金融工程 | 金工定期报告 金融工程 证券研究报告 量化择时周报：突破震荡上轨后如何应对? 突破震荡上轨后如何应对? 上周周报(20250622)认为：短期市场宏观不确定性增加和指数在震荡格局 上沿位置的压制下，成交仍未到达低位，风险偏好较难快速提升，继续维 持中性偏低仓位，等待缩量信号。最终 wind 全 A 全周表现大超预期，上 涨 3.56%。市值维度上，上周代表小市值股票的中证 2000 上涨 5.55%，中 盘股中证 500 下跌 3.98%，沪深 300 上涨 1.95%，上证 50 上涨 1.27%;上周中 信一级行业中，表现较强行业包括综合金融、计算机，综合金融上涨 14.48%， 石油石化、食品饮料表现较弱，石油石化下跌 1.45%。上周成交活跃度上， 非银金融和国防军工资金流入明显。 从择时体系来看，我们定义的用来区别市场整体环境的 wind 全 A 长期均 线（120 日）和短期均线（20 日）的距离继续扩大，最新数据显示 20 日 线收于 5168，120 日线收于 5079 点，短期均线继续位于长线均线之上， 两线差值由上周的 1.09%扩大至 1.76%，距离绝对值继续小于 3%， ...

Report Investment Rating There is no mention of the industry investment rating in the provided content. Core Viewpoints - China remains in the process of marginal balance sheet contraction, with the debt growth rate of the real - sector expected to decline to around 8% by the end of the year, and the government - sector debt growth rate to around 12.5% [2][3] - The short - term liquidity relaxation since early June is difficult to sustain, and the peak of this round of liquidity is expected to occur between June 23 and July 4 [7] - The U.S. economic growth is expected to return to the trend level, and attention should be paid to whether and when the U.S. quarterly real GDP growth rate will fall below the trend level [7] - In the balance sheet contraction cycle, the cost - performance ratio of stocks and bonds tends to favor bonds, and the equity style tends to favor value. Currently, long - term bonds have a slightly better cost - performance ratio than value - type equity assets [7] Summary by Directory 1. National Balance Sheet Analysis - **Liability Side**: In May 2025, the debt growth rate of the real sector was 8.9%, down from 9.0% previously. It is expected to decline to around 8.8% in June and further to around 8% by the end of the year. The government debt increased by 6703 billion yuan last week, higher than the planned 5754 billion yuan. The government debt growth rate is expected to rise to 15.3% in June and then decline, reaching around 12.5% by the end of the year [2][3] - **Monetary Policy**: Last week, the average weekly trading volume of funds decreased, the price increased, and the term spread widened. The one - year Treasury yield closed at 1.35% on the weekend, with an estimated lower limit of about 1.3%. The term spread between the ten - year and one - year Treasuries widened to 30 basis points, and the estimated central value of the term spread was adjusted down to 40 basis points [3] - **Asset Side**: The physical volume data in May was weaker than in April. The annual real economic growth target for 2025 is around 5%, and the nominal economic growth target is around 4.9%. It is necessary to observe whether 5% will become the central target for China's nominal economic growth in the next 1 - 2 years [4][5] 2. Stock - Bond Cost - Performance and Stock - Bond Style - Last week, the liquidity was marginally relaxed, the risk appetite rebounded, stocks rose while bonds were flat, and the growth style was dominant. The ten - year Treasury yield rose by 1 basis point to 1.65%, the one - year Treasury yield fell by 1 basis point to 1.35%, and the 30 - year Treasury yield rose by 1 basis point to 1.85% [6] - The broad - based rotation strategy underperformed the CSI 300 index by - 1.58 pct last week but has outperformed the CSI 300 index by 4.73 pct since July, with a maximum drawdown of 12.1% [6] - In the balance sheet contraction cycle, the cost - performance ratio of stocks and bonds tends to favor bonds, and the equity style tends to favor value. Currently, long - term bonds have a slightly better cost - performance ratio than value - type equity assets. This week, the recommended assets are the dividend index (40% position), the SSE 50 index (40% position), and the 30 - year Treasury ETF (20% position) [7] 3. Industry Recommendation 3.1 Industry Performance Review - This week, A - shares rose with increased trading volume. The Shanghai Composite Index rose 1.91%, the Shenzhen Component Index rose 3.73%, and the ChiNext Index rose 5.69%. Among the Shenwan primary industries, computer, national defense and military industry, non - bank finance, communication, and power equipment had the largest increases, while petroleum and petrochemical, food and beverage, and transportation had the largest declines [28] 3.2 Industry Crowding and Trading Volume - As of June 27, the top five industries in terms of crowding were electronics, computer, power equipment, non - bank finance, and communication, while the bottom five were comprehensive, beauty care, building materials, coal, and steel [31] - The industries with the top five increases in crowding this week were non - bank finance, computer, national defense and military industry, non - ferrous metals, and automobile, while those with the top five decreases were pharmaceutical biology, mechanical equipment, media, food and beverage, and petroleum and petrochemical [31] - The average daily trading volume of the entire A - share market this week was 1.49 trillion yuan, up from 1.22 trillion yuan last week. Non - bank finance, national defense and military industry, bank, electronics, and computer had the highest year - on - year growth rates in trading volume [33] 3.3 Industry Valuation and Earnings - This week, among the Shenwan primary industries, computer, national defense and military industry, non - bank finance, communication, and power equipment had the largest increases in PE(TTM), while petroleum and petrochemical, food and beverage, transportation, public utilities, and coal had the largest declines [36] - As of June 27, 2025, industries with high full - year earnings forecasts in 2024 and relatively low current valuations compared to history include coal, petroleum and petrochemical, public utilities, transportation, pharmaceutical biology, and consumer electronics [37] 3.4 Industry Prosperity - **External Demand**: There were mixed trends. The global manufacturing PMI fell from 49.8 in May to 49.6, while most of the disclosed PMIs of major economies in May rebounded. The CCFI index rose 2% in the latest week, and the port cargo throughput increased. South Korea's export growth rate dropped to - 1.3% in May and rose to 8.3% in the first 20 days of June. Vietnam's export growth rate slightly decreased from 21% in April to 20.7% in May [40] - **Domestic Demand**: The second - hand housing price rose slightly this week, and the quantity indicators showed mixed trends. The highway truck traffic volume increased. The capacity utilization rate of ten industries decreased significantly in April 2025, rebounded slightly in May, and continued to rise in June. The automobile trading volume was at a relatively high level in the same period of history, new - house sales were at a historical low, and second - hand house sales were still at a high level relative to historical seasonality [40] 3.5 Public Fund Market Review - In the fourth week of June (June 23 - 27), most active public equity funds outperformed the CSI 300. The 10%, 20%, 30%, and 50% weekly returns were 4.9%, 4%, 3.5%, and 2.5% respectively, while the CSI 300 rose 2% [56] - As of June 27, the net asset value of active public equity funds was estimated to be 3.5 trillion yuan, slightly down from 3.66 trillion yuan in Q4 2024 [56] 3.6 Industry Recommendation - In the balance sheet contraction cycle, the cost - performance ratio of stocks and bonds favors stocks to a limited extent, and the value style is more likely to be dominant. Dividend - type stocks should generally have three characteristics: no balance sheet expansion, good earnings, and survival [8] - The recommended A + H dividend portfolio includes 20 A + H stocks, and the A - share portfolio includes 20 A - share stocks, mainly concentrated in industries such as banks, telecommunications, petroleum and petrochemical, and transportation [9]

➢ 汽油价差收窄，烯烃价差扩大。截至 6 月 27 日，1）炼油：NYMEX 汽油和 取暖油期货结算价和 WTI 期货结算价差分别为 21.39/28.60 美元/桶，周环比变 化-7.79%/-8.67%。2）化工：乙烯/丙烯/甲苯和石脑油价差为 281/231/160 美 元/吨，较上周变化+50.10%/+97.03%/+86.04%；FDY/POY/DTY 价差为 1544/1344/2519 元/吨，较上周变化+14.55%/+18.12%/+6.61%。 ➢ 投资建议：我们推荐以下两条主线：1）油价有底，石油企业业绩确定性高， 叠加高分红特点，估值有望提升，建议关注抗风险能力强且资源量优势强的中国 石油、产量持续增长且桶油成本低的中国海油、高分红一体化公司中国石化；2） 国内鼓励油气增储上产，建议关注产量处于成长期的中曼石油、新天然气。 石化周报 以伊官宣停火，原油暂时回归基本面定价 2025 年 06 月 29 日 ➢ 以伊官宣停火，原油暂时回归基本面定价。6 月 23 日，特朗普在社交媒体 平台上表示，以色列和伊朗将于 24 日 0 时起停火，6 月 24 日，伊朗最高国家安 全委员会声明，宣 ...

证券研究报告 | 金融工程 2025 年 06 月 28 日 本周 Beta 与小市值风格强劲 ——因子周报 20250627 金融工程 1. 主要市场指数与风格表现回顾 本周主要宽基指数全部上涨。北证 50 上涨 6.84%，创业板指上涨 5.69%， 中证 2000 上涨 5.55%，中证 1000 上涨 4.62%，中证 500 上涨 3.98%，深证成 指上涨 3.73%，中证 800 上涨 2.47%，沪深 300 上涨 1.95%，上证指数上涨 1.91%。 从行业来看，综合金融、计算机、综合、国防军工、非银行金融等行业表现 居前；石油石化、食品饮料、交通运输、电力及公用事业、银行等行业表现居 后。 从风格因子来看，最近一周 Beta 因子、规模因子的表现尤为突出。因子多 空收益分别为 7.50%和-4.23%。 2. 选股因子表现跟踪 沪深 300 股票池中，本周对数市值、单季度营业利润同比增速、20 日特异 度因子表现较好。中证 500 股票池中，本周 20 日特异度、60 日成交量比率、 60 日反转因子表现较好。中证 800 股票池中，本周对数市值、单季度 ROE 同 比、单季度营业利润同 ...

远东研究·债市研究 2025 年 6 月 27 日 债市"科技板"发行首月运行情况显示，市场兴起迅猛。一是 发行市场规模激增，Wind 资讯统计显示，债市"科技板"上市首月 发行合计 3897.77 亿元，同比增长 308.63%。二是发行主体多样性 增强，金融机构发行科创债券成为重要亮点，股权投资机构、科技 型企业踊跃发行科创债券。三是从不同角度助力科技创新，通过支 持科技企业、银行和证券机构、股权投资机构等发行主体，发挥科 创债券直接、间接支持科技创新的作用。四是融资成本相对较低， 样本券发行平均利率为 1.95%，低于同期信用债（不含科创债） 2.25%的水平，与科创债发行主体整体上信用等级较高有关。五是 评级服务积极作为。评级公司纷纷推进科技型企业、股权投资企业 评级方法模型，但针对不少科创债主体评级，普遍采用发行人所属 行业（例如商业银行、金融投资公司、电子行业）评级模型。 展望未来，债券市场"科技板"发展前景广阔，可从政策、市 场等角度展望其前景。首先，债券市场制度管理日臻完善，需注重 市场准入门槛设置合理性、维护信息披露质效、建立良好的市场反 馈和调整机制等方面。其次，市场主体结构仍有多样化空间 ...

1. Report Industry Investment Rating - No relevant information provided in the report. 2. Core Viewpoints of the Report - The domestic economy maintains a stable pattern, with domestic assets presenting mainly structural opportunities. The policy - driven logic will be strengthened in the second half of the year. Overseas geopolitical risks may intensify short - term market fluctuations and disrupt risk preferences. In the long run, the weak US dollar pattern continues. Attention should be paid to non - US dollar assets and strategic allocation of resources such as gold [7]. 3. Summary by Relevant Catalogs 3.1 Macro Highlights - **Overseas Macro**: In June, the Fed kept the federal funds rate target range unchanged at 4.25% - 4.50%, with a more cautious outlook on下半年 rate cuts. US economic data in May was weak, and the economic recovery is limited by geopolitical risks and trade uncertainties. Rising oil prices may prompt the Fed to send hawkish signals [7]. - **Domestic Macro**: The Lujiazui Financial Forum announced multiple financial support policies, strengthening policy expectations for the second half of the year. In May, fixed - asset investment expanded, manufacturing investment grew rapidly, and the service industry accelerated. Industrial and consumer data also showed positive growth [7]. - **Asset Views**: Domestic assets offer structural opportunities, driven by policies in the second half of the year. Overseas geopolitical risks may cause short - term market fluctuations, while the long - term weak US dollar pattern persists. Attention should be paid to non - US dollar assets and strategic allocation of gold [7]. 3.2 Viewpoint Highlights 3.2.1 Financial Sector - **Stock Index Futures**: Funds are releasing congestion, and the market is expected to fluctuate. Key points to watch include end - of - day stock stampedes and deterioration of US dollar liquidity [8]. - **Stock Index Options**: Sellers should wait for the inflection point of declining volatility, and the market is expected to fluctuate. The continuous deterioration of option liquidity is a concern [8]. - **Treasury Bond Futures**: The bullish sentiment in the bond market has declined, and the market is expected to fluctuate. Attention should be paid to unexpected changes in tariffs, supply, and monetary easing [8]. 3.2.2 Precious Metals - **Gold/Silver**: Due to better - than - expected progress in Sino - US negotiations, precious metals will continue to adjust in the short term. Key points include Trump's tariff policy and the Fed's monetary policy, and the market is expected to fluctuate [8]. 3.2.3 Shipping - **Container Shipping to Europe**: Attention should be paid to the game between peak - season expectations and price - increase implementation. The market is expected to fluctuate, and key points include tariff policies and shipping companies' pricing strategies [8]. 3.2.4 Black Building Materials - **Steel Products**: The macro sentiment has improved, but contradictions are accumulating. The market is expected to fluctuate, and key points include the progress of special bond issuance, steel exports, and molten iron production [8]. - **Iron Ore**: Molten iron production has slightly increased, and prices are fluctuating. Key points include overseas mine production and shipping, domestic molten iron production, weather, port ore inventory, and policy dynamics [8]. - **Coke**: Pessimistic sentiment has faded, and prices are stable. Key points include steel mill production, coking costs, and macro sentiment [8]. - **Coking Coal**: Transaction volume has improved, but confidence is still insufficient. Key points include steel mill production, coal mine safety inspections, and macro sentiment [8]. - **Silicon Iron**: Cost expectations have improved, and the market performance is strong. Key points include raw material costs and steel procurement [8]. - **Manganese Silicon**: Cost disturbances have emerged again, and the market performance is strong. Key points include cost prices and overseas quotes [8]. - **Glass**: Supply disturbances have affected sentiment, and production and sales have weakened. The key point is spot production and sales [8]. - **Soda Ash**: Intermediate inventory has decreased, and the market is under pressure. The key point is soda ash inventory, and the market is expected to decline with fluctuations [8]. 3.2.5 Non - ferrous Metals and New Materials - **Copper**: The US dollar index is weak, and copper prices are at a high level. Key points include supply disturbances, unexpected domestic policies, less - than - expected dovishness of the Fed, and less - than - expected recovery of domestic demand [8]. - **Alumina**: The number of warehouse receipts is low, and the alumina market has risen. Key points include unexpected delays in ore resumption, excessive electrolytic aluminum resumption, and extreme sector trends [8]. - **Aluminum**: Low inventory and high premiums have pushed up aluminum prices. Key points include macro risks, supply disturbances, and less - than - expected demand [8]. - **Zinc**: The supply - demand surplus pattern remains unchanged, and attention should be paid to short - selling opportunities. Key points include macro - turning risks and unexpected recovery of zinc ore supply. The market is expected to decline with fluctuations [8]. - **Lead**: Cost support has strengthened again, and the downside of lead prices is limited. Key points include supply - side disturbances and slowdown in battery exports [8]. - **Nickel**: Supply and demand are under pressure, and nickel prices are expected to be weak in the short term. Key points include unexpected macro and geopolitical changes, Indonesian policy risks, and insufficient supply release [8]. - **Stainless Steel**: Nickel - iron prices continue to decline, and the market is expected to fluctuate. Key points include Indonesian policy risks and unexpected demand growth [8]. - **Tin**: Spot transactions are dull, and tin prices are fluctuating. Key points include expectations of Wa State's resumption of production and demand improvement [8]. - **Industrial Silicon**: Supply is continuously increasing, and silicon prices are under pressure. Key points include unexpected supply cuts and unexpected photovoltaic installations [8]. - **Lithium Carbonate**: Warehouse receipts have significantly decreased, and price fluctuations should be watched out for. Key points include less - than - expected demand, supply disturbances, and new technological breakthroughs [8]. 3.2.6 Energy and Chemicals - **Crude Oil**: US inventory pressure has eased, and short - term geopolitical disturbances should be watched. The market is expected to decline with fluctuations. Key points include OPEC+ production policies and Middle East geopolitical situations [10]. - **LPG**: Geopolitical tensions have eased, and the market is weakly fluctuating. Key points include cost developments of crude oil and overseas propane [10]. - **Asphalt**: The expectation of increased production is strong, and asphalt prices are expected to follow crude oil down. The market is expected to decline with fluctuations, and the key point is unexpected demand [10]. - **High - Sulfur Fuel Oil**: Israel has resumed gas field production, and fuel oil prices may continue to be under pressure. The market is expected to decline with fluctuations, and key points include crude oil and natural gas prices [10]. - **Low - Sulfur Fuel Oil**: Low - sulfur fuel oil prices are expected to follow crude oil down. The market is expected to decline with fluctuations, and key points include crude oil and natural gas prices [10]. - **Methanol**: Tensions between Iran and Israel have eased, and the market is fluctuating. Key points include macro - energy and upstream - downstream device dynamics [10]. - **Urea**: Exports are used to balance domestic supply - demand differences, and the market may be slightly stronger in the short term. The market is expected to rise with fluctuations. Key points include market transactions, policy trends, and demand fulfillment [10]. - **Ethylene Glycol**: Rising ethylene prices have boosted ethylene derivatives, and the market is expected to fluctuate and adjust. The key point is ethylene glycol terminal demand [10]. - **PX**: Supply is tight, and geopolitical developments should be watched. The market is expected to fluctuate. Key points include crude oil fluctuations and downstream device abnormalities [10]. - **PTA**: Supply - demand has weakened marginally, but the current situation is okay and costs are strong. The market is expected to fluctuate. The key point is polyester production [10]. - **Short - Fiber**: The short - fiber industry is healthy, and spot processing fees have slightly increased. The market is expected to rise with fluctuations. The key point is terminal textile and clothing exports [10]. - **Bottle Chips**: The market follows raw materials, and the industry is waiting for production cuts. The market is expected to fluctuate. The key point is future bottle - chip start - up [10]. - **PP**: Crude oil prices have fallen, and the market is fluctuating. Key points include crude oil prices and domestic and overseas macro - situations [10]. - **Plastic**: Geopolitical premiums have declined, and the market is fluctuating. Key points include crude oil prices and domestic and overseas macro - situations [10]. - **Styrene**: Geopolitical tensions have cooled down, and the market is expected to decline. The market is expected to decline with fluctuations. Key points include crude oil prices, macro - policies, and device dynamics [10]. - **PVC**: With low valuation and weak supply - demand, the market is fluctuating. Key points include expectations, costs, and supply [10]. - **Caustic Soda**: Dynamic costs have increased, and the market is temporarily fluctuating. Key points include market sentiment, start - up, and demand [10]. - **Oils and Fats**: The sustainability of the rebound should be watched, and the weather in US soybean - producing areas is good. The market is expected to fluctuate. Key points include South American soybean harvest, US soybean planting, and Malaysian palm oil production and demand data [10]. - **Protein Meal**: The expectation of soybean meal imports has hit the market, and the support at the bottom should be watched. The market is expected to fluctuate. Key points include US soybean area and weather, domestic demand, macro - situation, and Sino - US and Sino - Canadian trade wars [10]. - **Corn/Starch**: The market is fluctuating, and spot prices are still firm. Key points include less - than - expected demand, macro - situation, and weather [10]. - **Pigs**: Upstream price - holding sentiment is strong, and demand is in the off - season. The market is expected to fluctuate. Key points include breeding sentiment, epidemics, and policies [10]. 3.2.7 Agriculture - **Rubber**: A warm macro - environment has driven up rubber prices. The market is expected to fluctuate. Key points include production - area weather, raw material prices, and macro - changes [10]. - **Synthetic Rubber**: The market's follow - up increase is limited. The key point is significant crude oil price fluctuations [10]. - **Pulp**: The weak trend remains unchanged. The market is expected to decline with fluctuations. Key points include macro - economic changes and fluctuations in US - dollar - denominated quotes [10]. - **Cotton**: Cotton prices continue to rebound with increased positions. The market is expected to fluctuate. Key points include demand and output [10]. - **Sugar**: The domestic and international markets are differentiated, and the domestic market is rebounding with fluctuations. The key point is abnormal weather [10]. - **Logs**: There are no obvious fundamental contradictions, and the market is expected to fluctuate in the short term. Key points include shipment volume and dispatch volume [10].

Market Overview - The Shanghai Composite Index rose by 1.04% on June 25, with 28 out of 31 sectors experiencing gains, led by non-bank financials and defense industries, which increased by 4.46% and 3.36% respectively [1] - The oil and petrochemical sector saw a decline of 0.57%, with a net outflow of 374 million yuan in capital [1] Oil and Petrochemical Sector Analysis - Within the oil and petrochemical sector, there are 48 stocks, with 19 rising and 28 falling, including 2 hitting the daily limit down [1] - The top three stocks with the highest net capital outflow are China Petroleum (-69.17 million yuan), Maohua Shihua (-63.72 million yuan), and Beiken Energy (-52.66 million yuan) [1] - The stocks with the highest net capital inflow include Intercontinental Oil and Gas (40.94 million yuan), Shanghai Petrochemical (18.95 million yuan), and PetroChina Oilfield Services (17.70 million yuan) [1] Capital Flow Summary - The following table summarizes the capital flow and performance of key stocks in the oil and petrochemical sector: | Code | Name | Price Change (%) | Turnover Rate (%) | Main Capital Flow (10,000 yuan) | |--------|--------------------|------------------|-------------------|----------------------------------| | 601857 | China Petroleum | -0.23 | 0.09 | -691.67 | | 000637 | Maohua Shihua | -9.96 | 16.35 | -637.17 | | 002828 | Beiken Energy | -9.69 | 41.32 | -526.63 | | 603619 | Zhongman Petroleum | -6.41 | 14.21 | -490.73 | | 000554 | Taishan Petroleum | -7.47 | 24.85 | -450.74 | | 600938 | China Offshore Oil | 0.31 | 1.14 | -421.91 | | 600256 | Guanghui Energy | 0.17 | 0.86 | -374.03 | | 300191 | Qianeng Hengxin | -0.96 | 8.45 | -296.05 | | 601808 | CNOOC Services | -0.22 | 0.53 | -248.34 | | 000096 | Guangju Energy | -0.53 | 2.69 | -192.31 | | 600506 | Unification Shares | -0.25 | 8.99 | -147.43 | | 000059 | Huajin Shares | 0.38 | 1.68 | -120.16 | | 300135 | Baoli International | -0.98 | 4.17 | -92.08 | | 002207 | Zhun Oil Shares | -9.98 | 1.96 | -83.15 | | 300055 | Wanbangda | -0.35 | 3.36 | -81.01 | | 600968 | CNOOC Development | 2.17 | 0.52 | -72.78 | | 002629 | Renzhi Shares | 0.35 | 5.55 | -63.25 | | 601233 | Tongkun Shares | 0.56 | 0.76 | -56.85 | | 600346 | Hengli Petrochemical | -0.21 | 0.18 | -56.52 | | 000301 | Dongfang Shenghong | 0.60 | 0.25 | -52.87 | | 000698 | Shenyang Chemical | -2.07 | 4.10 | -49.12 | | 300164 | Tongyuan Petroleum | -6.46 | 37.16 | -43.97 | | 603727 | Bomaike | -0.54 | 1.40 | -34.13 | | 002986 | Yuxin Shares | -0.69 | 2.27 | -21.43 | | 603353 | Heshun Petroleum | -3.11 | 7.16 | -18.35 | | 000985 | Daqing Huake | -0.22 | 3.86 | -16.92 | | 600339 | Zhongyou Engineering | 0.30 | 1.32 | -1.37 | | 000968 | Lanyan Holdings | -2.43 | 5.83 | 0.31 | | 600387 | Delisted Haiyue | -1.14 | 2.37 | 3.77 | | 603223 | Hengtong Shares | 2.91 | 2.00 | 5.31 | | 000819 | Yueyang Xingchang | -1.86 | 1.93 | 5.81 | [1][2]

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