Quantitative Models and Construction 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. Implied volatility reflects market participants' expectations of future volatility [8]. - **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^1 $ $ dv_t = \kappa (\theta - v_t) dt + \sigma \sqrt{v_t} dW_t^2 $ Here: - \( S_t \): Asset price - \( v_t \): Variance - \( \mu \): Drift rate - \( \kappa \): Mean reversion speed - \( \theta \): Long-term variance - \( \sigma \): Volatility of variance - \( W_t^1, W_t^2 \): Correlated Wiener processes [8] 2. Model Name: Multi-Sector Timing Model (Scissor Difference Strategy) - **Model Construction Idea**: This model uses the difference in the number of bullish and bearish signals among sector constituents to construct a timing strategy. If no bullish or bearish signals are present, the scissor difference is set to zero. The model aims to outperform sector indices [16]. - **Model Construction Process**: - Count the number of bullish and bearish signals for each sector's constituent stocks daily. - Compute the scissor difference as the difference between bullish and bearish signals. - If both counts are zero, the scissor difference is set to zero. - Construct a timing strategy based on the scissor difference ratio [16]. - **Model Evaluation**: The model historically outperformed all sector indices, demonstrating excellent backtesting performance [16]. --- Model Backtesting Results 1. Heston Model - **Implied Volatility Results**: - SSE 50: 11.85% (down 0.88% WoW) - SSE 500: 14.35% (down 1.59% WoW) - CSI 1000: 18.06% (down 0.42% WoW) - CSI 300: 12.64% (down 0.73% WoW) [10] 2. Multi-Sector Timing Model - **Sector Outperformance**: The model outperformed all sector indices, achieving a 100% success rate in backtesting [16]. --- Quantitative Factors and Construction 1. Factor Name: Shape-Based Timing Signals - **Factor Construction Idea**: Shape-based signals are derived from historical K-line patterns, including bullish patterns (e.g., "Golden Needle Bottom," "Rocket Launch," "Manjianghong") and bearish patterns (e.g., "Hanging Line," "Paradise Line," "Dark Cloud Cover"). These patterns indicate potential price reversals [24]. - **Factor Construction Process**: - Identify specific K-line patterns based on predefined criteria. - Evaluate the historical performance of these patterns in predicting price movements. - Use the patterns to generate timing signals for individual stocks [24]. - **Factor Evaluation**: Bullish patterns like "Golden Needle Bottom" and "Rocket Launch" demonstrated strong positive predictive power [24]. --- Factor Backtesting Results 1. Shape-Based Timing Signals - **Signal Statistics**: - Positive signals: 2,699 occurrences, with an average future high-point success rate of 28.25% - Negative signals: 3,525 occurrences, with an average future low-point success rate of 71.88% [13] 2. Sector Timing Signals - **Bullish Sectors**: Home Appliances, Comprehensive, Communication, Textile & Apparel, Consumer Services, Transportation, Petrochemicals [19] 3. Stock-Specific Signals - **Consecutive Bullish Signals**: - 5-day signals: Stocks like Kailong Co. and Shipu Testing [21] - 4-day signals: Stocks like Jiangnan Chemical, Beijing-Shanghai High-Speed Railway, and Nandu Property [22][23] - **Special Bullish Patterns**: - Stocks like Retired Longyu ("Arrow on the String") and Suotong Development ("Manjianghong") [25][26] 4. Broker Gold Stock Signals - **Highlighted Stocks**: BYD, Feilihua, Wancheng Group, Sichuan Road & Bridge, Wolong Electric Drive, Lansheng Co., PetroChina, Dongpeng Beverage [29][33]

Core Viewpoint - The National Development and Reform Commission (NDRC) is actively promoting over 3,200 projects to stimulate private investment, with a total investment exceeding 3 trillion yuan, aiming to enhance the participation of private enterprises in major national projects [1][2]. Group 1: Project Promotion and Investment - The NDRC has introduced a platform to promote projects focusing on key sectors such as transportation, energy, water conservancy, and new infrastructure, facilitating the attraction of private capital [2][3]. - As of June 20, 2023, a total of 11,745 projects have been promoted to private capital, with a total investment amounting to 10.14 trillion yuan [3]. Group 2: Private Investment Growth - From January to May 2023, private investment remained stable, with a year-on-year growth of 5.8% in non-real estate private investment [4]. - The hospitality and catering sector saw a significant increase in private investment by 25.3%, while the cultural, sports, and entertainment sectors grew by 10.0% [4]. Group 3: Regional Initiatives - Various provinces have released investment project lists aimed at attracting private capital, with Hubei planning to introduce 916.7 million yuan across 229 projects, and Shanxi planning 622 million yuan across 60 projects [5]. - Yunnan has established a project database with 382 projects totaling 345.66 billion yuan, covering diverse sectors such as energy, agriculture, and digital economy [5].

Market Overview - The A-share market experienced a decline last Friday, with the Shanghai Composite Index falling by 0.07% to 3,359.90 points, the Shenzhen Component Index down by 0.47% to 10,005.03 points, and the ChiNext Index decreasing by 0.83% to 2,009.89 points. The total trading volume in the A-share market was 1.07 trillion RMB, with net purchases from southbound funds amounting to 1.55 billion HKD. Over 3,400 stocks in the A-share market saw declines [2][6]. - In terms of industry performance, transportation, food and beverage, and banking sectors led the gains, while media and computer sectors faced the largest declines. Among concept sectors, PET copper foil and photolithography concepts showed significant increases, while combustible ice and brain-computer interface concepts experienced notable declines [2][6]. Important News - The China Securities Regulatory Commission (CSRC) is seeking public opinion on the revised draft of the "Securities Company Classification Evaluation Regulations." The CSRC aims to optimize the classification evaluation system for securities companies, focusing on high-quality development and adjusting scoring mechanisms to enhance evaluation rationality [3][6]. - The Financial Regulatory Administration has revised the "Market Risk Management Measures for Commercial Banks," which no longer includes interest rate risk from bank books. Instead, it focuses on risks arising from adverse changes in interest rates, exchange rates, stock prices, and commodity prices that could affect bank profits and losses. Additionally, the compensation for market risk management personnel should not be linked to direct operating profits [7].

Group 1 - The article emphasizes the importance of focusing on industries with marginal structural changes as the earnings forecast period approaches, suggesting that sectors with inventory depletion and contract liabilities are likely to see performance improvements [4] - The North American AI hardware supply chain is highlighted as a preferred investment area, along with sectors expected to report good earnings and reasonable valuations such as wind power, gaming, and pet industries [1][3] - The article discusses the potential for a rebound in the Hong Kong stock market, particularly in electric vehicles, innovative pharmaceuticals, and new consumption sectors, despite recent weakness due to liquidity tightening and increased share placements [1][3] Group 2 - The article notes that external risks, such as the potential for tariffs from the U.S. and the impact of tax legislation, could negatively affect non-U.S. markets [2] - It suggests that the trend of the U.S. dollar depreciating may benefit Chinese assets, with the Hong Kong market expected to see increased liquidity and investment opportunities as a result [5][6] - The article indicates that the A-share market is likely to experience a volatile upward trend in the second half of the year, supported by policy measures and the expansion of equity funds [8] Group 3 - The article highlights the importance of structural investment opportunities, particularly in sectors that are experiencing growth due to economic transformation and rising consumer income [9] - It suggests that the A-share market is currently in a phase of consolidation, with external uncertainties and domestic demand issues impacting performance [10][13] - The article recommends focusing on defensive assets and sectors with high dividend yields, as well as technology and consumer sectors that are expected to benefit from policy support [8][12]

Quantitative Models and Construction - **Model Name**: Three-dimensional Timing Framework **Construction Idea**: The model integrates liquidity, divergence, and prosperity indicators to assess market timing and risk levels[7][14][16] **Construction Process**: 1. **Liquidity Index**: Tracks market liquidity trends[22] 2. **Divergence Index**: Measures market disagreement levels[20] 3. **Prosperity Index**: Evaluates industrial prosperity trends[26] 4. Combines these three dimensions to form a comprehensive timing framework[14] **Evaluation**: Demonstrates stable performance in identifying market timing opportunities[16] - **Model Name**: Financing-Active Large Order Flow Intersection Strategy **Construction Idea**: Combines financing and large order flows to identify industries with strong capital inflows[34][40] **Construction Process**: 1. **Financing Flow Factor**: Neutralizes market capitalization and calculates the net financing buy-sell difference over a 50-day average[40] 2. **Active Large Order Flow Factor**: Neutralizes transaction volume and ranks net inflows over the past year, using a 10-day average[40] 3. Filters extreme industries and integrates both factors to enhance stability[40] **Evaluation**: Achieves stable annualized excess returns with reduced drawdowns compared to other strategies[40] Quantitative Models Backtesting Results - **Three-dimensional Timing Framework**: Historical performance shows stable risk assessment and timing capabilities[16] - **Financing-Active Large Order Flow Intersection Strategy**: - Annualized excess return: 13.5% - IR: 1.7[40] - Weekly absolute return: -1.6% - Weekly excess return: -0.1%[40] Quantitative Factors and Construction - **Factor Name**: Valuation Factors **Construction Idea**: Focuses on valuation metrics such as earnings yield and book-to-market ratios[46][47] **Construction Process**: 1. **Earnings Yield (ep_fy3)**: $ ep\_fy3 = \frac{1}{PE\_FY3} $ 2. **Book-to-Market Ratio (bp)**: $ bp = \frac{Shareholder\_Equity}{Market\_Value} $ 3. Neutralizes industry and market capitalization effects[46][48] **Evaluation**: Demonstrates strong performance across multiple timeframes and indices[46][48] - **Factor Name**: Growth Factors **Construction Idea**: Captures growth metrics such as revenue and profit growth rates[46][49] **Construction Process**: 1. **Revenue Growth (yoy_or)**: $ yoy\_or = \frac{Current\_Revenue - Previous\_Revenue}{Previous\_Revenue} $ 2. **Profit Growth (yoy_np)**: $ yoy\_np = \frac{Current\_Net\_Profit - Previous\_Net\_Profit}{Previous\_Net\_Profit} $ 3. Neutralizes industry and market capitalization effects[46][50] **Evaluation**: Performs better in large-cap indices and shows consistent excess returns[49][50] Quantitative Factors Backtesting Results - **Valuation Factors**: - Weekly excess return: 1.5%-2.18% - Monthly excess return: 1.46%-3.85%[48] - **Growth Factors**: - Weekly excess return: 1.52%-3.89% - Monthly excess return: 0.79%-3.02%[50] Quantitative Portfolios and Construction - **Portfolio Name**: Index Enhancement Portfolios **Construction Idea**: Adjusts factor selection based on research coverage to enhance index performance[51] **Construction Process**: 1. Divides stocks into high and low research coverage domains[51] 2. Applies suitable factors for each domain to optimize portfolio construction[51] **Evaluation**: Outperforms original index selection methods in terms of excess returns[51] Quantitative Portfolios Backtesting Results - **Index Enhancement Portfolios**: - **HS300**: - Weekly absolute return: -0.89% - Weekly excess return: 0.03% - Annualized excess return: 7.77%[52] - **CSI500**: - Weekly absolute return: 0.16% - Weekly excess return: 0.40% - Annualized excess return: 9.82%[52] - **CSI1000**: - Weekly absolute return: -0.58% - Weekly excess return: -0.74% - Annualized excess return: 9.26%[52]

Group 1 - The report highlights the recent intensive disclosure period for convertible bond rating adjustments, indicating that if ratings are downgraded, selling pressure on individual bonds may increase. However, after the adjustment period, if the credit quality of bonds not downgraded shows improvement for 2025, it could support a rise in bond prices [2][11] - A convertible bond credit scoring model has been constructed to track changes in credit conditions for Q1 2025, allowing for the observation of marginal optimizations in financial indicators and credit quality across individual bonds and industries [2][12] - The credit scoring model includes six dimensions: scale level, operational capability, profitability, economic conditions, leverage level, and profitability, with scores reflecting the relative strength of fundamentals among sampled entities [3][12] Group 2 - The report identifies the top five industries with weakened credit conditions as coal, light manufacturing, automotive, transportation, and household appliances, while the top five industries with improved credit conditions are agriculture, non-bank financials, oil and petrochemicals, media, and computers [3][12] - Specific examples from the model show that the coal industry has weakened in terms of debt repayment ability, economic conditions, and leverage, while the agriculture sector has shown improvements in economic conditions, profitability, and debt repayment ability [3][12] - The report suggests a credit digging strategy based on the model's results, indicating that bonds priced between 100 to 120 yuan have shown varying credit score changes, with those priced below 100 yuan showing a decline, while those in the 100-105 yuan range have shown significant improvement [3][13] Group 3 - The overall economic stability in China is noted, with limited downside potential in the stock market, likely leading to a structural market fluctuation. The financial and public utility sectors are expected to attract incremental capital due to their stable profitability [4][34] - The report recommends focusing on specific sectors such as AI models and robotics, which are expected to drive the high-end manufacturing industry's growth, and suggests monitoring companies like Lingyi, Dongcai, and Wentai [4][34] - It also highlights that the new energy and automotive parts sectors are anticipated to see a recovery in economic conditions in the second half of the year, recommending attention to companies like Mingli, Huayou, Qilin, and Yiwei [4][34]

Report Industry Investment Rating The provided content does not mention the report industry investment rating. Core Viewpoints of the Report - China remains in a marginal de - leveraging process, with the goal of stabilizing the macro - leverage ratio unchanged. The large - scale debt resolution reduces local government financing costs and the probability of large - scale defaults and liquidity risks [2]. - The current loose money - market conditions are difficult to sustain, and the peak of the current round of money - market conditions is expected to occur between June 23 and July 4 [2][7]. - The stock - bond ratio favors bonds, and the equity style trends towards value. Currently, long - term bonds have a slightly higher cost - performance ratio than value - type equity assets [6][22][23]. Summary by Directory 1. National Balance Sheet Analysis Liability Side - In May 2025, the liability growth rate of the real - sector was 8.9%, slightly lower than the previous value of 9.0%. It is expected to reach its peak in April, decline to around 8.8% in June, and then gradually decline to around 8% by the end of the year [2][17]. - The money - market conditions of the financial sector were marginally stable and slightly loose last week. Given the marginal de - leveraging of the real sector, the loose money - market conditions are unlikely to continue [2][17]. - The net reduction of government bonds last week was 316 billion yuan, lower than the planned net increase of 218.6 billion yuan. This week, the planned net increase is 575.4 billion yuan. The government liability growth rate was 14.8% at the end of May, expected to rise slightly above 15% in June and then decline to around 12.5% by the end of the year [3][18]. Monetary Policy - Last week, the average weekly trading volume and price of funds increased, and the term spread widened. After adjusting for seasonal effects, the money - market conditions were marginally stable and slightly loose [3][18]. - The yield of one - year Treasury bonds decreased to 1.36% at the end of the week. The lower limit of the one - year Treasury bond yield is estimated to be around 1.3%, the lower limit of the ten - year Treasury bond yield is around 1.7%, and the lower limit of the thirty - year Treasury bond yield is around 1.9% [3][18]. Asset Side - In May, the physical - quantity data weakened compared to April. The government's target for the annual real economic growth rate in 2025 is around 5%, and the nominal economic growth rate target is around 4.9%. It is necessary to further observe whether this will become the central target for China's nominal economic growth in the next 1 - 2 years [4][19]. 2. Stock - Bond Cost - Performance and Stock - Bond Style - Last week, the money - market conditions were marginally stable and slightly loose, but risk appetite continued to decline. Funds flowed more towards short - term bonds, resulting in a continued "bearish stocks, bullish bonds" situation with a value - dominant style [6][21]. - The yields of short - term and long - term bonds declined slightly. The ten - year Treasury bond yield remained stable at 1.64%, the one - year Treasury bond yield decreased by 5 basis points to 1.36%, and the thirty - year Treasury bond yield decreased by 1 basis point to 1.84% [6][21]. - The broad - based rotation strategy outperformed the CSI 300 index by 0.52 percentage points last week and has outperformed it by 6.45 percentage points since July, with a maximum drawdown of 0.0% [6]. - The report recommends a portfolio of 40% dividend index, 40% SSE 50 index, and 20% 30 - year Treasury bond ETF [7][23]. 3. Industry Recommendation 3.1 Industry Performance Review - The A - share market declined with lower trading volume this week. The Shanghai Composite Index fell 0.51%, the Shenzhen Component Index fell 1.16%, and the ChiNext Index fell 1.66% [27]. - Among the Shenwan primary industries, banks, communications, electronics, food and beverages, and household appliances had the largest increases, while beauty care, textile and apparel, pharmaceutical biology, non - ferrous metals, and social services had the largest declines [27]. 3.2 Industry Crowding and Trading Volume - As of June 20, the top five industries in terms of crowding were electronics, computers, power equipment, machinery and equipment, and pharmaceutical biology, while the bottom five were comprehensive, beauty care, steel, coal, and building materials [29]. - This week, the top five industries with increased crowding were electronics, power equipment, communications, machinery and equipment, and computers, while the top five with decreased crowding were pharmaceutical biology, non - ferrous metals, national defense and military industry, automobiles, and textile and apparel [29]. - The average daily trading volume of the entire A - share market decreased from 1.37 trillion yuan last week to 1.22 trillion yuan this week. The industries with the highest year - on - year growth in trading volume were petroleum and petrochemicals, national defense and military industry, electronics, computers, and public utilities [30]. 3.3 Industry Valuation and Earnings - This week, among the Shenwan primary industries, banks, communications, electronics, food and beverages, and household appliances had the largest increases in PE(TTM), while beauty care, textile and apparel, pharmaceutical biology, non - ferrous metals, and social services had the largest declines [34]. - As of June 20, 2025, industries with high full - year 2024 earnings forecasts and relatively low current valuations compared to history include coal, petroleum and petrochemicals, power equipment, pharmaceutical biology, and consumer electronics [35]. 3.4 Industry Prosperity - In terms of external demand, there were mixed trends. The global manufacturing PMI in May fell from 49.8 to 49.6, while most of the disclosed PMIs of major economies in May rebounded. The CCFI index rose 8% week - on - week [39]. - In terms of domestic demand, second - hand housing prices declined in the latest week, and quantitative indicators showed mixed trends. The traffic volume of trucks on expressways increased, and the capacity utilization rate of ten industries showed a slight rebound in May and continued to rise slightly in June [39]. 3.5 Public Fund Market Review - In the third week of June (June 16 - 20), most active public equity funds underperformed the CSI 300. The 10%, 20%, 30%, and 50% weekly returns were 0.4%, - 0.2%, - 0.6%, and - 1.2% respectively, while the CSI 300 fell 0.45% [53]. - As of June 20, the net asset value of active public equity funds was estimated to be 3.41 trillion yuan, slightly lower than 3.66 trillion yuan in Q4 2024 [53]. 3.6 Industry Recommendation - In the de - leveraging cycle, the stock - bond ratio favors equity to a limited extent, and the value style is more likely to dominate. Dividend - type stocks are generally expected to have the characteristics of non - expansion, good earnings, and survival [8][23][57]. - 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 petrochemicals, and transportation [8][9][57].

Core Insights - The article highlights a significant increase in financing events and amounts in the primary market, indicating a growing interest from investors in various sectors [4][11]. Financing Overview - As of June 20, 2025, there were 118 financing events this week, an increase of 31 from the previous week, with a total financing amount of approximately 5.627 billion yuan, up by 2.959 billion yuan [4]. - Among these events, 23 had financing amounts of 100 million yuan or more, an increase of 10 from last week [4]. - There were 35 public exit cases this week, an increase of 9 from the previous week [4]. Financing Amount Distribution - A total of 69 financing events disclosed amounts this week, with the distribution as follows: - 4 events under 5 million yuan - 35 events between 5 million and 10 million yuan - 6 events between 10 million and 50 million yuan - 15 events between 50 million and 100 million yuan - 2 events between 100 million and 500 million yuan - 2 events between 500 million and 1 billion yuan - 1 event over 1 billion yuan [5]. Notable Investment Events - **New Energy Vehicles**: Kavin Automotive raised 1.209 billion yuan through a capital increase agreement, focusing on low-carbon and zero-carbon industrial ecosystems [7]. - **Quadruped Robots**: Yushu Technology completed nearly 700 million yuan in Series C financing, led by major investors including Tencent and Alibaba [7]. - **Display Panels**: Shenzhen Xinshi Technology secured approximately 600 million yuan in Pre-A round financing, focusing on silicon-based OLED micro-display technology [8]. - **Logistics**: Zhejiang China Light Textile City Group announced a 500 million yuan capital increase from ICBC Financial Asset Investment [8]. Industry Distribution - The financing events spanned 14 industries, with the top five being: - Equipment Manufacturing: 24 events - Electronics: 23 events - Healthcare: 19 events - Information Technology: 18 events - Consumer Goods and Services: 8 events - These five industries accounted for 77.97% of all financing events [11][12]. Regional Distribution - The top five regions for financing events were Guangdong, Jiangsu, Beijing, Shanghai, and Zhejiang, totaling 84 events, which is 71.19% of all events [16]. Financing Rounds - Angel and A rounds were the most active, totaling 78 events, with early-stage financing (A round and earlier) accounting for 67.80% of the total [20]. Exit Situation - There were 35 public exit cases this week, with the electronics sector leading in exit cases, followed by materials and energy-saving industries [27][29].

Group 1 - The Ministry of Transport emphasizes the need to implement the State Council's executive meeting spirit and the requirements of the "Implementation Plan for Further Improving the Credit Repair System" [1] - The ministry plans to expedite the formulation of a management method for the list of seriously untrustworthy entities in the transportation sector [1] - A unified industry credit repair system will be established to create a new regulatory mechanism based on credit in the transportation sector [1] Group 2 - The initiative aims to promote the construction of a unified and open transportation market [1]

Group 1 - The overall Consumer Price Index (CPI) increased by 0.38% year-on-year for the twelve months ending in May 2025 [1][2] - Significant price increases were observed in categories such as Miscellaneous Goods and Services (+2.41%), Education (+1.9%), and Medical (+1.44%), while Transportation (-2.87%) and Information and Communication (-1.34%) saw declines [2] - The CPI for food and non-alcoholic beverages rose by 0.55% in the first five months of the year, contributing to the overall CPI increase [2] Group 2 - In May 2025, the CPI decreased by 0.05% compared to April, with notable declines in Transportation (-0.56%) and Recreation, Sports, and Culture (-0.42%) [1] - The price index for food and non-alcoholic beverages fell by 0.03% month-on-month, driven by lower prices for fruits, fresh fish, seafood, cooking oil, and vegetables [1] - The price indices for Clothing (+0.71%) and Household Equipment and Services (+0.28%) increased month-on-month [1]