Group 1 - The China Securities Hong Kong Stock Connect Non-Bank Financial Theme Index (931024) experienced a decline of 0.56% as of June 12, 2025, with mixed performance among constituent stocks [1] - The Hong Kong Non-Bank ETF (513750) recorded a turnover of 27.29% and a trading volume of 659 million yuan, indicating active market participation [1] - The Hong Kong Non-Bank ETF reached a new high in size at 2.4 billion yuan and in shares at 1.672 billion, both since its inception [1] Group 2 - The top ten weighted stocks in the China Securities Hong Kong Stock Connect Non-Bank Financial Theme Index accounted for 82.79%, with Hong Kong Exchanges and Clearing (00388) being the largest at over 16% [2] - The brokerage sector is expected to see continued growth in self-operated income, supported by performance improvements, mergers, and refinancing, which may enhance net asset scale and ROE [2] - The current favorable policies aimed at stabilizing growth and boosting the capital market are expected to positively influence the securities sector's outlook [2] Group 3 - The Hong Kong Non-Bank ETF (513750) is the first and only ETF tracking the Hong Kong Non-Bank Index, with over 70% of its composition in insurance stocks [3] - The ETF selects up to 50 listed companies that meet the non-bank financial theme criteria from the Hong Kong Stock Connect securities range [3]

非银行业深度研究 新旧金融的桥梁：稳定币如何重塑非银金融生态？ 2025 年 06 月 09 日 ➢ 什么是稳定币？稳定币是加密货币的一种特殊类型，其设计的核心目的是维 持加密货币价格的稳定，通常通过将其价值锚定到一种或者一篮子相对稳定的底 层资产来实现，主要锚定资产包括法定货币、其他加密货币、大宗商品以及算法 等。稳定币是加密资产货币生态系统中至关重要的基础设施，是提供价值稳定的 交易媒介，充当法币和加密货币之间交易的核心中介。 ➢ 稳定币的核心机制和分类。稳定币通过与某种类型的稳定资产（如美元、欧 元等法定货币、黄金等实物资产、一揽子资产或者算法等）挂钩，比如 1:1 锚定 美元，来降低相关加密货币的价格波动。从主要的锚定标的类型来看，主要可以 分为 4 类：1）法币抵押型；2）商品抵押型；3）加密货币抵押型；4）算法型。 ➢ 稳定币的核心价值：为何需要稳定币？稳定币在充当支付工具、价值存储、 便利交易等方面应用广泛。稳定币既充当计价单位，为加密世界提供了一个波动 性较低的"价值标尺"，让参与者能够清晰地衡量、比较和结算各种资产和交易的 价值，也充当加密生态中的"现金"等价物，满足相关避险需求，同时还能降 ...

Core Views - The market is expected to remain in a "top and bottom" scenario, with attention on the upcoming Lujiazui Forum and FOMC meeting for further guidance [2][3] - The recent trading volume of micro-cap stocks is approaching levels seen in November 2023, indicating a crowded market, but the odds of participating in small-cap trends are currently low [2][5] - With the current trading volume not significantly increasing, the speed of sector rotation may remain rapid, with themes like innovative drugs and new consumption already fully played out [2][4] Market Dynamics - The short-term market lacks clear upward momentum, with increased divergence near key levels, but strong support exists at the market bottom [3] - Structural pressures on the macro economy persist, with manufacturing and domestic demand needing improvement, with potential for trend improvement in the second half of the year [3] - The financing balance remains stable at around 1.8 trillion, indicating a baseline scenario of stock game [3] Sector Rotation Opportunities - Recent adjustments in innovative drugs and new consumption sectors suggest a need for investors to reassess their positions [4] - The current internal rotation within innovative drugs and new consumption is relatively sufficient, with a decline in cost-effectiveness [4] - The TMT sector's trading volume has dropped to a low since 2023, presenting potential excess return opportunities in low-positioned technology sectors with industrial catalysts [4][6] Investment Strategy - The report emphasizes the importance of "odds thinking" in investment strategy, suggesting a focus on relatively low-crowded technology sectors such as AI computing chips, storage chips, optical fibers, and smart driving [6] - Mid-term focus should be on core assets represented by A50, consumption, and finance, especially considering the potential for RMB appreciation due to "de-dollarization" [6]

行业研究 非银行金融 2025 年 06 月 07 日 证 券 研 究 报 告 金融资金面跟踪：量化周报（2025/06/02~2025/06/06） 推荐（维持） 成交量有所提升，基差总体有所收敛 华创证券研究所 证券分析师：徐康 电话：021-20572556 邮箱：xukang@hcyjs.com 执业编号：S0360518060005 证券分析师：刘潇伟 邮箱：liuxiaowei@hcyjs.com 执业编号：S0360525020001 上周量化私募总体正超额。上周样本量化私募收益及超额如下：1）300 增强策略周 /月/年初以来平均收益分别为-0.4%/+3%/+1.3%，周/月/年初以来平均超额分别为 +0.6%/+1%/+4.5%；2）500 增强策略周/月/年初以来平均收益分别为+0.7%/+3.5%/+5.6%， 周/月/年初以来平均超额分别为+0.2%/+2.4%/+9.4%；3）A500 增强策略周/月/年初以来平 均收益分别为-0.4%/+3.1%/+8.9%，周/月/年初以来平均超额分别为+0.6%/+1.3%/+12.5%； 4）1000 增强策略周/月/年初以来平均收益分别为 ...

Group 1: Investment Rating - No information about the industry investment rating is provided in the report Group 2: Core View - The report tracks the weekly data of green bonds from June 2, 2025, to June 6, 2025, including primary market issuance, secondary market trading, and valuation deviation of individual bonds [1][2][3] Group 3: Summary by Content Primary Market Issuance - This week, 10 green bonds were newly issued in the inter - bank and exchange markets, with a total issuance scale of about 9.57 billion yuan, a decrease of 12.436 billion yuan from last week. The issuance term is mostly 3 years, the issuer nature includes local state - owned enterprises, other enterprises, state - owned enterprises, and central enterprise subsidiaries, the issuer's main credit ratings are mostly AAA and AA, and the bonds are issued in various regions and types [1] Secondary Market Trading - The weekly trading volume of green bonds this week totaled 53.1 billion yuan, a decrease of 8.1 billion yuan from last week. By bond type, the top three in trading volume were non - financial corporate credit bonds, financial institution bonds, and interest - rate bonds, totaling 28.1 billion yuan, 17.1 billion yuan, and 6 billion yuan respectively. By issuance term, bonds with a term of less than 3 years had the highest trading volume, accounting for about 80.30%. By issuer's industry, the top three industries in trading volume were finance, public utilities, and construction, with trading volumes of 21.8 billion yuan, 11.6 billion yuan, and 3.3 billion yuan respectively. By issuer's region, the top three regions in trading volume were Beijing, Guangdong, and Hubei, with trading volumes of 18.1 billion yuan, 8.1 billion yuan, and 4.8 billion yuan respectively [2] Valuation Deviation of Top 30 Individual Bonds - The overall valuation deviation of the weekly average trading price of green bonds this week was not significant, with the discount trading amplitude greater than the premium trading amplitude and the proportion of discount trading greater than that of premium trading. Among the discount bonds, the top three in discount rate were G23 Dali 1 (- 1.6985%), 25 Bishuiyuan MTN001 (green science and technology innovation) (- 0.7796%), and 22 Vanke GN002 (- 0.7553%), and the main industries of the issuers were public utilities, real estate, and construction. Among the premium bonds, the top four in premium rate were 25 CNOOC Leasing MTN001 (green new - energy and new - technology) (0.3348%), 21 Shen G12 (0.2879%), 23 Shandong Energy GN001A (0.1197%), and 24 Greentown Real Estate GN001 (0.1174%), and the main industries of the issuers were transportation equipment, real estate, public utilities, and construction [3]

Group 1 - The core viewpoint of the article indicates that the style rotation model has been continuously validated, with macroeconomic factors driving large-cap and value signals in Q2 2025. In May, the market favored large-cap and value styles, with large-cap outperforming small-cap by 0.56% and value outperforming growth by 3.40% [1][2]. - In May, the single-factor multi-strategy model showed a monthly return of 3.31%, with an excess return of 0.33% relative to the benchmark [1][2]. - The dual-driven rotation strategy for large-cap and value signals received a composite score of 3, predicting a favorable outlook for large-cap and value styles in Q2 2025 [1][2]. Group 2 - The industry rotation model for May indicated that the single-factor multi-strategy outperformed with an excess return of 0.33%, while the composite factor strategy had an excess return of -0.64% [2]. - For June, the recommended long positions in the single-factor multi-strategy include non-bank financials, electronics, and banks, while the composite factor strategy recommends non-bank financials, pharmaceuticals, building materials, basic chemicals, and steel [2].

Quantitative Models and Construction 1. Model Name: Macro + Volume-Price Dual-Driver Large-Cap and Small-Cap Rotation Strategy - **Model Construction Idea**: This model integrates macroeconomic factors and micro-level volume-price factors to predict the rotation between large-cap and small-cap styles[6][7] - **Model Construction Process**: - The model uses multiple single-factor signals, including PMI seasonal average difference, social financing growth rate, monetary liquidity, US-China interest rate spread, macro adjustment momentum, and style crowding indicators[7] - Each factor is assigned a signal value: 1 for large-cap signals, -1 for small-cap signals, and 0 for no effective signal[7] - The comprehensive score is calculated by summing the signals of all factors. If the score > 0, the portfolio is fully allocated to the CSI 300 Index; if the score < 0, it is fully allocated to the CSI 1000 Index; if the score = 0, the portfolio is equally weighted between the two indices[7] - **Model Evaluation**: The model demonstrates a high backtest win rate of 82.22% as of Q1 2025, indicating strong predictive power[6] 2. Model Name: Macro + Volume-Price Dual-Driver Value-Growth Rotation Strategy - **Model Construction Idea**: This model integrates macroeconomic factors and micro-level volume-price factors to predict the rotation between value and growth styles[12][13] - **Model Construction Process**: - The model uses multiple single-factor signals, including PMI new orders seasonal average difference, PPI-CPI growth rate, 1-year government bond yield, 3-month US bond yield, macro adjustment momentum, style crowding indicators, and market sentiment[13] - Each factor is assigned a signal value: 1 for value signals, -1 for growth signals, and 0 for no effective signal[13] - The comprehensive score is calculated by summing the signals of all factors. If the score > 0, the portfolio is fully allocated to the CSI Value Index; if the score < 0, it is fully allocated to the CSI Growth Index; if the score = 0, the portfolio is equally weighted between the two indices[13] - **Model Evaluation**: The model demonstrates a backtest win rate of 77.78% as of Q1 2025, showcasing its effectiveness in predicting style rotations[12] 3. Model Name: Industry Rotation Model (Single-Factor Multi-Strategy and Composite Factor Strategy) - **Model Construction Idea**: This model evaluates industry rotation using factors from historical fundamentals, expected fundamentals, sentiment, volume-price technicals, and macroeconomics[18][19] - **Model Construction Process**: - Single-factor multi-strategy: Constructs portfolios based on individual factors and evaluates their performance[18] - Composite factor strategy: Combines multiple factors into a composite score to rank industries and construct portfolios[18] - Both strategies select the top 5 industries from the 30 first-level industries in the CITIC classification and construct equal-weighted long portfolios[18] - **Model Evaluation**: The single-factor multi-strategy outperformed the composite factor strategy in May 2025, with higher monthly absolute and excess returns[20] --- Backtest Results of Models 1. Macro + Volume-Price Dual-Driver Large-Cap and Small-Cap Rotation Strategy - **YTD Return**: -2.41%[11] - **Annualized Return**: -5.83%[11] - **Annualized Volatility**: 17.17%[11] - **Maximum Drawdown**: 10.49%[11] - **Sharpe Ratio**: -0.34[11] - **Calmar Ratio**: -0.56[11] 2. Macro + Volume-Price Dual-Driver Value-Growth Rotation Strategy - **YTD Return**: 1.79%[17] - **Annualized Return**: 4.48%[17] - **Annualized Volatility**: 18.06%[17] - **Maximum Drawdown**: 10.36%[17] - **Sharpe Ratio**: 0.25[17] - **Calmar Ratio**: 0.43[17] 3. Industry Rotation Model - **Composite Factor Strategy**: - **Monthly Absolute Return**: 2.43%[20] - **Monthly Excess Return**: -0.64%[20] - **YTD Absolute Return**: 4.81%[20] - **YTD Excess Return**: 3.98%[20] - **Single-Factor Multi-Strategy**: - **Monthly Absolute Return**: 3.31%[20] - **Monthly Excess Return**: 0.33%[20] - **YTD Absolute Return**: 4.56%[20] - **YTD Excess Return**: 3.83%[20]

报 告 摘 要 一、 事件快评 一 指数化投资迎来大发展 近几年，随着投资者对指数化投资接受程度的不断提高，指数基金规模不断提升。图1展示了2010Q1至2025Q1期间股票型ETF和普通股票型指数基金（不包含ETF）的规 模变动情况。可以看到股票型ETF规模整体呈上升趋势，2025Q1股票型ETF规模达到2.99万亿元；普通股票型指数基金（不包含ETF）受分级基金退出等因素影响规模增 速相对较低，2021Q3之后基金规模波动下行。截至2025年3月31日，股票型被动指数基金共计1305只，合计规模高达3.26万亿元。 由于指数成分股调整是根据编制规则进行的被动操作，因此若成分股的调整规模较大，则可能带来交易性的投资机会。我们对跟踪不同指数的被动产品的规模进行了统 计，仅考虑ETF、普通场外指数基金以及LOF，ETF联接不纳入考虑，其中，ETF规模截至2025年5月30日，场外基金以及LOF规模截至2025年3月31日。截至2025年5月 30日，被动产品跟踪规模超过100亿元的A股股票指数共38只，其中跟踪规模前三的指数分别为沪深300、中证A500、科创50，跟踪规模分别为10569.93、2076.83 ...

供销集团财务有限公司 风险评估报告 大信咨字2025第 1-02284 号 大信会计师事务所（特殊普通合伙） WUYIGE CERTIFIED PUBLIC ACCOUNTANTS LLP. 大信会计师事务所 WUYIGE Certified Public Accountants.LLP 电话 Telephone： +86（10）82330558 北京市海淀区知春路 1 号 Room 2206 22/F,Xueyuan International Tower 传真 Fax： +86（10）82327668 学院国际大厦 22 层 2206 No.1 Zhichun Road,Haidian Dist. 网址 Internet： www.daxincpa.com.cn 邮编 100083 Beijing,China,100083 供销集团财务有限公司 风险评估报告 大信咨字2025第 1-02284 号 北京新合作商业发展有限公司： 我们接受委托，对供销集团财务有限公司（以下简称"财务公司"）2024 年度的风险评估 发表咨询意见。根据中国证券监督管理委员会和中国银行保险监督管理委员会《关于规范上市 公司与企业 ...

Core Viewpoint - Shaanxi Natural Gas Co., Ltd. conducted a risk assessment of Shaanxi Yanchang Petroleum Finance Co., Ltd., confirming its legal status and sound operational conditions, with no significant risks identified in its management practices [1][13]. Group 1: Company Overview - Shaanxi Yanchang Petroleum Finance Co., Ltd. is a non-bank financial institution established in December 2013, with a registered capital of 287.303 million yuan, primarily owned by Shaanxi Yanchang Petroleum (Group) Co., Ltd. with an 82.087% stake [1][2]. - The company provides various financial services, including deposit acceptance, loan processing, and financial consulting for its member units [2][3]. Group 2: Internal Control and Risk Management - The company has established a robust internal control environment, with clear governance structures and responsibilities, enhancing decision-making and operational efficiency [4][5]. - A comprehensive risk management system is in place, with dedicated departments for risk assessment and internal auditing, ensuring effective risk identification and mitigation [5][6]. Group 3: Financial Performance - As of December 31, 2024, the total assets of Shaanxi Yanchang Petroleum Finance Co., Ltd. amounted to 2,292.886 million yuan, with total liabilities of 1,685.866 million yuan and owner’s equity of 607.020 million yuan [10][11]. - The company has maintained compliance with regulatory requirements, with all key financial indicators meeting the standards set forth by the relevant financial regulations [11][12].