1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The A-share market showed a continuous upward trend this week, with the Shanghai Composite Index stable above 3,600 points. Although the weekly average daily trading volume decreased by 6.26% compared to last week, the margin trading balance exceeded 2 trillion and continued to rise, indicating that investors' risk appetite remained relatively high in the short term [1][10]. - Most industry sectors' trading volume proportions reached new lows in the past four weeks, suggesting that the market trading focus was concentrating on a small number of sectors. Investors should pay attention to the congestion risk of industry sectors and focus on capital flows in the market with rapid rotation of industry themes [10]. - In terms of market style, small-cap stocks had significant excess returns. The cyclical style led the gains among the five major CITIC style indices, while the consumer style had the smallest increase [12]. - It is recommended to focus on three main investment lines: the domestic computing power industry chain, the AI application end, and the consumption recovery sector. These sectors have relatively reasonable valuations and strong potential for supplementary growth under the background of loose liquidity [13]. 3. Summary According to Relevant Catalogs 3.1 This Week's Market Review 3.1.1 Industry Index - This week, sectors such as non-ferrous metals, machinery, and national defense and military industry led the gains. The pharmaceutical sector, which had performed well last week, corrected significantly, while the coal and non-ferrous metals sectors, which had large declines last week, rebounded sharply [10]. - The trading volume proportions of most industry sectors reached new lows in the past four weeks, and the trading activity of the comprehensive finance and non-bank finance sectors decreased significantly [10]. 3.1.2 Market Style - All five major CITIC style indices rose this week, with the cyclical style leading the gains at 3.49%. The growth style rose 1.87%, and its trading volume proportion reached a four-week high. The consumer style had the smallest increase at 0.77%, and its trading volume proportion decreased slightly [12]. - Small-cap stocks had significant excess returns. The CSI 1000 and CSI 2000 rose 2.51% and 3.54% respectively, and their trading volume proportions reached four-week highs [12]. 3.2 Active Equity Funds 3.2.1 Funds with Excellent Performance This Week in Different Theme Tracks - The report selected single-track and double-track funds based on six sectors: TMT, finance and real estate, consumption, medicine, manufacturing, and cyclical sectors, and listed the top five funds in each sector [17][18]. 3.2.2 Funds with Excellent Performance in Different Strategy Categories - The report classified funds into different types such as deep undervaluation, high growth, high quality, quality growth, quality undervaluation, GARP, and balanced cost-effectiveness, and listed the top-ranked funds in each type [19][20] 3.3 Index Enhanced Funds 3.3.1 This Week's Excess Return Distribution of Index Enhanced Funds - The average and median excess returns of CSI 300 index enhanced funds were 0.22% and 0.20% respectively; those of CSI 500 index enhanced funds were 0.05% and 0.07% respectively; those of CSI 1000 index enhanced funds were -0.15% and -0.14% respectively; those of CSI 2000 index enhanced funds were -0.09% and 0.04% respectively; those of CSI A500 index enhanced funds were 0.24% and 0.26% respectively; those of ChiNext index enhanced funds were 0.45% and 0.39% respectively; and those of STAR Market and ChiNext 50 index enhanced funds were 0.18% and 0.21% respectively [23][24]. - The average and median absolute returns of neutral hedge funds were 0.29% and 0.27% respectively; those of quantitative long funds were 1.75% and 1.83% respectively [24]. 3.4 This Issue's Bond Fund Selection - The report comprehensively screened the fund pools of medium- and long-term bond funds and short-term bond funds based on indicators such as fund scale, return-risk indicators, the latest fund scale, Wind fund secondary classification, rolling returns in the past three years, and maximum drawdowns in the past three years [38] 3.5 This Week's High-Frequency Position Detection of Funds - Active equity funds significantly increased their positions in the machinery and computer industries this week and significantly reduced their positions in the electronics, banking, and automobile industries [3]. - From a one-month perspective, the positions in the communication, banking, and non-bank finance industries increased significantly, while the position in the food and beverage industry decreased significantly [3] 3.6 This Week's Weekly Tracking of US Dollar Bond Funds - Not provided in the content

Investment Insights - The market sentiment remains strong with margin trading exceeding 2 trillion, indicating a potential overheating risk [1][4] - The cyclical sector is gaining strength driven by expectations from projects like the Xinjiang-Tibet Railway, while the rotation between growth and cyclical stocks continues [1][4] Equity Market Overview - Small-cap growth stocks significantly outperformed last week, while the volatility of both large and small-cap styles increased [6] - The dispersion of excess returns among industry indices is at a near one-year low, indicating a slowdown in industry rotation [6] - The trading concentration has increased, with the top 100 stocks and top 5 industries seeing a rise in transaction value share [6] Commodity Market Analysis - Precious metals and agricultural products showed increased trend strength, while other sectors remained stable or declined [15][16] - The volatility in black and energy chemical sectors remained stable, with a slight decrease in the volatility of non-ferrous metals [15][16] Options Market Insights - Implied volatility for the Shanghai Stock Exchange 50 and CSI 1000 indices continues to decline, reflecting a market that is both strong and cautious [24] Convertible Bond Market Trends - The premium rate for convertible bonds is approaching a one-year high, while the proportion of bonds with low conversion premiums is increasing, indicating structural growth characteristics [26]

- Model Name: CSI 500 Enhanced Portfolio; Model Construction Idea: The model aims to outperform the CSI 500 index by selecting stocks with higher expected returns based on quantitative strategies[2][58] - Model Construction Process: The model uses a quantitative strategy to select stocks from the CSI 500 index. The portfolio's performance is evaluated based on its excess return over the CSI 500 index. The specific construction process involves selecting stocks with higher expected returns and adjusting the portfolio weights accordingly[58][61] - Model Evaluation: The model has shown a significant excess return over the CSI 500 index, indicating its effectiveness in enhancing returns[58][61] - Model Name: CSI 300 Enhanced Portfolio; Model Construction Idea: The model aims to outperform the CSI 300 index by selecting stocks with higher expected returns based on quantitative strategies[2][65] - Model Construction Process: The model uses a quantitative strategy to select stocks from the CSI 300 index. The portfolio's performance is evaluated based on its excess return over the CSI 300 index. The specific construction process involves selecting stocks with higher expected returns and adjusting the portfolio weights accordingly[65][66] - Model Evaluation: The model has shown a significant excess return over the CSI 300 index, indicating its effectiveness in enhancing returns[65][66] - Factor Name: Value Factor; Factor Construction Idea: The value factor aims to capture the excess returns of stocks that are undervalued relative to their fundamentals[2][70] - Factor Construction Process: The value factor is constructed by ranking stocks based on their valuation ratios, such as price-to-book (P/B) and price-to-earnings (P/E) ratios. Stocks with lower valuation ratios are considered undervalued and are given higher weights in the factor portfolio[70][76] - Factor Evaluation: The value factor has shown high excess returns, indicating its effectiveness in capturing the returns of undervalued stocks[70][76] - Factor Name: Residual Volatility Factor; Factor Construction Idea: The residual volatility factor aims to capture the excess returns of stocks with lower idiosyncratic risk[2][70] - Factor Construction Process: The residual volatility factor is constructed by ranking stocks based on their residual volatility, which is the volatility of the stock's returns unexplained by market movements. Stocks with lower residual volatility are given higher weights in the factor portfolio[70][76] - Factor Evaluation: The residual volatility factor has shown high excess returns, indicating its effectiveness in capturing the returns of low-risk stocks[70][76] - Factor Name: Non-linear Size Factor; Factor Construction Idea: The non-linear size factor aims to capture the excess returns of stocks with specific size characteristics that are not linearly related to market capitalization[2][70] - Factor Construction Process: The non-linear size factor is constructed by ranking stocks based on their non-linear size characteristics, which may include measures such as the square or cube of market capitalization. Stocks with specific size characteristics are given higher weights in the factor portfolio[70][76] - Factor Evaluation: The non-linear size factor has shown significant negative excess returns, indicating its ineffectiveness in capturing the returns of stocks with specific size characteristics[70][76] Model Backtest Results - CSI 500 Enhanced Portfolio, Excess Return: 46.94%, Maximum Drawdown: -4.99%[58][61] - CSI 300 Enhanced Portfolio, Excess Return: 31.61%, Maximum Drawdown: -5.86%[65][66] Factor Backtest Results - Value Factor, Excess Return: High[70][76] - Residual Volatility Factor, Excess Return: High[70][76] - Non-linear Size Factor, Excess Return: Significant Negative[70][76]

Core Viewpoint - The A-share market has shown significant growth in the first half of 2025, with major indices achieving new highs despite international uncertainties, indicating stronger-than-expected market momentum and increased inflow of real capital [2][9]. Group 1: Sources of Incremental Capital - Public funds have emerged as a key source of incremental capital, with an increase of 194.8 billion yuan in the first five months of 2025, primarily driven by ETF and index funds [2]. - The issuance of actively managed funds has improved recently, with the issuance volume of three types of active equity funds rising from 3.97 billion yuan at the beginning of the year to 28.78 billion yuan in the past month [3]. Group 2: Retail Investor Dynamics - Retail investors are considered a significant force due to their sensitivity to market trends, with net inflows of retail funds remaining high during the first quarter, reaching 618.3 billion yuan, 630.7 billion yuan, and 497.0 billion yuan in February, March, and April respectively [7]. - The number of retail accounts is also at a historically high level, suggesting that personal funds could continue to be a source of market growth as upward expectations develop [7]. Group 3: Institutional Investor Behavior - In contrast, institutional funds such as private equity and northbound capital have shown conservative adjustments in a relatively uncertain market environment, indicating limited short-term changes [9]. - Insurance funds have reached a historical high in stock holdings, totaling 2.8 trillion yuan, but their equity investment ratio is unlikely to increase significantly without supportive long-term policies [9]. Group 4: Market Feedback Mechanism - The positive feedback mechanism of incremental capital can significantly influence market trends and the evolution of market styles, helping to explain the sectoral differentiation observed in the first half of the year [9].

Core Viewpoint - The article discusses the challenges faced by the Shanghai Composite Index in breaking through the 3400-point barrier, highlighting the current high valuation levels and the lack of supportive policies or improved earnings expectations as key obstacles [4][10]. Valuation Analysis - The static PE ratio of the Wind All A (excluding financials) is currently at 31.51 times, which is at the 49th percentile since 2000, the 54th percentile over the past decade, and the 100th percentile over the last three years, indicating that the market is nearing its high tolerance for valuations [6][10]. - Compared to global equity markets, the valuation of Wind All A (excluding financials) is relatively high, with the Nasdaq at 44 times, S&P 500 (excluding financials) at approximately 30 times, and the Hang Seng Tech Index at 21 times, suggesting that A-shares lack a solid foundation to maintain levels above 3400 points [9][10]. Market Conditions - The article emphasizes that without new incremental policy support or significant improvements in earnings expectations, the market is unlikely to sustain levels above 3400 points. Current trade environment pressures limit the feasibility of large-scale policy stimulus [10]. - The Producer Price Index (PPI) has shown a continuous decline, with a year-on-year drop of 3.3% in May, indicating that A-share earnings are unlikely to improve in the near term [10]. Future Market Outlook - The market is expected to experience volatility, with a higher probability of downward movement. The focus will likely shift towards sectors with more predictable earnings, suggesting a strategy of seeking certainty and avoiding underperforming stocks [10][11]. - In the absence of significant changes in policies or PPI, a notable rise in the Shanghai Composite Index above 3400 points would be seen as a signal to reduce positions rather than increase them [11]. Structural Opportunities - The article outlines different market styles based on historical data since 2015, indicating that stable styles (e.g., utilities, consumer staples) are favored during external risks or tightening policies, while cyclical styles (e.g., materials, industrials) thrive in improving economic conditions [13][14]. - Growth styles (e.g., technology, emerging industries) depend on upward industry trends, policy support, and liquidity, while consumer styles are closely tied to economic recovery and consumer confidence [15][16]. - Currently, the market environment is characterized by weak earnings and low capital inflows, which is unfavorable for cyclical, growth, and consumer styles, but relatively beneficial for stable and financial styles [19]. Investment Recommendations - The article suggests a balanced allocation strategy, focusing on sectors with potential marginal improvements such as petrochemicals, brokerages, non-ferrous metals, military, and electric power, as well as industries aligned with policy and industry trends like AI applications, gaming, communication, and semiconductors [19].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Today, convertible bonds rose following the underlying stocks, and the valuation increased month - on - month. The trading sentiment in the convertible bond market weakened [1]. - The convertible bond price center increased, and the proportion of high - price bonds rose. The convertible bond valuation also increased [2]. - Today, most underlying stock industries rose, with 27 industries rising in the A - share market and 22 industries rising in the convertible bond market [3]. 3. Summary by Related Catalogs Market Overview - Index Performance: The CSI Convertible Bond Index rose 0.31% month - on - month, the Shanghai Composite Index rose 0.52%, the Shenzhen Component Index rose 0.83%, the ChiNext Index rose 1.21%, the SSE 50 Index rose 0.59%, and the CSI 1000 Index rose 0.40% [1]. - Market Style: Large - cap growth stocks were relatively dominant. Large - cap growth stocks rose 1.02%, large - cap value stocks rose 0.63%, mid - cap growth stocks rose 0.64%, mid - cap value stocks rose 0.47%, small - cap growth stocks rose 0.81%, and small - cap value stocks rose 0.52% [1]. - Fund Performance: The trading sentiment in the convertible bond market weakened. The trading volume of the convertible bond market was 71.224 billion yuan, a 3.88% month - on - month decrease; the total trading volume of the Wind All - A Index was 1.286677 trillion yuan, an 11.35% month - on - month decrease; the net outflow of the main funds in the Shanghai and Shenzhen stock markets was 4.992 billion yuan, and the yield of the 10 - year Treasury bond decreased 1.49bp month - on - month to 1.64% [1]. Convertible Bond Price - The overall weighted average closing price of convertible bonds was 120.30 yuan, a 0.30% increase from yesterday. Among them, the closing price of equity - biased convertible bonds was 161.40 yuan, a 0.98% month - on - month decrease; the closing price of bond - biased convertible bonds was 111.56 yuan, a 0.17% month - on - month increase; the closing price of balanced convertible bonds was 121.34 yuan, a 0.16% month - on - month increase [2]. - The proportion of high - price bonds above 130 yuan was 25.69%, a 1.27pct increase from yesterday. The range with the largest change in proportion was 110 - 120 (including 120), with a proportion of 33.55%, a 1.27pct decrease from yesterday. There were 7 bonds with a closing price below 100 yuan. The median price was 122.19 yuan, a 0.66% increase from yesterday [2]. Convertible Bond Valuation - The fitted conversion premium rate of 100 - yuan par value was 23.32%, a 0.32pct increase from yesterday. The overall weighted par value was 90.61 yuan, a 0.83% increase from yesterday. The premium rate of equity - biased convertible bonds was 4.96%, a 0.03pct month - on - month decrease; the premium rate of bond - biased convertible bonds was 90.02%, a 0.03pct month - on - month decrease; the premium rate of balanced convertible bonds was 19.60%, a 0.18pct month - on - month decrease [2]. Industry Performance - In the A - share market, the top three rising industries were non - ferrous metals (+2.21%), agriculture, forestry, animal husbandry and fishery (+2.02%), and non - banking finance (+1.90%); the top three falling industries were pharmaceutical biology (-0.41%), communications (-0.28%), and beauty care (-0.10%) [3]. - In the convertible bond market, 22 industries rose. The top three rising industries were automobiles (+0.78%), agriculture, forestry, animal husbandry and fishery (+0.78%), and basic chemicals (+0.78%); the top three falling industries were environmental protection (-1.04%), electronics (-0.74%), and petroleum and petrochemicals (-0.22%) [3]. - Closing Price: The large - cycle sector increased 0.07%, the manufacturing sector increased 0.45%, the technology sector increased 0.10%, the large - consumption sector increased 0.30%, and the large - finance sector increased 0.29% [3]. - Conversion Premium Rate: The large - cycle sector decreased 0.73pct, the manufacturing sector decreased 1.7pct, the technology sector decreased 0.17pct, the large - consumption sector decreased 2.2pct, and the large - finance sector decreased 0.4pct [3]. - Conversion Value: The large - cycle sector increased 0.36%, the manufacturing sector increased 1.26%, the technology sector increased 0.24%, the large - consumption sector decreased 2.85%, and the large - finance sector increased 0.50% [3]. - Pure Bond Premium Rate: The large - cycle sector increased 0.085pct, the manufacturing sector increased 0.58pct, the technology sector increased 0.19pct, the large - consumption sector increased 1.5pct, and the large - finance sector increased 0.32pct [4]. Industry Rotation - Non - ferrous metals, agriculture, forestry, animal husbandry and fishery, and non - banking finance led the rise in the industry rotation. The report also provided the daily, weekly, monthly, and year - to - date changes in stock prices, convertible bond prices, and valuation quantiles of multiple industries [54].

Key Points - The article emphasizes a cautious approach in the short term, focusing on defensive sectors such as banks due to ongoing tariff negotiations and rising economic downward pressure [2][4] - It suggests that while small-cap growth stocks are currently favored, the overall market volatility is increasing, indicating potential risks if a turning point occurs [2][4] - The report highlights a decrease in the dispersion of excess returns among industry indices, with a slight decline in the proportion of rising constituent stocks and an increase in industry rotation speed [6][7] Market Overview - The market structure shows a stable concentration in the top 100 stocks, while the transaction share of the top five industries has slightly decreased [6][7] - Market activity has decreased, with a notable drop in the turnover rate of the Shanghai Stock Exchange 50 index, reaching its lowest level in nearly a year [6][7] Commodity Market Insights - In the commodity market, the strength of trends in precious metals and non-ferrous sectors has significantly increased, while energy and black metal sectors continue their trend [18][20] - The basis differential momentum for black and precious metals has rapidly increased, whereas it has decreased for energy and non-ferrous sectors [18][20] Options Market Analysis - The implied volatility levels for the Shanghai Stock Exchange 50 and the CSI 1000 show no significant trend, with the latter at historically low levels [23] - The skewness of the CSI 1000 put options has decreased, indicating a reduction in market concerns regarding small-cap stocks [23] Convertible Bond Market Overview - The convertible bond market remains stable in terms of valuation, with the premium rate for bonds convertible at 100 yuan and the pure debt premium rate showing steady trends [26] - The market turnover has improved, surpassing historical median levels, while credit spreads remain consistent with previous values [26]

分析师：柏逸凡 登记编号：S0890524100001 分析师：程秉哲 登记编号：S0890522110001 投资要点 本报告统计时间为2025.05.26-2025.05.30。 抱团风险有所上升，静待风险释放后再行布局。近期市场仍主要抱团在银行避险，或医药、核 电、新消费等题材当中，不过高位抱团题材轮动加快、分歧加剧，面临的调整压力上升，需等待 调整压力释放后再行布局，短期仍然适度偏防守或逢反弹止盈，后续可继续关注银行、题材（新 消费、科技、医药、化工等）及宽基指数的布局机会。 权益市场， 上周，市场风格方面，小盘成长风格占优；风格波动方面，大小盘风格波动及价值成 长风格波动均有所上升，显示当前市场风格较不稳定。市场结构方面，上周，行业指数超额收益 离散度下降至近一年低位，成分股上涨比例略有下降，行业轮动速度持平上期；交易集中度方 面，个股集中度与行业集中度略有上升。市场活跃度方面，上周，市场波动率略有上升，但换手 率继续下行，尤其是上证50换手率降低至历史较低水平。 商品市场方面， 上周，趋势强度表现依然分化，能化、黑色板块延续其延续性，贵金属、有色板 块趋势性上升；基差动量方面，黑色板块基差动量上升 ...

Market Overview - The market showed an increase in cautious sentiment before the long holiday, with broad market indices experiencing a decline, while small-cap stocks stabilized and recovered [4][2]. - The week before the May Day holiday saw a balanced performance between large-cap and small-cap styles, as well as between value and growth styles, with a continued decrease in style volatility [6][2]. Market Structure - The excess return dispersion of industry indices slightly decreased, and the proportion of rising constituent stocks also saw a decline, indicating a slowdown in industry rotation [6][2]. - The trading concentration decreased, with the proportion of trading volume from the top 100 stocks rebounding from a low level, while the top five industries' trading volume proportion continued to decline [6][2]. Market Activity - Market volatility continued to decrease due to the upcoming holiday, and turnover rates also saw a reduction [7][2]. Commodity Market - There was a divergence in trend strength among commodity sectors, with energy and black metals maintaining strong trends, while non-ferrous and agricultural products showed weaker trends, and precious metals experienced a significant decline in trend strength [18][17]. - The non-ferrous sector had the highest basis momentum, while the black sector saw a rapid decline [18][17]. - Volatility across all sectors remained high, and liquidity was stable across the board [18][17]. Options Market - Implied volatility levels for the Shanghai Stock Exchange 50 and CSI 1000 indices increased, indicating some speculative sentiment in the market before the holiday [23][3]. - The skew of call options for the CSI 1000 improved, while the skew for the Shanghai Stock Exchange 50 saw a notable decline, suggesting a market expectation of small-cap stocks performing better post-holiday [23][3]. Convertible Bond Market - The valuation level of the convertible bond market slightly increased, remaining above the historical median for the past year, with a small rebound in the number of convertible bonds with low conversion premiums [27][3]. - Overall trading volume in the convertible bond market continued to recover [27][3].

Quantitative Factors and Construction Methods 1. Factor Name: Market Style Factors - **Construction Idea**: The market style factors track the balance and volatility between different market styles, such as large-cap vs. small-cap and value vs. growth[11][13] - **Construction Process**: - **Style Balance**: Measure the relative performance of large-cap vs. small-cap stocks and value vs. growth stocks to determine the market's style preference[11] - **Style Volatility**: Calculate the fluctuations in the relative performance of these styles over time to assess the stability of the market's style preference[11] - **Evaluation**: The market style factors showed a balanced preference between large-cap and small-cap stocks, as well as between value and growth stocks. Additionally, the volatility of these styles continued to decline, indicating a more stable market environment[11][13] 2. Factor Name: Market Structure Factors - **Construction Idea**: These factors analyze the dispersion of returns, sector rotation, and trading concentration to understand the structural dynamics of the market[11][13] - **Construction Process**: - **Return Dispersion**: Measure the excess return dispersion across industry indices to evaluate the variability in sector performance[11] - **Sector Rotation**: Assess the speed of sector rotation by tracking changes in sector leadership over time[11] - **Trading Concentration**: Calculate the proportion of trading volume concentrated in the top 100 stocks and the top 5 industries to gauge market concentration[11] - **Evaluation**: The market structure factors indicated a decline in return dispersion, slower sector rotation, and reduced trading concentration, suggesting a more evenly distributed market environment[11][13] 3. Factor Name: Market Activity Factors - **Construction Idea**: These factors measure the overall activity and liquidity of the market through volatility and turnover rates[12][13] - **Construction Process**: - **Volatility**: Calculate the index-level volatility to assess market stability[12] - **Turnover Rate**: Measure the turnover rate of the market to evaluate trading activity[12] - **Evaluation**: The market activity factors showed a decline in both volatility and turnover rates, reflecting reduced market activity, likely influenced by the holiday period[12][13] 4. Factor Name: Commodity Market Factors - **Construction Idea**: These factors analyze the performance, momentum, and liquidity of various commodity sectors[27][30] - **Construction Process**: - **Trend Strength**: Measure the strength of price trends in different commodity sectors, such as energy, metals, and agriculture[27] - **Basis Momentum**: Calculate the basis momentum, particularly for the metals sector, to assess the relative strength of futures prices compared to spot prices[27][30] - **Volatility**: Track the volatility levels across commodity sectors to evaluate risk[27][30] - **Liquidity**: Measure the liquidity of commodity sectors to assess trading ease[27][30] - **Evaluation**: The commodity market factors showed mixed performance, with strong trends in energy and metals, weaker trends in agriculture, and high volatility across sectors. Liquidity remained stable overall[27][30] 5. Factor Name: Options Market Factors - **Construction Idea**: These factors analyze the implied volatility and skewness of options to infer market sentiment and expectations[35] - **Construction Process**: - **Implied Volatility**: Measure the implied volatility levels of options on major indices, such as the SSE 50 and CSI 1000, to gauge market uncertainty[35] - **Skewness**: Analyze the skewness of call and put options to understand market expectations for upward or downward movements[35] - **Evaluation**: The options market factors indicated a divergence in sentiment, with increased optimism for small-cap stocks (CSI 1000) and reduced optimism for large-cap stocks (SSE 50). This suggests a potential shift in market preference post-holiday[35] 6. Factor Name: Convertible Bond Market Factors - **Construction Idea**: These factors evaluate the valuation and trading activity of the convertible bond market[38] - **Construction Process**: - **Valuation**: Measure the average conversion premium of convertible bonds to assess their relative attractiveness[38] - **Trading Activity**: Track the trading volume and turnover in the convertible bond market to evaluate market interest[38] - **Evaluation**: The convertible bond market factors showed a slight increase in valuation, with trading activity continuing to recover, indicating improving market sentiment[38] --- Factor Backtesting Results 1. Market Style Factors - **Style Balance**: Balanced between large-cap and small-cap, as well as value and growth[11][13] - **Style Volatility**: Continued decline in volatility, indicating stability[11][13] 2. Market Structure Factors - **Return Dispersion**: Declined, indicating less variability in sector performance[11][13] - **Sector Rotation**: Slowed down, suggesting reduced changes in sector leadership[11][13] - **Trading Concentration**: Decreased, reflecting a more evenly distributed market[11][13] 3. Market Activity Factors - **Volatility**: Declined, indicating reduced market risk[12][13] - **Turnover Rate**: Decreased, reflecting lower trading activity[12][13] 4. Commodity Market Factors - **Trend Strength**: Strong in energy and metals, weak in agriculture[27][30] - **Basis Momentum**: Highest in metals, declined in other sectors[27][30] - **Volatility**: High across all sectors[27][30] - **Liquidity**: Stable overall[27][30] 5. Options Market Factors - **Implied Volatility**: Increased for both SSE 50 and CSI 1000, indicating higher uncertainty[35] - **Skewness**: Positive for CSI 1000 (small-cap optimism), negative for SSE 50 (large-cap caution)[35] 6. Convertible Bond Market Factors - **Valuation**: Slight increase in average conversion premium[38] - **Trading Activity**: Continued recovery in trading volume[38]