Quantitative Factor and Model Analysis Quantitative Models and Construction 1. **Model Name**: GAN_GRU Model **Model Construction Idea**: The GAN_GRU model combines Generative Adversarial Networks (GAN) for generating realistic price-volume sequential features and Gated Recurrent Units (GRU) for encoding these sequential features into predictive signals for stock selection [2][9]. **Model Construction Process**: - **GRU Component**: - Input features include 18 price-volume features such as closing price, opening price, turnover, and turnover rate [10][13]. - Training data consists of the past 400 trading days' features, sampled every 5 trading days, forming a 40x18 feature matrix to predict the cumulative return over the next 20 trading days [14]. - Data preprocessing includes outlier removal and standardization at both time-series and cross-sectional levels [14]. - The GRU network consists of two layers (GRU(128, 128)) followed by an MLP (256, 64, 64), with the final output being the predicted return (pRet) [18]. - **GAN Component**: - The generator (G) uses an LSTM model to preserve the sequential nature of the input features, while the discriminator (D) employs a CNN to process the two-dimensional price-volume feature "images" [29][32]. - The generator's loss function is: $$ L_{G} = -\mathbb{E}_{z\sim P_{z}(z)}[\log(D(G(z)))] $$ where \( z \) represents random noise, \( G(z) \) is the generated data, and \( D(G(z)) \) is the discriminator's output probability [20][21]. - The discriminator's loss function is: $$ L_{D} = -\mathbb{E}_{x\sim P_{data}(x)}[\log D(x)] - \mathbb{E}_{z\sim P_{z}(z)}[\log(1-D(G(z)))] $$ where \( x \) is real data, \( D(x) \) is the discriminator's output for real data, and \( D(G(z)) \) is the output for generated data [23][25]. - Training alternates between updating the discriminator and generator parameters until convergence [26]. **Model Evaluation**: The GAN_GRU model effectively captures both sequential and cross-sectional price-volume features, leveraging the strengths of GANs and GRUs for stock selection [2][9][29]. --- Quantitative Factors and Construction 1. **Factor Name**: GAN_GRU Factor **Factor Construction Idea**: The GAN_GRU factor is derived from the GAN_GRU model's output, representing the encoded price-volume sequential features as a stock selection signal [2][9]. **Factor Construction Process**: - The factor is derived from the predicted return (pRet) output of the GAN_GRU model [18]. - The factor undergoes industry and market capitalization neutralization, followed by standardization [18]. **Factor Evaluation**: The GAN_GRU factor demonstrates strong predictive power across various industries, with consistent performance in both IC and excess returns [36][40]. --- Model Backtest Results 1. **GAN_GRU Model**: - **IC Mean**: 11.54% - **ICIR**: 0.89 - **Turnover Rate**: 0.83 - **Recent IC**: 8.34% - **1-Year IC Mean**: 11.09% - **Annualized Return**: 37.71% - **Annualized Volatility**: 24.95% - **IR**: 1.56 - **Max Drawdown**: 27.29% - **Annualized Excess Return**: 24.95% [36][37]. --- Factor Backtest Results 1. **GAN_GRU Factor**: - **IC Mean**: 11.54% - **ICIR**: 0.89 - **Turnover Rate**: 0.83 - **Recent IC**: 8.34% - **1-Year IC Mean**: 11.09% - **Annualized Return**: 37.71% - **Annualized Volatility**: 24.95% - **IR**: 1.56 - **Max Drawdown**: 27.29% - **Annualized Excess Return**: 24.95% [36][37].

□本报记者王辉 头部私募仓位高企 顺时投资权益投资总监易小斌认为，近期，部分外部因素的积极变化为A股运行提供了有利环境，但起 决定性作用的仍然是内部因素。这些因素包括：市场自2024年10月高点以来的累计调整时间已超8个 月，技术面面临突破；国内政策密集出台，直接刺激了券商、金融科技等板块爆发；市场资金面充裕， 核聚变、稳定币、固态电池等热点不断涌现，有效维系了市场人气。易小斌判断，这些内外部积极因素 的中期延续性较强，有利因素不断积聚，预计将推动行情持续发展。 融智投资基金经理夏风光从宏观周期角度分析称，下半年全球主要经济体货币政策的"潜在共振"是关键 变量，美联储重启降息进程的可能性正在增大，这将为国内货币和财政政策打开空间。夏风光表 示："流动性环境的进一步改善叠加经济回暖，有望进一步推升本轮A股的阶段性趋势行情。" 来自第三方机构私募排排网的最新监测数据显示，截至6月20日，全市场股票私募机构的平均仓位水平 为74.62%，较前一周小幅上升0.37个百分点，这一数值处于今年以来的中等偏高水平。在具体仓位上， 54.31%股票私募机构仓位处于重仓或满仓(仓位大于八成)水平，24.41%股票私募仓位处于中 ...

Investment Rating - The report emphasizes a strong hold on high-conviction new consumption leaders, focusing on themes such as emotional consumption, functional value, channel transformation, and brand expansion abroad [2][8] Core Insights - The new consumption sector is expected to see a rise, with a focus on both established leaders and traditional companies adopting new consumption strategies [2][8] - The report suggests that Q3 will present structural opportunities, while Q4 is anticipated to see leading companies reaching new highs [2][8] - The light industry manufacturing sector is highlighted for its growth potential, particularly in new tobacco products and the home goods market [3][16] - The textile and apparel industry is advised to focus on differentiated companies with high growth potential [5][20] - The beauty and personal care sector remains robust, with recommendations for high-value stocks [5][21] - The home appliance sector shows strong performance in sales, particularly during the 618 shopping festival [5][22][23] - The retail sector is experiencing a shift, with online sales stabilizing and offline stores undergoing significant transformations [5][24][25] Summary by Sections New Consumption - Focus on holding high-conviction new consumption leaders and exploring traditional companies with new consumption mindsets [2][8] - Q3 is seen as a period for structural opportunities, while Q4 may bring valuation shifts for leading companies [2][8] Light Industry Manufacturing - New tobacco products are on an upward trend, with significant market expansion expected [3][16] - The home goods market is stabilizing, with a focus on companies showing signs of recovery [3][16] Textile and Apparel - The sector is advised to prioritize companies with unique advantages and high growth potential [5][20] Beauty and Personal Care - The sector remains high in demand, with recommendations for companies showing strong performance and recovery potential [5][21] Home Appliances - The sector has shown excellent sales performance, particularly during promotional events, with a notable increase in production [5][22][23] Retail Sector - The online retail landscape is stabilizing, with significant changes in offline retail strategies [5][24][25]

主板ST股或将告别5%限制。 6月27日，沪深交易所均发布通知，拟调整主板风险警示股票价格涨跌幅限制比例，由目前的5%调整为 10%。 值得注意的是，上述通知尚处于征求意见阶段，反馈截止时间为2025年7月4日。 记者梳理发现，目前沪深主板风险警示股票合计有132只。 主板风险警示股涨跌幅拟调整为10% 可能涉及哪些股票？ 6月27日，沪深交易所发布公告称，为进一步完善股票交易制度，提升定价效率，维护市场交易秩序，保 护投资者合法权益，在中国证监会统筹指导下，起草了关于《调整主板风险警示股票价格涨跌幅限制比例 及有关事项的通知（征求意见稿）》（简称"征求意见稿"），拟将主板风险警示股票价格涨跌幅限制比例 由5%调整为10%，调整后与主板其他股票保持一致，现就有关安排向市场公开征求意见。 若最终按照征求意见稿中的相关规则变动施行，沪深主板风险警示股票价格涨跌幅限制比例，将统一变为 10%。 记者梳理发现，截至目前，沪深主板风险警示股票目前合计有132只。需要说明的是，因后续可能会有主 板风险警示股票"摘星脱帽"，或者有新的主板股票被实施风险警示，相关股票名单还会出现变动。 目前主板风险警示股票有何特点？ 上述主 ...

Market Overview - The A-share market experienced fluctuations with the Shanghai Composite Index down by 0.22% to 3448.45 points, the Shenzhen Component down by 0.48% to 10,343.48 points, and the ChiNext Index down by 0.66% to 2114.43 points. The total trading volume in the A-share market was 1.58 trillion RMB, with net purchases from southbound funds amounting to 5.285 billion HKD. Over 3400 stocks in the A-share market declined [1][6] - In terms of industry performance, the banking, telecommunications, and defense industries led the gains, while the automotive and non-bank financial sectors saw the largest declines. Concept sectors such as military restructuring and electronic ID concepts showed significant gains, while sectors like photolithography and shared bicycles faced declines [1][6] - Internationally, the US stock indices collectively rose, with the Dow Jones up by 0.94% to 43,386.84 points, the S&P 500 up by 0.8% to 6141.02 points, and the Nasdaq up by 0.97% to 20,167.91 points. European and major Asia-Pacific indices generally rose [1][6] Important News - The National Development and Reform Commission announced that the third batch of funds for the consumption upgrade program will be distributed in July 2025. The focus will be on ensuring the sustainable and balanced implementation of the program throughout the year [2][6] - The Bank for International Settlements reported that stablecoins have not met the three key tests required to become a pillar of the monetary system, despite showing some potential in the tokenization landscape [2][7] Retail Sales Data - In May 2025, China's total retail sales of consumer goods reached 413.26 billion RMB, showing a year-on-year increase of 6.4%, with growth rates improving both year-on-year and month-on-month. Retail sales of goods and catering services both saw increases compared to the previous month [8][12] - Online retail sales from January to May 2025 totaled 604.02 billion RMB, reflecting a year-on-year increase of 8.5%, with physical goods online retail sales growing by 6.3% [11] Solid-State Battery Equipment - The solid-state battery industry is entering a rapid development phase, driven by national policy support and accelerated enterprise layouts. Solid-state batteries are seen as a key direction for upgrading lithium battery technology due to their high safety and energy density [15][19] - The market structure for lithium battery equipment shows that the front-end and mid-stage equipment hold significant value, with coating and winding machines being core components. The front-end equipment market accounts for 44.05%, while mid-stage equipment accounts for 35.71% of the total market [16][19] - The introduction of dry electrode technology in the front-end process is expected to enhance efficiency and reduce costs, while the use of isostatic presses in the mid-stage process can improve material density and performance [17][18] Home Appliance Industry - The home appliance industry is benefiting from the consumption upgrade policy, with sales expected to continue growing. The real estate sector's recovery is also contributing to increased demand for home appliances as the market stabilizes [21][22] - The industry has seen a decline in performance due to tariff wars, but the valuation of home appliance stocks is currently at a historical low, presenting a good investment opportunity [21][22] - The export of home appliances is expected to remain resilient despite tariff uncertainties, supported by the growing demand in emerging markets [23]

行业资金流向方面，今日有6个行业主力资金净流入，通信行业主力资金净流入规模居首，该行业今日 上涨0.77%，全天净流入资金24.72亿元，其次是社会服务行业，日涨幅为0.42%，净流入资金为2.81亿 元。 主力资金净流出的行业有25个，非银金融行业主力资金净流出规模居首，今日下跌1.20%，全天净流出 资金58.31亿元，其次是电力设备行业，今日跌幅为0.75%，净流出资金为44.43亿元，净流出资金较多 的还有汽车、电子、计算机等行业。 今日各行业资金流向 | 行业 | 日涨跌幅（%） | 资金流向（亿元） | 行业 | 日涨跌幅（%） | 资金流向（亿元） | | --- | --- | --- | --- | --- | --- | | 通信 | 0.77 | 24.72 | 公用事业 | -0.05 | -3.42 | | 社会服务 | 0.42 | 2.81 | 家用电器 | -0.23 | -3.52 | | 食品饮料 | -0.61 | 2.67 | 交通运输 | -0.55 | -3.78 | | 银行 | 1.01 | 1.41 | 房地产 | -0.43 | -4.41 | | 传媒 | ...

1. Market Data Summary Interest Rates - DRO01 closed at 1.37 with a 0.29bp increase; DR007 at 1.49 with a 5.00bp decrease; GC001 at 1.45 with a 16.50bp increase; GC007 at 1.59 with a 3.00bp increase; SHBOR 3M at 1.63 with a 0.10bp decrease; LPR 5-year at 3.50 with a 10.00bp decrease; 1-year treasury at 1.36 with a 0.99bp decrease; 5-year treasury at 1.51 with a 0.39bp decrease; 10-year treasury at 1.64 with a 0.32bp decrease; 10-year US treasury at 4.38 with no change [4] Stock Indexes - CSI 300 closed at 3847 with a 0.09% increase; SSE 50 at 2674 with a 0.31% increase; CSI 500 at 5640 with a 0.66% decrease; CSI 1000 at 6000 with a 0.80% decrease; IF current month at 3804 with a 0.2% increase; IH current month at 2637 with a 0.6% increase; IC current month at 5588 with a 0.5% decrease; IM current month with a 0.6% decrease [6] Trading Volume and Open Interest - IF trading volume was 93277 with a 20.6% decrease, open interest 213382 with a 12.2% decrease; IH trading volume 54538 with a 4.2% decrease, open interest 72451 with a 13.3% decrease; IC trading volume 95848 with a 9.5% decrease, open interest 208030 with a 8.7% decrease; IM trading volume 211961 with a 7.2% decrease, open interest 307602 with a 8.6% decrease [6] A-share Market - Last week, CSI 300 fell 0.45% to 3846.6, SSE 50 fell 0.1% to 2673.7, CSI 500 fell 1.75% to 5639.5, CSI 1000 fell 1.74% to 5999.6. Among Shenwan primary industry indexes, only banking (2.6%), communication (1.6%), and electronics (1%) rose, while textile and apparel (-5.1%), pharmaceutical biology (-4.4%), non-ferrous metals (-3.6%), social services (-3.3%), and agriculture, forestry, animal husbandry and fishery (-3.1%) led the decline. A-share daily trading volumes were 11575 billion yuan, 11524 billion yuan, 11390 billion yuan, 11920 billion yuan, 10153 billion yuan respectively, with the average daily trading volume decreasing by 1422.5 billion yuan compared to the previous week. As of June 19, A-share margin trading balance was 18154.6 billion yuan, an increase of 42.1 billion yuan from the previous week [6] Futures Contracts' Premium and Discount - IF premium/discount: current month expired, next month 15.42%, current quarter 0.02%, next quarter 5.35%; IH premium/discount: current month expired, next month 19.38%, current quarter 5.88%, next quarter 3.06%; IC premium/discount: current month expired, next month 12.72%, current quarter 11.31%, next quarter 9.69%; IM premium/discount: current month expired, next month 15.16%, current quarter 14.48%, next quarter 12.85% [8] 2. Central Bank Operations - Last week, the central bank conducted 960.3 billion yuan of reverse repurchase operations, with 858.2 billion yuan of reverse repurchase and 182 billion yuan of MLF maturing. So, the net withdrawal was 79.9 billion yuan. This week, 960.3 billion yuan of reverse repurchase will mature, with 242 billion yuan, 197.3 billion yuan, 156.3 billion yuan, 203.5 billion yuan, 161.2 billion yuan maturing from Monday to Friday respectively. Also, 100 billion yuan of treasury cash fixed deposit will mature on Monday [4][5] 3. Policy and Geopolitical Situation - The central bank governor said that in the past year, the central bank adhered to a prudent monetary policy stance, implemented multiple measures from multiple dimensions such as quantity, price, and structure to support economic recovery and maintain financial market stability. The central bank also worked on improving the monetary policy framework, and the transformation is an ongoing process that will be continuously evaluated and improved [5] - The Israel-Iran conflict continues to intensify, with the US attacking three Iranian nuclear facilities on June 21. Iran confirmed the attacks, and the Islamic Revolutionary Guard Corps vowed to strike US interests in the Middle East, and the Strait of Hormuz may be closed. Due to weak domestic fundamentals, policy vacuum, and intensified overseas geopolitical disturbances, the stock index is expected to be weak and volatile in the short term. Options can be used to hedge macro risks [7]

Group 1: Market Overview - The market has seen adjustments in hot sectors, with cyclical commodities like coking coal, aluminum, and Brent crude oil performing well due to the Middle East crisis affecting global commodity supply [2] - The North China 50 index has adjusted, influenced by discussions around micro-cap stock trading congestion, with cautious investors taking action [2] - A weekly review of A-shares shows bank stocks leading in gains, while sectors like beauty care, pharmaceuticals, textiles, and social services have seen declines [2] Group 2: Middle East Risk - The Middle East crisis is currently limited to Iran, but concerns are growing about the potential for escalation following U.S. airstrikes on Iranian nuclear facilities [3] - Predictions suggest that if Iran expands its attacks and blocks the Strait of Hormuz, oil prices could surge to $120-130 per barrel, leading to high global inflation and reduced manufacturing profits [3] - Analysis indicates that U.S. actions may be politically motivated to alleviate internal pressures, with a focus on avoiding ground troop deployment [3] Group 3: China Asset Revaluation - The recent Lujiazui Forum indicated a policy tone favoring openness, which could release policy dividends for the revaluation of Chinese assets [5] - Foreign Direct Investment (FDI) in China has shown a decline, with actual foreign investment amounting to 358.19 billion yuan in the first five months of 2025, down 13.2% year-on-year [5][6] - The structure of FDI shows positive trends in high-tech industries, with significant growth in sectors like e-commerce services and aerospace manufacturing [6] Group 4: Tax Revenue Insights - National public budget revenue for January to May 2025 was 96,623 billion yuan, a slight decrease of 0.3% year-on-year, with land use rights revenue down 11.9% [7] - The probability of a real estate market resurgence is low, as indicated by declining property-related tax revenues [7] - Securities transaction stamp duty increased by 52.4% year-on-year, reflecting heightened market activity and the importance of the stock market in asset revaluation [8] Group 5: Non-Tax Revenue and Market Dynamics - Non-tax revenue grew by 6.2% year-on-year, indicating a shift in focus from external factors to internal reforms and adjustments in interests [9] - The government is increasingly normalizing its behavior in revenue collection, which is crucial for market vitality and asset revaluation [9] Group 6: Long-Term Asset Revaluation - While external risk premiums suggest a foundation for asset revaluation in China, internal conditions still require improvement for a complete revaluation [10] - The restructuring of international order and adjustments in China's leading industries present ongoing investment opportunities [11]

Market Overview - The main indices showed slight declines today, with the Shanghai Composite Index down by 0.07%, the Shenzhen Component down by 0.47%, and the ChiNext Index down by 0.83% [1] - In terms of sector performance, transportation, food and beverage, and banking sectors led the gains, while defense, social services, and machinery equipment sectors lagged behind [1] Concept Sector Performance - Overall, the liquor, photoresist, and insurance concepts performed relatively well, while marketing communication, operating systems, and internet celebrity economy concepts underperformed [1]

Macro Economic Outlook - The report predicts a 5.1% growth in real GDP for 2025, with quarterly growth rates of 5.4%, 5.4%, 4.9%, and 4.7% respectively [4][5] - Retail sales of consumer goods are expected to grow by 5.0%, supported by policies encouraging the replacement of durable goods [4] - Fixed asset investment is projected to increase by 3.7%, while export growth is anticipated to be around 1.5% for the year [4][5] - CPI is expected to remain low with a year-on-year increase of approximately 0%, while PPI is forecasted to be -2.3% [5] Pharmaceutical Industry - The pharmaceutical sector is expected to see a recovery in innovative drugs, with a focus on medical devices and services [10][12] - The report highlights a favorable environment for innovative drugs due to supportive policies and an expected increase in investment activity [11][12] - Medical device procurement data shows signs of recovery, indicating a release of pent-up demand [12] - The medical services sector is anticipated to experience growth due to nationwide payment reforms and signs of recovery in the ophthalmology field [12] - The report emphasizes the potential for a rebound in pharmaceutical consumption driven by domestic consumption stimulus policies [12][13] Integrated Circuit Industry (Ziguang Guowei) - Ziguang Guowei is positioned as a leading player in the integrated circuit industry, focusing on special integrated circuits and smart security chips [16][19] - The company is expected to benefit from a recovery in the special integrated circuit sector, which is projected to see significant growth in the coming years [16][19] - The automotive electronics segment is highlighted as a key growth area, with the MCU market expected to grow significantly [17][19] - The company plans to initiate a share buyback program to enhance employee motivation and support sustainable development [18][19] Real Estate Industry - The real estate sector shows signs of month-on-month improvement in sales, with May 2025 seeing a 10.34% increase in sales area compared to April [22][25] - Despite a negative year-on-year growth of 2.90% in sales area for the first five months, the report indicates a potential stabilization in the housing market due to policy support [22][25] - Real estate development investment is projected to decline by 10.70% year-on-year, but monthly investment showed an 8.68% increase in May [23][25] - The report suggests that leading real estate companies with strong operational capabilities are likely to gain market share [25]