证券研究报告 | 宏观点评 经济放缓，市场强劲 报告摘要 海外宏观：美国经济压力显现，欧洲继续复苏。美国就业市场大幅降温。制造 业景气度下滑，居民消费信心下降，这些重要数据共同反映出美国经济显现出 一定压力。欧洲经济则延续了复苏趋势。 登记编码：S0950523100001 ：13817489814 ：youchunye1@wkzq.com.cn 国内宏观：7 月经济放缓。内需较为疲软，消费下行速度较快且下半年压力仍 存；投资大幅下降，未来基建投资可能有一定支撑，但总投资增长动力不足； 通缩压力仍然较大，企业盈利面临困境。外需相对较强，但是贸易政策的不确 定性仍大，出口增长的持续性存疑。我们认为下半年经济会面临压力，出台新 一轮较大规模刺激政策的必要性较强。 风险提示： 1、中美贸易谈判出现反复； 2、消费及出口出现快速下行。 政策：不确定性继续回落，关税与货币政策路径更清晰。中美短期大幅加征的 尾部风险显著下降，跨境贸易与补库行为获得喘息窗口。中国方面，7 月宏观 数据偏弱，三季度政策窗口临近。我们认为政策将按照年初计划继续推进，但 是不排除 8 月宏观数据延续 7 月下行态势，9 月出台增量政策的可能。 ...

- The report tracks multiple quantitative factors across different markets, including equity market factors, commodity market factors, options market factors, and convertible bond market factors[7] Quantitative Factors and Construction Equity Market Factors - **Factor Name**: Market Style Factors - **Construction Idea**: Tracks the dominance of large-cap vs. small-cap and value vs. growth styles in the market[11][13] - **Construction Process**: - Large-cap vs. small-cap style: Evaluates the relative performance of large-cap stocks compared to small-cap stocks - Value vs. growth style: Assesses the relative performance of value-oriented stocks compared to growth-oriented stocks - Volatility metrics: Tracks the fluctuation in style dominance over time[11][13] - **Evaluation**: The market style is currently skewed towards large-cap and value stocks, with reduced volatility in style dominance[13] - **Factor Name**: Market Structure Factors - **Construction Idea**: Measures the dispersion and rotation within industry indices and stock concentration in trading[11][13] - **Construction Process**: - Industry index excess return dispersion: Tracks the spread of returns across different industry indices - Industry rotation speed: Measures the rate at which industries gain or lose prominence - Stock concentration: Evaluates the trading concentration of the top 100 stocks and the top 5 industries[11][13] - **Evaluation**: Industry return dispersion is at a one-year low, while industry rotation speed has increased. Stock concentration remains stable at low levels[13] - **Factor Name**: Market Activity Factors - **Construction Idea**: Tracks overall market volatility and turnover rates[12][13] - **Construction Process**: - Index volatility: Measures the fluctuation in market indices - Index turnover rate: Tracks the frequency of stock trading within indices[12][13] - **Evaluation**: Market volatility is at a one-year low, while turnover rates have slightly increased[13] Commodity Market Factors - **Factor Name**: Commodity Futures Factors - **Construction Idea**: Tracks trends, volatility, and liquidity across commodity sectors[28][31] - **Construction Process**: - Trend strength: Measures the directional movement in sectors like black metals, precious metals, and agricultural products - Volatility: Tracks the fluctuation in commodity prices - Liquidity: Assesses the ease of trading in different commodity sectors - Basis momentum: Evaluates the change in the basis (difference between spot and futures prices) for sectors like precious metals and non-ferrous metals[28][31] - **Evaluation**: Precious metals and non-ferrous metals show declining basis momentum, while agricultural products exhibit stronger trends. Liquidity in the energy sector is at a one-year high[31] Options Market Factors - **Factor Name**: Implied Volatility and Skewness - **Construction Idea**: Tracks implied volatility levels and skewness in options markets[36] - **Construction Process**: - Implied volatility: Measures the market's expectation of future volatility for indices like SSE 50 and CSI 1000 - Skewness: Evaluates the asymmetry in the distribution of returns, particularly for put options[36] - **Evaluation**: CSI 1000 implied volatility remains at historically low levels, and skewness for put options has increased, indicating reduced concerns over small-cap risks[36] Convertible Bond Market Factors - **Factor Name**: Convertible Bond Valuation Factors - **Construction Idea**: Tracks valuation metrics and trading activity in the convertible bond market[38] - **Construction Process**: - Premium rate: Measures the difference between the bond price and its conversion value - Trading activity: Tracks the turnover and liquidity in the convertible bond market - Credit spread: Evaluates the difference in yields between convertible bonds and risk-free bonds[38] - **Evaluation**: Premium rates have risen to near-May peaks, while low-premium bonds have decreased in proportion. Credit spreads have slightly narrowed[38] Backtesting Results Equity Market Factors - **Market Style Factors**: - Large-cap dominance observed - Value style outperformed growth style - Style volatility reduced to a one-year low[13] - **Market Structure Factors**: - Industry return dispersion at a one-year low - Increased industry rotation speed - Stable stock concentration at low levels[13] - **Market Activity Factors**: - Volatility at a one-year low - Slight increase in turnover rates[13] Commodity Market Factors - **Commodity Futures Factors**: - Decline in trend strength for black and precious metals - Increase in agricultural product trends - Energy sector liquidity at a one-year high - Decline in basis momentum for precious and non-ferrous metals[31] Options Market Factors - **Implied Volatility and Skewness**: - CSI 1000 implied volatility at historical lows - Increased skewness for put options, indicating reduced small-cap risk concerns[36] Convertible Bond Market Factors - **Convertible Bond Valuation Factors**: - Premium rates near May peaks - Decrease in low-premium bonds - Slight narrowing of credit spreads[38]

Market Overview - The A-share market is currently lacking catalysts, leading to increased volatility pressure. The downward space for large-cap stocks is relatively limited under the support of the Central Huijin Investment. Short-term focus is recommended on defensive sectors such as banks and low-volatility dividend stocks [2][4] - New consumption and innovative pharmaceuticals are facing higher adjustment risks in the short term, suggesting that investors should wait for risk release before seeking more cost-effective investment opportunities [2][4] Stock Market Factors - The large-cap value style remains dominant in the market, while the volatility of both large and small-cap styles has decreased. The volatility of value and growth styles is at a near-year low [6][8] - The excess return dispersion of industry indices is at a near-year low, with a decrease in the proportion of rising constituent stocks and an increase in industry rotation speed [6][8] - Market activity remains low, with the market volatility at a near-year low and a slight increase in turnover rate [7][8] Commodity Market Factors - In the commodity market, the trend strength of black and precious metals has decreased, while the trend strength of agricultural products has increased. The basis momentum of precious metals and non-ferrous metals has rapidly declined [19][22] - The volatility of energy and precious metals has slightly increased, while other sectors remain at near-year low volatility levels. Liquidity performance is mixed across sectors, with the energy sector at a near-year high in liquidity [19][22] Options Market Factors - The implied volatility levels of the SSE 50 and CSI 1000 show no significant trend, with the implied volatility of CSI 1000 remaining at historically low levels. The skewness of put options for CSI 1000 has increased, indicating a temporary alleviation of market concerns regarding small-cap stocks [28] Convertible Bond Market Factors - In the convertible bond market, valuations continue to rise, with the premium rate for bonds converting at 100 yuan increasing and approaching the peak seen in May. The proportion of bonds with low conversion premiums has significantly decreased, while market transaction volume remains stable within a fluctuating range [31]

Market Performance - A-shares experienced a significant increase, with the Shanghai Composite Index rising by 1.15%, and the CSI 300 up by 1.20%. The tech-focused STAR 50 and ChiNext Index rose by 2.30% and 1.79% respectively. The total trading volume reached approximately 1.45 trillion yuan, an increase of about 300 billion yuan compared to the previous day [1][2] - The Hong Kong market also saw notable gains, with the Hang Seng Index and Hang Seng Tech Index rising by 2.0% and 2.1% respectively [1] Catalysts for Market Surge - The market rally was driven by several favorable factors, including the announcement of a ceasefire between Israel and Palestine, which alleviated concerns over oil supply shortages and inflation. This led to a drop in oil prices by over 10% from their recent highs [2] - The Chinese government's announcement of a grand military parade for the 80th anniversary of the victory in the Anti-Japanese War boosted investor confidence, showcasing advancements in military technology [2] - Various sectors, particularly technology and finance, saw a resurgence as previous geopolitical tensions subsided, with companies like Tesla launching autonomous taxi services and advancements in solid-state battery production [2] Investor Sentiment and Future Outlook - Improved risk appetite in the A-share market is noted, with optimism stemming from breakthroughs in AI, military, and innovative pharmaceuticals, which have positively influenced both domestic and foreign investor perceptions [3] - The ongoing decline of the US dollar is expected to benefit Chinese assets, with A-shares and Hong Kong stocks likely to gain from increased liquidity [3] - Despite the positive outlook, uncertainties remain regarding tariff negotiations and signs of weakening in some economic indicators, which could impact future market performance [3] Investment Strategy - The focus should be on stable dividend-paying assets in a low-interest-rate environment, particularly in sectors that benefit from increased liquidity [3] - Attention should also be directed towards technology sectors and domestic demand-driven industries that are likely to experience significant policy and industry catalysts [3]