- **Quantitative model and construction method** - **Model name**: Three-dimensional timing framework - **Model construction idea**: The model integrates liquidity, divergence, and prosperity indicators to assess market trends and provide timing signals [7][11][12] - **Model construction process**: 1. **Liquidity index**: Calculated based on market trading volume and other liquidity-related metrics [18] 2. **Divergence index**: Measures the degree of disagreement among market participants [16] 3. **Prosperity index**: Reflects the overall economic and market health, scaled to match the dimension of the Shanghai Composite Index [20] 4. Combine the three indices into a unified framework to evaluate market conditions and predict trends [12] - **Model evaluation**: The model maintains a stable performance in predicting market trends, with historical data showing its effectiveness in identifying periods of market oscillation and downturns [14] - **Quantitative factor and construction method** - **Factor name**: Growth factor - **Factor construction idea**: Measures the growth potential of stocks based on financial metrics such as revenue and profit growth [39][40] - **Factor construction process**: 1. Calculate the growth rate of key financial metrics, such as revenue, profit, and liabilities [42][44] 2. Normalize the metrics by market capitalization and industry to ensure comparability [41] 3. Construct the factor by aggregating the normalized metrics into a composite score [42][44] - **Factor evaluation**: The growth factor demonstrated positive returns, with high-growth stocks outperforming low-growth stocks in the recent week [40][42] - **Factor name**: Size factor - **Factor construction idea**: Evaluates the performance of stocks based on their market capitalization [39] - **Factor construction process**: 1. Divide stocks into groups based on market capitalization [39] 2. Calculate the average return for each group [39] 3. Compare the performance of large-cap stocks against small-cap stocks [39] - **Factor evaluation**: Large-cap stocks outperformed small-cap stocks, with the size factor recording positive returns [39] - **Factor name**: Beta factor - **Factor construction idea**: Measures the sensitivity of stocks to market movements [40] - **Factor construction process**: 1. Calculate the beta of each stock based on historical price movements relative to the market [40] 2. Group stocks into high-beta and low-beta categories [40] 3. Compare the performance of high-beta stocks against low-beta stocks [40] - **Factor evaluation**: High-beta stocks outperformed low-beta stocks, with the beta factor recording positive returns [40] - **Factor name**: Alpha factors (multiple) - **Factor construction idea**: Focuses on growth-related metrics and analyst adjustments to predict stock performance [42][46] - **Factor construction process**: 1. Calculate metrics such as single-quarter ROE growth, revenue growth, and analyst forecast adjustments [42][46] 2. Normalize these metrics by market capitalization and industry [41] 3. Aggregate the metrics into individual alpha factors [42][46] - **Factor evaluation**: Alpha factors such as single-quarter ROE growth and analyst forecast adjustments showed strong performance, particularly in small and mid-cap stocks [46][47] - **Model backtesting results** - **Three-dimensional timing framework**: Historical performance indicates stable prediction of market oscillations and downturns [14] - **Factor backtesting results** - **Growth factor**: Weekly long-side excess return of 0.42% [40] - **Size factor**: Weekly long-side excess return of 1.57% [39] - **Beta factor**: Weekly long-side excess return of 1.08% [40] - **Alpha factors**: - Single-quarter ROE growth (considering quick reports and forecasts): Weekly excess return of 1.61%, monthly excess return of 10.17% [44][47] - Analyst forecast adjustment (np_FY1): Weekly excess return of 7.14% in CSI 300, 5.60% in CSI 500, 9.54% in CSI 1000, and 4.19% in CSI 2000 [47] - Single-quarter ROE growth (report): Weekly excess return of 7.47% in CSI 300, 3.84% in CSI 500, 8.11% in CSI 1000, and 3.09% in CSI 2000 [47]

华福证券 2025 年 10 月 12 日 金 融 工 程 科创板组合 9 月录得显著收益，10 月模型推荐调 低价值风格配置——策略化选股月报（2025/10） 投资要点： 多策略选股策略 金 融 工 程 定 策略在 2025 年 10 月对子策略的权重配置在质量选股策略权重占 比最高，约 35.71%，在价值股选股策略上的权重占比最小，约 15.16%。 9 月多策略选股策略绝对收益-0.38%，多策略选股策略相对中证全指超 额收益-2.95%。 极致风格高 BETA 选股策略 期 报 告 策略在 2025 年 10 月对子策略的权重配置在大盘价值策略权重占 比最高，为 50%，在小盘成长策略上的权重占比最小，为 17.29%。9 月极致风格高 BETA 策略绝对收益-3.28%，极致风格高 BETA 策略相 对中证全指超额收益低 5.77%。 "红利+"优选股票策略 2025 年 9 月，"红利+"优选股票策略绝对收益 0.83%，相对中证 全指指数超额收益-1.77%，相对红利收益指数超额收益 4.16%。策略持 仓合计选入 30 支股票，平均市值 1320.14 亿元，主要分布在银行和电 力及公共事 ...

Group 1 - The core viewpoint of the report indicates that all three major indices have experienced five consecutive months of gains, with the ChiNext 50 index rising by 59.45% and the Shanghai Composite Index increasing by 12.73% in Q3 2025 [1][9][10] - In terms of industry performance, only a few sectors reported negative returns, with the telecommunications sector up by 50.20% and the electronics sector up by 44.49% [1][11] - The report highlights that the timing models for Q3 2025 generally achieved absolute positive returns, although it was challenging to outperform the benchmark itself [1][5] Group 2 - The report suggests a positive outlook for Q4 2025, particularly favoring sectors such as electric equipment and new energy, telecommunications, and comprehensive sectors [2] - The report emphasizes the development of various effective strategies based on historical timing, industry rotation, and stock selection models [5][6] - The report outlines the performance of different types of funds, noting that equity mixed funds had the best average return of 25.83% during a period of rising market indices [13]

10月10日晚间，山东金岭矿业股份有限公司（简称"金岭矿业"）和广东道氏技术股份有限公司（简 称"道氏技术"）发布2025年第三季度报告，拉开了A股三季报披露的大幕。 根据公告，金岭矿业今年前三季度实现营业收入同比增长12.98%；实现归属于上市公司股东的净利润 同比增长47.09%。道氏技术今年前三季度实现归属于上市公司股东的净利润同比增长182.45%。其中， 第三季度营业收入同比增长18.84%；归属于上市公司股东的净利润同比增长408.27%。 该团队预计，三季度上市公司业绩有望改善或持续高增的领域主要集中在：景气修复的中高端制造业； 高景气延续的AI产业链；供需结构改善、价格上涨的部分资源品等。 华金证券首席策略分析师邓利军指出，从基本面视角来看，上游原材料方面，有色金属等行业三季度盈 利可能继续修复，黑色行业可能承压；中游制造业方面，TMT（电信、媒体和科技）、交通运输、机 械、电力设备及新能源等行业三季度盈利可能修复；下游消费方面，汽车、商贸零售、社会服务等行业 三季度盈利也可能有所改善。 从基数的角度来看，房地产、钢铁、电力设备及新能源、军工、建材和纺织服装等行业在去年三季度的 盈利同比增速排 ...

Market Performance - On October 10, 2025, the three major indices collectively declined: Shanghai Composite Index fell by 0.94%, Shenzhen Component Index dropped by 2.70%, and ChiNext Index decreased by 4.55%[2] - The total market turnover was 25,341.41 billion yuan, a decrease of 1,376.72 billion yuan from the previous trading day[2] - Out of 5,309 stocks, 2,773 rose while 2,536 fell, indicating a bearish market sentiment[2] Sector and Style Analysis - In terms of sector performance, the top gainers were: Building Materials (1.89%), Textiles and Apparel (1.75%), and Coal (1.44%); while the worst performers included Electronics (-4.69%), Power Equipment and New Energy (-3.88%), and Computers (-3.81%)[21] - The market style ranking showed Stability > Finance > 0 > Consumption > Cyclical > Growth, with large-cap value outperforming mid-cap and small-cap growth stocks[21] Capital Flow - On October 10, 2025, the net outflow of main funds was 1,257.84 billion yuan, with super large orders seeing a net outflow of 912.47 billion yuan and large orders a net outflow of 345.37 billion yuan[25] - Small orders continued to see a net inflow of 1,061.21 billion yuan, indicating retail investor interest despite the overall market decline[25] ETF Trading Activity - Major ETFs such as Huaxia SSE 50 ETF and Huatai-PB CSI 300 ETF saw increased trading volumes, with respective turnover changes of +7.86 billion yuan and +12.73 billion yuan[29] - The total turnover for the mentioned ETFs was 29.14 billion yuan for Huaxia SSE 50 ETF and 55.82 billion yuan for Huatai-PB CSI 300 ETF on October 10, 2025[29] Global Market Overview - On October 10, 2025, major Asia-Pacific indices showed mixed results, with the Hang Seng Index down 1.73% and the Nikkei 225 down 1.01%[33] - In the U.S., major indices also declined, with the Dow Jones Industrial Average down 0.52% and the S&P 500 down 0.28%[34]

Group 1 - The core viewpoint is that the energy storage business within the power equipment and new energy industry is experiencing high demand, with Penghui Energy leading the small energy storage cell market, projected to be among the top three globally in household storage cell shipments by the first half of 2025 [1] - Solid-state battery technology is continuously being optimized, with energy density increasing from 280Wh/Kg to 320Wh/Kg, indicating advancements in battery technology [1] - Overall, the new energy industry is maintaining a good growth momentum driven by both energy storage and offshore wind power [1] Group 2 - The New Energy Vehicle ETF (159806) tracks the CS New Energy Vehicle Index (399976), which selects listed companies involved in battery materials, battery manufacturing, and vehicle production from the Shanghai and Shenzhen markets to reflect the overall performance of the new energy vehicle manufacturing industry [1] - The CS New Energy Vehicle Index has a growth-oriented style, focusing on the new energy vehicle industry and covering the complete industrial chain from raw materials to end products [1]

平安证券指出，电力设备及新能源行业呈现结构性景气，其中储能需求持续高增长，鹏辉能源小型储能 电芯出货量位居全球前三，固态电池技术迭代优化，能量密度提升至320Wh/Kg。海上风电领域，2025 年以来国内项目竞配、招标及施工态势良好，预计新增装机量进一步增长，同时中英合作推动整机出口 机遇。行业整体受益于技术升级与需求回暖。 （文章来源：每日经济新闻） 机械ETF（516960）跟踪的是细分机械指数（000812），该指数从沪深市场中选取涉及工程机械、工业 自动化等子领域的上市公司证券作为指数样本，以反映机械设备行业内优质公司的整体表现。细分机械 指数成分股主要为具有较高市场占有率和技术优势的机械制造企业，风格上偏向成长与价值平衡，适合 关注高端制造和产业升级趋势的投资者。 ...

研究早观点 2025 年 9 月 29 日 星期一 市场走势 资料来源：最闻 国内市场主要指数 | 指数 | | 收盘 | 涨跌幅% | | --- | --- | --- | --- | | 上证指数 | | 3,828.11 | -0.65 | | 深证成指 | | 13,209.00 | -1.76 | | 沪深 | 300 | 4,550.05 | -0.95 | | 中小板指 | | 8,177.93 | -1.85 | | 创业板指 | | 3,151.53 | -2.60 | | 科创 | 50 | 1,450.82 | -1.60 | | 资料来源：最闻 | | | | 分析师： 彭皓辰 执业登记编码：S0760525060001 邮箱：penghaochen@sxzq.com 【今日要点】 【行业评论】煤炭：煤炭扩储行为研究之二:探索扩储周期-探索扩储周 期 【行业评论】煤炭：煤炭进口数据拆解：25 年 8 月进口煤继续复苏， 关注海外价格回升趋势 【行业评论】电力设备及新能源：行业周报（20250915-20250921）- 宇树科技宣布开源模型，多晶硅能耗标准收紧 2019 年 2 月 ...

Core Insights - The report indicates that the growth style of the market has shone brightly in September, aligning with previous predictions of reaching a peak. It suggests that in October, the growth style will continue to thrive but with increased volatility, advocating for a balanced allocation between cyclical and technology sectors [1][2][3] Sector Rotation: Focus on Broad Growth Direction, Cyclical and Consumer Sectors - The market style is leaning towards mid and large-cap stocks, with growth outperforming value. The cyclical and consumer sectors are expected to be relatively dominant in October [2][12] - The probability of a Federal Reserve rate cut in October remains high at 91.9%, which is anticipated to create a favorable financial environment for growth stocks [2][33] Industry Allocation: Focus on Technology, Cyclical, and Large Financial Sectors - The top ten industries based on scoring include electric power equipment and new energy, non-ferrous metals, machinery, communication, agriculture, electronics, non-bank financials, basic chemicals, consumer services, and computers [4][46] - The report emphasizes a "win rate" approach, favoring investments in electric power, electronics, non-ferrous metals, and basic chemicals, while a "odds" approach suggests focusing on underperforming sectors like brokerage firms and real estate [4][47] Next Month's Sector Allocation Recommendations - The report recommends a focus on broad growth styles, particularly in cyclical and consumer sectors. It highlights the importance of investing in electric power, electronics, non-ferrous metals, and basic chemicals, while also considering underperforming sectors like brokerage firms and real estate [5][46]

Domestic Market Overview - The domestic market experienced narrow fluctuations with mixed performance on September 25, 2025. The Shanghai Composite Index closed at 3853.3 points, down 0.01%, while the Shenzhen Component Index rose 0.67% to 13445.9 points. The STAR Market 50 Index increased by 1.24%, and the ChiNext Index rose by 1.58%. The total trading volume of the A-share market reached 239.18 billion yuan, slightly up from the previous day [1][4][9] - Among the 30 sectors tracked by CITIC, 11 sectors saw gains, with telecommunications, media, and electric equipment & new energy leading the increases. Conversely, home appliances, textiles & apparel, and agriculture, forestry, animal husbandry & fishery experienced significant declines. Notably, indices related to servers, semiconductor silicon wafers, and the copper industry showed active performance [1][4][9] Overseas Market Overview - On September 24, 2025, the three major U.S. stock indices experienced slight declines. The Dow Jones fell by 0.38%, the S&P 500 dropped by 0.5%, and the Nasdaq also decreased by 0.5%. The index tracking the seven major U.S. tech companies fell by 0.34%, with Tesla dropping over 4% and Facebook declining by more than 1%. Chinese concept stocks showed mixed results, with Bitdeer falling over 5% [2][4] Key News Highlights - The Ministry of Commerce announced an investigation into trade and investment barriers related to restrictions imposed by Mexico on Chinese products, particularly concerning increased import tariffs on various categories including automobiles, textiles, and electronics [3][11] - The total scale of public funds in China has surpassed 36 trillion yuan, marking the fifth historical high this year. As of the end of August 2025, the scale of stock funds increased by over 620 billion yuan, while bond funds saw a decline of over 28 billion yuan [3][15] - The Digital RMB International Operation Center has officially commenced operations, aimed at enhancing cross-border payment systems and promoting the internationalization of the RMB [3][17][18] - The China Nonferrous Metals Industry Association's Copper Industry Branch is accelerating research on standardized management measures for copper smelting capacity construction, addressing the issue of "involution" competition within the copper smelting industry [3][20][21][22]