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 ...

2025 年 05 月 23 日 证券研究报告|银行理财月报 理财规模季节性显著回升，固收+产品为发行主力 2025 年 4 月银行理财市场月报 分析师：蔡梦苑 分析师登记编码：S0890521120001 电话：021-20321004 邮箱：caimengyuan@cnhbstock.com 分析师登记编码：S0890525040001 电话：021-20321070 邮箱：zhoujiahui@cnhbstock.com 销售服务电话： 021-20515355 相关研究报告 1、《理财规模稳中有升，目标盈类理 财增幅较大—2024 年 12 月银行理财 市场月报》2025-01-24 理财发行增多—2024 年 11 月银行理 财市场月报》2024-12-26 净值修复—2024 年 9 月银行理财市场 月报》2024-10-16 化—2024 年 8 月银行理财市场月报》 2024-09-08 5、《无风险收益再下，"金融+慈善" 产品模式探索—2024 年 7 月银行理财 市场月报》2024-08-09 投资要点 监管政策及资管市场要闻解读： 分析师：周佳卉 4 月 21 日，中国银行间市场交易商 ...

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry Core Insights - The banking wealth management market experienced a significant seasonal rebound in April 2025, with a month-on-month increase of 7.58% to reach 31.09 trillion yuan, reflecting an 8.05% year-on-year growth [4][19] - The issuance of fixed income plus (固收+) products dominated the new product offerings, indicating a shift in investor preference towards products that balance liquidity and yield [5][35] - Regulatory changes are expected to limit the operational space for banks to smooth returns through valuation techniques, impacting future product offerings [12][10] Regulatory Policies and Asset Management Market News - On April 21, the China Interbank Market Dealers Association released self-regulatory guidelines for bond valuation, emphasizing the need for standardized net asset value measurement [10][11] - On May 7, the central bank introduced a series of monetary policy measures aimed at stabilizing market expectations, which may have a dual effect on the banking wealth management market [13][14] - The China Securities Regulatory Commission announced an action plan for the high-quality development of public funds, indicating a shift towards long-term performance evaluation and transparency [15][16] Market Performance - The total market for wealth management products saw a significant recovery in April, with cash management products experiencing a decline in yield, while fixed income products saw an increase [22][26] - The annualized yield for cash management products fell to 1.49%, while fixed income products rose to 2.74%, indicating a divergence in performance [22][26] - The market's overall performance is influenced by the ongoing low interest rate environment and regulatory changes affecting product structures [26][31] New Product Issuance - In April, the issuance of new wealth management products decreased compared to March, with fixed income plus products leading the market [35][36] - The new issuance of fixed income plus products amounted to 272.99 billion yuan, significantly higher than pure fixed income products [35][36] - The majority of new products were in the 1-3 year maturity range, reflecting a trend towards medium-term investments in a declining interest rate environment [35][36] Product Maturity and Compliance - The compliance rate for wealth management products reached 74.75% in April, an increase of 7.05% from March, attributed to the recovery in the bond market [44][48] - Short-term products maintained higher compliance rates due to their flexibility in adjusting performance benchmarks in response to market fluctuations [44][48]

New Stock Issuance - Zhongce Rubber (证券代码: 732049) issued at a price of 46.50 on May 23, 2025[1] - ST Cube (证券代码: 300344) announced rights issue on May 14, 2025[1] - San Sheng Guo Jian (证券代码: 688336) announced rights issue on May 23, 2025[1] Trading Alerts - Li Jun Co. (证券代码: 002651) reported severe abnormal fluctuations on May 23, 2025[1] - Chengfei Integration (证券代码: 002190) announced trading alerts on May 19, 2025[1] - ST Er Ya (证券代码: 600107) issued trading alerts on May 15, 2025[1] Market Trends - Multiple companies including Nanjing Port (证券代码: 002040) and Chongqing Port (证券代码: 600279) reported trading alerts on May 23, 2025[1] - A total of 20 companies reported abnormal trading activities on May 23, 2025, indicating potential market volatility[1]

Report Overview - The report is a private fund special report focusing on how to achieve absolute return strategies in convertible bond investments [1] Industry Investment Rating - Not provided in the report Core Viewpoints - For most investors, diversifying underlying strategies is the most direct way for asset allocation. The report introduces the convertible bond arbitrage strategy, an absolute return strategy, to enrich investors' investment toolkits [7] - Traditional convertible bond enhancement strategies face market volatility risks and do not belong to absolute return strategies. The convertible bond arbitrage strategy is the core path for absolute return strategies [9][11][13] - The convertible bond arbitrage strategy has unique return attributes and can maintain stability during the collective drawdown of neutral strategies, highlighting its allocation value in absolute return strategies [19] Section Summaries Convertible Bond Introduction - Convertible bond strategies mainly invest in convertible bonds. Convertible bonds have both bond and equity conversion properties, and their prices are related to the underlying stock price in a curve with an increasing slope. They can be seen as a combination of a regular bond and an American exotic option, and their "T+0" trading feature allows for intraday trading [8] Traditional Convertible Bond Enhancement Strategies - Traditional convertible bond enhancement strategies involve holding a basket of convertible bonds, with different selection methods. The "dual-low strategy" selects bonds with low conversion premium rates and prices, while more mature research uses multi-factor models. These strategies aim to profit from the price increase of convertible bonds but face market volatility risks and are not absolute return strategies [11] Convertible Bond Arbitrage Strategies - The simplest convertible bond arbitrage strategy is to convert bonds into stocks and sell them when the conversion premium rate is negative, but this is rare. The more commonly used strategy is similar to the option Gamma scalping strategy, which requires accurate pricing of the option part of the convertible bond. The key is to estimate the Delta elasticity accurately. The pricing of the option part of convertible bonds is complex and often uses simulation methods. In practice, the long side is to buy convertible bonds, and the short side can use securities lending or stock index futures for hedging [13][16][17] Optimal Allocation of Convertible Bond Arbitrage Strategies - The convertible bond arbitrage strategy performs better in high-volatility market environments. When selecting a manager, factors such as the ability to price complex options, trading execution in hedging, and the ability to select convertible bond targets should be considered. Managers with option research, trading, and convertible bond investment backgrounds may be more suitable [18]

Group 1 - The actual maturity pressure of US Treasury bonds in 2025 is relatively controllable, with a significant portion being short-term debt, and the overall rollover pressure is manageable due to sufficient liquidity in the short-term market [2][25] - In 2025, the total US Treasury bonds maturing is estimated at $7.8 trillion, accounting for 27.32% of all US Treasury bonds, with concentrated maturity pressure from May to July [10][25] - The interest expense pressure from short-term debt rollover is limited, with an estimated additional interest expense of approximately $55 billion from May to December 2025 [22][24] Group 2 - The current 10-year Treasury yield is at a historically high level of 4.58%, influenced by rating downgrades and tax cuts, making the configuration cost-effective [3][26] - The demand for US Treasury bonds remains robust, as indicated by the healthy auction results, with a recent auction of $42 billion in 10-year bonds showing strong demand from sovereign funds and foreign central banks [3][26] - The distribution of maturities for US Treasury bonds, excluding short-term bonds, is relatively stable, with no significant peaks in maturity pressure expected [16][25]

New Stock Offerings - ST New潮 (600777) has a tender offer period from April 23, 2025, to May 22, 2025[1] - ST 立方 (300344) announced on May 14, 2025[1] - 利君股份 (002651) reported severe abnormal fluctuations on May 19, 2025[1] Trading Alerts - ST尔雅 (600107) announced on May 22, 2025[1] - *ST岩石 (600696) announced on May 22, 2025[1] - 乐山电力 (600644) announced on May 22, 2025[1] Abnormal Fluctuations - 依依股份 (001206) reported abnormal fluctuations on May 22, 2025[1] - *ST智胜 (002253) reported abnormal fluctuations on May 22, 2025[1] - *ST赛隆 (002898) reported abnormal fluctuations on May 22, 2025[1]

- The report tracks various market environment factors for the week of May 12, 2025, to May 16, 2025[2][10] - The report includes a detailed analysis of stock market factors, commodity market factors, options market factors, and convertible bond market factors[7][11][28][36][38] - The stock market factors include market style, market structure, and market activity, with specific metrics such as size and value-growth style volatility, industry index excess return dispersion, and turnover rate[11][12][13] - The commodity market factors include trend strength, basis momentum, volatility, and liquidity, with specific metrics such as the trend strength of energy and black metal sectors, and the volatility of precious metals, non-ferrous metals, and agricultural products[28][30] - The options market factors include implied volatility levels and skewness of call and put options for the SSE 50 and CSI 1000 indices, indicating potential adjustment risks for small-cap stocks[36][37] - The convertible bond market factors include pure bond premium rate, conversion premium rate, and trading volume, with specific metrics such as the stability of the pure bond premium rate and the increase in the proportion of low conversion premium rate bonds[38][39][41] Quantitative Models and Construction Methods 1. **Stock Market Factors** - **Factor Name**: Market Style - **Construction Idea**: Track the performance and volatility of different market styles such as size and value-growth - **Construction Process**: - Measure the performance of large-cap vs. small-cap stocks - Measure the performance of value vs. growth stocks - Calculate the volatility of these styles over the week - **Evaluation**: The market style showed a preference for small-cap and growth stocks, with increased volatility from low levels[11][13] 2. **Commodity Market Factors** - **Factor Name**: Trend Strength - **Construction Idea**: Assess the strength of trends in various commodity sectors - **Construction Process**: - Analyze the price trends in energy, black metals, non-ferrous metals, agricultural products, and precious metals - Calculate the trend strength for each sector - **Evaluation**: Energy and black metal sectors continued to show strong trends, while other sectors had weaker trends[28][30] 3. **Options Market Factors** - **Factor Name**: Implied Volatility and Skewness - **Construction Idea**: Track the implied volatility and skewness of call and put options to gauge market sentiment - **Construction Process**: - Measure the implied volatility levels of SSE 50 and CSI 1000 indices - Calculate the skewness of call and put options for these indices - **Evaluation**: The implied volatility and skewness indicated potential adjustment risks for small-cap stocks[36][37] 4. **Convertible Bond Market Factors** - **Factor Name**: Conversion Premium Rate - **Construction Idea**: Monitor the premium rates and trading volume of convertible bonds - **Construction Process**: - Track the pure bond premium rate and conversion premium rate - Measure the trading volume of convertible bonds - **Evaluation**: The market showed stability in pure bond premium rates and an increase in low conversion premium rate bonds[38][39][41] Backtesting Results of Factors 1. **Stock Market Factors** - **Size Style Volatility**: Increased from low levels[11][13] - **Value-Growth Style Volatility**: Increased from low levels[11][13] - **Industry Index Excess Return Dispersion**: Decreased[11][13] - **Turnover Rate**: Decreased[12][13] 2. **Commodity Market Factors** - **Trend Strength**: Strong in energy and black metal sectors[28][30] - **Volatility**: Low in precious metals, non-ferrous metals, and agricultural products; high in energy and black metal sectors[28][30] - **Liquidity**: Best in the energy sector[28][30] 3. **Options Market Factors** - **Implied Volatility**: Stabilized after a mid-week jump[36][37] - **Skewness**: Increased for both call and put options in SSE 50; increased for put options in CSI 1000[36][37] 4. **Convertible Bond Market Factors** - **Pure Bond Premium Rate**: Stable[38][39][41] - **Conversion Premium Rate**: Stable[38][39][41] - **Trading Volume**: Reached the median level of the past year[38][39][41]