Core Viewpoint - The report focuses on quantitative timing and position management strategies for convertible bond indices, specifically the CSI Convertible Bond Index, analyzing three main strategies: price-volume timing, valuation timing, and convexity timing [10]. Group 1: Price-Volume Timing Strategy - Technical indicators are derived from historical market data, including price and volume, resulting in 104 indicators used for timing strategies. The annualized return since 2019 is 9.4% [1][22]. - The strategy captures market trends and momentum, but faces challenges due to the dynamic switching of stock and bond attributes in convertible bonds [13][14]. - The average signal change period is approximately 6 trading days, indicating a higher trading frequency [25]. Group 2: Valuation Timing Strategy - The valuation timing strategy uses pricing deviation factors to assess the overall market valuation level of convertible bonds, with an annualized return of 8.0% since 2019 [2][35]. - Traditional valuation indicators struggle to fully capture market conditions, leading to the development of a pricing model that accounts for various risks [26][28]. - The average signal change period for this strategy is about 21 trading days, resulting in fewer trades compared to price-volume timing [38]. Group 3: Convexity Timing Strategy - Convexity in convertible bonds is defined as the second derivative of price changes relative to the underlying stock, allowing for potential outperformance in bullish markets and downside protection in bearish markets [39][40]. - The convexity timing strategy has shown a high win rate of 83.33% with an annualized return of 8.03% [47]. - The average signal change period for this strategy is longer than six months, indicating lower trading frequency [49]. Group 4: Position Management Strategy - A position management strategy is constructed using the three timing strategies, allowing for diversified signal sources and reduced risk of individual strategy failure. The annualized return is 8.55%, outperforming a buy-and-hold strategy [4][55]. - The strategy's historical performance shows a cumulative return of 71.70% with a maximum drawdown of -6.86% [55][57]. - The strategy can be adjusted for trading frequency, balancing between transaction costs and signal responsiveness [61].

金融工程 证 券 研 究 报 告 【金工周报】（20250630-20250704） 形态学短期看多指数减少，后市或先抑后扬 ❖ 本周回顾 本周市场普遍上涨，上证指数单周上涨 1.4%，创业板指单周上涨 1.5%。 A 股模型： 短期：成交量模型部分宽基指数看多。低波动率模型中性。特征龙虎榜机构模 型看空。特征成交量模型中性。智能沪深 300 模型看多，智能中证 500 模型中 性。 中期：涨跌停模型中性。月历效应模型中性。 长期：长期动量模型所有宽基指数中性。 综合：A 股综合兵器 V3 模型看多。A 股综合国证 2000 模型中性。 港股模型： 中期：成交额倒波幅模型看多。 本周行业指数普遍上涨，涨幅前五的行业为：钢铁、银行、建材、医药、电力 设备及新能源，跌幅前五的行业为：综合金融、计算机、综合、交通运输、通 信。从资金流向角度来说，除农林牧渔外所有行业主力资金净流出，其中电子、 计算机、机械、基础化工、国防军工主力资金净流出居前。 本周股票型基金总仓位为 94.90%，相较于上周增加了 97 个 bps，混合型基金 总仓位 80.57%，相较于上周增加了 133 个 bps。 本周交通运输与电子获得最 ...

Group 1 - The risk premium percentile of the CSI All Share Index is 71.95%, indicating that the market has returned from a high return area to a normal return area [1][8] - The price-to-book ratio percentile of the CSI All Share Index is 21.54%, suggesting that the market has returned from an undervalued state to a normal but slightly undervalued state [12] - The Shanghai Composite Index and CSI 800 are still in an undervalued state, warranting close attention [13] Group 2 - The CSI All Share Index's deviation rate is -0.03%, indicating that the overall price level of the market is in a normal range [16] - The ChiNext 50 has returned to a basic normal range after two months of recovery from an oversold state [19] - Over the past six months, the performance of value and growth styles has varied, and the value vs. growth style has yet to be defined, with future trends still to be observed [23] Group 3 - The performance of low valuation styles has generally been superior over the past six months, but high valuation styles have shown strong performance in the past month, suggesting investors should closely monitor the potential transition between high and low valuation styles [27] - Small-cap styles have significantly outperformed over the past six months, indicating a need for future focus on small-cap style targets [29] Group 4 - There has been a certain degree of excess return for convertible bonds relative to the CSI All Share Index over the past six months, suggesting that investors should consider convertible bond varieties from an asset allocation perspective [2][44] - Different types of convertible bonds have shown varying performance over the past six months, with a recommendation to focus on equity-oriented targets [48] Group 5 - The report emphasizes the importance of market style rotation, highlighting the differences in performance between value vs. growth, low vs. high valuation, and large vs. small capitalization stocks [20][21] - The report identifies that the performance of small-cap stocks has been notably superior, suggesting a focus on small-cap style targets moving forward [29] Group 6 - The report discusses industry/theme index rotation, focusing on low valuation rotation and dual momentum rotation strategies [33][34] - A selection of reference targets based on valuation factors or momentum factors is provided for investors to consider [37]

《短期上涨动能枯竭，控制仓位做好 防御——微盘股指数周报 20250615》 - 2025.06.16 《为何微盘股基金仓位下降指数却不 断新高？——微盘股指数周报 证券研究报告：金融工程报告 20250608》 - 2025.06.09 研究所 分析师:肖承志 SAC 登记编号:S1340524090001 Email:xiaochengzhi@cnpsec.com 近期研究报告 《调整仍不充分——微盘股指数周报 20250622》 - 2025.06.23 《小盘股成交占比高意味着拥挤度高 吗？——微盘股指数周报 20250601》 - 2025.06.02 《微盘股容易被忽略的"看空成本" ——微盘股指数周报 20250525》 - 2025.05.26 《证监会修改《重组办法》，深化并购 重组改革——微盘股指数周报 20250518》 - 2025.05.19 《微盘股会涨到什么时候——微盘股 指数周报 20250511》 - 2025.05.12 《4 月完美收官，5 月看好高波成长— —微盘股指数周报 20250504》 - 2025.05.06 《年报效应边际递减，右侧买入信号 触发——微盘股指 ...

Key Points - The report indicates that the risk premium percentile of the CSI All Share Index is 80.41%, suggesting that the market is in a high return zone [1][5] - The report highlights that the price-to-book ratio percentile of the CSI All Share Index is 8.98%, indicating that the market is in a state of severe undervaluation [1][10] - The report notes that the deviation rate of the CSI All Share Index is -4.03%, suggesting that the overall price level of the market is in a normal range [1][13] - The report suggests that the performance of the value style has been significantly superior over the past six months, recommending a focus on value style targets [1][21] - The report also indicates that the performance of the low valuation style has been notably superior over the past six months, advising attention to low valuation style targets [1][24] - The report states that the performance of the small-cap style has been significantly superior over the past six months, recommending a focus on small-cap style targets [1][26] - The report identifies that there has been a certain degree of excess return for convertible bonds relative to the CSI All Share Index over the past six months, suggesting investors pay attention to convertible bond varieties from an asset allocation perspective [1][40]

Group 1 - The core viewpoint is that the rapid development of artificial intelligence (AI) is reshaping the investment logic in the technology sector, transitioning from a narrative of "value stocks" to "growth stocks" [1][25][26] - The investment strategy in the technology sector is evolving, emphasizing a combination of top-down and bottom-up approaches to capture fundamental changes and opportunities within the industry [1][28] - The proportion of holdings in "hard technology" within public funds has increased significantly, with the share of Sci-Tech Innovation Board stocks rising from 10.31% in H1 2021 to 41.78% in H2 2023, indicating a shift in investment focus [1][29] Group 2 - Active technology funds have shown superior long-term performance compared to passive funds, with an annualized return of 8.98% from January 2014 to April 2025, significantly outperforming passive technology indices [2][10] - A timing strategy based on the CSI TMT Index has been developed, utilizing five effective indicators, achieving a total success rate of 52.36% and an excess annualized return of 11.39% [2][10] - The differentiation in technology sub-sectors is increasing, with a higher degree of industry dispersion, which poses greater challenges for fund managers who previously relied on concentrated positions in single sectors for returns [1][39][42] Group 3 - The investment strategies of active technology funds are categorized into five types, each suited to different market phases, including Beta-type funds focusing on high positions, Alpha-type funds selecting high-growth stocks, and flexible rotation funds [3][11] - The market sentiment, as reflected by financing balances, indicates a shift towards left-side layout trends, with a significant increase in financing balances for AI indices, suggesting a growing bullish sentiment [1][35][33] - The performance of technology stocks is increasingly driven by their ability to convert R&D investments into cash flow and technological barriers, marking a transition from speculative narratives to application-driven evaluations [1][27][26]

另外海外方面，克利夫兰联邦储备银行行长 Beth Hammack,在 4 月 24 日发言时表明如果有明确经济走弱方面的证据， 美联储最早可能在 6 月采取降息的行动。受此消息的推动，海外市场定价降息预期的程度提升，10 年期美债利率有所 回落。若短期贸易冲突舆情不继续加剧，我们预期海外资金风险偏好会有所回升。所以对于未来一周，在国内外政策 端和情绪面的支持下，我们战术性仓位推荐切换至人工智能和电子等板块。 本周央行通过 7 天逆回购投放了 8820 亿元，到期 8080 亿元，整体通过公开市场操作净投放 740 亿元。短端 1 周 SHIBOR 和 DR007，分别报 1.638%和 1.6587%，较上周分别下降 1.6 BP 和 5.29 BP。1 个月 SHIBOR 和 3 个月 SHIBOR 分别报 1.747%和 1.75%，较上周分别下降 1.6 BP 和 1.1 BP。 结合经济面和流动性来看，对于未来一周，我们建议核心仓位维持在大盘价值，而战术性仓位推荐切换至人工智能和 电子等板块。从中期来看，根据我们构建的宏观择时策略给出的信号，4 月份权益推荐仓位为 25%。拆分来看，模型 对 4 月份 ...