Market Overview - The U.S. has increased tariffs on steel and aluminum from 25% to 50%, effective June 4, 2025, impacting market sentiment[9] - The People's Bank of China announced a 1 trillion yuan reverse repurchase operation to maintain liquidity, indicating a supportive stance for the bond market[10] Bond Market Insights - The 10-year government bond yield is expected to reach new lows, with a recommended entry point above 1.8% and a potential extreme at 1.9%[3] - After a 10 basis point rate cut, the yield is projected to be around 1.7%, presenting a favorable configuration for investors[3] Stock Market Strategy - Defensive sectors like banks are recommended due to ongoing tariff negotiations and economic pressures, with limited downside potential for large-cap stocks[3] - The market is currently characterized by high volatility, particularly in small-cap stocks, necessitating a cautious approach to investment[3] Economic Indicators - The average daily trading volume in the A-share market has risen to 1,208.854 billion yuan, an increase of 114.95 billion yuan from the previous week[22] - The industry rotation speed has increased, with heightened investor interest in technology and new consumption sectors[23] Risk Factors - Risks include slower-than-expected economic recovery, ineffective policy measures, escalating tariff disputes, geopolitical tensions, and uncertainties in overseas economic conditions[4][26]

Group 1 - The report emphasizes a cautious approach in the current market environment, suggesting a focus on defensive sectors such as banking due to ongoing tariff negotiations and economic pressures [3][10][12] - It highlights the potential for bond yields to reach new lows, recommending patience in positioning for left-side opportunities, particularly when the 10-year government bond yield approaches 1.7% after a 10 basis point rate cut [3][12] - The report notes a significant recovery in the domestic stock market, driven by short-term high-elasticity targets, with small-cap stocks becoming the core focus for capital [10][12] Group 2 - The report outlines key events impacting the market, including the U.S. tariff increase on steel and aluminum, and the People's Bank of China's liquidity support measures [9][10] - It tracks market performance indicators, noting a rise in average daily trading volume to 12,088.54 billion yuan, indicating increased trading activity and investor interest [22] - The report anticipates continued recovery in U.S. markets, driven by stable earnings from tech giants and a favorable environment during the tariff policy window [13]

Investment Rating - The report does not explicitly provide an investment rating for the industry [1]. Core Insights - The financial regulatory authority released a draft for the management of asset management product information disclosure, aiming to standardize disclosure practices for public bank wealth management products [9]. - Several wealth management companies have responded to regulatory calls by joining the insurance asset management association and have announced fee reductions for various products [9]. - The cash management products' annualized yield remained stable at 1.44%, while money market funds saw a slight decline to 1.36% [11]. - The bank wealth management product's net loss ratio increased to 1.29%, indicating a slight rise in pressure on the liability side [20]. Industry and Regulatory Dynamics - On May 23, the financial regulatory authority published a draft for the management of asset management product information disclosure, focusing on public bank wealth management products [9]. - Wealth management companies, including Huaxia Wealth, Agricultural Bank Wealth, and others, have joined the insurance asset management association [9]. - Multiple wealth management companies have announced reductions in management fees, sales service fees, and custody fees for their products [9]. Peer Innovation Dynamics - Xinyin Wealth launched a humanoid robot-themed product, aiming for excess returns through active stock selection [10]. - Zhaoyin Wealth introduced an ESG technology-themed product, aligning with green finance and technology finance policies [10]. - Puyin Wealth issued its first aid to Tibet-themed product, which quickly sold out during the fundraising period [10]. Yield Performance - Last week, cash management products recorded a 7-day annualized yield of 1.44%, unchanged from the previous week [11]. - Money market funds saw a slight decline in their 7-day annualized yield to 1.36%, down by 1 basis point [11]. - The yield of pure fixed-income and fixed-income plus products decreased across various maturities [14]. Net Loss Ratio Tracking - The net loss ratio for bank wealth management products was 1.29%, an increase of 0.29% from the previous week [20]. - The net loss ratio is positively correlated with credit spreads, indicating potential redemption pressure when it exceeds certain thresholds [20]. - The recent increase in the net loss ratio suggests a need for close monitoring of credit spread trends [20].

New Stock Offerings - ST Yazhen (603389) will have a tender offer period from June 10, 2025, to July 9, 2025[1] - ST Renle (002336) will enter the delisting arrangement period starting June 13, 2025[1] - ST Longyu (603003) and ST Pengbo (600804) will both enter the delisting arrangement period starting June 10, 2025[1] Market Alerts - ST Sailong (002898) has reported severe abnormal fluctuations[1] - ST Longjin (002750) entered the delisting arrangement period on June 6, 2025[1] - ST Chuntian (600381) and Huamai Technology (603042) have announcements dated June 6, 2025, regarding their market status[1] Other Notable Stocks - Zhongqi New Materials (001212) and Feiling'er (603226) have announcements dated June 6, 2025[1] - ST Jinbi (002762) and Guangsheng Nonferrous (600259) reported significant updates on June 5, 2025[1] - ST Baili (603959) and Shandong Glass Fiber (605006) have announcements dated June 5, 2025, regarding their market activities[1]

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 ...

| 新股发行及今日交易提示 | 2025/6/5 | 星期四 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/6/5 | 新股上市 | 证券代码 | 证券简称 | 发行价格 | | | | | | 603049 | 中策橡胶 | 46.50 | 301590 | 优优绿能 | 89.60 | | | | | 2025/6/5 | 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? ...

New Stock Issuance - The stocks *ST龙宇 (603003), *ST鹏博 (600804), and *ST龙津 (002750) are entering the delisting arrangement period starting June 10, 2025[1] - 联合化学 (301209) and 中邮科技 (688648) have recent announcements regarding their stock activities[1] - 申科股份 (002633), 科兴制药 (688136), and 新大正 (002968) have announcements dated June 4, 2025[1] Market Alerts - 中洲特材 (300963) reported severe abnormal fluctuations in stock prices[1] - ST联合 (600358) and 中科金财 (002657) have recent announcements indicating market activity[1] - 退市整理期 for multiple stocks is set to begin on June 6 and June 10, 2025[1] Trading Insights - Stocks such as *ST四通 (603838) and *ST荣控 (000668) have been flagged for abnormal trading activities[2] - The report includes a list of stocks with significant trading volume changes, indicating potential investment opportunities[3] - The overall market sentiment appears cautious with several stocks under scrutiny for volatility[2]

Report Overview - The report introduces the ETF arbitrage strategy, a unique absolute return strategy that accumulates small price differences into stable returns [7]. ETF Core Features - ETF, or "Exchange-Traded Fund", is a "transparent basket" that can be traded like stocks. It is an open-ended fund listed on the exchange, with its net value publicly disclosed daily [8]. - ETF has two trading markets: the primary market, where investors can exchange a basket of assets for ETF shares, and the secondary market, where ETFs are traded like stocks. Price differences between the two markets create arbitrage opportunities [9][10]. ETF Arbitrage Strategy's Income Realization Path - The core logic is to capture and exploit short - term pricing deviations. The most common method is ETF redemption arbitrage, including discount and premium arbitrage. In discount arbitrage, buy ETFs in the secondary market and redeem them in the primary market; in premium arbitrage, buy a basket of assets to subscribe for ETFs in the primary market and sell them in the secondary market [12][13]. - There are also cross - market arbitrage and related - variety arbitrage, which are used as supplementary strategies due to fewer opportunities [15]. Key Features of ETF Arbitrage Strategy - Single - arbitrage profit margins are small, usually around 0.5% or lower. The final return depends on continuous accumulation [16]. - The strategy requires high - speed and timely trading. Opportunities are fleeting, and all arbitrageurs compete to compress expected returns [16]. - The strategy faces challenges such as high trading costs, potential calculation errors of asset values, restrictions on primary - market subscriptions and redemptions, and increased complexity during extreme market conditions [17].

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].