1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Active equity fund positions have reached the highest level of the year, with continuous increases in the communication industry position. The market's broad - based indices generally rose last week, with the Shanghai Composite Index breaking through 3700 points. TMT industries performed strongly, while dividend - related industries such as banking and coal were weak. [4][12] - Active equity public funds have been continuously increasing their positions, and the overall position has reached the highest level of the year. Even relatively cautious "fixed - income +" funds have been continuously raising their positions. In terms of style, public funds have focused on the growth sector and shifted towards small - cap stocks. [4][12] - Public funds are optimistic about the communication industry, which has seen the most significant position increase in the past three months. The proportion in the consumer sector has decreased, and the allocation ratio of the food and beverage industry has reached a multi - year low. It is recommended to shift the allocation towards the growth sector. [4][12] 3. Summary According to the Table of Contents 3.1 Last Week's Market Review - **Broad - based Index Performance**: Last week (2025/8/11 - 2025/8/15), A - share broad - based indices generally rose, with the ChiNext Index rising significantly. As of 2025/8/15, the Shanghai Composite Index closed at 3696.77 points, up about 1.70% week - on - week; the Shenzhen Component Index closed at 11634.67 points, up about 4.55%; the ChiNext Index closed at 2534.22 points, up about 8.58%; and the CSI 300 closed at 4202.35 points, up about 2.37%. [13] - **Industry Index Performance**: TMT and non - banking industries performed well last week. The top - performing industries in terms of weekly returns were communication, comprehensive finance, non - bank finance, electronics, and computer, with returns of 7.11%, 7.07%, 6.57%, 6.44%, and 6.31% respectively. The bottom - performing industries included banking, steel, textile and apparel, coal, and construction, with returns of - 3.22%, - 2.00%, - 1.36%, - 0.77%, and - 0.59% respectively. [16] 3.2 Public Funds - **Net Value Performance**: The average net value change of active partial - stock funds last week was 3.47%. Among the 4468 funds, 3990 rose, accounting for 89.30%. The top five funds in terms of net value performance were Yongying Digital Economy Smart Selection Hybrid A, SDIC UBS Jinbao Flexible Allocation Hybrid, SDIC UBS Advanced Manufacturing Hybrid, SDIC UBS New Energy Hybrid A, and SDIC UBS Industry Trend Hybrid A, with weekly net value changes of 18.81%, 17.88%, 17.34%, 17.29%, and 17.01% respectively. [4][18] - **Position Calculation**: As of 2025/8/15, the average position of active equity funds was about 89.14%. Among them, the average position of common stock funds was about 91.41% (up 0.86 pct from the previous week), the average position of partial - stock hybrid funds was about 88.93% (up 1.90 pct), the average position of allocation funds was about 88.23% (up 2.61 pct), and the average position of "fixed - income +" funds was about 23.48%, up 0.43 pct from the previous week. [2][22] - **Style Trends**: Recently, public funds have mainly been allocated to the small - cap growth style. As of 2025/8/15, the positions of active partial - stock funds in large - cap growth, large - cap value, mid - cap growth, mid - cap value, small - cap growth, and small - cap value were 27.52% (up 0.19 pct from the previous week), 9.4% (down 0.69 pct), 9.51% (down 0.37 pct), 5.96% (up 0.3 pct), 43% (up 1.06 pct), and 4.62% (down 0.5 pct) respectively. [3][29] - **Industry Trends**: From the perspective of the weighted average of stock - holding market value, the industries with a significant increase in the allocation ratio of active equity funds last week were communication (about 6.19%, up 0.86 pct from the previous week), non - ferrous metals (about 4.31%, up 0.42 pct), petroleum and petrochemicals (about 1.17%, up 0.33 pct), comprehensive (about 0.52%, up 0.30 pct), and real estate (about 1.03%, up 0.24 pct). The industries with a significant decrease were food and beverage (about 3.96%, down 0.62 pct), electronics (about 15.99%, down 0.54 pct), national defense and military industry (about 5.05%, down 0.52 pct), banking (about 3.57%, down 0.43 pct), and textile and apparel (about 1.09%, down 0.32 pct). [4][32] - **ETF Market Tracking**: Last week (2025/8/11 - 2025/8/15), domestic stock ETFs had a net outflow of about 23.799 billion yuan, cross - border ETFs had a net inflow of about 16.335 billion yuan, bond ETFs had a net inflow of about 12.633 billion yuan, and commodity ETFs had a net outflow of about 1.719 billion yuan. [39] - **Newly Established Funds**: This year, 171 active equity funds have been newly issued, with a total scale of about 68.102 billion yuan, about 130.65% of the same period in 2024; 356 passive equity funds have been newly issued, with a total scale of 184.103 billion yuan, about 320.38% of the same period in 2024. [44] 3.3 Main/Active Capital Flows - **Main Capital Flow**: Last week, the main capital flowed into non - bank and electronics sectors and flowed out of national defense and military industry and machinery sectors. [5][56] - **Active Capital Flow**: The net main - buying amount last week was about - 1016.139 billion yuan. Active capital flowed into non - bank and electronics sectors. The industries with the highest net main - buying amounts were non - bank finance, electronics, computer, communication, and non - ferrous metals; the industries with significant outflows were machinery, national defense and military industry, banking, power and public utilities, and medicine. [5][56]

Core Viewpoint - The market is experiencing a significant increase in risk appetite, with a notable rise in small-cap growth stocks, supported by a high level of margin financing that has returned to over 2 trillion yuan for the first time since 2015, although its market share has decreased [1][3][5]. Group 1: Market Performance - The three major indices opened higher on August 12, with the Shanghai Composite Index continuing to strengthen after reaching a new high since 2022 [1]. - As of August 11, the margin financing balance has remained above 2 trillion yuan for four consecutive trading days, marking a significant return to this level [1][3]. Group 2: Margin Financing Insights - Despite the high absolute value of margin financing, its proportion of the A-share market's circulating market value is only 2.30%, less than half of the 4.73% seen in April 2015, indicating a healthier leverage structure [3]. - This situation suggests that there may still be marginal incremental capital supporting the market, with leverage levels not yet reaching alarm thresholds [3]. Group 3: Investment Strategy - The current market dynamics favor small-cap growth stocks, which are particularly sensitive to changes in liquidity and risk appetite, as evidenced by the performance of the CSI 1000 index, which has risen 16.55% year-to-date compared to the 8.82% increase of the Shanghai Composite Index [5]. - The 1000 ETF Enhanced (159680) has seen a year-to-date net value increase of 25.25%, significantly outperforming its benchmark, with a substantial inflow of 213 million shares over the year [8]. - The strategy of using index enhancement may be beneficial for investors looking to balance their portfolios while capturing both beta and alpha returns in the small-cap sector [10]. Group 4: Future Considerations - The market's increasing heat and the gains across various sectors suggest that a refined approach to portfolio rebalancing may be prudent, particularly through low-cost dollar-cost averaging or phased entry strategies [11].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the equity market closed higher overall, with the CSI 1000 leading the way and the small - cap growth style outperforming. The bond market also trended upward, and the convertible bond market rose [1][2][6]. - Among the industries, non - ferrous metals, machinery, and national defense and military industries led the gains, while pharmaceuticals and consumer services declined [2][6][9]. - Active equity funds had an average return of 1.80%. For bond - type funds, short - term bond funds had an average return of 0.06%, medium - and long - term bond funds had an average return of 0.08%, and convertible bond funds and bond funds with equity exposure achieved positive average returns [1][2]. - This week, there were 3 new stocks listed, and no new stocks broke their issue prices on the first day of listing. The average return of sample new - stock subscription funds was 0.59%, and the new - stock subscription yield of an 800 - million - yuan account was 0.023% [2][37]. - As of August 6, 2025, the average returns of low - risk, medium - risk, and high - risk FOF funds in the sample in the past week were 0.22%, 0.37%, and 0.47% respectively [2]. - During the statistical period, equity - biased QDII and bond - type QDII funds rose by 0.34% and 0.52% on average, while index - type and other - type QDII funds fell by 0.30% and 0.45% on average. REITs funds fell by 0.31% on average this week [2]. 3. Summary by Directory 3.1 Market Review - The equity market closed higher overall this week, with the CSI 1000 leading the gains and the small - cap growth style outperforming. As of the close, the Shanghai - Shenzhen 300 Index closed at 4105 points, up 1.23%; the Shanghai Composite Index closed at 3635 points, up 2.11%; the Shenzhen Component Index closed at 11129 points, up 1.25%; and the ChiNext Index closed at 2334 points, up 0.49%. In the Hong Kong stock market, the Hang Seng Index rose 1.43%, and the Hang Seng Tech Index rose 1.17% [6]. - In terms of industry performance, non - ferrous metals, machinery, and national defense and military industries led the gains, with increases of over 5%, while pharmaceuticals and consumer services declined [9]. - As of August 8, 2025, among the 5422 stocks in the A - share market, 4041 stocks rose this week. The number of rising stocks on the Beijing Stock Exchange, ChiNext, Science and Technology Innovation Board, and Main Board were 140, 1035, 421, and 2445 respectively [12]. 3.2 Key Fund Tracking 3.2.1 Active Equity - **Fund Performance**: The average return of the full - market funds in the sample this week was 1.80%. Funds with better performance were heavily invested in industries such as automobiles and machinery. For industry - themed funds, funds in the cyclical and mid - stream manufacturing sectors had leading average returns, while those in the pharmaceutical sector lagged behind [18][20]. - **Position Estimation**: This week, the positions of ordinary stock - type and partial - stock hybrid funds both increased. Compared with the previous week, the position of ordinary stock - type funds rose by 1.06 percentage points, and that of partial - stock hybrid funds rose by 2.19 percentage points. Actively managed partial - stock funds increased their allocations to cyclical, consumer, growth, and financial sectors and reduced their allocations to stable sectors. In terms of sub - industries, the allocations to household appliances, communications, and computers increased, while those to automobiles, electronics, and petroleum and petrochemicals decreased [23]. 3.2.2 Bond - type Funds - **Bond Market Performance**: This week, the bond market trended upward. The ChinaBond Total Wealth Index closed at 246.91, up 0.1% from last week; the ChinaBond Treasury Bond Index closed at 247.9, up 0.13%; and the ChinaBond Credit Bond Index closed at 224.18, up 0.09%. The CSI Non - Pure Bond Fund Index closed at 2229.59 on Thursday, up 0.45% from last Thursday. The CSI Convertible Bond Index closed at 467.77, with a weekly increase of 2.31%, and the trading volume was 422.4 billion yuan, a change of 36.293 billion yuan from last week [25][27]. - **Fund Performance Overview**: This week, the average return of short - term bond funds was 0.06%, and the median was 0.06%; the average return of medium - and long - term bond funds was 0.08%, and the median was 0.08%. The average return of first - tier bond funds was 0.29%, and the median was 0.16%; the average return of second - tier bond funds was 0.57%, and the median was 0.44%. The average return of partial - bond hybrid funds was 0.62%, and the median was 0.53%; the average return of low - position flexible allocation funds was 0.53%, and the median was 0.38%. The average return of convertible bond funds was 2.59%, and the median was 2.52% [31][33][34][36]. 3.2.3 New - stock Subscription Funds - **New - stock Overview**: This week, 3 new stocks were listed, and 2 had inquiry and offline placement details, with a total raised capital of 1.877 billion yuan. There were no break - even stocks on the first day of listing, and the total expected入围 income was 182,500 yuan [37]. - **New - stock Subscription Yield Calculation**: Assuming participation in the offline new - stock subscription of new stocks every week and being入围, the weekly new - stock subscription yield sequence of an 800 - million - yuan account was calculated based on the winning rate of Class A investors [38]. - **Fund Company New - stock Subscription Overview**: Six fund companies with more than 2 new - stock subscription funds were selected. The weekly new - stock subscription yield of an 800 - million - yuan account this week was 0.023%. The optimal scale for weekly and annual new - stock subscription was 400 million yuan [40]. - **New - stock Subscription Fund Performance**: According to the screening method, 38 new - stock subscription funds were selected. The average return of the new - stock subscription funds in the sample this week was 0.59% [43]. 3.2.4 FOF Funds - The average returns of low - risk, medium - risk, and high - risk FOF funds in the sample in the past week were 0.22%, 0.37%, and 0.47% respectively [44]. 3.2.5 QDII Funds - During the statistical period, equity - biased QDII funds rose by 0.34% on average, and index - type QDII funds fell by 0.30% on average. Other - type QDII funds fell by 0.45% on average, and bond - type QDII funds rose by 0.52% on average [45][46]. 3.2.6 REITs Funds - This week, REITs funds fell by 0.31% on average. Among them, Huatai Zijin Baowan Logistics Warehouse REIT led the gains, rising 4.31% in the past week. Huaxia Huadian Clean Energy REIT had the highest liquidity, with a trading volume of 214.361 million yuan in the past week [47].

Investment Rating - The report maintains a neutral stance on the stock market, cautious on bonds, and optimistic on commodities [2][4]. Core Insights - The report highlights that the PPI was below expectations while social financing and CPI exceeded expectations, leading to a neutral outlook for the stock market. GDP growth was above expectations, putting pressure on the bond market, while the commodity market outlook remains optimistic [1][2]. - The industry rotation model for August recommends sectors such as comprehensive, comprehensive finance, media, agriculture, forestry, animal husbandry, fishery, telecommunications, and light industry manufacturing, indicating a shift from real estate and consumer services [4][12]. - The small-cap growth style is expected to continue its dominance, supported by macroeconomic indicators and investor sentiment [5][6]. Summary by Sections Economic Indicators - As of the end of July, PPI was below expectations, while social financing and CPI were above expectations, leading to a neutral view on the stock market. GDP growth was consistently above expectations, negatively impacting the bond market [2][4]. Industry Recommendations - The August industry rotation model recommends comprehensive, comprehensive finance, media, agriculture, forestry, animal husbandry, fishery, telecommunications, and light industry manufacturing, while excluding real estate and consumer services [4][12]. Investment Strategies - The best-performing strategy in July was the new stock strategy, achieving a monthly return of 11.3%, significantly outperforming major small-cap indices [8]. - The growth trend resonance stock selection strategy yielded a return of 7.9%, while the XG Boost growth selection strategy achieved a return of 5.8% [9]. - For August, the report suggests focusing on small-cap combinations and dividend/valued selections, while not recommending growth strategies due to ongoing valuation declines [11][12]. Quantitative Models - The report discusses advancements in quantitative models, particularly deep learning models that have outperformed benchmarks significantly [13][14].

Group 1 - Market sentiment indicators have improved, with the sentiment score rising from -0.9 to -0.25, indicating a shift towards a more bullish outlook [9][13][18] - The increase in industry trading congestion and the positive shift in the PCR combined with the VIX index reflect a recovery in market sentiment [13][18] - The total trading volume in the A-share market has shown a significant increase, with the highest daily trading volume reaching 1,736.61 billion RMB [18][19] Group 2 - The construction materials sector has shown a significant upward trend, with a short-term trend score increase of 21.05% [32][33] - The model indicates that small-cap growth stocks are currently favored, with a strong signal for small-cap stocks and a rapid increase in the 5-day RSI relative to the 20-day RSI [32][37] - The sectors with the strongest short-term trends include defense, media, communication, and computer industries [32][33]

Investment Rating - The report indicates a positive outlook for small-cap growth style in July, with a recommendation for sectors such as consumer services, real estate, and textiles to perform well in the short term [1][5][10] Core Insights - The macroeconomic indicators show a mixed impact on different asset classes, with PPI underperforming and CPI exceeding expectations negatively affecting the stock market, while industrial value-added and PMI exceeding expectations positively influence the commodity market [1][3] - The report highlights a bullish signal for the stock market based on timing indicators, suggesting a potential upward trend, while the bond market shows signs of overheating risk [1][4] - The report emphasizes the importance of sector rotation strategies, recommending industries that may outperform in the current fast rotation environment [1][5] Summary by Sections Macroeconomic Analysis - The report notes that the latest PPI data was below expectations, while CPI has exceeded expectations for two consecutive months, leading to a negative impact on the stock market [3] - Industrial value-added has exceeded expectations for three consecutive months, along with a favorable exchange rate and PMI, positively impacting the commodity market [3] Timing Indicators - Three indicators triggered bullish signals for the stock market, while three bearish signals were noted for the bond market, indicating potential upward movement for stocks and caution for bonds [3][4] Sector Rotation Strategy - Recommended sectors for July include comprehensive, light manufacturing, real estate, building materials, consumer services, and textiles, which are expected to perform well in the short term [1][5] Style Analysis - The report indicates that small-cap growth style is expected to outperform in July, with a notable shift towards growth style over value style [6][7] - The report highlights that the sentiment and market conditions favor growth style, with a total score of 1.32 indicating a strong preference for growth [7] Quantitative Strategy Performance - The report details that small-cap strategies have outperformed major small-cap indices, with specific strategies yielding returns of 11.4% and 9.6% [8][9] - The growth-oriented strategies have shown significant returns, with one strategy yielding 9.4% in June and over 22% in the first half of the year [9] Market Outlook for July - The report maintains a positive outlook for July, suggesting that both growth-oriented and small-cap strategies still present opportunities despite some valuation concerns [10]

- The macro timing strategy model suggests a recommended equity position of 45% for June, with signal strengths of 50% for economic growth and 40% for monetary liquidity[3][26][27] - The micro-cap stock rotation and timing signals remain strong, with the micro-cap/Chow index relative net value rising to 1.93 times, above its 243-day moving average of 1.41 times[4][29] - The micro-cap stock's 20-day price slope is 0.00257, indicating stronger upward momentum compared to the Chow index's -0.00019[4][29] - The risk warning has been lifted, with volatility congestion at -0.415%, well below the warning threshold of 0.55%, and the 10-year government bond yield at -0.27%, below the risk control line of 0.30%[4][29] - The market's recent rise has favored small-cap growth styles, leading to strong performance in market cap, consensus expectations, and growth factors, while technical and low-volatility factors have underperformed[4][40] - The market cap factor had the highest IC in the CSI 300 pool at 0.2241, while the growth factor had a weak signal in the CSI 500 pool with an IC of -0.0305[39] - The market cap factor also performed well in the entire A-share pool with an IC of 0.2347[39] - The weekly performance of multi-factor strategies showed the market cap factor leading with a gain of approximately +2.21% in the CSI 300 pool, while the growth factor rose by about +0.17%[39] - The consensus expectations factor and growth factor are expected to continue performing well, while technical and low-volatility factors may see a rebound as market sentiment slows down[40] - The convertible bond selection factors showed the stock growth factor leading with a gain of about 0.72%, followed by the stock consensus expectations factor with a return of about 0.63%[45] - The stock quality factor fell by about 0.26%, the stock value factor retreated by about 0.66%, and the convertible bond valuation factor had the largest decline of about 1.70%[45] Model Backtest Results - Macro timing strategy model, equity position: 45%[3][26][27] - Micro-cap stock/Chow index relative net value: 1.93 times[4][29] - Micro-cap stock 20-day price slope: 0.00257[4][29] - Volatility congestion: -0.415%[4][29] - 10-year government bond yield: -0.27%[4][29] - Market cap factor IC in CSI 300 pool: 0.2241[39] - Growth factor IC in CSI 500 pool: -0.0305[39] - Market cap factor IC in entire A-share pool: 0.2347[39] - Market cap factor weekly gain in CSI 300 pool: +2.21%[39] - Growth factor weekly gain in CSI 300 pool: +0.17%[39] - Stock growth factor weekly gain: 0.72%[45] - Stock consensus expectations factor weekly return: 0.63%[45] - Stock quality factor weekly decline: -0.26%[45] - Stock value factor weekly decline: -0.66%[45] - Convertible bond valuation factor weekly decline: -1.70%[45]

Group 1 - The core viewpoint of the news is that the 中证500质量成长指数 has shown a slight decline, with mixed performance among its constituent stocks, indicating a cautious market sentiment [1] - 华安证券 suggests a focus on small-cap growth style for June, as macroeconomic and microeconomic indicators favor this approach, while the market state model is optimistic about large-cap stocks [1] - The 500质量成长ETF closely tracks the 中证500质量成长指数, with a turnover rate of 43%, and the index is characterized by a small-cap value growth style [2] Group 2 - As of May 30, 2025, the top ten weighted stocks in the 中证500质量成长指数 account for 23.79% of the index, with 赤峰黄金 being the highest at 3.13% [2] - The performance of individual stocks within the index varies, with notable gainers like 胜宏科技 increasing by 1.05%, while stocks like 九号公司 and 神州泰岳 experienced declines [3] - The 500质量成长ETF and its related products are managed by 鹏扬基金管理有限公司, emphasizing the importance of understanding the fund's risk-return characteristics before investing [5]

2025 年 06 月 08 日 模型提示市场情绪继续下行 ——量化择时周报 20250606 证券分析师 王小心 A0230524100006 wangxx2@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 沈思逸 A0230521070001 shensy@swsresearch.com 联系人 王小心 (8621)23297818× wangxx2@swsresearch.com 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 量 化 策 略 ⚫ 市场情绪进一步下行：市场情绪指标数值为 1.75，较上周五的 2.5 进一步下行，代表市 场情绪进一步回落，观点偏空。 ⚫ 成交量和投资主线并未明显改善，市场表现和投资者预期下降：本周各项情绪指标分数较 上周有一定边际下行，融资余额占比、300RSI 指标分数下降，从投资者观点和市场表现 两方面展现市场看空情绪增加。此外市场风险偏好进一步下降且行业涨跌趋势得分继续为 负。 ⚫ 本周全 A 成交额水平较上周 ...

[Table_StockNameRptType] 金融工程 专题报告 6 月看好小盘成长风格 ——风格轮动月报 202506 [Table_Rpt 报告日期： Date] 2025-6-4 主要观点： 分析师：严佳炜 执业证书号：S0010520070001 邮箱：yanjw@hazq.com ⚫[Table_Summary] 观点回顾：5 月大小盘轮动超额 2.1%，价值成长轮动超额收益-1.7% 2025 年 5 月，风格轮动模型看多小盘成长风格。本月大小盘轮动组合 相对风格等权基准的超额收益为 2.1%；价值成长轮动组合相对风格等 权基准的超额收益为-1.7%。 联系人：吴正宇 执业证书号：S0010522090001 邮箱：wuzy@hazq.com ⚫ 最新观点：6 月建议配置小盘成长风格 6 月模型判断风格为小盘成长：其中，宏观经济和微观特征指向小盘风 格，而市场状态模型看好大盘。价值成长维度，微观特征看好价值风 格，而宏观经济和市场状态均指向成长风格，总体得分较为接近。 ⚫ 风险提示 本报告基于历史个股数据进行测试，历史回测结果不代表未来收益。未 来市场风格可能切换，Alpha 因子可能失效，本 ...