Group 1: Overview of Grid Trading Strategy - The essence of "grid trading" is a high buy low sell trading strategy, which does not predict market trends but utilizes natural price fluctuations within a certain range to generate profits, suitable for frequently fluctuating markets [3][13] - Characteristics of suitable grid trading targets include: selecting on-market targets, stable long-term trends, low transaction costs, good liquidity, and high volatility, with equity ETFs being relatively suitable for grid trading [3][13] Group 2: Focused ETF Grid Strategy Targets - Game ETF (159869.SZ): The domestic gaming industry is experiencing three major opportunities driven by policy, AI empowerment, and overseas penetration. As of May 2025, a total of 654 gaming licenses have been issued, with 144 licenses issued in May alone, marking a two-year high [3][14] - Medical ETF (512170.SH): Long-term, global aging drives continuous demand for medical services. The 2025 government work report emphasizes optimizing drug procurement policies and supporting the development of innovative drugs and medical devices [4][18] - Chinese Concept Internet ETF (159605.SZ): The 2025 government work report reiterates the development of new productivity and the integration of technological and industrial innovation. The ETF focuses on leading Chinese internet companies and has a PE-TTM of 17.09 as of May 30, 2025, indicating valuation attractiveness [5][20] - Rare Earth ETF (516780.SH): Rare earths are irreplaceable in various high-tech fields. China holds 40% of global rare earth reserves and 70% of production. Recent export controls are expected to widen the global supply-demand gap, pushing prices higher [7][23] Group 3: Additional ETF Grid Strategy Targets - The report suggests that investors can use grid trading strategies by selecting several suitable, low-correlation ETFs to form a diversified portfolio, enhancing capital utilization and risk dispersion [25] - A table of additional ETF targets is provided, including various sectors such as technology, healthcare, and consumer goods, indicating a broad range of investment opportunities [26][28]

| 新股发行及今日交易提示 | 2025/6/3 | 星期二 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/6/3 | 新股发行 | 证券代码 | 证券简称 | 发行价格 | | | | | | | | 732382 | 海阳科技 | 11.50 | 2025/6/3 | 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=603003&announcementId=122373 | 603003 | *ST龙宇 | 退市整理期起始日 | : | 2025年6月10日 | | 6894&orgId=9900023203&announcementTime=2025 | -05-31 | https://www.cninfo.com.cn/new/disclosure/detail?stockC ...

1. Report Industry Investment Rating - No information provided in the report. 2. Core Viewpoints of the Report - The report presents several ETF - based strategy indices and tracks their performance and holdings weekly. These indices aim to convert quantitative models or subjective views into practical investment strategies, with the goal of achieving excess returns relative to the market [11]. 3. Summary According to the Table of Contents 3.1 ETF Strategy Index Tracking - **Overall Performance**: The report provides the performance of various ETF strategy indices for the week of 2025/5/23 - 2025/5/30, including their index returns, benchmark returns, and excess returns [12]. 3.2 Sub - indices 3.2.1 Huabao Research Large - Small Cap Rotation ETF Strategy Index - **Strategy**: 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, determining positions based on weekly signals to obtain excess returns [3][13]. - **Performance**: As of 2025/5/30, the excess return since 2024 is 15.96%, the excess return in the past month is - 0.32%, and the excess return in the past week is - 0.32%. In the past week, the index return was - 1.04%, compared to the CSI 800's - 0.73% [3][12][13]. - **Holdings**: As of 2025/5/30, it holds 100% of the CSI 300 ETF [16]. 3.2.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 major Barra factors to achieve market - outperforming returns, covering mainstream broad - based index ETFs and some style and strategy ETFs [3][16]. - **Performance**: As of 2025/5/30, the excess return since 2024 is 20.01%, the excess return in the past month is 0.81%, and the excess return in the past week is 1.26%. In the past week, the index return was 0.53%, compared to the CSI 800's - 0.73% [3][12][16]. - **Holdings**: As of 2025/5/30, it holds 100% of the Dividend Low - Volatility ETF [21]. 3.2.3 Huabao Research Quantitative Cyclone ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, including understanding of medium - to - long - term fundamentals, tracking of short - term market trends, and analysis of market participants' behaviors. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally explores potential sectors to obtain excess returns [4][20]. - **Performance**: As of 2025/5/30, the excess return since 2024 is 2.60%, the excess return in the past month is 1.48%, and the excess return in the past week is - 0.29%. In the past week, the index return was - 1.02%, compared to the CSI 800's - 0.73% [4][12][20]. - **Holdings**: As of 2025/5/30, it holds multiple ETFs such as the Auto ETF, Bank ETF, Agricultural ETF, etc., with weights ranging from 19.64% to 20.21% [23]. 3.2.4 Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: 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 builds a prediction model for market large - small cap styles to adjust equity market positions, aiming to obtain excess returns through timing and rotation [23]. - **Performance**: As of 2025/5/30, the excess return since 2024 is 1.37%, the excess return in the past month is - 0.87%, and the excess return in the past week is 0.93%. In the past week, the index return was - 0.15%, compared to the SSE 500's - 1.08% [23][25]. - **Holdings**: As of 2025/5/30, it holds multiple ETFs such as the CSI 1000 ETF, Enhanced 500 ETF, etc., with weights ranging from 5.05% to 29.58%, and also holds some bond ETFs [27]. 3.2.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It uses strategies such as market sentiment analysis, industry event tracking, investor sentiment and professional opinions, policy and regulation changes, and historical deduction to track and discover hot - spot index products, constructing an ETF portfolio to capture market hot - spots and assist investors in making decisions [27]. - **Performance**: As of 2025/5/30, the excess return in the past month is - 0.15%, and the excess return in the past week is - 0.55%. In the past week, the index return was - 0.70%, compared to the CSI All - Share Index's - 0.15% [27][30]. - **Holdings**: As of 2025/5/30, it holds multiple ETFs such as the Real Estate ETF, Hong Kong Stock Consumption ETF, etc., with weights ranging from 4.00% to 27.78% [31]. 3.2.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: 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 long - duration positions in the bond portfolio to improve long - term returns and control drawdowns [31]. - **Performance**: As of 2025/5/30, the excess return in the past month is 0.24%, and the excess return in the past week is 0.12%. In the past week, the index return was 0.01%, compared to the ChinaBond Aggregate Index's - 0.10% [31][32]. - **Holdings**: As of 2025/5/30, it holds the 10 - Year Treasury Bond ETF, 5 - 10 Year Treasury Bond ETF, and Policy Financial Bond ETF, with weights of 49.99%, 12.50%, and 12.48% respectively [34].

2025 年 06 月 01 日 证券研究报告 | 策略周报 美国关税再遇反复，抱团防守延续 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：刘芳 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 021-20515355 相关研究报告 1、《市场活跃度回落，欲扬或需先抑— 策略周报》2025-05-25 2、《美联储降息预期降温，波折与反 复—策略周报》2025-05-05 3、《落实"先手"政策，充实"后手" 储备———2025 年 4 月政治局会议解 读》2025-04-27 4、《特朗普关税升级，是开始还是结 束？ —策略周报》2025-04-06 5、《A 股情绪有所降温，等待新催化 — 策略周报》2025-03-23 投资要点 【债市方面】耐心等待利率下行契机。短期内市场处于震荡阶段，往后看， 经济下行压力以及关税谈判仍可能有反复的风险，未来利率仍有下行空间，在 震荡阶段需等待合适时机布局，可在十年期国债收 ...

Group 1 - The report highlights the ongoing fluctuations in US tariff policies, indicating that despite recent legal challenges, the Trump administration is likely to continue pursuing its tariff agenda, which may lead to further negotiations and uncertainties [9][10]. - The manufacturing Purchasing Managers' Index (PMI) for May improved to 49.5%, reflecting a 0.5 percentage point increase from the previous month, while the non-manufacturing business activity index was at 50.3%, slightly down by 0.1 percentage points, indicating continued expansion in the non-manufacturing sector [9]. - The report suggests that the bond market is currently in a volatile phase, with a recommendation to actively allocate around the 1.7% yield on ten-year government bonds while waiting for a potential decline in interest rates [12][10]. Group 2 - In the stock market, there is an increasing risk associated with concentrated investments in defensive sectors such as banking, pharmaceuticals, and new consumption themes, with a recommendation to wait for adjustment pressures to ease before making further investments [3][12]. - The report notes that the A-share market is experiencing weak fluctuations, with a focus on defensive sectors, while high-level concentrated themes are facing increased rotation and divergence, leading to higher adjustment pressures [10][12]. - The report emphasizes the importance of monitoring key indicators in both the A-share and bond markets, noting a decline in market turnover and a drop in average daily trading volume to 1,093.9 billion yuan, the lowest level since September 24 of the previous year [21][20].

2025 年 05 月 30 日 证券研究报告 | 公募基金深度报告 浮动费率基金的前世今生 公募基金深度报告 分析师：王骅 分析师登记编码：S0890522090001 电话：021-20321067 邮箱：wanghua@cnhbstock.com 分析师登记编码：S0890524080003 电话：021-20321087 邮箱：songyifei@cnhbstock.com 021-20515355 芯片设计有何不同？—金融产品观 察》2025-01-02 2、《美联储降息五大变化，金融产品 影响有何不同？—深度点评报告》 2024-09-19 3、《跨境固收产品投资手册：QDII 债 基和债券型互认基金—公募基金专题 报告》2024-08-01 4、《寻找基金中的"Alpha 捕手"，构 建股基增强基金组合—基金量化因子 探析（四）》2024-07-18 投资要点 分析师：宋逸菲 浮动管理费基金的历史沿革 早期探索：2013 年之前 初具规模：2014 年-2022 年 产品试水：2023 年-2024 年 基本成型：2025 年 新型浮动费率基金剖析 销售服务电话： 首批 26 只新型浮动费率基金 ...

New Stock Issuance - New stock issuance for Ying Shi Innovation (787775) priced at 47.27 on May 30, 2025[1] - ST Longjin (002750) enters delisting arrangement starting June 6, 2025[1] - United Chemical (301209) and Zhongyou Technology (688648) have recent announcements on May 29, 2025[1] Trading Alerts - Significant abnormal fluctuations reported for Zhongzhou Special Materials (300963) on May 29, 2025[1] - Multiple companies including Nanjing Port (002040) and Chengfei Integration (002190) have recent trading alerts[1] - A total of 30 companies reported trading alerts on May 30, 2025, indicating increased market activity[1] Market Trends - The market shows a trend of increased new stock issuances and trading alerts, suggesting heightened investor interest and volatility[1] - The delisting of ST Longjin may impact investor sentiment towards similar stocks in the market[1]

| 新股发行及今日交易提示 | 2025/5/29 | 星期四 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/5/29 | 新股上市 | 证券代码 | 证券简称 | 发行价格 | | | | | | 001390 | 古麒绒材 | 12.08 | 2025/5/29 | 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 | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=001390&announcementId=122371 | 上市首日风险提示 | 001390 | 古麒绒材 | | 1687&orgId=gfbj0831908&announcementTime=2025 | -05-29 | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=002750&announcementId=122371 | 退市整理期 ...

低利率运行周期加速深化下的银行理财变局 ——银行理财专题 分析师：蔡梦苑 2025 年 05 月 29 日 证券研究报告 | 银行理财深度报告 销售服务电话： 存款搬家效应强化，规模重返 30 万亿。2024 年 4 月监管部门取消"手工补息 "政策，引发资金大规模转配理财，叠加存款利率持续下行，存款加速向风险收 益比更优的理财产品迁移，推动理财规模重返 30 万亿关口。 分析师登记编码：S0890521120001 电话：021-20321004 邮箱：caimengyuan@cnhbstock.com 分析师：周佳卉 分析师登记编码：S0890525040001 电话：021-20321070 邮箱：zhoujiahui@cnhbstock.com 021-20515355 投资要点 2024 年我国低利率运行周期加速深化，低利率环境对银行理财形成双重传导 效应：负债端受益于存款搬家效应，居民财富转化动能随着存款利率持续调降 而不断增强；资产端则面临收益持续下行的压力，倒逼理财机构加速构建多元 化资产配置体系，在利率下行周期中捕捉结构性机遇。 在此背景下，银行理财市场围绕低利率环境展开战略调整，呈现三大演 ...

- The report tracks various market environment factors, including stock market factors, commodity market factors, options market factors, and convertible bond market factors[1][3][6] Stock Market Factors 1. **Factor Name**: Market Style - **Construction Idea**: The factor tracks the performance of different market styles, such as large-cap vs. small-cap and value vs. growth[10] - **Construction Process**: The factor is constructed by analyzing the performance and volatility of different market styles. For example, the large-cap style is compared to the small-cap style, and the value style is compared to the growth style[10] - **Evaluation**: The large-cap value style is currently dominant, with increased volatility in both large-cap vs. small-cap and value vs. growth styles[10][12] 2. **Factor Name**: Market Structure - **Construction Idea**: The factor examines the structure of the market by analyzing industry index excess return dispersion, component stock rise ratio, and industry rotation speed[10] - **Construction Process**: The factor is constructed by measuring the dispersion of excess returns among industry indices, the proportion of rising component stocks, and the speed of industry rotation[10] - **Evaluation**: The dispersion of industry index excess returns and the proportion of rising component stocks have decreased, while the speed of industry rotation has also decreased[10][12] 3. **Factor Name**: Market Activity - **Construction Idea**: The factor tracks market activity by analyzing market volatility and turnover rate[11] - **Construction Process**: The factor is constructed by measuring the volatility and turnover rate of the market[11] - **Evaluation**: Market volatility remains low, and the turnover rate continues to decline[11][12] Commodity Market Factors 1. **Factor Name**: Trend Strength - **Construction Idea**: The factor tracks the strength of trends in different commodity sectors[25] - **Construction Process**: The factor is constructed by analyzing the trend strength in sectors such as energy, metals, and agriculture[25] - **Evaluation**: The energy and metals sectors show strong trends, while the trend strength in the precious metals sector is rising[25][29] 2. **Factor Name**: Basis Momentum - **Construction Idea**: The factor tracks the momentum of the basis in different commodity sectors[25] - **Construction Process**: The factor is constructed by measuring the basis momentum in sectors such as energy, metals, and agriculture[25] - **Evaluation**: Except for the agricultural sector, which has low basis momentum, other sectors have high basis momentum[25][29] 3. **Factor Name**: Volatility - **Construction Idea**: The factor tracks the volatility levels in different commodity sectors[25] - **Construction Process**: The factor is constructed by measuring the volatility levels in sectors such as energy, metals, and agriculture[25] - **Evaluation**: The energy sector has high volatility, while the metals and agricultural sectors have low volatility[25][29] 4. **Factor Name**: Liquidity - **Construction Idea**: The factor tracks the liquidity levels in different commodity sectors[25] - **Construction Process**: The factor is constructed by measuring the liquidity levels in sectors such as energy, metals, and agriculture[25] - **Evaluation**: Liquidity levels have decreased across all sectors[25][29] Options Market Factors 1. **Factor Name**: Implied Volatility - **Construction Idea**: The factor tracks the implied volatility levels of different options[35] - **Construction Process**: The factor is constructed by measuring the implied volatility levels of options on indices such as the SSE 50 and CSI 1000[35] - **Evaluation**: Implied volatility levels for both the SSE 50 and CSI 1000 options are rising[35] 2. **Factor Name**: Skewness - **Construction Idea**: The factor tracks the skewness of different options[35] - **Construction Process**: The factor is constructed by measuring the skewness of call and put options on indices such as the SSE 50 and CSI 1000[35] - **Evaluation**: The skewness of both call and put options on the SSE 50 has decreased, while the skewness of put options on the CSI 1000 remains higher than that of call options[35] Convertible Bond Market Factors 1. **Factor Name**: Valuation - **Construction Idea**: The factor tracks the valuation levels of convertible bonds[36] - **Construction Process**: The factor is constructed by measuring the premium rates of convertible bonds[36] - **Evaluation**: The premium rates of convertible bonds have slightly decreased, and the market activity has weakened[36] Factor Backtesting Results 1. **Market Style Factor**: Large-cap value style is dominant, with increased volatility in both large-cap vs. small-cap and value vs. growth styles[10][12] 2. **Market Structure Factor**: Decreased dispersion of industry index excess returns, decreased proportion of rising component stocks, and decreased speed of industry rotation[10][12] 3. **Market Activity Factor**: Low market volatility and declining turnover rate[11][12] 4. **Trend Strength Factor**: Strong trends in the energy and metals sectors, rising trend strength in the precious metals sector[25][29] 5. **Basis Momentum Factor**: High basis momentum in all sectors except agriculture[25][29] 6. **Volatility Factor**: High volatility in the energy sector, low volatility in the metals and agricultural sectors[25][29] 7. **Liquidity Factor**: Decreased liquidity levels across all sectors[25][29] 8. **Implied Volatility Factor**: Rising implied volatility levels for both SSE 50 and CSI 1000 options[35] 9. **Skewness Factor**: Decreased skewness for both call and put options on the SSE 50, higher skewness for put options on the CSI 1000 compared to call options[35] 10. **Valuation Factor**: Slightly decreased premium rates for convertible bonds, weakened market activity[36]