《OpenAI 发布 o3-pro，Mistral 推出推 理模型 Magistral ——AI 动态汇总 20250616【中邮金工】》 - 2025.06.16 《融资资金持续大幅净流入医药，GRU 行业轮动调出银行——行业轮动周报 20250615》 – 2025.6.16 《资金博弈停牌个股大幅流入信创 ETF，概念轮动速度较快——行业轮动 周报 20250608》 - 2025.06.09 《综合金融受益于稳定币表现突出， ETF 资金逢高净流出医药和消费——行 业轮动周报 20250601》 – 2025.06.02 《退潮周期情绪仍需等待恢复，ETF 净 流 入 国 防 军 工 — — 行 业 轮 动 周 报 20250525》 – 2025.05.26 《ETF 大幅流出红利，成长 GRU 行业因 子得分提升较大——行业轮动周报 20250518》 – 2025.05.19 《各大宽基指数成功补缺，融资资金大 幅净流出银行，GRU 模型偏防守——行 业轮动周报 20250511》 - 2025.05.12 《上证指数振幅持续缩小，目标仍为补 缺，机器人 ETF 持续净流入——行业轮 动周报 2 ...

| 行情 | 资金净流入 | 涨跌分布 | | --- | --- | --- | | 上证指数 | 深证成指 | 北证50 | | 3365.07 | 9988.66 | 1354.36 | | +5.17 +0.15% -16.37 -0.16% +6.90 +0.51% | | | | 科创50 | 创业板指 | 万得全A | | 960.12 | 2003.26 | 5097.28 | | +2.25 +0.24% -6.63 -0.33% +10.02 +0.20% | | | | 沪深300 | 中证500 | 中证A500 | | 3838.86 | 5642.26 | 4487.16 | | -7.78 -0.20% +2.75 +0.05% | | -5.38 -0.12% | | 中证1000 | 深证100 | 中证红利 | | 6030.48 | 4375.10 | 5394.26 | | +30.89 +0.51% | -23.28 -0.53% | +0.55 +0.01% | 若按照申万一级行业分类，煤炭板块领涨，板块涨幅超过1%。石油石化、国防军工、有色金属等板块涨幅居前。 A ...

Group 1 - China National Petroleum Corporation (CNPC) has launched a new model for agricultural support during the "Three Summer" season, providing a full-process oil delivery service from storage to farmers in Hebei province [1] - CNPC has organized 1,811 oil delivery trips, achieving a 67% increase in response speed and a 55% increase in delivery volume, while also reducing transportation losses through large-scale scheduling [1] - A collaborative working group has been established among five provinces to streamline oil supply for agricultural machinery, focusing on efficient resource allocation and market development [1] Group 2 - China Petroleum and Chemical Corporation (Sinopec) has set up 11,000 supply stations and 12,000 green channels, serving over 4 million agricultural machinery users during the "Three Summer" period [2] - Sinopec has increased domestic gasoline and diesel supply, ensuring that essential agricultural materials are readily available at 1,200 gas stations in Jiangsu province, with 24-hour service for farmers [2] - A strategic cooperation agreement has been signed between Sinopec Hubei and the Hubei Agricultural Development Center to manage 100,000 tons of subsidized diesel, enhancing support for local agricultural production [2]

Group 1 - International oil prices have risen significantly, with Brent crude increasing by 2.48% and WTI by 2.7%, both showing over 20% gains since June, primarily driven by the Israel-Iran conflict [3][5] - The oil and gas resource ETF (159309) has seen a substantial inflow of capital, with over 7 million shares net subscribed and a total of over 64 million yuan raised in the past 10 days [1][3] - Major stocks within the oil and gas ETF have experienced significant price increases, with Tongyuan Petroleum rising over 10% and China National Offshore Oil Corporation (CNOOC) showing a slight increase of 0.90% [3][4] Group 2 - The geopolitical tensions, particularly the U.S. attacks on Iranian nuclear facilities, have escalated risks in the region, with potential implications for oil supply and prices [5][6] - Goldman Sachs has indicated that while they do not foresee major supply disruptions, the risks of supply decline and price increases have risen, predicting Brent crude could reach around 90 USD per barrel if Iranian oil supply decreases by 1.75 million barrels per day [6][7] - The strategic importance of the Strait of Hormuz is highlighted, as approximately 11% of global maritime trade passes through it, including significant percentages of oil and gas exports [8]

Quantitative Models and Construction Methods 1. Model Name: Broad-based Index Heat Rotation Strategy - **Model Construction Idea**: The strategy is based on the weekly heat change rate (MA2) of broad-based indices. By identifying the index with the highest heat change rate, the strategy aims to capture short-term market sentiment shifts[7][13][16] - **Model Construction Process**: 1. Group all A-share stocks into five categories: CSI 300, CSI 500, CSI 1000, CSI 2000, and "Others" 2. Calculate the total heat indicator for each group by summing the heat indicators of constituent stocks 3. Compute the weekly heat change rate for each group and apply a 2-week moving average (MA2) for smoothing 4. At the end of each week, invest in the index with the highest heat change rate (MA2). If the "Others" group has the highest rate, remain in cash[8][11][13] - **Model Evaluation**: The strategy demonstrates the ability to capture short-term sentiment-driven opportunities in the market[13] --- Backtesting Results of Models 1. Broad-based Index Heat Rotation Strategy - **Annualized Return**: 8.74% since 2017[16] - **Maximum Drawdown**: 23.5%[16] - **Cumulative Return (2025)**: 9.6%[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Total Heat Indicator - **Factor Construction Idea**: The total heat indicator is used as a proxy for market sentiment, aggregating the attention metrics of individual stocks[7] - **Factor Construction Process**: 1. Define the total heat indicator for individual stocks as the sum of browsing, watchlist additions, and click counts 2. Normalize the indicator by dividing it by the total market value on the same day 3. Multiply the normalized value by 10,000 to scale the indicator within the range [0, 10,000][7] - **Factor Evaluation**: The factor effectively captures market sentiment at the stock level and can be aggregated to broader categories like indices, industries, or concepts[7] 2. Factor Name: Weekly Heat Change Rate (MA2) - **Factor Construction Idea**: This factor measures the short-term change in market sentiment by tracking the weekly variation in the total heat indicator[13] - **Factor Construction Process**: 1. Calculate the weekly change rate of the total heat indicator for each stock or group 2. Apply a 2-week moving average (MA2) to smooth out short-term fluctuations[13][20] - **Factor Evaluation**: The MA2 smoothing enhances the stability of the factor, making it suitable for identifying trends in market sentiment[13] 3. Factor Name: Concept Heat Ranking - **Factor Construction Idea**: This factor identifies the hottest and coldest concepts based on their weekly heat change rates, enabling the construction of sentiment-driven portfolios[31] - **Factor Construction Process**: 1. Rank concepts by their weekly heat change rates 2. Select the top 5 concepts with the highest heat change rates 3. Construct two portfolios: - **TOP Portfolio**: Select the top 10 stocks with the highest total heat within each concept - **BOTTOM Portfolio**: Select the bottom 10 stocks with the lowest total heat within each concept[31] - **Factor Evaluation**: The factor highlights the potential for excess returns by exploiting sentiment-driven mispricing in concept stocks[31] --- Backtesting Results of Factors 1. Total Heat Indicator - **No specific backtesting results provided** 2. Weekly Heat Change Rate (MA2) - **No specific backtesting results provided** 3. Concept Heat Ranking - **BOTTOM Portfolio Annualized Return**: 15.71%[33] - **BOTTOM Portfolio Maximum Drawdown**: 28.89%[33] - **BOTTOM Portfolio Cumulative Return (2025)**: 18%[33]

核心观点： 行 业 报 告 行 业 报 告 行 业 深 度 报 行 业 深 度 报 行 业 周 报 石油石化 2025 年 6 月 22 日 石油石化周报 伊以冲突持续，油价偏强震荡 强于大市（维持） 行情走势图 -30% -20% -10% 0% 10% 20% 30% 24/01 24/03 24/05 24/07 24/09 24/11 25/01 25/03 25/05 沪深300 石油石化 基础化工 证券分析师 证 券 研 究 报 告 告 告 陈潇榕 投资咨询资格编号 S1060523110001 chenxiaorong186@pingan.com.cn 马书蕾 投资咨询资格编号 S1060524070002 mashulei362@pingan.com.cn 石油石化：伊以冲突持续，油价偏强震荡。据 ifind 数据，2025 年 6 月 13 日-2025 年 6 月 20 日，WTI原油期货收盘价(连续)上涨 0.22%， 布伦特油期货价上涨 2.89%。地缘局势方面：伊朗和以色列的相互攻 击仍在激烈进行，当地时间 6 月 21 日，美国投掷了六枚掩体炸弹用 于袭击伊朗福尔多，同时向伊朗其他 ...

量化周报 市场整体风险较低 2025 年 06 月 22 日 ➢ 择时观点：市场整体风险较低。当下流动性保持上行趋势，分歧度保持下行 趋势，景气度保持上行趋势，ERP 保持极值状态，三维择时框架继续满仓。从技 术形态来看，上涨波段的中断减弱了短期内突破的可能性，但整体回调表现出缩 量特征且未突破前期低点，并且不远处有支撑，整体风险较低。 ➢ 指数监测：国证信创大幅流入。通过对同一指数对应的 ETF 规模进行合并并 剔除涨跌幅影响，我们计算了各指数 ETF 产品总体申购/赎回份额情况。近 1 周 ETF 产品申购流入增速快的有：国证信创、港股通医药、中证信创、科创 AI、国 证油气。近 1 周国证信创、深证红利、中证信创、国证价值、细分机械份额流出 最多。 ➢ 资金共振：推荐交通运输，石油石化，电子与非银行金融。我们监控两融与 大单资金的共振情绪，选择两类资金都看好的行业。两融资金流上周在医药中净 流入最多，净流入 12 亿元；大单资金上周在银行中净流入最多，净流入 22.2 亿 元。根据融资融券净流入与主动大单资金的净流入情况，本周推荐交通运输，石 油石化，电子与非银行金融。 ➢ 因子跟踪：估值和成长因子表现 ...

证券研究报告|宏观研究报告 [Table_Date] 2025 年 06 月 22 日 [Table_Title] 地缘冲突的涟漪 [Table_Title2] 类权益周报 [Table_Summary] ► 行情回顾：地缘冲突的涟漪 6 月 9-13 日，权益市场高位回落。截至 2025 年 6 月 20 日， 万得全 A 收盘价为 5087.26，较 6 月 13 日下跌 1.07%。 小微盘行情显著承压，是本周市场较为关键的边际变化，这 或是在主动调和积累已久的结构性矛盾。5 月底中证 2000 拥 挤度达到历史高位，这对小微盘行情的支撑逻辑提出了更高 的要求。而地缘冲突的加剧则给了市场主动释放风险的窗 口，中证 2000 加速下跌。 ► 海外线索：以伊冲突延续，美联储继续暂停降息 本周以伊冲突延续，未见缓和迹象。同时，美联储继续暂停 降息，表态略偏鹰，预测偏向"滞胀"，推动美元走强。此 外，美国核心零售韧性仍存，汽车零售大幅放缓。日本方 面，日本央行维持利率不变，明年起削减购债规模。 整体来看，海外"乱纪元"的叙事并未改变，继关税之后， 中东地缘冲突爆发，美国搅入其中，进一步推升不确定性。 此外，距离 ...

证券研究报告·北交所报告·北交所定期报告 北交所定期报告 20250622 北证指数震荡回调，开展专精特新指数测试 2025 年 06 月 22 日 [Table_Tag] [Table_Summary] [Table_Summary] 北交所市场表现 行业重要新闻： 观点 证券分析师 朱洁羽 执业证书：S0600520090004 zhujieyu@dwzq.com.cn 证券分析师 易申申 执业证书：S0600522100003 yishsh@dwzq.com.cn 证券分析师 余慧勇 执业证书：S0600123070027 xuelx@dwzq.com.cn 研究助理 武阿兰 执业证书：S0600124070018 wual@dwzq.com.cn 相关研究 《瑞士央行、挪威央行双双宣布：降 息 25 个基点》 2025-06-19 《金融监管总局与上海市合力支持上 海金融中心建设》 2025-06-18 东吴证券研究所 1 / 9 执业证书：S0600524080003 yuhy@dwzq.com.cn 研究助理 薛路熹 请务必阅读正文之后的免责声明部 分 ◼ 行情回顾：从指数涨跌表现来看，截至 20 ...

金融工程 | 金工定期报告 金融工程 证券研究报告 量化择时周报：如期调整，止跌信号看什么？ 如期调整，止跌信号看什么？ 上周周报(20250615)认为：短期市场宏观不确定性增加和指数在震荡格局 上沿位置的压制下，风险偏好较难快速提升，继续维持中性仓位。最终 wind 全 A 全周表现先扬后抑，下跌 1.07%。市值维度上，上周代表小市值股票 的中证 2000 下跌 2.22%，中盘股中证 500 下跌 1.75%，沪深 300 下跌 0.45%， 上证 50 下跌 0.1%;上周中信一级行业中，表现较强行业包括银行、综合金 融，银行上涨 3.13%，医药、纺织服装表现较弱，医药下跌 4.16%。上周成 交活跃度上，石油石化资金流入明显。 从择时体系来看，我们定义的用来区别市场整体环境的 wind 全 A 长期均 线（120 日）和短期均线（20 日）的距离继续扩大，最新数据显示 20 日 线收于 5130，120 日线收于 5075 点，短期均线继续位于长线均线之上， 两线差值由上周的 0.99%扩大至 1.09%，距离绝对值继续小于 3%，市场继续 处于震荡格局。 风险提示：市场环境变动风险，模型基于历 ...