1. Report Industry Investment Rating - The operation rating for CITIC Five-Style - Stable is ☆☆★ [2] 2. Core Viewpoints - As of the week ending on January 23, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 1.75%, 0.21%, and 2.08% respectively [3] - In the public fund market, the enhanced index strategy performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non-ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] - Among the CITIC Five-Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month-on-month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3] 3. Summary by Related Catalogs Fund Market Review - The enhanced index strategy in the public fund market performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non - ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] CITIC Five - Style Analysis - Among the CITIC Five - Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month - on - month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] Barra Factor Analysis - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] Style Timing Model - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3]

1. Report Industry Investment Rating - The report gives a one-star rating (★☆☆) for the CITIC Five-Style - Growth, indicating a bullish bias but with limited operability on the market [2] 2. Core Viewpoints - As of the week ending January 9, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 5.06%, -0.15%, and 2.54% respectively. The ordinary stock strategy led the gains in the public fund market with a weekly return of 5.26%, while neutral strategy products had more declines than gains. Convertible bond strategy outperformed pure bond strategy, and precious metal ETFs in commodities rebounded with gold ETFs rising 2.91% and non-ferrous metal ETFs continuing the upward trend [3] - Among the CITIC five styles, the growth style led the gains last week with a weekly return of 7.03%. The style rotation chart shows that the relative strength of the consumption and financial styles has strengthened marginally recently, while the relative strength momentum of the cyclical style has weakened slightly. Consumption and financial style funds in the public fund pool outperformed their benchmarks on average in the past week. The market's deviation from the growth and stable styles has increased according to the fund style coefficient trend. The congestion indicator decreased week-on-week, and the congestion levels of cyclical and consumption style funds have risen to the medium to high percentile range in history [3] - In terms of Barra factors, the liquidity factor had a better performance in the past week with a weekly excess return of 2.11%, while the dividend and profitability factors had excess drawdowns. In terms of win - rate, the short - term momentum factor strengthened marginally and the leverage factor weakened slightly. The cross - sectional rotation speed of factors rebounded slightly this week and is currently in the middle percentile range in the past year. According to the latest score of the style timing model, the consumption and growth styles rebounded month - on - month this week, and the signal is biased towards the growth style. The return of the style timing strategy last week was 4.96%, with an excess return of 1.08% compared to the benchmark balanced allocation [3] 3. Summary by Relevant Catalogs Recent Market Returns - The weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond (net), and Nanhua Commodity Index are presented, along with their monthly, quarterly, and semi - annual returns. The weekly return of the ordinary stock strategy in the public fund market is 5.26% [3][5] CITIC Style Index Relative Rotation Chart - It shows the relative strength and relative strength momentum of financial, cyclical, consumption, growth, and stable styles in the past week, last week, past month, past three months, past six months, and past year [7] Fund Style Index Excess Return Performance - Displays the excess returns of financial, cyclical, consumption, and growth styles in the past week, last week, past month, past three months, past six months, and past year [8] Fund Style Congestion - Illustrates the congestion levels of cyclical, growth, consumption, and financial styles over a certain period [9] CITIC Style Index Net Value Trend - Presents the net value trends of financial, cyclical, consumption, growth, and stable styles [10] This Week's Barra Single - Factor Style Preference - Shows the style preference of Barra single factors [11] Barra Single - Factor Style Strategy Excess Return Performance - Displays the excess returns of Barra single - factor style strategies in the past week, last week, and past month [12] One - Year Barra Single - Factor Style Excess Net Value Trend - Illustrates the excess net value trends of Barra single factors over the past year [15]

Group 1 - The "Fenghuo Cup" private equity selection event organized by Changcheng Securities has attracted over 600 private equity institutions and more than 1,600 products since its launch in October 2025, covering seven core strategies including stock, index enhancement, neutral, arbitrage, CTA, bond, and combination strategies [1] - The event aims to provide ample time for participating institutions to showcase their investment capabilities, with registration open until June 2026 [1] - The initiative is part of Changcheng Securities' effort to create a supportive ecosystem for quality private equity growth, offering diverse resources and platforms for trading execution, investment support, and financing solutions [1] Group 2 - In the macroeconomic context, the current economic cycle is perceived to be in a relatively early stage, with policies aimed at supply-side reform generating positive expectations, although actual progress remains to be verified [2] - The consensus among fund managers is that there are still reasonably valued targets in the market, such as the food and beverage index's price-to-earnings ratio and the Hang Seng Index's price-to-book ratio, both at historical lows [2] - Investment opportunities in the technology sector are highlighted, particularly in AI, with a focus on hardware that has reasonable valuations and is part of new major industry chains [2] Group 3 - Looking ahead to 2026, it is anticipated that more aggressive monetary and fiscal policies will be implemented, with potential further declines in risk-free interest rates and an increase in the value of credit bond allocations [3] - The stock market outlook favors relatively undervalued sectors such as banking, food and beverage, and consumer electronics, alongside technology leaders in AI chips, semiconductor equipment, and computing power [3] - The difficulty of stock selection and timing is expected to increase, making industry ETFs a more cost-effective option for investment [3]

Report Industry Investment Rating - The operation rating for CITIC's five - style stability is ★☆☆, indicating a bullish bias but with limited operability in the market [4] Core Viewpoints - In the week ending November 7, 2025, the weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.63%, - 0.01%, and - 0.47% respectively. In the public fund market, convertible bond products performed well, the common stock strategy index declined slightly, neutral strategy products mostly rose, non - ferrous metal ETFs weakened slightly, and soybean meal ETFs had better returns. Among CITIC's five styles, only the consumer style declined last Friday, while the stable and cyclical styles were strong. The style rotation chart showed that the relative strength of the growth style decreased, and the relative strength momentum of the financial style rebounded marginally. The average returns of various style funds in the public fund pool underperformed the benchmark index. The market's deviation towards the financial style decreased. The congestion index dropped, with the growth style congestion falling to the medium - percentile range of the past year. In the neutral strategy, the contract basis weakened slightly last week, with the current IH basis close to 1 standard deviation below the three - month average. The average premium rates of IC and IM corresponding index ETFs rebounded to the medium - percentile range of the past three months. The profit factor had a good return performance in the past week, with a weekly excess return of 0.97%, and the excess of the growth factor was significantly compressed. The win - rate of the residual momentum factor decreased, but the factor itself strengthened. The cross - section rotation speed of factors rebounded slightly this week, currently at the medium - percentile range of the past year. According to the latest scoring results of the style timing model, the financial style declined marginally this week, the consumer style strengthened slightly, and the current signal favored the stable style. The return of the style timing strategy last week was 1.85%, with an excess return of 0.97% compared to the benchmark balanced allocation [4] Summary by Relevant Catalogs Fund Market Review - The weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.63%, - 0.01%, and - 0.47% respectively [4] - In the public fund market, convertible bond products performed well, the common stock strategy index declined slightly, neutral strategy products mostly rose, non - ferrous metal ETFs weakened slightly, and soybean meal ETFs had better returns [4] Equity Market Style - Among CITIC's five styles, only the consumer style declined last Friday, while the stable and cyclical styles were strong. The style rotation chart showed that the relative strength of the growth style decreased, and the relative strength momentum of the financial style rebounded marginally [4] - The average returns of various style funds in the public fund pool underperformed the benchmark index. The market's deviation towards the financial style decreased. The congestion index dropped, with the growth style congestion falling to the medium - percentile range of the past year [4] Neutral Strategy - The contract basis weakened slightly last week, with the current IH basis close to 1 standard deviation below the three - month average. The average premium rates of IC and IM corresponding index ETFs rebounded to the medium - percentile range of the past three months [4] Barra Factor - The profit factor had a good return performance in the past week, with a weekly excess return of 0.97%, and the excess of the growth factor was significantly compressed. The win - rate of the residual momentum factor decreased, but the factor itself strengthened. The cross - section rotation speed of factors rebounded slightly this week, currently at the medium - percentile range of the past year [4] Style Timing Model - According to the latest scoring results of the style timing model, the financial style declined marginally this week, the consumer style strengthened slightly, and the current signal favored the stable style. The return of the style timing strategy last week was 1.85%, with an excess return of 0.97% compared to the benchmark balanced allocation [4]

Report Investment Rating - The report gives a "★☆☆" rating to CITIC's five-style stability, indicating a slightly bullish view with limited operability in the market [5]. Core Viewpoints - In the week ending October 17, 2025, Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index had weekly returns of -3.39%, 0.21%, and -1.14% respectively. In the public fund market, equity long strategies retreated, pure bonds outperformed, neutral strategy products showed mixed performance, and among commodities, precious metal ETFs rose while non-ferrous metal ETFs declined, and energy chemical and soybean meal ETFs continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. The style rotation chart shows that the growth and consumption styles weakened marginally in terms of relative strength, and the financial style increased significantly in terms of indicator momentum. In the public fund pool, cyclical style funds had better excess performance in the past week, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style currently in a historically high congestion range [5]. - In the neutral strategy, the stock index basis showed a marginal recovery trend last week. The IM contract rebounded from below the -2 standard deviation of the three - month average to within one standard deviation, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had better performance in the past week with a weekly excess return of 2.49%, while the momentum and capital flow factors had excess drawdowns. The win - rates of the profitability and leverage factors improved. The cross - section rotation speed of factors increased significantly this week and is currently in a relatively high quantile range in the past year [5]. - According to the latest scoring results of the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the current signal favors the stable style. The return of the style timing strategy last week was 0.52%, with an excess return of 1.45% compared to the benchmark equal - weighted allocation [5]. Summary by Directory Fund Market Review - In the public fund market, equity long strategies had a drawdown in the past week, pure bonds had better returns, neutral strategy products showed mixed performance, precious metal ETFs in commodities had large increases, non - ferrous metal ETFs had a return correction, and energy chemical and soybean meal ETFs' net values continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. Cyclical style funds had better excess performance in the public fund pool, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style in a historically high congestion range [5]. - In the neutral strategy, the stock index basis recovered marginally last week, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had a weekly excess return of 2.49%, the momentum and capital flow factors had excess drawdowns, and the win - rates of the profitability and leverage factors improved. The factor cross - section rotation speed increased significantly and is in a relatively high quantile range in the past year [5]. - According to the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the style timing strategy had a return of 0.52% last week, with an excess return of 1.45% compared to the benchmark [5]. Recent Market Returns - The weekly, monthly, quarterly, and semi - annual returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond (net), and Nanhua Commodity are presented in the report, along with data on the establishment scale of public funds in the past year, the maximum drawdown of major public fund strategy indices in the past three months, and the weekly returns of major public fund strategy indices [7]. CITIC Style Index - The net value trends of CITIC's financial, cyclical, consumption, growth, and stable style indices are shown, as well as the relative rotation chart of these style indices, which reflects the relative strength and momentum of different styles in different time periods [8][9]. - The excess return performance of CITIC style - based fund style indices in different time periods (weekly, monthly, quarterly, semi - annual, annual) is presented, along with the congestion levels of different styles (excluding the stable style due to data limitations) [10][11]. Barra Factors - The preference levels of Barra single - factors (ranging from 0 - 1) are shown, indicating the degree of preference for different factors. The excess return performance of Barra single - factor style strategies in different time periods (weekly, monthly) is also presented, as well as the excess net value trends of Barra single - factor styles since this year [13][14][17].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - After the "Jiusan" consensus was fulfilled, the market entered a moderately shrinking rotation phase, with broad - based index gains narrowing. The basis showed significant two - way fluctuations, weakly correlated with daily index movements, and the divergence at the 1 - minute level increased, indicating weak and disordered risk sentiment in the futures market. The changes in neutral and CTA strategy products also reflected this. In the short term, the two - way basis fluctuations may continue, and in the long run, if the policy of reducing volatility is implemented, the central level of stock index futures discounts may narrow [5][15]. 3. Summary According to the Directory 3.1 Recent Basis Review - Market Conditions: After the "Jiusan" consensus was fulfilled, the market entered a moderately shrinking rotation phase. The ChiNext and STAR Market indices led the gains in September, while the gains of other indices narrowed, and the small - cap index declined. Domestic policies were relatively quiet, with a focus on "anti - involution" and potential future volatility - reduction policies. Overseas, the Fed cut interest rates by 25bp, and the A - share market reacted calmly to the Sino - US Madrid talks. Daily trading volume gradually decreased to around 2.2 trillion yuan [6]. - Basis Changes: At the beginning of September, the basis of each variety weakened with the index decline. Subsequently, it fluctuated up and down during the index recovery. By the end of the month, the basis of IF, IC, and IM strengthened. Overall, the basis of IH and IF decreased compared to the end of August, while that of IC and IM increased. As of September 30, the annualized basis rates of the four varieties' quarterly contracts had recovered to around the 20th percentile in the past three years. The daily - level basis changes were weakly correlated with index changes, and there was significant divergence at the 1 - minute level, indicating weak risk appetite [9]. - Product - end Performance: Index - related product scale was stable with a slight decline, and the number of newly issued public - offering index - enhanced products reached a new monthly high. The net value curve of neutral strategies flattened in the past two months, with a median annual return of around 5.5%, and both long and short positions decreased in September. The CTA strategy's leverage ratio for stock indices remained stable, but the net long position fluctuated significantly, reflecting disordered market sentiment [14]. 3.2 Performance Review of Long - Position Rollover - The annualized excess returns of the long - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 2.7%, 0.2%, 1.2%, and - 3.0% respectively. The benchmark portfolio was set as a weighted combination based on the previous trading day's contract positions, without considering transaction costs, and the trading price was the TWAP price in the first half - hour of trading [5][22]. 3.3 Performance Review of Short - Position Rollover - The annualized excess returns of the short - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 0.5%, - 0.3%, 2.2%, and 0.6% respectively [5][25].

Core Insights - The private equity market has shown strong enthusiasm for product registration in 2025, with a total of 7,907 private securities products registered as of August 31, marking an 82.19% increase compared to 4,340 products in the same period of 2024 [1][2] Group 1: Product Registration Trends - The number of registered private securities products has rebounded significantly since March, with monthly registrations surpassing 1,000 products [1] - In July, a record high of 1,299 new private fund products were registered, while August saw a slight decline to 1,139 products [1] - The concentration of product registration remains evident, with 1,038 private equity managers registering only one product, while 76 billion-level quantitative private equity managers accounted for 24.48% of total registrations [2] Group 2: Performance of Key Players - As of mid-2025, Blackwing Asset led the industry with 95 registered products, followed closely by Wide De Investment with 79 products [3] - By the end of August, Wide De Investment had registered 118 products, while Blackwing Asset had 112, indicating a shift in registration speed among major players [3] - The top four private equity firms in terms of new product registrations in July and August were Mingchao Investment, Wide De Investment, Jiukun Investment, and Century Frontier, maintaining stable registration speeds [3] Group 3: Market Environment and Strategy - The small-cap style has been dominant in 2025, with increased stock volatility and high average daily trading volume creating favorable conditions for quantitative strategies [5] - The majority of registered quantitative products are focused on stock long strategies, with 1,666 products (46.48%) registered in this category [5] - The market has seen a notable increase in product innovation and strategy diversification, catering to various risk preferences among investors [6] Group 4: Regulatory and Operational Considerations - There has been no significant change in the regulatory requirements for product registration, with most products being registered within a week [4] - However, regulatory scrutiny may lead to requests for corrections or rejections of products under certain circumstances, such as overly broad investment scopes [4] - The planning of appropriate strategy capacity has become a crucial consideration for quantitative private equity firms in the second half of the year [7]

Overall Summary - The report is a weekly financial engineering report on the fund market, covering market performance, style analysis, and factor performance as of August 1, 2025 [3]. Market Performance - In the week ending August 1, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -1.14%, 0.13%, and -2.46% respectively [3]. - In the public - fund market, there was a divergence in stock - bond returns in the past week, with medium - and long - term bonds outperforming. The index weekly return was 0.14%. Passive index returns in the equity market weakened, neutral strategy products mostly rose, pure - bond strategy returns in the bond market rebounded, convertible bond returns declined, and silver and energy - chemical ETFs in the commodity market significantly corrected, while gold and soybean meal ETFs had slightly weaker returns [3]. Style Analysis 1. Zhongxin Five - Style Index - Last Friday, the style index closed down, with growth and consumption relatively stronger. The style rotation chart showed that the relative strength of each style decreased month - on - month, and the cyclical style had a large decline in the indicator momentum [3]. - In the public - fund pool, the average return of consumption - style funds in the past week did not outperform the benchmark index, while cyclical and growth - style funds had better excess performance. The style coefficients of growth and stable styles slightly increased [3]. - The growth style rose to a historically high - congestion range [3]. 2. Style Timing Model - According to the latest scoring results of the style timing model, the financial style weakened marginally this week, the stable style rebounded, and the current signal favored the consumption style. The return of the style timing strategy last week was -0.41%, and the excess return compared to the benchmark balanced allocation was 0.97% [3]. Barra Factor Performance - In the past week, the return of the residual volatility factor continued to strengthen, with a weekly excess return of 1.02%. The returns of the profitability and liquidity factors weakened. In terms of winning rate, the capital flow factor strengthened marginally, and the leverage and residual momentum factors decreased month - on - month [3]. - This week, the cross - sectional rotation speed of factors decreased marginally and was currently in a historically low - quantile range [3].