2025 年 06 月 04 日 证券研究报告 | 金融工程周报 股指期货深度贴水，小盘调整压力上 升 市场环境因子跟踪周报（2025.05.30） 分析师：柏逸凡 分析师登记编码：S0890524100001 电话：021-20321081 邮箱：baiyifan@cnhbstock.com 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 021-20515355 2、《赚钱效应偏弱，小盘或将面临调整— 市场环境因子跟踪周报（2025.05.16）》 2025-05-21 3、《关税下调之后，市场分歧仍存—市场 环 境 因 子 跟 踪 周 报 （ 2025.05.09 ）》 2025-05-13 4、《节前市场波动降低，节后风格或将转 向 — 市 场 环 境 因 子 跟 踪 周 报 （2025.04.30）》2025-05-07 中 观 因 子 跟 踪 周 报 （ 2025.04.27 ）》 2025-04-29 1、《市场缩圈，小盘调整风险增加—市场 环 境 因 子 跟 踪 周 报 （ 2025.05.23 ）》 2 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Last week (2025.05.26 - 2025.05.30), the bond market oscillated and closed lower. The CBA00201 index basically closed flat, while the CBA00203 index closed down 0.08%. Yields of interest - rate bonds generally rose, with short - term yields rising more than long - term ones. Credit bond yields also generally increased, and major credit spreads mainly compressed [3][10]. - The capital market was relatively loose, but the economic fundamentals remained weak. The tariff policy was volatile, putting pressure on US Treasury bonds. The popularity of REITs continued, and assets were accelerating into the market [3]. - On May 29, 2025, the general pledge repurchase business of the first 9 credit bond ETFs was officially launched, which is conducive to the rapid development of the credit bond ETF market [4]. Summary by Directory 1. Weekly Market Observation 1.1. Pan - fixed - income Market Review and Observation - **Bond Market Review**: The bond market oscillated and closed lower last week. Interest - rate bond yields generally rose, and credit bond yields also increased. Major credit spreads mainly compressed. Specifically, from Monday to Wednesday, short - term credit bond yields rose, and long - term ones oscillated. On Thursday and Friday, due to the change in Trump's tariff policy, credit yields fluctuated significantly following interest rates [10]. - **Capital and Economic Fundamentals**: In May, the capital market was generally loose. After the interest rate cut and reserve requirement ratio cut, the monthly central levels of R001 and R007 declined. Affected by the end - of - month effect last week, the central level of R007 rose slightly to 1.70%. The economic fundamentals were still weak. Although the high - frequency data rebounded due to the rush to export after the reciprocal tariff reduction, domestic demand remained weak. The May PMI rebounded seasonally, but the manufacturing PMI was still below 50%. The new export orders in the manufacturing industry rebounded but were still lower than the March data and the first - quarter average. High - frequency data showed an increase in container shipping bookings to the US, which might improve the June fundamentals. However, domestic demand - priced commodities such as rebar, cement, glass, and asphalt saw price declines. The bond market faces both positive and negative factors, and a cautious approach of high - selling and low - buying may be appropriate [11]. - **Tariff Policy and US Treasury Bonds**: Since the reciprocal tariff implementation, US Treasury bonds have experienced two significant declines. In May, after the three major rating agencies downgraded US Treasury bonds, the market re - evaluated US debt risks. Last week, due to stable US economic data and a court ruling, US Treasury bonds rebounded slightly. Currently, the trading focus of US Treasury bonds has shifted back to the US fundamentals. There are risks of disorderly increases in US Treasury bond yields due to fiscal risks and tariff uncertainties. The stable US fundamentals have postponed the expected time of the Fed's interest rate cut, and tariff issues may reduce overseas demand for US Treasury bonds and cause short - term liquidity problems [12]. - **REITs Market**: REITs have both equity and bond characteristics. This year, due to factors such as the decline in bond yields and the expectation of economic recovery, the popularity of REITs has continued, with property - type assets performing better. After the asymmetric interest rate cut, REITs have entered a high - level consolidation phase, but some specific assets still have upward momentum. In the primary market, high - quality assets are entering the market at an accelerated pace. Last week, the expansion of two REITs was approved. Overall, the C - REITs market is in a stage of rapid expansion, but there are risks in the primary and secondary markets [13]. 1.2. Public Fund Market Dynamics - On May 29, 2025, the general pledge repurchase business of the first 9 credit bond ETFs was officially launched, expected to take effect on June 6. This business can broaden financing channels for investors, improve capital efficiency, and promote the development of the credit bond ETF market. Its application scenarios include obtaining liquidity through pledge, quickly switching asset allocation, and increasing returns through leverage [4][15]. 2. Pan - fixed - income Fund Index Performance Tracking | Index Classification | This Week | Last Month | YTD | Since Strategy Launch | | --- | --- | --- | --- | --- | | Short - term Bond Fund Preferred Index | 0.01% | 0.12% | 0.39% | 3.79% | | Medium - and Long - term Bond Fund Preferred Index | - 0.02% | 0.21% | 0.55% | 6.18% | | Low - volatility Fixed - income + Preferred Index | - 0.02% | 0.35% | 0.58% | 1.84% | | Medium - volatility Fixed - income + Preferred Index | - 0.01% | 0.53% | 0.56% | 1.08% | | High - volatility Fixed - income + Preferred Index | - 0.13% | 0.90% | 2.49% | 2.25% | | Convertible Bond Fund Preferred Index | - 0.03% | 1.05% | 3.68% | 6.92% | | QDII Bond Fund Preferred Index | 0.48% | - 0.48% | 2.21% | 7.14% | | REITs Fund Preferred Index | 0.90% | 5.80% | 29.00% | 37.79% | 2.1. Pure Bond Index Tracking - **Short - term Bond Fund Preferred Index**: Aims at liquidity management, pursues a smooth upward curve while controlling drawdowns. It consists of 5 funds with stable long - term returns, strict drawdown control, and significant absolute return capabilities. The performance benchmark is 50% * Short - term Pure Bond Fund Index + 50% * General Money Market Fund Index [17][18]. - **Medium - and Long - term Bond Fund Preferred Index**: Seeks stable returns by investing in medium - and long - term pure bond funds while controlling drawdowns. It aims for excess returns relative to the medium - and long - term bond fund index and a smooth upward net value curve. It selects 5 funds each period, balancing coupon strategies and band operations, and adjusting the duration and the ratio of credit bond funds to interest - rate bond funds according to market conditions [19]. 2.2. Fixed - income + Index Tracking - **Low - volatility Fixed - income + Preferred Index**: The equity center is set at 10%, and 10 funds are selected each period. It focuses on fixed - income + funds with an equity center of less than 15% in the past three years and recently, emphasizing both risk - return ratios and investment experience [23]. - **Medium - volatility Fixed - income + Preferred Index**: The equity center is 20%, and 5 funds are selected each period. It selects fixed - income + funds with an equity center between 15% and 25% in the past three years and recently, aiming for a certain level of performance elasticity while considering risk - return ratios [24]. - **High - volatility Fixed - income + Preferred Index**: The equity center is 30%, and 5 funds are selected each period. It selects fixed - income + funds with an equity center between 25% and 35% in the past three years and recently, focusing on funds with strong stock - picking abilities in the equity part and stable returns in the bond part [28]. 2.3. Convertible Bond Fund Preferred Index It selects 5 convertible bond funds from a sample space of funds with a high proportion of convertible bonds in their bond portfolios. The selection is based on an evaluation system considering factors such as fund performance, fund manager capabilities, and market adaptability [30][31]. 2.4. QDII Bond Fund Preferred Index Tracking It consists of 6 QDII bond funds with stable returns and good risk control, investing in overseas bonds in regions such as the global market, Asia, and emerging markets, including investment - grade and high - yield products [32]. 2.5. REITs Fund Preferred Index Tracking It consists of 10 REITs funds with stable operations, reasonable valuations, and a certain degree of elasticity, based on the types of underlying assets [36].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Last week (May 26 - May 30, 2025), the A - share market first rose on high volume due to the easing of Sino - US trade negotiations and then entered a volatile adjustment. The sector rotation speed has accelerated recently, and the volatile market pattern remains unchanged [11]. - The innovation drug sector continued to rise last week, driven by multiple favorable events. However, the market heat may have reached a phased high, and the phased market of innovation drugs may end once the strong logical support weakens [12]. - The "new consumption" market has spread from the prosperity of leading stocks to a beta market, and has now entered the marginal spread stage, but its sustainability is uncertain [13]. - The technology sector has reached a stage where layout directions can be explored, as small - cap stocks show signs of peaking and the TMT trading volume as a proportion of the total A - share trading volume has fallen to a relatively low level [14]. 3. Summary by Relevant Catalogs 3.1 Weekly Market Observation 3.1.1 Equity Market Review and Observation - The A - share market first rose on high volume and then oscillated last week. The WanDe All - A Index fell 0.02% for the whole week. The environmental protection, pharmaceutical biology, national defense and military industry, agriculture, forestry, animal husbandry and fishery sectors led the gains, while the automobile, power equipment, non - ferrous metals, and comprehensive sectors underperformed [11]. - As of May 30, the trading volume proportions of the CSI 1000 and CSI 2000 indexes in the Shanghai and Shenzhen stock markets reached 19.59% and 33.26% respectively, both at 5 - year peak levels. Since 2020, the trading volume proportion of the CSI 2000 index has risen from less than 15% to over 30%, while that of the CSI 300 index has dropped from nearly 50% to less than 20%. The A - share market is a stock and shrinking market, and market participants are engaging in a stock game in small - and medium - cap stocks [11]. - The innovation drug sector continued to rise, driven by the approval of 11 innovative drugs from 8 Chinese companies on May 29 and important clinical data disclosed at the 2025 ASCO Annual Meeting from May 30 - June 3. However, the market heat may have reached a peak, and the phased market may end if strong logical support weakens [12]. - The "new consumption" market has spread from leading stocks to various directions such as new - listed Hong Kong - listed tea drinks, A - share pet and beauty care sectors. The market focus has shifted from pet food to non - liquor products, and the market has entered the marginal spread stage with uncertain sustainability [13]. - The technology sector has reached a stage for layout, as small - cap stocks show signs of peaking and the TMT trading volume proportion has declined. Upcoming industrial events in June may act as catalysts [14]. 3.1.2 Public Fund Market Dynamics - On May 30, 2025, the Shanghai Stock Exchange and China Securities Index Company optimized the compilation plan of the SSE 380 Index and launched the SSE 580 Index, forming a flagship broad - based index system of "SSE 50, SSE 180, SSE 380, and SSE 580". The index system covers 50% of the number of Shanghai - listed securities and nearly 90% of the market value [15]. - The SSE index system has established an "integrated two - wing" index brand of "flagship broad - based + science and technology innovation + dividend", which is an important part of promoting the entry of long - term funds into the market [16]. 3.2 Active Equity Fund Index Performance Tracking | Index Classification | Last Week | Last Month | Year - to - Date | Since Inception | | --- | --- | --- | --- | --- | | Active Stock Fund Preferred | - 0.12% | 1.45% | 4.59% | 5.44% | | Value Stock Fund Preferred | - 0.15% | 2.80% | 1.42% | 1.50% | | Balanced Stock Fund Preferred | 0.03% | 2.51% | 2.06% | - 0.17% | | Growth Stock Fund Preferred | - 0.01% | 0.94% | 9.74% | - 0.13% | | Pharmaceutical Stock Fund Preferred | 3.78% | 6.65% | 23.08% | 6.62% | | Consumption Stock Fund Preferred | - 0.93% | 3.15% | 7.37% | 0.46% | | Technology Stock Fund Preferred | - 0.01% | - 0.44% | 2.05% | 3.65% | | High - end Manufacturing Stock Fund Preferred | - 0.30% | - 0.95% | - 4.28% | - 8.90% | | Cyclical Stock Fund Preferred | - 0.81% | 3.01% | 4.22% | - 3.14% | [17] 3.2.1 Active Stock Fund Preferred - The portfolio selects 15 funds each period, with equal - weight allocation. Core positions select active equity funds based on performance competitiveness and style stability in value, balanced, and growth styles, and balance the style distribution according to the CSI Active Stock Fund Index [18]. 3.2.2 Value Stock Fund Preferred - The value style includes deep - value and quality - value styles. The index is composed of 10 funds selected from deep - value, quality - value, and balanced - value styles based on multi - period style classification [20]. 3.2.3 Balanced Stock Fund Preferred - Balanced - style fund managers balance stock valuation and growth, and switch to stocks with higher cost - performance. The index is composed of 10 funds selected from relatively balanced and value - growth styles based on multi - period style classification [21]. 3.2.4 Growth Stock Fund Preferred - The growth style aims to capture the double - click opportunity of performance and valuation during a company's high - growth stage. The index is composed of 10 funds selected from active - growth, quality - growth, and balanced - growth styles based on multi - period style classification [24]. 3.2.5 Pharmaceutical Stock Fund Preferred - The index selects funds with an average purity of no less than 60% in the pharmaceutical industry based on the intersection market value of fund equity holdings and the representative index (CITIC Pharmaceutical). An evaluation system is established, and 15 funds are selected to form the index [24]. 3.2.6 Consumption Stock Fund Preferred - The index selects funds with an average purity of no less than 50% in the consumption industry based on the intersection market value of fund equity holdings and representative indexes (CITIC Automobile, Home Appliances, etc.). An evaluation system is established, and 10 funds are selected to form the index [29]. 3.2.7 Technology Stock Fund Preferred - The index selects funds with an average purity of no less than 60% in the technology industry based on the intersection market value of fund equity holdings and representative indexes (CITIC Electronics, etc.). An evaluation system is established, and 10 funds are selected to form the index [30]. 3.2.8 High - end Manufacturing Stock Fund Preferred - The index selects funds with an average purity of no less than 50% in the high - end manufacturing industry based on the intersection market value of fund equity holdings and representative indexes (CITIC Construction, etc.). An evaluation system is established, and 10 funds are selected to form the index [34]. 3.2.9 Cyclical Stock Fund Preferred - The index selects funds with an average purity of no less than 50% in the cyclical industry based on the intersection market value of fund equity holdings and representative indexes (CITIC Petroleum & Petrochemical, etc.). An evaluation system is established, and 5 funds are selected to form the index [36].

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 ...

2025 年 06 月 03 日 证券研究报告 | 公募基金周报 ETF 策略指数跟踪周报 2025/6/3 hjn 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 021-20515355 布局机会—公募基金量化遴选类策略指 数跟踪周报（2025.05.25）》2025-05-27 2、《【公募基金】市场缩量震荡，红利、 消费轮动显著—公募基金权益指数跟踪 周 报 （ 2025.05.19-2025.05.23 ）》 2025-05-26 2025-05-26 力或带来逢低布局机会 —公募基金量化 遴选类策略指数跟踪周报（2025.05.18）》 2025-05-20 2025-05-19 投资要点 分析师：程秉哲 华宝研究大小盘轮动 ETF 策略指数：华宝研究大小盘轮动 ETF 策略指数利用 多维度技术指标因子，采用机器学习模型对申万大盘指数和申万小盘指数的收 益差进行预测 ...

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 ...

美国关税再遇反复，抱团防守延续 策略周报 2025 年 06 月 01 日 证券研究报告 | 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 ...

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]