Group 1 - The market sentiment score has further declined, with the current score at 1.75, down from 2.5 the previous week, indicating a bearish outlook [1][4][6] - The financing balance ratio and the 300 RSI index scores have decreased, reflecting an increase in bearish sentiment among investors [4][9] - The overall market lacks a clear investment theme, with industry performance trends remaining weak and negative [17][20] Group 2 - The total transaction volume in the A-share market has seen a slight increase, with a daily transaction amount of 1.17 trillion RMB, but significant outflows of main funds have negatively impacted market performance [12] - The short-term trend scores for industries such as communication, real estate, and media have shown significant increases, with communication and real estate industries rising by 41.67% [23][24] - The small-cap growth style is currently favored, with a strong signal indicating its superiority over other styles, while the differentiation between growth and value styles remains weak [25]

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].

金融工程 | 金工定期报告 金融工程 证券研究报告 量化择时周报：步入震荡上沿，维持中性仓位 步入震荡上沿，维持中性仓位 上上周周报(20250525)认为：短期市场宏观不确定性增加和成交萎缩的压 制下，风险偏好较难快速提升，预计成交或将继续下行，等待地量信号， 预计成交缩量至 9000 亿附近有望迎来反弹。最终 wind 全 A 上周表现强势， 全周大涨 1.61%。市值维度上，上周代表小市值股票的中证 2000 上涨 2.29%， 中盘股中证 500 上涨 1.6%，沪深 300 上涨 0.88%，上证 50 上涨 0.38%;上周 中信一级行业中，表现较强行业包括通信、有色金属，通信上涨 5.06%，家 电、食品饮料表现较弱，家电下跌 1.75%。上周成交活跃度上，非银金融资 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）的距离开始扩大，最新数据显示 20 日 线收于 5115，120 日线收于 5081 点，短期均线位于长线均线之上，两线 差值由上周的 0.29%变化至 0.68%，但距离绝对值继续小于 3%，市场继续处 ...

Core Viewpoint - The market is expected to experience a volatile upward trend led by small and mid-cap stocks after the holiday [1][2]. Market Indicators - The liquidity shock indicator for the CSI 300 index was 0.13, lower than the previous week (1.13), indicating current market liquidity is 0.13 standard deviations above the average level over the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF options increased to 1.15, up from 0.94 the previous week, reflecting rising caution among investors regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 0.76% and 1.30%, respectively, indicating a decrease in trading activity, positioned at the 50.17% and 63.97% percentile since 2005 [2]. Macro Factors - The RMB exchange rate fluctuated last week, with onshore and offshore rates showing weekly declines of -0.08% and -0.48%, respectively [2]. - The US stock market showed a volatile upward trend, with the Dow Jones, S&P 500, and Nasdaq indices posting weekly returns of 1.6%, 1.88%, and 2.01% respectively [2]. - The US core PCE price index rose by 2.5% year-on-year, the lowest since March 2021, with a month-on-month increase of 0.1% [2]. Real Estate Sector - The total land acquisition amount for the top 100 enterprises from January to May 2025 reached 405.19 billion, a year-on-year increase of 28.8%, with the growth rate expanding by 2.2 percentage points compared to the previous month [2]. Technical Analysis - The Wind All A index broke below the SAR reversal indicator on May 23, indicating a bearish trend [2]. - The current market score based on the moving average strength index is 160, positioned at the 64.8% percentile since 2021 [2]. - The market has not yet formed a bottom, as the moving average strength index has not shown a significant decline [2]. Performance Overview - For the week of May 26 to May 30, the SSE 50 index fell by 1.22%, the CSI 300 index decreased by 1.08%, while the CSI 500 index rose by 0.32% and the ChiNext index dropped by 1.4% [3]. - The overall market PE (TTM) stands at 18.9 times, positioned at the 50.5% percentile since 2005 [3]. Factor and Industry Observations - Factor crowding remains stable, with small-cap factor crowding at 0.98, low valuation factor crowding at 0.11, high profitability factor crowding at -0.28, and high growth factor crowding at -0.04 [3]. - The industry crowding is relatively high in machinery, comprehensive, retail, environmental protection, and non-ferrous metals sectors, with transportation and non-ferrous metals showing significant increases in crowding [3].

Core Viewpoint - The A-share market is expected to continue its consolidation next week, influenced by technical indicators and upcoming holiday-related risk aversion among investors [1][2]. Market Analysis - The liquidity shock indicator for the CSI 300 index was 1.13 on Friday, lower than the previous week (2.63), indicating current market liquidity is 1.13 times above the average level of the past year [2]. - The put-call ratio for the SSE 50 ETF options decreased to 0.94 from 1.03, suggesting a decline in investor caution regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 0.85% and 1.40%, respectively, indicating a decrease in trading activity, positioned at the 58.47% and 68.54% percentiles since 2005 [2]. Macro Factors - The RMB exchange rate fluctuated last week, with onshore and offshore rates increasing by 0.2% and 0.52%, respectively [2]. - Historical data shows that from May 2005 onwards, the probability of the SSE Composite Index, CSI 300, CSI 500, and ChiNext Index rising in the latter half of May was 45%, 45%, 50%, and 47%, with average gains of -0.1%, -0.02%, 0.67%, and 1.71% [2]. Event-Driven Factors - The US stock market experienced a downward trend last week, with the Dow Jones, S&P 500, and Nasdaq indices reporting weekly returns of -2.47%, -2.61%, and -2.47%, respectively [2]. - The People's Bank of China conducted a 500 billion yuan MLF operation on May 23, with a one-year term, resulting in a net injection of 375 billion yuan for May, marking the third consecutive month of increased liquidity [2]. Technical Analysis - The Wind All A index broke below the SAR point on May 23, but the moving average strength index remains above average, indicating no bottoming pattern has emerged [2]. - The current market score based on the moving average strength index is 154, positioned at the 62.5% percentile since 2021 [2]. Performance Overview - For the week of May 19-23, the SSE 50 index fell by 0.18%, the CSI 300 index also decreased by 0.18%, the CSI 500 index dropped by 1.1%, and the ChiNext index declined by 0.88% [3]. - The overall market PE (TTM) stands at 19.0 times, which is at the 50.6% percentile since 2005 [3]. Factor Crowding Observations - The crowding degree for low valuation factors has decreased, with small-cap factor crowding at 0.91, low valuation factor crowding at 0.25, high profitability factor crowding at -0.23, and high profitability growth factor crowding at -0.03 [3]. - Industry crowding is relatively high in machinery equipment, comprehensive, retail, environmental protection, and automotive sectors, while transportation and non-ferrous metals sectors have seen a significant increase in crowding [3].

金融工程 | 金工定期报告 2025 年 05 月 25 日 作者 吴先兴 分析师 SAC 执业证书编号：S1110516120001 wuxianxing@tfzq.com 相关报告 1 《金融工程：金融工程-因子跟踪周 报：换手率、季度 sp 分位数因子表现较 好-20250524》 2025-05-24 2 《金融工程：金融工程-大模型总结 和解读行业研报（ 2025W20 ）》 2025-05-19 3 《金融工程：金融工程-量化择时周 报：等待缩量》 2025-05-18 金融工程 证券研究报告 量化择时周报：继续等待缩量 继续等待缩量 上周周报(20250518)认为：短期市场在利好兑现和成交萎缩的压制下，风 险偏好较难快速提升，预计成交或将继续下行，等待地量信号，预计成交 缩量至 9000 亿附近有望迎来有力反弹。最终 wind 全 A 全周下跌 0.63%。 市值维度上，上周代表小市值股票的中证 2000 下跌 1.52%，中盘股中证 500 下跌 1.1%，沪深 300 微跌 0.18%，上证 50 微跌 0.18%;上周中信一级行业中， 表现较强行业包括医药、汽车，医药上涨 1.92%，综 ...

Market Performance - The Sci-Tech 50 Index decreased by 1.47% over the last five trading days, while the ChiNext Index fell by 0.88%. In contrast, the large-cap value stocks rose by 0.48%, and the large-cap growth stocks declined by 0.40% [1] - The medical and biological sectors performed well, while the computer and machinery equipment sectors lagged behind [1] Risk Premium Analysis - The static PE of the CSI All Share Index minus the yield of 10-year government bonds indicates a risk premium. Historical extreme bottoms have shown this data to be at two standard deviations above the mean, with recent peaks at 4.17% on April 26, 2022, and 4.11% on January 19, 2024. As of May 23, 2025, the indicator stands at 3.84%, with the two standard deviation boundary at 4.76% [1] Valuation Levels - As of May 23, 2025, the CSI All Share Index's TTM PE is at the 51st percentile, with the SSE 50 and CSI 300 at 62% and 49%, respectively. The ChiNext Index is close to 11%, indicating a relatively low valuation level compared to historical averages [2] Long-term Market Trends - The Shenzhen 100 Index has experienced bear markets approximately every three years, followed by bull markets. The current adjustment, which began in Q1 2021, has shown sufficient time and space for a potential upward cycle [2] Fund Flow and Trading Activity - In the last five trading days, ETF funds saw an outflow of 24 billion yuan, while margin financing decreased by approximately 20 million yuan. The average daily trading volume across both markets was 1.1376 trillion yuan [3] AI and Machine Learning Applications - A convolutional neural network (CNN) has been utilized to model price and volume data, mapping learned features to industry themes. The latest focus is on sectors such as banking and dividends [2][10]

（转自：国金证券第5小时） 作者：高智威、许坤圣 ■ 投资逻辑 月度择时模型观点及策略表现 根据国金金融工程团队发布的《量化掘基系列之二：量化择时把握港股通大消费板块投资机会》,我们 构建了基于动态宏观事件因子的中证港股通大消费主题指数择时策略。 为了探索中国宏观经济对香港大消费主题上市公司整体状况和走势的影响，我们选取中证港股通大消费 主题指数作为研究对象，尝试从动态宏观事件因子的角度构建择时策略框架。我们用经济、通胀、货币 和信用四维度的20余个宏观数据指标，基于数据样本内时间段的收益率胜率指标和开仓波动调整收益率 指标数值，筛选出这些宏观数据每期最优的事件因子和最优的数据处理方式，并且从中挑选出了5个对 中证港股通大消费主题指数择时效果较好的宏观因子。 在选定了最终使用的宏观指标之后，我们使用这些宏观数据构建的宏观事件因子来搭建择时策略：当大 于2/3的因子发出看多信号，则当期该大类因子的信号标记为1；当少于1/3的因子发出看多信号时，则 当期大类因子信号标记为0；若当因子发出看多信号的比例处于两个区间之后，则大类因子标记为对应 具体的比例。将每期大类因子的得分作为当期的择时仓位信号。 风险提示 1、以 ...

Group 1 - The core viewpoint of the article suggests that the A-share market is likely to maintain a range-bound fluctuation in the upcoming week, influenced by historical trends and current market indicators [1][2]. - The liquidity shock indicator for the CSI 300 index was reported at 2.63, indicating that current market liquidity is 2.63 times higher than the average level over the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF decreased to 1.03, reflecting a reduced level of caution among investors regarding the short-term performance of the SSE 50 ETF [2]. Group 2 - The five-day average turnover rates for the SSE Composite Index and the Wind All A Index were 0.89% and 1.45%, respectively, indicating increased trading activity compared to historical levels [2]. - The RMB exchange rate fluctuated last week, with onshore and offshore rates increasing by 0.59% and 0.42%, respectively [2]. - In April, new RMB loans amounted to 280 billion, significantly lower than the consensus expectation of 764.44 billion and the previous value of 3.64 trillion [2]. - The M2 money supply grew by 8% year-on-year, surpassing the consensus expectation of 7.54% and the previous value of 7% [2]. Group 3 - Historical data shows that the probability of major A-share indices rising in the latter half of May is relatively low, with the SSE Composite Index, CSI 300, and ChiNext Index having average increases of -0.1%, -0.02%, and 1.71%, respectively [2]. - The Wind All A Index recently broke through the SAR reversal indicator on April 21, indicating a potential upward trend [2]. - The current market score based on the moving average strength index is 209, placing it in the 82.9 percentile since 2021 [2]. Group 4 - The A-share market experienced a recovery last week, with the SSE 50 Index rising by 1.22%, the CSI 300 Index by 1.12%, and the ChiNext Index by 1.38% [3]. - The overall market PE (TTM) stands at 19.0 times, which is at the 51.2 percentile since 2005 [3]. - The factor crowding metrics indicate a stable environment, with small-cap factor crowding at 0.91 and low valuation factor crowding at 0.53 [3].

Group 1 - The report highlights a continuous rebound in social financing (社融) in April, with an increase of 1.16 trillion yuan, which is 12.25 billion yuan more than the same period last year, and a year-on-year growth rate of 8.7% [2][26][27] - The M2 growth is seen as a foundation for the rebound in social financing, with the central bank emphasizing the importance of revitalizing existing financial resources and preventing idle capital [2][26] - The report indicates that while there are signs of improvement in data, further support is needed, particularly in the real estate sector, where the proportion of domestic loans for real estate development has risen to 14%, nearing levels seen in 2019-2020 [2][26] Group 2 - The financial data for April shows a significant year-on-year decrease in new RMB loans, with an addition of 280 billion yuan, which is 450 billion yuan less than the previous year, and a notable decline in new social financing [6] - The report notes that government bonds have been a major driver of social financing growth, with April's social financing growth rate potentially being the peak for the year [6] - The M2 growth acceleration is attributed to a low base effect, while M1 growth has slightly declined, indicating a need to monitor the effectiveness of monetary policy [6] Group 3 - The report on the computer industry emphasizes the potential of AI agents, particularly in the consumer (C-end) and business (B-end) sectors, with major companies like Alibaba and Tencent leading the C-end market [11] - The B-end market is segmented into head clients and small to medium clients, with different strategies for adopting AI solutions based on their needs and capabilities [11] - The report anticipates a significant growth in AI infrastructure, with the market for intelligent computing centers expected to exceed 288.6 billion yuan by 2028, growing at a compound annual growth rate of 26.8% from 2023 to 2028 [11][12] Group 4 - The report on the electric new energy sector highlights Jinlei Co., which achieved a total operating income of 505 million yuan in Q1 2025, a year-on-year increase of 97.5%, driven by increased shipment volumes [13] - The company’s dual business model of forging and casting is expected to enhance its market share, with significant growth in its wind power casting business [13] - The report also mentions an employee stock ownership plan that could stimulate operational vitality, involving up to 2.805 million shares at a grant price of 11.53 yuan per share [13]