Quantitative Models and Construction Methods 1. Model Name: Broad-based Index Rotation Strategy - **Model Construction Idea**: The strategy is based on the marginal changes in the "heat" (attention) of broad-based indices. By identifying the index with the highest weekly heat change rate, the strategy rotates into that index. If the "Other" group (stocks not included in the four main indices) has the highest heat change rate, the strategy remains in cash[7][13]. - **Model Construction Process**: 1. Calculate the weekly heat change rate for the components of four major indices (CSI 300, CSI 500, CSI 1000, CSI 2000) and the "Other" group. 2. Smooth the weekly heat change rate using a 2-week moving average (MA2). 3. At the end of each week, invest in the index with the highest MA2 heat change rate. If the "Other" group has the highest rate, remain in cash[13][16]. - **Model Evaluation**: The strategy demonstrates a clear logic of leveraging market sentiment shifts to generate returns[13]. --- Model Backtesting Results 1. Broad-based Index Rotation Strategy - **Annualized Return**: 8.74% since 2017[16] - **Maximum Drawdown**: 23.5%[16] - **2025 YTD Return**: 20.9%[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Total Heat Indicator - **Factor Construction Idea**: The total heat indicator aggregates the attention metrics (e.g., browsing, watchlist additions, and clicks) of individual stocks. It is normalized as a percentage of the total market and scaled by 10,000. This indicator serves as a proxy for market sentiment[7]. - **Factor Construction Process**: 1. Aggregate the browsing, watchlist, and click counts for each stock. 2. Normalize the aggregated value as a percentage of the total market. 3. Multiply the normalized value by 10,000 to obtain the total heat indicator, with a range of [0, 10,000][7]. - **Factor Evaluation**: The factor effectively captures market sentiment and can be used to identify mispricing due to overreaction or underreaction[7]. 2. Factor Name: Weekly Heat Change Rate (MA2) - **Factor Construction Idea**: This factor measures the weekly change in the total heat indicator, smoothed using a 2-week moving average. It reflects short-term sentiment dynamics[13][20]. - **Factor Construction Process**: 1. Calculate the weekly change rate of the total heat indicator for each stock. 2. Smooth the weekly change rate using a 2-week moving average (MA2)[13][20]. - **Factor Evaluation**: The factor is useful for identifying short-term sentiment-driven opportunities in broad-based indices, industries, and concepts[13][20]. 3. Factor Name: Concept Heat Ranking - **Factor Construction Idea**: This factor ranks concepts based on their weekly heat change rates. It identifies the top and bottom concepts for constructing portfolios[28][31]. - **Factor Construction Process**: 1. Rank concepts by their weekly heat change rates. 2. Select the top 5 concepts with the highest heat change rates. 3. Construct two portfolios: - **TOP Portfolio**: Select the top 10 stocks with the highest total heat within each of the top 5 concepts. - **BOTTOM Portfolio**: Select the bottom 10 stocks with the lowest total heat within each of the top 5 concepts[31]. - **Factor Evaluation**: The factor captures the behavioral tendencies of investors, leveraging the rapid price adjustments in high-attention stocks[28][31]. --- Factor Backtesting Results 1. Total Heat Indicator - **No specific backtesting results provided** 2. Weekly Heat Change Rate (MA2) - **No specific backtesting results provided** 3. Concept Heat Ranking - **BOTTOM Portfolio Annualized Return**: 15.71%[33] - **BOTTOM Portfolio Maximum Drawdown**: 28.89%[33] - **2025 YTD Return for BOTTOM Portfolio**: 29.2%[33]

Market Overview - The Shanghai Composite Index fell by 0.17% today, with a trading volume of 841.35 million shares and a transaction value of 1,138.73 billion yuan, an increase of 1.39% compared to the previous trading day [1]. Industry Performance - The top-performing sectors included Non-Bank Financials (up 1.11%), Defense and Military (up 1.04%), and Pharmaceutical and Biological (up 0.88%) [1]. - The sectors with the largest declines were Coal (down 2.46%), Steel (down 1.84%), and Beauty and Personal Care (down 1.59%) [2]. Detailed Industry Data - Non-Bank Financials: - Change: +1.11% - Transaction Value: 647.20 billion yuan (up 11.70%) - Leading Stock: Zhongyin Securities (up 6.61%) [1] - Defense and Military: - Change: +1.04% - Transaction Value: 496.34 billion yuan (up 57.68%) - Leading Stock: Xinguang Optoelectronics (up 13.27%) [1] - Pharmaceutical and Biological: - Change: +0.88% - Transaction Value: 986.89 billion yuan (down 13.87%) - Leading Stock: Erkang Pharmaceutical (up 14.89%) [1] - Coal: - Change: -2.46% - Transaction Value: 95.76 billion yuan (down 14.49%) - Leading Stock: Shanxi Coking Coal (down 6.18%) [2] - Steel: - Change: -1.84% - Transaction Value: 129.93 billion yuan (down 18.37%) - Leading Stock: Liugang Co. (down 8.58%) [2] - Beauty and Personal Care: - Change: -1.59% - Transaction Value: 52.80 billion yuan (down 7.19%) - Leading Stock: Baiya Co. (down 7.94%) [2]

Investment Rating - The report does not explicitly state an investment rating for the industry, but it suggests a positive outlook for leading companies in the electric bicycle sector due to the new national standards [2][4]. Core Insights - The implementation of the new national standard for electric bicycles on September 1 is expected to benefit leading companies in the industry, as it will lead to a market reshuffle and increased demand for compliant products [2][4]. - The Hainan Free Trade Port's upcoming closure on December 18, 2025, is anticipated to benefit sectors such as duty-free and tourism, with significant tax policy changes that will enhance market activity [2][4]. - The consumer sector showed a positive performance in the last week of July, with various sub-sectors experiencing notable gains, indicating a recovery trend in consumer spending [4][6]. Summary by Sections Market Weekly Review - The consumer sector saw an overall increase, with specific sub-sectors like beauty care (+5.42%) and retail (+2.65%) leading the gains. Notable stocks included ST Xifa (+9.89%) and Rainbow Group (+37.81%) [4][6]. - The new electric bicycle standard is expected to drive demand and push out non-compliant brands, benefiting major players with strong brand recognition and resources [2][4]. Industry News and Key Company Announcements - The Ministry of Civil Affairs and the Ministry of Finance announced a subsidy program for elderly care services, which will begin in select provinces in July 2025, potentially boosting related service providers [15][18]. - The Hainan Free Trade Port's tax policy changes will significantly expand the range of zero-tariff goods, enhancing the competitiveness of local businesses and stimulating trade [17][18]. - The report highlights the ongoing challenges in the home appliance sector, with a projected decrease in air conditioner production due to unmet sales targets during promotional events [15][18].

Investment Rating - The report suggests a positive outlook for the electric bicycle industry due to the implementation of new national standards, which is expected to benefit leading companies in the sector [2][6]. Core Insights - The new national standard for electric bicycles (GB17761—2024) will be implemented starting September 1, 2025, which will lead to a market reshuffle favoring top-tier companies. The standard imposes stricter safety and performance requirements, prompting the replacement of non-compliant vehicles and stimulating market demand through "old-for-new" subsidy policies [2][6]. - The establishment of the Hainan Free Trade Port is expected to benefit sectors such as duty-free and tourism, with significant tax policy changes that will enhance market activity and attract more visitors [2][6]. - The consumer sector has shown positive performance, with various sub-sectors experiencing notable weekly gains, indicating a robust recovery in consumer spending [2][6]. Summary by Sections Market Weekly Review - The consumer sector saw an overall increase, with specific sub-sectors like beauty care and retail showing significant weekly gains of +5.42% and +2.65%, respectively. Notable stocks included ST Xifa (+9.89%) and Rainbow Group (+37.81%) [2][10]. Industry News and Key Company Announcements - The implementation of the new electric bicycle standards is anticipated to lead to increased market concentration, benefiting established players with strong brand recognition and technological capabilities [2][19]. - The Hainan Free Trade Port's tax policy changes will expand the range of zero-tariff goods from 1,900 to 6,600 items, significantly enhancing trade facilitation and market dynamics [2][21]. - The report highlights the importance of monitoring the performance of leading companies in the duty-free and tourism sectors as they are likely to benefit from increased consumer activity and favorable policies [2][19].

Summary of Key Points Core Viewpoint - A total of 734 stocks reported their latest shareholder numbers as of July 20, with 337 stocks showing a decline compared to the previous period, indicating a trend of decreasing shareholder engagement in certain companies [1][3]. Group 1: Shareholder Changes - Among the 734 stocks, 38 stocks experienced a decline in shareholder numbers exceeding 10% [3]. - The stock with the largest decline in shareholder numbers was Jin Yi Culture, which saw a decrease of 27.56% to 124,196 shareholders, alongside a cumulative drop of 15.33% in its stock price since the concentration of shares [3][4]. - Chuang Yi Tong followed closely with a 27.39% decrease in shareholder numbers, totaling 14,176, and a cumulative decline of 6.06% in its stock price [3][4]. Group 2: Performance of Concentrated Stocks - Stocks with concentrated holdings outperformed the Shanghai Composite Index, with 46% of these stocks achieving excess returns compared to the index [2]. - The average increase for concentrated stocks since July 1 was 5.04%, surpassing the Shanghai Composite Index's increase of 4.33% during the same period [2]. Group 3: Industry Performance - The industries with the highest concentration of stocks included machinery, basic chemicals, and electronics, with 39, 36, and 27 stocks respectively [3]. - Notable performers among concentrated stocks included Shen Shui Gui Yuan, Kang Hong Pharmaceutical, and Top Cloud Agriculture, with increases of 56.23%, 38.54%, and 37.29% respectively since July 11 [3]. Group 4: Earnings Reports - Among the concentrated stocks, *ST Ling Da reported the highest year-on-year net profit growth of 37.56% [4]. - Four stocks released preliminary earnings reports, with Bai Long Chuang Yuan and Guo Yuan Securities showing net profit growth rates of 42.68% and 40.44% respectively [4]. - A total of 102 stocks provided earnings forecasts, with 29 expecting profit increases and 9 expecting to turn profitable [4]. Group 5: Notable Stocks with Declining Shareholder Numbers - Other stocks with significant declines in shareholder numbers included Yi Hao New Materials (-26.86%), Bang Ji Technology (-25.36%), and Hui Zhong Shares (-24.28%) [4][5]. - The overall trend indicates a potential shift in investor sentiment towards these companies, as evidenced by the significant outflows of capital during the observed period [3][4].

Market Overview - The A-share market saw most major indices decline today, with the Shanghai Composite Index falling by 0.33% to close at 3593.66 points, and the Shenzhen Component Index decreasing by 0.22% to 11168.14 points. The ChiNext Index dropped by 0.23% to 2340.06 points, while the Sci-Tech 50 Index increased by 2.07% to 1054.20 points. Overall, 2724 stocks declined, 2532 stocks rose, and 158 stocks remained flat, with total trading volume in the Shanghai and Shenzhen markets amounting to 12189 billion yuan, a decrease of 6258.16 billion yuan from the previous trading day [1][2]. Industry Performance - Among the primary industries, electronic, computer, real estate, light manufacturing, textile and apparel, and media sectors led the gains, while construction decoration, building materials, food and beverage, coal, comprehensive, and steel industries experienced declines [1][2]. Sector Highlights - The top-performing concept sectors today included GPU, Kimi, multimodal models, ChatGPT, photolithography machines, intelligent agents, servers, selected rare metals, AIGC, artificial intelligence, machine vision, ASIC chips, selected semiconductors, Xiaohongshu platform, and Pinduoduo partners [2].

Market Overview - The Shanghai Composite Index decreased by 0.29% as of 13:58, with a trading volume of 1,129.57 million shares and a turnover of 1,398.80 billion yuan, representing a decrease of 6.36% compared to the previous trading day [1]. Industry Performance - The top-performing sectors included: - Computer: Increased by 0.83% with a turnover of 132.30 billion yuan, led by Tianrun Technology, which rose by 26.67% [1]. - Real Estate: Increased by 0.60% with a turnover of 18.73 billion yuan, led by Zhangjiang Hi-Tech, which rose by 7.45% [1]. - Textile and Apparel: Increased by 0.55% with a turnover of 10.91 billion yuan, led by Red Dragonfly, which rose by 9.95% [1]. - The sectors with the largest declines included: - Building Materials: Decreased by 1.91% with a turnover of 26.66 billion yuan, led by Huaxin Cement, which fell by 9.57% [2]. - Building Decoration: Decreased by 1.81% with a turnover of 46.99 billion yuan, led by Zhubo Design, which fell by 14.71% [2]. - Comprehensive: Decreased by 1.39% with a turnover of 2.83 billion yuan, led by Nanjing Xinbai, which fell by 7.58% [2]. Summary of Key Stocks - Leading stocks in the computer sector included Tianrun Technology with a significant increase of 26.67% [1]. - In the real estate sector, Zhangjiang Hi-Tech showed a notable rise of 7.45% [1]. - Red Dragonfly in the textile and apparel sector also performed well, increasing by 9.95% [1].

Market Overview - The Shanghai Composite Index decreased by 0.24% as of 10:28 AM, with a trading volume of 677.98 million shares and a turnover of 828.605 billion yuan, representing a 1.19% decrease from the previous trading day [1]. Industry Performance - The top-performing industries included: - Computer: Increased by 0.77% with a turnover of 774.04 billion yuan, led by Tianrun Technology, which rose by 29.72% [1]. - Textile and Apparel: Increased by 0.49% with a turnover of 64.82 billion yuan, led by Jinchun Co., which rose by 9.28% [1]. - Light Industry Manufacturing: Increased by 0.48% with a turnover of 92.19 billion yuan, led by Tianan New Materials, which rose by 10.05% [1]. - The worst-performing industries included: - Building Decoration: Decreased by 1.50% with a turnover of 303.16 billion yuan, led by Zhubo Design, which fell by 12.93% [2]. - Building Materials: Decreased by 1.38% with a turnover of 147.44 billion yuan, led by Huaxin Cement, which fell by 8.32% [2]. - Comprehensive: Decreased by 1.23% with a turnover of 18.25 billion yuan, led by Nanjing New Hundred, which fell by 6.98% [2]. Summary of Key Stocks - Notable gainers included: - Tianrun Technology (Computer sector) with a significant increase of 29.72% [1]. - Jinchun Co. (Textile and Apparel sector) with an increase of 9.28% [1]. - Tianan New Materials (Light Industry Manufacturing sector) with an increase of 10.05% [1]. - Notable decliners included: - Zhubo Design (Building Decoration sector) with a decrease of 12.93% [2]. - Huaxin Cement (Building Materials sector) with a decrease of 8.32% [2]. - Nanjing New Hundred (Comprehensive sector) with a decrease of 6.98% [2].

Core Insights - As of July 22, the latest market financing balance reached 1,919.613 billion yuan, an increase of 15.048 billion yuan compared to the previous trading day [1] - Among the 23 primary industries under Shenwan, the electronic industry saw the largest increase in financing balance, rising by 2.381 billion yuan [1] - The industries with notable increases in financing balance also include pharmaceuticals, electric equipment, and machinery, with increases of 1.413 billion yuan, 1.359 billion yuan, and 1.126 billion yuan respectively [1] - Conversely, eight industries experienced a decrease in financing balance, with the computer, home appliance, and retail industries seeing the largest declines of 0.114 billion yuan, 0.095595 billion yuan, and 0.090656 billion yuan respectively [2] Industry Financing Balance Changes - The coal industry had the highest growth rate in financing balance, with a latest balance of 15.839 billion yuan, reflecting a 2.48% increase [1] - Other industries with significant increases include construction decoration, banking, and building materials, with growth rates of 2.25%, 1.70%, and 1.65% respectively [1] - The steel, retail, and home appliance industries reported the largest declines in financing balance, with latest balances of 14.479 billion yuan, 21.545 billion yuan, and 26.662 billion yuan, showing decreases of 0.48%, 0.42%, and 0.36% respectively [2]

Core Viewpoint - The A-share market is experiencing a short-term upward trend despite some fluctuations, with a positive outlook for the upcoming months as various industry catalysts emerge [1][2]. Market Overview - The A-share market showed initial volatility but began to rise after 10:30 AM, with most major indices closing in the green, indicating a strong buying force [1]. - The Shanghai Composite Index has officially broken through the high point of November 8, 2024, suggesting the end of the sideways movement since Q4 2024 [1]. - Concerns regarding trade conflicts have eased, and with the policy window approaching in July, the market is expected to maintain a slow upward trend [1]. Future Outlook - There are multiple industry catalysts that could positively influence the market, such as the launch of the Yarlung Tsangpo River downstream power station and potential recovery in H20 chip exports [2]. - After the index surpasses 3500 points, two potential paths are identified: continuing the upward trend or consolidating before challenging the previous high of 3674 points [2]. - For the market to challenge the previous high, three conditions must be met: implementation of fiscal stimulus policies, continued global easing, and sustained increase in trading volume [2]. Sector Highlights - The A-share market in July is expected to be driven by events, with a likelihood of sector rotation between high and low-performing areas [3]. - Key sectors to watch include: 1. Consumer expansion and domestic demand, with a focus on dairy products, IP consumption, leisure tourism, and medical aesthetics [3]. 2. The trend of robot localization and integration into daily life, with opportunities in sensors, controllers, and functional robots [3]. 3. The ongoing trend of semiconductor localization, focusing on semiconductor equipment, wafer manufacturing, materials, and IC design [3]. 4. The military industry is expected to see a rebound in orders, with signs of recovery in various sub-sectors [3]. 5. The innovative drug sector is anticipated to reach a turning point in fundamentals after a prolonged adjustment period [3]. Market Performance Review - The A-share market experienced fluctuations but maintained an upward trend, with strong buying support observed [4]. - Leading sectors included coal, building materials, construction, steel, and non-ferrous metals, while banking, computing, telecommunications, electronics, and textiles lagged [4].