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]

New Stock Offerings - ST New潮 (600777) is in the offer period from April 23, 2025, to May 22, 2025[1] - 普利退 (300630) has its last trading day on May 21, 2025, during the delisting arrangement period[1] - 成飞集成 (002190) reported severe abnormal fluctuations[1] Trading Alerts - 12 stocks are flagged for abnormal trading activities, including ST立方 (300344) and 利君股份 (002651)[1] - 3 stocks, including *ST凌云B (900957), are under special treatment due to financial issues[1] - 5 stocks, such as 湖南天雁 (600698) and 曼卡龙 (300945), are highlighted for trading alerts on May 21, 2025[1] Market Trends - The report indicates a significant number of stocks experiencing abnormal volatility, suggesting potential market instability[2] - The ongoing delisting process for certain stocks may impact investor sentiment and market liquidity[1]

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]

New Stock Offerings - ST新潮 (600777) is undergoing a tender offer period from April 23, 2025, to May 22, 2025[1] - 普利退 (300630) and 普利转退 (123099) have 1 trading day remaining until the last trading day[1] - ST立方 (300344) and 利君股份 (002651) have recent announcements but no specific actions noted[1] Market Alerts - 成飞集成 (002190) reported severe abnormal fluctuations[1] - *ST凌云B (900957) and 恒而达 (300946) have recent announcements with no specific actions noted[1] - 华阳新材 (600281) and 江天化学 (300927) have recent announcements with no specific actions noted[1] Other Notable Stocks - *ST恒久 (002808) and 豪恩汽电 (301488) have recent announcements with no specific actions noted[1] - 安纳达 (002136) and 吉华集团 (603980) have recent announcements with no specific actions noted[1] - *ST双成 (002693) and 天汽模 (002510) have recent announcements with no specific actions noted[1]

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core Views - After the Sino - US economic and trade talks, the A - share market is close to the previous high with increased divergence and resistance, but there are good layout opportunities after short - term adjustments. Overseas, the US stock market has shown a relatively strong performance, and there are opportunities for overseas investment, but short - term risks need to be noted [3][4][5]. - The quantitative strategy configuration view is: stock fund enhancement strategy > evergreen low - volatility strategy > overseas equity strategy. In the A - share market, the evergreen low - volatility strategy can be used as a base configuration, and part of the low - volatility strategy can be switched to the enhancement strategy. For overseas investment, investors with low overseas positions can appropriately buy on dips, while those with high positions can take profits [4]. - In the long - term, the US stock market is still expected to reverse and rise, and its long - term allocation value remains unchanged [5]. Group 3: Summary of Relevant Sections 3.1 Tool - based Fund Portfolio Performance Tracking - **Evergreen Low - Volatility Fund Portfolio**: Since the strategy started on July 31, 2023, it has maintained low - volatility characteristics, with significant excess returns. It has low drawdowns in volatile markets and good gains in rebound markets, combining defense and offense [15]. - **Stock Fund Enhancement Fund Portfolio**: The strategy has been running for a short time. Its performance is close to the CSI Active Stock Fund Index. It is expected to show stronger elasticity after the market environment improves and can maintain a similar trend to the benchmark in a weak market [17]. - **Cash - Enhancing Fund Portfolio**: After double - screening, it continuously outperforms the benchmark. Since the strategy started at the end of July 2023, the excess return has been continuously accumulated, exceeding 0.39%, providing a reference for cash management [18]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, in the context of the Fed's interest - rate cut cycle and the boost of artificial intelligence, it has accumulated high - level excess returns, and global allocation can increase the returns of equity portfolios [21]. 3.2 Tool - based Fund Portfolio Construction Ideas - **Evergreen Low - Volatility Fund Portfolio**: It is constructed by combining fund position - dimension factors and net - value dimension factors to meet the defensive needs of investors in high - risk markets and the needs of investors with moderate risk preferences [22]. - **Stock Fund Enhancement Fund Portfolio**: It aims to find funds with higher Alpha returns, combining restrictions on industry balance and position style exposure, providing a more offensive choice for investors with high - risk preferences [22]. - **Cash - Enhancing Fund Portfolio**: Based on multi - dimensional characteristic factors of money funds, a money - fund screening system is constructed to help investors optimize short - term idle funds [23]. - **Overseas Equity Allocation Fund Portfolio**: Based on overseas equity market indices, it selects QDII equity funds according to long - and short - term technical indicators, providing an auxiliary tool for global investment [25].

Group 1: Report Overview - The report is a weekly update on public - offering funds and ETF strategy indices, covering the week ending May 16, 2025 [1][11] Group 2: ETF Strategy Indices Introduction 2.1 General Introduction - The report presents several ETF strategy indices, aiming to convert quantitative models or subjective views into practical investment strategies and track their performance and holdings weekly [11] 2.2 Specific Indices 2.2.1 Huabao Research Large - Small Cap Rotation ETF Strategy Index - 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. It outputs weekly signals to determine positions and gain excess returns. As of May 16, 2025, the excess return since 2024 is 16.17%, the excess return in the past month is - 0.28%, and the excess return in the past week is - 0.93% [3][13] 2.2.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 Barra factors. It selects mainstream broad - based index ETFs and some style and strategy ETFs. As of May 16, 2025, the excess return since 2024 is 16.94%, the excess return in the past month is - 0.30%, and the excess return in the past week is - 0.43% [3][17] 2.2.3 Huabao Research Quantitative Windmill ETF Strategy Index - It starts from a multi - factor perspective, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and crowding signals to indicate industry risks and digs out potential sectors. As of May 16, 2025, the excess return since 2024 is 1.55%, the excess return in the past month is 0.40%, and the excess return in the past week is - 0.02% [4][21] 2.2.4 Huabao Research Quantitative Balance Technique ETF Strategy Index - It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend judgment. It also predicts the market's large - and small - cap styles to adjust equity market positions. As of May 16, 2025, the excess return since 2024 is 0.20%, the excess return in the past month is - 2.03%, and the excess return in the past week is - 0.89% [4][25] 2.2.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - It tracks and mines hot - spot index target products through market sentiment analysis, industry event tracking, investor sentiment, professional views, policy changes, and historical analysis. It constructs an ETF portfolio to capture market hot - spots and assist investors in making decisions. As of May 16, 2025, the excess return in the past month is - 1.57%, and the excess return in the past week is - 0.11% [5][29] 2.2.6 Huabao Research Bond ETF Duration Strategy Index - It uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine learning. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond portfolio to improve long - term returns and control drawdowns. As of May 16, 2025, the excess return in the past month is 0.15%, and the excess return in the past week is 0.05% [5][32] Group 3: Index Performance Comparison 3.1 Last Week's Performance | Index Name | Last Week's Index Return | Comparison Benchmark | Last Week's Benchmark Return | Excess Return | | --- | --- | --- | --- | --- | | Huabao Research Large - Small Cap Rotation ETF Strategy Index | - 0.13% | CSI 800 | 0.80% | - 0.93% | | Huabao Research Quantitative Windmill ETF Strategy Index | 0.78% | CSI 800 | 0.80% | - 0.02% | | Huabao Research Quantitative Balance Technique ETF Strategy Index | 0.22% | SSE 50 | 1.12% | - 0.89% | | Huabao Research SmartBeta Enhanced ETF Strategy Index | 0.38% | CSI 800 | 0.80% | - 0.43% | | Huabao Research Hot - Spot Tracking ETF Strategy Index | 0.56% | CSI All - Share | 0.67% | - 0.11% | | Huabao Research Bond ETF Duration Strategy Index | - 0.35% | ChinaBond Aggregate Index | - 0.40% | 0.05% | [12] 3.2 Other Periods' Performance - For each index, the report also provides performance data for the past month and since 2024, as well as the corresponding excess returns compared to the benchmarks [14][17][18][23][28][31][35] Group 4: Index Holdings - Each index has its specific holdings and corresponding weights as of May 16, 2025, which are detailed in the report [17][23][25][29][35][37]

Group 1 - The report highlights that the recent tariff reductions between China and the US have exceeded market expectations, leading to a shift in market sentiment towards defensive investments [1][9][11] - The bond market is expected to face short-term volatility, particularly in long-term bonds, due to improved market sentiment from the US-China trade talks, although long-term pressures from manufacturing PMI and export growth remain [2][10][13] - The stock market is anticipated to maintain a volatile trend with increased sector rotation, as the focus shifts from trade conditions to domestic policy support and the resilience of domestic demand [2][10][14] Group 2 - The report notes that the A-share market has recovered to levels seen in early April, but the weakening profit-making effect has led to increased profit-taking and cautious sentiment among investors [10][11] - The report suggests a barbell strategy for asset allocation, emphasizing growth sectors like technology (robotics, AI) alongside defensive sectors (banks, utilities, oil and petrochemicals) [2][10][14] - Key economic indicators such as fixed asset investment, retail sales, and industrial output are set to be released, which will be crucial for assessing the economic recovery [24]

Group 1 - In April 2025, the equity market experienced a decline due to external shocks, leading to increased risk aversion and an overall market pullback [2][10] - The commodity market showed a mixed performance, initially declining before recovering, with significant internal sector differentiation [10][11] Group 2 - The public quantitative strategy performance statistics indicate that the CSI 300 index had a monthly decline of 3.00%, with strict constraint type excess returns of 0.21%, SmartBeta excess returns of 0.09%, and rotation type excess returns of 0.13% [3][13] - The CSI 500 index saw a monthly decline of 3.86%, with strict constraint type excess returns of -0.07%, SmartBeta excess returns of 0.31%, and rotation type excess returns of 0.29% [3][17] - The CSI 1000 index experienced a monthly decline of 4.44%, with strict constraint type excess returns of 1.12%, SmartBeta excess returns of 1.20%, and rotation type excess returns of 1.59% [3][22] Group 3 - In the private equity strategy sector, the long strategy for the CSI 300 index had the smallest decline at -2.64%, while the quantitative stock selection strategy yielded a return of -2.72% [4][30] - The absolute return strategies showed the best performance with the ETF arbitrage strategy achieving an annualized return of 14.46%, followed by the market neutral strategy with an annualized return of 6.17% [4][30] - The quantitative CTA strategy in the commodity and derivatives private equity strategies achieved an annualized return of 10.49%, while the futures arbitrage strategy had an annualized return of 6.07% [4][35]

| 新股发行及今日交易提示 | 2025/5/16 | 星期五 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/5/16 | 新股上市 | 证券代码 | 证券简称 | 发行价格 | | | | | 301636 | 泽润新能 | 33.06 | 688755 | 汉邦科技 | 22.77 | | | | 2025/5/16 | 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=122353 | 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 | 6545&orgId=gssh0600777&announcementTime=2025 | -05-14 | | | http://www.cninfo.com.cn/new/disclosure/detail?sto ...