1. Industry Investment Rating - There is no information about the industry investment rating provided in the report 2. Core Viewpoints - The manufacturing PMI in February 2026 was 49.0%, a 0.3 percentage point decline from the previous month, mainly due to the Spring Festival holiday. Averaging the January and February values can mitigate the impact of the holiday. The average of the manufacturing PMI in January and February 2026 was 49.15%, 0.15 percentage points higher than the February value [1][9]. - The traditional method of judging based on whether the PMI exceeds 50% has limited investment - guiding significance as the manufacturing PMI has been mostly below 50% in recent years. Comparing the current value with the previous one can sensitively perceive the latest data. Using the average of the past two or three months as a benchmark can avoid the "noise" caused by rapid fluctuations [2][11]. - Comparing with historical quantiles is also a valid evaluation method. The average of the manufacturing PMI in January and February 2026 was slightly lower than the 1/4 quantile and the median from September 2024 to December 2025. This method can also be extended to non - manufacturing and comprehensive PMI output indices [3][14]. 3. Summary by Relevant Catalogs How to scientifically evaluate the PMI during the "Spring Festival month"? - **Manufacturing PMI**: In February 2026, the manufacturing PMI was 49.0%, down 0.3 percentage points from the previous month. The average of January and February was 49.15%. The traditional method of judging by the 50% threshold has limited investment guidance. Comparing with the previous value can sense the latest data, and using the average of the past two or three months can avoid "noise". The 2026 January - February average was lower than the 2025 December value, and also lower than the averages of November - December 2025 and October - December 2025. It was also slightly lower than the 1/4 quantile and median from September 2024 to December 2025 [1][2][14]. - **Non - manufacturing PMI**: The non - manufacturing procurement manager survey index system includes 10 classification indices, and the business activity index is commonly used to reflect the overall non - manufacturing economic change. The average of the non - manufacturing business activity index in January and February 2026 was 49.45%, lower than the 1/4 quantile (50.08%) and median (50.25%) from September 2024 to December 2025. The average of the construction business activity index in the same period was 48.50%, lower than the corresponding 1/4 quantile (49.68%) and median (50.85%) [15]. - **Comprehensive PMI Output Index**: It reflects the overall output change of the whole industry. The average of the comprehensive PMI output index in 2026 was 49.65%, lower than the 1/4 quantile (50.35%) and median (50.60%) from September 2024 to December 2025 [21].

Economic Data and Employment Reports - Upcoming economic data includes manufacturing and services readings, as well as employment data, which the Federal Reserve will monitor closely for insights into economic health [1] - The S&P final U.S. manufacturing purchasing manager's index (PMI) and the Institute for Supply Management (ISM) manufacturing reading are scheduled for release [3] - The ADP employment report, S&P final U.S. services PMI, ISM services index, and the Fed's Beige Book will be released mid-week [3] Earnings Reports - Earnings season continues with reports expected from various companies including Abercrombie & Fitch, American Eagle, AutoZone, Bath & Body Works, Best Buy, and others [2] - A detailed schedule of key market events for the week ahead has been provided, indicating that all economic dates are tentative and subject to change [2] Jobless Claims and Productivity Data - Weekly jobless claims data will be released, along with U.S. productivity data and the import price index [4] - The U.S. employment report, including updates on the unemployment rate and hourly wages, is set for release at the end of the week [4]

Quantitative Models and Construction Methods 1. Model Name: Multi-dimensional Timing Model (Version 1) - **Model Construction Idea**: The model integrates four dimensions—funding, technical, valuation, and sentiment—to provide directional views on the A-share market[1][2] - **Model Construction Process**: The model combines signals from the four dimensions to determine market timing decisions. Each dimension includes specific indicators, such as option PCR, implied volatility, and futures positions for sentiment, and Bollinger Bands and individual stock movements for technical analysis[30] - **Model Evaluation**: The model demonstrated strong performance in capturing upward trends while avoiding significant market volatility[2][10] 2. Model Name: Multi-dimensional Timing Model (Version 2) - **Model Construction Idea**: This version expands the original model by adding a fundamental dimension to capture bottom-buying opportunities and enriching the sentiment dimension with new indicators[1][84] - **Model Construction Process**: - The sentiment dimension was expanded to include futures basis and main funds indicators - The fundamental dimension was introduced to identify bottom signals based on macroeconomic indicators like CPI, PMI, and EPU - The model integrates five dimensions: funding, technical, valuation, sentiment, and fundamentals[84] - **Model Evaluation**: The expanded model achieved higher annualized returns and maintained similar levels of volatility and drawdown compared to the original version[85][88] --- Model Backtesting Results 1. Multi-dimensional Timing Model (Version 1) - **Annualized Return**: 24.57%[14] - **Annualized Volatility**: 21.54%[14] - **Maximum Drawdown**: -28.46%[14] - **Sharpe Ratio**: 1.14[14] 2. Multi-dimensional Timing Model (Version 2) - **Annualized Return**: 26.69%[85] - **Annualized Volatility**: 21.48%[85] - **Maximum Drawdown**: -28.46%[85] - **Sharpe Ratio**: 1.24[85] --- Quantitative Factors and Construction Methods 1. Factor Name: Futures Basis (Sentiment Dimension) - **Factor Construction Idea**: The futures basis reflects price information in the futures market and acts as a sentiment amplifier during extreme market conditions[3][32] - **Factor Construction Process**: - Basis = Futures Price - Spot Price - Annualized basis rate is calculated to reduce the impact of contract expiration - Weighted average of the four contracts (current month, next month, current quarter, next quarter) based on open interest[32] - **Factor Evaluation**: The factor is suitable for mean-reversion strategies, with signals generated during overbought or oversold conditions[40] 2. Factor Name: Main Funds (Sentiment Dimension) - **Factor Construction Idea**: This factor captures the flow of main funds in the stock market, reflecting high-selling and low-buying behavior[3][50] - **Factor Construction Process**: - Signals are derived from smoothed 20-day moving averages of net fund inflows and institutional active buying - Positive signals indicate buying opportunities, while negative signals suggest selling[51][54] - **Factor Evaluation**: The factor is effective for momentum strategies, with a high win rate but relatively low payoff ratio[57] 3. Factor Name: Fundamental Bottom Signal (Fundamental Dimension) - **Factor Construction Idea**: This factor identifies bottom-buying opportunities based on macroeconomic indicators, assuming that poor fundamentals often precede market recoveries[4][76] - **Factor Construction Process**: - Signals are triggered when CPI, PMI, and EPU simultaneously indicate weakening fundamentals - A one-quarter window after the bottom signal is used for long positions[76][83] - **Factor Evaluation**: The factor demonstrates high win rates and payoff ratios in bottom-buying scenarios, significantly outperforming the benchmark[83] --- Factor Backtesting Results 1. Futures Basis - **Annualized Return**: 19.06%[50] - **Annualized Volatility**: 20.85%[50] - **Maximum Drawdown**: -31.31%[50] - **Sharpe Ratio**: 0.91[50] 2. Main Funds - **Annualized Return**: 8.75%[60] - **Annualized Volatility**: 19.19%[60] - **Maximum Drawdown**: -30.57%[60] - **Sharpe Ratio**: 0.46[60] 3. Fundamental Bottom Signal - **Annualized Return**: 12.48%[83] - **Annualized Volatility**: 13.27%[83] - **Maximum Drawdown**: -22.62%[83] - **Sharpe Ratio**: 0.94[83]