Quantitative Models and Construction Methods Model Name: "Clock + Turning Point Improvement Method" Large Asset Rotation Model - **Model Construction Idea**: The model combines the investment clock theory with turning point improvement methods to optimize asset rotation strategies[5][23] - **Model Construction Process**: 1. Assume that the macroeconomic factors will continue their current state into the next month[23] 2. Calculate the total score of each asset based on the current state of macroeconomic risk factors[24] 3. Introduce a risk budget model with initial risk ratios for each asset: large-cap stocks: small-cap stocks: bonds: commodities: gold = 1:1:1:0.5:0.5. Adjust the risk ratios based on the total score, doubling the risk ratio for each positive score and halving it for each negative score[24] 4. Backtesting period: January 2011 - December 2023[25] - **Model Evaluation**: The model performs excellently in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns while controlling high-risk asset positions[27] Quantitative Factors and Construction Methods Factor Name: Macroeconomic Risk Factors - **Factor Construction Idea**: Utilize macroeconomic data and asset portfolios to construct six macroeconomic risk factors: economic growth, inflation, interest rates, exchange rates, credit, and term spreads[8] - **Factor Construction Process**: - **Economic Growth**: Use industrial added value year-on-year (M0000545), PMI (M0017126), and social retail sales year-on-year (M0001428). Apply HP filtering and volatility inverse weighting[8] - **Inflation**: Use PPI year-on-year (M0001227) and CPI year-on-year (M0000612). Apply HP filtering and volatility inverse weighting[8] - **Interest Rates**: Construct an equal-weighted investment portfolio using the ChinaBond Treasury Wealth Index (1-3 years) (CBA00621.CS) and the CSI Money Market Fund Index (H11025.CSI), and calculate net value year-on-year returns[8] - **Exchange Rates**: Construct an equal-weighted long-short investment portfolio using Shanghai Gold (AU9999.SGE) and London Gold Spot (SPTAUUSDOZ.IDC), and calculate net value year-on-year returns[8] - **Credit**: Construct a duration-neutral investment portfolio using the ChinaBond Corporate Bond AAA Index (CBA04231.CS) and the ChinaBond Treasury Wealth Index (CBA00631.CS), and calculate net value year-on-year returns[8] - **Term Spreads**: Construct a duration-neutral investment portfolio using the ChinaBond Medium-Short Term Bond Wealth Index (CBA00701.CS) and the ChinaBond Long Term Bond Wealth Index (CBA00801.CS), and calculate net value year-on-year returns[8] - **Factor Evaluation**: The factors provide a comprehensive risk perspective by capturing multiple aspects of the macroeconomic environment[8] Model Backtesting Results "Clock + Turning Point Improvement Method" Large Asset Rotation Model - **Total Return**: 242.45%[27] - **Annualized Return**: 9.93%[27] - **Annualized Volatility**: 6.83%[27] - **Annualized Sharpe Ratio**: 1.45[27] - **Maximum Drawdown**: 6.31%[27] - **Win Rate**: 73.08%[27] Factor Backtesting Results Macroeconomic Risk Factors - **Economic Growth**: Upward[36] - **Inflation**: Downward[36] - **Interest Rates**: Downward[36] - **Credit**: Downward[36] - **Exchange Rates**: Downward[36] - **Term Spreads**: Downward[36]

Industry News - The Ministry of Industry and Information Technology emphasizes the need to regulate low-price disorderly competition in the photovoltaic industry, guiding companies to improve product quality and promote the orderly exit of backward production capacity for sustainable development [5] - The National Medical Products Administration has announced new measures to support the innovation and development of high-end medical devices, including guidance on the registration of products based on artificial intelligence and biomaterials [7] - The National Energy Administration held a meeting to emphasize the importance of resource survey pilot work for wind and photovoltaic power generation, aiming to enhance collaboration and accelerate progress [8] - The Ministry of Commerce is set to strengthen guidance on the export of second-hand vehicles, promoting healthy and orderly development in this sector [6] Company News - Hualing Steel announced that Xintai Life Insurance has acquired a stake in the company through the secondary market [9] - Vanke A has applied for a loan of no more than 6.249 billion yuan from Shenzhen Metro Group and extended part of its existing loans [10] - Aerospace Chengtong has restored its procurement qualifications for military material engineering services [11] - Haowang Bio announced that its HW130 injection has completed Phase I clinical trials [12] - Donghu High-tech is participating in the establishment of the Donggao Frontier Phase II Fund [13] - Nuotai Bio expects a year-on-year increase of 32% to 45% in net profit attributable to shareholders for the first half of the year, driven by significant growth in sales of peptide raw materials [14] - Wealth Trend's actual controller and chairman plans to reduce his holdings by no more than 3% of the company's shares [15] - Wankai New Materials announced that some production facilities will undergo maintenance, which is expected to significantly impact the company's overall performance [16] - Huaya Intelligent stated that it is engaged in the research and production of dry electrode rolling equipment systems for solid-state batteries [17] - Changling Hydraulic announced that its controlling shareholder is planning a change of control, leading to a suspension of its stock [18] - China Power Construction signed a contract for a mining and transportation project in Guinea worth approximately 5.063 billion yuan [19]

Core Viewpoint - The People's Bank of China and the China Securities Regulatory Commission have announced support for the issuance of technology innovation bonds, expanding the range of issuers to include financial institutions, technology companies, private equity investment institutions, and venture capital institutions [1][2] Group 1: Issuance Plans - Major financial institutions such as the China Development Bank, Industrial and Commercial Bank of China, and Industrial Bank have announced plans to issue technology innovation bonds, with total issuance expected to reach 200 billion yuan from the China Development Bank and 100 billion yuan from the Industrial Bank [1] - As of May 8, 36 companies have announced plans to issue technology innovation bonds with a total scale of 21 billion yuan, while 14 companies have registered for issuance with a total scale of 18 billion yuan [1][2] - Securities firms have also responded actively, with announcements for a total of up to 17.7 billion yuan in technology innovation bonds, including plans from major firms like CITIC Securities and China Merchants Securities [2] Group 2: Funding Utilization - The funds raised from the issuance of technology innovation bonds will primarily support the development of technology innovation businesses, including investments in national technology innovation demonstration enterprises and manufacturing champions [1][3] - Specific allocations include 70% of funds from Guotai Junan being directed towards supporting technology innovation sectors such as integrated circuits, artificial intelligence, and renewable energy [3] Group 3: Market Impact and Trends - The inclusion of financial institutions as issuers of technology innovation bonds is expected to enhance market vitality and expand the market for technology innovation bonds, facilitating better funding support for technology innovation [2][4] - Data indicates that the issuance scale of technology innovation bonds is projected to exceed 1.2 trillion yuan in 2024, reflecting a year-on-year growth of 59% [3] - The average issuance interest rate for 5-year AAA-rated technology innovation bonds is expected to remain lower than that of ordinary corporate bonds, indicating a favorable financing environment for issuers [3][5]

证券代码：601555 股票简称：东吴证券 公告编号：2025-025 东吴证券股份有限公司 第四届董事会第三十次（临时）会议决议公告 本公司董事会及全体董事保证本公告内容不存在任何虚假记载、误导性陈述 或者重大遗漏，并对其内容的真实性、准确性和完整性承担法律责任。 一、董事会会议召开情况 东吴证券股份有限公司（以下简称"公司"）第四届董事会第三十次（临时） 会议通知和材料于2025年6月27日以电子邮件的方式发出，董事会于2025年7月2 日以通讯表决的方式召开，本次会议应出席董事11名，实际出席董事11名，占董 事总数的100%。本次会议的召开、召集和表决程序符合《中华人民共和国公司法》 等有关法律、法规、规范性文件和《东吴证券股份有限公司章程》的有关规定。 二、董事会会议审议情况 会议审议了相关议案并以书面表决方式形成了以下决议： （一）审议通过《关于调整合规负责人的议案》 表决结果：11 票同意、0 票反对、0 票弃权，本议案获得通过。 1.同意李齐兵先生因年龄原因辞去公司合规总监职务； 2.同意公司总裁薛臻先生代行公司合规负责人职责，代行时间不超过6个月。 本议案已经公司董事会薪酬、考核与提名委员会 ...

Group 1 - The core viewpoint of the news indicates that the growth style is currently favored, with strong performance in sectors such as communication, computer, and electronics, while the dividend style remains a high-certainty direction [1][2] - The CSI 500 Quality Growth Index is at a historical low valuation, with a latest price-to-book (PB) ratio of 1.86, which is lower than 91.23% of the time over the past three years, highlighting its attractive valuation [2] - The top ten weighted stocks in the CSI 500 Quality Growth Index account for 20.42% of the index, with notable companies including Dongwu Securities, Kaiying Network, and Huagong Technology [2] Group 2 - The 500 Quality Growth ETF has shown a recent upward trend, with a 0.31% increase, marking three consecutive days of gains [1] - According to Dongwu Securities, the communication sector has a relatively high risk but is currently the strongest trend, while the computer sector has lower risk and greater potential for catch-up [1] - The banking sector is expected to rebound after June, influenced by the timing of mid-year reports [1]

Core Insights - The report focuses on adjusting index positions based on technical indicators to achieve excess returns, utilizing a variety of indicators derived from volume and price data [3][8] - A total of 27 technical indicators were constructed and tested across three major indices: CSI 300, CSI 500, and CSI 1000, as well as 31 industry indices, with an average excess annualized return of 3.75% achieved through indicators based on the concept of volume-price divergence [3][8] - The report highlights the performance of single and multiple signal strategies, with the 5-signal strategy yielding an annualized return of 2.54% on the CSI 1000 index and an excess annualized return of 11.27% [3][8] - The rolling synthesis of signals showed that a T+10 adjustment frequency could achieve an average excess annualized return of 3.99%, suitable for low-risk investors, termed the rolling steady strategy, while the rolling chasing strategy, which has higher volatility, is more suitable for high-risk investors [3][8] Latest Index Positioning - As of early July, the CSI 300 has 20 indicators signaling bullish, 3 signaling reduction; the optimal single indicator maintains its signal, and both rolling chasing and rolling steady strategies indicate bullish [19][22] - The CSI 500 has 18 bullish signals and 5 reduction signals, with the optimal single indicator also signaling bullish, and both strategies maintaining their signals [19][22] - The CSI 1000 shows 17 bullish signals and 7 reduction signals, with the optimal single indicator signaling bullish, and both strategies also indicating bullish [19][22] Model Performance Statistics - The rolling chasing strategy recorded excess returns of -0.92% for CSI 300, -4.45% for CSI 500, and 0.00% for CSI 1000 in June [9][12] - The report provides a detailed summary of excess returns across various indices, indicating that the rolling steady strategy performed better in certain sectors, while the rolling chasing strategy showed stronger performance in others [10][12][13] Signal Analysis - The report includes a comprehensive analysis of the number of bullish and reduction signals across various sectors, indicating a mixed outlook with some sectors showing more bullish indicators than others [23][24] - The analysis of positions and signals for both non-rolling and rolling strategies reveals varying levels of exposure and signal strength across different indices and sectors [24][25]

Group 1 - The core viewpoint of the report is that the demand for ball screws will increase due to the rise in domestic high-end machine tool and equipment production, as well as the development of the electric vehicle sector and humanoid robots [1][2] - Ball screws are a critical linear motion component with high technical barriers, and the domestic production rate is lower compared to other core components [1] - The report recommends specific companies such as Fuda Co., Ltd. (603166.SH) and Beite Technology (603009.SH), while also suggesting to pay attention to Shuanglin Co., Ltd. (300100.SZ), Wuzhou Xinchun (603667.SH), Rongtai Co., Ltd. (605133.SH), and Zhenyu Technology (300953.SZ) [1] Group 2 - The humanoid robot market presents significant demand, with ball screws accounting for approximately 19% of the value of humanoid robots [2] - The potential market for planetary roller screws is expected to exceed 45 billion yuan by 2030, driven by the demand from humanoid robots [2] - European companies dominate the market, with significant room for domestic replacement, as major global manufacturers hold substantial market shares in China [2]

Core Viewpoint - The report outlines the details of the convertible bond issuance by Suzhou Huaya Intelligent Technology Co., Ltd., including the bond's characteristics, issuance scale, interest rates, and the company's financial performance for the year 2024 [1][2][3]. Section 1: Overview of the Convertible Bonds - The convertible bonds are approved by the China Securities Regulatory Commission, with a total issuance of 3.4 million bonds at a face value of 100 yuan each, raising a total of 340 million yuan [2][3]. - The bonds have a maturity period of six years, from December 16, 2022, to December 15, 2028 [3]. - The interest rates for the bonds are structured to increase over the years, starting at 0.40% in the first year and reaching 3.00% in the sixth year [5]. Section 2: Financial Performance of the Company - For the fiscal year 2024, the company reported a net profit attributable to shareholders of 80.7443 million yuan, a decrease of 8.37% compared to the previous year [23]. - The total assets of the company as of December 31, 2024, amounted to 290.444 million yuan, with net assets attributable to shareholders also reflecting significant growth [23]. - The company's revenue for 2024 was reported at 627.2643 million yuan, marking a 36.07% increase from the previous year [24]. Section 3: Use of Raised Funds - The total amount raised from the convertible bond issuance is intended for a new project in the field of precision metal components for semiconductor equipment, with a total investment of 380 million yuan [13]. - As of December 31, 2024, the actual net amount raised was approximately 336.581 million yuan after deducting various fees [24][25]. - The company has established a special account for the management of the raised funds to ensure proper usage and compliance with regulatory requirements [25].

Company Insights - Guotai Junan International has received approval from the Securities and Futures Commission to provide virtual asset trading services, marking a strategic upgrade from traditional securities services to a comprehensive digital asset service hub [1] - As the first Chinese broker to obtain this license, Guotai Junan has established a full-service capability in virtual asset trading, custody, consulting, issuance, and derivatives [2] - The core value of this upgrade includes the opening of high-value revenue sources through cryptocurrency and stablecoin trading commissions, cross-border stablecoin clearing profits, and structured derivative design and issuance [2] Industry Implications - The approval of Guotai Junan serves as a significant demonstration effect for leading brokers, accelerating competition within the industry [3] - This development validates the feasibility of Chinese brokers engaging in compliant virtual asset operations, paving the way for other major firms like CITIC Securities and CICC to follow suit [3] - The focus of competition is shifting from low-value, homogeneous channel services to building core capabilities in cross-border digital financial infrastructure, including clearing hubs and securitization engines [3] Non-Bank Ecosystem - The wave of virtual asset compliance will reshape the entire non-bank financial industry chain, accelerating the formation of a collaborative ecosystem around digital asset issuance, circulation, management, and application [4] - Financial technology companies will see a surge in demand for blockchain infrastructure, smart contract auditing, and on-chain compliance monitoring services [4] - Payment institutions will seamlessly integrate into the stablecoin clearing system, significantly enhancing efficiency and sharing transaction fees, while asset management companies will develop new programmable assets to meet global investor demand [4]

Core Viewpoint - Dongwu Securities outlines three potential approaches for the issuance of stablecoins in China, emphasizing the importance of public chains, digital wallets, and licensing acquisition [1] Group 1: Issuance Approaches - The first approach is central issuance, where the central authority directly issues stablecoins on-chain, allowing enterprises to build a stablecoin ecosystem around this central node [1] - The second approach involves a licensing system, where companies must obtain a license to issue stablecoins, requiring them to hold a corresponding amount of fiat assets in reserve [1] - The third approach combines central wholesale with enterprise retail, where the central bank manages the public chain and wholesale issuance, while banks and tech companies are authorized to issue stablecoins [1] Group 2: Market Implications - The manufacturing sector could drive the internationalization of the RMB through stablecoins, leveraging China's strong manufacturing background to enhance the influence of public chains via cross-border trade [1] - Companies in the public chain, digital wallet, and licensing acquisition sectors are recommended for attention as potential investment opportunities [1]