM PE of 7.6, noted for its high dividend yield and resilient asset performance[64] - Shanghai Bank (601166.SH) has a market cap of 13.4 billion CNY and a TTM PE of 5.6, recognized for its stable asset quality and dividend value[73]

Fund Position Monitoring - The median position of ordinary equity funds is 91.98%, and for mixed equity funds, it is 91.33%, showing an increase compared to the previous quarter. The current positions are at historical percentiles of 98.41% and 100% respectively [1][6][11] - The average Hong Kong stock allocation for ordinary equity funds is 13%, and for mixed equity funds, it is 17.11%, both slightly increased from the previous quarter. The number of funds allocating to Hong Kong stocks is 241 for ordinary equity funds and 1,671 for mixed equity funds, accounting for 59.55% of the total [1][11][9] Fund Holding Concentration Monitoring - The proportion of heavy-weight stocks in equity allocation is 54.96%, up from 52.46% in the previous period, indicating a significant increase in concentration. The total number of stocks held by fund managers decreased to 2,377 from 2,507, suggesting reduced diversity in holdings [10][1][6] Sector Allocation Monitoring - The main board allocation weight is 47.54%, the ChiNext board is 19.29%, the Sci-Tech Innovation board is 13.91%, and Hong Kong stocks are 19.26%. The main board weight has decreased significantly, while the ChiNext and Sci-Tech boards have increased [21][24] - The technology sector saw a substantial increase in allocation, rising by 12.97% to a historical high of 50.51%. In contrast, the consumer and financial sectors saw significant reductions of 6.08% and 3.48%, respectively, reaching historical lows [24][27] Industry Allocation Monitoring - The top three industries by allocation weight are electronics (23.93%), electric power equipment and new energy (10.27%), and pharmaceuticals (9.81%). The industries with the most active increases in allocation are communication, computer, and electronics, with increases of 2.93%, 1.97%, and 1.85% respectively [26][27][28] Individual Stock Allocation Monitoring - The three stocks with the highest absolute market value allocation are Ningde Times (740 billion), Tencent Holdings (682 billion), and Xinyi Technology (559 billion) [31][32] Performance Fund and Billion Fund Industry Allocation Monitoring - The top three industries allocated by performance funds are electronics (41.18%), communication (38.25%), and computer (8.57%). For billion-scale funds, the top three industries are electronics (26.6%), pharmaceuticals (13.97%), and food and beverage (11.41%) [35][36]

- The report does not contain any quantitative models or factors for analysis

Quantitative Models and Construction - **Model Name**: Three-dimensional Timing Framework **Construction Idea**: The model integrates liquidity, divergence, and prosperity indicators to assess market timing and trends[7][12][14] **Construction Process**: 1. Liquidity indicator measures market liquidity trends[17] 2. Divergence indicator tracks market disagreement levels[16] 3. Prosperity indicator evaluates market sentiment and economic activity[19] 4. Combine these three dimensions into a unified framework to predict market movements[12][14] **Evaluation**: The model shows historical effectiveness in identifying market support levels and timing trends[7][14] - **Model Name**: ETF Hotspot Trend Strategy **Construction Idea**: Select ETFs based on price movement patterns and market attention to construct a risk-parity portfolio[25][26] **Construction Process**: 1. Identify ETFs with simultaneous upward trends in highest and lowest prices[25] 2. Calculate regression coefficients of price movements over the past 20 days to construct support-resistance factors[25] 3. Select top 10 ETFs with the highest turnover ratio (5-day/20-day) for portfolio construction[25] **Evaluation**: The strategy demonstrates cumulative excess returns over the CSI 300 index[26] - **Model Name**: Capital Flow Resonance Strategy **Construction Idea**: Combine financing and large-order capital flows to identify industries with strong capital resonance[29][33] **Construction Process**: 1. Define financing factor as the net financing buy minus net financing sell, neutralized by Barra market capitalization[33] 2. Define large-order factor as net inflow sorted by industry and neutralized by one-year trading volume[33] 3. Combine the two factors, excluding extreme industries and large financial sectors, to enhance strategy stability[33][36] **Evaluation**: The strategy achieves annualized excess returns of 13.5% since 2018, with an IR of 1.7[33] Model Backtesting Results - **Three-dimensional Timing Framework**: Historical performance indicates effective identification of market support levels and timing trends[14] - **ETF Hotspot Trend Strategy**: Cumulative excess return over CSI 300 index observed since the beginning of the year[26] - **Capital Flow Resonance Strategy**: - Annualized excess return: 13.5% since 2018 - IR: 1.7 - Weekly absolute return: 2.86% - Weekly excess return: 0.19%[33] Quantitative Factors and Construction - **Factor Name**: Beta **Construction Idea**: Measure stock sensitivity to market movements[39] **Construction Process**: Calculate stock beta using historical price data and market index movements[39] **Evaluation**: High-beta stocks outperform low-beta stocks, achieving 3.05% weekly return[39] - **Factor Name**: Momentum **Construction Idea**: Capture the continuation of stock price trends[39] **Construction Process**: Calculate momentum based on past price performance over a defined period[39] **Evaluation**: Momentum factor records 1.28% weekly return, indicating strong performance of previously high-performing stocks[39] - **Factor Name**: Liquidity **Construction Idea**: Assess market preference for high-liquidity stocks[39] **Construction Process**: Measure liquidity using trading volume and turnover ratios[39] **Evaluation**: Liquidity factor achieves 2.06% weekly return, reflecting market favorability for liquid stocks[39] - **Factor Name**: Illiquidity (Illia) **Construction Idea**: Evaluate stock price impact driven by large trading volumes[44][45] **Construction Process**: Measure daily price changes driven by trading volumes exceeding one billion[45] **Evaluation**: Illiquidity factor achieves 1.48% weekly excess return and 2.11% monthly excess return[45] - **Factor Name**: Volume Mean and Standard Deviation **Construction Idea**: Analyze trading volume trends over different time windows[44][45] **Construction Process**: 1. Calculate mean and standard deviation of trading volumes over 1-month, 3-month, 6-month, and 12-month windows[45] 2. Normalize and rank stocks based on these metrics[45] **Evaluation**: Volume-related factors show consistent positive excess returns across different time windows, with weekly returns ranging from 0.64% to 0.99%[45] - **Factor Name**: R&D Intensity **Construction Idea**: Measure the proportion of R&D expenditure relative to sales revenue[45] **Construction Process**: Calculate R&D expenses divided by total sales revenue[45] **Evaluation**: R&D intensity factor records 0.59% weekly excess return and 0.67% monthly excess return[45] Factor Backtesting Results - **Beta Factor**: Weekly return: 3.05%[39] - **Momentum Factor**: Weekly return: 1.28%[39] - **Liquidity Factor**: Weekly return: 2.06%[39] - **Illiquidity Factor**: Weekly excess return: 1.48%, Monthly excess return: 2.11%[45] - **Volume Mean and Standard Deviation Factors**: Weekly returns range from 0.64% to 0.99%, Monthly returns range from 1.49% to 2.29%[45] - **R&D Intensity Factor**: Weekly excess return: 0.59%, Monthly excess return: 0.67%[45]

Market Overview - The A-share market continues to show strength, with the Shanghai Composite Index reaching a new 10-year high, closing up 0.71% at 3950.31 points, while the Shenzhen Component and ChiNext Index rose by 2.02% and 3.57% respectively [3] - The total market turnover increased significantly to 1.99 trillion yuan, up 19.9% from the previous trading day, indicating a notable influx of new capital [3] Sector Performance - The "14th Five-Year Plan" has established a focus on technology, leading to a surge in technology stocks, with sectors such as telecommunications, electronics, and new energy seeing gains of 4.62%, 4.54%, and 1.89% respectively [5] - Conversely, defensive sectors such as oil, coal, and real estate experienced declines, suggesting a shift in market sentiment from defensive to offensive strategies [5] Trading Hotspots - Recent trading activity has highlighted a strong performance in large-cap stocks, with notable gainers including Cambrian Biologics (up 9.01%) and Zhongji Xuchuang (up 12.05%) [7] - The report emphasizes the importance of monitoring the "14th Five-Year Plan" and developments in US-China relations for future market direction [6][9] Bond Market Insights - The bond market is experiencing slight adjustments, with government bond futures showing a downward trend, particularly in long-term contracts, reflecting market pricing for long-term interest rate pressures [6] - The central bank's liquidity remains ample, with a net injection of 32 billion yuan through reverse repos, maintaining a stable interbank market [6] Commodity Market Trends - Oil prices continue to show strength, supported by geopolitical factors and a decrease in US crude oil inventories, with domestic crude prices reflecting this upward trend [8][10] - Copper prices are nearing previous highs, driven by low inventory levels and improved demand expectations from the manufacturing sector [10] Investment Themes - Key investment themes include the acceleration of capital expenditure in AI by global tech giants, ongoing support for domestic semiconductor development, and the potential for breakthroughs in quantum technology [10] - The report suggests that the market may continue its upward trajectory, with a focus on the implications of upcoming macroeconomic events such as the Federal Reserve's meetings and APEC summit [9][11]

Investment Rating - The report maintains a "Strong Buy" rating for the company, indicating an expected stock performance that will exceed the market by more than 20% within the next six months [14]. Core Insights - The company has demonstrated strong profitability and has substantial potential in the energy storage sector, with a total revenue of 283.072 billion yuan for the first three quarters of 2025, reflecting a year-on-year growth of 9.28% [5][9]. - The net profit attributable to shareholders for the same period reached 49.034 billion yuan, marking a significant year-on-year increase of 36.20% [5]. - The company is experiencing robust demand for its products, with a total shipment of nearly 180 GWh in the third quarter, of which energy storage accounted for approximately 20% [9]. - The gross profit margin for the first three quarters of 2025 was 25.31%, showing a steady increase quarter by quarter [9][10]. - The company is expanding its production capacity to meet the growing demand in both domestic and international markets, particularly in energy storage solutions [10]. Financial Performance Summary - For 2025, the company is projected to achieve total revenue of 428.345 billion yuan, with a net profit of 66.706 billion yuan, reflecting a year-on-year growth of 31.5% [7][12]. - The gross margin is expected to improve to 25.5% in 2025, with a net margin of 15.6% [12]. - The company's return on equity (ROE) is projected to remain stable at 20.6% for 2025, with an upward trend expected in subsequent years [12]. Market Position and Future Outlook - The company is positioned as a global leader in lithium battery technology, with a comprehensive market presence and a strong focus on innovation in solid-state batteries and other advanced technologies [10]. - The report anticipates a significant increase in the company's earnings forecasts for 2025-2027, with projected profits of 667.06 billion yuan in 2025, 854.45 billion yuan in 2026, and 1,062.23 billion yuan in 2027 [10].