- The report includes a quantitative timing model that generates signals for various financial instruments and indices, such as government bonds, stock indices, and commodities. The model uses original signals and a 5-day moving average (MA5) to determine market views like "bullish," "adjustment," or "neutral" [2][6][7] - The construction process of the model involves calculating original signals and MA5 values for each asset or index. For example, the original signal for the 30-year government bond is 86.06%, while its MA5 is 78.05%. These values are used to derive the model's view, which is "adjustment" in this case. Similar calculations are applied to other assets like the 2-year government bond (original signal: 8.02%, MA5: 14.70, view: "bullish") and COMEX gold (original signal: 39.61%, MA5: 42.29, view: "neutral") [2][6][7] - The model's evaluation is based on its ability to provide actionable market views for different financial instruments. It categorizes assets into "bullish," "adjustment," or "neutral" based on signal persistence and alignment with market trends. For example, the 2-year government bond has maintained a "bullish" signal for over 10 trading days, indicating strong consistency [2][6][7] - The backtesting results of the model include specific signal values for each asset or index. For instance: - 30-year government bond: Original signal 86.06%, MA5 78.05%, view "adjustment" [2][6] - 2-year government bond: Original signal 8.02%, MA5 14.70%, view "bullish" [2][6] - COMEX gold: Original signal 39.61%, MA5 42.29%, view "neutral" [2][7] - IPE crude oil: Original signal 46.07%, MA5 40.68%, view "neutral" [2][7] - Various stock indices like the CSI Red Dividend Total Return Index and the Hang Seng Technology Index also have their respective signal values and views [2][6][7]

- The report includes a quantitative model that provides timing signals for various financial instruments, such as government bonds, stock indices, and commodities. The model outputs probabilities representing the likelihood of short-term upward movements in yields or indices[3][7][8] - The model uses a moving average (MA5) to smooth the daily timing signals. For example, the original signal for the 30-year government bond is 82.96%, while its MA5 value is 74.29%. This approach helps identify trends and reduces noise in the data[3][7] - The model evaluates multiple instruments, including 2-year and 10-year government bonds, stock indices like the CSI All A Index and the Hang Seng Tech Index, and commodities such as COMEX gold and IPE crude oil. Each instrument is assigned a viewpoint, such as "bullish," "adjustment," or "neutral," based on the signal probabilities and thresholds[3][7][8] - The thresholds for the model's viewpoints are defined as follows: probabilities above 60% indicate a bullish stance, below 40% suggest bearishness, and values in between are considered neutral[8] - The model's performance is tracked over a 10-day period, with daily updates on signal probabilities and viewpoints for each instrument. For example, the 2-year government bond has maintained a "bullish" viewpoint for over 10 days, while the CSI All A Index has been in "adjustment" for 3 days[3][7][8] - The report provides detailed signal probabilities and MA5 values for each instrument, such as the CSI All A Index (83.02% original signal, 64.68% MA5) and COMEX gold (57.89% original signal, 42.29% MA5)[3][7][8]

- The report involves several quantitative models and factors, including the 30-year Treasury bond, 3-year AAA medium-term notes, 10-year Treasury bond, 2-year Treasury bond, Wind All A Index, CSI Dividend Total Return Index, Hang Seng Technology Index, STAR 50 Index, Wind Micro Index, and CNI 2000 Index[2][3][6] - The construction idea of these models is based on the original signal and the 5-day moving average (MA5) to generate model viewpoints such as "adjustment," "bullish," or "shock"[2][6] - The specific construction process involves calculating the original signal and the 5-day moving average (MA5) for each asset. For example, the original signal for the 30-year Treasury bond is 73.10%, and its MA5 is 73.46%. The model viewpoint is "adjustment" if the original signal is below the MA5 and "bullish" if it is above the MA5[2][6] - The evaluation of these models is qualitative, indicating whether the market is in a state of adjustment, bullish, or shock based on the comparison between the original signal and the MA5[2][6] - The specific test results for these models are as follows: - 30-year Treasury bond: original signal 73.10%, MA5 73.46%, model viewpoint "adjustment," signal duration 10 days[2][6] - 3-year AAA medium-term notes: original signal 73.81%, MA5 80.07%, model viewpoint "adjustment," signal duration 2 days[2][6] - 10-year Treasury bond: original signal 69.40%, MA5 74.91%, model viewpoint "adjustment," signal duration 7 days[2][6] - 2-year Treasury bond: original signal 17.95%, MA5 10.80%, model viewpoint "bullish," signal duration over 10 days[2][6] - Wind All A Index: original signal 64.74%, MA5 65.43%, model viewpoint "adjustment," signal duration 1 day[2][6] - CSI Dividend Total Return Index: original signal 76.94%, MA5 72.05%, model viewpoint "adjustment," signal duration 5 days[2][6] - Hang Seng Technology Index: original signal 79.89%, MA5 80.42%, model viewpoint "adjustment," signal duration 6 days[2][6] - STAR 50 Index: original signal 78.50%, MA5 78.98%, model viewpoint "adjustment," signal duration over 10 days[2][6] - Wind Micro Index: original signal 66.86%, MA5 62.01%, model viewpoint "adjustment," signal duration 1 day[2][6] - CNI 2000 Index: original signal 76.44%, MA5 76.88%, model viewpoint "adjustment," signal duration 9 days[2][6] - COMEX Gold: original signal 31.26%, MA5 51.98%, model viewpoint "shock," signal duration 1 day[7] - IPE Brent Oil: original signal 57.93%, MA5 48.82%, model viewpoint "shock," signal duration 8 days[7]

Summary of Conference Call Records Industry Overview - The records primarily discuss the bond market, focusing on convertible bonds and government bonds, with insights into the broader financial market dynamics as of March 2026. Key Points and Arguments Market Performance - The China Convertible Bond Index fell by 7.1% in March, reversing all gains for the year, indicating high volatility in the market [1][2] - The Shanghai Composite Index dropped by 3.6% on March 23, 2026, marking a significant decline, with historical comparisons showing similar drops in previous years due to external factors [2] Institutional Fund Flows - There was a notable net redemption of fixed-income products, particularly from wealth management subsidiaries, which significantly impacted high-volatility products [2] - Institutions primarily sold off sectors such as electronics, power equipment, banking, non-ferrous metals, and pharmaceuticals, while showing interest in automotive, basic chemicals, and machinery sectors [2] Future Market Scenarios for Convertible Bonds - Three potential scenarios for the convertible bond market were outlined: 1. **Optimistic Scenario**: A short-term rebound leading to price increases in equity-type and mid-to-low priced convertible bonds [3] 2. **Volatile Scenario**: A period of market fluctuation with limited new capital inflow, delaying overall valuation increases [4] 3. **Pessimistic Scenario**: A shift in market sentiment leading to significant risks, particularly for lower-quality convertible bonds [4] Investment Strategies - Emphasis on identifying convertible bonds with strong debt support and a high likelihood of conversion success, targeting a price of 130 yuan to trigger strong redemption [5] - Recommendations to maintain cautious positions and focus on structural allocations, particularly in mid-to-low priced convertible bonds with favorable conversion prospects [5] Government Bond Market Insights - The yield on 10-year government bonds is expected to fluctuate between 1.78% and 1.85%, while 30-year bonds may reach up to 2.3% [6] - The market is anticipated to experience a directional choice soon, with significant attention on the upcoming special government bond issuance plan [6][10] Monetary Policy Outlook - The likelihood of the central bank actively withdrawing MLF (Medium-term Lending Facility) is low, with a supportive monetary policy stance expected to continue [7] - Key signals to watch for include the wording in MLF announcements and the potential impact of external geopolitical factors on domestic monetary policy [7] Credit Bond Market Dynamics - Funds are the primary players in the credit bond market, with significant net purchases observed, particularly in the 1-3 year maturity range [9] - The trend of funds heavily investing in credit bonds is expected to persist into the second quarter, despite potential risks associated with concentrated positions [10] Key Variables to Monitor - Upcoming special government bond issuance plans and their market impact [8] - Economic data releases in early April to assess ongoing economic trends [10] - Fluctuations in oil prices and their implications for monetary policy [10] Additional Important Content - The records highlight the importance of structural investment strategies in a volatile market environment, emphasizing the need for careful monitoring of both domestic and international economic indicators [5][10]

Report Industry Investment Rating - The report does not provide a specific industry investment rating. Core Views - The report analyzes various financial products, including bonds, stock indices, and commodities, and provides model - based views on their trends. The views are classified as "看多" (bullish), "调整" (adjustment), and "震荡" (sideways). Bullish products include 3 - year AAA medium - short - term notes, 2 - year treasury bonds, and the Wind Micro - cap Index. Products in adjustment include 30 - year treasury bonds, 10 - year treasury bonds, the Wind All - A Index, the CSI Dividend Total Return Index, the Hang Seng Tech Index, the STAR 50 Index, and the China Securities 2000 Index. Sideways products include COMEX gold and IPE Brent crude oil [2][3][6]. Summary by Related Content Bond Analysis - **30 - year Treasury Bond**: The original signal is 72.23%, MA5 is 71.18%, the model view is "调整" (adjustment), and the signal has lasted for 6 trading days [2][6][7]. - **3 - year AAA Medium - short - term Note**: The original signal is 93.88%, MA5 is 27.75%, the model view is "看多" (bullish), and the signal has lasted for 4 trading days [2][6][7]. - **10 - year Treasury Bond**: The original signal is 77.63%, MA5 is 66.70%, the model view is "调整" (adjustment), and the signal has lasted for 3 trading days [2][6][7]. - **2 - year Treasury Bond**: The original signal is 5.82%, MA5 is 27.35%, the model view is "看多" (bullish), and the signal has lasted for over 10 trading days [2][6][7]. Stock Index Analysis - **Wind All - A Index**: The original signal is 82.26%, MA5 is 60.51%, the model view has changed from "震荡" (sideways) to "调整" (adjustment), and the signal has lasted for 1 trading day [2][6][7]. - **CSI Dividend Total Return Index**: The original signal is 46.79%, MA5 is 61.58%, the model view has changed from "震荡" (sideways) to "调整" (adjustment), and the signal has lasted for 1 trading day [2][6][7]. - **Hang Seng Tech Index**: The original signal is 87.97%, MA5 is 71.03%, the model view is "调整" (adjustment), and the signal has lasted for 2 trading days [2][6][7]. - **STAR 50 Index**: The original signal is 77.75%, MA5 is 73.52%, the model view is "调整" (adjustment), and the signal has lasted for over 10 trading days [2][6][7]. - **Wind Micro - cap Index**: The original signal is 60.71%, MA5 is 30.48%, the model view is "看多" (bullish), and the signal has lasted for 7 trading days [2][6][7]. - **China Securities 2000 Index**: The original signal is 62.11%, MA5 is 61.27%, the model view is "调整" (adjustment), and the signal has lasted for 4 trading days [2][6][7]. Commodity Analysis - **COMEX Gold**: The original signal is 53.33%, MA5 is 58.47%, the model view is "震荡" (sideways), and the signal has lasted for 2 trading days (not yet closed, postponed by one trading day) [2][6][7]. - **IPE Brent Crude Oil**: The original signal is 28.07%, MA5 is 41.07%, the model view is "震荡" (sideways), and the signal has lasted for 4 trading days (not yet closed, postponed by one trading day) [2][6][7].

- The report includes a quantitative timing model that outputs probabilities for short-term movements in bond yields or stock indices. The model uses historical data to estimate probabilities and provides multi-directional views (bullish, bearish, or neutral) based on thresholds of 40% and 60% for probabilities. Probabilities above 60% indicate bullish sentiment, below 40% indicate bearish sentiment, and between 40%-60% indicate neutral sentiment [5][6]. - The model's specific construction involves calculating daily timing signals and a 5-day moving average (MA5) of these signals. The timing signals represent the probability of upward or downward movements in the target asset. For example, the 30-year government bond signal is calculated as 76.88% for the day, with an MA5 of 67.56%, indicating an "adjustment" view. Similarly, the 2-year government bond signal is 7.40%, with an MA5 of 30.40%, indicating a "bullish" view [5][6]. - The model evaluates multiple assets, including government bonds (2-year, 10-year, 30-year), corporate bonds (3-year AAA medium-term notes), stock indices (e.g., CSI All A Index, CSI Dividend Total Return Index, Hang Seng Technology Index, STAR 50 Index, Wind Micro Index, and CNI 2000 Index), and commodities (COMEX Gold and IPE Brent Oil). Each asset is assigned a daily signal, MA5, and a directional view (bullish, bearish, or neutral) [5][6]. - The model's performance is assessed through the persistence of signals over multiple trading days. For example, the bullish signal for COMEX Gold has persisted for over 10 trading days, while the adjustment signal for the CSI All A Index has persisted for 4 trading days. This persistence is used to validate the model's reliability in predicting short-term movements [5][6]. - The report provides detailed backtesting results for each asset, including daily timing signals, MA5 values, and directional views. For instance, the CSI Dividend Total Return Index has a daily signal of 65.65% and an MA5 of 55.78%, indicating a "neutral" view. Similarly, the STAR 50 Index has a daily signal of 86.91% and an MA5 of 77.16%, indicating an "adjustment" view [5][6]. - The model is qualitatively evaluated as a useful tool for short-term market timing, providing actionable insights for various asset classes. However, the report highlights potential risks, such as model failure due to changing market conditions, factor failure, and data quality issues [5][6][7]. - Backtesting results for the quantitative timing model: - 30-year government bond: daily signal 76.88%, MA5 67.56%, view "adjustment" [5][6] - 3-year AAA medium-term notes: daily signal 17.77%, MA5 26.20%, view "bullish" [5][6] - 10-year government bond: daily signal 74.05%, MA5 60.92%, view "adjustment" [5][6] - 2-year government bond: daily signal 7.40%, MA5 30.40%, view "bullish" [5][6] - CSI All A Index: daily signal 35.32%, MA5 64.67%, view "adjustment" [5][6] - CSI Dividend Total Return Index: daily signal 65.65%, MA5 55.78%, view "neutral" [5][6] - Hang Seng Technology Index: daily signal 62.49%, MA5 59.50%, view "neutral" [5][6] - STAR 50 Index: daily signal 86.91%, MA5 77.16%, view "adjustment" [5][6] - Wind Micro Index: daily signal 22.76%, MA5 16.86%, view "bullish" [5][6] - CNI 2000 Index: daily signal 49.34%, MA5 66.20%, view "adjustment" [5][6] - COMEX Gold: daily signal 74.78%, MA5 38.96%, view "bullish" [5][6] - IPE Brent Oil: daily signal 60.69%, MA5 49.96%, view "neutral" [5][6]

Investment Rating - The report maintains a bullish outlook on 3-year AAA medium-short bonds, 2-year government bonds, COMEX gold, and IPE crude oil [3][6] - Adjustments are suggested for 30-year government bonds, Hang Seng Technology Index, Sci-Tech 50 Index, and CSI 2000 Index [3][6] - The report indicates a neutral stance on 10-year government bonds, CSI Dividend Total Return Index, and Wande All A Index [3][6] Core Insights - The original signal for 30-year government bonds is 62.58%, with a 5-day moving average (MA5) of 66.26%, leading to an adjustment recommendation [3][6] - The original signal for 3-year AAA medium-short bonds is 16.06%, with an MA5 of 31.40%, changing from a neutral to a bullish outlook [3][6] - The original signal for 10-year government bonds is 64.12%, with an MA5 of 49.35%, maintaining a neutral stance [3][6] - The original signal for 2-year government bonds is 29.05%, with an MA5 of 30.52%, indicating a bullish outlook [3][6] - The original signal for Wande All A Index is 73.94%, with an MA5 of 74.91%, leading to an adjustment recommendation [3][6] - The original signal for CSI Dividend Total Return Index is 70.45%, with an MA5 of 46.67%, changing from bullish to neutral [3][6] - The original signal for Hang Seng Technology Index is 58.13%, with an MA5 of 53.25%, maintaining a neutral stance [3][6] - The original signal for Sci-Tech 50 Index is 75.95%, with an MA5 of 69.47%, leading to an adjustment recommendation [3][6] - The original signal for Wande Micro Index is 18.67%, with an MA5 of 16.99%, indicating a bullish outlook [3][6] - The original signal for CSI 2000 Index is 43.82%, with an MA5 of 60.99%, leading to an adjustment recommendation [3][6] - The original signal for COMEX gold is 28.71%, with an MA5 of 25.89%, indicating a bullish outlook [3][6] - The original signal for IPE crude oil is 62.79%, with an MA5 of 47.48%, changing from bullish to neutral [3][6]

Quantitative Models and Construction Methods 1. Model Name: Timing Signal Model - **Model Construction Idea**: The model estimates the probability of short-term upward movement in bond yields or stock indices based on historical data and statistical patterns[6][7] - **Model Construction Process**: - The model outputs a percentage representing the probability of upward movement in bond yields or stock indices at the end of the day - Multi-day moving averages (e.g., MA5) are calculated to smooth the signal - Thresholds are set for decision-making: - For bond yields: >60% indicates bearish, <40% indicates bullish, and 40%-60% indicates neutral - For stock indices: >60% indicates bullish, <40% indicates bearish, and 40%-60% indicates neutral - The model's output is updated daily, and the moving average is recalculated to adjust the signal[6][7] - **Model Evaluation**: The model provides a structured framework for short-term market timing, but its effectiveness depends on the stability of historical patterns and data quality[6][7] --- Model Backtesting Results Timing Signal Model - **30-Year Treasury Bond**: - Original Signal: 62.58% - MA5: 66.26% - Model View: Adjustment - Signal Duration: 3 trading days[6][7] - **3-Year AAA Medium-Term Note**: - Original Signal: 16.06% - MA5: 31.40% - Model View: Bullish - Signal Duration: 1 trading day[6][7] - **10-Year Treasury Bond**: - Original Signal: 64.12% - MA5: 49.35% - Model View: Neutral - Signal Duration: 3 trading days[6][7] - **2-Year Treasury Bond**: - Original Signal: 29.05% - MA5: 30.52% - Model View: Bullish - Signal Duration: Over 10 trading days[6][7] - **Wind All A Index**: - Original Signal: 73.94% - MA5: 74.91% - Model View: Adjustment - Signal Duration: 3 trading days[6][7] - **China Dividend Total Return Index**: - Original Signal: 70.45% - MA5: 46.67% - Model View: Neutral - Signal Duration: 1 trading day[6][7] - **Hang Seng Technology Index**: - Original Signal: 58.13% - MA5: 53.25% - Model View: Neutral - Signal Duration: 4 trading days[6][7] - **STAR 50 Index**: - Original Signal: 75.95% - MA5: 69.47% - Model View: Adjustment - Signal Duration: Over 10 trading days[6][7] - **Wind Microcap Index**: - Original Signal: 18.67% - MA5: 16.99% - Model View: Bullish - Signal Duration: 4 trading days[6][7] - **CNI 2000 Index**: - Original Signal: 43.82% - MA5: 60.99% - Model View: Adjustment - Signal Duration: 2 trading days[6][7] - **COMEX Gold**: - Original Signal: 28.71% - MA5: 25.89% - Model View: Bullish - Signal Duration: Over 10 trading days[6][7] - **IPE Brent Crude Oil**: - Original Signal: 62.79% - MA5: 47.48% - Model View: Neutral - Signal Duration: 1 trading day[6][7]

Investment Rating - The report maintains a bullish outlook on the 10-year treasury, 2-year treasury, CSI Dividend Total Return Index, Wind Micro Index, COMEX Gold, and IPE Brent Oil [1][5] - The report indicates an adjustment for the STAR 50 Index [2][5] - The report suggests a fluctuating outlook for the 30-year treasury, 3-year AAA medium-short bonds, Wind All A Index, Hang Seng Technology Index, and CSI 2000 Index [2][5] Core Insights - The original signal for the 30-year treasury is 51.36% with a 5-day moving average (MA5) of 57.04%, indicating a fluctuating outlook [2][5] - The original signal for the 3-year AAA medium-short bonds is 86.23% with an MA5 of 56.88%, also indicating a fluctuating outlook [2][5] - The original signal for the 10-year treasury is 43.90% with an MA5 of 32.36%, supporting a bullish outlook [2][5] - The original signal for the 2-year treasury is 10.55% with an MA5 of 13.88%, indicating a bullish outlook [2][5] - The original signal for the Wind All A Index is 70.48% with an MA5 of 57.59%, suggesting a fluctuating outlook [2][5] - The original signal for the CSI Dividend Total Return Index is 26.14% with an MA5 of 20.17%, supporting a bullish outlook [2][5] - The original signal for the Hang Seng Technology Index is 43.13% with an MA5 of 59.74%, indicating a shift from adjustment to a fluctuating outlook [2][5] - The original signal for the STAR 50 Index is 80.92% with an MA5 of 64.28%, indicating an adjustment [2][5] - The original signal for the Wind Micro Index is 16.56% with an MA5 of 30.15%, indicating a shift from fluctuating to a bullish outlook [2][5] - The original signal for the CSI 2000 Index is 86.75% with an MA5 of 53.01%, suggesting a fluctuating outlook [2][5] - The original signal for COMEX Gold is 13.41% with an MA5 of 10.19%, supporting a bullish outlook [2][5] - The original signal for IPE Brent Oil is 51.71% with an MA5 of 30.28%, indicating a bullish outlook [2][5]

- The report discusses a quantitative model that outputs probabilities for short-term movements in bond yields or stock indices. The model's output is expressed as a percentage, representing the likelihood of upward movement in yields or indices at the end of the trading day. Thresholds are set at 40% and 60% to classify the market view as "bullish," "bearish," or "neutral" [6][7] - The model uses a moving average (MA5) of the daily timing signals to smooth out short-term fluctuations and provide a more stable view of market trends. For example, the MA5 values are calculated for various assets, such as 30-year government bonds, 2-year government bonds, and stock indices like the CSI Dividend Total Return Index and the Wind Microcap Index [6][7] - The model's predictions are tested across multiple assets, including government bonds (2-year, 10-year, 30-year), stock indices (e.g., CSI Dividend Total Return Index, Wind Microcap Index, Hang Seng Tech Index, STAR 50 Index), and commodities (e.g., COMEX Gold, IPE Brent Oil). The predictions are categorized into "bullish," "bearish," or "neutral" based on the thresholds mentioned above [6][7] - The report provides detailed results for each asset, including the daily timing signal, MA5 value, and the model's market view. For instance, the 2-year government bond has a daily signal of 20.57% and an MA5 of 13.86%, leading to a "bullish" view sustained for over 10 trading days. Similarly, the CSI Dividend Total Return Index has a daily signal of 36.60% and an MA5 of 24.23%, also classified as "bullish" for over 10 trading days [6][7] - The model's performance is evaluated over a 10-day period for each asset, with the report highlighting changes in market views and the duration of these views. For example, the 30-year government bond shifted from "neutral" to "bearish" with a daily signal of 68.41% and an MA5 of 63.62%, sustained for one trading day. The Hang Seng Tech Index remained "neutral" with a daily signal of 71.60% and an MA5 of 55.90%, sustained for two trading days [6][7]