Market Overview - The A-share market showed mixed performance today, with major indices mostly declining. The Shanghai Composite Index fell by 0.03% to close at 3503.78 points, while the Shenzhen Component Index and the ChiNext Index both decreased by 0.22%, closing at 10720.81 points and 2230.19 points respectively. The STAR 50 Index, however, increased by 0.14% to 997.63 points [1][10] - Overall, there were 3276 stocks that rose, while 1928 stocks fell, and 212 stocks remained unchanged. The total trading volume in the Shanghai and Shenzhen markets was 1442 billion yuan, a decrease of 170 billion yuan compared to the previous trading day [1][10] Industry Performance - Among the primary industries, the top performers included Social Services, Automotive, Pharmaceutical and Biological, Light Industry Manufacturing, and Agriculture, Forestry, Animal Husbandry, and Fishery, with respective increases of 1.13%, 1.07%, 0.95%, 0.94%, and 0.85%. Conversely, the sectors that experienced declines included Steel, Banking, Non-Ferrous Metals, Non-Bank Financials, and Construction Decoration, with decreases of 1.28%, 0.74%, 0.45%, 0.43%, and 0.42% [1][10] - The leading concept sectors today were Continuous Limit Up, Animal Vaccines, First Limit Up, and others, while sectors like Circuit Boards, Lithium Mining, and Industrial Metals faced declines [2][12]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Today, the convertible bond market followed the equity market's upward trend, with valuations rising on a month - on - month basis. The trading sentiment in the convertible bond market weakened [1]. - The convertible bond price center increased, and the proportion of high - price bonds rose. The overall weighted average closing price of convertible bonds was 124.13 yuan, up 0.43% from yesterday [2]. - Valuations increased. The fitted conversion premium rate for 100 - yuan par value was 25.30%, up 0.71 pct from yesterday [2]. - In the industry performance, more than half of the underlying stock industry indices rose, with 17 industries rising in the A - share market and 18 in the convertible bond market [3]. 3. Summary by Related Catalogs 3.1 Market Main Index Performance - The CSI Convertible Bond Index rose 0.40% month - on - month, the Shanghai Composite Index rose 0.48%, the Shenzhen Component Index rose 0.47%, the ChiNext Index rose 0.22%, the SSE 50 Index rose 0.62%, and the CSI 1000 Index rose 0.25% [1]. - Small - cap value stocks were relatively dominant. Small - cap value stocks rose 1.06%, while large - cap growth stocks rose 0.14% [1]. | Index Code | Index Name | Closing Price | Daily Change (%) | Weekly Change (%) | Monthly Change (%) | YTD Change (%) | | --- | --- | --- | --- | --- | --- | --- | | 000832.CSI | CSI Convertible Bond | 450.71 | 0.40 | 1.43 | 3.45 | 8.72 | | 889033.WI | Convertible Bond Equal - Weighted | 213.99 | 0.28 | 0.99 | 2.56 | 10.04 | | 8841324.WI | Convertible Bond Index | 1960.13 | 0.34 | 1.94 | 4.41 | 18.75 | | 884257.WI | Convertible Bond Pre - plan | 1713.71 | 0.21 | 1.32 | 5.18 | 17.43 | | 000001.SH | Shanghai Composite Index | 3509.68 | 0.48 | 1.59 | 3.23 | 4.71 | | 399001.SZ | Shenzhen Component Index | 10631.13 | 0.47 | 2.10 | 3.72 | 2.08 | | 399006.SZ | ChiNext Index | 2189.58 | 0.22 | 3.10 | 6.22 | 2.24 | | 000016.SH | SSE 50 Index | 2756.93 | 0.62 | 1.26 | 2.61 | 2.69 | | 000852.SH | CSI 1000 Index | 6406.57 | 0.25 | 1.54 | 3.02 | 7.53 | [7] 3.2 Market Capital Performance - The trading volume in the convertible bond market was 66.907 billion yuan, a 1.57% decrease from the previous day. The total trading volume of the Wind All - A Index was 1.515068 trillion yuan, a 0.81% decrease from the previous day [1]. - The net outflow of main funds from the Shanghai and Shenzhen stock markets was 21.158 billion yuan, and the yield of the 10 - year Treasury bond rose 1.70 bp to 1.66% [1]. 3.3 Convertible Bond Price and Valuation - The overall closing - price weighted average of convertible bonds was 124.13 yuan, up 0.43% from yesterday. The closing price of equity - biased convertible bonds was 164.25 yuan, down 0.91%; that of bond - biased convertible bonds was 115.18 yuan, up 0.46%; and that of balanced convertible bonds was 124.13 yuan, up 0.29% [2]. - The proportion of bonds with a closing price above 130 yuan was 33.19%, up 1.57 pct from yesterday. The largest change in proportion was in the 100 - 110 (including 110) range, with a proportion of 3.19%, down 1.08 pct from yesterday. There were 2 bonds with a closing price below 100 yuan [2]. - The median price was 125.74 yuan, up 0.51% from yesterday. The fitted conversion premium rate for 100 - yuan par value was 25.30%, up 0.71 pct from yesterday. The overall weighted par value was 94.96 yuan, up 0.51% from yesterday [2]. 3.4 Industry Performance - In the A - share market, the top three rising industries were real estate (+3.19%), petroleum and petrochemicals (+1.54%), and steel (+1.44%); the top three falling industries were automobiles (-0.62%), media (-0.54%), and national defense and military industry (-0.41%) [3]. - In the convertible bond market, the top three rising industries were environmental protection (+2.50%), coal (+1.39%), and non - bank finance (+0.95%); the top three falling industries were communications (-0.92%), agriculture, forestry, animal husbandry and fishery (-0.67%), and media (-0.24%) [3]. - In terms of different sectors: - Closing price: The large - cycle sector rose 0.81%, the manufacturing sector rose 0.05%, the technology sector fell 0.22%, the large - consumption sector rose 0.12%, and the large - finance sector rose 0.66% [3]. - Conversion premium rate: The large - cycle sector decreased 1.1 pct, the manufacturing sector increased 0.32 pct, the technology sector increased 0.024 pct, the large - consumption sector decreased 0.13 pct, and the large - finance sector decreased 0.34 pct [3]. - Conversion value: The large - cycle sector rose 1.12%, the manufacturing sector fell 0.41%, the technology sector fell 0.25%, the large - consumption sector rose 0.07%, and the large - finance sector rose 0.96% [3]. - Pure - bond premium rate: The large - cycle sector rose 1.0 pct, the manufacturing sector rose 0.046 pct, the technology sector fell 0.28 pct, the large - consumption sector rose 0.11 pct, and the large - finance sector rose 0.77 pct [4]. 3.5 Industry Rotation - Real estate, petroleum and petrochemicals, and steel led the rise. For example, real estate had a daily increase of 3.19% in the underlying stock market, and its PE (TTM) 3 - year quantile was 97.80%, and PB (LF) 3 - year quantile was 51.03% [53].

Core Viewpoint - The report highlights the net capital inflow and outflow across various industries, indicating a significant disparity in market performance, with the media sector experiencing the highest inflow and the electronics sector facing the largest outflow [1][2]. Industry Summary Capital Inflow - The media industry recorded a net capital inflow of 1.055 billion, with a price change of 1.35% and a turnover rate of 3.25%, showing a 20.48% increase in trading volume compared to the previous trading day [1]. - The retail trade sector saw a net inflow of 0.864 billion, with a price change of 0.48% and a turnover rate of 2.29%, reflecting a 25.90% increase in trading volume [1]. - The construction decoration industry had a modest net inflow of 0.040 billion, with a price change of 0.37% and a turnover rate of 1.31%, with a 19.23% increase in trading volume [1]. Capital Outflow - The electronics industry experienced the largest net outflow of 7.789 billion, with a price change of -0.82% and a turnover rate of 2.92%, showing a 2.32% decrease in trading volume [2]. - The non-banking financial sector had a net outflow of 7.411 billion, with a price change of -0.61% and a turnover rate of 1.77%, reflecting a 13.90% increase in trading volume [2]. - The electric equipment industry faced a significant net outflow of 4.576 billion, with a price change of 0.17% and a turnover rate of 3.45%, showing a 2.05% decrease in trading volume [2].

Group 1 - The recently released "Action Plan for Promoting the High-Quality Development of Public Funds" indicates a significant change in the A-share market ecosystem, facilitating the entry of medium to long-term funds, particularly from institutional investors like social security funds and insurance capital [1] - The A500 index, which tracks the top 500 stocks in the A-share market, covers 63% of total revenue and 70% of total net profit in the market, making it a strong tool for long-term investment in China's capital market [2] - The A-share market has seen a rise in high-quality stocks and high-dividend assets, with many investors recognizing the appeal of value investing as these stocks reach new highs [1] Group 2 - The A500 ETF (159339) has shown a daily average trading volume of 276 million yuan over the past 20 trading days, indicating high market activity [1] - The A50 index, which includes major large-cap stocks across various industries, benefits from increased market concentration due to supply-side reforms, making these stocks more attractive during earnings disclosure periods [2] - Recent data shows that China's export performance exceeded expectations, highlighting the resilience of the Chinese economy and the diversification of its foreign trade, which helps mitigate external shocks [2]

Quantitative Models and Construction Methods 1. Model Name: Market Sentiment Timing Model - **Model Construction Idea**: The model is built from a structural perspective to quantify market sentiment using various sub-indicators[7] - **Model Construction Process**: - The model uses sub-indicators such as industry trading volatility, trading crowding, price-volume consistency, Sci-Tech Innovation Board (STAR 50) trading proportion, industry trend, RSI, main buying force, PCR combined with VIX, and financing balance ratio[8] - Each sub-indicator is scored based on its sentiment direction and position within Bollinger Bands. Scores are categorized as (-1, 0, 1)[8] - The final sentiment structural indicator is the 20-day moving average of the summed scores. The indicator fluctuates around 0 within the range of [-6, 6][8] - **Model Evaluation**: The model effectively captures market sentiment trends and provides actionable insights for timing decisions[8] 2. Model Name: Moving Average Scoring System (MASS) - **Model Construction Idea**: This model evaluates long-term and short-term trends of indices using N-day moving averages to generate timing signals[18] - **Model Construction Process**: - For N moving averages (N=360 for long-term, N=60 for short-term), scores are assigned based on the relative position of adjacent moving averages. If a shorter moving average is above a longer one, it scores 1; otherwise, it scores 0[18] - The scores are standardized to a 0-100 scale and averaged to derive the trend score at a specific time point[18] - Long/short-term timing signals are generated based on the crossover of the trend score with its 100/20-day moving average[18] - **Model Evaluation**: The model provides clear signals for sector rotation and market style preferences, favoring value and defensive sectors in the current environment[18] 3. Model Name: RSI Style Timing Model - **Model Construction Idea**: The model uses the Relative Strength Index (RSI) to compare the relative strength of different market styles (e.g., growth vs. value, small-cap vs. large-cap)[22] - **Model Construction Process**: - For two indices A and B, calculate the standardized ratio of their net values over a fixed period[22] - Compute the average gain (Gain) and average loss (Loss) over N days, where gains on down days are treated as 0 and losses on up days are treated as 0[22] - RSI formula: $ RSI = 100 - 100 / (1 + Gain / Loss) $ - RSI values range from 0 to 100, with values above 50 indicating stronger buying pressure[22] - The model calculates 5-day, 20-day, and 60-day RSI values. When the 20-day RSI exceeds the 60-day RSI, the numerator style is favored; otherwise, the denominator style is favored[22] - **Model Evaluation**: The model effectively identifies style dominance, currently favoring large-cap and value styles while noting short-term strengthening of growth and small-cap styles[22] --- Model Backtesting Results 1. Market Sentiment Timing Model - Sentiment indicator value as of April 30, 2025: 0.8, indicating a recovery in market sentiment[9] 2. Moving Average Scoring System (MASS) - Short-term signals: Positive for sectors like beauty care (72.88), utilities (86.44), banking (74.58), and oil & petrochemicals (22.03)[19] - Long-term signals: Positive for sectors like banking (95.54), machinery (78.55), and steel (51.25)[19] 3. RSI Style Timing Model - Growth/Value (300 Growth/300 Value): RSI 20-day = 53.02, RSI 60-day = 50.42, favoring value[25] - Small-cap/Large-cap (SW Small/SW Large): RSI 20-day = 48.84, RSI 60-day = 53.62, favoring large-cap[25] --- Quantitative Factors and Construction Methods 1. Factor Name: RSI - **Factor Construction Idea**: Measures the relative strength of buying and selling forces over a specific period[22] - **Factor Construction Process**: - Calculate the average gain (Gain) and average loss (Loss) over N days[22] - Formula: $ RSI = 100 - 100 / (1 + Gain / Loss) $ - RSI values range from 0 to 100, with higher values indicating stronger buying pressure[22] - **Factor Evaluation**: Provides a robust measure of market momentum and style preferences[22] --- Factor Backtesting Results 1. RSI - Growth/Value (300 Growth/300 Value): RSI 20-day = 53.02, RSI 60-day = 50.42, favoring value[25] - Small-cap/Large-cap (SW Small/SW Large): RSI 20-day = 48.84, RSI 60-day = 53.62, favoring large-cap[25]