UBS Equities-China A-Share Style Guide _Value retained while other factor...-117027392

ab4 August 2025Global ResearchChina A-Share Style GuideValue retained while other factors sufferWhat is the current investing environment?The explanatory power of macroeconomic drivers slightly increased in July as the impact of the two-year US Yield rose from 6% to 8%. Pair-wise correlations across the equity market were flat, while cross-sectional volatility picked up. We think these trends reflect unchanged price co-movements but more stock opportunities.What is the market valuation?China's A-share market valuation slightly picked up to 13.8x 12-month forward PE in July 2025. At the sector level, valuations remained higher for IT and health-care than for others. In addition, real-estate valuations remained at a historical high.What is working?Style factors' performances suffered overall in July. Value and all its sub-factors had mixed results—12-month forward earnings yield rose 2%, and it was also the best performer among all factors YTD, posting a 9% positive return YTD. Low-risk continued to suffer, with 12-month low volatility and low price beta down -6% and -5% on a long-short basis, respectively. The performance of the growth and momentum factors were reversed compared to June as the 12-month trailing EPS growth and all momentum sub-factors experienced losses. In terms of size factor, large-caps slightly declined in July.Monthly long-short style returns: MSCI China-A onshore (July 2025)Source: UBS Quant Database. Note: Size and sector neutral, cap weighted; price beta and volatility calculated as low minus highThis report has been prepared by UBS Securities Asia Limited. ANALYST CERTIFICATION AND REQUIRED DISCLOSURES, including information on the Quantitative Research Review published by UBS, begin on page 12. UBS does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.EquitiesChinaQuantitativeCathy Fang, PhDAnalystcathy.fang@ubs.com+86-21-3866 8891Paul WinterAnalystpaul-j.winter@ubs.com+61-2-9324 2080Will StephensAnalystwill.stephens@ubs.com+852-3712 3892Lynce Wang, FRMAnalystS1460522090001lynce.wang@ubs.com+86-21-3866 8638Oliver Antrobus, CFAAnalystoliver.antrobus@ubs.com+61-3-9242 6467Luke Brown, CFAAnalystluke.brown@ubs.com+61-2-9324 3620James CameronAnalystjames-a.cameron@ubs.com+61-2-9324 2074Aaron Guo, CFAAnalystaaron.guo@ubs.com+852-2971 7705Anita Mansbridge, FIAAAnalystanita.mansbridge@ubs.com+852-2971 7302Jia Li Mok, CFAAnalystjia-li.mok@ubs.com+65-6495 5772Jaiwish NolanAnalystjaiwish.nolan@ubs.com+1-212-713 1489China A-Share Style Guide 4 August 2025ab 2China A-Share Style GuideUBS ResearchMarket overviewWhat is driving the markets?Macroeconomic factors help provide a top-down view of market drivers. We look at a number of globally relevant macroeconomic factors and obser