财报显示，2025年上半年，ST华闻实现营业收入约1.35亿元，同比下滑22.5%；归属于上市公司股东的 净利润约-7640.88万元，三年半累计亏损已超25亿元；经营活动产生的现金流量净额约-6367.99万元， 同比下滑418.79%；负债合计超过20亿元，资产负债率继续攀升，达到82%，比去年年底增长3.03%。 截至2025年6月30日，ST华闻2017年度第一期中期票据、2018年度第一期中期票据逾期，累计未偿付金 额约5.69亿，银行借款逾期未偿付本金约1.29亿元。 "老股新雷"ST华闻（000793）的连环炸：业绩亏损、债台高筑、资产受限。 上市20多年的ST华闻（股票代码000793）正遭遇"流动性紧缺"。 2025年上半年，ST华闻实现营业收入约1.35亿元，同比下滑22.53%；归属于上市公司股东的净利润 约-7640.88万元，同比下滑26.09%；经营活动产生的现金流量净额约-6367.99万元，同比下滑418.79%， 主要是本期支付的代收代付款较多所致。 对于业绩亏损原因，ST华闻表示，"受行业持续调整及公司流动性紧缺等综合影响，业务发展不及预 期，而公司本部及子公司仍需支付相关 ...

摘要 随着我国经济发展阶段的演进以及实体经济融资模式的结构性转变，债券市场正逐渐成为我国金融体系稳定运行的核心领域。理论 与实践均表明，流动性是金融稳定的关键要素，而债券市场的稳定性高度依赖于各类投资者资金来源的稳定性。鉴于我国债券市场 的独特交易特征，本文创新性地提出了三横三纵的债券交易多级网络结构。这一结构不仅能够体现金融市场与金融机构的顺周期行 为共振，还可以清晰刻画冲击传导路径。通过突出跨市场与跨机构之间流动性的相互影响，该多级网络结构为债券市场的脆弱性评 估与风险传染机制研究提供了一个全新的分析框架。 关键词：债券市场 金融稳定 流动性 交易网络 01 债券市场对于金融稳定具有重要意义 债券市场上通宏观政策、中贯金融体系、下连微观主体，是现代金融体系的重要支柱。从债券市场规模来看，我国已位居全球第 二，是名副其实的债券大国。 从一级市场对宏观经济的支持来看，债券市场已逐渐成为实体经济重要的融资渠道。根据我国社会融资规模数据，政府债券与企业 债券1余额占社会融资规模存量的比重稳步提升，截至2025年3月末，这一占比已近三成。尤其是政府债券在社会融资规模中的作用 愈发重要（盛松成等，2024）。债券市场 ...

富国银行宏观策略师Angelo Manolatos警告，未来六周将是美元回购市场的关键考验，尤其是9月中旬企 业缴税期间，可能出现超2600亿美元净新增国库券供给，流动性压力显著上升。他指出，季度末等特殊 时点，隔夜拆借利率已出现波动，若9月资金成本持续急升，将意味着市场出现结构性问题。 花旗利率研究员Alejandra Vazquez Plata亦表示，近期1年期国库券招标需求疲弱，是流动性减弱的早期 迹象。如果财政部继续大规模发债，投资者兴趣下降，未来可能不得不提高收益率来吸引买家，从而推 升政府短期融资成本。财政部回应称，将"密切监控市场状况并适时调整发行计划"，并计划在10月进一 步加大国库券拍卖规模。 不过，也有观点认为短期内市场不会出现剧烈冲击。摩根大通的Ho认为，货币市场基金资产规模仍可 继续扩大，能够消化更多短期国债。数据显示，截至8月7日，今年第三季度已有61.4亿美元资金流入国 库券相关ETF，几乎是去年同期的两倍，显示整体需求依然旺盛。 德意志银行策略师Steven Zeng则提醒，若融资市场持续受压，可能波及美股与企业债市场。在标普500 指数仍处于高位的当下，这一风险尤需投资者警惕。 ...

Core Viewpoint - *ST Tianmao has faced a series of challenges since 2025, including delayed annual reports, stock price drops, and plans to voluntarily delist, raising concerns about investor rights and company transparency [1][2][4]. Group 1: Disclosure Issues - On April 29, 2025, *ST Tianmao announced it could not release its 2024 annual report and Q1 2025 report on time, citing the need for further information [2]. - The stock price fell to 3.04 yuan per share, marking the largest single-day drop in three months, reflecting investor concerns over the company's disclosure practices [2]. Group 2: Financial Performance and Liquidity Concerns - The company is primarily reliant on its subsidiary, Guohua Life, which is facing significant operational pressures, with a projected loss of 500 million to 750 million yuan for the full year of 2024 [3]. - Guohua Life reported a high surrender payment of 20.6 billion yuan in 2023, with compensation expenses surging to 21.822 billion yuan in the first three quarters of 2024, indicating increasing liquidity risks [3]. Group 3: Delisting Plans - On August 14, 2025, *ST Tianmao announced plans to voluntarily withdraw its A-shares from the Shenzhen Stock Exchange due to significant uncertainties affecting the company [4]. - A shareholder meeting is scheduled for August 25, 2025, to discuss the delisting proposal, with stock trading suspended from August 14, 2025 [4].

Core Viewpoint - Zhengpin Holdings has submitted its listing application to the Hong Kong Stock Exchange, aiming to raise funds for business expansion and marketing efforts, despite facing significant reliance on a single customer and liquidity risks [1][4]. Financial Performance - For the fiscal years 2023, 2024, and 2025, Zhengpin Holdings reported revenues of HKD 43.19 million, HKD 110 million, and HKD 130 million, with net profits of HKD 11.31 million, HKD 35.48 million, and HKD 36.26 million respectively. The growth rate for net profit in 2025 was only 2.18%, indicating insufficient growth momentum [4][11]. - The company has a significant dependency on a single customer, Milk Company, which accounted for over 70% of its sales during the reporting period [4][6]. Customer Dependency - Zhengpin Holdings' revenue from its top five customers was HKD 39.1 million, HKD 98 million, and HKD 108.6 million, representing 90.6%, 89.4%, and 83.4% of total revenue respectively. The largest customer, Milk Company, contributed HKD 38.5 million, HKD 84 million, and HKD 97.1 million, accounting for 89.1%, 76.7%, and 74.5% of total revenue [4][5]. Liquidity and Debt Issues - As of June 2025, Zhengpin Holdings had total liabilities of HKD 613 million and total assets of HKD 842 million, resulting in a debt-to-asset ratio of 72.81%. The current and quick ratios were below the theoretical safety values at 0.92 and 0.86 respectively [11]. - The company’s cash reserves were critically low, with only HKD 81,000 remaining, while interest-bearing loans exceeded HKD 31.48 million, indicating severe short-term repayment pressure [13][14]. Dividend Policy - Zhengpin Holdings has engaged in a "clearance-style" dividend policy, distributing a total of HKD 61.7 million to its controlling shareholder, Zhang Yunyu, from 2023 to 2025, which accounted for 74.29% of the net profit during that period [1][14]. Marketing and Compliance Issues - The company has faced challenges in maintaining brand recognition and reputation, necessitating increased advertising and promotional expenditures, which rose from HKD 1.49 million in 2023 to HKD 3.64 million in 2025 [9]. - Zhengpin Holdings has received warnings from the Hong Kong Department of Health regarding potential violations of advertising regulations, which could lead to fines and impact the company's reputation [9][10].

Core Viewpoint - Bank wealth management serves as a common investment method, providing investors with opportunities to participate in financial markets and achieve asset preservation and appreciation. However, understanding the common risks associated with bank wealth management is crucial for investors [1] Market Risk - Market risk is a significant risk faced by bank wealth management products, influenced by changes in financial markets such as interest rates, exchange rates, and stock and bond market fluctuations. Interest rate risk is a key component; when market interest rates rise, the attractiveness of fixed-income wealth management products declines, potentially lowering their prices. Conversely, when market interest rates fall, the performance of wealth management products may improve. Exchange rate risk mainly affects wealth management products involving foreign exchange, where fluctuations can lead to losses during currency conversion. Additionally, volatility in stock and bond markets can impact related wealth management products, particularly those invested in stocks or equity funds, which may face asset value depreciation during stock market downturns [2] Credit Risk - Credit risk refers to the risk of default or deterioration in the credit status of the entities in which wealth management products invest, leading to potential losses of expected returns or principal for investors. Funds from bank wealth management products may be directed towards various entities, such as corporations and government agencies. If a corporation performs poorly and cannot repay its debts, or if a government faces fiscal difficulties and fails to meet its debt obligations, the returns on wealth management products may be negatively affected. Banks conduct credit assessments and screenings of investment targets when issuing wealth management products, but even with rigorous evaluations, credit risk cannot be entirely eliminated [3] Liquidity Risk - Liquidity risk manifests when investors cannot timely liquidate wealth management products when needed or suffer losses during the liquidation process. Some bank wealth management products have fixed investment terms, preventing investors from redeeming funds early during the product's duration. Even if early redemption is allowed, it may incur fees or be redeemed at prices lower than the purchase price, reducing actual returns for investors. Furthermore, during periods of overall market liquidity stress, banks may face funding pressures, making it difficult to meet investors' early redemption requests, thereby exacerbating liquidity risk [4] Operational Risk - Operational risk encompasses losses arising from inadequate or problematic internal processes, human errors, system failures, or external events during the operation of wealth management products. For instance, bank staff may fail to adequately explain the risk terms and return structures of products during the sales process, leading to misjudgment by investors. In the operational phase, if a bank's internal risk management system malfunctions, it may miss optimal investment opportunities or fail to effectively control risks. Additionally, external factors such as cyberattacks or natural disasters can disrupt normal bank operations, negatively impacting the investment returns of wealth management products [5] Policy Risk - Policy risk arises from changes in national macroeconomic policies and financial regulatory policies. Adjustments in government fiscal and monetary policies can have widespread effects on financial markets. For example, changes in tax policies may affect the return levels of wealth management products, while loose monetary policies may lead to declining market interest rates, impacting the yields of fixed-income wealth management products. Changes in financial regulatory policies are also significant; adjustments by regulatory agencies regarding banks' business scopes and risk management requirements may compel banks to modify the design and investment strategies of wealth management products, potentially affecting their return and risk characteristics, leading to discrepancies between actual investment returns and expectations [6]

1. Report Industry Investment Rating - Platinum: Volatile; Palladium: Volatile [6] 2. Core Viewpoints of the Report - The release of the solicitation draft for platinum and palladium futures contracts by the Guangzhou Futures Exchange indicates the approaching listing of these futures, which fills the gap in risk management tools for new energy metals in China [10]. - The platinum and palladium futures contracts have unique features such as relatively high contract values and entry thresholds, special contract month arrangements, and trading time settings that may affect price continuity and arbitrage efficiency. The innovative design of the delivery system also has implications for the participation of industrial enterprises [4][41]. 3. Summary by Relevant Catalogs 3.1 Event Overview - On July 31, 2025, the Guangzhou Futures Exchange released the solicitation drafts for platinum and palladium futures contracts and related option and business rule documents, aiming to promote green - low - carbon development [10]. 3.2 Platinum and Palladium Industry Chain Overview - Platinum and palladium belong to the platinum - group metals, with stable physical and chemical properties. Their industry chain consists of upstream mining, mid - stream processing, and downstream applications. The global resource endowment is extremely uneven, with South Africa and Russia being major resource - rich regions. China's proven reserves are less than 1% of the global total. The mid - stream processing includes primary and recycling methods, and the downstream demand is mainly concentrated in the automotive exhaust catalyst field (37% for platinum and 82% for palladium), followed by jewelry, industrial, and investment demands [11]. 3.3 Key Parameter Interpretation of Platinum and Palladium Futures Contracts - **Contract Basics**: The trading codes for platinum and palladium futures are PT and PD respectively, with a trading unit of 1000 grams per lot, a minimum price change of 0.05 yuan per gram, a daily price limit of ±4% (±6% in the delivery month), and a minimum trading margin of 5%. The contract months follow an even - month continuous double - month pattern (2, 4, 6, 8, 10, 12), and the trading time is from 9:00 - 11:30 am and 13:30 - 15:00 pm, with no night trading for now [1][15][16]. - **Margin**: Based on the current price, the minimum margin for one lot of platinum/palladium futures is about 1.5 - 1.6 million yuan. The expected combined margin rate of the exchange and futures companies is about 15%, resulting in a trading margin of about 4.75 million yuan for one lot of platinum futures and 4.5 million yuan for one lot of palladium futures. The trading margin adopts a three - stage ladder - type management system [22]. - **Position Limit System**: Platinum and palladium futures use a three - stage dynamic position limit system. In normal months, different position limits are set according to the unilateral position of the contract. As the delivery month approaches, the position limits are gradually reduced, and individual customers are not allowed to hold positions in the delivery month [24]. - **Delivery Matters**: The futures adopt physical delivery with a delivery unit of 1000g (net weight). The benchmark delivery items are platinum/palladium ingots, sponge platinum/palladium, and platinum/palladium powder with a main component content of not less than 99.95%. There is a single - quality standard with no alternative delivery items and no clear regional premium or discount. The delivery system combines warehouse and factory warehouse delivery, and only domestic platinum and palladium ingots can be registered as warehouse standard warehouse receipts, while powder - form metals and imported products can only be registered as factory warehouse receipts. The warehouse receipts are valid for 12 months and are uniformly cancelled after the last trading day of August each year [26][28][30]. - **Delivery Area Speculation**: Considering factors such as industry agglomeration, logistics convenience, and import dependence, potential delivery areas include industrial - intensive regions like Yunnan, Xinjiang, Gansu, and Sichuan, as well as Shanghai, Tianjin, and Guangdong [3][31]. 3.4 Platinum and Palladium Option Contracts - The Guangzhou Futures Exchange also launched platinum and palladium option contracts. The options use the American exercise method, with a trading unit of one lot of platinum/palladium futures contracts, a minimum price change of 0.05 yuan per gram, and a price limit consistent with the underlying futures contracts. The contract months are the same as those of the underlying futures contracts, and the exercise price range is set to cover the price range within 1.5 times the daily price limit of the previous trading day's settlement price of the underlying futures contract. A segmented exercise price interval design is adopted [38]. 3.5 Characteristics Interpretation of Platinum and Palladium Futures Contracts - **Contract Value and Threshold**: The high contract value of platinum and palladium futures creates an entry barrier for investors. Insufficient liquidity at the initial listing stage may affect price continuity [4][41]. - **Contract Months and Liquidity Distribution**: The lack of continuous - month contracts may lead to a relatively steep B/C structure in the forward curve, and enterprises may face higher basis risks [4][41]. - **Trading Time and Linkage with Overseas Markets**: The absence of night trading in domestic platinum and palladium futures, compared with the 23 - hour continuous trading of Nymex platinum and palladium futures, may affect price continuity, arbitrage efficiency, and create time - difference arbitrage opportunities [4][41]. - **Innovation and Limitations of Delivery Rules**: The inclusion of sponge - form metals in the delivery system is innovative, but the restriction on registering warehouse standard warehouse receipts only for domestic ingots reflects the policy orientation of supporting domestic smelting industries and ensuring supply - chain security [42].

Overview of Business Performance - The company demonstrated a robust growth trend in the first half of 2025, with total revenue reaching 3.224 billion yuan, a year-on-year increase of 19.8% [1] - The net profit attributable to shareholders was 486 million yuan, up 32.03% year-on-year, while the net profit excluding non-recurring items was 462 million yuan, reflecting a 32.87% increase [1] - In Q2 alone, total revenue was 1.763 billion yuan, representing a 23.12% year-on-year growth, with net profit attributable to shareholders at 253 million yuan, an increase of 27.74% [1] Key Financial Indicators - Gross margin stood at 36.68%, a decrease of 0.76% year-on-year, while net margin increased by 10.98% to 17.34% [4] - Earnings per share rose to 0.62 yuan, a 31.91% increase year-on-year, and net assets per share increased by 4.87% to 7.69 yuan [4] - Operating cash flow per share was 0.99 yuan, up 21.33% year-on-year [4] Cost and Expense Management - The ratio of selling, general, and administrative expenses to revenue was 7.96%, a decrease of 12.86% year-on-year, with total expenses amounting to 257 million yuan [4] - The company maintained good profitability and cost control in the first half of 2025, although accounts receivable and debt levels require further attention [3] Asset and Liability Overview - Cash and cash equivalents amounted to 689 million yuan, a significant increase of 45.86% year-on-year [4] - Accounts receivable reached 2.479 billion yuan, up 16.72% year-on-year, representing 297.94% of the latest annual net profit, indicating a need to monitor collection risks [4] - Interest-bearing debt was 3.86 billion yuan, a 2.41% increase year-on-year, with an interest-bearing asset-liability ratio of 28.9%, necessitating attention to debt repayment capacity [4] Main Business Composition - Revenue from chip electronic components was 3.196 billion yuan, accounting for 99.13% of total revenue, with a gross margin of 36.67% [4] - Domestic sales generated 2.714 billion yuan, representing 84.19% of total revenue, while export sales contributed 510 million yuan, or 15.81%, with a higher gross margin of 40.72% [4]

Core Viewpoint - Sands China Limited reported a strong financial performance for 2024, with total revenue reaching $7.08 billion, an increase of 8.4% from $6.534 billion in 2023, and net profit attributable to shareholders rising significantly from $692 million to $1.045 billion. However, the company faces liquidity challenges, as its current ratio dropped from 1.23 in 2023 to 0.76 in 2024, indicating potential risks in cash flow management [1]. Debt Structure and Financial Pressure - The debt structure of Sands China deteriorated significantly in 2024, with short-term debt skyrocketing from $16 million in 2023 to $1.639 billion, a more than 100-fold increase, primarily due to the reclassification of notes maturing in 2025. Long-term debt decreased from $8.312 billion to $6.520 billion, but total liabilities still reached $10.138 billion, maintaining a high debt-to-asset ratio of 90.77% [3]. - Current liabilities surged from $1.372 billion in 2023 to $2.993 billion, while current assets only amounted to $2.285 billion, resulting in a net current liability of $708 million. Despite cash and cash equivalents increasing from $1.361 billion to $1.970 billion, this remains insufficient against the large short-term debt [3]. - The accounts receivable conversion cycle extended from 8 days to 10 days, while the accounts payable conversion cycle remained unchanged at 2 days, exacerbating cash flow management issues. Operating cash flow per share decreased from $0.28 in 2023 to $0.26 in 2024, indicating a decline in cash generation capability from operations [3]. Capital Expenditure Impact - Sands China committed to investing approximately $4.5 billion during the gaming license period from 2023 to 2032, significantly impacting cash flow. The investment cash flow per share for 2024 was negative $0.10, worsening from negative $0.02 in 2023, reflecting increased spending on infrastructure and equipment upgrades [4]. - The completion of the Londoner Macao project is expected in the second quarter of 2025, indicating continued substantial capital expenditures in the coming quarters. Additionally, renovations at the Galaxy Macau and phased updates at the Sheraton Hotel in Macau are expected to affect revenue generation in the short term [4]. - The company has invested approximately $17 billion in the development of integrated resorts in Macau, including over 10,000 hotel rooms and significant retail and convention space. While these investments may enhance long-term competitiveness, they currently serve as a major drag on cash flow [4]. Market Recovery and Profitability Concerns - Although the number of visitors to Macau increased to approximately 35 million in 2024 from 28 million in 2023, the quality of earnings for the company remains concerning. The gross profit margin declined from 61.88% in 2023 to 60.69%, indicating that intense market competition is compressing profit margins [6]. - Administrative expenses slightly increased from $1.970 billion to $1.977 billion, suggesting a need for improved cost control despite revenue growth. Adjusted property EBITDA rose from $2.23 billion to $2.33 billion, but the growth rate of 4.7% lagged behind the revenue growth of 8.4%, reflecting a decline in operational efficiency [6]. - The return on equity reached an unusually high 201.93%, primarily due to a low net asset base of $1.031 billion compared to total assets of $11.169 billion. The total asset return improved from 6.65% to 9.75%, but this improvement is more indicative of leverage effects rather than genuine operational enhancement [6]. - The net cash flow per share improved from negative $0.04 in 2023 to $0.07 in 2024, yet it remains at a relatively low level, indicating limited cash generation capacity [6].

Quantitative Models and Construction Methods Diffusion Index Model - **Model Name**: Diffusion Index Model - **Construction Idea**: The model monitors the relative performance of stocks within the micro-cap index over different time windows to identify potential turning points in market trends [41][42] - **Construction Process**: - The horizontal axis represents the percentage change in stock prices from +10% to -10% (1.1 to 0.9) - The vertical axis represents the length of the review window, ranging from 20 days to 10 days - For example, at horizontal axis 0.95 and vertical axis 15 days, the value of 0.37 indicates that if all stocks in the micro-cap index drop by 5% after 5 days, the diffusion index value is 0.37 - Formula: Diffusion Index = $\frac{\text{Number of stocks outperforming the benchmark}}{\text{Total number of stocks}}$ [41][42] - **Evaluation**: The model effectively identifies market trends but faces challenges when bottom-performing stocks are abandoned during strong upward trends [42] - **Testing Results**: Current diffusion index value is 0.94, indicating a strong upward trend [41][42] Threshold Methods - **Model Name**: Threshold Methods (First Threshold Method and Delayed Threshold Method) - **Construction Idea**: These methods use predefined thresholds to generate trading signals based on the diffusion index [45][49] - **Construction Process**: - First Threshold Method: Triggered a sell signal on May 8, 2025, when the diffusion index reached 0.9850 [45] - Delayed Threshold Method: Triggered a sell signal on May 15, 2025, when the diffusion index reached 0.8975 [49] - **Evaluation**: These methods provide clear trading signals but may lag during rapid market changes [45][49] - **Testing Results**: First Threshold Method value: 0.9850; Delayed Threshold Method value: 0.8975 [45][49] Dual Moving Average Method - **Model Name**: Dual Moving Average Method - **Construction Idea**: This method uses adaptive moving averages to generate trading signals based on market trends [50] - **Construction Process**: - The method compares short-term and long-term moving averages to identify buy or sell signals - On July 3, 2025, the method generated a buy signal [50] - **Evaluation**: The method adapts well to changing market conditions and provides timely signals [50] - **Testing Results**: Buy signal generated on July 3, 2025 [50] --- Quantitative Factors and Construction Methods Top Performing Factors - **Factor Names**: Non-liquidity factor, Unadjusted stock price factor, Beta factor, Standardized expected earnings factor, PE_TTM reciprocal factor [4][19][36] - **Construction Idea**: These factors are derived from stock characteristics and financial metrics to predict future returns [4][19][36] - **Construction Process**: - Non-liquidity factor: Measures the illiquidity of stocks - Unadjusted stock price factor: Uses raw stock prices without adjustments - Beta factor: Captures the sensitivity of stock returns to market movements - Standardized expected earnings factor: Standardizes analysts' earnings forecasts - PE_TTM reciprocal factor: Calculates the reciprocal of the trailing twelve-month price-to-earnings ratio - **Evaluation**: These factors show strong predictive power for stock returns [4][19][36] - **Testing Results**: - Non-liquidity factor IC: 0.353 (historical average: 0.04) - Unadjusted stock price factor IC: 0.348 (historical average: -0.016) - Beta factor IC: 0.247 (historical average: 0.005) - Standardized expected earnings factor IC: 0.141 (historical average: 0.014) - PE_TTM reciprocal factor IC: 0.092 (historical average: 0.017) [4][19][36] Underperforming Factors - **Factor Names**: Turnover factor, 10-day total market capitalization turnover rate factor, Liquidity factor, 10-day free float market capitalization turnover rate factor, Leverage factor [4][19][36] - **Construction Idea**: These factors are derived from trading activity and financial leverage metrics [4][19][36] - **Construction Process**: - Turnover factor: Measures trading volume relative to market capitalization - 10-day total market capitalization turnover rate factor: Calculates turnover rate over a 10-day window - Liquidity factor: Assesses the ease of trading stocks - 10-day free float market capitalization turnover rate factor: Similar to the total turnover rate but focuses on free float shares - Leverage factor: Measures financial leverage of companies - **Evaluation**: These factors exhibit weak predictive power and negative correlations with returns [4][19][36] - **Testing Results**: - Turnover factor IC: -0.336 (historical average: -0.082) - 10-day total market capitalization turnover rate factor IC: -0.286 (historical average: -0.06) - Liquidity factor IC: -0.278 (historical average: -0.041) - 10-day free float market capitalization turnover rate factor IC: -0.276 (historical average: -0.062) - Leverage factor IC: -0.225 (historical average: -0.006) [4][19][36] --- Strategy Performance Small-Cap Low-Volatility 50 Strategy - **Strategy Name**: Small-Cap Low-Volatility 50 Strategy - **Construction Idea**: Selects 50 stocks with small market capitalization and low volatility from the micro-cap index [7][19][37] - **Construction Process**: - Stocks are selected bi-weekly based on market capitalization and volatility criteria - Benchmark: Wind Micro-Cap Index (8841431.WI) - Transaction cost: 0.3% on both sides [7][19][37] - **Evaluation**: The strategy demonstrates strong performance but occasionally underperforms the benchmark [7][19][37] - **Testing Results**: - 2024 return: 7.07% (excess return: -2.93%) - 2025 YTD return: 62.07% (weekly excess return: -2.44%) [7][19][37]