Core Viewpoint - The market is expected to continue its upward trend in the coming week, supported by various technical and macroeconomic indicators [1][2]. Market Indicators - The liquidity shock indicator for the CSI 300 index was 1.36, indicating current market liquidity is 1.36 times higher than the average level over the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF decreased to 0.95, suggesting 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 0.99% and 1.63%, respectively, indicating increased trading activity [2]. Macroeconomic Factors - The RMB exchange rate fluctuated, with onshore and offshore rates increasing by 0.2% and 0.09% respectively [2]. - Historical data shows that from 2005 onwards, the probability of the SSE Composite Index, CSI 300, CSI 500, and ChiNext Index rising in the first half of July is 60%, 60%, 55%, and 53%, with average gains of 0.67%, 0.93%, 1.55%, and 1.6% respectively [2]. Event-Driven Insights - The US stock market rebounded, with the Dow Jones, S&P 500, and Nasdaq indices posting weekly returns of 3.82%, 3.44%, and 4.25% respectively [2]. - Several Federal Reserve officials signaled a dovish stance, with discussions around potential interest rate cuts in July if inflation remains controlled [2]. Technical Analysis - The Wind All A index broke above the SAR point on June 24, generating a buy signal [2]. - The current market score based on the moving average strength index is 216, placing it in the 85.1% percentile since 2021 [2]. - The sentiment model score is 3 out of 5, indicating a positive trend and sentiment in the market [2]. Market Performance - For the week of June 23-27, the SSE 50 index rose by 1.27%, the CSI 300 index by 1.95%, the CSI 500 index by 3.98%, and the ChiNext index by 5.69% [3]. - The overall market PE (TTM) stands at 19.7 times, which is in the 57.5% percentile since 2005 [3]. Factor Observations - The crowding degree for small-cap factors continues to decline, with a score of 0.74 for small-cap factors, -0.48 for low valuation factors, -0.31 for high profitability factors, and -0.15 for high growth factors [3]. - The industry crowding degree is relatively high in banking, non-ferrous metals, comprehensive, non-bank financials, and retail sectors, with significant increases in non-bank financials and banking [3].
国泰海通｜金工：量化择时和拥挤度预警周报（20250627）——市场下周有望继续上行