Market Overview - The A-share market experienced a contraction with major indices declining during the week of May 19-23, 2025, with the Shanghai Composite Index down by 0.57% and the ChiNext Index down by 0.88% [3] - The market showed a rapid rotation in themes, with precious metals and automobiles performing well, while the "dividend + small-cap" strategy demonstrated significant strength since April [3] Valuation Insights - As of May 23, 2025, the ChiNext Index is classified as "safe" in terms of valuation, while other major indices are at a "moderate" level [3] - In the CITIC first-level industry classification, sectors such as building materials, light industry manufacturing, and electric equipment are at a "danger" valuation level, while non-ferrous metals and utilities are considered "safe" [4] Fund Flow and Institutional Interest - The top five stocks attracting institutional attention this week were Huichuan Technology, Fuchuang Precision, Bozhong Precision, Boshi Software, and Shengmei Shanghai [6] - Southbound capital saw a net inflow of 18.96 billion HKD, with the Shanghai-Hong Kong Stock Connect contributing 19.05 billion HKD and the Shenzhen-Hong Kong Stock Connect showing a slight outflow [6] ETF Performance - The median return for stock ETFs was -0.40% with a net outflow of 11.34 billion CNY, while commodity ETFs had a median return of 3.74% with a net outflow of 470 million CNY [6] Fund Dynamics - As of May 23, 2025, the degree of separation among fund clusters decreased, indicating an increase in excess returns for clustered stocks and funds [7]

Investment Rating - The report indicates a cautious view on the market with a focus on small-cap stocks as a preferred investment style [1][12]. Core Insights - The A-share market continued to show volatility with a contraction in trading volume, leading to a cautious sentiment in the market. The liquidity remains loose, favoring small-cap stocks, and a "dividend + small-cap" strategy is suggested for relative returns [1][12]. - Major indices showed mixed performance, with the Shanghai Composite Index rising by 0.76% and the ChiNext Index increasing by 1.38%, while the CSI 500 and CSI 1000 experienced slight declines [1][13]. Summary by Sections Overall Market Performance - The report covers the performance of major indices from May 12 to May 16, 2025, highlighting a mixed outcome with the Shanghai Composite Index up by 0.76% and the ChiNext Index up by 1.38% [1][13]. - The report notes that the liquidity environment remains favorable for small-cap stocks, which are expected to continue outperforming [1][12]. Industry Valuation - As of May 16, 2025, the report categorizes the valuation of major indices as "moderate," while the ChiNext Index is classified as "safe." Specific industries such as non-bank financials, transportation, and utilities are also rated as "safe" [1][18][19]. Fund Flow Tracking - The report indicates that institutional interest was highest in stocks like Anji Technology and Hengda, with significant net outflows from ETFs, particularly in the stock-type ETFs [3][56]. - The report highlights that southbound capital saw a net outflow of 86.85 billion HKD during the tracking period [3][56]. Volatility Analysis - The report discusses the cross-sectional volatility of major indices, noting a decrease in the cross-sectional volatility of the CSI 300, CSI 500, and CSI 1000, indicating a deterioration in the short-term alpha environment [2][37]. - Time series volatility for the CSI 300 increased, suggesting an improvement in the alpha environment, while the CSI 500 and CSI 1000 saw declines [2][41].

Core Viewpoint - The A-share market continued to show a fluctuating performance with reduced trading volume, indicating a cautious sentiment among investors. The market is experiencing a "profit-taking" state, with net outflows from ETFs [2]. Market Performance Summary - The major indices showed mixed results: the Shanghai Composite Index rose by 0.76%, the SSE 50 increased by 1.22%, the CSI 300 gained 1.12%, while the CSI 500 and CSI 1000 fell by 0.10% and 0.23% respectively. The ChiNext Index rose by 1.38%, and the Northbound 50 Index increased by 3.13% [2]. - As of May 16, 2025, the valuation percentiles for major indices were categorized as "moderate" for the Shanghai Composite, SSE 50, CSI 300, CSI 500, and CSI 1000, while the ChiNext Index was rated as "safe" [2]. Sector Valuation Analysis - According to the CITIC industry classification, sectors such as non-ferrous metals, electric power and utilities, home appliances, food and beverage, agriculture, non-bank financials, and transportation are rated as "safe" in terms of valuation [2]. Volatility Analysis - The cross-sectional volatility of the CSI 300, CSI 500, and CSI 1000 indices decreased compared to the previous week, indicating a deterioration in the short-term Alpha environment. However, the time series volatility for the CSI 300 increased, suggesting an improvement in the Alpha environment, while the CSI 500 and CSI 1000 saw a decline [3]. Fund Flow Tracking - The top five stocks attracting institutional attention were Anji Technology (241 institutions), Hengerd (237), Naipu Mining Machine (122), Haimu Star (113), and Diaowei (94) [4]. - During the period from May 12 to May 16, 2025, southbound funds experienced a net outflow of 8.685 billion HKD, with net inflows of 4.910 billion HKD in the Shanghai Stock Connect and net outflows of 13.595 billion HKD in the Shenzhen Stock Connect [4]. ETF Performance - The median return for stock ETFs was 0.74% with a net outflow of 25.370 billion CNY. The median return for Hong Kong stock ETFs was 1.27% with a net outflow of 6.696 billion CNY. Cross-border ETFs had a median return of 3.80% with a net outflow of 1.081 billion CNY, while commodity ETFs had a median return of -4.71% with a net outflow of 4.308 billion CNY [6].

- The report discusses a "Volume Timing Signal" model, which provides cautious signals for major broad-based indices as of May 9, 2025[23][24] - The "HS300 Upward Stock Ratio Sentiment Indicator" is introduced, calculated as the proportion of HS300 constituent stocks with positive returns over the past N days. This indicator is noted for capturing upward opportunities but has limitations in avoiding downside risks[24][25] - The "Momentum Sentiment Indicator" is derived by smoothing the upward stock ratio indicator over two different time windows (N1=50, N2=35). A bullish signal is generated when the short-term line exceeds the long-term line, and vice versa[27] - The "Moving Average Sentiment Indicator" is based on the eight moving averages (8, 13, 21, 34, 55, 89, 144, 233). The indicator assigns values (-1, 0, 1) based on the number of moving averages above or below the current price. A bullish signal is triggered when the price exceeds more than five moving averages[31][32] Backtesting Results of Models - Volume Timing Signal: All major indices (e.g., HS300, CSI500, CSI1000) are in a "cautious" state as of May 9, 2025[23][24] - HS300 Upward Stock Ratio Sentiment Indicator: The upward stock ratio is approximately 53% for the past week[25] - Momentum Sentiment Indicator: Both the fast and slow lines are trending downward, with the fast line falling below the slow line, indicating a cautious outlook[27] - Moving Average Sentiment Indicator: HS300 is currently in a non-bullish sentiment zone[37]

2025 年 4 月 28 日 总量研究 市场波动温和提升，杠铃组合或占优 ——金融工程市场跟踪周报 20250428 要点 上周市场核心观点： 上周（2025.04.21-2025.04.25，下同）A 股窄幅震荡，市场整体表现不佳。主 要宽基指数量能维持近期低位，量能择时指标仍维持谨慎信号。资金面方面，ETF 资金周度净流出，大盘宽基 ETF 为净流出主要方向。市场波动方面，主要宽基 指数截面波动率、时序波动率环比上周皆有上升。 从市场大类因子表现来看，上周市场动量因子占优。结合上证 50 指数层面表现 的相对低迷来看，后市流动性延续宽松背景下，小市值或持续占优。确定性方面， 红利优势仍将维持。"红利+小盘"杠铃组合或为市场探寻方向背景下获取相对 收益的最优选择。 上周市场各指数涨跌不一，上证综指上涨 0.56%，上证 50 下跌 0.33%，沪深 300 上涨 0.38%，中证 500 上涨 1.20%，中证 1000 上涨 1.85%，创业板指上 涨 1.74%，北证 50 指数下跌 2.16%。 截至 2025 年 4 月 25 日，宽基指数来看，上证指数、上证 50、沪深 300、中证 500、中 ...