题图｜AI生成 2023年7月，农冰立开始管理他在景顺长城的第一个产品景顺长城品质长青混合A，对成长股有敏锐嗅觉和广阔视野的他， 在2023年四季度开始重仓了受益AI产业爆发的PCB、光模块龙头，在科技成长行情中一路走高。Wind数据显示，截至2025 年9月19日，该基金近一年收益141.88%（同期业绩基准37.43%）。 这是今年科技成长风格表现优异的缩影。 今年以来A股表现可谓惊艳，其中科技成长板块是上涨的主力。包括人形机器人、创新药、AI算力、新能源电池、军工等 板块轮番表现，市场充满了赚钱效应。甚至可以说，今年的市场本质上是科技成长行情推动的。主动权益基金也迎来了明 显的业绩改善，中证主动偏股型基金指数年内收益已经达到31.47%。（数据来源：Wind，截至9月19日，下同） 证监会主席吴清最近也表示，资本市场服务科技创新跑出"加速度"，含"科"量上升，目前A股科技板块市值占比超过1／4， 已明显高于银行、房地产行业市值合计占比。市值前50名公司中科技企业从"十三五"末的18家提升至当前的24家。 展望接下来的行情，投资者最关心的是，这轮科技股行情能否持续，以及如何更好地把握这轮投资机会？选择通过 ...

- The report discusses a "Momentum Sentiment Indicator" model, which is used for market timing based on the proportion of stocks with positive returns in the CSI 300 Index over a specific period. The model calculates the proportion of stocks with positive returns over N days and applies smoothing with two moving averages (N1 and N2). When the short-term moving average exceeds the long-term moving average, it signals a bullish market sentiment[26][27][29] - The "Moving Average Sentiment Indicator" is another model that evaluates the CSI 300 Index's sentiment by comparing the closing price with eight moving averages (parameters: 8, 13, 21, 34, 55, 89, 144, 233). If the closing price exceeds more than five of these moving averages, the model signals a bullish sentiment[33][34] - The report evaluates the "Cross-Sectional Volatility" factor, which measures the dispersion of stock returns within an index. A higher cross-sectional volatility indicates a favorable alpha environment. Recent data shows a decline in cross-sectional volatility for the CSI 300, CSI 500, and CSI 1000 indices, suggesting a short-term deterioration in the alpha environment[39][41] - The "Time-Series Volatility" factor is also analyzed, which measures the historical volatility of index returns. The report notes a recent decline in time-series volatility for the CSI 300, CSI 500, and CSI 1000 indices, indicating a less favorable alpha environment in the short term[40][44] - The "Fund Concentration Divergence" indicator is introduced to monitor the degree of fund clustering. It calculates the standard deviation of cross-sectional returns within a fund portfolio. A lower standard deviation indicates higher clustering, while a higher standard deviation suggests fund divergence. The report notes a slight decrease in divergence in the most recent week[80][83] - The "Momentum Sentiment Indicator" model's backtest results show that the fast line is currently above the slow line, indicating a bullish sentiment for the CSI 300 Index[27][29] - The "Moving Average Sentiment Indicator" model's backtest results indicate that the CSI 300 Index is currently in a positive sentiment zone, as the closing price exceeds more than five of the eight moving averages[34][36] - The "Cross-Sectional Volatility" factor's recent values are as follows: CSI 300 (1.98%), CSI 500 (2.12%), and CSI 1000 (2.37%) for the past quarter, with respective percentile rankings of 69.77%, 69.84%, and 65.34% over the past two years[41] - The "Time-Series Volatility" factor's recent values are as follows: CSI 300 (0.62%), CSI 500 (0.44%), and CSI 1000 (0.24%) for the past quarter, with respective percentile rankings of 58.18%, 74.60%, and 57.37% over the past two years[44] - The "Fund Concentration Divergence" indicator shows a slight decrease in divergence, with fund and stock excess returns improving week-over-week[80][83]

Performance Overview - Since 2025, the annualized excess return median for enhanced index funds is 2.82%, with the 75th percentile reaching 8.21%, significantly higher than levels from 2022 to 2024[11] - The annualized excess return median for broad-based enhanced index funds is 3%, an increase of 0.68% compared to 2024[11] - The China Securities A500 Index has shown a remarkable annualized return of 48.97% over the past year, with a total return index close to 52.65%[2] Fund Performance - The China Europe A500 Enhanced Index Fund has achieved a cumulative return of 25.94% since its establishment, outperforming the A500 Index by 7.73%[46] - The fund ranks second among eight similar A500 enhanced funds in terms of performance since inception[46] - The fund's annualized excess return is approximately 11.1%, with a 1-month and 3-month performance ranking first among peers[6] Investment Strategy - The fund employs a "active + quantitative" management model, integrating subjective research with quantitative tools to enhance alpha generation[21] - The investment philosophy is based on GARP (Growth at a Reasonable Price), focusing on identifying quality companies with growth potential within reasonable price ranges[31] - The fund maintains a high index tracking ratio while leveraging active stock selection to contribute diversified alpha, with a correlation of daily excess returns to similar funds generally below 0.4 over the past six months[46] Risk Factors - Key risk factors include macroeconomic downturns, increased stock market volatility, and unexpected tightening of financial regulations[5] - The fund is classified as a high-risk, high-reward equity fund, and past performance does not guarantee future results[5] Fund Composition - As of mid-2025, the fund's total scale is 4.4 billion yuan, with a stock position of 92.73%[55] - The fund is diversified across various sectors, with significant allocations to machinery, agriculture, electronics, and utilities, while underweighting sectors like non-ferrous metals and transportation[55]

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with significant positions in non-bank financials (11.7%), steel (11.0%), and comprehensive sectors (10.1%) [1] - The average weekly return for the CITIC primary industries was -0.4%, while the average return over the past month was 2.3% [3][10] - The report identifies the top-performing industries for the week as automotive (4.4%), electronics (4.4%), and electric equipment and new energy (4.1%), while the worst performers were banking (-5.6%), non-bank financials (-4.4%), and food and beverage (-3.6%) [3][10] Industry Performance Review - The report provides a detailed performance review of CITIC primary industries, indicating that the automotive sector has a year-to-date return of 34.4%, while electronics and electric equipment and new energy have returns of 48.0% and 36.0%, respectively [11] - The report notes that the composite strategy has achieved a cumulative return of 24.5% year-to-date, outperforming the CITIC primary industry equal-weight benchmark return of 22.2% by 2.2% [3] Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, identifying industries with a PB ratio above the 95th percentile as overvalued [12][13] - Currently, the industries triggering high valuation warnings include retail, media, computing, and automotive, with their PB ratios exceeding the 95th percentile [13] Single Strategy Rankings and Recent Performance - The report outlines the top three industries based on the high profitability tracking strategy as non-bank financials, agriculture, and steel [15][16] - The report also details the performance of various strategies, with the S2 strategy (implied sentiment momentum tracking) highlighting mechanical, electric equipment and new energy, and comprehensive sectors as the top three industries [20] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries based on current macro indicators as comprehensive finance, computing, communication, national defense, electronics, and media [24] - The report emphasizes the importance of macroeconomic indicators in predicting industry performance, utilizing a multi-factor approach to assess industry exposure to various macroeconomic styles [22][23]

Report Industry Investment Rating No information about the report industry investment rating is provided in the given content. Core Views - In October 2025, the intensity of convertible bond clause games may rise again. There are 47 convertible bonds whose non - downward - revision cooling periods end in October, significantly higher than August - September. And 18 convertible bonds' non - call cooling periods end, the second - highest this year [2][6]. - In terms of downward revision, among the convertible bonds whose downward - revision cooling periods end before October 2025, 6 convertible bonds worth over 2 billion yuan will start downward - revision counting. The proportion of convertible bonds proposing downward - revision announcements in 2025 is 12.5%. As the remaining term shortens and the equity market reaches a historical high, the probability of downward revision may increase. Since late August, the valuation of convertible bonds has declined, opening up price space for some games [2][8]. - Regarding call provisions, 21 convertible bonds end their call cooling periods before October 2025. Excluding Jingyuan Convertible Bond and Jinlun Convertible Bond, the parities of the rest are above 130 yuan as of September 19. With the continued prosperity of the equity market, the call pressure on individual bonds is not low. The convertible bond market scale is about to fall below 60 billion yuan, and the supply - demand contradiction persists, so the valuation may be strongly supported [2][13]. - As the equity market's rise slows down and the convertible bond valuation remains high, alpha returns from convertible bonds become more important. Investors may pay more attention to clause games. It is recommended to cherish the window period and select relevant targets from the clause + theme dimensions, especially those with certain demands and price space [2][14]. Summary by Directory 1. Attention to the upcoming wave of convertible bond clause games - In October 2025, there are 47 convertible bonds whose non - downward - revision cooling periods end, and 18 whose non - call cooling periods end, providing more clause - game opportunities compared to the same period in the past five years [2][6]. - In the downward - revision aspect, 6 large - scale convertible bonds will start downward - revision counting. The probability of downward revision may increase due to factors such as the short remaining term and high equity market position. Since late August, the valuation decline has created game space [2][8]. - For call provisions, 21 convertible bonds end their call cooling periods before October 2025. After exclusions, most have parities above 130 yuan. The call pressure is not low, and the valuation may be supported by the supply - demand contradiction [2][13]. 2. Market trends in a week - As of Friday's close, the Shanghai Composite Index closed at 3820.09, down 1.30% for the week, and the CSI Convertible Bond Index closed at 473.61, down 1.55%. The top - rising industries in the stock market are power equipment and new energy (+3.61%), coal (+3.59%), and consumer services (+3.52%), while the declining industries are comprehensive (-4.09%), banking (-4.09%), and non - ferrous metals (-3.93%) [15]. - No new convertible bonds were listed this week. 79 convertible bonds rose, accounting for 18%. The top - five gainers are Jingxing Convertible Bond (26.23%), Hengshuai Convertible Bond (21.84%), etc. 193 convertible bonds' conversion premium ratios increased, accounting for 45%. The top - five in valuation change are Jiete Convertible Bond (16.86%), Jingke Convertible Bond (14.61%), etc. [17]. 3. Important shareholders' convertible bond reduction - Companies that issued convertible bond reduction announcements this week are Jieneng Fengdian, Tianhao Energy, Jianfan Biology, and Nanjing Medicine [24]. - Many companies' major shareholders have reduced their holdings of convertible bonds, such as Zhejiang Yuesheng Group's reduction of Xingang Convertible Bond [25]. 4. Convertible bond issuance progress - The approval rhythm in the primary market has accelerated. Huichuangda (650 million yuan), Huaxiang Co., Ltd. (1.308 billion yuan), etc. are at the board - of - directors' proposal stage. Tonghe Technology (522 million yuan), Weike Precision (630 million yuan), etc. have passed the general meeting of shareholders. Shenyu Co., Ltd. (500 million yuan), Ruike Da (1 billion yuan) have passed the issuance review committee [26][27]. 5. Private EB project update - There is no progress update on private EB projects this week [28]. 6. Style & Strategy: The convertible bond market style was flat this week - All styles in the convertible bond market were not prominent. As of the last trading day of this week, the excess return of high - rated convertible bonds over low - rated ones was 0.10pct, that of large - amount convertible bonds over small - amount ones was - 0.22pct, and that of equity - biased convertible bonds over debt - biased ones was 0.03pct [30]. 7. One - week convertible bond valuation performance: Convertible bond valuation declined - The convertible bond market's 100 - yuan premium ratio fell to 28.66%, down 0.34% from the previous week, at the 84% historical percentile in the past six months and 92.4% in the past year. The median conversion premium ratio of all - caliber convertible bonds decreased by 1.4pct to 25.91%, and the market - value - weighted conversion premium ratio (excluding banks) decreased by 0.62pct to 39.45% [39]. - For equity - biased convertible bonds, the median conversion premium ratio was 9.71%, down 1.75pct from the previous week, at the 77.3% historical percentile in the past six months. For debt - biased convertible bonds, the median pure - debt premium ratio was 10.1%, down 1.91pct from the previous week, at the 73.9% historical percentile in the past six months [39]. - In terms of extreme pricing, as of the last trading day of this week, there was 1 convertible bond below par value, 0 below the debt floor, and 4 with a YTM greater than 3, at the 9.1%, 0%, and 10% historical percentiles since 2016 respectively [41]. - The median YTM of bank convertible bonds was - 2.68%, 4.56pct lower than the 3 - year AAA corporate bond yield. The median YTM of AA - to AA + debt - biased convertible bonds was - 1.24%, 3.36pct lower than the 3 - year AA corporate bond yield [45]. - The adjusted 100 - yuan premium ratio decreased. The adjusted 100 - yuan premium ratio considering various factors was 14.37%, at the 82.6% historical percentile in the past six months and 66.1% since 2018. The adjusted 100 - yuan premium ratio considering only the debt floor was at the 81.7% historical percentile in the past six months and 29.7% since 2018 [52].

第二批科创债 ETF 集中成立，A500 增强工具持续扩容 —— 量化市场追踪周报（2025W38） [Table_ReportTime] 2025 年 9 月 21 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_ReportType] 金工点评报告 [Table_Author] 于明明 金融工程与金融产品 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 吴彦锦 金融工程与金融产品 分析师 执业编号：S1500523090002 联系电话：+86 18616819227 邮 箱：wuyanjin@cindasc.com 周君睿 金融工程与金融产品 分析师 执业编号：S1500523110005 联系电话：+86 19821223545 邮 箱：zhoujunrui@cindasc.com [Table_Title] 量化市场追踪周报(2025W38)：第二批科创债 ETF 集中成立，A500 增强工具持续扩容 证券研究报告 金工研究 [Table_Repo ...

A-Share Market Analysis - The A-share market experienced a volatile trend, with the ChiNext Index rising by 2.34% and the Shenzhen Component Index increasing by 1.14%, while the Shanghai Composite Index and the SSE 50 Index declined overall [5][6] - The average daily trading volume reached 2.52 trillion, reflecting an increase of 8.23% week-on-week [5] - The market's overall risk appetite remains high, driven by expectations surrounding the upcoming talks between Chinese and U.S. leaders, which are anticipated to enhance bilateral relations and economic cooperation [5][6] Hong Kong Market Analysis - The Hong Kong market showed an overall upward trend, with the Hang Seng Tech Index rising by 5.09%, the Hang Seng Index increasing by 1.15%, and the Hang Seng China Enterprises Index up by 0.59% [7] - The consumer discretionary and information technology sectors performed well, while the financial sector faced declines [7] - The market is expected to continue its structural upward trend, supported by improving sentiment in the A-share market and ongoing discussions between Chinese and U.S. leaders [7]

Market Performance - On September 17, 2025, the market opened low and closed high, with the ChiNext Index reaching a new high for the period. The Shanghai Composite Index rose by 0.37%, the Shenzhen Component Index increased by 1.16%, and the ChiNext Index gained 1.95%[3] - The total market turnover was 24,029.16 billion CNY, an increase of 358.68 billion CNY compared to the previous trading day[3] Sector and Style Analysis - Among the 30 CITIC first-level industries, most sectors saw gains, with the top performers being Comprehensive Finance (3.93%), Electric Equipment and New Energy (2.90%), and Automotive (2.13%). The laggards included Consumer Services (-1.07%), Agriculture, Forestry, Animal Husbandry, and Fishery (-0.98%), and Retail (-0.95%)[21] - In terms of investment style, growth stocks outperformed value stocks, with large-cap growth leading small-cap value, and fund-heavy stocks performing better than the CSI All Share Index[21] Capital Flow - On September 17, 2025, the net outflow of main funds was 383.06 billion CNY, with large orders contributing to the outflow of 212.53 billion CNY and super large orders accounting for 170.53 billion CNY. Small orders saw a continuous net inflow of 473.14 billion CNY[26] - Southbound funds recorded a net inflow of 94.41 billion HKD, with the Shanghai-Hong Kong Stock Connect contributing 21.56 billion HKD and the Shenzhen-Hong Kong Stock Connect contributing 72.85 billion HKD[5] Global Market Overview - On September 17, 2025, major Asia-Pacific indices showed mixed results, with the Hang Seng Index rising by 1.78% to 26,388.16 points and the Nikkei 225 Index declining by 0.25% to 44,790.38 points[33] - European indices generally fell on September 16, 2025, with the DAX Index down 1.77% and the FTSE 100 Index down 0.88%[34]

Investment Rating - The report maintains an "Accumulate" rating for the company [4] Core Views - The company is leveraging its battery technology to expand into international markets, particularly in Europe, aligning with the trend of electrification in the automotive sector [8] - The company showcased its Omnicell cylindrical battery technology at the IAA MOBILITY 2025, highlighting its advanced features such as high energy density and safety measures [2] - The new EU Battery Regulation will impose strict requirements on battery manufacturers, which the company is preparing to meet with its innovative products [3] Financial Summary - Revenue is projected to grow from 48,784 million yuan in 2023 to 117,384 million yuan in 2027, with a compound annual growth rate (CAGR) of approximately 31% [9] - Net profit attributable to shareholders is expected to increase from 4,050 million yuan in 2023 to 8,788 million yuan in 2027, reflecting a CAGR of around 14.4% [9] - The company's return on equity (ROE) is forecasted to improve from 11.9% in 2023 to 15.3% in 2027 [9] Market Position and Strategy - The company is actively collaborating with major automotive manufacturers, such as BMW, to enhance its market presence in Europe [2][8] - The construction of a factory in Hungary is underway, which will supply cylindrical batteries to BMW's facility, expected to create around 1,000 jobs [8] - The company aims to achieve a competitive edge through innovation and sustainable practices in battery production [8]

Group 1: Industry Index Pool Construction - The report outlines the construction of an industry index pool that combines investability and representativeness, focusing on passive products tracking strong industry attributes [10][12]. - Since 2020, the scale of industry ETFs has experienced explosive growth, increasing from 85.8 billion yuan at the end of 2019 to over 310 billion yuan by the end of 2020, and approaching 900 billion yuan by August 2025 [10]. - The report categorizes various industry ETFs, highlighting that TMT, financial real estate, and pharmaceutical sectors have surpassed 100 billion yuan in ETF scale [10]. Group 2: Economic Prosperity Investment Practices - The report discusses the calculation of expected ROE growth for industries based on analysts' profit forecasts, comparing two fiscal years (FY1 and FY2) [20][21]. - It emphasizes that the FY2 grouping shows stronger monotonicity in performance compared to FY1, indicating better returns for the former [23][24]. - The backtesting period for the economic prosperity factor spans from January 1, 2018, to September 12, 2025, with a focus on marginal changes in industry index prosperity [27]. Group 3: Economic Trend Resonance Strategy - The economic trend resonance strategy combines fundamental marginal improvements with capital consensus, utilizing trend factors to quantify market sentiment [36][38]. - The constructed economic trend resonance portfolio has achieved an annualized return of 12.33% since 2018, outperforming the CSI 800 index by 11.13% [40][42]. - The portfolio's monthly excess return rate stands at 64%, with a profit-loss ratio of 1.30 [45]. Group 4: Economic Trend and Crowding Avoidance Strategy - The strategy integrates economic trend analysis with crowding avoidance to mitigate risks associated with overheated trading [49]. - The three-dimensional strategy has yielded an annualized return of 12.80% since 2018, exceeding the CSI 800 index by 11.60% [52][54]. - The portfolio's monthly excess return rate is 62%, with a profit-loss ratio of 1.47 [57]. Group 5: Current Industry Characteristics - As of August 2025, the report identifies industries that align with the economic trend resonance and crowding avoidance strategy, including the transportation index, home appliances, livestock, media, and oil and gas sectors [60]. - The expected growth rates for these sectors range from 1.1% to 9.6%, with varying levels of crowding and valuation metrics [60].