Consumption - Automotive consumption remains high, with wholesale and retail sales showing a slight decline due to seasonal factors, but the four-week average year-on-year growth rate remains stable[4] - Service consumption is relatively flat, with urban congestion indices decreasing and subway passenger flow rebounding, although overall numbers are slightly down year-on-year[4] Investment - Infrastructure investment is accelerating, with special bond issuance reaching CNY 1.48 trillion as of May 18, 2025, and CNY 285.2 billion issued in the first 18 days of May[11] - Real estate transactions in 30 cities show a seasonal rebound but year-on-year growth has dropped from 6.3% to -15.0%[14] Trade and Port Operations - Import and export activities have rebounded due to tariff adjustments, with port operations improving and the number of ships docking at ports increasing significantly[17] - Export freight rates have seen a notable increase, with Shanghai and Ningbo export rates rising by 10.0% and 6.5% respectively[17] Production - Power generation coal consumption has rebounded, indicating marginal recovery in production, with some industries showing improved operating rates[19] - The steel and petrochemical sectors have seen slight improvements in operating rates, although some areas still face year-on-year declines[20] Inventory and Prices - Most inventories have decreased, except for coal and cement, which have seen increases, with coal inventories reaching historical highs[32] - Consumer Price Index (CPI) has decreased while Producer Price Index (PPI) has increased, indicating a stabilization in industrial product prices overall[34] Currency and Liquidity - The Chinese Yuan has appreciated to 7.20 against the US dollar, with the dollar index rising by 56 basis points due to favorable US economic data[39] - Funding rates have slightly increased, with R007 and DR007 rising by 5 and 10 basis points respectively[36]

Group 1: Importance of Data and Factor Construction - The report emphasizes the significance of "high-frequency data + discretization construction methods" for future research on price-volume factors to obtain incremental information with low correlation to existing factors[1] - Continuous factor construction methods, based on a segment of continuous data, show limited incremental benefits when applied to portfolio levels, with excess annualized returns only improving by approximately 0.5%-0.6% when adding minute and tick data factors to daily frequency factors[2][3] - Discretization methods, which extract discrete time points from historical data, can provide significant incremental benefits at the portfolio level, with a constructed portfolio based on "continuous + tick discretization" achieving an excess annualized return of 8.15%[3] Group 2: Performance Metrics of Factors - The "tick discretization" factor shows a monthly IC mean of 0.073 and an annualized ICIR of 2.87, with a 10-group long-short hedge yielding an annualized return of 38.30% and a maximum drawdown of 11.87%[4] - The "minute continuous" factor has a monthly IC mean of 0.079 and an annualized ICIR of 3.57, resulting in an annualized return of 35.99% with a maximum drawdown of 8.10%[3][4] - The combined factor of "daily continuous + minute continuous + tick continuous" achieves a monthly IC mean of 0.087 and an annualized return of 43.08%, indicating the effectiveness of combining different data frequencies[3][4] Group 3: Risk and Limitations - The report warns that the conclusions drawn are based on historical data and statistical models, and significant changes in market conditions could lead to model failure[4] - Despite the apparent improvements in backtesting results when adding minute and tick factors, their contribution at the portfolio level is limited, suggesting that the incremental information they provide may not be substantial[3][4]