国泰海通｜金工：市场下周或将延续震荡上行态势——量化择时和拥挤度预警周报（20250608）

Core Viewpoint - The market is expected to continue a trend of oscillating upward in the coming week, supported by technical indicators and liquidity metrics [1][2]. Market Indicators - The liquidity shock index for the CSI 300 was 0.30, indicating higher liquidity than the average level over the past year by 0.30 standard deviations [2]. - The PUT-CALL ratio for the SSE 50 ETF options decreased to 0.85, reflecting a reduced caution among investors regarding short-term movements [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 0.82% and 1.40%, respectively, indicating increased trading activity [2]. Macroeconomic Factors - The onshore and offshore RMB exchange rates saw weekly increases of 0.15% and 0.25%, respectively [2]. - The official manufacturing PMI for China in May was reported at 49.5, matching expectations, while the Caixin manufacturing PMI was lower at 48.3 [2]. Technical Analysis - The Wind All A index broke through the SAR point on June 4, signaling a buy opportunity, with the moving average strength index scoring 207, placing it in the 81.6% percentile since 2021 [2][3]. Market Performance - For the week of June 2 to June 6, the SSE 50 index rose by 0.38%, the CSI 300 index increased by 0.88%, the CSI 500 index grew by 1.6%, and the ChiNext index surged by 2.32% [3]. - The overall market PE (TTM) stands at 19.2 times, which is in the 52.3% percentile since 2005 [3]. Factor Analysis - Small-cap factors performed well, with a crowding degree of 1.05, while low valuation factors had a crowding degree of 0.06 [3]. - The industry crowding degree is relatively high in machinery, comprehensive, retail, environmental protection, and beauty care sectors, with notable increases in beauty care and banking [3].