UBS Equities-China A-Share Style Guide _Market sentiment picked up so def...-117573435

ab1 September 2025Global ResearchChina A-Share Style GuideMarket sentiment picked up so defensive factors pullbackWhat is the current investing environment?The explanatory power of macroeconomic drivers declined in August as the impact of the two-year US Yield decreased from 8% to 7%. Pair-wise correlations across the equity market slightly decreased, while cross-sectional volatility picked up. We think these trends reflect less price co-movements but more stock opportunities.What is the market valuation?China's A-share market valuation slightly picked up to 14.5x 12-month forward PE in August 2025. At the sector level, valuations remained higher for information technology and healthcare than for others. In addition, real-estate valuations remained at a historical high.What is working?Style factors' performances showed dispersion in August. Momentum outperformed and 12-month Price Momentum was the best performer, gaining 11% on a long-short basis. 12-month trailing EPS Growth rebounded from the previous month's drawdown, up 8.4%. In contrast, Value and all its sub-factors suffered – 12-month trailing Book Value Yield down -13%. Low-risk and Quality continued to suffer, with 12-month Low Volatility and Delta Quality down -20% and -8% on a long-short basis, respectively. In terms of size factor, Large-Caps rebounded slightly in August.Monthly long-short style returns: MSCI China-A onshore (August 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 1 September 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 an