Market Overview - The A-share market experienced an overall decline on October 13, with the Shanghai Composite Index closing at 3889.5 points, down 0.19%, the Shenzhen Component Index at 13231.47 points, down 0.93%, and the ChiNext Index at 3078.76 points, down 1.11% [1] - Total trading volume in the A-share market was 23745.34 billion, a decrease of 1599.58 billion compared to the previous trading day [1] Capital Flow - The A-share market saw a net outflow of main funds amounting to 398.64 billion, with an opening net outflow of 240.33 billion and a tail-end net inflow of 40.31 billion [2] - The CSI 300 index recorded a net outflow of 100.45 billion, while the ChiNext and STAR Market saw net outflows of 157.96 billion and 39.57 billion, respectively [4] Sector Performance - Among the 16 sectors, the electronics industry led with a net inflow of 158.99 billion, followed by non-ferrous metals with 125.83 billion [6][7] - The automotive sector experienced the largest net outflow of 72.77 billion, followed by pharmaceuticals with 24.57 billion and food and beverage with 23.07 billion [7] Individual Stock Highlights - Baogang Co. saw the highest net inflow of main funds at 14.37 billion [8] - Institutions showed significant interest in stocks like Canxin Technology, which had a net institutional buy of 203.48 million, and Duofluoride with 176.91 million [10][11] Institutional Focus - Recent institutional ratings highlighted stocks such as Huaguang Co. with a target price of 48.45, indicating a potential upside of 33.69%, and Changshu Automotive with a target price of 26.60, suggesting a 46.23% upside [12]

（来源：格隆汇APP） 来源：格隆汇 当周五美股收盘钟声响起，标普500指数2.71%的跌幅定格在K线图上，创下5月以来的最大单日跌幅。 纳斯达克指数更重挫3.56%，700点的失地让科技股的集体回调显得尤为刺眼。 与此同时，A股未能独善其身，截止今日收盘，创业板指下跌2%。那些前期与美股科技股联动上涨的 科技标的，成为抛售重灾区。 全球风险资产的同步跳水，恰似4月"对等关税"出台时的场景重现，但细究跌幅与市场情绪，又透着截 然不同的意味。 01 熟悉的剧本，不同的烈度 美股市场的回调呈现出鲜明的结构性特征。科技巨头集体沦陷，苹果跌3.45%，特斯拉跌超5.06%，英 伟达下跌4.89%，这些权重股的疲弱直接拖累了指数表现。 值得注意的是，此次下跌覆盖了从硬件制造到软件服务的全产业链，反映出市场对科技行业增长预期的 普遍修正。 更值得警惕的是罗素2000的跌幅（下跌2.99%），考虑到罗素2000主要小盘股为代表的指数，其大跌暗 示市场对金融稳定性的担忧开始抬头。 中国资产的分化则凸显了海外流动性依赖度的差异。港股市场作为离岸市场的代表，对贸易摩擦和美元 流动性的敏感度远超A股。恒生科技指数成分股中，既有依赖 ...

当周五美股收盘钟声响起，标普500指数2.71 %的跌幅定格在K线图上，创下 5月 以来的最大单日跌幅。 纳斯达克指数更重挫 3.56%，700点的失地让科技股的集体回调显得尤为刺眼。 与此同时， A股未能独善其身， 截止今日收盘， 创业板指下跌 2%。那些前期与美股科技股联动上涨的科技标的，成为抛售重灾区。 全球风险资产的同步跳水，恰似 4月"对等关税"出台时的场景重现，但细究跌幅与市场情绪，又透着截然不同的意味。 01 熟悉的剧本，不同的烈度 美股市场的回调呈现出鲜明的结构性特征。 科技巨头集体沦陷，苹果跌 3.45 %，特斯拉跌超 5.06 %，英伟达下跌 4 . 89 %，这些权重股的疲弱直接 拖累了指数表现。 值得注意的是，此次下跌覆盖了从硬件制造到软件服务的全产业链，反映出市场对科技行业增长预期的普遍修正。 更值得警惕的是 罗素 2000的跌幅（下跌2.99%） ， 考虑到罗素 2000主要小盘股为代表的指数，其大跌 暗示市场对金融稳定性的担忧开始抬头。 中国资产的分化则凸显了海外流动性依赖度的差异。 港股市场作为离岸市场的代表，对贸易摩擦和美元流动性的敏感度远超 A股。恒生科技指数成分股 中，既 ...

Market Overview - On October 13, the Shanghai Composite Index fell by 0.19%, the Shenzhen Component Index decreased by 0.93%, and the ChiNext Index dropped by 1.11% [1] - The Shanghai and Shenzhen 300 Index declined by 0.50% [1] - Among the tradable A-shares, 1,684 stocks rose, accounting for 31.05%, while 3,634 stocks fell [1] Capital Flow - The main capital experienced a net outflow of 38.169 billion yuan, marking the fourth consecutive trading day of net outflows [1] - The ChiNext saw a net outflow of 14.297 billion yuan, while the Sci-Tech Innovation Board had a net outflow of 3.681 billion yuan [1] - The Shanghai and Shenzhen 300 constituent stocks faced a net outflow of 10.916 billion yuan [1] Industry Performance - Among the 28 primary industries classified by Shenwan, 6 industries saw gains, with the non-ferrous metals and environmental protection sectors leading with increases of 3.35% and 1.65%, respectively [1] - The automotive and home appliance sectors had the largest declines, with decreases of 2.33% and 1.74% [1] Industry Capital Inflows - Nine industries experienced net inflows, with the steel industry leading at a net inflow of 1.351 billion yuan and a daily increase of 1.49% [3] - The non-ferrous metals sector followed with a net inflow of 1.087 billion yuan and a daily increase of 3.35% [3] Industry Capital Outflows - A total of 22 industries faced net outflows, with the electric equipment sector leading at a net outflow of 7.198 billion yuan and a daily decline of 0.68% [2] - The electronics sector also saw significant outflows, with a net outflow of 7.140 billion yuan and a slight decline of 0.05% [2] Individual Stock Performance - A total of 1,604 stocks experienced net inflows, with 552 stocks having inflows exceeding 10 million yuan [3] - The stock with the highest net inflow was Baogang Co., which rose by 9.84% with a net inflow of 1.860 billion yuan [3] - Conversely, stocks with the largest net outflows included BYD, with a net outflow of 1.508 billion yuan, followed by Sailis and Dongfang Wealth [3]

Quantitative Models and Construction - **Model Name**: DecompGRU **Model Construction Idea**: The model improves information interaction between time-series and cross-sectional data by introducing two simple de-mean modules on the GRU baseline model[17] **Model Construction Process**: 1. The DecompGRU model is based on the GRU baseline architecture 2. Two de-mean modules are added to enhance the interaction between time-series and cross-sectional data 3. The model is trained using IC and weighted MSE loss functions[17] **Model Evaluation**: The model demonstrates improved performance in capturing trends and cross-sectional interactions[17] Quantitative Models Backtesting Results - **DecompGRU TOP200 Portfolio**: - Cumulative absolute return: 38.64% - Excess return relative to WIND All A equal-weight index: 13.8% - Maximum drawdown: 10.08% - Weekly win rate: 64.29% - Monthly win rate: 100% - September absolute return: 4.19% - September excess return: 3.4%[11] - **ETF Rotation Portfolio**: - Cumulative absolute return: 21.54% - Excess return relative to WIND ETF index: -0.57% - Maximum drawdown: 7.82% - Weekly win rate: 65.52% - Monthly win rate: 66.67% - September absolute return: -1.68% - September excess return: -6.65%[13][14] Quantitative Factors and Construction - **Factor Name**: Sentiment Heat Factor **Factor Construction Idea**: The factor aggregates user behavior data (e.g., browsing, self-selection, and clicks) to measure sentiment heat at the stock, index, industry, and concept levels[18] **Factor Construction Process**: 1. Individual stock heat is calculated as the sum of browsing, self-selection, and click counts 2. Normalize the heat value by dividing it by the total market heat on the same day and multiplying by 10,000 3. Aggregate normalized heat values to broader levels such as indices, industries, and concepts[18] **Factor Evaluation**: The sentiment heat factor serves as a proxy for market sentiment and helps identify mispricing due to attention constraints[18] Quantitative Factors Backtesting Results - **Broad Index Sentiment Heat Rotation Strategy**: - Annualized return since 2017: 8.74% - Maximum drawdown: 23.5% - 2025 portfolio return: 32% - Benchmark broad index equal-weight portfolio return: 30%[27] - **Concept Sentiment Heat TOP/BOTTOM Portfolios**: - BOTTOM portfolio annualized return: 15.71% - Maximum drawdown: 28.89% - 2025 BOTTOM portfolio return: 40%[41][45]

Market Overview - The two markets experienced a net outflow of 17.085 billion yuan, with 30 stocks seeing a net inflow exceeding 200 million yuan, led by Baogang Co. with a net inflow of 2.436 billion yuan [1] - The Shanghai Composite Index closed down by 0.19%, with 1,682 stocks seeing net inflows and 3,060 stocks seeing net outflows [1] Industry Performance - Among the 10 industries with net inflows, the non-ferrous metals sector had the highest net inflow of 2.234 billion yuan, with an index increase of 3.35%. The steel industry followed with a net inflow of 2.090 billion yuan and a 1.49% increase [1] - A total of 21 industries experienced net outflows, with the automotive sector leading with a net outflow of 4.185 billion yuan, followed by the power equipment sector with a net outflow of 3.656 billion yuan [1] Individual Stock Performance - The top 30 stocks with net inflows over 200 million yuan included Baogang Co. (2.436 billion yuan), China Software (1.451 billion yuan), and Northern Rare Earth (869 million yuan) [2] - Stocks with significant net outflows included BYD with a net outflow of 1.176 billion yuan, followed by Sailyis and Dongfang Caifu with outflows of 922 million yuan and 892 million yuan, respectively [2][4] Stock Price Movements - Stocks with net inflows over 200 million yuan saw an average increase of 9.36%, outperforming the Shanghai Composite Index. Notable performers included Galaxy Magnetic Materials and Hongyuan Pharmaceutical, which closed at their daily limit [2] - The top stocks with net inflows and their respective price changes included Baogang Co. (+9.84%), China Software (+10.00%), and Northern Rare Earth (+10.00%) [2] Summary of Net Inflows and Outflows - The ranking of stocks with the highest net inflows included: - Baogang Co. (2.436 billion yuan) - China Software (1.451 billion yuan) - Northern Rare Earth (869 million yuan) [2] - The ranking of stocks with the highest net outflows included: - BYD (-1.176 billion yuan) - Sailyis (-922 million yuan) - Dongfang Caifu (-892 million yuan) [4]

——2025年4季度可转债市场展望 证 券 研 究 报 告 风偏或波动，中期看成长 2025.10.13 主要内容 低波：绿动转债、瑞科转债、百畅转债、裕兴转债、东南转债、恒逸转2、金能转债、万青转债、中特转债。 稳健：正帆转债、华锐转债、升24转债、铭利转债、福蓉转债、爱迪转债、洁美转债、永02转债、永贵转债、泰瑞转债。 高波：华懋转债、华亚转债、亿纬转债、甬矽转债、伟测转债、锋工转债、柳工转2、佳禾转债、科利转债、泰福转债。 www.swsresearch.com 证券研究报告 2 风险提示：权益市场波动风险，转债信用风险等。 ◼ （1）9月转债表现差于正股，高价+小盘转债领涨，保险机构大幅减持。9月科技板块依旧领先，银行和非银转债创年内最差表现，本轮震荡期依 旧是高价、小盘转债表现较强。机构行为上减仓最为明显的是保险和券商资管，但对偏债转债估值影响有限，120-130元平价转债估值拉升较多。 ◼ （2）转债市场当前估值合理，高价源于正股驱动，而新发加速背景下供给稀缺性或下降，短期来看止盈动力上升，市场或有调整压力。结合转债 的转股溢价率、YTM、以及相对纯债的估值，当前转债估值相对合理，而转债市场的中位 ...

Market Overview - The Shanghai Composite Index fell by 0.19% on October 13, with six industries experiencing gains, led by non-ferrous metals and environmental protection, which rose by 3.35% and 1.65% respectively [1] - The automotive and home appliance sectors saw the largest declines, with decreases of 2.33% and 1.7% respectively [1] Capital Flow Analysis - The net outflow of capital from the two markets reached 38.169 billion yuan, with nine industries experiencing net inflows [1] - The steel industry had the highest net inflow of capital, amounting to 1.351 billion yuan, and saw a rise of 1.49% [1] - A total of 22 industries experienced net capital outflows, with the power equipment sector leading with an outflow of 7.198 billion yuan, followed closely by the electronics sector with an outflow of 7.140 billion yuan [1] Sector Performance - The power equipment sector declined by 0.68%, with a total of 363 stocks in the sector; 112 stocks rose, and three stocks hit the daily limit up, while 246 stocks fell [1] - The capital flow data indicates significant outflows from the power equipment sector [1]

Core Viewpoint - The Shanghai Composite Index fell by 0.19% on October 13, with six industries experiencing gains, notably non-ferrous metals and environmental protection, which rose by 3.35% and 1.65% respectively. Conversely, the automotive and home appliance sectors saw declines of 2.33% and 1.7% respectively [1] Industry Performance - Among the industries, the steel sector led in net inflow of funds, with a total of 1.49% increase and a net inflow of 1.351 billion yuan. Non-ferrous metals also saw significant inflow [1] - A total of 22 industries experienced net outflows, with the power equipment sector leading with a net outflow of 7.198 billion yuan, followed closely by the electronics sector with a net outflow of 7.140 billion yuan [1] Home Appliance Sector Analysis - The home appliance industry declined by 1.74%, with a net outflow of 607 million yuan. Out of 94 stocks in this sector, 13 rose, including one that hit the daily limit, while 80 stocks fell [1]

Market Overview - The Shanghai Composite Index fell by 0.19% on October 13, with six industries experiencing gains, led by non-ferrous metals and environmental protection, which rose by 3.35% and 1.65% respectively [1] - The automotive and home appliance sectors saw the largest declines, with decreases of 2.33% and 1.7% respectively [1] Capital Flow Analysis - The net outflow of capital from the two markets reached 38.169 billion yuan, with nine industries experiencing net inflows [1] - The steel industry had the highest net inflow of capital, amounting to 1.351 billion yuan, and saw a price increase of 1.49% [1] - The non-ferrous metals sector also attracted significant capital inflow [1] Industry-Specific Insights - A total of 22 industries experienced net capital outflows, with the power equipment sector leading with an outflow of 7.198 billion yuan, followed closely by the electronics sector with an outflow of 7.140 billion yuan [1] - The automotive industry faced a decline of 2.33%, with a net capital outflow of 6.024 billion yuan, where out of 280 stocks, 34 rose and one hit the daily limit up, while 244 fell [1]