Domestic Market Overview - The domestic market experienced a decline, with the Shanghai Composite Index closing at 3377 points, down 0.75%, and the Shenzhen Component Index at 10122.11 points, down 1.1% [1][4] - The total trading volume of the A-share market reached 15040 billion, showing an increase compared to the previous day [1][4] - Among the 30 sectors, only 4 sectors saw gains, with notable increases in oil and petrochemicals, national defense and military, and electric power and utilities, while comprehensive finance, media, and textile and apparel sectors faced significant declines [1][4] Overseas Market Overview - The three major U.S. stock indices all closed lower, with the Dow Jones down 1.79%, the S&P 500 down 1.13%, and the Nasdaq down 1.3% [2][4] - Major technology stocks also fell, with Nvidia dropping over 2% and Facebook down more than 1% [2][4] Financial Data - The People's Bank of China reported that the social financing scale increased by 18.63 trillion yuan in the first five months, which is 3.83 trillion more than the same period last year [9][16] - As of the end of May, the broad money (M2) balance was 325.78 trillion yuan, reflecting a year-on-year growth of 7.9% [9][16] Key News - The State Council held a meeting to deploy pilot measures for the China (Shanghai) Free Trade Zone, aiming to replicate and promote these measures to enhance high-level opening-up and deep reforms [14] - The fourth China-Africa Economic and Trade Expo concluded with 176 signed projects amounting to 11.39 billion USD, marking a 45.8% increase in project numbers and a 10.6% increase in project value compared to the previous expo [18]

The provided content does not contain any specific quantitative models or factors, nor does it include their construction processes, formulas, evaluations, or backtesting results. The documents primarily focus on market performance, sector analysis, ETF premiums/discounts, block trading, futures basis, institutional research, and other market-related data. There are no explicit mentions of quantitative models or factors that meet the criteria outlined in the task.

Group 1 - The event "New Quality Guangdong Links Japan - Japanese Enterprises Guangdong Tour" was held in Guangzhou, attracting over 200 Japanese and Chinese enterprises, with more than 800 representatives participating [1] - A total of 68 projects were initiated across various sectors including automotive, biomedicine, low-altitude economy, artificial intelligence, and trade services, with 27 projects signed on-site, amounting to 103.464 billion RMB [1] - CITIC Group aims to establish a long-term cooperation mechanism between Guangdong, Japan, and CITIC, focusing on leveraging opportunities in global markets and enhancing collaboration in fields like industrial intelligence and low-altitude economy [1] Group 2 - CITIC Group's collaboration with Guangdong Province showcases the region's improved investment ecosystem and development vitality, contributing to regional economic prosperity [2] - During the event, CITIC Group signed 20 projects across various sectors, with direct investments of 11.6 billion RMB, financial support of 28.6 billion RMB, and industrial cooperation projects totaling 61.5 billion RMB [2] - The initiatives are aimed at promoting the high-quality development of the Guangdong-Hong Kong-Macao Greater Bay Area [2]

Market Performance - On June 12, 2025, the A-share market experienced narrow fluctuations, with the Shanghai Composite Index rising by 0.01% and the Shenzhen Component Index falling by 0.11%[15] - The total market turnover was 12,716.30 billion CNY, an increase of 163.56 billion CNY compared to the previous trading day[15] - A total of 2,358 stocks rose while 2,902 stocks fell across the market[15] Sector and Style Analysis - Among the 30 CITIC first-level industries, the top performers were Comprehensive Finance (1.57%), Nonferrous Metals (1.32%), and Media (1.31%)[20] - The worst performers included Food and Beverage (-1.16%), Coal (-1.14%), and Agriculture, Forestry, Animal Husbandry, and Fishery (-1.01%)[20] - Fund-heavy stocks outperformed the CSI All Share Index[20] Capital Flow - On June 12, 2025, the net outflow of main funds was 159.12 billion CNY, with large orders contributing to a net outflow of 129.36 billion CNY[24] - Small orders continued to see a net inflow of 181.95 billion CNY[24] ETF Trading Activity - Major ETFs such as the Huaxia SSE 50 ETF and the Huatai-PB CSI 300 ETF saw significant decreases in trading volume, with changes of -5.35 billion CNY and -16.63 billion CNY respectively[29] - The total trading volume for the major ETFs was as follows: SSE 50 ETF (10.82 billion CNY), CSI 300 ETF (27.59 billion CNY), and CSI 500 ETF (5.37 billion CNY)[29] Global Market Overview - On June 12, 2025, major Asia-Pacific indices closed mixed, with the Hang Seng Index down 1.36% and the Nikkei 225 down 0.65%[33] - In the U.S., major indices also saw declines, with the Dow Jones Industrial Average down 0.00% and the S&P 500 down 0.27%[33]

证券研究报告 | 2025年06月11日 $\left[\begin{array}{c}\mbox{E}_{1}\mbox{E}_{2}\mbox{E}_{3}\\ \mbox{E}_{3}\mbox{E}_{4}\mbox{E}_{5}\mbox{E}_{6}\end{array}\right]$. 市场表现：今日(20250611) 大部分指数处于上涨状态，规模指数中沪深 300 指数表现较好，板块指数中创业板指表现较好，风格指数中中证 500 成长指 数表现较好。有色金属、农林牧渔、非银、汽车、综合金融行业表现较好， 医药、通信、电力公用事业、食品饮料、交通运输行业表现较差。稀土永磁、 稀土、钨矿、智能 IC 卡、网络游戏等概念表现较好，阿尔兹海默、光纤、 胶原蛋白、数据中心互联、化妆品等概念表现较差。 市场情绪：今日收盘时有 70 只股票涨停，有 7 只股票跌停。昨日涨停股票 今日收盘收益为 2.19%，昨日跌停股票今日收盘收益为-0.98%。今日封板率 63%，较前日提升 1%，连板率 28%，较前日下降 0%。 市场资金流向：截至 20250610 两融余额为 18170 亿元，其中融资余额 18 ...

1. Report Industry Investment Rating The report does not provide an overall industry investment rating. However, for individual commodities, various ratings such as "oscillating strongly," "oscillating weakly," "oscillating," "rising," and "falling" are given [1][4][6][8][10]. 2. Core Viewpoints of the Report - The overall market is affected by factors such as Sino - US trade negotiations, macro - economic conditions, and supply - demand relationships of various commodities. Different commodities show different trends and investment opportunities due to their own supply - demand fundamentals [1][4][6][8][10]. - The upward breakthrough of stock index futures requires further accumulation of policy and capital benefits, while the long - term upward trend remains unchanged. Bond markets are expected to have no trend - like market due to uncertainties [1]. - For most commodities, the supply - demand relationship is the key factor affecting their prices. For example, commodities with oversupply are likely to have downward pressure on prices, while those with tight supply may see price increases [2][4][6][8][10]. 3. Summary According to Relevant Catalogs Stock Index Futures - The stock index futures are approaching the upper resistance level, and further breakthrough requires the accumulation of policy and capital benefits. The short - term upward momentum is slightly weakened, but the long - term upward trend remains unchanged. It is recommended to lay out IF and IM on dips and pay attention to the impact of Sino - US trade negotiations on market risk preference [1]. Treasury Bonds - The bond market is oscillating. There are uncertainties in domestic and foreign macro - economic conditions and domestic policy rhythms. The bond market is expected to have no trend - like market. In the short term, the capital market and short - term macro - events are the main driving factors. There is some support in the bond market under the loose liquidity environment, but the upward momentum is cautious [1]. Precious Metals - Gold and silver are oscillating strongly. The Sino - US second - round trade negotiations may achieve limited/phase results. The US employment data is resilient, but the risk of re - inflation still exists. It is recommended to buy on dips based on long - term moving averages or continue to hold short - selling out - of - the - money put options for gold. For silver, continue to hold long positions in the 08 contract or hold short - selling out - of - the money put options [1][4]. Non - Ferrous Metals - Copper: The price is oscillating. The macro - economic situation has high uncertainty, and the supply of the mine end is still tight. The demand is cautious due to the macro - uncertainty and the domestic consumption off - season. The LME inventory is continuously decreasing. Short - term market sentiment and funds may magnify price fluctuations [4]. - Aluminum and Alumina: Aluminum is oscillating, and alumina is oscillating weakly. The supply of alumina has uncertainties, but the short - term impact is weakened. The resumption of production increases the supply pressure, and the price may continue to run close to the cost line. The supply of aluminum has clear constraints, but the demand policy has uncertainties [4]. - Nickel: The price is oscillating. The supply of nickel ore in the Philippines is gradually recovering, but there are policy concerns. The downstream stainless steel demand is weak, and the nickel market is in an oversupply situation. It is not advisable to chase short positions for now, and continue to hold previously short - sold call options [4]. Energy and Chemicals - Styrene: The support is strengthening, and new long positions can be entered for EB2508 [2]. - PTA: The supply increase is expected to be clear, and the previously short positions of PTA2509 can be held [2]. - Lithium Carbonate: The supply is in a loose pattern, and the short - sold call options of LC2509 - C - 60000 can be held [2]. - Industrial Silicon: The price is oscillating. The supply is increasing, and the demand is weak. However, the technical side shows signs of over - decline repair. It is recommended to enter short - selling put options [6]. - Crude Oil: The price is oscillating weakly. Although there are positive expectations for trade negotiations and the OPEC production increase is lower than expected, the consumption side is not good, and the global inventory is difficult to reduce. It is not advisable to chase long positions for now [8]. - Polyester: The price is oscillating weakly. The supply increase is expected to be clear, and the market lacks upward driving force [10]. - Methanol: The price is rising. The spot trading has improved significantly, but the terminal demand is in the off - season. Unless the supply is significantly reduced, the price is difficult to rise sharply [10]. - Polyolefins: The price is falling. The restart of maintenance devices increases the supply pressure. If the inventory accumulates in the upper and middle reaches, the price will further decline [10]. Black Metals - Rebar, Hot - Rolled Coil, and Iron Ore: All are oscillating. The Sino - US trade negotiations are in progress, and the market sentiment is cautious. The demand for construction steel is in the off - season, and the supply of iron ore is expected to increase. For rebar, continue to hold short - sold out - of - the money call options; for hot - rolled coil, hold previously recommended short positions; for iron ore, cautious investors can hold the 9 - 1 positive spread combination, and aggressive investors can hold short positions in the I2601 contract [6]. Coal and Coke - Coking Coal and Coke: Both are oscillating weakly. The supply of coking coal is in an oversupply situation, and the demand of steel and coking enterprises is in the off - season. For coke, although there may be production restrictions due to environmental inspections, the terminal demand is weak, and the demand decline rate is higher than the supply decline rate [8]. Building Materials - Soda Ash and Float Glass: Both are in a bearish trend. The supply of soda ash is relatively loose compared to demand, and the high inventory is difficult to digest. For float glass, the demand is affected by the season and the real - estate market, and the inventory is high. Hold previously recommended short positions for soda ash and float glass and consider relevant spread strategies [8]. Agricultural Products - Cotton: The price is oscillating. The short - term fundamental driving force is insufficient, and the price trend depends on the progress of Sino - US trade negotiations [10]. - Rubber: The price is oscillating weakly. The supply is increasing, and the demand is decreasing. The terminal consumption is in the off - season, and the rubber price is difficult to have a trend - like rebound [10].

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- The report does not contain any quantitative models or factors for analysis

Summary of Conference Call Records Industry or Company Involved - Focus on the small-cap stock market and investment strategies within the A-share market Core Points and Arguments 1. **Small-Cap Stock Performance**: In May, small-cap stocks outperformed with an absolute return of over 2 percentage points, confirming the accuracy of the model's predictions. The outlook for June leans further towards small-cap stocks due to macroeconomic factors, market sentiment, and market conditions [1][3][4] 2. **Asset Allocation Views**: The current stance is optimistic towards domestic commodity assets, neutral to optimistic on stock assets, and cautious on bonds. The macro expectation model indicates a cautious view on stocks, neutral on bonds, and optimistic on commodities [5][6] 3. **Industry Rotation Model**: The industry rotation model shows rapid market rotation, with a focus on liquidity, momentum, and research information. In May, the portfolio included banking, home appliances, comprehensive finance, non-ferrous metals, electronic science and technology chips, and steel, achieving a total return of 3.7%, outperforming the benchmark by 0.7% [7][8] 4. **Recommended Industries for June**: The recommended sectors for June include comprehensive services, consumer services, telecommunications, agriculture, forestry, animal husbandry, fishing, steel, and electronics. The comprehensive sector has a high liquidity score, while agriculture and steel have advantages in research information [7][8] 5. **Active Quantitative Stock Selection Strategy**: The small-cap stock selection strategy performed best in May, with a focus on growth and small-cap strategies. The low attention stock selection strategy yielded a return of 9.6%, while the new stock selection strategy returned 7.5% [2][10] 6. **Investment Recommendations for June**: The analysis suggests focusing on dividend and small-cap selection strategies due to their improved cost-effectiveness compared to growth strategies [11] Other Important but Possibly Overlooked Content 1. **Market Sentiment Indicators**: Indicators such as Tianhong Fund's fundraising amount, the proportion of stocks hitting new highs, and the options PCR are all favorable for small-cap stocks [3][4] 2. **Risks to Monitor**: Potential risks include policy changes, sentiment fluctuations, and crowded institutional holdings that could impact small-cap stock performance [4] 3. **Quantitative Models Performance**: The quantitative models developed by the team have shown varying degrees of success, with the reinforcement learning factor extraction model maintaining an 11% cumulative return, outperforming the benchmark by 3.5 percentage points [11][12]

Core Viewpoint - Recent fraudulent activities have been reported involving individuals impersonating the National Energy Group and CITIC Group, establishing fake "expansion centers" and engaging in illegal activities, prompting both companies to issue stern warnings to the public [2][4]. National Energy Group - The National Energy Group has discovered that illegal entities have set up fake "expansion centers" across various regions, falsely claiming affiliation with the company and promoting investment schemes through social media platforms [3]. - The National Energy Group clarifies that it has never established any "expansion centers" or engaged in any form of investment or financial activities, nor authorized any investment-related mobile applications [3]. - The company, established on November 28, 2017, is a central state-owned enterprise formed from the merger of China Guodian Corporation and Shenhua Group, ranking 84th in the 2024 Fortune Global 500 [3]. CITIC Group - CITIC Group has also reported fraudulent activities where individuals have used the names of its subsidiaries to create fake companies, submitting false documents to company registries [4]. - A list of fraudulent companies has been published, indicating that these entities have no legitimate ties to CITIC Group or its subsidiaries, and their actions are entirely independent [5]. - CITIC Group emphasizes the importance of public vigilance against such fraud and encourages individuals to verify any claims regarding ownership or investment opportunities through official channels [7]. - CITIC Group is recognized as a central financial enterprise, ranking 71st in the 2024 Fortune Global 500, marking its 16th consecutive year on the list [7].