Group 1: Report Industry Investment Rating - No information provided Group 2: Core Views of the Report - In June, the risk appetite of the equity market rebounded, but the performance of convertible bonds was weak. The CSI Convertible Bond Index rose 2.98% from June 1 to 27, while the CSI All-Share Index rose 3.13%. Year-to-date, the CSI Convertible Bond Index and the CSI All-Share Index increased by 6.65% and 3.43% respectively. Overall, the CSI Convertible Bond Index rose in tandem with the equity market in June but underperformed the CSI 500 (-0.42pct) and the CSI 1000 (-1.17pct) [3][12]. - The information technology sector rose significantly, and there was a large divergence between the underlying stocks and convertible bonds in the consumer staples sector. According to the Wind primary industry classification, the information technology sector performed best in June, with a gain of 4.65%, a significant improvement from May. This was mainly due to the substantial rise in the underlying stocks of the information technology sector, and its increase ranked first among the Wind primary industries. The market risk appetite increased significantly compared to the previous month. In addition, the underlying stocks of the financial and materials industries ranked second and third in terms of gains, but the convertible bonds did not show a significant increase. The industries where the underlying stocks and convertible bonds performed in opposite directions were consumer staples, utilities, healthcare, and consumer discretionary [4][22]. - In terms of convertible bond investment suggestions, as the uncertainty in the macro - environment continues, the option attribute of convertible bonds will further play a role. The dual - low strategy, which is both offensive and defensive, is beneficial for grasping the asymmetry of up and down movements. In terms of industry selection, it is believed that in July, the equity market tends to bet on policy expectations and interim report performance, and the risk appetite is difficult to rebound in the short term. Therefore, dividend - paying assets have more advantages in an uncertain environment, while the technology sector mainly benefits from the elasticity brought by policy catalysts [5]. Group 3: Summary by Relevant Catalogs 1. Convertible Bond Monthly Market Tracking - **Overall performance**: In June, the risk appetite of the equity market rebounded, but convertible bonds underperformed. The CSI Convertible Bond Index rose 2.98% from June 1 - 27, and the CSI All - Share Index rose 3.13%. Year - to - date, the CSI Convertible Bond Index and the CSI All - Share Index increased by 6.65% and 3.43% respectively. The CSI Convertible Bond Index underperformed the CSI 500 (-0.42pct) and the CSI 1000 (-1.17pct) [3][12]. - **By price classification**: In June, the Wind Low - price Convertible Bond Index rose 3.35%, significantly higher than the high - price (+2.52%) and medium - price (+2.72%) indices. Year - to - date, low - price convertible bonds (+6.99%) performed better than medium - price (+5.93%) and high - price (+4.76%) ones [3][13]. - **By convertible bond outstanding**: In June, small - cap convertible bonds slightly outperformed medium - and large - cap ones. The Wind Large - cap (+2.92%) and Medium - cap (+2.99%) Convertible Bond Indices performed basically the same, while the small - cap index had the largest increase (+3.23%). Year - to - date, the small - cap index (+10.26%) had a significantly higher increase than the large - cap index (+5.68%) and the medium - cap index (+5.25%) [16]. - **By credit rating**: In June, AA+ (+3.8%) and AA - and below (+3.6%) convertible bonds had relatively large increases. AAA (+2.4%) and AA (+2.86%) convertible bonds also achieved good returns. Year - to - date, low - rated convertible bonds still significantly outperformed high - rated ones, especially AA - and below convertible bonds, with a cumulative increase of up to 11.55% [3][18]. - **By industry**: The information technology industry's underlying stocks and convertible bonds rose significantly, and there was a large divergence between the underlying stocks and convertible bonds in the consumer staples sector. The information technology sector had a gain of 4.65% in June. The financial and materials industries' underlying stocks had relatively large increases, but the convertible bonds did not rise significantly. The industries where the underlying stocks and convertible bonds performed in opposite directions were consumer staples, utilities, healthcare, and consumer discretionary [4][22]. - **By strategy index**: In June, the dual - low strategy and the high - price low - premium strategy had similar increases. The dual - low strategy index with bond floor protection and underlying stock elasticity rose 2.45% in June and 6.47% year - to - date. In contrast, the high - price low - premium strategy, which focuses more on equity characteristics, rose 2.44% in June and 5.22% year - to - date, performing weaker overall than the dual - low strategy with bond floor protection [29]. 2. Convertible Bond Monthly Investment Suggestions 2.1 Strategy Suggestion: The Dual - Low Strategy is Both Offensive and Defensive - **June dual - low portfolio performance**: The June dual - low portfolio constructed included 44 targets. The top three industries with the largest number of targets were basic chemicals (8), banks (6), and light manufacturing (5). From June 1 to 27, the portfolio's return was 1.5% (equal - weighted allocation without individual bond screening), underperforming the CSI Convertible Bond Index by 2pct [32]. - **July dual - low portfolio recommendation**: In July, the standard for the dual - low value was adjusted to the bottom 5%, further narrowing the scope of targets to 22. The industries with the largest number of targets were basic chemicals (5), banks (4), and light manufacturing (2). The average convertible bond price, conversion value, and premium rate of the portfolio were 119 yuan, 109 yuan, and 10% respectively [35]. 2.2 Allocation Suggestion: Continue to Be Optimistic about Dividend - Paying and Technology Sectors - The technology sector's previous valuation adjustment was sufficient, the trading congestion declined, and it has now returned to the cost - effective range. It is recommended to focus on the highly prosperous robotics sector and related targets for self - controllability [37]. - High - dividend targets (banks, utilities) are favored during the interest rate decline period. Against the backdrop of the decline in the risk - free yield, the high dividends of bank stocks are more attractive. However, it should be noted that the outstanding scale of bank convertible bonds is decreasing, and attention should mainly be paid to the remaining low - price bank convertible bonds [7][37].

Group 1 - The report anticipates that the A-share market will continue to experience a slight upward trend in July, driven by dividends and technology sectors [2][4][8] - Since the beginning of 2025, A-share indices have shown wide fluctuations, with the Shanghai Composite Index slightly up by 0.89% and the ChiNext Index down by 5.79% as of June 23, 2025 [3][10][11] - The report highlights that the dividend sector, particularly banks and insurance, has performed well, while the consumer sector has been relatively weak due to the impact of the liquor industry [35][36] Group 2 - The report suggests that the technology sector, particularly semiconductors, components, and gaming, may present breakthrough opportunities in July [8][36] - The analysis indicates that the macroeconomic environment is stabilizing, with expectations of new policy measures to support technology innovation and consumption [5][30] - The report identifies three categories of industries based on profit growth and PE ratios, emphasizing sectors like small metals, automation equipment, and precious metals as potential investment opportunities [32][36]

Group 1 - The technology sector's trading congestion has returned to relatively low levels, indicating potential investment opportunities [2] - The precious metals market has seen a significant surge, with questions arising about the future performance of gold and silver [3] - A mid-term perspective suggests that the A-share market may continue to follow the main theme of Chinese manufacturing [3] Group 2 - The evolution of China's index-enhanced funds is highlighted, transitioning from niche to mainstream [5] - The consensus on "de-dollarization" raises questions about the future trajectory of gold [3] - Insights into Warren Buffett's investment strategies in the pharmaceutical sector are discussed [3] Group 3 - The year 2025 is projected to be a pivotal year for China's innovative drug industry, marking a year of revenue growth, profit leap, and valuation uplift, presenting systemic investment opportunities [17]

Core Viewpoint - The article discusses the current state of the A-share market, highlighting the potential for structural opportunities amidst a generally volatile market environment. It emphasizes the importance of individual stock selection over index fluctuations and identifies key sectors for investment focus [5][8]. Market Overview - On June 16, the three major stock indices opened lower, with the Shanghai Composite Index at 3369.37 points, down 0.23%, the Shenzhen Component at 10096.57 points, down 0.25%, and the ChiNext Index at 2038.7 points, down 0.25%. Sectors such as rare earth permanent magnets, biological breeding, robotics, computing power, new urbanization, liquor, AI applications, and e-commerce showed weakness, while oil and gas stocks remained strong [4]. Expert Opinions - Cai Jing from Huixiang Fund believes that the industry remains a crucial balance point in global economic and geopolitical dynamics, with the Baltic Dry Index having increased over 50% recently, indicating significant investment opportunities in the sector [5]. - Deng Yichao from Shenbo Fund suggests that the A-share market currently offers significant investment value compared to government bond yields. He advises focusing on sectors favored by capital and high-quality stocks with stable earnings and cash flow as earnings reports are released [5]. Brokerage Insights - China Galaxy Securities indicates that the A-share market is likely to maintain a volatile trend in the short term, with a focus on structural opportunities. They note that external uncertainties pose challenges, but domestic economic resilience is expected due to ongoing policy support [8]. - Everbright Securities points out that recent geopolitical events, such as the Israeli airstrike on Iran, have led to increased oil prices and heightened risk aversion, causing a pullback in global financial markets. They predict a return to a range-bound market with continued style rotation [10].

Market Overview - A-shares experienced a comprehensive rise this week, with small-cap stocks continuing to outperform. The average daily trading volume in the Shanghai and Shenzhen markets increased significantly compared to last week, indicating sustained momentum in the "small but beautiful" market structure [2][15]. Stock Market - The small-cap style has been dominant for an extended period, often associated with loose liquidity conditions. Current macroeconomic trends suggest that the trend of loose liquidity will continue, favoring small-cap stocks over large-cap stocks in terms of profit potential [7][8]. - The market's reaction to the recent China-US phone call was muted, indicating that investors are more focused on actual policy measures rather than mere expectations. The recommendation remains on sectors with clear fundamental improvements, particularly in technology and domestic consumption [8]. Bond Market - The bond market showed a strong performance this week, with a downward trend in the yield of ten-year government bonds. The central bank's liquidity support is evident, and the risk of significant interest rate hikes in the bond market is low [3][9]. - The bond market is expected to serve as a stabilizing asset class in the current economic environment, with a focus on appropriate buying timing to enhance returns [9]. Commodity Market - Gold prices fluctuated this week, with a general upward trend influenced by geopolitical factors and tariff policies. However, short-term volatility is expected to remain high [4][10]. - The long-term support for gold prices is attributed to the weakening of the US dollar's credit due to rising national debt [10]. Overseas Market - US stocks showed slight gains, with the 10-year US Treasury yield declining. The market remains sensitive to tariff policies and economic data, particularly employment figures [5][11]. - The uncertainty surrounding US government policies and the potential for a shift away from dollar dominance are key considerations for overseas asset allocation [11]. Industry Performance - In the A-share market, the communication, non-ferrous metals, and electronics sectors performed notably well, with weekly gains of +5.27%, +3.74%, and +3.60% respectively [22][24]. - The overall trading activity in the stock market saw an increase in the proportion of trading volume for small-cap indices compared to large-cap indices, indicating a shift in investor preference [15][19]. Key Events - The recent phone call between Chinese President Xi Jinping and US President Donald Trump has raised investor interest in the potential implications for trade relations and market sentiment [27]. - The release of China's PMI data for May indicated a slight improvement in manufacturing and services, which may influence market expectations moving forward [28]. Quantitative Data - The total trading volume in the two markets reached 11,842 billion yuan this week, a 10.81% increase from the previous week. The trading volume for the CSI 1000 index also saw a significant rise [15][38]. - The volatility of major indices, including the CSI 300, has decreased compared to the previous week, suggesting a more stable market environment [19].

Summary of Key Points from Conference Call Records Industry or Company Involved - The discussion primarily revolves around the Chinese market, U.S.-China trade relations, and various sectors including consumer goods, technology, and dividend stocks. Core Points and Arguments 1. **U.S.-China Tariff Concerns** The U.S. has increased tariff threats against China, particularly targeting AI and chip design software exports, which may disrupt trade negotiations and worsen U.S.-China relations [1][3][4] 2. **Short-term Tariff Impact** The likelihood of imposing new tariffs in the short term is low due to the U.S. retail sector's peak ordering season, with a 90-day grace period before any potential tariffs take effect. However, risks may rise post-grace period [5][6] 3. **Judicial Intervention in Trade** The U.S. judicial system's involvement in trade disputes may gradually reduce the extremity of tariff increases, indicating a potential shift in tariff authority back to Congress in the long term [6] 4. **Dividend Stocks in June** June typically sees seasonal pressure on dividend stocks due to profit-taking, leading to lower excess returns and win rates despite being a peak dividend distribution period [7][8] 5. **Long-term Outlook for Dividend Stocks** Despite short-term volatility, dividend stocks remain strategically significant in a low-interest-rate environment, with high dividend yields observed in indices [9] 6. **Focus on Emerging Consumption Sectors** The market is currently focused on service consumption, new consumption, and biomedicine, which are supported by policies and show strong performance. Notable companies in these sectors are less crowded, presenting investment opportunities [10][11] 7. **Weakness in Traditional Consumer Sectors** Traditional consumer sectors like home appliances and automobiles are underperforming due to declining consumer interest and the cessation of government subsidies, leading to concerns about their future growth [12][13] 8. **Technology Sector Trends** The technology sector is expected to rebound in the short term, with a long-term focus on significant capital expenditures and breakthroughs in areas like AI and robotics [14] 9. **Anti-Tariff Themes** The anti-tariff theme is performing steadily, with sectors like rare earths benefiting. The market is gradually desensitizing to tariff concerns, avoiding significant volatility [15] 10. **Recommended Industries** Key recommended industries include beauty care, biomedicine, computing, non-ferrous metals, social services, agriculture, defense, and retail, all of which are seen as having good growth potential [16][17] 11. **Market Outlook** The market is expected to remain in a narrow fluctuation pattern, supported by domestic demand resilience, with a focus on service consumption and emerging sectors as key growth drivers [18]

Market Performance - The bond market showed a more subdued performance on May 29, with government bond futures closing lower across the board, and interbank bond yields generally rising by 1-2 basis points [1][2] - The 30-year main contract fell by 0.65% to 118.690, while the 10-year main contract decreased by 0.26% to 108.475 [2] Yield Movements - The yield on the 10-year government bond "25附息国债11" rose by 1.25 basis points to 1.695%, and the yield on the 10-year policy bank bond "25国开10" increased by 2.5 basis points to 1.7385% [2] - In the North American market, U.S. Treasury yields collectively rose, with the 10-year yield increasing by 3.37 basis points to 4.477% [3] Monetary Policy Insights - Institutions believe that monetary policy will maintain a moderately loose orientation and flexible operations, with room for both reserve requirement ratio cuts and interest rate reductions [1][7] - The 10-year government bond yield is expected to fluctuate within the range of 1.5%-1.8% in the second half of the year [1][7] Market Activity - The central bank conducted a 7-day reverse repurchase operation with a fixed rate of 1.40%, resulting in a net injection of 111.5 billion yuan on that day [5] - The Shibor short-term rates mostly increased, with the overnight rate remaining flat at 1.411% and the 7-day rate rising by 2.4 basis points to 1.602% [5] Investment Strategies - Xiangcai Securities recommends a dual-low strategy focusing on dividend assets and technology sectors, particularly in robotics, to achieve higher risk-adjusted returns [6][7] - CITIC Securities anticipates a GDP growth target of around 5.0% for the year, but expects marginal slowing of economic growth momentum in the second half [7]

Group 1: A-Share Market Performance - The A-share market saw significant increases in aerospace, military, and communication sectors after the May Day holiday, with multiple ETFs in these themes rising over 5% [1] - The ChiNext index experienced a rebound, with the ChiNext 50 and ChiNext index rising over 4% and 3% respectively [1] Group 2: Fund Flows in ETFs - The total net inflow into ETFs tracking the Sci-Tech sector exceeded 4 billion yuan, with the Huaxia SSE Sci-Tech 50 ETF leading with over 1.8 billion yuan in net inflow [2][3] - Conversely, ETFs tracking the CSI 300 experienced significant outflows, totaling over 5.7 billion yuan [3] Group 3: Bond ETFs Growth - Bond ETFs have seen explosive growth this year, with a total net inflow of nearly 50 billion yuan as of May 9, and the total scale surpassing 250 billion yuan, an increase of over 70 billion yuan compared to the end of last year [4] - Institutional investors, particularly insurance institutions, are the primary holders of bond ETFs, with their share exceeding 35% [4] Group 4: Changes in ChiNext Index - The Shenzhen Stock Exchange will revise the ChiNext index compilation scheme, introducing an ESG negative exclusion mechanism and setting a weight adjustment factor to limit individual stock weights to no more than 20% during periodic adjustments, effective June 16 [2]

金融工程 | 金工定期报告 金融工程 证券研究报告 2025 年 05 月 11 日 量化择时周报：重大事件落地前维持中性仓位 重大事件落地前维持中性仓位 上周周报(20250505)认为：在风险偏好承压叠加市场格局触发下行趋势， 全 A 指数的 30 日均线构成压力位，但考虑到估值不高，建议在压力位突 破前维持中性仓位。最终 wind 全 A 周二突破 30 日均线，随后迎来上涨。 市值维度上，上周代表小市值股票的中证 2000 上涨 3.58%，中盘股中证 500 上涨 1.6%，沪深 300 上涨 2%，上证 50 上涨 1.93%;上周中信一级行业中， 表现较强行业包括国防军工、通信，国防军工上涨 6.44%，消费者服务、房 地产表现较弱，消费者服务微涨 0.3%。上周成交活跃度上，军工和通信资 金流入明显。 从择时体系来看，我们定义的用来区别市场整体环境的 wind 全 A 长期均 线（120 日）和短期均线（20 日）的距离开始收窄，最新数据显示 20 日 线收于 4946，120 日线收于 5088 点，短期均线继续位于长线均线之下， 两线差值由上周的-3.63%缩小至-2.80%，距离绝对值开 ...

Core Viewpoint - The article highlights the proactive measures taken by various companies and institutions in the Chinese capital market to stabilize and enhance investor confidence amid market fluctuations, indicating a strong belief in the long-term growth of the Chinese economy. Group 1: Company Actions - China Electronics Technology Group announced a stock buyback exceeding 20 billion yuan, demonstrating confidence in the long-term economic outlook [1] - Contemporary Amperex Technology Co., Ltd. plans to repurchase shares worth no less than 40 billion yuan and up to 80 billion yuan for employee incentive plans [3] - Central Huijin, China Chengtong, and China Guoxin have also announced stock purchases to support the stability of the capital market [5] Group 2: Market Reactions - On April 7, following the Qingming Festival, Asian stock markets experienced declines, with significant drops in the Nikkei 225 and the KOSPI, leading to a collective pullback in A-shares [7] - The total trading volume in the market reached approximately 1.62 trillion yuan, an increase of 460 billion yuan from the previous trading day [7] - Analysts suggest that the A-share adjustment is primarily driven by overseas pessimism, with a potential overlap of easing policies between the US and China later this year [7] Group 3: Institutional Investment - Central Huijin has increased its holdings in exchange-traded funds (ETFs), indicating a commitment to maintaining market stability [10] - The trading volume of ETFs surged to 332.14 billion yuan, marking a significant increase of nearly 30% from the previous trading day [10][11] - Major ETFs, such as the Huatai-PineBridge CSI 300 ETF, recorded substantial trading volumes, with the highest reaching 243.15 billion yuan, the third-highest daily volume in its history [11] Group 4: Investment Strategies - Institutions are taking advantage of market volatility by increasing their positions in undervalued stocks, particularly in the consumer and healthcare sectors [14][17] - Analysts recommend focusing on sectors with lower correlation to tariff impacts, such as aerospace, animal health, and high-end manufacturing, as potential beneficiaries of policy changes [17]