6月4日，A股市场整体上涨。截至收盘，上证指数收报3376.2点，上涨0.42%；深证成指收报10144.58点，上涨 0.87%；创业板指收报2024.93点，上涨1.11%。两市合计成交11530.47亿元，较上一交易日增加116.38亿元。 1. 两市全天主力资金净流出近3亿元 | | | 沪深两市最近五个交易日主力资金流向情况(亿元) | | | | --- | --- | --- | --- | --- | | 日期 | | 净流入金额 开盘净流入 | 人得发起 | 超大单净买入 | | 2025-6-4 | -2. 61 | -33.75 | -0. 29 | 23. 41 | | 2025-6-3 | -91. 89 | -39. 38 | -8. 11 | -25. 46 | | 2025-5-30 | -352. 62 | -158. 05 | -37.83 | -193. 19 | | 2025-5-29 | 74. 33 | -19.58 | 23.89 | 121. 48 | | 2025-5-28 | -185. 39 | -73. 21 | -22. 45 | -57. 58 | ...

主力资金净流出的行业有14个，汽车行业主力资金净流出规模居首，全天净流出资金17.87亿元，其次 是国防军工行业，净流出资金为17.40亿元，净流出资金较多的还有医药生物、机械设备、银行等行 业。 沪指6月4日上涨0.42%，申万所属行业中，今日上涨的有28个，涨幅居前的行业为美容护理、综合，涨 幅分别为2.63%、2.53%。跌幅居前的行业为交通运输、国防军工、公用事业，跌幅分别为0.58%、 0.24%、0.12%。公用事业行业位居今日跌幅榜第三。 资金面上看，两市主力资金全天净流入10.74亿元，今日有17个行业主力资金净流入，电子行业主力资 金净流入规模居首，该行业今日上涨1.17%，全天净流入资金30.70亿元，其次是非银金融行业，日涨幅 为0.99%，净流入资金为15.88亿元。 公用事业行业资金流出榜 | 代码 | 简称 | 今日涨跌幅（%） | 今日换手率（%） | 主力资金流量（万元） | | --- | --- | --- | --- | --- | | 600025 | 华能水电 | -1.51 | 0.20 | -5128.49 | | 600886 | 国投电力 | -1.56 | ...

股指期货日度数据跟踪 2025-06-04 一、指数走势 06 月 03 日，上证综指涨跌幅 0.43%，收于 3361.98 点，成交额 4682.93 亿元，深成指数涨跌幅 0.16%，收于 10057.17 点，成交额 6731.17 亿元。 中证 1000 指数涨跌幅 0.72%，成交额 2342.97 亿元，其中开盘价 6009.18，收盘价 6070.04，当日最高价 6086.62，最低价 6008.54； 中证 500 指数涨跌幅 0.42%，成交额 1599.97 亿元，其中开盘价 5653.67，收盘价 5694.84，当日最高价 5710.42，最低价 5653.3； 沪深 300 指数涨跌幅 0.31%，成交额 2267.83 亿元，其中开盘价 3833.46，收盘价 3852.01，当日最高价 3863.3，最低价 3832.72； 上证 50 指数涨跌幅 0.32%，成交额 590.77 亿元，其中开盘价 2674.77，收盘价 2687.3，当日最高价 2697.39，最低价 2671.34。 数据来源：Wind，光期研究所 数据来源：Wind，光期研究所 二、板块涨跌对指数影响 ...

Group 1 - The A-share market opened higher with the Shanghai Composite Index rising by 0.04% and the ChiNext Index increasing by 0.33%, driven by sectors such as controllable nuclear fusion, football concepts, and Hainan [1] - Dongwu Securities anticipates June to be a new trading starting point with a focus on the technology sector, which is expected to experience a series of catalytic events, benefiting from a weak dollar environment [1] - Key investment themes and industry trends to watch include AI edge applications (AI smartphones, AI glasses), AI large models, humanoid robots, controllable nuclear fusion, deep-sea technology, and autonomous driving [1] Group 2 - Everbright Securities predicts that the market will maintain a volatile trend in June, leaning towards defensive styles due to internal and external factors, including domestic consumption, domestic substitution, and low fund allocation [2] - The current policy environment is focused on stability, with a lower likelihood of strong economic expectations in the short term, and the market is near early April levels, suggesting limited trading enthusiasm in June [2] - The five-dimensional industry comparison framework indicates that sectors such as coal, public utilities, banking, non-bank financials, construction decoration, and oil and petrochemicals are likely to be of high interest for investors [2] Group 3 - Dongfang Securities notes that recent concerns over tariffs may temporarily suppress market sentiment, but the market is gradually becoming desensitized to these concerns [3] - The recovery in the manufacturing PMI in May indicates resilience in the domestic economic fundamentals, which is expected to provide support for the market [3] - Investment opportunities are anticipated in sectors such as aerospace and military, domestic substitution, and new consumption [3]

Group 1 - The report indicates a market differentiation with micro-cap stocks outperforming, while the ChiNext index and cyclical stocks lag behind [3][10] - The valuation of broad market indices shows divergence, with micro-cap stocks, the CSI 2000, and stable stocks performing the best, while the ChiNext index, cyclical stocks, and the CSI 300 performed the weakest [3][10] - The report highlights that the industries with relatively cheap valuations include food and beverage, agriculture, forestry, animal husbandry, and public utilities [39][28] Group 2 - The report notes that the pharmaceutical, environmental protection, and national defense industries had the highest gains last week, while the automotive, electric equipment, and non-ferrous metals sectors performed the weakest [12][35] - Relative valuations show a decline in the ChiNext index compared to the CSI 300 in terms of PE and PB ratios [17][26] - The report states that the overall valuation of major indices is above the 50% historical percentile, with the ChiNext index at a low valuation compared to the past year [26][28] Group 3 - The report identifies that the current valuation of major industries is mixed, with non-bank financials, non-ferrous metals, telecommunications, electronics, agriculture, and home appliances at near one-year lows [35][39] - The report emphasizes that the current valuation levels of materials, equipment manufacturing, industrial services, transportation, consumption, and technology are all below the 50% historical percentile [28][39] - The report highlights that the current valuation of the environmental protection sector is at a high historical percentile, indicating strong performance expectations [39][50] Group 4 - The report mentions that the earnings expectations across various industries are nearly flat, with the largest upward adjustment in the environmental sector and the largest downward adjustment in electric equipment [50][50] - The report indicates that popular concepts such as cultivated diamonds, third-generation semiconductors, 6G, and robotics are at historically high valuation percentiles over the past three years [47][48]

6月3日，A股市场整体上涨。 截至收盘，上证指数收报3361.98点，上涨0.43%；深证成指收报10057.17点，上涨0.16%；创业板指收报2002.7点，上涨0.48%。 两市合计成交11414.09亿元，较上一交易日增加22.31亿元。 1. 两市主力资金净流出超90亿元 今日沪深两市主力资金开盘净流出39.38亿元，尾盘净流出8.11亿元，两市全天主力资金净流出91.89亿元。 | | | 沪深两市最近五个交易日主力资金流向情况(亿元) | | | | --- | --- | --- | --- | --- | | 日期 | | 净流入金额 开盘净流入 | 尾盘净流入 | 超大单净买入 | | 2025-6-3 | -91.89 | -39. 38 | -8. 11 | -25. 46 | | 2025-5-30 | -352. 62 | -158. 05 | -37.83 | -193. 19 | | 2025-5-29 | 74. 33 | -19. 58 | 23. 89 | 121. 48 | | 2025-5-28 | -185. 39 | -73. 21 | -22. 45 | -57 ...

Quantitative Models and Construction 1. Model Name: AIAE Indicator for A-shares - **Model Construction Idea**: The AIAE indicator is used to measure the relative valuation of A-shares by comparing the total market capitalization of the CSI All Share Index with the sum of the total market capitalization and total entity debt[10] - **Model Construction Process**: The formula for the AIAE indicator is: $ AIAE = \frac{\text{CSI All Share Total Market Cap}}{\text{CSI All Share Total Market Cap} + \text{Total Entity Debt}} $ As of the end of May, the AIAE indicator for A-shares was 16%, which is at the 35th percentile since 2010, indicating relatively high valuation attractiveness[10] - **Model Evaluation**: The indicator suggests that A-shares still have high payoff potential, though the win rate remains moderate due to macroeconomic uncertainties[10] 2. Model Name: Bond Payoff Indicator - **Model Construction Idea**: This indicator is derived from the expected return spread between long-term and short-term bonds to assess the valuation risk of bonds[11] - **Model Construction Process**: The bond payoff indicator is calculated based on the expected return difference between long-term and short-term bonds. Currently, the indicator is at -2.1 standard deviations, indicating extremely low valuation levels and potential risks in long-term bonds[11] - **Model Evaluation**: The indicator highlights valuation risks in long-term bonds, though the win rate has improved due to monetary easing and weak credit conditions[11] 3. Model Name: Federal Reserve Liquidity Index - **Model Construction Idea**: This index combines quantity and price dimensions to measure the liquidity provided by the Federal Reserve[18] - **Model Construction Process**: The Federal Reserve Liquidity Index is constructed by integrating multiple factors, including net liquidity, credit support, market expectations, and announcement surprises. Currently, the index is at the 20th percentile, indicating relatively loose liquidity conditions[18] - **Model Evaluation**: The index suggests that liquidity conditions are supportive, but potential shifts in Federal Reserve policy could alter the outlook[18] --- Quantitative Factors and Construction 1. Factor Name: Quality Factor - **Factor Construction Idea**: The quality factor is evaluated based on its payoff, trend, and crowding levels, with a focus on long-term stability[19] - **Factor Construction Process**: - Payoff: Currently at 1.3 standard deviations, indicating attractive valuation - Trend: At -0.3 standard deviations, suggesting moderate momentum - Crowding: At -0.8 standard deviations, reflecting low crowding levels The comprehensive score for the quality factor is 2.4, making it a high-priority allocation[19] - **Factor Evaluation**: The factor is attractive for long-term investment due to its favorable valuation and low crowding[19] 2. Factor Name: Growth Factor - **Factor Construction Idea**: The growth factor is assessed based on its valuation, trend, and crowding, with a focus on growth potential[21] - **Factor Construction Process**: - Payoff: At -1.9 standard deviations, indicating low valuation attractiveness - Trend: At 0.4 standard deviations, suggesting moderate momentum - Crowding: At 0.3 standard deviations, reflecting moderate crowding The comprehensive score for the growth factor is -1.6, indicating low allocation value[21] - **Factor Evaluation**: The factor is less attractive due to its low valuation and moderate crowding[21] 3. Factor Name: Dividend Factor - **Factor Construction Idea**: The dividend factor is evaluated for its income-generating potential and stability[24] - **Factor Construction Process**: - Payoff: At 0.02 standard deviations, indicating neutral valuation - Trend: At -1.8 standard deviations, suggesting weak momentum - Crowding: At -1.2 standard deviations, reflecting low crowding The comprehensive score for the dividend factor is 0, indicating no significant allocation value[24] - **Factor Evaluation**: The factor lacks strong investment appeal due to weak momentum and neutral valuation[24] 4. Factor Name: Small-cap Factor - **Factor Construction Idea**: The small-cap factor is assessed for its potential to outperform based on size and market dynamics[26] - **Factor Construction Process**: - Payoff: At -0.3 standard deviations, indicating neutral valuation - Trend: At 0.4 standard deviations, suggesting moderate momentum - Crowding: At 0.5 standard deviations, reflecting moderate crowding The comprehensive score for the small-cap factor is 0, indicating high uncertainty[26] - **Factor Evaluation**: The factor is not recommended due to its high uncertainty and moderate crowding[26] --- Backtesting Results for Models 1. AIAE Indicator for A-shares - Current value: 16% - Percentile since 2010: 35%[10] 2. Bond Payoff Indicator - Current value: -2.1 standard deviations[11] 3. Federal Reserve Liquidity Index - Current value: 20th percentile[18] --- Backtesting Results for Factors 1. Quality Factor - Payoff: 1.3 standard deviations - Trend: -0.3 standard deviations - Crowding: -0.8 standard deviations - Comprehensive Score: 2.4[19] 2. Growth Factor - Payoff: -1.9 standard deviations - Trend: 0.4 standard deviations - Crowding: 0.3 standard deviations - Comprehensive Score: -1.6[21] 3. Dividend Factor - Payoff: 0.02 standard deviations - Trend: -1.8 standard deviations - Crowding: -1.2 standard deviations - Comprehensive Score: 0[24] 4. Small-cap Factor - Payoff: -0.3 standard deviations - Trend: 0.4 standard deviations - Crowding: 0.5 standard deviations - Comprehensive Score: 0[26]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - In May 2025, the A - share market showed narrow - range oscillations. The market is mainly pricing the progress of fundamental recovery, and the capital market's ability to boost valuations is limited. In June, with previous reserve requirement ratio and interest rate cuts already implemented, direct positive factors for the stock market are expected to be limited, and the market will likely continue to oscillate. The style - switching observation window in 2025 may be in August [3]. - The large - cap indices have outperformed small - cap indices for three consecutive months since March. The basis discount of stock index futures is relatively large, mainly affected by market hedging demand and periodic dividend factors [3]. - The Q1 2025 financial reports of A - share listed companies show a mixed performance. Although there are signs of profit recovery, it remains to be seen whether companies can maintain their Q1 net profit levels under the background of the tariff war, and the accounts receivable ratio is rising. The valuation of A - shares is at a historical median, and future quasi - stabilization funds are expected to maintain the overall stability of A - share valuations [3]. 3. Summary by Relevant Catalogs 3.1 Monthly Highlights of Stock Index Futures - **Market Oscillation**: In May, the A - share market had narrow - range oscillations. Wind All - A rose 2.39% monthly, CSI 1000 rose 1.28%, CSI 500 rose 0.7%, SSE 50 rose 1.73%, and SSE 300 rose 1.85%. The large - cap indices have outperformed small - cap indices for three consecutive months since March. In June, the stock market is expected to continue oscillating, and the style - switching window in 2025 may be in August [3]. - **Basis Discount**: The basis discount of stock index futures is relatively large. It mainly reflects market hedging demand, which depends on the existence of obvious Alpha returns. Dividend factors also have a significant impact on the basis discount. For example, the discount caused by dividends in CSI 1000 contracts ranges from 35 to 55 points [3]. - **Q1 Financial Reports**: After excluding finance, the year - on - year revenue growth rate of A - shares in Q1 was - 0.33%, and the net profit year - on - year was 3.4%. ROE was 6.34%, in the bottoming stage of a downward cycle. The performance of Q1 financial reports was mixed, indicating that the profitability of listed companies is still bottoming out, but there are signs of recovery [3]. 3.2 Market Conditions in May - **Index Performance**: The large - cap indices outperformed small - cap indices for three consecutive months. At the end of May, the yield of the 10 - year active Treasury bond was 1.72%, the dynamic P/E ratio of Wind All - A was 18.93 times, and the equity risk premium declined slightly. The valuations of CSI 1000 and SSE 300 increased slightly compared to the previous month [15][17]. - **Volatility and Margin Funds**: The implied volatility of index options continued to decline, with 1000IV at 21.64% and 300IV at 15.96%. The margin balance remained unchanged for three consecutive weeks, with relatively little marginal capital. At the end of May, it was 1.792 trillion yuan [24]. - **Sector Performance**: In May, the banking, non - banking finance, and pharmaceutical biology sectors drove the index, while TMT and power equipment sectors performed weakly [25]. 3.3 Index and Option Indicators - **Index Performance and Basis Discount**: CSI 1000 rose 1.28% monthly, CSI 500 rose 0.7%, SSE 300 rose 1.85%, and SSE 50 rose 1.73%. The basis discount annualization of each index showed a divergent upward trend [35][41][46]. - **Option Indicators**: For CSI 1000, SSE 300, and SSE 50 options, historical volatility, volatility cones, position PCR, and trading PCR data are provided, but no specific analysis conclusions are given [48][57][65]. 3.4 Trading Slippage - Trading slippage data for IM, IC, IF, and IH are provided, including long - and short - position slippage, but no specific analysis conclusions are given [73][76][78]

Core Viewpoint - The article introduces a "Five-Dimensional Industry Comparison Framework" that evaluates industries based on market style, fundamentals, capital flow, trading, and valuation, emphasizing the need for a comprehensive analysis to guide investment decisions [2][3]. Group 1: Five-Dimensional Framework - The framework assigns equal weight to the five dimensions during non-earnings seasons, while increasing the weight of fundamentals during earnings seasons [2]. - Historical backtesting from 2016 to February 2025 shows that industries with higher scores in the framework tend to perform better, with annualized returns of 11.8% for the top group and -10.5% for the bottom group [3]. Group 2: June Subjective Judgments - The market style is expected to lean towards defensive sectors due to anticipated economic weakness and potential market sentiment decline [4]. - Capital flow is projected to be dominated by ETFs, with public funds likely to see net outflows, leading to higher scores for ETF-heavy industries [4]. - Low-valuation industries are expected to perform better in a declining market sentiment environment [4]. Group 3: June Industry Allocation Views - The article suggests a focus on defensive and low-valuation sectors for June, highlighting industries such as coal, utilities, banking, non-bank financials, construction decoration, and oil and petrochemicals as worthy of investor attention [5].

Group 1: Market Strategy and Industry Outlook - The article suggests that the market style is expected to lean towards defensive and undervalued sectors, with high scores for industries such as coal, public utilities, banking, non-bank financials, construction decoration, and oil and petrochemicals, indicating potential investment opportunities [3] - The PB-ROE-50 strategy has outperformed the CSI 500, CSI 800, and the overall market by 2.39%, 1.30%, and 1.33% respectively, reflecting a strong performance in the current market environment [4] Group 2: Real Estate Sector - In May, the total sales amount of the top 100 real estate companies reached 317.8 billion, with a month-on-month increase of 2.9% but a year-on-year decrease of 10.4%. The cumulative sales from January to May showed a year-on-year decline of 8% [5] - Notable performers in May included China State Construction with a 455% increase, Sunac China with a 128% increase, and China Jinmao with a 72% increase, indicating some recovery in high-capacity cities [5] Group 3: Automotive Industry - The automotive market remained stable in May, with new forces expected to lead the industry in intelligent driving innovations. A new round of price wars is causing short-term disruptions, but the outlook for domestic sales in 2025 remains positive due to trade-in incentives [6] - The theme of intelligence in vehicles is anticipated to continue to develop, with a focus on companies capable of high-level autonomous driving and their supply chains [6] Group 4: Company-Specific Analysis - Up Beauty Co., listed in Hong Kong in 2022, has transformed from a single brand to a multi-brand, all-channel group, with its main brand, Han Shu, ranking second among domestic beauty brands in online GMV for 2024 and showing the fastest growth among leading beauty brands [7] - Peak Technology achieved a revenue of 600 million in 2024, a year-on-year increase of 45.94%, and a net profit of 222 million, up 27.18%. In Q1 2025, the company reported a revenue of 171 million, a 47.34% year-on-year increase, indicating sustained growth momentum [8]