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：突破震荡上轨后如何应对? 突破震荡上轨后如何应对? 上周周报(20250622)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，成交仍未到达低位，风险偏好较难快速提升，继续维 持中性偏低仓位，等待缩量信号。最终 wind 全 A 全周表现大超预期，上 涨 3.56%。市值维度上，上周代表小市值股票的中证 2000 上涨 5.55%，中 盘股中证 500 下跌 3.98%，沪深 300 上涨 1.95%，上证 50 上涨 1.27%;上周中 信一级行业中，表现较强行业包括综合金融、计算机，综合金融上涨 14.48%， 石油石化、食品饮料表现较弱，石油石化下跌 1.45%。上周成交活跃度上， 非银金融和国防军工资金流入明显。 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 5168，120 日线收于 5079 点，短期均线继续位于长线均线之上， 两线差值由上周的 1.09%扩大至 1.76%，距离绝对值继续小于 3%， ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - A - share's core contradiction lies internally, with a clear bottom - line for stock indices. The upside space depends on economic fundamental repair and incremental funds, and also requires reduced trading volume. The "dumbbell strategy" is effective, and the basis brings an overweight opportunity for CSI 1000. However, the current annualized basis rate of stock index futures has significantly converged, so it is recommended to temporarily take profit on the IM2509 strategy and wait for a new entry opportunity [3]. - International situations are complex, but market expectations are sufficient, and disturbances from Sino - US and Israel - Iran issues are limited. The Fed's interest rate decision has a greater external impact. A rate cut is beneficial for RMB appreciation, foreign capital inflow, and new incremental funds, which may start as early as September. Current policies to stabilize the capital market are positive, with a clear bottom - line for stock indices, and new technologies and new consumption are promoting the stabilization and recovery of economic expectations. After the risk - free rate drops to a low level, the entry of medium - and long - term funds and individual investors will enter a new cycle. A breakthrough must be accompanied by increased trading volume, and a two - market trading volume of 1.5 trillion (MA5) is a signal [4]. 3. Summary by Directory 3.1 Market Performance - This week, domestic indices rose first and then fell, while the US index reached a new high. As of June 26, 2025, the Nasdaq index rose 3.70%, the S&P 500 index rose 2.90%, the Hang Seng Tech index rose 4.13%, the Shanghai Composite Index rose 2.64%, the CSI 1000 index rose 4.14%, the SSE 50 index rose 2.42%, the ChiNext index rose 5.20%, and the STAR 50 index rose 3.35%. Most of the 31 Shenwan primary industry indices rose this week, with sectors such as computers, non - bank finance, and national defense and military industry rising more than 5%, and only a few sectors such as petroleum and petrochemicals and food and beverages falling [12][16]. 3.2 Liquidity - In May, the growth rate of social financing was stable, and the growth rate of M2 declined slightly. The capital interest rate (DR007) remained low, and the net MLF investment in May was 37.5 billion yuan. The yield of the 10 - year treasury bond was around 1.65%. The growth rate of social financing in May remained at a relatively high level, with government bond financing being an important support, while credit growth was still weak. The incremental social financing in May was 2.29 trillion yuan, an increase of 224.7 billion yuan year - on - year. The stock of social financing scale increased by 8.7% year - on - year, remaining flat month - on - month. The growth rate of M2 declined slightly but remained stable overall, the growth rate of M1 increased, and the M1 - M2 gap narrowed [17]. 3.3 Trading Data and Sentiment - Stock indices rose first and then fell this week. The number of new accounts opened in January was 1.57 million, in February was 2.83 million, in March was 3.06 million, in April dropped to 1.92 million, and in May continued to drop to 1.555 million. Domestic stock indices rose first and then fell this week, and the trading volume of the two markets increased to around 1.5 trillion [26]. 3.4 Index Valuation - As of June 26, 2025, the latest PE of the Shanghai Composite Index was 15.06, with a percentile of 68.03, and the latest PE of the Wande All - A was 19.80, with a percentile of 08.30. In terms of major stock indices, the valuation percentiles were CSI 1000 < CSI 500 < CSI 300 < SSE 50. The index valuation is in the median range [37]. 3.5 Index Industry Weights (as of December 31, 2024) - For the SSE 50, the weights of banks, food and beverages, and non - bank finance are relatively high, at 19.4%, 16.57%, and 13.07% respectively, and the electronics industry has become the fourth - largest weighted industry. - The weights of the CSI 300 are relatively dispersed, and the top three weighted industries are banks, non - bank finance, and electronics. - The top three weighted industries of the CSI 500 and CSI 1000 are exactly the same, namely electronics, medicine and biology, and power equipment, but the weight of the electronics industry in the CSI 1000 is higher [43][46].

宏观经济 | 证券研究报告 — 总量周报 2025 年 6 月 29 日 周度金融市场跟踪 本周以伊停火，风险资产全面上涨；债券市场 小幅震荡（ 6 月 23 日 -6 月 27 日） ◼ 股票方面，本周 A 股放量上涨。全周累计看，沪深 300 上涨 2.0%，中证 1000 上涨 4.6%，中证 2000 上涨 5.6%，小盘股涨幅大于大盘股。恒生指数上涨 3.2%，恒生科 技指数上涨 4.1%。行业方面，本周 31 个一级行业仅石油化工、食品饮料和交通运输 3 个行业下跌，计算机、军工和非银领涨，且涨幅均在 6%以上。周内看，上周末美 国打击了伊朗核设施，以伊局势一度升温，周一早晨（6 月 23 日）以色列总理表示 伊朗核设施已受到重创，以色列对伊朗的行动目标接近完成，市场避险情绪有所下降， 当天 A 股超 4400 家公司上涨。周二凌晨（6 月 24 日），特朗普在其社交媒体上发文 表示，以色列和伊朗已同意全面停火。当天 A 股放量上涨，全天超 4700 家公司上涨， 全 A 成交额超 1.4 万亿元，较前一天上升超 3000 亿元。周二盘后，中国人民银行等 六部门联合印发《关于金融支持提振和扩大消费 ...

Core Viewpoint - The article discusses the potential economic slowdown and the various factors influencing market sentiment, including external trade relations, fiscal policies, and consumer behavior, while highlighting the resilience of certain sectors in the face of these challenges. Group 1: Economic Indicators and Trends - The EPMI, PMI, and BCI indicators show a gradual increase in economic activity from January to March 2025, followed by a pullback in April and stabilization in May [1] - In June, EPMI and BCI data indicate signs of economic slowdown, attributed to external demand weakening, a small cycle slowdown in real estate, and fluctuations in consumer electronics sales due to policy changes [2][3] - The overall economic environment is influenced by external trade discussions between China and the US, with both sides making progress on trade agreements [3] Group 2: Market Reactions and Asset Performance - Global stock markets rebounded in the fourth week of June, with significant gains in US indices, driven by improved risk appetite and expectations of interest rate cuts [5] - The decline in oil prices and the drop in gold prices reflect a shift towards risk-on sentiment, while the performance of commodities like copper has improved due to reduced geopolitical tensions [6][7] - The Chinese stock market showed strong performance, with the Wande All A Index rising by 3.56%, indicating a recovery in investor sentiment and increased trading activity [8] Group 3: Consumer Behavior and Spending - Consumer spending data indicates a slight decline, with personal consumption expenditures (PCE) down by 0.1% in June, suggesting that households are beginning to draw on savings to maintain spending levels [10] - The travel sector is experiencing a resurgence, with predictions of a 5.4% increase in passenger transport during the summer season, reflecting a recovery in travel demand [20][21] Group 4: Policy and Fiscal Measures - The Chinese government is implementing more proactive fiscal policies to stabilize the economy, focusing on employment and market expectations [3][4] - A joint directive from multiple government departments aims to enhance financial support for consumer sectors, indicating a strategic push to stimulate consumption [24][25]

- Model Name: Short-term Quantitative Timing Model; Model Construction Idea: The model is based on market sentiment indicators, valuation, macro liquidity, and macro fundamentals to generate timing signals; Model Construction Process: The model uses various indicators such as manufacturing PMI, long-term loan balance growth rate, M1 growth rate, PE and PB valuation percentiles, Beta dispersion, volume sentiment score, volatility, monetary rate, exchange rate expectation, and net financing amount to generate signals. For example, the formula for the volume sentiment score is: $$ \text{Volume Sentiment Score} = \frac{\text{Current Volume} - \text{Mean Volume}}{\text{Standard Deviation of Volume}} $$ where the current volume is the trading volume of the current period, the mean volume is the average trading volume over a specified period, and the standard deviation of volume is the standard deviation of trading volumes over the same period. The model evaluates these indicators to determine the overall market sentiment and generates a timing signal accordingly[9][14][15]; Model Evaluation: The model is highly sensitive to market sentiment indicators, which can lead to frequent signal changes[9] - Model Name: Growth-Value Style Rotation Model; Model Construction Idea: The model uses economic cycle analysis to determine the allocation between growth and value styles; Model Construction Process: The model evaluates the slope of the profit cycle, the level of the interest rate cycle, and the changes in the credit cycle. For example, the formula for the profit cycle slope is: $$ \text{Profit Cycle Slope} = \frac{\text{Current Profit} - \text{Previous Profit}}{\text{Previous Profit}} $$ where the current profit is the profit of the current period, and the previous profit is the profit of the previous period. The model also considers PE and PB valuation differences and turnover and volatility differences between growth and value styles to generate allocation signals[25][26]; Model Evaluation: The model provides significant improvement over the benchmark in terms of annualized returns and Sharpe ratio[25][26] - Model Name: Small-Cap vs. Large-Cap Style Rotation Model; Model Construction Idea: The model uses economic cycle analysis to determine the allocation between small-cap and large-cap styles; Model Construction Process: The model evaluates the slope of the profit cycle, the level of the interest rate cycle, and the changes in the credit cycle. For example, the formula for the interest rate cycle level is: $$ \text{Interest Rate Cycle Level} = \frac{\text{Current Interest Rate} - \text{Mean Interest Rate}}{\text{Standard Deviation of Interest Rate}} $$ where the current interest rate is the interest rate of the current period, the mean interest rate is the average interest rate over a specified period, and the standard deviation of interest rate is the standard deviation of interest rates over the same period. The model also considers PE and PB valuation differences and turnover and volatility differences between small-cap and large-cap styles to generate allocation signals[30][31][32]; Model Evaluation: The model provides significant improvement over the benchmark in terms of annualized returns and Sharpe ratio[30][31][32] - Model Name: Four-Style Rotation Model; Model Construction Idea: The model combines the conclusions of the growth-value and small-cap vs. large-cap rotation models to determine the allocation among four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value; Model Construction Process: The model uses the signals generated by the growth-value and small-cap vs. large-cap rotation models to allocate the portfolio among the four styles. For example, if the growth-value model suggests overweighting value and the small-cap vs. large-cap model suggests overweighting large-cap, the allocation would be adjusted accordingly[33][34]; Model Evaluation: The model provides significant improvement over the benchmark in terms of annualized returns and Sharpe ratio[33][34] Model Backtest Results - Short-term Quantitative Timing Model: Annualized Return 16.24%, Annualized Volatility 14.70%, Maximum Drawdown 27.70%, Sharpe Ratio 0.9613, IR 0.5862, Monthly Win Rate 68.21%, Quarterly Win Rate 68.63%, Annual Win Rate 85.71%[16][19][22] - Growth-Value Style Rotation Model: Annualized Return 11.51%, Annualized Volatility 20.85%, Maximum Drawdown 43.07%, Sharpe Ratio 0.5316, IR 0.2672, Monthly Win Rate 58.00%, Quarterly Win Rate 60.00%, Annual Win Rate 85.71%[27][29] - Small-Cap vs. Large-Cap Style Rotation Model: Annualized Return 11.92%, Annualized Volatility 22.75%, Maximum Drawdown 50.65%, Sharpe Ratio 0.5283, IR 0.2386, Monthly Win Rate 60.67%, Quarterly Win Rate 56.00%, Annual Win Rate 85.71%[32] - Four-Style Rotation Model: Annualized Return 13.03%, Annualized Volatility 21.60%, Maximum Drawdown 47.91%, Sharpe Ratio 0.5834, IR 0.2719, Monthly Win Rate 59.33%, Quarterly Win Rate 62.00%, Annual Win Rate 85.71%[34][35]

钛媒体App 6月29日消息，下周（6月30日-7月6日）市场大事预告： 1．下周，中国人民银行公开市场将有20275亿元逆回购到期，其中下周一至下周五分别到期2205亿元、 4065亿元、3653亿元、5093亿元、5259亿元。 2．周二（1日）美国 6月ISM制造业指数；欧洲央行行长拉加德发表讲话。 3．周三（2日）欧洲央行行长拉加德发表讲话。 4．周四（3日）美国 6月失业率；美国 6月非农就业人口变动（万人）；美国6月ISM非制造业指数。 5．Wind数据统计显示，下周A股共有68家公司限售股陆续解禁，合计解禁31.65亿股，按6月27日收盘 价计算，解禁总市值为816.71亿元。按6月27日收盘价计算，解禁市值居前三位的是：中无人机(200.2亿 元)、迪哲医药-U(132.72亿元)、概伦电子(69.42亿元)。从个股的解禁量看，解禁股数居前三位的是：中 无人机(4.03亿股)、甘肃能源(3.35亿股)、美丽生态(3.27亿股)。 6．下周，港股市场有5只新股上市，分别是泰德医药、IFBH、云知声、拨康视云-B、安井食品。A股市 场无新股上市。A股市场下周有一只新股申购，即同宇新材。该公司拟在创 ...

再看减税政策。特朗普2017年的减税措施被延长到所有收入群体，最高税率维持37%，遗产税免税额涨到每人1500万美元。这相当于给美国富人发了个大 红包，但对中低收入家庭可不太友好。法案同时削减了医疗补助和食品券支出，要求受益人每月工作80小时才能领取福利。这让我想起2018年美国税改 后，贫富差距拉大导致的社会矛盾。现在法案里的"小费免税""加班收入免税"抵扣，看似普惠，实则门槛不低——比如小费抵扣要求年收入低于20万美 元，这明摆着是在讨好蓝领选民，但实际能拿到的人可能不多。 各位老铁好，我是你们的老朋友帮主郑重。在财经圈摸爬滚打20年，我始终坚信：政策的风吹草动里藏着真金白银的机会，但只有穿透表象才能抓住本 质。今天咱们来聊聊美国参议院刚通过的"大而美"法案，这可是未来十年影响全球经济的关键棋子。 先说最重磅的债务上限。这次法案直接把美国国债上限提高5万亿美元，相当于给信用卡提额到41万亿。这让我想起2011年标普下调美国信用评级时，美 股一周暴跌15%。不过这次市场反应有点反常——美债收益率没怎么动，美元反而跌了。为啥？因为法案里藏着3.8万亿美元的财政赤字窟窿，投资者都 在赌美联储下半年得降息救市。对 ...

Group 1 - The article emphasizes that the market is experiencing a short-term upward breakthrough due to several factors, including the stabilization of capital market expectations and the influx of long-term funds, particularly from insurance companies [1][2] - The recent geopolitical tensions have eased, leading to a recovery in global risk appetite, alongside expectations of a Federal Reserve interest rate cut, which has contributed to the market's positive momentum [2][5] - The index's breakthrough has directly boosted risk appetite, resulting in increased trading activity, particularly in small-cap stocks and technology growth sectors [2][8] Group 2 - The article suggests that multiple positive factors are expected to converge between 2026 and 2027, potentially marking a core bull market phase, although the current market still shows signs of weakness [5][6] - The overall economic outlook remains weak, with concerns about macroeconomic support and limited structural improvements, indicating that the market is not yet ready for a bull market [6][8] - The short-term market may still experience speculative index rallies, but significant upward trends are anticipated to begin in late 2025 [8] Group 3 - The article identifies specific sectors with high elasticity for investment opportunities, including stablecoins, national defense, and military industries, as well as the overseas AI computing power industry [8] - High-dividend assets are expected to undergo a revaluation in the medium term, with a focus on banking stocks, which may face adjustment pressure due to excessive short-term attention [8] - The article maintains a structural bullish outlook for A-shares, emphasizing the reliance on breakthroughs in technology industries and highlighting three asset categories closely related to China's strategic opportunities: gold, rare earths, and national defense [8]

Core Insights - The article discusses the evolution of modern warfare, highlighting the shift from traditional combat to algorithm-driven warfare, emphasizing the role of data link attacks and AI in military operations [1][5][8] - Palantir is positioned as a key player in this transformation, leveraging advanced algorithms for military and commercial applications, and has seen significant stock price appreciation due to its perceived value in the AI sector [5][8][10] Group 1: Military Applications - Recent conflicts, such as the Ukraine-Russia war, showcase the effectiveness of AI and data-driven strategies in military operations, with Ukraine successfully using drones to target Russian assets [3][5] - Palantir's technology has been instrumental in military intelligence, assisting the U.S. military in locating high-profile targets like Osama bin Laden through data analysis and modeling [5][43] Group 2: Company Overview - Founded in 2003, Palantir initially focused on securing contracts with the U.S. military, employing a strategy of providing free software to gain trust and build relationships within military ranks [10][12] - The company has diversified its offerings, providing customized AI solutions across various sectors, including defense, finance, and healthcare, with a significant portion of its revenue derived from government contracts [22][26] Group 3: Financial Performance - Palantir's stock has surged approximately 1500% since early 2023, driven by its strong performance in the AI market and a high price-to-earnings ratio of 520, placing it among the top tech companies in the U.S. [8][10] - The company reported a quarterly revenue of $884 million in Q1 2025, with an average revenue of over $4 million per customer, indicating a strong financial position [28][29] Group 4: Product Offerings - Palantir's core products include Gotham for military and intelligence analysis, Foundry for commercial data integration, AIP for AI-driven applications, and Apollo for software deployment and data security [30][66] - The company emphasizes customization in its services, deploying teams to understand client needs and create tailored AI systems, which distinguishes it from typical SaaS providers [24][30] Group 5: Market Position and Strategy - Palantir's unique approach to data integration and analysis, based on its ontology framework, allows it to create comprehensive solutions that address complex data challenges faced by enterprises [73][78] - The company has cultivated a strong following among retail investors, with a significant portion of its stock held by individual shareholders, reflecting its appeal as a "national fortune stock" in the U.S. [85][87]

本周全球资本市场呈现风险资产普涨态势，主要指数涨跌及驱动逻辑围绕地缘风险缓和、美联储政策预 期转向等核心因素展开。 全球主要指数中，日本日经225指数以4.55%的周涨幅领涨，日元兑美元突破144的贬值趋势显著提振丰 田等出口制造业龙头；纳斯达克指数紧随其后上涨4.25%，英伟达市值重返全球第一、苹果收购AI公司 Perplexity推动科技板块走强；深证成指、恒生指数、德国DAX分别上涨3.73%、3.20%、2.92%。 港股市场延续涨势，恒生指数周涨3.2%逼近年内高点，恒生科技指数（+4.06%）、恒生中国企业指数 （+2.76%）同步上行，大型科技股与金融板块领涨，南下资金本周净流入284亿港元（偏好建设银行、 美团-W、中芯国际等大金融与科技标的）是重要支撑。 展望下周，全球市场焦点将集中于7月9日美国关税暂停期到期的最终决策、美国6月非农就业数据（验 证经济放缓程度）及中国6月PMI（观察政策效果）。风险方面，若中东停火协议生变可能推升原油波 动率，美债收益率若反弹至4.5%上方或触发科技股估值调整；A股需警惕短期成交量放大后缺乏持续支 撑的调整风险。 策略建议上，可重点关注人工智能、新能源汽车 ...