1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Overall, in Q2 2025, China's GDP growth rate continued to hold steady, showing positive economic data. Sino-US tariff tensions significantly eased, and the effect of front-loading exports was remarkable. The central bank cut interest rates and reserve requirements, and rolled out a package of financial policies to stabilize the economy and expectations. Large - scale investment projects in China commenced, and sentiment in the capital market improved. With the money market interest rate remaining low, but risk appetite rising, government bonds are expected to decline [3][72]. - In the stock market, hotspots rotated. As funds spilled over from the banking sector to other heavy - weighted sectors, the strength of stock indices became differentiated. IH shifted to wide - range fluctuations, while IF, IC, and IM may continue to rise, but attention should be paid to the risk of a rapid correction in the hyped sectors [1][6]. 3. Summary According to Relevant Catalogs 3.1 Stock Index Futures Part 3.1.1 Stock Index Trend Analysis - From late September 2024 to the National Day, the A - share market rose continuously. After the National Day, it opened high and then fell. In November 2024, the market rebounded slightly, and in mid - December, it declined. Around the New Year's Day in 2025, the stock market had three consecutive negative days, and trading volume shrank to 1 trillion. After the Spring Festival, the market rebounded, and trading volume increased to 2 trillion. In March 2025, the market reached a new high of 5755.58 and then quickly fell. On April 7, there was a sharp single - day decline, with the Guozheng A - share Index dropping by 9.29%. After reaching the lowest point of 4820.80 on April 9, the market rebounded. In May, the market rebounded to 5500 and then fluctuated with shrinking volume. In June, stock market fluctuations weakened, and in late June, the stock index rose continuously driven by the banking stocks. In July, it broke through the high point after the sharp rise on September 24, 2024, and trading volume increased to around 2 trillion [4]. - The four major stock indices showed differentiation. In 2025, the Shanghai 50 Index fell in January, rebounded in February, dropped sharply in April, and then rebounded. In July, it reached a new high of 2824.86 but was lower than the high point on September 24, 2024. The CSI 300 Index also reached a new high in July. The CSI 500 Index filled the gap in July after failing to do so in May. The CSI 1000 Index rose rapidly in July and exceeded all high points since September 24, 2024 [5]. 3.1.2 Stock Index Fluctuations and Premium/Discount Situations - In January 2025, stock index fluctuations further decreased, and in February, there was a significant rebound. In March, there was a slight decline, and in April, there were large - scale fluctuations. During the rapid rebound of the Shanghai 50 and CSI 300, the stock index futures of the CSI 500 and CSI 1000 were at a large discount. Fluctuations decreased in May and June, and in July, there was a further rebound. The long - term contracts of IC and IM gradually returned to normal. The premium/discount of the Shanghai 50 Index dropped to within ±5 points, while the far - month contracts of IC had a discount of over 300 points [15]. 3.1.3 Industry Strength and Weakness Transformation - The CSI 300 Index declined in January 2025, rebounded significantly in February, slightly declined in March, had a single - day sharp decline in April, and then quickly rebounded. It fluctuated at a high level in May and June and rose rapidly in July. In terms of reversal intensity, most sectors showed positive trends, with materials having a reversal intensity of up to 13, and pharmaceuticals and industry exceeding 8. Only the public utilities sector declined, with a decline of only 2% [16][19]. 3.1.4 Industry ALPHA Risk - Return - The tracking of ALPHA risk - return statistics shows that the consistency of the CSI 300 sector's trend has increased. The telecommunications and materials sectors have full - cycle ALPHA. The full - cycle ALPHA values are (0.467%, 0.284%, 0.114%; 0.107%, 0.088%, 0.058%). Most sectors' full - cycle ALPHA values are inconsistent, and the ALPHA values of the industrial, optional, and consumer sectors are negative [23]. 3.2 Government Bond Futures Analysis 3.2.1 Economic Steady Recovery - From 2023 to 2025, GDP growth showed fluctuations but generally maintained a certain level. CPI and PPI data indicated that the economy was in a deflationary state, with industrial PPI remaining negative and the year - on - year decline expanding. Industrial added value increased year - on - year, and the cumulative year - on - year growth was relatively stable. The manufacturing PMI and non - manufacturing PMI fluctuated, and the non - manufacturing PMI was more affected by policy changes. Consumption growth was unstable [28][35]. 3.2.2 Slightly Rising Monetary投放 Growth Rate - In 2024 and 2025, the amount of new RMB loans fluctuated greatly. The growth rate of M1 first declined and then increased, indicating that the recovery speed of social hot money accelerated. The growth rate of M2 showed a downward trend. The central bank continuously implemented interest rate cuts and reserve requirement ratio cuts, and the LPR decreased. The yield to maturity of government bonds fluctuated, and the overall trend was downward [43][49]. 3.2.3 Monetary Policy - From 2024 to 2025, the central bank carried out a series of monetary policy operations, including borrowing government bonds, conducting temporary open - market operations, adjusting the LPR, and implementing a package of financial policies in May 2025, which included reducing the reserve requirement ratio, lowering policy interest rates, and increasing the quota of re - loans [50][57].

Group 1 - The core event of the week (July 28 - August 3) is the US-China trade talks, along with the implementation of Hong Kong's Stablecoin Regulation on August 1 [1][3] - Significant data releases include the Federal Reserve's interest rate decision, non-farm payrolls, GDP data, and China's July PMI figures [1][2] Group 2 - A total of 48 stocks will face lock-up expiration this week, with a combined unlock volume of 3.368 billion shares, amounting to a market value of 102.29 billion yuan [3][4] - The top three stocks by unlock market value are: Huada Jiutian (31.025 billion yuan), Shanghai Airport (14.216 billion yuan), and Tongguan Copper Foil (12.54 billion yuan) [3][4] Group 3 - The State Council of China is promoting free preschool education as a significant public welfare initiative, emphasizing the need for local governments to develop detailed plans and ensure funding [5] - The Chinese government has proposed the establishment of a World Artificial Intelligence Cooperation Organization, with a preliminary plan for its headquarters to be in Shanghai [6] Group 4 - In the first half of 2023, profits of large-scale industrial enterprises in China totaled 343.65 billion yuan, reflecting a year-on-year decline of 1.8% [6] - The China Securities Regulatory Commission is focused on stabilizing the market and promoting long-term capital inflows, with several key reforms underway [7] Group 5 - Two new stocks are set to be issued this week: Tianfulong (603406.SH) and Guangdong Jianke (301632.SZ) [8][9] - The market is experiencing structural rotation, with a focus on sectors such as non-bank financials, consumer goods, and technology [10][11][12][13][14][15][16][17][18][19]

Group 1 - In Q2 2025, actively managed equity public funds continued to increase their holdings in Hong Kong stocks, with the proportion of Hong Kong stocks in their portfolios rising to 20% [1] - The concentration of holdings among actively managed public funds decreased, indicating a shift towards mid and small-cap stocks in Hong Kong [1] - The investment strategy involved increasing allocations to both growth assets like pharmaceuticals and consumer sectors, as well as dividend-paying assets such as non-bank financials and banks [1] Group 2 - Passive index funds also saw continued inflows into Hong Kong stocks, with approximately 280 billion yuan flowing in during Q2 2025, although at a slower rate compared to Q1 [2] - The total inflow through the Hong Kong Stock Connect for public funds in the first half of 2025 reached nearly 200 billion yuan, with a projected total for the year between 300 billion and 450 billion yuan [2] - The potential for further inflows remains significant, with an estimated theoretical allocation space of about 300 billion yuan for actively managed public funds [2] Group 3 - The momentum for southbound capital inflows is recovering, suggesting that Hong Kong stocks may outperform A-shares in the second half of the year [3] - The technology sector in Hong Kong is expected to become a key focus, driven by advancements in AI and easing of trade restrictions between China and the US [3] - Other sectors such as high-dividend stocks, new consumption, and innovative pharmaceuticals are also highlighted as areas of interest for investment in the latter half of the year [3]

Investment Rating - The industry investment rating is "Overweight" (maintained) [1] Core Viewpoints - The report highlights a significant increase in trading volume, with daily stock transactions exceeding 2 trillion yuan, indicating a robust market recovery [4] - The report emphasizes the low allocation of the brokerage sector in actively managed funds, suggesting potential for growth as the sector remains undervalued [4] - The insurance sector is experiencing a reduction in preset interest rates, which is expected to lower liability costs and enhance the competitiveness of traditional insurance products [5] Summary by Sections Non-Bank Financials - The brokerage sector's daily trading volume has reached 2.23 trillion yuan, a 19.4% increase week-on-week, reflecting heightened market activity [4] - The report notes that the allocation of brokerages in actively managed funds is only 0.78%, which is significantly below the average of the past five years, indicating a potential for reallocation and growth [4] Insurance - The preset interest rate for ordinary life insurance has been adjusted down to 1.99%, a decrease of 14 basis points from the previous rate, aligning with market expectations [5] - Major insurance companies are adjusting their new insurance products' preset interest rates, which is anticipated to accelerate the industry's transformation and improve the cost-effectiveness of dividend insurance products [5] Recommended and Beneficiary Stocks - Recommended stocks include Guotai Junan, Dongfang Securities, Hong Kong Exchanges, and others, while beneficiary stocks include Guosen Securities and China Pacific Insurance [6]

Quantitative Models and Construction Methods 1. Model Name: Genetic Programming Industry Rotation Model - **Model Construction Idea**: This model directly extracts factors from industry indices' price-volume and valuation data, updating the factor library at the end of each quarter. It selects the top five industries with the highest multi-factor composite scores for equal-weight allocation on a weekly basis[3][32] - **Model Construction Process**: - Factor extraction is performed on industry indices based on price-volume and valuation data - The factor library is updated quarterly - Weekly rebalancing is conducted, selecting the top five industries with the highest composite scores for equal-weight allocation[3][32] - **Model Evaluation**: The model achieved strong absolute and relative returns but exhibited rapid industry rotation, leading to slight underperformance against the benchmark in the previous week[3][32] 2. Model Name: Absolute Return ETF Simulated Portfolio - **Model Construction Idea**: Asset allocation weights are determined based on recent trends, with stronger-trending assets assigned higher weights. Equity allocation within the portfolio follows the monthly views of an industry rotation model[4][37] - **Model Construction Process**: - Asset classes are weighted based on recent trend strength - Equity allocation is determined by a monthly industry rotation model - The portfolio includes equity ETFs (e.g., dividend, healthcare, metals) and commodity ETFs (e.g., energy, soybean meal)[4][39] - **Model Evaluation**: The portfolio demonstrated stable performance with a focus on trend-following and diversification[4][37] --- Model Backtesting Results 1. Genetic Programming Industry Rotation Model - **Annualized Return**: 31.87% - **Annualized Volatility**: 18.18% - **Sharpe Ratio**: 1.75 - **Maximum Drawdown**: -19.63% - **Calmar Ratio**: 1.62 - **Year-to-Date (YTD) Return**: 28.68% - **Weekly Performance**: 3.03%[35] 2. Absolute Return ETF Simulated Portfolio - **Annualized Return**: 6.53% - **Annualized Volatility**: 3.82% - **Maximum Drawdown**: -4.65% - **Sharpe Ratio**: 1.71 - **Calmar Ratio**: 1.41 - **Year-to-Date (YTD) Return**: 5.58% - **Weekly Performance**: 0.33%[38] --- Quantitative Factors and Construction Methods 1. Factor Name: Market Intrinsic Momentum Indicators - **Factor Construction Idea**: These indicators measure the internal momentum of the market by analyzing the distribution of individual stock performance[18][19] - **Factor Construction Process**: - **Indicator 1**: Daily turnover difference between rising and falling stocks, normalized by total turnover $ \text{Indicator 1} = \frac{\text{Turnover of rising stocks - Turnover of falling stocks}}{\text{Total turnover}} $ - **Indicator 2**: Monthly high-low turnover difference, normalized by total turnover $ \text{Indicator 2} = \frac{\text{Turnover of stocks hitting monthly highs - Turnover of stocks hitting monthly lows}}{\text{Total turnover}} $ - **Indicator 3**: Six-month high-low turnover difference, normalized by total turnover $ \text{Indicator 3} = \frac{\text{Turnover of stocks hitting six-month highs - Turnover of stocks hitting six-month lows}}{\text{Total turnover}} $ - **Indicator 4**: Annual high-low turnover difference, normalized by total turnover $ \text{Indicator 4} = \frac{\text{Turnover of stocks hitting annual highs - Turnover of stocks hitting annual lows}}{\text{Total turnover}} $[18][19] - **Factor Evaluation**: These indicators effectively capture short-term and long-term market strength and provide strong signals for market trends[19] --- Factor Backtesting Results 1. Market Intrinsic Momentum Indicators - All four indicators showed upward trends in recent periods, aligning with the market's upward trajectory, indicating strong internal momentum supporting the index's rise[19]

Group 1 - The core conclusion of the report indicates that a bullish market atmosphere is forming, but there is significant divergence among investors regarding the level of the bull market. The analysis highlights that in small bull markets, earnings are crucial, while in large bull markets, earnings are not the most important factor [2][7][19] - Since 1995, there have been three significant bull markets (with gains exceeding 150%) occurring in 1996-1997, 2005-2007, and 2014-2015, with only one (2005-2007) coinciding with a nominal GDP upturn. In contrast, smaller bull markets (with gains around 50-100%) also occurred three times, all during nominal GDP upturns [3][8][10] - The relationship between macro liquidity (interest rates) and the level of the stock market bull market is weak. Among the four bull markets since 2005, two experienced rising interest rates (2006-2007, 2009), one saw a decline (2014-2015), and one experienced fluctuations (2019-2021) [3][13][15] Group 2 - The report emphasizes that large bull markets are often catalyzed by policies and stock market funding. Historical data shows that when equity financing scales are lower than the dividends of listed companies, larger bull markets tend to follow. This pattern was observed in 1995, 2005, and 2013, leading to significant bull markets in the subsequent years [3][17][20] - The report suggests that the current market conditions, characterized by weak corporate earnings, positive policy stances, and active thematic opportunities, resemble previous periods that led to comprehensive bull markets. It predicts that as policy expectations increase in the second half of the year, the stock market is likely to enter a main upward trend [19][24][25]

60 只公募基金持有转债规模超 10 亿元。截止 2025Q2，持有转债市值超 10亿元的基金（不包含可转债基金）共有60只，合计持有转债市值1709.87 亿元，环比 25Q1 下降 3.41%，占投资转债公募基金市值的 62.71%；持 有转债市值超 1 亿元的基金（不包含可转债基金）共有 311 只，合计持有 转债市值 2494.35 亿元，环比 25Q1 下降 3.30%，占投资转债公募基金市 值的 91.48%。 固定收益点评 可转债基金持有转债市值环比下降 3.42%，转债仓位和杠杆率均小幅上 升。截止 2025Q2，可转债基金（同花顺开放式基金分类中的可转换债券 型基金）共计 40 只，持有转债市值共计 852.33 亿元，较 2025Q1 下降 30.22 亿元，环比下降 3.42%。可转债仓位由 25Q1 的 84.49%上升至 84.99%，环比上季度上升 0.50pcts。由于转债供需趋紧、权益主题行情不 断，可转债基金的转债仓位继续上行。与此同时，可转债基金资产净值下 降速率高于基金资产总值下降速率，转债基金杠杆率由 137%上升至 142%，增长了 5pcts。 供给减少，基金如何调 ...

（二）券商最新研判 （一）重磅消息 据新华社报道，国务院总理7月26日在上海出席2025世界人工智能大会暨人工智能全球治理高级别会议 开幕式并致辞。围绕如何把握人工智能公共产品属性、推进人工智能发展和治理，提出三点建议。一是 更加注重普及普惠，充分用好人工智能发展的已有成果。二是更加注重创新合作，力求更多突破性的人 工智能科技硕果。三是更加注重共同治理，确保人工智能在造福人类上最终修成正果。 信达证券：当下市场具备政策和流动性驱动牛市的条件 牛市重要的驱动力量之一是股市政策驱动股权融资减少。2023年下半年以来，随着股权融资规模的下 降，股市的供需结构也在扭转。当下市场也具备政策和流动性驱动牛市的条件。 战略上，2025年下半年可能会出现类似2014年下半年的突破，战术上要等待经济或政策的催化。估值位 置偏低、上市公司盈利偏弱、政策基调积极、各类主题机会活跃，这些很像2013年~2014年年中和2019 年的震荡市，最终的结局大概率是更全面的牛市。战术层面，之前突破的临界点均有政策和经济高频数 据催化，目前需要等待观察1~2个月。 行业配置方面，稳健策略包括非银、银行，指数权重大且机构低配。需要轮动的策略上， ...

Group 1 - The report discusses the rationale behind the "bull market atmosphere," emphasizing that time is a friend to the bull market as it supports fundamental improvements and incremental capital inflows [3][4][6] - The midstream manufacturing sector is expected to see supply-demand improvements starting in mid-2026, with a significant reduction in capital expenditures leading to a prolonged window for supply-demand balance [4][6][8] - The report notes that while conditions for residents to fully allocate equity are still lacking, the accumulation of profit effects has accelerated, with the fund-heavy stock index rising by 11% since June 23 [4][6][8] Group 2 - The report highlights that the "high-cut low" market behavior is not just a temporary phase but is supported by the "anti-involution" trend and the catalytic effects of major hydropower projects [8][9][10] - It suggests that the current market is in a transitional phase, seeking to identify the main structural themes of the bull market, with opportunities to explore new structural chances [10][11] - The report identifies non-bank financials and innovative pharmaceuticals as clear mid-term opportunities, while also suggesting a strategic focus on Hong Kong stocks, particularly in internet leaders, new consumption, and high-dividend stocks [10][11]

Core Viewpoint - The article provides an overview of the mid-year earnings forecasts for A-shares in 2025, highlighting a significant number of companies with positive earnings expectations compared to those with negative forecasts [1][2]. Group 1: Company Earnings Forecast Types - As of July 24, over 1,500 companies have released their mid-year earnings forecasts, with 890 companies expecting positive earnings (including increases, reduced losses, and continued profits) and 685 companies anticipating negative earnings (including first losses and profit reductions) [1]. Group 2: Industry Earnings Forecast Statistics - Among the 30 industries tracked, 12 industries have more than 50% of companies forecasting positive earnings, including non-bank financials, utilities, telecommunications, automotive, electronics, and more [2]. Group 3: Earnings Forecast Rankings - 70 companies are expected to report a net profit of over 1 billion yuan, with 5 companies forecasting profits exceeding 10 billion yuan. China Shenhua leads with an expected net profit of 23.6 billion to 25.6 billion yuan [5][6]. Group 4: Top 30 Companies by Earnings Forecast - The top three companies by forecasted net profit are: 1. China Shenhua: 236-256 billion yuan [6] 2. Zijin Mining: 232 billion yuan [6] 3. Guotai Junan: 152.83-159.57 billion yuan [6]. Group 5: Year-on-Year Net Profit Growth - 29 companies with positive earnings forecasts expect net profit growth exceeding 1000% compared to last year, with Southern Precision Engineering forecasting a staggering increase of 28647%-35784% [7][8]. Group 6: Year-on-Year Net Profit Decline - Among the companies with negative earnings forecasts, *ST Nanzhi is expected to see the largest decline, with a projected drop of 18396.17%-25257.32%, resulting in a loss of 800 million to 1.1 billion yuan [9][10]. Group 7: Securities Firms Earnings Forecast - 29 listed securities firms have released their mid-year earnings forecasts, with Guotai Haitong predicting the highest net profit of 152.83-159.57 billion yuan, followed by China Galaxy with 63.62-68.01 billion yuan [11][12].