Zhongjin: From the perspective of calendar effects, we may focus on quality style investment opportunities at the end of the year.

CICC released a research report stating that there are style calendar effects in the market due to the pace of financial report disclosure, the effect of dividend events, and the seasonal changes in institutional investors' risk preferences. The small-cap style shows the characteristic of large fluctuations in the first half of the year and overall improvement in the second half of the year; the growth style exhibits a "high before low" pattern. The quality style reflects the "strong beginning and end" rule; the dividend style performs well in April and August, with lower excess win rates in June and October. At the end of the year, it may be worth paying attention to the configuration opportunities of the quality style. CICC's main points are as follows: Calendar effects: At the end of the year, it may be worth paying attention to the configuration opportunities of the quality style. The small-cap style shows the characteristic of large fluctuations in the first half of the year and overall improvement in the second half of the year. In April, small-cap style portfolios performed weakly with excess returns of -2.3% and -2.2% for the CSI 2000 index. However, March and May are months with higher average returns for small-cap styles. After August in the second half of the year, small-cap style portfolio returns show relatively higher performance, with the style portfolio win rate maintained at a high level. The growth style exhibits a "high before low" pattern. Growth style portfolios have significant excess returns in January and June, July, with a win rate of 90.9%. The 800 Growth Index also continues its advantage in January; the stock fund index has consecutive positive returns in April-June (all 0.8%), performing better than the 800 Growth Index overall. In the second half of the year, the overall performance of growth styles declines, with the growth factor and the 800 Growth CKH HOLDINGS stock fund index win rate falling below 60%. The quality style reflects the "strong beginning and end" rule. January (excess return 1.4%, win rate 81.8%) and December (excess return 0.5%, win rate 80%) are the advantage months for the quality style throughout the year, with the 800 quality index also performing relatively well in January and December. The dividend style performs well in April and August, with lower excess win rates in June and October. During the period of analysis (from 2020-01-01 to 2025-11-03), the win rate of the dividend index in April and August reached 83.3%. However, June and October show significant declines, with lower win rates for the dividend portfolio and the CSI Dividend Index. The intrinsic mechanism of the style calendar effect: the pace of financial report disclosure, the effect of dividend events, and the seasonal changes in institutional investors' risk preferences The performance of growth and small-cap styles is greatly influenced by the pace of financial report disclosure. During times of intensive financial report disclosure, investors are easily attracted to focus on the performance of listed companies, driving funds towards stocks with strong fundamentals (growth style) while temporarily avoiding small-cap styles with relatively weak fundamentals. The effects of high dividend declaration dates and ex-dividend dates may temporarily affect the performance of the dividend style. The report analyzed the excess return performance before and after high dividend stock dividend declaration dates and ex-dividend dates, finding that high dividend stocks have short-term excess performance after the dividend declaration, but underperform in the short term after the ex-dividend date. Based on the differences in style exposure of public mutual fund holdings between different quarterly reports, the report found that institutional investors' risk preferences show seasonal changes. Specifically, public mutual funds tend to increase their exposure to growth styles in the middle of the year to achieve higher returns, and tend to adopt defensive strategies at the end of the year by increasing exposure to quality style factors. Risk warning: The report summarizes the cyclical patterns existing in the A-share market, without considering trend and exogenous factors. Due to the influence of multiple factors, the style performance in each month in the future may not completely align with the summarized patterns.