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]

| http://www.cninfo.com.cn/new/disclosure/detail?stockCode=600610&announcementId=122358 | 600610 | 中毅达 | 9225&orgId=gssh0600610&announcementTime=2025 | -05-20 | | | --- | --- | --- | --- | --- | --- | | https://www.cninfo.com.cn/new/disclosure/detail?stockCode=002909&announcementId=122362 | 002909 | 集泰股份 | 5158&orgId=9900031818&announcementTime=2025 | -05-22 | | | https://www.cninfo.com.cn/new/disclosure/detail?stockCode=601022&announcementId=122363 | 601022 | 宁波远洋 | 3364&orgId=9900051994&announcementTime=2 ...

2025 年 05 月 27 日 证券研究报告 | 财富生态周报 ETF 及指数产品网格策略周报 2025/5/27 分析师：卫以诺 分析师登记编码：S0890518120001 电话：021-20321014 邮箱：weiyinuo@cnhbstock.com 2025/5/20》2025-05-20 2、《ETF 及指数产品网格策略周报— 2025/5/13》2025-05-13 3、《ETF 及指数产品网格策略周报— 2025/5/9》2025-05-09 4、《ETF 及指数产品网格策略周报— 2025/4/22》2025-04-22 5、《ETF 及指数产品网格策略周报— 投资要点 分析师：程秉哲 ◆网格交易策略概述：简单来说，"网格交易"本质上是一种高抛低吸的交易 策略。但与依赖判断长期走势的趋势交易不同，网格交易是一种基于价格波动 的策略，它不预测市场的具体走势，而是利用价格在一定范围内的自然波动来 获取利润，适用于价格频繁波动的市场。在震荡行情中，投资者可以考虑灵活 运用网格交易，通过反复多次地赚取相对较小的差价来增强投资收益，待新的 方向或市场主线明确之后再进行仓位及策略上的切换。 分析师登 ...

New Stock Issuance - New stock issuance for Jiao Da Tie Fa at an issuance price of 8.81[1] - ST Li Fang and United Chemical have recent announcements dated May 14 and May 23 respectively[1] - Multiple companies including Zhongzhou Special Materials and San Sheng Guo Jian have announcements on May 23[1] Market Alerts - Significant abnormal fluctuations reported for Nanjing Port and Li Jun Co. on May 23[1] - ST Er Ya and ST Jin Hong have recent announcements regarding market conditions[1] - Companies like Hainan Development and ST Haihua have reported abnormal trading activities[1] Trading Updates - Trading updates for various companies including ST Ya Zhen and ST Jian Gang on May 27[1] - Multiple companies have links to their announcements for further details on trading activities[1] - The report includes a comprehensive list of companies with their respective announcement dates and links for investor reference[1]

Group 1 - The report indicates that the A-share market has faced downward pressure due to domestic and international events, leading to a market pullback after approaching previous highs [3][4] - Defensive sectors such as banking and dividends have shown relative stability amidst the market fluctuations, while sectors that rebounded significantly after tariff impacts have experienced larger corrections [3][4] - The report maintains a relatively optimistic view on A-shares, suggesting that the recent pullback has absorbed some of the risks accumulated since April [4][5] Group 2 - The quantitative strategy allocation suggests prioritizing stock enhancement strategies over low-volatility strategies and overseas equity strategies [4] - The report highlights that the low-volatility strategy has performed well, achieving a return of 0.647% this week, indicating strong defensive characteristics [6][12] - The overseas equity allocation strategy has faced challenges, recording a return of -0.412% this week, but the long-term outlook remains positive due to the potential for recovery in the U.S. market [6][20] Group 3 - The report outlines the performance of various fund strategies, with the low-volatility fund strategy showing a year-to-date return of 1.351% and a cumulative return of 9.264% since its inception [12][14] - The stock enhancement fund strategy has a year-to-date return of 1.863% and a cumulative return of 9.541% since its inception, indicating potential for future performance improvement [12][16] - The cash enhancement fund strategy has consistently outperformed its benchmark, accumulating an excess return of 0.408% since its inception [12][17] Group 4 - The report emphasizes the importance of a quantitative approach in constructing fund strategies to meet diverse investor needs in varying market conditions [21][22] - The low-volatility fund strategy aims to provide stable returns while minimizing volatility, making it suitable for risk-averse investors [25] - The overseas equity allocation strategy focuses on selecting QDII funds based on market trends and momentum, enhancing global investment opportunities [28]

2025 年 05 月 26 日 证券研究报告 | 公募基金周报 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） 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：宋逸菲 分析师登记编码：S0890524080003 电话：021-20321087 邮箱：songyifei@cnhbstock.com 权益市场观察：小微盘调整但韧性仍在；"新消费"并非"赛道投资"；创新药利 好持续；红利板块分化暂缓 1 、《 ETF 策 略 指 数 跟 踪 周 报 — 公募基金市场动态：《推动公募基金高质量发展行动方案》发布后，26 只浮动管 理费基金获批 主动权益基金指数表现跟踪 歧阻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 3 、《 ETF 策 略 指 数 跟 踪 周 报 — 4、《经贸会谈缓解关税紧张局势，持 续关注逢低布局机会 —公募基金量 化 遴 选 类 策 略 指 数 跟 踪 周 报 5 、《 ETF 策 略 指 数 跟 踪 周 报 — ...

New Stock Issuance - New stock issuance for 优优绿能 (code: 301590) at a price of 89.60 on May 26, 2025[1] - ST立方 (code: 300344) announced on May 14, 2025, with a link to the latest announcement[1] - 联合化学 (code: 301209) announced on May 23, 2025, with a link to the latest announcement[1] Market Alerts - 南京港 (code: 002040) reported severe abnormal fluctuations on May 23, 2025[1] - 利君股份 (code: 002651) reported severe abnormal fluctuations on May 23, 2025[1] - 成飞集成 (code: 002190) reported severe abnormal fluctuations on May 19, 2025[1] Additional Announcements - 京华激光 (code: 603607) announced on May 24, 2025, with a link to the latest announcement[1] - 海辰药业 (code: 300584) announced on May 23, 2025, with a link to the latest announcement[1] - 海森药业 (code: 001367) announced on May 23, 2025, with a link to the latest announcement[1]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis to help investors make investment decisions by converting quantitative models or subjective views into practical investment strategies [11]. 3. Summary by Related Catalogs 3.1 ETF Strategy Index Tracking - **Overall Performance Last Week**: - The table shows the performance of different ETF strategy indices last week, including their index returns, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a last - week index return of - 0.12%, a benchmark (CSI 800) return of - 0.41%, and an excess return of 0.30% [12]. 3.1.1 Huabao Research Size Rotation ETF Strategy Index - **Strategy Principle**: 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, and decides positions based on the weekly output signal [3][13]. - **Performance**: As of May 23, 2025, the excess return since 2024 was 16.48%, the excess return in the past month was - 0.14%, and the excess return in the past week was 0.30%. The index's return in the past week was - 0.12%, compared to - 0.41% of the CSI 800 [3][13][16]. - **Position**: As of May 23, 2025, it held 100% of the CSI 300 ETF [16]. 3.1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time the self - built Barra factors and maps the timing signals to ETFs according to their exposures on 9 major Barra factors to obtain excess returns [3]. - **Performance**: As of May 23, 2025, the excess return since 2024 was 18.52%, the excess return in the past month was 0.39%, and the excess return in the past week was 1.29%. The index's return in the past week was 0.88%, compared to - 0.41% of the CSI 800 [3][17]. - **Position**: As of May 23, 2025, it held 100% of the Dividend Low - Volatility ETF [21]. 3.1.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamentals, the tracking of short - term market trends, and the analysis of the behavior of various market participants. It uses valuation and crowding signals to prompt industry risks and digs out potential sectors [4]. - **Performance**: As of May 23, 2025, the excess return since 2024 was 2.95%, the excess return in the past month was 1.33%, and the excess return in the past week was 1.25%. The index's return in the past week was 0.84%, compared to - 0.41% of the CSI 800 [4][21]. - **Position**: Specific positions are provided in the report, but details are not fully summarized here [24]. 3.1.4 Huabao Research Quantitative Balance - Art ETF Strategy Index - **Strategy Principle**: 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 and adjusts the equity market position distribution by predicting the market size - style [4]. - **Performance**: As of May 23, 2025, the excess return since 2024 was 0.31%, the excess return in the past month was - 1.63%, and the excess return in the past week was 0.10%. The index's return in the past week was - 0.07%, compared to - 0.18% of the SSE 300 [4][24]. - **Position**: As of May 23, 2025, it held various ETFs such as the CSI 1000ETF, Enhanced 500ETF, etc., with different weights [26]. 3.1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and digs out hot - spot index target products through strategies such as market sentiment analysis, industry event tracking, and policy changes to build an ETF portfolio that can capture market hot - spots [5]. - **Performance**: As of May 23, 2025, the excess return in the past month was 1.07%, and the excess return in the past week was 1.60%. The index's return in the past week was 0.90%, compared to - 0.70% of the CSI All - Share Index [5][29]. - **Position**: As of May 23, 2025, it held real estate ETF, Hong Kong stock consumption ETF, etc., with different weights [30]. 3.1.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: 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 lower than a certain threshold, it reduces the long - duration positions in the bond portfolio [5]. - **Performance**: As of May 23, 2025, the excess return in the past month was 0.14%, and the excess return in the past week was 0.11%. The index's return in the past week was 0.06%, compared to - 0.05% of the ChinaBond Aggregate Index [5][31]. - **Position**: As of May 23, 2025, it held short - term financing ETF, 10 - year Treasury bond ETF, etc., with different weights [33].

2025 年 05 月 25 日 证券研究报告 | 策略周报 市场活跃度回落，欲扬或需先抑 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 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 销售服务电话： 相关研究报告 【股市方面】短期波动加大，静待调整压力释放。近期市场缩圈至更为极致 的"杠铃"策略——大盘权重+微盘，即以银行为代表的权重以及以微盘股指 数为代表的方向表现更为突出。但这一趋势当前面临风险收益性价比偏低的阻 力，导致市场活跃度下降、小微盘题材方向轮动加快，对赚钱效应形成拖累， 处于高位的大盘权重、微盘风格或面临短期调整压力。建议短期内可耐心等待 更具性价比的配置机会，市场调整压力释放后可继续关注银行、题材（新消 费、科技、化工等）及宽基指数的布局机会。 风险提示：经济修复不及预期的风险，政策效果不及预期的风险，关税博弈 反复的风险，地缘政治风险，海外经济衰退风险，外部政策不确定性风险。 敬请参阅报告结尾处免责声 ...