金融工程研究 跟踪周报 证券研究报告 2025 年 11 月 23 日 湘财证券研究所 核心要点： ❑ 市场表现 本周（2025.11.17-2025.11.21），根据 Wind，主要指数中，收益排名靠前的 为上证 50 和中证红利指数，收益分别为-2.72%和-3.69%；收益排名靠后的 为微盘指数和创业板指数，收益分别为-7.80%和-6.15%。 本年，根据 Wind，主要指数中，收益排名靠前的为微盘指数和创业板指， 收益分别为 66.12%和 36.35%；收益排名靠后的为中证红利和上证 50 指数， 收益分别为-0.48%和 10.10%。 指数增强策略跟踪周报 相关研究： 1. 《多因子量化选股系列之八： 中证1000指数增强策略改进》 2024.03.28 分析师：别璐莎 证书编号：S0500524010001 Tel：(021) 50293663 Email：bls06644 @xcsc.com 地址：上海市浦东新区银城路88号 中国人寿金融中心10楼 ❑ 策略收益 本周，根据 Wind，中证 1000 指数增强策略收益为-5.89%，同期指数收益 为-5.80%，相较于基准，策略超额收益为 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The marginal convergence of macro - liquidity has been confirmed, and the subsequent basic assumption is a fundamental combination of stable profits, converging macro - liquidity, and declining risk appetite. The cost - performance ratio of stocks and bonds favors bonds, and the equity style favors value. The recommended allocation combination is long - term bonds plus value - type equity assets. Specifically, the Shanghai Composite 50 Index (80% position) and the 30 - year Treasury Bond ETF (20% position) are recommended [8][24]. - China is in a marginal de - leveraging process. The liability growth rate of the real - sector is expected to decline, and the government's liability growth rate will also trend downwards. The economy on the asset side needs to be observed for signs of stabilization or marginal upward movement [2][17]. 3. Summary by Directory 3.1 National Balance Sheet Analysis 3.1.1 Liability Side - In October 2025, the liability growth rate of the real - sector was 8.6%, down from 8.8% previously, with a larger - than - expected decline. It is expected to drop slightly to around 8.5% in November and continue to decline, returning to the de - leveraging phase. By the end of the year, it is expected to fall to around 8.3% [2][17]. - The financial sector's liquidity marginally converged last week. The high - point of liquidity in November is estimated to have occurred on the 6th, and the probability of marginal convergence of macro - liquidity is relatively high in the future [2][17]. - The government's liability growth rate was 13.9% at the end of October 2025, down from 14.5% previously, and is expected to decline to around 13.0% in November and by the end of the year [3][18]. 3.1.2 Fiscal Policy - Last week, the net increase in government bonds (including national and local bonds) was 476.1 billion yuan, higher than the planned 264.8 billion yuan. Next week, the planned net increase is 228.3 billion yuan [3][18]. 3.1.3 Monetary Policy - Last week, the average weekly trading volume of funds decreased, the price of funds increased, and the term spread slightly decreased. The yield of one - year Treasury bonds fluctuated narrowly, closing at 1.41% at the weekend. The lower limit of the one - year Treasury bond yield is estimated to be around 1.3%, with a central value of around 1.4%. The term spread between ten - year and one - year Treasury bonds slightly decreased to 40 basis points. The future fluctuation ranges of ten - year and thirty - year Treasury bond yields are estimated to be around 1.6% - 1.9% and 1.8% - 2.3% respectively [3][18]. 3.1.4 Asset Side - In October, the physical quantity data continued to weaken compared to September. The annual real economic growth target for 2025 is around 5%, and the nominal economic growth target is around 4.9%. It is necessary to observe whether this nominal economic growth rate will become the central target for China's nominal economic growth in the next 1 - 2 years [4][19]. 3.2 Stock - Bond Cost - Performance and Stock - Bond Style - Last week, the liquidity marginally converged, and the high - point of liquidity in November is estimated to have occurred on the 6th, with a high probability of subsequent marginal convergence of macro - liquidity. Stocks performed poorly, and bonds were stable. The value style in the equity market continued to dominate. The cost - performance ratio of stocks and bonds slightly favored bonds. The ten - year Treasury bond yield remained stable at 1.81%, the one - year Treasury bond yield increased by 1 basis point to 1.41%, the term spread slightly decreased to 40 basis points, and the thirty - year Treasury bond yield decreased by 1 basis point to 2.15% [6][21]. - The broad - based rotation strategy outperformed the CSI 300 Index by 1.1 percentage points last week. Since its establishment in July 2024, the broad - based rotation strategy has underperformed the CSI 300 Index by - 6.62 percentage points, with a maximum drawdown of 12.1% (compared to the CSI 300's maximum drawdown of 15.7%) [6][21]. 3.3 Industry Recommendation 3.3.1 Industry Performance Review - This week, the A - share market declined slightly. Among the Shenwan primary industries, the top - performing sectors were comprehensive, textile and apparel, commercial retail, beauty care, and pharmaceutical biology, with weekly increases of 7%, 4.4%, 4.1%, 3.7%, and 3.3% respectively. The sectors with the largest declines were communication, electronics, computer, machinery and equipment, and national defense and military industry, with weekly changes of - 4.8%, - 4.8%, - 3%, - 2.2%, and - 2.2% respectively [29]. 3.3.2 Industry Crowding and Trading Volume - As of November 14, the top five crowded industries were power equipment, electronics, pharmaceutical biology, basic chemicals, and non - ferrous metals, with crowding levels of 15.6%, 14.5%, 7.2%, 7.1%, and 6% respectively. The bottom five were beauty care, comprehensive, steel, social services, and petroleum and petrochemicals, with levels of 0.2%, 0.5%, 0.8%, 0.8%, and 0.8% respectively [31]. - This week, the top five industries with increased crowding were pharmaceutical biology, commercial retail, food and beverage, real estate, and banks, with increases of 2.4%, 0.6%, 0.6%, 0.4%, and 0.3% respectively. The bottom five with decreased crowding were power equipment, automobiles, computers, electronics, and machinery and equipment, with changes of - 1.6%, - 1.3%, - 0.9%, - 0.5%, and - 0.5% respectively [31]. - The average daily trading volume of the entire A - share market was 2.04 trillion yuan this week, slightly higher than last week's 2.01 trillion yuan. The industries with the highest year - on - year growth in trading volume were food and beverage, comprehensive, commercial retail, basic chemicals, and beauty care, with volume changes of 59.1%, 35.2%, 35%, 34.7%, and 19.7% respectively. The industries with the smallest increases in trading volume were media, computer, steel, banks, and coal, with volume changes of - 21.7%, - 21.6%, - 20%, - 13%, and - 10.4% respectively [33]. 3.3.3 Industry Valuation and Profitability - This week, among the Shenwan primary industries, the sectors with the largest increases in PE(TTM) were comprehensive, commercial retail, beauty care, textile and apparel, and basic chemicals, with changes of 5.3%, 5.1%, 4.9%, 4.6%, and 4.3% respectively. The sectors with the smallest increases were communication, electronics, national defense and military industry, machinery and equipment, and computer, with valuation changes of - 2.4%, - 1.9%, - 1.7%, - 1.3%, and - 1.2% respectively [36]. - As of November 14, 2025, industries with high full - year profit forecasts in 2024 and relatively low current valuations compared to history include banks, insurance, petroleum and petrochemicals, transportation, beauty care, new energy, and consumer electronics [38]. 3.3.4 Industry Prosperity - Externally, there was a marginal recovery. In October, the global manufacturing PMI rose from 50.7 to 50.8, and the PMIs of major economies showed mixed changes. The CCFI index increased by 3.4% week - on - week in the latest week. Port cargo throughput declined. South Korea's export growth rate dropped to 3.6% in October and rose to 6.4% in the first 10 days of November. Vietnam's export growth rate slightly decreased from 25.3% in September to 18.2% in October [40]. - Domestically, second - hand housing prices fell in the latest week, and quantity indicators showed mixed changes. Highway truck traffic declined. The capacity utilization rate of ten industries, which had been rising from May to August 2025, declined from September to October and slightly rebounded in November but remained at a historical low. Automobile trading volume was at a relatively high level compared to the same period in history, new - home sales remained at a historical low, and second - hand housing sales declined seasonally compared to history. As of November 9, the national urban second - hand housing listing price index decreased by 0.39% week - on - week. As of October 31, the producer price index increased by 0.3% week - on - week [40]. 3.3.5 Public Fund Market Review - In the second week of November (November 10 - 14), most active public equity funds outperformed the CSI 300. The 10%, 20%, 30%, and 50% weekly performance levels were 2.3%, 1.1%, 0.5%, and - 0.5% respectively, while the CSI 300 declined by 1.1% weekly [53]. - As of November 14, the net asset value of active public equity funds was estimated to be 3.89 trillion yuan, slightly higher than 3.66 trillion yuan in Q4 2024 [53]. 3.3.6 Industry Recommendations - In the de - leveraging cycle, the cost - performance ratio of stocks and bonds only slightly favors equities, and the value style is more likely to dominate. Dividend - type stocks are expected to have three characteristics: no balance - sheet expansion, good profitability, and survival. Combining these characteristics with the under - allocation in the public fund's quarterly report, an A + H dividend portfolio of 13 stocks and an A - share portfolio of 20 stocks are recommended, mainly concentrated in industries such as banks, telecommunications, petroleum and petrochemicals, and transportation [59].

Core Viewpoint - The article emphasizes the growing recognition of index-based investment among investors, highlighting the potential investment opportunities arising from significant changes in index constituents due to the periodic rebalancing of major indices like the SSE 50, CSI 300, and CSI 500 [1][4]. Group 1: Index Fund Growth - The total scale of passive index funds (including ETFs and off-market passive index funds) reached 4.5 trillion yuan as of October 31, with 2,294 funds, while enhanced index funds totaled 265.3 billion yuan, surpassing the scale of equity mixed funds at 2.53 trillion yuan [2][15]. - The total scale of equity ETFs grew from approximately 200 billion yuan in 2014 to 3.72 trillion yuan by October 2025, indicating significant growth [15]. Group 2: Historical Adjustment Effects of Index Constituents - Historical analysis from 2019 to mid-2025 shows that stocks added to indices tend to outperform the index in the two weeks prior to their inclusion, while those removed tend to underperform [2][24]. - The average excess return for stocks added to the index in the two weeks before inclusion was 4.89%, with a success rate of 66.67% [25]. Group 3: Latest Adjustment Impact Estimation - The expected adjustments for December 2025 indicate that the SSE 50 will adjust 4 stocks with an estimated passive buy amount of 5.5 billion yuan, the CSI 300 will adjust 10 stocks with an estimated net buy of 24.5 billion yuan, and the CSI 500 will adjust 50 stocks with an estimated buy of 3.3 billion yuan [3][33].

Market Index Analysis - The major A-share indices in Shanghai and Shenzhen experienced a rise followed by a decline, with most stocks falling and low market sentiment observed. The index struggled to maintain the psychological level of 4000 points, raising questions about whether it can recover on Wednesday [1] Shanghai Composite Index - The Shanghai Composite Index showed a small real body with a long upper shadow and a short lower shadow, indicating significant upward pressure in the short term. The 4000-point level is a crucial psychological and integer barrier. As of yesterday, five effective cycles have been completed, marking a small turning point, suggesting a need to test the five-day moving average. The index is expected to slightly dip and then recover after testing this moving average [4] STAR 50 Index - The STAR 50 Index adjusted as expected, with the closing K-line indicating a low opening that filled the long lower shadow from the previous day, correcting technical flaws. The adjustment is considered normal as it coincides with the fifth effective cycle, which is a turning point. The five-day moving average is rising quickly, and the index is likely to stabilize and rebound on Wednesday. The K-line pattern released a stabilization signal, indicating that the short-term adjustment is nearly complete [7]

Report Investment Rating No relevant content provided. Core Viewpoints - The overall economic situation shows that China is in a marginal de - leveraging process. The growth rate of the real - sector's liabilities is expected to decline, and the government's liability growth rate is also trending down. The economic growth rate needs further observation, and the risk preference has increased recently, with the stock - bond ratio favoring stocks [1][2][6]. - It is recommended to use the equity growth style instead of the bond position this week, suggesting an allocation of 60% in the Shanghai Composite 50 Index and 40% in the CSI 1000 Index. In the de - leveraging cycle, the stock - bond ratio favors equities to a limited extent, and value stocks are more likely to outperform. A + H and A - share dividend portfolios are recommended, mainly concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [8][9][10]. Summary by Directory 1. National Balance Sheet Analysis - **Liability Side**: In September 2025, the real - sector's liability growth rate was 8.9%, expected to remain stable around 8.9% in October and then decline to about 8.5% by the end of the year. The government's liability growth rate was 14.5% in September, expected to drop to around 14.0% in October and 13.0% by the end of the year. The central bank's policies reinforce the judgment of stabilizing the macro - leverage ratio [1][2]. - **Monetary Policy**: Last week, the money market was generally stable. The one - year Treasury yield rose to 1.47% at the weekend, with an estimated lower limit of about 1.3%. The term spread between the ten - year and one - year Treasuries was stable at 38 basis points. The future yield ranges of the ten - year and thirty - year Treasuries are estimated to be around 1.6% - 1.9% and 1.8% - 2.3% respectively [3]. - **Asset Side**: The physical quantity data in September continued to weaken compared to August. The full - year nominal economic growth target for 2025 is around 4.9%, and it remains to be seen whether this will become the central target for China's nominal economic growth in the next 1 - 2 years [3]. 2. Stock - Bond Cost - effectiveness and Stock - Bond Style - **Overall Outlook for 2025**: China's asset prices are mainly affected by changes in the national balance sheet. The real GDP growth rate on the asset side is expected to fluctuate between 4 - 5%, and the liability growth rate of the real sector is expected to decline. The stock - bond cost - effectiveness generally favors bonds, but recently, due to the increase in risk preference, it has shifted towards stocks [21][6]. - **Recent Market Performance**: Last week, the money market was stable, risk preference increased significantly over the weekend, resulting in rising stocks and falling bonds. The equity style shifted to growth - oriented, and the stock - bond cost - effectiveness favored stocks. The ten - year Treasury yield rose by 2 basis points to 1.85%, and the one - year Treasury yield rose by 3 basis points to 1.47% [6]. - **Investment Recommendations**: This week, it is recommended to use the equity growth style instead of the bond position, suggesting an allocation of 60% in the Shanghai Composite 50 Index and 40% in the CSI 1000 Index [8]. 3. Industry Recommendations 3.1 Industry Performance Review - This week, the A - share market rose with shrinking trading volume. The Shanghai Composite Index rose 2.9%, the Shenzhen Component Index rose 4.7%, and the ChiNext Index rose 8.1%. Among the Shenwan primary industries, communication, electronics, power equipment, machinery, and petroleum and petrochemicals had the largest increases, while agriculture, forestry, animal husbandry, food and beverage, and beauty care had the largest declines [30]. 3.2 Industry Crowding and Trading Volume - As of October 24, the top five industries in terms of crowding were electronics, power equipment, machinery, computer, and communication, while the bottom five were beauty care, comprehensive, textile and apparel, social services, and steel. The trading volume of the entire A - share market decreased compared to last week [33][34]. 3.3 Industry Valuation and Earnings - This week, among the Shenwan primary industries, communication, electronics, power equipment, machinery, and petroleum and petrochemicals had the largest increases in PE(TTM), while agriculture, forestry, animal husbandry, food and beverage, beauty care, and others had the smallest increases. Industries with high 2024 full - year earnings forecasts and relatively low current valuations include banking, insurance, petroleum and petrochemicals, transportation, and others [38][39]. 3.4 Industry Prosperity - **External Demand**: There were mixed trends. The global manufacturing PMI declined from 50.9 in September to 50.8, and most major economies' PMIs decreased. The CCFI index rose by 2.02% in the latest week, and port cargo throughput increased. South Korea's export growth rate decreased in October, while Vietnam's increased [43]. - **Domestic Demand**: The second - hand housing price decreased in the latest week, and quantity indicators showed mixed trends. Highway truck traffic increased, the capacity utilization rate of ten industries declined from September to October, automobile sales were at a relatively high level, and new - home sales were at a historical low [43]. 3.5 Public Fund Market Review - In the third week of October (October 20 - 24), some active public equity funds outperformed the CSI 300. As of October 24, the net asset value of active public equity funds was 4.2 trillion yuan, slightly higher than 3.66 trillion yuan in Q4 2024 [60]. 3.6 Industry Recommendations - In the de - leveraging cycle, the stock - bond cost - effectiveness favors equities to a limited extent, and value stocks are more likely to outperform. The recommended A + H dividend portfolio consists of 20 A + H stocks, and the A - share portfolio consists of 20 A - shares, mainly concentrated in banking, telecommunications, petroleum and petrochemicals, and transportation industries [64].

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting daily, weekly, monthly, and yearly changes in index returns, with the highest annual return observed for the ChiNext Index at 42.85%[10][11][13] - It compares indices against their moving averages (MA5, MA10, MA20, MA60, MA120, MA250) and their 250-day high and low levels, showing that all indices remain above their 5-day moving averages, except the CSI 2000, which fell below its 10-day moving average[13][14] - The turnover rate and trading volume share are analyzed, with CSI 2000 having the highest turnover rate at 3.56, while the CSI 300 accounts for the largest trading volume share at 26.89%[16][17] - Daily return distributions are examined, revealing that the ChiNext Index has the largest negative skewness and kurtosis deviation, while the CSI 300 has the smallest[23][24] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate, showing that the CSI 1000 and CSI 2000 have higher volatility in risk premiums compared to other indices[26][27][30] - PE-TTM ratios are evaluated as valuation metrics, with CSI 500 and CSI All Index showing the highest 5-year percentile values at 98.18% and 97.44%, respectively, while the ChiNext Index has the lowest at 58.51%[38][41][42] - Dividend yield analysis indicates that the ChiNext Index and CSI 1000 have the highest 5-year historical percentile values at 69.42% and 46.2%, respectively, while CSI 2000 and CSI 500 have the lowest at 20.25% and 16.28%[46][51][52] - The report also tracks the percentage of stocks trading below their net asset value (break-net ratio), with the highest ratio observed for the SSE 50 at 18.0% and the lowest for the ChiNext Index at 1.0%[53]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The overall outlook for China in 2025 is that the real GDP growth rate of the asset side will run smoothly, fluctuating narrowly between 4 - 5%. The liability side will see the debt growth rate of the real - sector decline and approach the nominal economic growth rate. The monetary policy will coordinate with the fiscal policy, maintaining an overall neutral and oscillating stance [21]. - The stock - bond performance shows that the risk preference has declined, funds tend to flow into long - term bonds and value - style equities. The equity style is dominated by value, and the stock - bond ratio favors bonds. The long - term bond yield has decreased, and the short - term bond yield has increased [6][22]. - In the contraction cycle, the stock - bond ratio favors equities to a limited extent, and the value style is more likely to be dominant. A + H dividend portfolios and A - share portfolios are recommended, mainly concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [10][25]. 3. Summary According to the Directory 3.1 National Balance Sheet Analysis - **Liability Side**: In September 2025, the debt growth rate of the real sector was 8.9%, in line with expectations. It is expected to drop to around 8.7% in October, and further to around 8.5% by the end of the year. The financial sector's capital is still tight, and risk preference has declined, with funds flowing into long - term bonds and value - style equities [1][17]. - **Fiscal Policy**: Last week, the net reduction of government bonds was 238 billion yuan, higher than the planned 69.1 billion yuan. Next week, the net increase of government bonds is planned to be 133.3 billion yuan. The government debt growth rate in September 2025 was 14.5%, expected to drop to around 13.6% in October and around 13.0% by the end of the year [2][18]. - **Monetary Policy**: Last week, the average weekly trading volume of funds increased, the price decreased, and the term spread narrowed significantly. The one - year Treasury yield rose to 1.44% at the weekend, and its lower limit is estimated to be around 1.3%. The term spread between the ten - year and one - year Treasury bonds narrowed to 38 basis points. The future yield fluctuation ranges of the ten - year and thirty - year Treasury bonds are estimated to be around 1.6% - 1.9% and 1.8% - 2.3% respectively [3][19]. - **Asset Side**: The physical volume data in August continued to weaken compared to July. The annual real economic growth target for 2025 is around 5%, and the nominal economic growth target is around 4.9%. It remains to be seen whether 5% will become the central target for China's nominal economic growth in the next 1 - 2 years [5][20]. 3.2 Stock - Bond Ratio and Stock - Bond Style - **Overall Outlook**: In 2025, China's asset side real GDP growth will be stable, and the liability side's real - sector debt growth rate will decline. The stock - bond ratio favors bonds, and the equity style is dominated by value. The recommended allocation is 60% for the Shanghai Composite 50 Index, 20% for the CSI 1000 Index, and 20% for the 30 - year Treasury Bond ETF [21][25]. - **Market Performance**: Last week, the risk preference declined, funds flowed into long - term bonds and value - style equities. The ten - year Treasury yield decreased by 2 basis points to 1.82%, the one - year Treasury yield increased by 7 basis points to 1.44%, and the 30 - year Treasury yield decreased by 8 basis points to 2.20%. The broad - based rotation strategy outperformed the CSI 300 Index by 1.51 percentage points last week [6][22]. 3.3 Industry Recommendation - **Industry Performance Review**: This week, the A - share market declined with shrinking trading volume. Among the Shenwan primary industries, banking, coal, food and beverage, transportation, and textile and apparel had the largest increases, while electronics, media, automobiles, communications, and machinery had the largest declines [30]. - **Industry Crowding and Trading Volume**: As of October 17, the top five crowded industries were electronics, power equipment, non - ferrous metals, computers, and machinery. The industries with the largest increase in crowding this week were pharmaceutical biology, transportation, coal, banking, and commercial retail. The overall average daily trading volume of A - shares decreased this week. Industries such as steel, coal, transportation, banking, and beauty care had the highest year - on - year trading volume growth [33][34]. - **Industry Valuation and Earnings**: Among the Shenwan primary industries this week, banking, coal, food and beverage, transportation, and textile and apparel had the largest increases in PE (TTM), while electronics, media, communications, basic chemicals, and machinery had the smallest increases. Industries with high 2024 full - year earnings forecasts and relatively low current valuations compared to history include banking, insurance, petroleum and petrochemicals, transportation, traditional Chinese medicine, pharmaceutical biology, beauty care, and consumer electronics [38][39]. - **Industry Prosperity**: Externally, the global manufacturing PMI declined in September, the CCFI index decreased, and the port cargo throughput declined. South Korea's export growth rate decreased in early October. Domestically, the second - hand housing price decreased last week, and the quantity indicators showed mixed trends. The highway truck traffic volume increased, the ten - industry fitted capacity utilization rate declined from September to October, the automobile trading volume was at a relatively high level in the same period of history, the new - housing trading volume was at a historical low, and the second - hand housing trading volume declined seasonally [43]. - **Public Offering Market Review**: In the second week of October (October 13 - 17), most active public - offering equity funds underperformed the CSI 300. As of October 17, the net asset value of active public - offering equity funds was 4.04 trillion yuan, slightly higher than 3.66 trillion yuan in Q4 2024 [59]. - **Industry Recommendation**: In the contraction cycle, the stock - bond ratio favors equities to a limited extent, and the value style is more likely to be dominant. Recommended A + H dividend portfolios and A - share portfolios mainly include 20 stocks each, concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [10][63].

Group 1 - The core idea of the report is to apply a "multi-factor cross-sectional stock selection" model to broad index allocation, constructing a style factor library based on a selected pool of broad indices and scoring them according to cross-sectional factor values to establish an optimal broad index combination [1][13]. Group 2 - The model construction involves three steps: first, building a rich factor library based on the selected broad index pool; second, creating a "composite evaluation index" for dynamic optimization of the style factor library; and third, scoring and ranking the broad index pool based on the optimized style factors [2][19]. Group 3 - The selected broad index pool includes six indices: Shanghai Stock Exchange 50, CSI 300, CSI 500, CSI 1000, CSI Dividend, and ChiNext [2][15]. - The style factor library consists of eight major categories: valuation, quality, growth, momentum, turnover rate, market beta, volatility, and market capitalization [2][27]. Group 4 - The backtesting results indicate that the model performs stably over the long term, achieving an annualized absolute return of 15.7% and an annualized excess return of 10.9% during the entire sample period [3][41]. - The out-of-sample annualized absolute return is 9.6%, with an annualized excess return of 10.0%, and since 2025, the absolute return has reached 32.0% with an excess return of 11.8% [3][41].

Core Viewpoint - The trading volume of the SSE 50 Index ETFs increased significantly today, with a total trading volume of 3.269 billion yuan, marking a 32.93% increase compared to the previous trading day [1] Trading Volume Summary - The trading volume of the Huaxia SSE 50 ETF (510050) reached 2.914 billion yuan, an increase of 786 million yuan, representing a 36.92% rise from the previous day [1] - The E Fund SSE 50 ETF (510100) had a trading volume of 278 million yuan, up by 34.099 million yuan, with a 13.97% increase [1] - The GF SSE 50 ETF (510950) saw a trading volume of 17.921 million yuan, increasing by 10.0375 million yuan, which is a 127.33% rise [1] Market Performance Summary - As of market close, the SSE 50 Index (000016) fell by 1.51%, while the average decline for related ETFs was 1.55% [1] - The ETFs with the largest declines included the E Fund SSE 50 Enhanced Strategy ETF (563090) and the Huaan SSE 50 ETF (510190), which dropped by 2.27% and 1.60% respectively [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - China is in a marginal de - leveraging process, with the growth rate of the real - sector's liabilities expected to decline to around 8% by the end of the year, and the government - sector's liabilities to around 12.5%. The bond market will not enter a trending bear market, and yields are expected to oscillate at low levels. Risk preference repair is basically in place, and future risk preference will oscillate within a range with earnings. The recommended asset - allocation combination is long - term bonds plus value stocks. In the de - leveraging cycle, the dividend - type stocks in the A + H market are recommended, mainly concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [3][4][11]. 3. Summary by Relevant Catalogs 3.1 National Balance Sheet Analysis - **Liability Side**: In August 2025, the real - sector's liability growth rate was 8.9%, down from 9.1% previously, and is expected to drop to around 8.7% in September. The government's liability growth rate was 15.0% at the end of August, and is expected to decline to around 14.5% in September. The central bank aims to stabilize the macro - leverage ratio, and large - scale debt resolution reduces local government financing costs. The money market tightened marginally last week, and there is a higher probability of a temporary relaxation in October [3][4]. - **Asset Side**: The physical volume data in August was weaker than in July. The annual nominal economic growth target for 2025 is around 4.9%, and it needs to be further observed whether this will become the central target for China's nominal economic growth in the next 1 - 2 years [5]. 3.2 Stock - Bond Cost - Effectiveness and Stock - Bond Style - **Overall Performance**: Last week, the money market tightened marginally, and the stock - bond market was generally stable, with value stocks slightly outperforming. The ten - year bond yield rose 1 basis point to 1.88%, and the one - year bond yield remained stable at 1.39%. The wide - based rotation strategy underperformed the CSI 300 index by - 0.66pct last week and - 8.04pct since July [7]. - **Risk Preference and Asset Allocation**: Risk preference repair is basically in place, and future risk preference will oscillate within a range with earnings. The recommended asset - allocation combination is long - term bonds plus value stocks. In the next two weeks, the recommended allocation is the SSE 50 index (60% position), the CSI 1000 index (20% position), and the 30 - year Treasury bond ETF (20% position) [9][10]. 3.3 Industry Recommendation - **Industry Performance Review**: This week, the A - share market rose with shrinking volume. The sectors with the largest increases were power equipment, non - ferrous metals, electronics, environmental protection, and media, while the sectors with the largest declines were social services, comprehensive, commercial retail, light manufacturing, and textile and apparel [33]. - **Industry Crowding and Trading Volume**: As of September 26, the top five crowded industries were electronics, power equipment, computers, machinery, and automobiles, while the bottom five were comprehensive, beauty care, coal, petroleum and petrochemicals, and steel. The industries with the largest increase in crowding were power equipment, electronics, non - ferrous metals, computers, and media [34]. - **Industry Valuation and Earnings**: This week, the PE (TTM) of power equipment, non - ferrous metals, electronics, environmental protection, and media increased the most, while that of social services, comprehensive, commercial retail, light manufacturing, and textile and apparel increased the least. Industries with high 2024 full - year earnings forecasts and relatively low current valuations include banking, insurance, coal, petroleum and petrochemicals, transportation, traditional Chinese medicine, pharmaceutical biology, beauty care, and consumer electronics [39][40]. - **Industry Prosperity**: External demand generally rebounded, with the global manufacturing PMI rising from 49.7 to 50.9 in August. Domestic demand showed mixed signals, with second - hand housing prices falling and some quantity indicators rising and falling. The capacity utilization rate of ten industries increased from May to August and declined slightly in September [44]. - **Public Fund Market Review**: In the fourth week of September, most active public equity funds outperformed the CSI 300. As of September 26, the net asset value of active public equity funds was 4.21 trillion yuan, slightly up from 3.66 trillion yuan in Q4 2024 [60]. - **Industry Recommendation**: In the de - leveraging cycle, the recommended A + H dividend portfolio includes 20 A + H stocks, and the A - share portfolio includes 20 A - share stocks, mainly concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [11].