Bank of China Securities·2025-06-09 03:00Core Insights - The report emphasizes the importance of style factors in A-share investment strategies, highlighting a quantitative framework for constructing style factor portfolios [3][7] - The manufacturing PMI shows a marginal recovery, indicating a need for continued policy support for domestic demand [9][10] Market Indices - The Shanghai Composite Index closed at 3385.36, with a slight increase of 0.04% [4] - The Shenzhen Component Index decreased by 0.19%, closing at 10183.70 [4] - The CSI 300 Index fell by 0.09%, ending at 3873.98 [4] Industry Performance - The non-ferrous metals sector saw an increase of 1.16%, while the beauty care sector declined by 1.70% [5] - The communication industry rose by 1.00%, whereas the textile and apparel sector decreased by 1.18% [5] - The petroleum and petrochemical sector increased by 0.88%, while the food and beverage sector fell by 0.92% [5] Style Factor Analysis - The report identifies four main dimensions for constructing style factors: market capitalization, valuation, profitability, and momentum [7] - Historical data indicates that different periods in the A-share market have been dominated by different style factors, with high valuation factors expected to strengthen from 2025 [7][8] - The report suggests that high profitability, high valuation, and small-cap stocks will dominate the A-share market in the current year [8] PMI Insights - The manufacturing PMI for May was reported at 49.5%, a 0.5 percentage point increase from the previous month, indicating a slight recovery [9] - New export orders increased by 2.8 percentage points to 47.5%, while new orders only rose by 0.6 percentage points, suggesting weaker domestic demand compared to external demand [9][10] - The report notes that the construction sector's PMI showed a slowdown in expansion, while the service sector's PMI slightly increased to 50.2% [10]