Employment Data Summary - In June, the U.S. added 147,000 non-farm jobs, exceeding the expected 110,000[2] - The unemployment rate fell to 4.1%, lower than the expected 4.3% and previous 4.2%[2] - Labor force participation rate was 62.3%, slightly below the expected and previous 62.4%[2] - Average hourly earnings increased by 0.2% month-on-month, below the expected 0.3% and previous 0.4%[2] Market Reactions - Following the non-farm data release, U.S. stock markets rose, with the S&P 500, Nasdaq, and Dow Jones increasing by 0.8%, 1.0%, and 0.8% respectively[2] - The 10-year U.S. Treasury yield rose by 6.3 basis points to 4.34%[2] - The U.S. dollar index increased by 0.4% to 97.1, while spot gold prices fell by 0.9% to $3326.1 per ounce[2] Fed Rate Expectations - The probability of a rate cut in July dropped from 25% to 0% after the non-farm data release[2] - The probability of a September rate cut decreased from 100% to approximately 73%[2] - The expected number of rate cuts for the year was revised down from 2.6 to 2.1[2] ADP vs Non-Farm Data - The ADP report showed a loss of 33,000 jobs in June, significantly below the expected gain of 95,000[3] - The divergence between ADP and non-farm data is attributed to differences in statistical coverage and the impact of tariffs[3] - Non-farm data is considered more reliable as it covers approximately 80% of employment positions compared to ADP's 17%[3] Economic Outlook - The strong non-farm data suggests resilience in the U.S. economy, supporting previous assessments[4] - The report indicates that if tariffs do not escalate further, a soft landing for the economy remains likely[4] - The Federal Reserve is expected to maintain a cautious stance given manageable economic downturn risks and rising inflation concerns[4]

Core Insights - The report highlights that in June, the top 100 real estate companies experienced a month-on-month sales increase, but the year-on-year decline has widened due to supply constraints and a high base from the previous year [6][7]. Real Estate Sector Summary - In the first half of 2025, the top 100 real estate companies achieved a total sales amount of 16,526.9 billion yuan, reflecting a year-on-year decrease of 10.8%, which is a 3.7 percentage point decline compared to the previous month [6]. - For June alone, the top 100 companies recorded a sales amount of 3,389.8 billion yuan, showing a year-on-year decrease of 22.8% but a month-on-month increase of 14.7% [7]. - The report maintains an "overweight" rating for the real estate sector, emphasizing the importance of policy-driven market dynamics and the potential for quality real estate companies to benefit from improved competitive conditions [8]. Investment Recommendations - The report suggests focusing on real estate stocks due to several factors, including the expectation of stronger policy support compared to previous years and the sector's role as an economic indicator [8]. - Specific investment directions include quality companies in first-tier and select second-tier cities, as well as local state-owned enterprises and property management firms [8].

Quantitative Models and Construction 1. Model Name: Odds Ratio + Win Rate Strategy - **Model Construction Idea**: This strategy combines the odds ratio and win rate metrics to allocate risk budgets across assets, aiming to optimize returns under historical data constraints [3][46] - **Model Construction Process**: - The odds ratio and win rate metrics are calculated for each asset based on historical data - The risk budgets derived from these two metrics are summed to form a composite score - Asset allocation is determined by the composite score, with higher scores receiving higher allocations - Current allocation recommendation: 11.5% equities, 2.2% gold, 86.3% bonds [3][46] - **Model Evaluation**: The model demonstrates stable performance with low drawdowns, making it suitable for risk-averse investors [3][46] 2. Model Name: Odds Ratio Enhanced Strategy - **Model Construction Idea**: Focuses on maximizing returns by overweighting high-odds assets and underweighting low-odds assets under a volatility constraint [40][41] - **Model Construction Process**: - Odds ratios are calculated for each asset - A fixed volatility constraint is applied to ensure risk control - Asset allocation is adjusted dynamically based on odds ratios - Current allocation recommendation: 15.6% equities, 2.9% gold, 81.5% bonds [40][41] - **Model Evaluation**: The strategy effectively balances risk and return, achieving consistent performance over time [40][41] 3. Model Name: Win Rate Enhanced Strategy - **Model Construction Idea**: Utilizes macroeconomic factors (e.g., monetary policy, credit, growth, inflation, and overseas conditions) to derive win rate scores for asset allocation [43][44] - **Model Construction Process**: - Win rate scores are calculated based on macroeconomic indicators - Asset allocation is determined by the win rate scores, favoring assets with higher scores - Current allocation recommendation: 6.6% equities, 1.7% gold, 91.7% bonds [43][44] - **Model Evaluation**: The strategy is robust in capturing macroeconomic trends, providing a defensive allocation approach [43][44] --- Model Backtesting Results 1. Odds Ratio + Win Rate Strategy - Annualized Return: 7.0% (2011–2025), 7.6% (2014–2025), 7.2% (2019–2025) - Maximum Drawdown: 2.8% (2011–2025), 2.7% (2014–2025), 2.8% (2019–2025) - Sharpe Ratio: 2.86 (2011–2025), 3.26 (2014–2025), 2.85 (2019–2025) [3][46][47] 2. Odds Ratio Enhanced Strategy - Annualized Return: 6.6% (2011–2025), 7.5% (2014–2025), 7.0% (2019–2025) - Maximum Drawdown: 3.0% (2011–2025), 2.4% (2014–2025), 2.4% (2019–2025) - Sharpe Ratio: 2.72 (2011–2025), 3.19 (2014–2025), 3.02 (2019–2025) [40][41][42] 3. Win Rate Enhanced Strategy - Annualized Return: 7.0% (2011–2025), 7.7% (2014–2025), 6.3% (2019–2025) - Maximum Drawdown: 2.8% (2011–2025), 2.3% (2014–2025), 2.3% (2019–2025) - Sharpe Ratio: 2.96 (2011–2025), 3.36 (2014–2025), 2.87 (2019–2025) [43][44][45] --- Quantitative Factors and Construction 1. Factor Name: Value Factor - **Factor Construction Idea**: Measures the relative attractiveness of value stocks based on odds, trends, and crowding metrics [18][20] - **Factor Construction Process**: - Odds: 0.2 standard deviations (higher indicates cheaper valuation) - Trend: -0.1 standard deviations (moderate level) - Crowding: -1.0 standard deviations (low crowding) - Composite Score: 1.0 (highest among all factors) [18][20] - **Factor Evaluation**: Strong trend and low crowding make it a top-performing factor [18][20] 2. Factor Name: Quality Factor - **Factor Construction Idea**: Focuses on high-quality stocks with favorable odds and low crowding, awaiting trend confirmation [20][21] - **Factor Construction Process**: - Odds: 1.4 standard deviations (high level) - Trend: -0.3 standard deviations (weak level) - Crowding: -0.8 standard deviations (low level) - Composite Score: 0.6 [20][21] - **Factor Evaluation**: Promising long-term potential but requires trend confirmation for stronger performance [20][21] 3. Factor Name: Growth Factor - **Factor Construction Idea**: Targets growth stocks with improving odds and moderate crowding [23][25] - **Factor Construction Process**: - Odds: 0.6 standard deviations (moderate level) - Trend: 0.02 standard deviations (neutral level) - Crowding: -0.1 standard deviations (moderate level) - Composite Score: 0.4 [23][25] - **Factor Evaluation**: Suitable for neutral allocation due to balanced metrics [23][25] 4. Factor Name: Small-Cap Factor - **Factor Construction Idea**: Captures small-cap stocks with strong trends but high crowding and low odds [26][28] - **Factor Construction Process**: - Odds: -0.5 standard deviations (low level) - Trend: 0.9 standard deviations (high level) - Crowding: 0.6 standard deviations (high level) - Composite Score: 0.0 [26][28] - **Factor Evaluation**: High uncertainty due to low odds and high crowding, requiring cautious approach [26][28] --- Factor Backtesting Results 1. Value Factor - Odds: 0.2 standard deviations - Trend: -0.1 standard deviations - Crowding: -1.0 standard deviations - Composite Score: 1.0 [18][20] 2. Quality Factor - Odds: 1.4 standard deviations - Trend: -0.3 standard deviations - Crowding: -0.8 standard deviations - Composite Score: 0.6 [20][21] 3. Growth Factor - Odds: 0.6 standard deviations - Trend: 0.02 standard deviations - Crowding: -0.1 standard deviations - Composite Score: 0.4 [23][25] 4. Small-Cap Factor - Odds: -0.5 standard deviations - Trend: 0.9 standard deviations - Crowding: 0.6 standard deviations - Composite Score: 0.0 [26][28]

Quantitative Models and Construction Methods Model 1: Core-Satellite Strategy - **Model Name**: Core-Satellite Strategy - **Model Construction Idea**: Increase the weight of benchmark constituent stocks to reduce tracking error[2] - **Model Construction Process**: - Allocate a portion of the portfolio directly to the benchmark index, while the remaining portion is actively managed[2] - Use grid search to find optimal parameters and construct the portfolio[2] - Example code provided by DeepSeek to achieve this[16] - For cases where the benchmark index has too many constituents, construct a substitute portfolio using methods like core leading stocks + industry representatives[20][23] - **Model Evaluation**: Effective in reducing tracking error by increasing the weight of benchmark constituent stocks[2][16] Model 2: Industry Neutralization - **Model Name**: Industry Neutralization - **Model Construction Idea**: Focus on stock selection to outperform the industry index by filling the weights of structurally underweighted sectors[3] - **Model Construction Process**: - Adjust individual stock weights to ensure the portfolio's industry exposure matches the benchmark index[31] - Use DeepSeek to generate the code for industry neutralization[31] - **Model Evaluation**: Significantly reduces tracking error by ensuring industry exposure consistency with the benchmark index[3][31] Model 3: Style Neutralization - **Model Name**: Style Neutralization - **Model Construction Idea**: Adjust stock weights to minimize style deviation from the benchmark index without changing the original holdings[4] - **Model Construction Process**: - Construct an optimization equation to solve for individual stock weights[4] - Use DeepSeek to generate the code for style neutralization, including multi-objective optimization[36][37] - **Model Evaluation**: Effective in reducing style deviation and improving portfolio performance relative to the benchmark[4][36] Model 4: Barbell Strategy - **Model Name**: Barbell Strategy - **Model Construction Idea**: Balance extreme growth and extreme value strategies to reduce tracking error[5] - **Model Construction Process**: - Implement a multi-strategy approach, such as equally weighting growth and value indices[5] - Use DeepSeek to generate the code for constructing and backtesting the barbell strategy[43] - **Model Evaluation**: Successfully reduces portfolio volatility and enhances performance by balancing different investment styles[5][46] Model Backtesting Results - **Core-Satellite Strategy**: - Average daily deviation reduced from 2.27% to 1.12% after adding 50% benchmark index weight[18] - Substitute portfolio tracking error relative to the benchmark index is 2.91%[28] - **Industry Neutralization**: - Maximum daily deviation reduced from 6.39% to 0.96% after industry neutralization[33] - **Style Neutralization**: - Average daily deviation reduced from 1.49% to 1.06% after style neutralization[38] - Relative to the benchmark index, the optimized portfolio's excess return improved from -9.55% to 3.55%[38] - **Barbell Strategy**: - Excess maximum drawdown reduced from over 30% to 19.88% after implementing the barbell strategy[46] - Annualized return and other performance metrics improved[50]

Investment Rating - Maintain "Buy" rating for the industry [5] Core Insights - The report highlights a rapid explosion in overseas industrial and commercial energy storage demand starting from 2025, driven by electricity pricing dynamics and the need for backup power solutions [12][15] - The demand for industrial energy storage is catalyzed by high electricity prices in Europe, rising generation costs in Southeast Asia, and frequent power outages in Africa [19][59] - The report estimates significant energy storage demand potential in Europe (approximately 66 GWh), Southeast Asia (approximately 50 GWh), and Africa (approximately 30 GWh) [3][19] Summary by Sections Supply and Demand Analysis - The underlying demand for industrial energy storage is driven by electricity pricing policies and the need for emergency backup power, with system costs decreasing further stimulating demand [15] - In Europe, high industrial electricity prices and dynamic pricing mechanisms are expected to boost energy storage demand [25][39] - In Southeast Asia, rising generation costs are pushing up local electricity prices, leading to a strong demand for cost-effective off-grid energy storage solutions [19][44] - In Africa, frequent power outages and rising electricity prices are catalyzing the shift towards off-grid energy storage solutions [59] Overseas Electricity Prices - European industrial electricity prices are significantly higher than those in the US, with small commercial users facing the highest costs [25][33] - In Southeast Asia, average electricity prices are relatively low but represent a high percentage of GDP, which is expected to drive energy storage demand [53][44] - African electricity prices are increasing rapidly, with significant implications for energy storage solutions [61] Demand Space - The report estimates that the industrial energy storage demand in Europe is around 66 GWh, while Southeast Asia and Africa have potential demands of approximately 50 GWh and 30 GWh, respectively [3][19] - The profitability of energy storage systems in Europe is supported by peak and off-peak pricing, with a payback period of around four years [3][19] - The report emphasizes the strong growth potential for energy storage systems in emerging markets, particularly in Africa and Southeast Asia [59][19] Investment Recommendations - The report recommends focusing on inverter manufacturers with strong positions in Africa, Latin America, and Europe, such as DeYue Co., Airo Energy, and Jinlang Technology [4] - For system integration, leading companies like Sungrow Power Supply and Haibo Technology are highlighted [4] - In the battery cell segment, companies with vertical integration capabilities, such as Pylon Technologies, are recommended [4]

Investment Rating - The report maintains an "Overweight" rating for the real estate industry [5][35] Core Viewpoints - The report highlights that the sales amount of the top 100 real estate companies increased month-on-month in June, but the year-on-year decline has widened due to supply constraints and high base effects from the previous year [2][14] - The report emphasizes that the real estate sector serves as an early-cycle indicator, making it a key economic barometer [5][35] - It notes that the competitive landscape is improving, with leading state-owned enterprises and a few mixed-ownership and private companies performing well in land acquisition and sales [5][35] Summary by Sections Sales Performance - In the first half of 2025, the top 100 real estate companies achieved a total sales amount of CNY 16,526.9 billion, a year-on-year decrease of 10.8% [2][14] - In June alone, the top 100 companies recorded a sales amount of CNY 3,389.8 billion, down 22.8% year-on-year but up 14.7% month-on-month [2][14] - The report indicates that different tiers of companies experienced varying degrees of sales decline, with the top 10 companies seeing the largest drop of 14.0% year-on-year [3][18] Leading Companies - The report identifies several leading companies with notable sales performance in June, including China Overseas Land & Investment with CNY 28.26 billion, followed by Poly Developments and Green Town China [4][31] - It mentions that 29 out of the top 40 companies achieved month-on-month sales growth, with China Construction East winning the highest growth rate of 503.8% [4][31] Investment Recommendations - The report suggests focusing on real estate-related stocks due to several reasons, including anticipated policy support and the sector's role as an economic indicator [5][35] - Recommended stocks include Green Town China, China Overseas Development, and Poly Developments among others [5][35]

Group 1: Market Overview and Strategy - The report emphasizes the importance of actively participating in market breakthroughs and focusing on performance pricing cues, particularly in sectors like consumer goods, precious metals, and engineering machinery [2] - In June, despite increased geopolitical tensions, risk appetite improved overall, leading to a recovery in equity assets, with major indices in A-shares experiencing upward breakthroughs [2] - The report suggests increasing trading positions to capitalize on strong breakout directions while prioritizing performance certainty in investment allocations [2] Group 2: Financial Engineering and Investment Value - The report discusses the use of DeepSeek to assist fund managers in reducing tracking errors relative to benchmarks, highlighting its capabilities in strategy implementation and code generation [3][4] - The analysis of the 华夏中证生物科技主题 ETF indicates that the demand for innovative drugs is driven by structural upgrades and policy support, with a significant increase in the number of innovative drugs included in the national medical insurance directory [6][7] - The 中证生物科技主题指数 reflects the overall performance of biotechnology stocks, with a focus on sectors like biopharmaceuticals and medical devices, indicating a high concentration of leading companies [8] Group 3: Company-Specific Insights - The report on 容知日新 (688768.SH) highlights its strong gross margin above 60% and net margin near 20%, driven by predictive maintenance solutions that align with industry trends [12] - Revenue projections for 容知日新 are set at 7.91 billion, 10.23 billion, and 12.88 billion CNY for 2025-2027, with corresponding net profits of 1.44 billion, 1.94 billion, and 2.56 billion CNY, indicating robust growth potential [12] - The report on the domestic optical module market suggests that companies like 华工科技 and 中际旭创 are well-positioned to benefit from high demand and supply shortages in the optical communication sector [16] Group 4: Emerging Trends and Innovations - The report notes that the pain relief market is evolving with a shift towards non-opioid medications, driven by innovations in pain management mechanisms [16] - The entry of Robinhood into the tokenized U.S. stock market is expected to accelerate the development of this sector, potentially leading to significant regulatory advancements [14][15] - The analysis of the biotechnology sector indicates a strong long-term growth outlook due to aging demographics and increasing healthcare spending, with innovative drugs gaining traction in the market [7][8]

Investment Rating - Maintain "Add" rating for the industry [5] Core Viewpoints - The domestic optical module market is entering a performance harvest period, driven by policies and demand, with significant growth expected in the second half of the year [1][6] - Companies like Huagong Technology are experiencing capacity expansion and a surge in demand for optical modules driven by AI [2][6] - The entire optical communication industry chain is expected to benefit from the high demand, with leading companies like Zhongji Xuchuang and Xinyi Sheng likely to consolidate their market positions [3][6] - The company has successfully positioned itself with major internet players like Huawei, providing high-speed optical connection solutions for AI servers, which is expected to drive demand for optical modules [6] - The company is accelerating the construction of domestic and overseas factories to meet growing market demand, with production capacity increasing significantly [6] Summary by Sections Industry Trends - The optical module demand is continuously increasing, with overseas promotion progressing smoothly, supported by policies and market needs [6] - The company has completed the first phase of its optical module production base in Wuhan, increasing monthly production capacity from 450,000 to 700,000 units [6] Financial Performance - In Q1 2025, the company achieved a revenue of 3.4 billion, a year-on-year increase of 52%, and a net profit of 410 million, up 41% year-on-year [6] - The company has improved its cost control capabilities, with a slight increase in R&D expense ratio and decreases in management and sales expense ratios [6] Strategic Initiatives - The company is focusing on 3D printing technology through a joint venture with Luxshare Precision, aiming to explore new growth avenues in additive manufacturing [6]

Investment Rating - The report maintains an "Accumulate" rating for the pharmaceutical and biotechnology industry [4]. Core Insights - The pain management market is expected to grow significantly, with a projected increase from USD 79.4 billion in 2021 to USD 120.7 billion by 2027, reflecting a compound annual growth rate (CAGR) of 7.39% [1]. - There is a shift towards diversified pain relief mechanisms to mitigate addiction risks associated with opioid medications, with non-opioid drugs expected to gain market share [1][6]. - The KOR agonist class represents a promising new direction for postoperative pain management, showing significant efficacy without central side effects [2][6]. Summary by Sections Market Overview - The chronic disease prevalence and aging population in China are driving the demand for pain management solutions, despite regulatory challenges and market structure issues [1]. - Current mainstream pain medications include opioids and non-steroidal anti-inflammatory drugs (NSAIDs), both of which have limitations due to side effects and addiction risks [1]. Innovative Solutions - KOR agonists, such as Vertex's Journavx, have been approved for acute pain treatment, targeting peripheral nervous systems to avoid central side effects [2]. - The P2X receptor class is emerging as a new target for non-opioid pain relief, suitable for chronic pain and cancer pain management [3]. Clinical Developments - The STC007 injection by Sunshine Nuohuo has shown promising results in clinical trials for postoperative pain, demonstrating efficacy comparable to traditional treatments with fewer side effects [5][7]. - The report highlights the potential for STC007 to fill a gap in the market for KOR agonists in postoperative pain management, emphasizing its rapid onset and strong analgesic effects [6][7]. Investment Recommendations - The report suggests continued attention to companies at the forefront of pain management innovations, such as Sunshine Nuohuo, Hengrui Medicine, Haizhu Pharmaceutical, and Renfu Pharmaceutical, as the market for pain relief solutions expands [6].

Group 1: Macro Insights - The June manufacturing PMI continues to rebound from a low level but remains in the contraction zone, while the non-manufacturing PMI shows a slight increase [3] - Both supply and demand have rebounded, with domestic demand recovering more significantly; import and export orders have also increased but are still in the contraction zone [3] - The overall view indicates that the internal repair momentum is weakening, and July will see a combination of four factors that need close monitoring, including US tariff negotiations and the political bureau meeting [3] Group 2: Strategy and Recommendations - The market outlook for July suggests active participation in breakthroughs while emphasizing performance pricing; despite the uncertainties from tariffs, interest rate cuts, policies, and mid-year reports, there is still value in trading breakthroughs [4] - It is recommended to increase trading positions to capitalize on potential breakthroughs, focusing on strong breakout directions driven by capital synergy and catalysts, while prioritizing performance certainty in investment allocations [4] Group 3: Sector Performance - The top-performing sectors in January, March, and over the past year include Communications (14.1%, 10.7%, 34.4%), Defense and Military (10.9%, 15.0%, 34.7%), and Electronics (8.9%, 0.7%, 36.0%) [1] - The bottom-performing sectors include Food and Beverage (-5.9%, -6.2%, 1.0%), Home Appliances (-3.0%, -5.3%, 14.7%), and Coal (-1.2%, -1.9%, -20.8%) [1] Group 4: Company-Specific Insights - Hard Egg Innovation (00400.HK) is identified as a rare AI computing chip supplier, focusing on a hardware and software platform layout, with a projected revenue of 10.13 billion yuan and a net profit of 190 million yuan for 2024 [13] - The company is expected to benefit from the growing demand for AI chips, with a projected revenue growth of 12.36 billion yuan, 15.63 billion yuan, and 19.48 billion yuan from 2025 to 2027 [16] Group 5: Emerging Trends - The new tobacco industry is rapidly developing, driven by harm reduction and product enhancement, with potential market sizes of 18.7 billion and 11.3 billion USD in the US and China, respectively, under conservative penetration assumptions [12] - The approval of important virtual asset licenses is accelerating financial innovation, with Guotai Junan International becoming the first Hong Kong-based broker to provide comprehensive virtual asset trading services [18]