2025 年 06 月 10 日 证券研究报告 | 财富生态周报 ETF 及指数产品网格策略周报 2025/6/10 分析师：卫以诺 分析师登记编码：S0890518120001 电话：021-20321014 邮箱：weiyinuo@cnhbstock.com 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 销售服务电话： 021-20515355 2025/6/3》2025-06-03 2、《ETF 及指数产品网格策略周报— 2025/5/27》2025-05-27 3、《ETF 及指数产品网格策略周报— 2025/5/20》2025-05-20 4、《ETF 及指数产品网格策略周报— 2025/5/13》2025-05-13 5、《ETF 及指数产品网格策略周报— 2025/5/9》2025-05-09 投资要点 分析师：程秉哲 ◆网格交易策略概述：简单来说，"网格交易"本质上是一种高抛低吸的交易 策略。但与依赖判断长期走势的趋势交易不同，网格交易是一种基于价格波动 的策略，它不预测市场的具体走势，而是利用价格在一 ...

| 新股发行及今日交易提示 | 2025/6/9 | 星期一 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/6/9 | 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=603389&announcementId=122378 | 要约收购 | 603389 | *ST亚振 | 要约申报期：2025年6月10日至2025年7月9日 | 9053&orgId=9900026793&announcementTime=2025 | -06-06 | | | | https://www.cninfo.com.cn/new/disclosure/detail?plate=szse&orgId=9900010033&stockCode=0 | 002336 | *ST人乐 | 退市整理期起始日 | : | 2025年6月13日 | 02336&an ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week (2025.06.03 - 2025.06.06), the bond market rose slightly, with the ChinaBond - Aggregate Wealth Index (CBA00201) up 0.13% and the ChinaBond - Aggregate Full Price Index (CBA00203) up 0.09%. Interest - rate bond yields generally declined, with short - term yields falling more than long - term ones. Credit bond yields mainly declined, and credit spreads widened [3][11]. - The central bank pre - renewed a trillion - yuan outright repo to support the capital market. Sino - US high - level talks dampened the bond market sentiment. The expectation of interest rate cuts cooled, and uncertainties in overseas markets remained. The scale of REITs exceeded 200 billion yuan, and market enthusiasm continued [3]. - On June 3, 2025, the Shanghai Development and Reform Commission issued a notice to promote the quality improvement and expansion of infrastructure REITs in the city. With top - down policy support, the categories of REITs underlying assets will expand, and the secondary - market trading volume and activity may increase [4][14][15]. 3. Summary by Relevant Catalogs 3.1 Weekly Market Observation 3.1.1 Pan - Fixed - Income Market Review and Observation - **Bond Market Review**: The bond market rose slightly last week. Interest - rate bond yields generally declined, with short - term yields falling more than long - term ones. Credit bond yields mainly declined, and credit spreads widened. For example, the yields of 1 - year, 3 - year, 5 - year, and 10 - year China Development Bank bonds declined by 2.5bp, 2.6bp, 2.9bp, and 1.2bp respectively [11]. - **Central Bank's Action**: On June 5, the central bank announced a 1 - trillion - yuan 3 - month outright reverse repo on June 6, showing its care for the market's capital. Despite reverse - repo fund withdrawals and large - scale maturing of inter - bank certificates of deposit, the capital market loosened, and short - term bond yields dropped significantly [11]. - **Sino - US Talks**: On the evening of June 5, Sino - US leaders' call boosted short - term market risk appetite and suppressed the long - term bond market. The outcome of the second - round Sino - US tariff talks and May's economic fundamentals data may further affect the bond market [12]. - **Interest Rate Cut Expectation and Overseas Uncertainties**: US bond yields first declined and then rose last week. Economic data in the first half of the week were weak, increasing the expectation of interest rate cuts. However, the unexpectedly high non - farm payrolls on Friday postponed the expectation. Uncertainties such as the "Beautiful Big Bill" and the next - stage negotiations may lead to continued adjustment of long - term US bonds [12]. - **REITs Market**: As of June 5, 2025, the total market value of C - REITs exceeded 200 billion yuan for the first time. Last week, the CSI REITs Total Return Index rose 1.58%.经营权 - based REITs performed better than property - based ones, and energy and transportation REITs, which had fallen deeply before, rebounded. Since the beginning of the year, the CSI REITs index (14.4%) outperformed the CSI All - Bond index (0.71%) and the CSI 300 index (- 1.55%). In a low - interest - rate environment, the allocation value of REITs has increased [13]. 3.1.2 Public Fund Market Dynamics - The Shanghai Development and Reform Commission issued a notice to promote the quality improvement and expansion of infrastructure REITs, including establishing a dynamic reserve pool, supporting asset acquisition and expansion, and optimizing the review and recommendation mechanism. Other local governments have also issued policies to encourage the development of public REITs since March 2025 [14][15][17]. 3.2 Pan - Fixed - Income Fund Index Performance Tracking 3.2.1 Pure - Bond Index Tracking - **Short - Term Bond Fund Preferred Index**: Aims at liquidity management, selects 5 funds with stable long - term returns, strict risk control, and significant absolute - return ability. The performance benchmark is 50% * Short - Term Pure - Bond Fund Index+50% * General Money - Market Fund Index [18]. - **Medium - and Long - Term Bond Fund Preferred Index**: Invests in medium - and long - term pure - bond funds, selects 5 funds with both return and risk - control capabilities, and adjusts the duration and the ratio of credit - bond funds and interest - rate bond funds according to market conditions [19]. 3.2.2 Fixed - Income + Index Tracking - **Low - Volatility Fixed - Income + Preferred Index**: The equity center is 10%, selects 10 funds with an equity center within 15% in the past three years and recently, and focuses on the cost - performance of return and risk and the holding experience. The performance benchmark is 10% * CSI 800 Index+90% * ChinaBond - New Aggregate Full Price Index [23]. - **Medium - Volatility Fixed - Income + Preferred Index**: The equity center is 20%, selects 5 funds with an equity center between 15% - 25% in the past three years and recently, and focuses on return - risk cost - performance and performance elasticity [25][26]. - **High - Volatility Fixed - Income + Preferred Index**: The equity center is 30%, selects 5 funds with an equity center between 25% - 35% in the past three years and recently, and focuses on return - risk cost - performance and performance elasticity. It selects funds with stable bond - end returns, no credit downgrading, and strong equity - end stock - selection ability [28]. 3.2.3 Convertible Bond Fund Preferred Index Selects 5 funds from a sample space of bond - type funds with an average convertible - bond investment proportion of at least 60% in the latest period and at least 80% in the past four quarters, based on an evaluation system considering fund products, fund managers, and fund companies [30][31]. 3.2.4 QDII Bond Fund Preferred Index Tracking Selects 6 funds with stable returns and good risk control from QDII bond funds with overseas bonds as underlying assets, covering different investment regions and credit grades [32]. 3.2.5 REITs Fund Preferred Index Tracking Selects 10 funds with stable operation, reasonable valuation, and certain elasticity from REITs funds with mature and high - quality infrastructure projects as underlying assets [35].

Report Overview - The report is a weekly analysis of the public fund market from June 3, 2025, to June 6, 2025, covering the equity market, public fund market dynamics, and the performance of active equity fund indices [1][2] 1. Weekly Market Observation 1.1 Equity Market Review and Observation - A-share market rebounded slightly last week, with the Shanghai Composite Index, ChiNext Index, and Shenzhen Component Index rising by 1.13%, 2.32%, and 1.42% respectively. The average daily trading volume of the Wind All-A Index reached 1.2 trillion yuan, a 10.5% increase from the previous week [10] - At the beginning of the week, innovative drugs and new consumption remained strong. Later, driven by factors such as NVIDIA's record market value, sectors like CPO and computing power led the gains. The home appliance sector declined significantly due to national subsidy policy restrictions [10] - Regarding the "tech narrative," since April, themes represented by new consumption and innovative drugs have generated good returns, while sectors like AI and robotics have faced fatigue. The reduced trading congestion in the tech sector provides a basis for its rebound. Upcoming events such as software updates and developer conferences may boost the tech market, but for the tech theme to regain the leading position, there needs to be popular applications or technological breakthroughs in the application end [4][11] - The "seesaw effect" between innovative drugs and new consumption is due to the stable trading volume in the market. Currently, the speculation in these two sectors is spreading in a "treasure hunt" manner, which is often a transitional phase. Once policy signals become clearer and economic data improves, the market will shift towards the performance-driven mainline [4][12] 1.2 Public Fund Market Dynamics - On June 5, the Shanghai Stock Exchange held a symposium on high dividends, high returns, and the enhancement of listed company value. In the future, the SSE will encourage listed companies to increase dividend payments and frequencies and enrich the product system related to dividend indices [4][13] 2. Active Equity Fund Index Performance Tracking 2.1 Active Stock Fund Selection - The Active Stock Fund Selection Index selects 15 funds each period, with equal-weighted allocation. It selects active equity funds based on performance competitiveness and style stability, and balances the style distribution according to the CSI Active Stock Fund Index [16] - Last week, the index rose 1.70%, with a cumulative excess return of 7.23% since its establishment [5][17] 2.2 Value Stock Fund Selection - The Value Stock Fund Selection Index includes both deep-value and quality-value styles. It selects 10 funds with deep-value, quality-value, and balanced-value styles to form the index [19] - Last week, the index rose 0.76%, with a cumulative excess return of 2.27% since its establishment [5][17] 2.3 Balanced Stock Fund Selection - The Balanced Stock Fund Selection Index is composed of 10 funds with relatively balanced and value-growth styles. Fund managers in this style balance the valuation and growth potential of individual stocks [20] - Last week, the index rose 1.91%, with a cumulative excess return of 1.74% since its establishment [5][17] 2.4 Growth Stock Fund Selection - The Growth Stock Fund Selection Index aims to capture the performance and valuation double-click opportunities of high-growth companies. It selects 10 funds with active-growth, quality-growth, and balanced-growth styles [24] - Last week, the index rose 2.31%, with a cumulative excess return of 2.18% since its establishment [5][17] 2.5 Pharmaceutical Stock Fund Selection - The Pharmaceutical Stock Fund Selection Index selects funds based on the intersection market value of their equity holdings and the constituent stocks of the CITIC Pharmaceutical Index. It constructs an evaluation system and selects 15 funds to form the index [24] - Last week, the index rose 2.41%, with a cumulative excess return of 9.19% since its establishment [5][17] 2.6 Consumption Stock Fund Selection - The Consumption Stock Fund Selection Index selects funds based on the intersection market value of their equity holdings and the constituent stocks of relevant consumption indices. It constructs an evaluation system and selects 10 funds to form the index [27] - Last week, the index rose 1.49%, with a cumulative excess return of 1.95% since its establishment [5][17] 2.7 Technology Stock Fund Selection - The Technology Stock Fund Selection Index selects funds based on the intersection market value of their equity holdings and the constituent stocks of relevant technology indices. It constructs an evaluation system and selects 10 funds to form the index [30] - Last week, the index rose 2.72%, with a cumulative excess return of 6.46% since its establishment [5][17] 2.8 High-End Manufacturing Stock Fund Selection - The High-End Manufacturing Stock Fund Selection Index selects funds based on the intersection market value of their equity holdings and the constituent stocks of relevant high-end manufacturing indices. It constructs an evaluation system and selects 10 funds to form the index [30] - Last week, the index rose 2.48%, with a cumulative excess return of -6.64% since its establishment [5][17] 2.9 Cyclical Stock Fund Selection - The Cyclical Stock Fund Selection Index selects funds based on the intersection market value of their equity holdings and the constituent stocks of relevant cyclical indices. It constructs an evaluation system and selects 5 funds to form the index [34] - Last week, the index rose 2.14%, with a cumulative excess return of -1.06% since its establishment [5][17]

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - By leveraging ETFs, it is convenient to transform quantitative models or subjective views into practical investment strategies. The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis [11] 3. Summary by Related Catalogs 3.1 ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week. The indices include the Huabao Research Large - Small Cap Rotation ETF Strategy Index, Huabao Research Quantitative Fire - Wheel ETF Strategy Index, etc. Their last - week index returns, comparison benchmarks, last - week benchmark returns, and excess returns are presented. For example, the Huabao Research Large - Small Cap Rotation ETF Strategy Index had a last - week index return of 0.95%, a comparison benchmark of CSI 800 with a last - week benchmark return of 1.07%, and an excess return of - 0.11% [12] 3.2 Huabao Research Large - Small Cap Rotation ETF Strategy Index - **Strategy Principle**: It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. The model outputs signals weekly to predict the strength of the indices in the next week and determines the holdings accordingly to obtain excess returns relative to the market [3][13] - **Performance**: As of 2025/6/6, the excess return since 2024 was 15.99%, the excess return in the past month was - 1.76%, and the excess return in the past week was - 0.11%. The last - week index return was 0.95%, and the comparison benchmark was CSI 800 with a last - week benchmark return of 1.07% [3][12][13] - **Holdings**: As of 2025/6/6, it held 100% of the CSI 300ETF [16] 3.3 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time self - built Barra factors and maps the timing signals to ETFs based on the exposure of ETFs to 9 major Barra factors to obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [3][15] - **Performance**: As of 2025/6/6, the excess return since 2024 was 20.75%, the excess return in the past month was 3.74%, and the excess return in the past week was 0.40%. The last - week index return was 1.47%, and the comparison benchmark was CSI 800 with a last - week benchmark return of 1.07% [3][12][15] - **Holdings**: As of 2025/6/6, it held 47.58% of the Dividend Low - Volatility ETF, 33.84% of the CSI 2000ETF, and 18.59% of the CSI 1000ETF [21] 3.4 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behaviors of various market participants. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs out potential sectors to obtain excess returns relative to the market [4][20] - **Performance**: As of 2025/6/6, the excess return since 2024 was 2.38%, the excess return in the past month was 0.81%, and the excess return in the past week was - 0.22%. The last - week index return was 0.84%, and the comparison benchmark was CSI 800 with a last - week benchmark return of 1.07% [4][12][20] - **Holdings**: As of 2025/6/6, it held 20.20% of the Non - Ferrous Metals 60ETF, 20.08% of the Coal ETF, 20.00% of the Medical and Health ETF, 19.89% of the Bank ETF, and 19.83% of the Logistics ETF [23] 3.5 Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to build a quantitative timing system for trend analysis of the equity market. It establishes a prediction model for the market's large - and small - cap styles to adjust the equity market position distribution and obtains excess returns relative to the market through comprehensive timing and rotation [4][23] - **Performance**: As of 2025/6/6, the excess return since 2024 was 0.97%, the excess return in the past month was - 0.14%, and the excess return in the past week was - 0.36%. The last - week index return was 0.52%, and the comparison benchmark was SSE 50 with a last - week benchmark return of 0.88% [4][12][23] - **Holdings**: As of 2025/6/6, it held 5.27% of the CSI 1000ETF, 5.11% of the Enhanced 500ETF, 29.60% of the 300 Enhanced ETF, 25.15% of the Policy Financial Bond ETF, 24.80% of the Short - Term Financing ETF, and 10.06% of the 10 - Year Treasury Bond ETF [27] 3.6 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and mines hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional views, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot - spots in a timely manner to provide investors with references for short - term market trends and help them make more informed investment decisions [5][27] - **Performance**: As of 2025/6/6, the excess return in the past month was 1.49%, and the excess return in the past week was 0.43%. The last - week index return was 1.91%, and the comparison benchmark was CSI All - Share with a last - week benchmark return of 1.47% [5][12][27] - **Holdings**: As of 2025/6/6, it held 28.59% of the Hong Kong Stock Consumption ETF, 26.84% of the Non - Ferrous Metals 50ETF, 25.57% of the Hong Kong Stock Dividend ETF, and 19.00% of the 5 - to 10 - Year Treasury Bond ETF [31] 3.7 Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is below a certain threshold, it reduces the position of long - duration bonds in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [5][31] - **Performance**: As of 2025/6/6, the excess return in the past month was 0.25%, and the excess return in the past week was - 0.01%. The last - week index return was 0.14%, and the comparison benchmark was ChinaBond Aggregate Index with a last - week benchmark return of 0.14% [5][12][31] - **Holdings**: As of 2025/6/6, it held 50.02% of the 10 - Year Treasury Bond ETF, 12.50% of the 5 - to 10 - Year Treasury Bond ETF, and 12.49% of the Policy Financial Bond ETF [34]

2025 年 06 月 08 日 证券研究报告 | 策略周报 稳中求进，静待成长良机 策略周报 分析师：刘芳 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 021-20515355 1、《关税超预期调降，资金为何转向防 御？—策略周报》2025-05-18 2、《关税窗口期应如何博弈？—策略周 报》2025-05-11 3、《政治局会议临近，应如何布局？— 策略周报》2025-04-20 4、《关税对 A 股哪些行业影响较大？— 策略周报》2025-04-13 5、《关税迷雾叠加美股震荡，资产应如 何配置？—策略周报》2025-03-30 投资要点 分析师：郝一凡 【债市方面】未来利率仍有望创新低，关注左侧机会。今年债市收益率呈"慢 上快下"格局，难以捕捉右侧机会，建议在具有性价比的位置耐心配置。从 10 年期国债收益率的角度看，一季度机会配置点在 1.8%上方，极端点位触及 1.9%，考虑到央行持续 ...

2025 年 06 月 08 日 证券研究报告 | 策略周报 稳中求进，静待成长良机 策略周报 分析师：刘芳 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 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 持续升级的风险，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明 华宝证券 1/7 021-20515355 1、《关税超预期调降，资金为何转向防 御？—策略周报》2025-05-18 2、《关税窗口期应如何博弈？—策略周 报》2025-05-11 3、《政治局会议临近，应如何布局？— 策略周报》2025-04-20 4、《关税对 A 股哪些行业影响较大？— 策略周报》2025-04-13 5、《关税迷雾叠加美股震荡，资产应如 何配置？—策略周报》2025-03-30 投资要点 分析师：郝一凡 【债市方面】未来利率仍有望创新低，关注左侧机会。今年 ...

2025 年 06 月 06 日 证券研究报告 | 银行理财周报 债市走势分化，银行理财产品收益回落 银行理财周度跟踪 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 021-20515355 相关研究报告 1、《 债市震荡，各期限理财产品收益仍 在 调 整 — 银 行 理 财 产 品 周 数 据 》 2025-01-22 2、《 债市降温，各期限理财产品收益出 现 调 整 — 银 行 理 财 产 品 周 数 据 》 2025-01-15 3、《 跨年效应消退，流动性管理工具收 益 回 落 — 银 行 理 财 产 品 周 数 据 》 2025-01-08 4、《现管类理财和货基收益接近打平— 银行理财产品周数据》2024-12-27 5、《现管类理财和货基收益差距持续缩 窄,仅约 10BP—银行理财产品周数据》 2024-12-19 投资要点 行业和监管动态：5 月 23 日 ...

| 新股发行及今日交易提示 | 2025/6/6 | 星期五 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/6/6 | 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=603389&announcementId=122378 | 要约收购 | 603389 | *ST亚振 | 要约申报期：2025年6月10日至2025年7月9日 | 9053&orgId=9900026793&announcementTime=2025 | -06-06 | | | | https://www.cninfo.com.cn/new/disclosure/detail?plate=szse&orgId=9900010033&stockCode=0 | 002336 | *ST人乐 | 退市整理期起始日 | : | 2025年6月13日 | 02336&an ...

证券研究报告——宏观策略月报 全球贸易谈判关键阶段，以稳应变 ——2025年6月资产配置报告 HWABAO SECURITIES 2025年6月5日 分析师： 蔡梦苑（执业证书编号：S0890521120001） 分析师： 郝一凡（执业证书编号：S0890524080002） 分析师： 刘 芳（执业证书编号：S0890524100002） ► 请仔细阅读报告结尾处风险提示及免责声明 宏观主线梳理 宏观主线梳理 美国关税政策仍具不确定性 海外宏观 Ø 美国关税政策仍具较高不确定性，最终结果或趋于全球10%-15%、中国30%-54%的税率水平 关税扰动短期影响有限，中期压力值得关注，静待增量政策出台 Ø 市场担忧减税法案带来美国财政赤字难以持续 u 5月23日，美国众议院通过 "一个大美丽法案"。根据宾夕法尼亚大学测算，若法案最终通过，未来十年或将净增3.3万亿美元赤 字。市场担忧该法案带来的财政赤字难以持续，叠加穆迪下调美国主权信用评级，这均导致5月下旬美国市场再现股债汇三杀。 u 后续关税存在上行空间及不可预测性。在6-7月与各国达成关税贸易协定后，逐步明确的关税收入可缓解市场对财政赤字的担忧， 减税法案有 ...