Group 1 - Hong Kong stocks rebounded in the afternoon with southbound funds net buying over 12 billion HKD throughout the day [1] - The Hang Seng Index fell by 0.2%, while the Hang Seng China Enterprises Index decreased by 0.3%, and the CSI Hong Kong Stock Connect China 100 Index rose by 0.02% [1] Group 2 - The Hang Seng ETF managed by E Fund tracks the Hang Seng Index, which consists of large-cap, actively traded stocks with strong industry representation, covering financials, consumer discretionary, and information technology, accounting for nearly 80% of the index [2] - The Hang Seng China Enterprises Index, tracked by HIGETF, includes 50 large-cap, actively traded stocks from mainland China listed in Hong Kong, with consumer discretionary, financials, information technology, and energy sectors making up over 85% of the index [2] - The CSI Hong Kong Stock Connect China 100 Index, tracked by the Hong Kong Stock Connect 100 ETF, comprises 100 large-cap, actively traded mainland Chinese companies, with consumer discretionary, information technology, and financial sectors accounting for nearly 75% of the index [2]

Core Viewpoint - The bond market has experienced significant adjustments since July, with a notable "seesaw" effect between the stock and bond markets, leading to large redemptions in bond funds and a general decline in net asset values [1][2]. Group 1: Market Performance - As of July 28, the average return of pure bond funds was -0.05%, with only 40% of products achieving positive returns [2]. - Nearly 40 bond funds have announced large redemptions since July, prompting adjustments in net asset value precision, compared to 19 and 14 funds in June and May, respectively [2]. Group 2: Market Influences - The recent decline in the bond market is attributed to a recovery in risk appetite, with preventive redemptions from bank wealth management products contributing to market disturbances [2][4]. - The People's Bank of China's large liquidity injections have alleviated market tension, leading to a slight decline in the yield of the 10-year government bond, indicating a potential turning point in redemption trends [3]. Group 3: Future Outlook - Industry experts suggest that the bond market may maintain a volatile pattern in the medium term, with potential short-term recovery opportunities [4]. - Factors such as the end of the "anti-involution" trend and the recent monetary policy adjustments may provide a basis for a rebound in the bond market [4][5]. - The upcoming Politburo meeting in July is seen as a critical juncture that could influence market sentiment and performance [4].

Core Viewpoint - The bond market has experienced significant adjustments since July, with a notable "seesaw" effect observed between the stock and bond markets, leading to large redemptions in bond funds and adjustments in net asset value precision [1][3]. Group 1: Market Performance - As of July 28, the average return of pure bond funds was -0.05%, with only 40% of products achieving positive returns [3]. - Nearly 40 bond funds have announced large redemptions since July, compared to 19 and 14 in June and May, respectively [3]. Group 2: Redemption and Adjustments - Major fund companies, including Guotai Junan, Huashang, and others, have raised the net asset value precision of their bond funds due to large redemptions [3]. - The adjustment in net asset value precision aims to protect the interests of fund holders from adverse effects caused by the precision of net asset value [3]. Group 3: Market Outlook - The bond market is expected to maintain a volatile pattern in the medium term, with a focus on short-term recovery opportunities [5][7]. - Factors such as the improvement of deflation expectations and the easing of US-China tariff frictions are expected to exert pressure on the bond market [6][7]. - The potential for a rebound in the bond market exists, driven by the recent central bank liquidity injections and the anticipated stabilization of the economic environment [4][8].

在今日（7月29日）A股市场重新站上3600点之际，债券市场再次承压。 多重因素扰动债市 7月以来，稳增长边际向好带动权益市场风险偏好，而债券市场却接连出现调整。 7月29日，债券市场再次全线下跌。截至收盘，30年期国债期货主力合约跌0.78%，报117.870元；10年期国债期货主力合约跌0.25%，报108.130元；5年期国债期货 主力合约跌0.17%，报105.545元；2年期国债期货主力合约跌0.06%，报102.302元。自今年7月初以来，30年期国债期货主力合约累计跌幅超2%，10年期国债期货主 力合约的跌幅也接近1%。 与此同时，银行间主要利率债收益率普遍上行。截至发稿，30年期国债活跃券的收益率上行3.05个基点，报1.9535%；10年期国债活跃券的收益率上行2.60个基点， 报1.7410%；5年期国债活跃券的收益率上行3个基点，报1.5950%。 | 利率债二级 | | | 信用债二级 | | --- | --- | --- | --- | | | 17 7Y | 2Y 2 3Y | SY - | | 国債 | 1.4075 -- 1.4425 2.50 1.4700 2.25 1.5 ...

Core Insights - The report emphasizes the quantitative practices in the bond ETF era, highlighting the use of redemption lists to enhance transparency and the application of machine learning to predict which bonds are more likely to be purchased by ETFs [1][2] Group 1: Enhancing Transparency through Redemption Lists - Bond ETFs are not purely passively managed; they involve significant active sampling and timing operations. Typically, 90% of the portfolio comes from index and its alternative component bonds, with the remaining 10% sourced from non-component bonds to meet tracking error requirements [12][13] - The number of bonds in the credit bond ETF's benchmark market-making list exceeds 200, while the ETF holdings and redemption lists contain fewer than 200 and 70 bonds, respectively. This indicates a multi-layered selection process for bonds [12][13] - The rapid growth of bond ETF sizes can lead to liquidity disruptions in the primary market, affecting the cost of acquiring replacement bonds [15][24] Group 2: Machine Learning Predictions for Bond Selection - The expansion of bond ETF component bonds follows specific patterns, with a focus on selecting similar attribute bonds from the alternative pool. The redemption mechanism requires ETFs to disclose component bonds and ensure their liquidity [27][28] - The report notes that the weekly influx of new bonds into credit bond ETFs can range from a few dozen to nearly a hundred, reflecting the dynamic nature of the market [28][31] - A predictive model using LightGBM was developed to assess the likelihood of each bond being included in an ETF, with the model showing a correct prediction rate of 45% to 50% for the top 20 predicted bonds [36][38]

Core Viewpoint - The A-share market is experiencing a bullish atmosphere, with the Shanghai Composite Index breaking through key psychological levels, but the index may not fully reflect the market's overall performance due to its heavy reliance on financial stocks [3][4][5]. Group 1: Market Index Analysis - The Shanghai Composite Index includes only 2,184 A-share stocks, representing less than 50% of the total 5,245 A-shares, leading to a distorted view of the market [4][5]. - Financial stocks dominate the index, with banks and non-bank financials accounting for 31.6% of the index's total market capitalization, compared to 21.9% for all A-shares [5]. - The growth style index has a weight of 20.9% in the Shanghai Composite Index, while it is 30.8% in the total A-share market, indicating a weaker response of the index to growth stocks [4][5]. Group 2: Market Opportunities - Despite the strong performance of financial stocks in the first half of the year, their relative performance has weakened as the market transitions, suggesting structural investment opportunities within the market [7]. - Nearly half of the stocks in the market have a price-to-book ratio below the median, indicating ongoing valuation differentiation and potential investment opportunities [9]. - Historical trends show that bull markets often transition from a few leading sectors to broader participation, suggesting that previously underperforming sectors may emerge as new leaders [13][15]. Group 3: Liquidity and Investment Trends - The current market liquidity is relatively abundant, with a notable increase in new A-share accounts, reaching a high not seen since 2016, and a total of 12.6 million new accounts opened in the first half of the year [16]. - The decline in bank deposit rates and the rising attractiveness of equity assets are driving a shift in resident savings towards the stock market [20][24]. - The ratio of stock market capitalization to resident savings is at a historical low, indicating potential for significant capital inflow into the stock market as the economic environment improves [24][27]. Conclusion - The market is expected to maintain abundant liquidity, with macroeconomic policies likely to support a recovery in corporate earnings, providing a sustainable driving force for the stock market [29].

Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: July 29, 2025 - Data Sources: IfinD, Pioneer Futures Investment Consulting Department, Shanghai Stock Exchange, Shenzhen Stock Exchange [3][5][19][32][78] Core Data Option Volatility Data - The report provides the at-the-money option implied volatility, 30-day historical volatility, and the real daily amplitude of various option underlying assets, such as ps2509, 1c2509, si2509, etc. The at-the-money option implied volatility of fg509 ranks first at 4.4%, the 30-day historical volatility of fg509 ranks first at 4.4%, and the real daily amplitude of fg509 ranks first at 7.4% [3]. Option Trading Data - For Shanghai Stock Exchange options: - The trading volume of the main options of SSE 50ETF is 581,375 contracts, the open interest is 773,202 contracts, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 16.7% [21]. - The trading volume of the main options of Huatai-PineBridge CSI 300ETF is 548,486 contracts, the open interest is 628,301 contracts, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.95% [33]. - The trading volume of the main options of Southern CSI 500ETF is 932,611 contracts, the open interest is 610,204 contracts, the trading volume ratio of call options to put options is 1.47, and the weighted average implied volatility is 18.65% [45]. - The trading volume of the main options of Huaxia SSE STAR 50 ETF is 605,611 contracts, the open interest is 890,446 contracts, the trading volume ratio of call options to put options is 1.79, and the weighted average implied volatility is 28.07% [57]. - The trading volume of the main options of E Fund SSE STAR 50 ETF is 133,499 contracts, the open interest is 249,375 contracts, the trading volume ratio of call options to put options is 2.07, and the weighted average implied volatility is 28.99% [68]. - For Shenzhen Stock Exchange options: - The trading volume of the main options of Harvest CSI 300ETF is 87,277 contracts, the open interest is 103,161 contracts, the trading volume ratio of call options to put options is 1.92, and the weighted average implied volatility is 17.9% [81]. Core Views - The at-the-money option implied volatility reflects the market's expectation of the future volatility of the underlying asset. A higher value indicates a greater possibility of significant market movements, which trend traders can focus on. - The 30-day historical volatility reflects the actual past market movements of the underlying asset. If this value is smaller than the implied volatility, it may suggest that the option price is relatively expensive, which option sellers can pay attention to. - The real daily amplitude reflects the intraday market movements of the underlying asset, which intraday traders can focus on [6]. Directory Summary 1. Shanghai Stock Exchange Options - **SSE 50ETF**: - **Basic Information**: The report provides the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months, as well as trading volume, open interest, and implied volatility data [19][21]. - **Volatility Trading**: Suggestions are to sell options in months with higher volatility curves and buy those in months with lower curves; sell options above the curve and buy those below the curve within the same month [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.84% at the settlement price and 1.71% at the counter - party price [27][29]. - **Huatai - PineBridge CSI 300ETF**: - **Basic Information**: The T - type quotation table of Huatai - PineBridge CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [30][33]. - **Volatility Trading**: Similar trading suggestions as SSE 50ETF [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.91% at the settlement price and 0.47% at the counter - party price [40][42]. - **Southern CSI 500ETF**: - **Basic Information**: The T - type quotation table of Southern CSI 500ETF options is provided, along with trading volume, open interest, and implied volatility data [43][45]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.8% at the settlement price and 8.78% at the counter - party price [52][54]. - **Huaxia SSE STAR 50 ETF**: - **Basic Information**: The T - type quotation table of Huaxia SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.21% at the settlement price and 1.28% at the counter - party price [63][65]. - **E Fund SSE STAR 50 ETF**: - **Basic Information**: The T - type quotation table of E Fund SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [66][68]. - **Volatility Trading**: Similar trading suggestions as above [72]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.96% at the settlement price and 1.83% at the counter - party price [75][77]. 2. Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: - **Basic Information**: The T - type quotation table of Harvest CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [78][81]. - **Volatility Trading**: Similar trading suggestions as above [85]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.69% at the settlement price and 0.15% at the counter - party price [89][91].

Core Viewpoints - The A-share equity market continues its strong performance, with multiple key levels being broken through, maintaining strong upward momentum driven by various favorable factors [2][3] - The US equity market shows a slowdown in its high-level growth, but remains in a fluctuating upward trend due to recent tariff negotiations [2][4] - The enhanced equity strategy index has shown relative strength, consistently breaking previous highs and recording higher elasticity in an upward market environment [2][3] A-share Market Analysis - The Shanghai Composite Index has reached resistance near 3600 points, with limited pullback and strong support [2] - The technology growth sector, which performed relatively weakly in May and June, has recently gained more market attention, indicating a shift in capital towards lower-priced sectors [3] - Defensive sectors like dividends and low volatility are expected to undergo short-term adjustments, presenting potential opportunities for positioning after price corrections [3] Overseas Market Dynamics - Recent tariff negotiations have led to a rapid recovery in the US and other markets, with some economic data exceeding expectations, alleviating previous inflation concerns [4] - Despite initial successes in tariff negotiations, there remains uncertainty in related policies, and the risk of overly optimistic pricing in the short term should be noted [4] - The long-term outlook for the US stock market remains positive, driven by strong technological development trends, although current high valuations may present lower cost-effectiveness for new investments [4][6] Fund Strategy Performance - The Evergreen Low Volatility Fund Strategy recorded a weekly return of 1.990%, with a cumulative return of 14.953% since its inception [11][12] - The Enhanced Equity Fund Strategy achieved a weekly return of 2.284%, indicating strong performance in a rapidly rotating and volatile market [5][6] - The Cash Growth Fund Strategy outperformed the benchmark with a weekly return of 0.028%, accumulating a total excess return of 0.457% since its inception [6][15] Fund Strategy Insights - The Evergreen Low Volatility Fund aims to maintain low volatility while achieving stable returns, showing significant outperformance compared to the benchmark [12][22] - The Enhanced Equity Fund focuses on identifying funds with strong alpha generation capabilities, aiming for superior performance in improving market conditions [13][23] - The Cash Growth Fund is designed to optimize cash management for investors, ensuring higher returns while minimizing volatility risks [15][24] Global Investment Strategy - The Overseas Equity Allocation Fund has accumulated high levels of excess returns since its inception, benefiting from the global technology sector's growth [17][25] - The strategy emphasizes selecting indices with strong upward momentum for global diversification, enhancing overall portfolio returns [25][26]

Core Viewpoint - Shenzhen has introduced a new guideline to promote tolerance for failure in the technology innovation sector, aiming to create a supportive environment for innovation and investment [1][3][4]. Group 1: Guidelines and Implementation - The Shenzhen Municipal Science and Technology Innovation Bureau released the "Guidelines for Tolerance of Failure in the Field of Technological Innovation" which outlines the guiding principles and basic conditions for recognizing responsible performance [1][2]. - The guidelines specify that various fiscal special funds' administrative departments are responsible for implementing the tolerance for failure and responsible performance recognition work, detailing five diligence conditions and nine exemption scenarios [2]. Group 2: Capital Strategies - Shenzhen has proposed the concept of "Bold Capital" to encourage investment in high-risk frontier technology fields, promoting a culture of "daring to try and make mistakes" [4][5]. - The South District of Shenzhen has established a strategic direct investment seed fund and angel fund with a total scale of 500 million yuan, allowing for a 100% loss on individual projects [5]. - The Futian District has introduced a risk tolerance policy for government investment funds, permitting up to 80% loss on certain projects, with some projects allowed to incur a 100% loss [6]. Group 3: National Trends - Other regions, such as Wuhan and Sichuan, are also adopting similar tolerance mechanisms for investment losses, indicating a growing trend among local governments to accept full losses in venture capital [7][8]. - The national government has emphasized the need for a sound tolerance mechanism for government investment funds, encouraging a supportive environment for innovation and risk-taking [10][11]. Group 4: Fund Development and Performance - Shenzhen aims to establish a "double ten thousand" structure by 2026, targeting a trillion-level "20+8" industry fund group and over 10,000 registered equity investment and venture capital funds [11][12]. - The city plans to create three new mother funds to enhance its existing fund system, focusing on cross-border cooperation and specialized investment [12][15]. - Shenzhen's national leadership in venture capital is reflected in its comprehensive fund ecosystem, which includes over 500 funds with a total scale exceeding 700 billion yuan, primarily directed towards strategic emerging industries [15][20]. Group 5: Innovative Measures - Shenzhen has introduced a risk compensation scheme for technology innovation seed funds, integrating insurance to mitigate risks associated with project failures [19]. - The city has also established local standards for venture capital and innovation ecosystems, showcasing its commitment to fostering a robust investment environment [17][18].

Group 1 - The establishment of the "China International Science and Technology Promotion Association Mother Fund Branch" aims to enhance the role of mother funds in China's capital market and promote the healthy development of the investment industry, particularly the mother fund sector [1] - The total scale of the newly established merger fund and S fund in a province is 10 billion RMB, with the goal of supporting enterprise mergers and acquisitions [4][5] - The "Zhongjin Yaosheng Mother Fund" is seeking quality sub-fund management institutions, with a total scale of 5 billion RMB, focusing on strategic emerging industries [6][7] Group 2 - The "Changjiang Industry Group" has established a specialized automotive fund with a total scale of 5 billion RMB, aimed at supporting the development of specialized vehicles and components [9] - The "Henan Investment Group" and the National Local Center signed an agreement to build the first heterogeneous humanoid robot training ground in Central China, enhancing regional innovation capabilities [10][14] - "Wanhua Hongyuan" and "Zhongji Capital" are collaborating to promote the implementation of an equipment manufacturing industry fund in Xi'an, focusing on regional industrial development [15][20] Group 3 - The "Hami Municipal Government" delegation visited "Yuzhi Holdings Group" to discuss deepening industrial cooperation, showcasing the group's achievements in technology innovation and capital operation [22][25] - "Xu Jiayi" led a team to the "Guian Guokong Intelligent Computing Park" to explore cooperation paths, emphasizing the potential of the intelligent computing industry in the region [27][30] - The upcoming "Fourth Davos Global Mother Fund Summit" and the "Sixth China Mother Fund Summit" are set to take place, highlighting the growing importance of mother funds in the investment landscape [31]