金融资金面跟踪：量化周报：成交量有所提升，超额持续为正-20250616

Investment Rating - The industry investment rating is "Recommended," indicating an expected increase in the industry index by more than 5% over the next 3-6 months compared to the benchmark index [18]. Core Insights - The report highlights that the average returns for various quantitative strategies have been positive, with the A500 Enhanced Strategy showing a year-to-date average return of +7.3% and an average excess return of +9.8% [3]. - The report also notes significant fluctuations in trading volumes across different indices, with the CSI 500 showing a year-to-date average daily trading volume of 2,101 billion, reflecting a 50.1% increase [5]. - The report identifies the top-performing sectors over the past month, with Pharmaceuticals and Biotech leading at +9.8%, followed by Oil and Petrochemicals at +5.4% [6]. Summary by Sections Trading Volume Analysis - The average daily trading volume for the CSI 300 has been 2,927 billion, with a year-to-date increase of +26.6% [5]. - The CSI 1000 has shown a year-to-date average daily trading volume of 2,989 billion, reflecting an increase of +80.8% [5]. Sector Performance - The top three sectors for the week were Oil and Petrochemicals (+4.4%), Non-ferrous Metals (+3.5%), and National Defense and Military Industry (+2.3%) [6]. - The worst-performing sectors for the week included Consumer Retail (-4.3%), Telecom Services (-3.3%), and Semiconductors (-3.3%) [6]. Basis and Spread Analysis - The report indicates that the basis remains high, with the annualized discount for the current month contracts for IF/IC/IM at +12.3%, +11.9%, and +21.7%, respectively [6].