Index Performance - The main indices in the Shanghai and Shenzhen markets have all rebounded and reached new highs, indicating strong market performance [1] - The ChiNext index experienced a brief drop of 2% but managed to recover and close up by 0.23%, showcasing resilience [1] - The micro-cap stock index rose by 1.05% and also reached a new high, reflecting positive market sentiment [1] Market Dynamics - There is a significant buying effect in the market, with a notable presence of a "invisible hand" controlling index movements, suggesting a stable upward trend [3] - Today's trading volume was 2.45 trillion, indicating a slight decrease but still showing stability above 2 trillion, with potential for further increases in the future [3] Sector Performance - The liquor sector led the gains today, with some stocks rising over 5%, although overall interest remains low [3] - The consumer electronics and semiconductor sectors also performed well, particularly stocks from the science and technology innovation board [3] - The focus is expected to shift back to mainstream sectors such as liquid-cooled servers, innovative drugs, and medical devices, which are anticipated to continue performing well [4] Future Outlook - Major projects like the Yaxia Hydropower Project and the Sichuan-Tibet Railway are expected to attract attention and investment, potentially impacting related sectors [1] - The military industry is anticipated to enter a quiet period until September 3, after which renewed interest may arise depending on new developments [2][4]

Group 1: Core Views - Recent leveraged funds continue to flow in, with the total margin trading balance exceeding 2 trillion this week. The market sentiment remains optimistic, but the increase in the ratio of margin trading to market capitalization is limited. The 2 trillion mark has stronger signaling meaning than practical meaning and may trigger reverse trading, weakening risk appetite [2]. - Seven departments including the central bank jointly issued the "Guiding Opinions on Financial Support for New - type Industrialization", creating credit demand for banks through monetary structured tools, supporting the manufacturing industry, and stimulating a rapid rebound in the banking sector [2]. - US employment data released last week plunged, increasing market bets on interest rate cuts. The US dollar index has continued to decline to around 98, and foreign capital has replenished A - share positions, supporting the sentiment in the mainland market after the A - share index correction [2]. - This week's total A - share trading volume slightly decreased compared to last week, with daily trading around 1.6 trillion. Most broad - based indices recovered last week's losses, with small - and medium - cap stocks remaining strong. The CSI 1000 rose more than 2%, and together with the CSI 2000 and micro - cap stock indices, reached new highs for the year. Large - cap broad - based indices rose slightly more than 1% this week [2]. - The downward support for basis has weakened, and the intraday structured divergence in trends among varieties has increased. The risk appetite shown in the futures market has declined, and there is a need to guard against the risk of a slowdown in the index's upward rate or even a continuous adjustment [2]. - As of Friday, the annualized basis of each variety was basically the same as last week, with the annualized discounts of IC and IM still around 10% and 11% respectively [2]. Group 2: Weekly Forecast - The model's judgment on the movement direction of the basis of IH, IF, IC, and IM next week is: strengthening, weakening, strengthening, and weakening respectively [4].

Market Overview - The market experienced a slight increase with the three major indices showing mixed performance, while the North Stock Exchange 50 and Micro-Stock Index reached historical highs [1] - The total trading volume in the Shanghai and Shenzhen markets was 1.17 trillion, an increase of 83.2 billion compared to the previous trading day [1] Sector Performance - Consumer stocks, particularly in new consumption sectors such as pet economy, beauty care, and IP economy, saw significant gains, with multiple stocks like Beiningmei hitting the daily limit [1] - Innovative drug concept stocks also showed volatility with stocks like Yipin Hong reaching the daily limit [1] - M&A and restructuring concept stocks maintained strong performance, with Tianqimo hitting the daily limit [1] - Conversely, high-position stocks faced a collective decline, with stocks like Yushanxia A hitting the daily limit down [1] Index Performance - The Shanghai Composite Index rose by 0.38% to close at 3380.48 [2] - The Shenzhen Component Index increased by 0.77%, closing at 10249.17 [2] - The ChiNext Index also saw a rise of 0.77%, closing at 2048.46 [2] Additional Metrics - The limit-up rate was recorded at 72.00%, with 77 stocks hitting the limit [5] - The high opening rate was 82%, and the profit rate stood at 67% [5]

Market Overview - The market experienced a morning rebound with all three major indices rising, and both the North Exchange 50 and Micro Stock Index reached historical highs [1] - The consumer sector continued to perform strongly, with the pet economy and beauty care leading the gains, as stocks like Lusi Co., Reliable Co., Tianyuan Pet, Yuanfei Pet, and Lafang Jiahua saw significant increases [1] - Pharmaceutical stocks also surged during the session, with Yipinhong, Huahai Pharmaceutical, and Yixintang hitting the daily limit [1] Sector Performance - Leading sectors included the pet economy, beauty care, cultivated diamonds, and millet economy, while the shipping and port, chemical fiber, PEEK materials, and military industries faced declines [1] - A total of 3,434 stocks rose in the two markets, with 81 stocks hitting the daily limit; conversely, 1,457 stocks declined, with 3 stocks hitting the lower limit [1] - The market saw a high number of stocks with a 26% limit-down rate, indicating volatility [1]

- The micro-cap stock index rotation signal indicates that the micro-cap stock index relative net value crossed above the annual line on October 14, 2024, and this trend has continued since then[29] - The 20-day closing price slopes of both the micro-cap stock index and the Moutai index are positive, suggesting a favorable outlook for the micro-cap index's relative performance[29] - In the micro-cap timing model, the volatility congestion indicator, which reflects market trading sentiment, fell below the threshold on October 15, 2024, lifting the risk warning signal[29] - The interest rate year-on-year indicator, which is more fundamental, was -20.45%, not triggering the interest rate risk control threshold of 0.3[29] - The micro-cap timing model has not triggered any risk controls, so investors who prefer to hold micro-cap stocks long-term are advised to continue holding[29] Quantitative Factors and Construction Methods 1. Factor Name: Size Factor; Construction Idea: Measures the impact of company size on stock returns; Construction Process: Calculated as the logarithm of the market capitalization (LN_MktCap)[40][51] 2. Factor Name: Value Factor; Construction Idea: Evaluates the stock's valuation; Construction Process: Includes metrics like book-to-price ratio (BP_LR), earnings-to-price ratio (EP_FTTM), and sales-to-enterprise value ratio (Sales2EV)[40][51] 3. Factor Name: Growth Factor; Construction Idea: Assesses the company's growth potential; Construction Process: Includes metrics like single-quarter operating income growth (OperatingIncome_SQ_Chg1Y) and single-quarter revenue growth (Revenues_SQ_Chg1Y)[40][51] 4. Factor Name: Quality Factor; Construction Idea: Measures the company's financial health; Construction Process: Includes metrics like operating cash flow to current debt (OCF2CurrentDebt) and gross margin (GrossMargin_TTM)[40][51] 5. Factor Name: Consensus Expectation Factor; Construction Idea: Reflects market expectations; Construction Process: Includes metrics like expected return on equity change over three months (ROE_FTTM_Chg3M) and target return over 180 days (TargetReturn_180D)[40][51] 6. Factor Name: Technical Factor; Construction Idea: Based on stock price and volume trends; Construction Process: Includes metrics like 20-day turnover mean (Turnover_Mean_20D) and 60-day return volatility (Volatility_60D)[40][51] 7. Factor Name: Volatility Factor; Construction Idea: Measures stock price volatility; Construction Process: Includes metrics like CAPM model residual volatility (IV_CAPM) and Fama-French three-factor model residual volatility (IV_FF)[40][51] 8. Factor Name: Reversal Factor; Construction Idea: Captures the tendency of stock prices to revert to the mean; Construction Process: Includes metrics like 40-day return (Price_Chg40D) and 60-day return (Price_Chg60D)[40][51] Factor Backtesting Results 1. Size Factor, IC Mean: 35.37% (All A-shares), -9.73% (CSI 300), 13.63% (CSI 500), 17.13% (CSI 1000); Long-Short Return: 8.09% (All A-shares), -3.21% (CSI 300), 3.16% (CSI 500), 4.01% (CSI 1000)[42][43] 2. Value Factor, IC Mean: 2.40% (All A-shares), 14.21% (CSI 300), 15.32% (CSI 500), 8.40% (CSI 1000); Long-Short Return: 3.53% (All A-shares), 1.74% (CSI 300), 3.00% (CSI 500), 3.33% (CSI 1000)[42][44] 3. Growth Factor, IC Mean: -4.85% (All A-shares), 0.05% (CSI 300), -5.97% (CSI 500), -17.08% (CSI 1000); Long-Short Return: 2.23% (All A-shares), 4.13% (CSI 300), 1.21% (CSI 500), 0.56% (CSI 1000)[42][43] 4. Quality Factor, IC Mean: -8.43% (All A-shares), -10.63% (CSI 300), -8.60% (CSI 500), -11.51% (CSI 1000); Long-Short Return: 2.07% (All A-shares), 1.47% (CSI 300), 2.50% (CSI 500), 0.71% (CSI 1000)[42][44] 5. Consensus Expectation Factor, IC Mean: -0.33% (All A-shares), 12.78% (CSI 300), -4.34% (CSI 500), 0.08% (CSI 1000); Long-Short Return: 2.76% (All A-shares), 4.51% (CSI 300), 4.52% (CSI 500), 3.72% (CSI 1000)[42][43] 6. Technical Factor, IC Mean: 4.13% (All A-shares), 2.37% (CSI 300), 3.13% (CSI 500), 11.63% (CSI 1000); Long-Short Return: 8.36% (All A-shares), 4.02% (CSI 300), 6.42% (CSI 500), 8.53% (CSI 1000)[42][44] 7. Volatility Factor, IC Mean: 2.14% (All A-shares), 5.04% (CSI 300), 16.85% (CSI 500), 15.33% (CSI 1000); Long-Short Return: 8.14% (All A-shares), 3.35% (CSI 300), 6.02% (CSI 500), 8.12% (CSI 1000)[42][44] 8. Reversal Factor, IC Mean: 11.17% (All A-shares), 17.06% (CSI 300), 30.80% (CSI 500), 31.65% (CSI 1000); Long-Short Return: 6.60% (All A-shares), 2.81% (CSI 300), 6.37% (CSI 500), 7.58% (CSI 1000)[42][43]