Core Viewpoint - The press conference highlighted the significant achievements in China's transportation sector over the past five years, emphasizing the completion of the national comprehensive transportation network and improvements in transportation capacity, service quality, and operational efficiency [1][2]. Group 1: National Comprehensive Transportation Network - The "6 axes, 7 corridors, and 8 channels" of the national comprehensive transportation network have been constructed with over 90% completion, connecting more than 80% of county-level administrative regions and serving approximately 90% of the country's economic and population totals [1]. - The Yangtze River main line from Wuhan to Anqing has undergone a 6-meter deep waterway renovation, allowing 10,000-ton cargo ships to reach Wuhan, enhancing the economic "artery" along the main axis [1]. Group 2: High-Speed Rail and Highway Networks - The "Eight Vertical and Eight Horizontal" high-speed rail network has achieved 81.5% completion, with operational mileage reaching 48,000 kilometers, accounting for over 70% of the world's high-speed rail total and covering 97% of cities with populations over 500,000 [2]. - The national highway network has reached 191,000 kilometers, covering 99% of cities with populations over 200,000, with 33 main national highways essentially completed [2]. Group 3: Comprehensive Transportation Hub System - The national comprehensive transportation hub system is continuously improving, with 80% of newly built passenger hubs having an average transfer distance of no more than 200 meters [2]. - Support for 37 cities to develop national comprehensive cargo hubs has led to a reduction in cargo transfer times to 1-2 times, with a multi-modal transport transfer rate exceeding 85% within one hour [2].

金融界7月21日消息，上证指数高开高走，中证中国内地企业全球工业综合指数(CN工业综合，H30377) 报2551.47点。 从指数持仓来看，中证中国内地企业全球工业综合指数十大权重分别为：宁德时代（6.34%）、京沪高 铁（1.46%）、汇川技术（1.11%）、中国建筑（1.09%）、三一重工（1.01%）、顺丰控股（1.01%）、 阳光电源（0.97%）、隆基绿能（0.89%）、中远海控（0.86%）、满帮集团（0.83%）。 从中证中国内地企业全球工业综合指数持仓的市场板块来看，深圳证券交易所占比47.15%、上海证券 交易所占比45.01%、香港证券交易所占比4.38%、纽约证券交易所占比1.60%、北京证券交易所占比 0.91%、纳斯达克全球精选市场证券交易所(Consolidated Issue)占比0.56%、新加坡证券交易所占比 0.24%、纳斯达克股票市场证券交易所(Consolidated Large Cap)占比0.09%、纳斯达克证券交易所 (Consolidated Capital Market)占比0.06%。 从中证中国内地企业全球工业综合指数持仓样本的行业来看，电力设备占比29 ...

Quantitative Models and Construction Methods 1. Model Name: Heston Model - **Model Construction Idea**: The Heston model is used to calculate the implied volatility of near-month at-the-money options, serving as a market fear index. It reflects market participants' expectations of future volatility [7] - **Model Construction Process**: The Heston model is a stochastic volatility model where the variance of the asset price follows a mean-reverting square-root process. The model is defined by the following equations: $$ dS_t = \mu S_t dt + \sqrt{v_t} S_t dW_t^S $$ $$ dv_t = \kappa (\theta - v_t) dt + \sigma \sqrt{v_t} dW_t^v $$ where: - \( S_t \): Asset price - \( v_t \): Variance of the asset price - \( \mu \): Drift term - \( \kappa \): Speed of mean reversion - \( \theta \): Long-term variance - \( \sigma \): Volatility of variance - \( W_t^S, W_t^v \): Two Wiener processes with correlation \(\rho\) [7] - **Model Evaluation**: The Heston model is widely recognized for its ability to capture the stochastic nature of volatility, making it suitable for modeling market fear indices [7] --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Industry Timing Factor (Scissors Difference) - **Factor Construction Idea**: This factor is based on the difference in the number of stocks with bullish and bearish signals within an industry. It aims to identify timing opportunities by analyzing the divergence between bullish and bearish signals [14] - **Factor Construction Process**: - Define the number of stocks with bullish signals (\(N_{bullish}\)) and bearish signals (\(N_{bearish}\)) in an industry on a given day - If no bullish or bearish signals are present, set the respective count to 0 - Calculate the scissors difference as: $$ \text{Scissors Difference} = N_{bullish} - N_{bearish} $$ - Normalize the scissors difference to obtain a ratio: $$ \text{Scissors Ratio} = \frac{N_{bullish} - N_{bearish}}{N_{bullish} + N_{bearish}} $$ - Use this ratio to construct an industry timing strategy [14] - **Factor Evaluation**: The backtesting results show that the scissors difference timing model outperforms the respective industry indices in all cases, demonstrating excellent historical performance [14] --- Model Backtesting Results 1. Heston Model - Implied volatility for major indices: - **Shanghai 50**: 13.5% (down 0.91% from last week) - **Shanghai 500**: 15.29% (down 0.11% from last week) - **CSI 1000**: 16.79% (down 1.3% from last week) - **CSI 300**: 13.65% (down 0.83% from last week) [9] --- Factor Backtesting Results 1. Multi-Industry Timing Factor (Scissors Difference) - Backtesting results for selected industries: - **Real Estate**: Strategy annualized return 13.18%, maximum drawdown -34.3%; Index annualized return -1.21%, maximum drawdown -75.09% - **Light Manufacturing**: Strategy annualized return 21.84%, maximum drawdown -37.91%; Index annualized return 2.76%, maximum drawdown -67.79% - **Coal**: Strategy annualized return 28.73%, maximum drawdown -24.76%; Index annualized return -0.1%, maximum drawdown -69.7% - **Pharmaceuticals**: Strategy annualized return 19.22%, maximum drawdown -42.71%; Index annualized return 6.69%, maximum drawdown -55.37% [15][16]

1. Report Industry Investment Rating No information provided in the text. 2. Core Views of the Report - The Convertible Bond Index reached a new high this week, with a cumulative increase of 9.48% since the beginning of the year. The valuation of convertible bonds has entered a high - level range and is shifting from following the underlying stock to an active upward - adjustment phase. It is recommended to focus on convertible bonds with low option valuations and those with elastic advantages in structure, such as those with a par value between 80 - 100 yuan [1][10]. - During the interim report period, attention should be paid to industries with improving performance expectations. It is advisable to focus on convertible bonds of industries with stable demand and high performance certainty, as well as those with performance recovery expectations under the "anti - involution" trend, while avoiding some high - price and high - premium targets that deviate from fundamentals [2][19]. - Considering the impact of refinancing policies, there is certain support on the demand side under the shrinking supply of convertible bonds. With the low long - term yield of pure bonds, the opportunity cost of convertible bonds is relatively low. However, the current overall valuation of convertible bonds is at a relatively high level, so be vigilant against callback risks. In terms of clauses, continue to focus on the game space of downward revisions, beware of forced redemption risks, and appropriately pay attention to short - term game opportunities of near - maturity convertible bonds [23]. 3. Summary According to Relevant Catalogs 3.1. Convertible Bond Weekly Special and Outlook 3.1.1. How to View the New High of Convertible Bonds - As of Friday, the Convertible Bond Index continued to rise, reaching a new high in recent years. The valuation of convertible bonds has entered a high - level range, and the valuation is gradually shifting from following the underlying stock to an active upward - adjustment phase. Analogy to early 2022 suggests a potential overheating risk after the active upward adjustment of convertible bond valuations. It is recommended to focus on individual convertible bonds with relatively low option valuations [1][10]. - In terms of convertible bond elasticity, focus on convertible bonds with elastic advantages in structure, such as those with a par value between 80 - 100 yuan. During the short - term valuation upward period, the elastic asymmetry advantage of convertible bonds is more significant in medium - and low - par value convertible bonds, especially those in the 70 - 100 yuan par value group, which have better offensive - defensive properties [12]. - During the interim report period, 123 convertible bond issuers have disclosed their semi - annual performance forecasts for 2025. Industries such as electronics and non - ferrous metals have relatively more issuers with pre - increased or slightly increased performance. It is recommended to focus on convertible bonds of industries with stable demand and high performance certainty, as well as those with performance recovery expectations under the "anti - involution" trend, and avoid some high - price and high - premium targets that deviate from fundamentals [2][19]. 3.1.2. Weekly Review and Market Outlook - The market showed mixed daily gains and losses this week but rose overall. The A - share market had different trends each day, with changes in trading volume and sector performance. For example, on Monday, the trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1480.9 billion yuan, a decrease of 255.7 billion yuan from the previous day, and the humanoid robot and reducer concepts led the gains [22]. - It is believed that the current A - shares still present good allocation value. The rebound in export orders has led to a narrow improvement in the PMI in June, and measures such as large - scale equipment updates and consumer goods trade - ins are expected to boost domestic demand. At the convertible bond level, there is support on the demand side under the shrinking supply, but be vigilant against callback risks. In terms of industries, focus on popular themes, domestic demand - oriented sectors, and high - dividend sectors under the Chinese - characteristic valuation system [23]. 3.2. Weekly Tracking of the Convertible Bond Market 3.2.1. The Equity Market Closed Higher - This week, major equity market indices closed higher. The Wind All - A Index rose 1.40%, the Shanghai Composite Index rose 0.69%, the Shenzhen Component Index rose 2.04%, and the ChiNext Index rose 3.17%. The market style was more inclined to small - cap value [27]. - Among the Shenwan industry indices, 19 industries rose and 12 fell. The communication, pharmaceutical biology, and automobile industries led the gains, with increases of 7.56%, 4.00%, and 3.28% respectively, while the media, real estate, and public utilities industries were among the top losers [30]. 3.2.2. The Convertible Bond Market Closed Higher, and the Hundred - Yuan Premium Rate Rose - This week, the convertible bond market closed higher. The CSI Convertible Bond Index rose 0.67%, the Shanghai Convertible Bond Index rose 0.52%, and the Shenzhen Convertible Bond Index rose 0.92%. The average daily trading volume of convertible bonds increased, with an average daily trading volume of 70.669 billion yuan, an increase of 2.554 billion yuan from last week, and a total weekly trading volume of 353.346 billion yuan [3][32]. - At the industry level, 22 convertible bond industries rose and 7 fell. The household appliances, media, and computer industries were the top three gainers, with increases of 3.21%, 2.49%, and 2.20% respectively. At the corresponding underlying stock level, 18 industries rose and 11 fell, with the household appliances, computer, and pharmaceutical biology industries leading the gains [38]. - Most individual convertible bonds rose (341 out of 466). After excluding the closing data of newly - listed convertible bonds this week, the top five weekly gainers were Borui Convertible Bond (pharmaceutical biology, 36.83%), Bohui Convertible Bond (petroleum and petrochemical, 33.80%), Julong Convertible Bond (basic chemicals, 24.43%), Yitian Convertible Bond (household appliances, 24.41%), and Hongfeng Convertible Bond (power equipment, 23.14%). The top five weekly losers were Seli Convertible Bond (pharmaceutical biology, - 9.74%), Guangda Convertible Bond (power equipment, - 8.86%), Huachen Convertible Bond (power equipment, - 8.71%), Punai Convertible Bond (building materials, - 8.32%), and Liande Convertible Bond (electronics, - 7.44%). The top five in terms of weekly trading volume were Seli Convertible Bond (pharmaceutical biology, 22.08 billion yuan), Bohui Convertible Bond (petroleum and petrochemical, 14.263 billion yuan), Outong Convertible Bond (power equipment, 11.195 billion yuan), Borui Convertible Bond (pharmaceutical biology, 11.061 billion yuan), and Huicheng Convertible Bond (environmental protection, 10.133 billion yuan) [40]. - The weighted conversion value of the entire market increased, and the premium rate rose. The weighted average conversion value at the end of this week was 95.31 yuan, an increase of 0.45 yuan from the end of last week. The weighted conversion premium rate of the entire market was 44.37%, an increase of 0.39 percentage points from last week. The hundred - yuan par value premium rate was 23.38%, an increase of 0.80 percentage points from last week. The median implied volatility of the entire market's convertible bonds was 32.71%, an increase of 0.79 percentage points from last week, and the pure - bond premium rate of debt - biased convertible bonds was 8.28%, an increase of 0.21 percentage points from last week [47]. 3.2.3. High - Frequency Tracking of Different Types of Convertible Bonds 3.2.3.1. Classification Valuation Changes - This week, the valuations of convertible bonds with a par value below 80 yuan increased significantly, while those with a par value between 80 - 90 yuan decreased, and the valuations of other par - value convertible bonds increased. The valuations of AAA, AA +, and AA - rated convertible bonds increased, while those of other ratings decreased. The valuation of large - cap convertible bonds increased, while those of other size - segmented convertible bonds decreased [53]. - Since the beginning of 2024, the conversion premium rates of equity - biased and balanced convertible bonds have rebounded from the bottom. As of Friday, the conversion premium rate of equity - biased convertible bonds was around the 35th percentile since 2017, and that of balanced convertible bonds was below the 50th percentile since 2017 [53]. 3.2.3.2. Market Index Performance - This week, AAA - rated convertible bonds fell by 0.06%, while other rated convertible bonds rose. Since 2023, AAA - rated convertible bonds have recorded an 18.83% return, AA + - rated convertible bonds 6.65%, AA - rated convertible bonds 10.00%, AA - - rated convertible bonds 18.17%, A + - rated convertible bonds 20.64%, and A and below - rated convertible bonds 26.82%. Historically, high - rated AAA convertible bonds have shown stable performance, while low - rated convertible bonds have shown weaker downside resistance and greater rebound strength [69][71]. - This week, convertible bonds of all sizes rose. Small - cap convertible bonds rose 2.23%, small - and medium - cap convertible bonds 0.67%, medium - cap convertible bonds 0.74%, and large - cap convertible bonds 0.22%. Since 2023, small - cap convertible bonds have recorded a 21.20% return, small - and medium - cap convertible bonds 18.87%, medium - cap convertible bonds 15.00%, and large - cap convertible bonds 14.77% [71]. 3.3. Convertible Bond Supply and Clause Tracking 3.3.1. This Week's Primary Plan Issuance - Two new convertible bonds were listed this week (Yongxi Convertible Bond and Xizhen Convertible Bond), and three have been issued but not yet listed (Libo Convertible Bond, Bo 25 Convertible Bond, and Guanghe Convertible Bond). There were six primary approvals this week (from July 14 to July 18, 2025). Jindawen (1.801 billion yuan) and Weidao Nano (1.17 billion yuan) were approved by the CSRC [75]. - Since the beginning of 2023 to July 18, 2025, there have been a total of 86 planned convertible bonds, with a total scale of 138.41 billion yuan. Among them, 11 convertible bonds have passed the board of directors' resolution, with a total scale of 15.878 billion yuan; 40 have passed the general meeting of shareholders, with a total scale of 67.022 billion yuan; 29 have been accepted by the exchange, with a total scale of 48.781 billion yuan; 2 have passed the listing committee, with a total scale of 1.45 billion yuan; and 4 have been approved by the CSRC, with a total scale of 5.28 billion yuan [76]. 3.3.2. Downward Revision & Redemption Clauses - This week, 12 convertible bonds announced that they were expected to trigger a downward revision, 4 announced that they would not make a downward revision, 1 proposed a downward revision, and 1 announced the result of a downward revision [79]. - This week, 8 convertible bonds announced that they were expected to trigger redemption, 3 announced that they would not redeem in advance, and 5 announced early redemption [81][82]. - As of the end of this week, there were 5 convertible bonds still in the put - option declaration period and 23 in the company's capital - reduction repayment declaration period. It is recommended to continuously monitor the price changes of convertible bonds and the marginal changes in the company's tendency for downward revisions [84].

Market Performance - The Shanghai Composite Index closed at 3534.48, up by 0.50% with an increase of 17.66 points [2] - The Shenzhen Component Index closed at 10913.84, up by 0.37% with an increase of 40.22 points [2] - The CSI 300 Index closed at 4058.55, up by 0.60% with an increase of 24.06 points [2] - The ChiNext Index closed at 2277.15, up by 0.34% with an increase of 7.83 points [2] - The STAR 50 Index closed at 1007.53, up by 0.19% with an increase of 1.88 points [2] - The Beijing Stock Exchange 50 Index closed at 1418.61, down by 0.67% with a decrease of 9.50 points [2] Sector Performance - The top-performing sectors included Nonferrous Metals (up 2.10%), Basic Chemicals (up 1.36%), Steel (up 1.34%), Coal (up 0.94%), and Transportation (up 0.90%) [3] - The underperforming sectors included Media (down 0.98%), Electronics (down 0.49%), Light Industry Manufacturing (down 0.41%), Utilities (down 0.35%), and Communication (down 0.31%) [3] - Concept sectors with notable gains included Lithium Extraction from Salt Lakes (up 3.30%), Rare Earth Permanent Magnets (up 3.15%), Acrylic Acid (up 2.35%), Cobalt (up 2.29%), and Metal Recycling (up 2.08%) [3] - Concept sectors with notable declines included Animal Vaccines (down 0.96%), Avian Influenza (down 0.90%), Low-E Glass (down 0.89%), E-sports (down 0.86%), and Digital Watermarking (down 0.76%) [3] Future Outlook - The report indicates that the A-share market is showing resilience with a GDP growth of 5.3% year-on-year in the first half of the year, suggesting potential for further policy support in the second half [6] - The market is expected to focus on the upcoming Politburo meeting at the end of July, the Federal Reserve's interest rate decisions, and developments in US tariffs [6] - The report suggests that there are still opportunities for upward momentum in the market, but caution is advised due to potential volatility from previous high rebounds [6] - It is recommended to identify long-term trends in high-growth sectors and short-term speculative opportunities, particularly during the mid-year earnings forecast disclosure window [6]

内需对国内生产总值增长的贡献率达68.8%，其中最终消费支出贡献率为52%——今年上半年，内需作 为拉动经济增长的主动力和稳定锚，稳定有力发挥作用。 习近平总书记指出："扩大内需既关系经济稳定，也关系经济安全，不是权宜之计，而是战略之举。" 释放潜能—— 超大规模市场体量更大 "既有好风景又有好天气，真是选对了地方。"来自广东广州市的游客李博伟带着家人到云南曲靖市旅 游。白天自驾到周边欣赏美景，傍晚在市区悠闲地"City Walk（城市漫步）"，慢节奏的生活让一家人流 连忘返，把原计划一周的行程又延长了几天。 "20多间客房上个月就被预订一空。"曲靖马龙区鸡头村街道桃园社区一家民宿的主理人唐丽娟说。数据 显示，入夏以来，曲靖接待游客量同比显著增长，其中旅居超过15天的游客数量明显增加。 各地区各部门加大力度实施扩大内需战略，采取更加有力的措施，大力提振消费、提高投资效益，全方 位扩大国内需求，更好发挥超大规模市场优势，推动高质量发展取得新的更大成效。 看消费，市场销售增速回升，服务消费亮点突出。 "原本打算买一款普通的挂式空调，到店后发现可以享受以旧换新补贴，决定升级为最新款的无风感空 调。"上海杨浦区一家家 ...

Group 1 - The number of newly established foreign-invested enterprises in China increased by 11.7% year-on-year in the first half of the year [11] - The Southwest Oil and Gas Field achieved a record high in natural gas production in the first half of the year [13] - A series of key energy and transportation projects under the "14th Five-Year Plan" are steadily advancing [5] Group 2 - The third Chain Expo reached over 6,000 cooperation intentions [10] - The typhoon "Wipha" made landfall in the coastal area of Guangdong [9] - The first batch of "good housing" construction experience lists has been released [12]

Group 1 - The report emphasizes the establishment of a theme investment database aimed at identifying high-quality price-volume patterns and monitoring the peak rhythm of popular themes and the adjustment levels of leading stocks [2][9]. - The report identifies a total of 30 theme indices in various stages: 0 at the bottom, 5 in breakout, 24 in main rise, and 1 in acceleration, with the automotive industry being prominent among the breakout indices and the pharmaceutical, computer, and communication industries among the main rise indices [12]. - The trading heat for humanoid robots and Deepseek themes has shown a slight recovery, with both themes reaching a trading heat of 82%, indicating a positive market sentiment [3][17]. Group 2 - The report outlines two main objectives of the theme database: to find investment opportunities and to provide warnings for potential peaks in the market [9]. - The report highlights the importance of monitoring leading stocks' positions, with Longsheng Bearing's closing price exceeding its 60-day moving average by 9.2% and Daily Interaction's closing price exceeding its 60-day moving average by 2.1% [17][22]. - The report indicates that the trading heat rising to 90%-95% may suggest that the theme or stage is becoming overheated, which could be a critical indicator for investors [20].

Domestic Macro - Demand Side - The travel market is heating up during the summer, with domestic flight numbers averaging 14,500 per day, a 13.08% increase month-on-month and a 2.28% increase year-on-year[2] - Retail sales of passenger cars reached 571,000 units in the first two weeks of July, a year-on-year increase of 5.7%, but a month-on-month decrease of 6.7%[2] Domestic Macro - Production Side - The average operating rate of blast furnaces decreased by 0.3 percentage points to 83.35% as of July 20, while the operating rate of coke ovens fell by 0.94 percentage points to 72.93%[2] - The operating rate of asphalt plants increased by 6.58 percentage points to 32.4%, indicating significant growth in real estate infrastructure[2] Price Performance - As of July 18, the average wholesale price of pork rose by 0.2% week-on-week, while the average wholesale price of 28 monitored vegetables fell by 0.09%[2] - The PPI showed a decline in oil prices, with WTI and Brent crude oil prices dropping by 1.44% and 1.05%, respectively[3] Fiscal and Investment - This week saw the issuance of special government bonds increase significantly, with 123 billion yuan in new special bonds and 1,315 billion yuan in new special bonds (excluding debt relief) issued, marking a notable acceleration in issuance[3] - The cement shipment rate has rebounded, indicating an increase in construction activity, particularly in water conservancy and public facilities projects[3] Overseas Macro - The U.S. inflation rate for June was 2.7% year-on-year, with core inflation at 2.9%, indicating manageable inflation levels despite tariff impacts[4] - The U.S. "GENIUS Act" and other cryptocurrency-related bills have passed the House, supporting the development of private sector digital currencies and reinforcing the dollar's position[3]

Group 1 - The core index, the CN Industrial Composite Index, has shown a significant increase of 5.77% over the past month, 11.65% over the past three months, and 6.12% year-to-date, reaching 2538.90 points [1] - The index is designed to reflect the overall performance of different industry securities from mainland Chinese enterprises, categorized according to the China Securities Index industry classification standards [1] - The top ten weighted stocks in the index include CATL (6.36%), China Railway Shanghai Group (1.49%), China State Construction Engineering (1.15%), and others, indicating a diverse representation of key sectors [1] Group 2 - The market capitalization distribution of the index shows that Shenzhen Stock Exchange accounts for 47.12%, Shanghai Stock Exchange for 44.98%, and other exchanges like Hong Kong and New York have smaller shares [2] - In terms of industry representation, the index is heavily weighted towards electric power equipment (29.21%) and machinery manufacturing (28.67%), with transportation and construction also holding significant portions [2] - The index samples are adjusted biannually, with changes implemented on the next trading day following the second Friday of June and December, ensuring the index remains relevant to current market conditions [3]