New Stock Offerings - ST Xinchao (600777) is in the offer period from April 23, 2025, to May 22, 2025[1] - Polytron Technologies (300630) has 5 trading days remaining until the last trading day[1] - ST Cube (300344) has an announcement dated May 14, 2025, but no specific details provided[1] Trading Alerts - ST Zhongcheng (300208) reported severe abnormal fluctuations on April 29, 2025[1] - ST Hu Ke (600608) and ST Hua Rong (600421) both have announcements dated May 14, 2025, with no further details[1] - ST Zhengping (603843) has an announcement dated May 13, 2025, with no specific details provided[1] Market Trends - Multiple stocks, including ST Yanzhen (603389) and ST Chuangxing (600193), have announcements dated May 14, 2025, indicating potential market volatility[1] - The report highlights a significant number of stocks under observation for abnormal trading activities, suggesting increased market scrutiny[2]

2025 年 05 月 13 日 证券研究报告 | 金融工程周报 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） 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 相关研究报告 向 — 市 场 环 境 因 子 跟 踪 周 报 （2025.04.30）》2025-05-07 2、《关税问题反复，大盘延续稳健—市场 中 观 因 子 跟 踪 周 报 （ 2025.04.27 ）》 2025-04-29 3、《市场进入降波阶段，风格稳定性上升 —量化数据看板跟踪周报（2025.04.20）》 2025-04-23 风 险 特 征 解 析 — 量 化 策 略 视 点 》 2024-12-17 投资要点 报告统计时间为 2025.05.05-2025.05.09。 分析师：程秉哲 静观其变，谋而后动。关税下调之后，可适度控制仓位，静观其变， ...

- The report covers the period from 2025.05.05 to 2025.05.09[10] Quantitative Factors and Construction Methods Stock Market Factors 1. **Factor Name**: Market Style Factors - **Construction Idea**: Track the performance and volatility of different market styles such as small-cap vs. large-cap and growth vs. value[11] - **Construction Process**: - Measure the performance of small-cap and large-cap stocks - Measure the performance of growth and value stocks - Calculate the volatility of these styles - **Evaluation**: The market style factors showed a strong performance for small-cap and growth styles, with low volatility[11][13] 2. **Factor Name**: Market Structure Factors - **Construction Idea**: Analyze the dispersion of excess returns among industry indices and the concentration of trading volume[11] - **Construction Process**: - Calculate the dispersion of excess returns among industry indices - Measure the proportion of trading volume of the top 100 stocks and the top 5 industries - **Evaluation**: The market structure factors indicated a decrease in the dispersion of excess returns and low concentration of trading volume[11][13] 3. **Factor Name**: Market Activity Factors - **Construction Idea**: Track the market's volatility and turnover rate[12] - **Construction Process**: - Measure the market's volatility - Calculate the turnover rate - **Evaluation**: The market activity factors showed a rapid decline in both volatility and turnover rate[12][13] Commodity Market Factors 1. **Factor Name**: Commodity Trend Strength - **Construction Idea**: Measure the trend strength of different commodity sectors[25] - **Construction Process**: - Calculate the trend strength for energy, black metals, non-ferrous metals, agricultural products, and precious metals - **Evaluation**: The trend strength was strong for energy and black metals, while weak for non-ferrous metals, agricultural products, and precious metals[25][28] 2. **Factor Name**: Basis Momentum - **Construction Idea**: Track the basis momentum of different commodity sectors[25] - **Construction Process**: - Measure the basis momentum for non-ferrous metals and agricultural products - **Evaluation**: The basis momentum remained high for non-ferrous metals and agricultural products[25][28] 3. **Factor Name**: Commodity Volatility - **Construction Idea**: Measure the volatility of different commodity sectors[25] - **Construction Process**: - Calculate the volatility for energy, black metals, non-ferrous metals, agricultural products, and precious metals - **Evaluation**: The volatility significantly decreased from high levels across all sectors[25][28] 4. **Factor Name**: Commodity Liquidity - **Construction Idea**: Track the liquidity of different commodity sectors[25] - **Construction Process**: - Measure the liquidity for energy, black metals, non-ferrous metals, agricultural products, and precious metals - **Evaluation**: The liquidity showed mixed performance across different sectors[25][28] Option Market Factors 1. **Factor Name**: Implied Volatility - **Construction Idea**: Measure the implied volatility of options on different indices[33] - **Construction Process**: - Calculate the implied volatility for options on the SSE 50 and CSI 1000 indices - **Evaluation**: The implied volatility for SSE 50 and CSI 1000 options significantly decreased, indicating a divergence in market views on small-cap stocks[33][34] Convertible Bond Market Factors 1. **Factor Name**: Convertible Bond Premium - **Construction Idea**: Measure the premium of convertible bonds[35] - **Construction Process**: - Calculate the premium for convertible bonds priced around 100 yuan - **Evaluation**: The premium showed a slight adjustment, with the market valuation at a moderately high level[35][37] Factor Backtesting Results 1. **Market Style Factors**: - Small-cap and growth styles showed strong performance with low volatility[11][13] 2. **Market Structure Factors**: - Decrease in excess return dispersion and low trading volume concentration[11][13] 3. **Market Activity Factors**: - Rapid decline in market volatility and turnover rate[12][13] 4. **Commodity Trend Strength**: - Strong trend for energy and black metals, weak for others[25][28] 5. **Basis Momentum**: - High basis momentum for non-ferrous metals and agricultural products[25][28] 6. **Commodity Volatility**: - Significant decrease in volatility across all sectors[25][28] 7. **Commodity Liquidity**: - Mixed liquidity performance across sectors[25][28] 8. **Implied Volatility**: - Significant decrease in implied volatility for SSE 50 and CSI 1000 options[33][34] 9. **Convertible Bond Premium**: - Slight adjustment in premium, moderately high market valuation[35][37]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - A-shares resumed their upward trend after a slight adjustment, driven by factors such as the holiday boom, Q1 profit data, and market expectations. The Shanghai Composite Index recovered its losses since April 7. The adjustment of the A-share tool strategy to increase the allocation of high - elasticity enhanced strategies has achieved initial results in obtaining excess returns. [3] - The Nasdaq showed signs of a slight pull - back after approaching a local high, but regained upward momentum after the Sino - US economic and trade talks, breaking through the local high at the end of March. [3] - In terms of quantitative strategy allocation, the A - share market still has short - term fluctuations. As the impact of most shocks is digested and the Sino - US trade negotiation progresses, sectors such as technology and growth may have more opportunities than stable sectors. The Evergreen Low - Volatility Strategy can be used as a base configuration, and part of the overweight low - volatility strategy can be gradually switched to a more offensive enhanced strategy. [5] - For overseas markets, although there are still short - term uncertainties, the long - term fundamentals of the US stock market remain good, and globalization investment still has strong diversification value. [6][8] Summary by Related Catalogs 1. Toolized Fund Portfolio Performance Tracking 1.1 Evergreen Low - Volatility Fund Portfolio - The portfolio has maintained low - volatility characteristics, with significantly better volatility and maximum drawdown than the CSI Active Equity Fund Index. Since the strategy started on July 31, 2023, it has continued to have low - volatility and small - drawdown attributes, with significant excess returns and the ability to rise in the rebound market. [16] 1.2 Equity Fund Enhancement Portfolio - The strategy has been running for a short time, and its performance is close to that of the CSI Active Equity Fund Index. It is expected to have stronger elasticity when the market environment improves and can maintain a similar trend to the benchmark in a weak market. [18] 1.3 Cash Enhancement Fund Portfolio - After double - screening, the portfolio has continuously outperformed the benchmark. Since the strategy started at the end of July 2023, it has accumulated an excess return of more than 0.39%, providing a reference for investors' cash management. [19] 1.4 Overseas Equity Allocation Fund Portfolio - Since July 31, 2023, in the context of the Fed's interest - rate cut and the AI - driven global technology stocks, the portfolio has accumulated a high level of excess returns, and global allocation can increase the return of the equity portfolio. [22] 2. Toolized Fund Portfolio Construction Ideas 2.1 Evergreen Low - Volatility Fund Portfolio - The strategy aims to select funds with long - term stable returns from high - equity - position actively managed funds. By considering factors such as historical drawdown, volatility, and valuation, a low - volatility active equity fund portfolio is constructed. [27] 2.2 Equity Fund Enhancement Portfolio - The strategy aims to meet the needs of investors with higher risk preferences by constructing a portfolio with higher risk - volatility and offensive characteristics. It focuses on funds with stronger Alpha - mining capabilities and has shown a high winning rate in the back - testing period. [28] 2.3 Cash Enhancement Fund Portfolio - A currency fund selection system is constructed based on multi - dimensional characteristic factors to select better - performing currency funds, helping investors optimize the returns of short - term idle funds. [24][29] 2.4 Overseas Equity Allocation Fund Portfolio - Based on overseas equity market indices, the portfolio selects QDII funds of indices with good upward momentum and provides an auxiliary tool for investors to expand global investment. [30]

2025 年 05 月 13 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 2025/5/13 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 销售服务电话： 021-20515355 2025/5/9》2025-05-09 2、《ETF 及指数产品网格策略周报— 2025/4/22》2025-04-22 3、《ETF 及指数产品网格策略周报— 2025/4/15》2025-04-15 4、《ETF 及指数产品网格策略周报— 2025/4/9》2025-04-09 5、《ETF 及指数产品网格策略周报— 2025/4/1》2025-04-01 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 ...

New Stock Listings - Tian Gong Co., Ltd. (Code: 920068) listed at an issue price of 3.94 on May 13, 2025[1] - ST Xin Chao (Code: 600777) is in the offer period from April 23 to May 22, 2025[1] - ST Zhong Cheng (Code: 300208) is under severe abnormal fluctuations[1] Trading Alerts - ST Hu Ke (Code: 600608) is in the delisting arrangement period with 6 trading days remaining[1] - ST Zheng Ping (Code: 603843) is also under severe abnormal fluctuations[1] - ST Long Jie (Code: 603332) has been flagged for trading alerts[1] Other Notable Stocks - Hong Bao Li (Code: 002165) and Ying Feng Co., Ltd. (Code: 605055) are listed with recent announcements on May 13, 2025[1] - ST Yu Shun (Code: 002289) is under scrutiny with recent announcements[1] - ST Xiang Feng (Code: 002141) has a recent announcement dated May 13, 2025[1]

Group 1: New Stock Offerings - ST Xinchao (600777) has a tender offer period from April 23, 2025, to May 22, 2025[1] - Puli Tui (300630) has 7 trading days remaining until the last trading day[1] - ST Zhongcheng (300208) reported severe abnormal fluctuations[1] Group 2: Trading Alerts - Jintai (300225) and other stocks are under observation for trading alerts due to abnormal fluctuations[1] - ST Yida (600608) and ST Huke (600608) are also flagged for trading alerts[1] - Multiple stocks including ST Shengda (002259) and ST Yushun (002289) are under scrutiny for trading activities[1] Group 3: Recent Announcements - Guofang Group (601086) and other companies have made recent announcements regarding their stock activities[1] - A total of 7 trading days remain for several stocks approaching their last trading day[1] - Various companies including ST Huada (603580) and ST Aiai (603580) have made recent disclosures[1]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The report presents several ETF strategy indices constructed with the help of ETFs and tracks their performance and positions on a weekly basis, aiming to obtain excess returns relative to the market [11] 3. Summary by Relevant Catalogs 3.1 ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week, including their returns, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a last - week return of 1.92%, a benchmark (CSI 800) return of 1.90%, and an excess return of 0.02% [12] 3.2 Huabao Research Size Rotation ETF Strategy Index - **Strategy**: 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. It outputs weekly signals, predicts the strength of the index for the next week, and decides positions accordingly to obtain excess returns [3][13] - **Performance**: As of 2025/5/9, the excess return since 2024 was 17.22%, the excess return in the past month was 0.12%, and the excess return in the past week was 0.02%. The positions as of the same date included 50% in the CSI 500ETF (fund code: 159922.SZ) and 50% in the CSI 1000ETF (fund code: 512100.SH) [3][13][16] 3.3 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: It uses price - volume indicators to time self - built barra factors, maps timing signals to ETFs based on the exposure of ETFs to 9 barra factors, aiming to obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [3][16] - **Performance**: As of 2025/5/9, the excess return since 2024 was 17.34%, the excess return in the past month was - 0.23%, and the excess return in the past week was 0.43%. The position as of that date was 100% in the Dividend Low - Volatility ETF (fund code: 512890.SH) [16][17][23] 3.4 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, including the grasp of the medium - and long - term fundamental dimension, 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 multi - dimensionally dig out potential sectors to obtain excess returns [4][20] - **Performance**: As of 2025/5/9, the excess return since 2024 was 1.56%, the excess return in the past month was 0.27%, and the excess return in the past week was 0.94%. The positions included 20.57% in the Military Industry ETF (fund code: 512660.SH), 20.44% in the Bank ETF (fund code: 512800.SH), 20.39% in the Agriculture ETF (fund code: 159825.SZ), 19.33% in the Non - ferrous 60ETF (fund code: 159881.SZ), and 19.27% in the Home Appliance ETF (fund code: 159996.SZ) [20][23][24] 3.5 Huabao Research Quantitative Balancing Act ETF Strategy Index - **Strategy**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to construct a quantitative timing system for trend judgment of the equity market. It also builds a prediction model for the market's large - and small - cap styles to adjust the position distribution in the equity market and obtains excess returns through comprehensive timing and rotation [4][24] - **Performance**: As of 2025/5/9, the excess return since 2024 was 1.19%, the excess return in the past month was - 2.76%, and the excess return in the past week was - 1.17%. The positions included 5.26% in the CSI 1000ETF (fund code: 512100.SH), 5.07% in the Enhanced 500ETF (fund code: 159610.SZ), 29.39% in the 300 Enhanced ETF (fund code: 561300.SH), 25.29% in the Policy Financial Bond，ETF (fund code: 511520.SH), 24.86% in the Short - term Financing ETF (fund code: 511360.SH), and 10.12% in the 10 - year Treasury Bond ETF (fund code: 511260.SH) [24][25][27] 3.6 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It tracks and digs out hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional opinions, policy and regulatory changes, and historical deduction, and constructs an ETF portfolio that can capture market hot - spots in time to provide investors with references for short - term market trends [5][27] - **Performance**: As of 2025/5/9, the excess return in the past month was - 3.20%, and the excess return in the past week was - 0.92%. The positions included 27.94% in the Hong Kong Stock Consumption ETF (fund code: 513230.SH), 24.82% in the Bosera Hong Kong Stock Dividend ETF (fund code: 513690.SH), 23.49% in the Soybean Meal ETF (fund code: 159985.SZ), 19.57% in the 5 - to 10 - year Treasury Bond ETF (fund code: 511020.SH), and 4.18% in the Real Estate ETF (fund code: 515060.SH) [27][30][31] 3.7 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: It uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [5][31] - **Performance**: As of 2025/5/9, the excess return in the past month was 0.23%, and the excess return in the past week was - 0.02%. The positions included 50.00% in the 10 - year Treasury Bond ETF (fund code: 511260.SH), 25.02% in the Policy Financial Bond ETF (fund code: 511520.SH), and 24.99% in the 5 - to 10 - year Treasury Bond ETF (fund code: 511020.SH) [31][32][35]

2025 年 05 月 11 日 证券研究报告 | 策略周报 关税窗口期应如何博弈？ 策略周报 分析师：刘芳 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 021-20515355 1、《政治局会议临近，应如何布局？— 策略周报》2025-04-20 2、《关税对 A 股哪些行业影响较大？— 策略周报》2025-04-13 3、《关税迷雾叠加美股震荡，资产应如 何配置？—策略周报》2025-03-30 4、《科技主线重燃，二次上行可期 —策 略周报》2025-03-09 5、《从关税博弈到 AI+突围—策略周 报》2025-02-23 投资要点 分析师：郝一凡 【债市方面】新低后宜适度止盈。央行本周降息 10BP，降息幅度相对有 限，后续预计为应对关税影响，未来仍有降息空间。整体来看，在增量政策出 台前，利率仍有下行创新低的可能，新低或是止盈机会（十年期国债收益率止 盈区间 1.50-1.55%）。债 ...

Group 1 - The report highlights the impact of recent tariff negotiations on the A-share market, suggesting that the market sentiment has improved due to expectations of tariff easing and liquidity release from the central bank [3][10][12] - The central bank's recent actions, including a 0.5 percentage point reserve requirement ratio cut and a 10 basis point interest rate reduction, are expected to provide approximately 1 trillion yuan in long-term liquidity, which is anticipated to support market stability [9][10] - The report indicates a shift in focus towards sectors such as low-volatility dividend stocks, banking, and public utilities, while also suggesting potential opportunities in technology and new consumption sectors like tourism and entertainment during market corrections [3][12] Group 2 - The bond market is expected to see further declines in yields, with a target range for ten-year government bond yields set between 1.50% and 1.55%, indicating a favorable outlook for short-term interest rate bonds [3][12] - The report notes that the A-share market's average daily trading volume has increased to 1,353.426 billion yuan, reflecting heightened market activity following the easing of tariff concerns and monetary policy adjustments [20] - The report emphasizes the importance of monitoring upcoming economic indicators, such as the U.S. CPI and China's M2 growth, which could influence market dynamics in the near term [21]