2025 年 05 月 25 日 证券研究报告 | 策略周报 市场活跃度回落，欲扬或需先抑 策略周报 分析师：郝一凡 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 销售服务电话： 相关研究报告 【股市方面】短期波动加大，静待调整压力释放。近期市场缩圈至更为极致 的"杠铃"策略——大盘权重+微盘，即以银行为代表的权重以及以微盘股指 数为代表的方向表现更为突出。但这一趋势当前面临风险收益性价比偏低的阻 力，导致市场活跃度下降、小微盘题材方向轮动加快，对赚钱效应形成拖累， 处于高位的大盘权重、微盘风格或面临短期调整压力。建议短期内可耐心等待 更具性价比的配置机会，市场调整压力释放后可继续关注银行、题材（新消 费、科技、化工等）及宽基指数的布局机会。 风险提示：经济修复不及预期的风险，政策效果不及预期的风险，关税博弈 反复的风险，地缘政治风险，海外经济衰退风险，外部政策不确定性风险。 敬请参阅报告结尾处免责声 ...

2025 年 05 月 23 日 证券研究报告|银行理财月报 理财规模季节性显著回升，固收+产品为发行主力 2025 年 4 月银行理财市场月报 分析师：蔡梦苑 分析师登记编码：S0890521120001 电话：021-20321004 邮箱：caimengyuan@cnhbstock.com 分析师登记编码：S0890525040001 电话：021-20321070 邮箱：zhoujiahui@cnhbstock.com 销售服务电话： 021-20515355 相关研究报告 1、《理财规模稳中有升，目标盈类理 财增幅较大—2024 年 12 月银行理财 市场月报》2025-01-24 理财发行增多—2024 年 11 月银行理 财市场月报》2024-12-26 净值修复—2024 年 9 月银行理财市场 月报》2024-10-16 化—2024 年 8 月银行理财市场月报》 2024-09-08 5、《无风险收益再下，"金融+慈善" 产品模式探索—2024 年 7 月银行理财 市场月报》2024-08-09 投资要点 监管政策及资管市场要闻解读： 分析师：周佳卉 4 月 21 日，中国银行间市场交易商 ...

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry Core Insights - The banking wealth management market experienced a significant seasonal rebound in April 2025, with a month-on-month increase of 7.58% to reach 31.09 trillion yuan, reflecting an 8.05% year-on-year growth [4][19] - The issuance of fixed income plus (固收+) products dominated the new product offerings, indicating a shift in investor preference towards products that balance liquidity and yield [5][35] - Regulatory changes are expected to limit the operational space for banks to smooth returns through valuation techniques, impacting future product offerings [12][10] Regulatory Policies and Asset Management Market News - On April 21, the China Interbank Market Dealers Association released self-regulatory guidelines for bond valuation, emphasizing the need for standardized net asset value measurement [10][11] - On May 7, the central bank introduced a series of monetary policy measures aimed at stabilizing market expectations, which may have a dual effect on the banking wealth management market [13][14] - The China Securities Regulatory Commission announced an action plan for the high-quality development of public funds, indicating a shift towards long-term performance evaluation and transparency [15][16] Market Performance - The total market for wealth management products saw a significant recovery in April, with cash management products experiencing a decline in yield, while fixed income products saw an increase [22][26] - The annualized yield for cash management products fell to 1.49%, while fixed income products rose to 2.74%, indicating a divergence in performance [22][26] - The market's overall performance is influenced by the ongoing low interest rate environment and regulatory changes affecting product structures [26][31] New Product Issuance - In April, the issuance of new wealth management products decreased compared to March, with fixed income plus products leading the market [35][36] - The new issuance of fixed income plus products amounted to 272.99 billion yuan, significantly higher than pure fixed income products [35][36] - The majority of new products were in the 1-3 year maturity range, reflecting a trend towards medium-term investments in a declining interest rate environment [35][36] Product Maturity and Compliance - The compliance rate for wealth management products reached 74.75% in April, an increase of 7.05% from March, attributed to the recovery in the bond market [44][48] - Short-term products maintained higher compliance rates due to their flexibility in adjusting performance benchmarks in response to market fluctuations [44][48]

New Stock Issuance - Zhongce Rubber (证券代码: 732049) issued at a price of 46.50 on May 23, 2025[1] - ST Cube (证券代码: 300344) announced rights issue on May 14, 2025[1] - San Sheng Guo Jian (证券代码: 688336) announced rights issue on May 23, 2025[1] Trading Alerts - Li Jun Co. (证券代码: 002651) reported severe abnormal fluctuations on May 23, 2025[1] - Chengfei Integration (证券代码: 002190) announced trading alerts on May 19, 2025[1] - ST Er Ya (证券代码: 600107) issued trading alerts on May 15, 2025[1] Market Trends - Multiple companies including Nanjing Port (证券代码: 002040) and Chongqing Port (证券代码: 600279) reported trading alerts on May 23, 2025[1] - A total of 20 companies reported abnormal trading activities on May 23, 2025, indicating potential market volatility[1]

2025 年 05 月 22 日 证券研究报告 | 私募基金专题报告 可转债投资中如何实现绝对收益型策 略？ 华宝聚合系列科普文章 分析师：程秉哲 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 研究助理：张君睿 邮箱：zhangjunrui@cnhbstock.com 销售服务电话： 1、《市场中性策略多头端解析：量化选股 模型如何决定你的收益上限—华宝聚合 系列科普文章》2025-05-15 2、《从隐含波动率到价格的预测—期权 策略系列观察（三）》2024-08-20 3、《隐含波动率跟踪与期权产品分类— 期权策略系列观察（二）》2024-07-31 4、《期权价值的理论与现实—期权策略 系列观察（一）》2024-07-05 投资要点 风险提示：本报告根据历史公开数据及定期报告整理，存在失效风险，不代表 对基金未来资产配置情况的预测，不构成投资建议； 基金的过往业绩及基金经 理管理其他产品的历史业绩不代表未来表现；本报告涉及私募基金相关内容， 若您非合格投资者，请勿阅读本报告； 敬请参阅报告结尾处免责声明 华宝证券 ...

2025 年 05 月 22 日 证券研究报告 | 策略专题报告 2025 年美债到期压力有多大？ 海外市场观察系列之一 分析师：蔡梦苑 分析师登记编码：S0890521120001 电话：021-20321004 邮箱：caimengyuan@cnhbstock.com 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 021-20515355 投资要点 分析师：刘芳 美债实际的到期压力相对可控。尽管美债 5-7 月存在集中到期的压力，但短 债占比较高。考虑到短债市场流动性相对充足，展期压力整体可控。除短期国 债外，美国其他期限的国债到期分布相对较为平稳，未出现集中兑付峰值，到 期压力不高。由于一年以内利率上升的幅度有限，短期国债到期滚续带来的额 外利息支出压力有限。后续利息支出负担增加的压力主要来源于中期国债的到 期，2025 年来源于美国中期国债的新增利息支出约为 266 亿美元。 销售服务电话： 相关研究报告 2025 年美债到期引发的流动性冲击整体可控，当前可以择机进行美债配 置。当前 10 年期美债收益率受到评级下调、减 ...

New Stock Offerings - ST New潮 (600777) has a tender offer period from April 23, 2025, to May 22, 2025[1] - ST 立方 (300344) announced on May 14, 2025[1] - 利君股份 (002651) reported severe abnormal fluctuations on May 19, 2025[1] Trading Alerts - ST尔雅 (600107) announced on May 22, 2025[1] - *ST岩石 (600696) announced on May 22, 2025[1] - 乐山电力 (600644) announced on May 22, 2025[1] Abnormal Fluctuations - 依依股份 (001206) reported abnormal fluctuations on May 22, 2025[1] - *ST智胜 (002253) reported abnormal fluctuations on May 22, 2025[1] - *ST赛隆 (002898) reported abnormal fluctuations on May 22, 2025[1]

- The report tracks various market environment factors for the week of May 12, 2025, to May 16, 2025[2][10] - The report includes a detailed analysis of stock market factors, commodity market factors, options market factors, and convertible bond market factors[7][11][28][36][38] - The stock market factors include market style, market structure, and market activity, with specific metrics such as size and value-growth style volatility, industry index excess return dispersion, and turnover rate[11][12][13] - The commodity market factors include trend strength, basis momentum, volatility, and liquidity, with specific metrics such as the trend strength of energy and black metal sectors, and the volatility of precious metals, non-ferrous metals, and agricultural products[28][30] - The options market factors include implied volatility levels and skewness of call and put options for the SSE 50 and CSI 1000 indices, indicating potential adjustment risks for small-cap stocks[36][37] - The convertible bond market factors include pure bond premium rate, conversion premium rate, and trading volume, with specific metrics such as the stability of the pure bond premium rate and the increase in the proportion of low conversion premium rate bonds[38][39][41] Quantitative Models and Construction Methods 1. **Stock Market Factors** - **Factor Name**: Market Style - **Construction Idea**: Track the performance and volatility of different market styles such as size and value-growth - **Construction Process**: - Measure the performance of large-cap vs. small-cap stocks - Measure the performance of value vs. growth stocks - Calculate the volatility of these styles over the week - **Evaluation**: The market style showed a preference for small-cap and growth stocks, with increased volatility from low levels[11][13] 2. **Commodity Market Factors** - **Factor Name**: Trend Strength - **Construction Idea**: Assess the strength of trends in various commodity sectors - **Construction Process**: - Analyze the price trends in energy, black metals, non-ferrous metals, agricultural products, and precious metals - Calculate the trend strength for each sector - **Evaluation**: Energy and black metal sectors continued to show strong trends, while other sectors had weaker trends[28][30] 3. **Options Market Factors** - **Factor Name**: Implied Volatility and Skewness - **Construction Idea**: Track the implied volatility and skewness of call and put options to gauge market sentiment - **Construction Process**: - Measure the implied volatility levels of SSE 50 and CSI 1000 indices - Calculate the skewness of call and put options for these indices - **Evaluation**: The implied volatility and skewness indicated potential adjustment risks for small-cap stocks[36][37] 4. **Convertible Bond Market Factors** - **Factor Name**: Conversion Premium Rate - **Construction Idea**: Monitor the premium rates and trading volume of convertible bonds - **Construction Process**: - Track the pure bond premium rate and conversion premium rate - Measure the trading volume of convertible bonds - **Evaluation**: The market showed stability in pure bond premium rates and an increase in low conversion premium rate bonds[38][39][41] Backtesting Results of Factors 1. **Stock Market Factors** - **Size Style Volatility**: Increased from low levels[11][13] - **Value-Growth Style Volatility**: Increased from low levels[11][13] - **Industry Index Excess Return Dispersion**: Decreased[11][13] - **Turnover Rate**: Decreased[12][13] 2. **Commodity Market Factors** - **Trend Strength**: Strong in energy and black metal sectors[28][30] - **Volatility**: Low in precious metals, non-ferrous metals, and agricultural products; high in energy and black metal sectors[28][30] - **Liquidity**: Best in the energy sector[28][30] 3. **Options Market Factors** - **Implied Volatility**: Stabilized after a mid-week jump[36][37] - **Skewness**: Increased for both call and put options in SSE 50; increased for put options in CSI 1000[36][37] 4. **Convertible Bond Market Factors** - **Pure Bond Premium Rate**: Stable[38][39][41] - **Conversion Premium Rate**: Stable[38][39][41] - **Trading Volume**: Reached the median level of the past year[38][39][41]

| 新股发行及今日交易提示 | 2025/5/21 | 星期三 | | | | | | --- | --- | --- | --- | --- | --- | --- | | 2025/5/21 | 内地市场权益提示 | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | | https://www.cninfo.com.cn/new/disclosure/detail?stockCode=600777&announcementId=122356 | 要约收购 | 600777 | ST新潮 | 要约申报期：2025年4月23日至2025年5月22日 | 9349&orgId=gssh0600777&announcementTime=2025 | -05-17 | | https://www.cninfo.com.cn/new/disclosure/detail?stockCode=300630&announcementId=122360 | 300630 | 普利退 | 最后交易日：2025年5月21日 | 7168&orgId=9900031463&announcementTime=20 ...

Group 1 - The report outlines a grid trading strategy that capitalizes on price fluctuations rather than predicting market trends, making it suitable for volatile markets [3][14] - Characteristics of suitable grid trading targets include being exchange-traded, having stable long-term trends, low transaction costs, good liquidity, and high volatility, with equity ETFs being particularly appropriate [3][14] Group 2 - The report highlights the pharmaceutical ETF (512010.SH), which benefits from the aging global population and increasing medical demand, alongside policy shifts towards innovation in drug development [5][15] - The report discusses the semiconductor ETF (588290.SH), which is expected to benefit from high industry demand, domestic substitution, and favorable policies, particularly in the context of AI and 5G technologies [6][19] - The robotics ETF (562500.SH) is noted for its transition from experimental to commercial applications, with significant growth projected in the industry supported by national policies [7][21] - The Hang Seng Technology ETF (513260.SH) is highlighted for its coverage of quality tech companies and favorable market conditions, with a current PE-TTM of 21.06, indicating investment potential [8][24] Group 3 - The report suggests that investors can enhance returns by diversifying their grid trading strategies across different ETFs with low correlation, such as combining broad-based and sector-specific ETFs [28] - A table of additional ETFs suitable for grid trading is provided, including various sectors and investment focuses, indicating a broad range of options for investors [29][31]