Group 1 - The A-share market experienced a contraction with major indices declining, indicating a cautious market sentiment amid reduced trading volume [3] - The REITs market showed an upward trend in secondary market prices, with the weighted REITs index closing at 139.74 and a weekly return of 1.36%, outperforming other major asset classes [4] - The copper industry is facing pressure from trade conflicts and rising domestic inventory, but prices may gradually increase with potential domestic stimulus policies and U.S. interest rate cuts [5] Group 2 - In the livestock sector, the average weight of slaughtered pigs has decreased, and the price of pigs has seen a larger decline, indicating a potential turning point in inventory levels and a long-term upward profit cycle post-deinventory [6] - Nobon Co., a leading player in the spunlace non-woven fabric industry, has shown strong performance in 2024 and Q1 2025, with advanced production lines and a focus on high-margin clients [7] - The small-cap style is currently favored in the market, with private equity research strategies showing significant excess returns [8]

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 investment rating for major broad-based indices as of May 23, 2025, with the ChiNext Index classified as "safe" and other indices categorized as "moderate" [19][22]. Core Insights - The market experienced a contraction with major indices declining during the week of May 19-23, 2025. The report highlights a rapid rotation in themes, with precious metals and automotive sectors performing well. However, the "dividend + micro-cap" strategy showed signs of short-term adjustment after reaching a yearly high, suggesting a potential decline in trading preferences [12][13]. - The report emphasizes that liquidity easing and rising risk appetite are expected to drive a rebound in A-shares in the medium to long term, with "dividend + small-cap" combinations being the preferred allocation strategy post-adjustment [12]. Summary by Sections Market Review - Major indices saw declines: Shanghai Composite Index down 0.57%, SSE 50 down 0.18%, CSI 300 down 0.18%, CSI 500 down 1.10%, CSI 1000 down 1.29%, ChiNext Index down 0.88%, and North Star 50 down 3.68% [13][14]. Valuation Analysis - As of May 23, 2025, the ChiNext Index is in the "safe" valuation percentile, while other major indices are in the "moderate" range. In terms of sector valuation, industries such as construction materials, light industry manufacturing, power equipment and new energy, defense and military, computer, and comprehensive finance are classified as "dangerous," while non-ferrous metals, utilities, home appliances, food and beverage, agriculture, non-bank financials, and transportation are deemed "safe" [19][20]. Fund Flow Tracking - The report notes that institutional interest was highest for stocks like Huichuan Technology (352 institutions), Fuchuang Precision (109), Bozhong Precision (106), Boshi Software (102), and Shengmei Shanghai (101) during the week [51]. - 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 experiencing a net outflow of 0.97 billion HKD [3]. Sector Performance - The top five performing sectors this week were comprehensive, pharmaceuticals, automotive, non-ferrous metals, and home appliances, while the worst performers included comprehensive finance, computers, electronics, machinery, and communications [15]. Institutional Research - A total of 379 institutional research activities were recorded, with the majority focused on companies listed in Shenzhen and Shanghai. The report highlights that specific object research and other types accounted for 78.36% and 8.71% of the total, respectively [42][46].

- Model Name: Volume Timing Model; Model Construction Idea: The model uses volume indicators to maintain a cautious view under the background of shrinking volume; Model Construction Process: The volume timing signal for major broad-based indices is calculated and maintained a cautious view as of May 23, 2025[1][2][22]; Model Evaluation: The model is effective in maintaining a cautious stance during periods of shrinking volume[22] - Factor Name: Upward Number Ratio of CSI 300; Factor Construction Idea: The factor calculates the proportion of stocks with positive returns in the CSI 300 index to judge market sentiment; Factor Construction Process: - CSI 300 Index N-day Upward Number Ratio = Number of CSI 300 Index constituent stocks with positive returns in the past N days / Total number of CSI 300 Index constituent stocks - The factor captures upward opportunities quickly and exits early during overheated market phases, but has limitations in avoiding downward risks[23][24][25]; Factor Evaluation: The factor is effective in capturing upward opportunities but has limitations in avoiding downward risks[24] - Factor Name: Moving Average Sentiment Indicator; Factor Construction Idea: The factor uses the eight moving average system to judge the trend state of the target index; Factor Construction Process: - Calculate the eight moving average values of the CSI 300 closing price with parameters 8, 13, 21, 34, 55, 89, 144, 233 - Assign values to the eight moving average indicator based on the interval value: -1 for intervals 1/2/3, 0 for intervals 4/5/6, and 1 for intervals 7/8/9 - When the current price exceeds the eight moving average indicator value in more than 5 cases, it indicates a bullish view on the CSI 300 index[27][31][32]; Factor Evaluation: The factor is effective in indicating the trend state of the CSI 300 index[34] - Factor Name: Cross-sectional Volatility; Factor Construction Idea: The factor measures the cross-sectional volatility of index constituent stocks to evaluate the Alpha environment; Factor Construction Process: - Calculate the cross-sectional volatility of CSI 300, CSI 500, and CSI 1000 index constituent stocks - Recent cross-sectional volatility of CSI 300 and CSI 500 index constituent stocks has decreased, indicating a worse short-term Alpha environment; CSI 1000 index constituent stocks' cross-sectional volatility has increased, indicating a better short-term Alpha environment[35][36][38]; Factor Evaluation: The factor is effective in evaluating the Alpha environment based on cross-sectional volatility[38] - Factor Name: Time Series Volatility; Factor Construction Idea: The factor measures the time series volatility of index constituent stocks to evaluate the Alpha environment; Factor Construction Process: - Calculate the time series volatility of CSI 300, CSI 500, and CSI 1000 index constituent stocks - Recent time series volatility of CSI 300, CSI 500, and CSI 1000 index constituent stocks has decreased, indicating a worse short-term Alpha environment[39][41]; Factor Evaluation: The factor is effective in evaluating the Alpha environment based on time series volatility[41] Model Backtest Results - Volume Timing Model, cautious view for all major broad-based indices as of May 23, 2025[23] Factor Backtest Results - Upward Number Ratio of CSI 300, recent ratio around 56%[24] - Moving Average Sentiment Indicator, short-term bullish view on CSI 300 index[34] - Cross-sectional Volatility, recent values for CSI 300: 1.75%, CSI 500: 2.04%, CSI 1000: 2.41%[38] - Time Series Volatility, recent values for CSI 300: 0.56%, CSI 500: 0.44%, CSI 1000: 0.27%[41]