Market Overview - The Shanghai Composite Index rose by 0.41% today, with a trading volume of 728.77 million shares and a total transaction value of 878.71 billion yuan, an increase of 9.03% compared to the previous trading day [1] Industry Performance - The banking sector led the gains with an increase of 1.65%, followed by steel at 1.47% and comprehensive industries at 1.41% [1] - The sectors with the largest declines included beauty and personal care, down 2.23%, non-ferrous metals, down 1.17%, and textiles and apparel, down 0.97% [1] Key Stocks - Notable gainers included Shanghai Pudong Development Bank, which rose by 2.89%, and Liugang Co., which surged by 10.02% [1] - In contrast, significant decliners included companies like Feiya Group, which fell by 7.61%, and Nanshan Holdings, down 6.31% [1] ETF Insights - The Food and Beverage ETF (515170) has seen a slight decline of 0.35% over the past five days, with a P/E ratio of 19.83 and a net outflow of 796,000 yuan [3] - The Gaming ETF (159869) increased by 3.68% in the last five days, with a P/E ratio of 42.76 and a significant net outflow of 110 million yuan [3] - The Cloud Computing 50 ETF (516630) experienced a minor increase of 0.08%, with a high P/E ratio of 99.46 and a net inflow of 405,000 yuan [4]

Market Overview - The A-share market showed a positive trend today, with major indices mostly rising. The Shanghai Composite Index increased by 0.59% to close at 3444.43 points, while the Shenzhen Component Index rose by 0.83% to 10465.12 points. The Sci-Tech 50 Index saw a gain of 1.54%, closing at 1003.41 points, and the ChiNext Index increased by 1.35% to 2153.01 points. Overall, 4054 stocks rose, 1126 fell, and 237 remained unchanged across the market [1]. - The total trading volume in the Shanghai and Shenzhen markets was 148.69 billion yuan, a decrease of 54.24 billion yuan compared to the previous trading day [1]. Industry Performance - Among the Shenwan first-level industries, all sectors except for non-bank financials, banking, and transportation saw gains today. The leading sectors included defense and military industry, media, telecommunications, electronics, textile and apparel, and electric power equipment [1]. Sector Highlights - The top-performing concept sectors today included military informationization, CRO, aircraft carriers, BC batteries, photolithography machines, large aircraft, military-civilian integration, the top ten military industrial groups, the AVIC system, commercial aerospace, general aviation, online gaming, rare earth permanent magnets, low-altitude economy, and photolithography factories [1].

Quantitative Models and Construction Methods 1. Model Name: Price Segmentation System - **Model Construction Idea**: The model analyzes the price movement of the Shanghai Composite Index (SSE) to identify marginal trends and align daily and weekly price patterns[15] - **Model Construction Process**: The model segments the price data of the SSE index into daily and weekly trends. It observes the marginal upward movement in daily data and compares it with weekly data to confirm alignment[15] - **Model Evaluation**: The model provides a straightforward approach to track marginal price movements and assess consistency across timeframes[15] 2. Model Name: Micro-Market Structure Timing - **Model Construction Idea**: This model evaluates the activity level of informed traders to gauge market sentiment and timing opportunities[16] - **Model Construction Process**: The model uses an "informed trader activity index," which tracks the marginal changes in informed trading activity. The index is observed near the zero line, indicating cautious market sentiment[16] - **Model Evaluation**: The model effectively reflects the cautious stance of informed traders during market volatility, providing insights into market timing[16] 3. Model Name: Institutional Positioning Estimation - **Model Construction Idea**: This model estimates institutional holdings in the TMT sector to assess the sector's positioning and potential rebound opportunities[14] - **Model Construction Process**: The model calculates the institutional holding ratio in the TMT sector. As of June 20, the institutional holding ratio was 24.7%, corresponding to the 54.2% percentile over the past three years. This indicates a relatively cleared position structure, suggesting potential for early recovery[14] - **Model Evaluation**: The model provides a quantitative basis for assessing sectoral positioning and rebound potential, particularly in high-risk sectors like TMT[14] --- Model Backtesting Results 1. Price Segmentation System - **Weekly SSE Index Change**: -0.51% during the period from June 16 to June 20, 2025[15] 2. Micro-Market Structure Timing - **Informed Trader Activity Index**: The index remained near zero, reflecting cautious market sentiment[16] 3. Institutional Positioning Estimation - **Institutional Holding Ratio in TMT**: 24.7%, corresponding to the 54.2% percentile over the past three years[14] --- Quantitative Factors and Construction Methods 1. Factor Name: BARRA Style Factors - **Factor Construction Idea**: The factors analyze the performance of fundamental and trading-related attributes to identify market preferences and style shifts[25] - **Factor Construction Process**: - **Fundamental Factors**: Valuation factors, such as earnings-to-price (EP), are analyzed for their contribution to high-dividend asset returns - **Trading-Related Factors**: Momentum and volatility factors are assessed for their performance during market corrections - **Size Factors**: Both linear and non-linear size factors are evaluated to track shifts from small-cap to large-cap preferences[25] - **Factor Evaluation**: The factors effectively capture the dynamic shifts in market preferences, including the transition from small-cap to large-cap styles and the performance of high-dividend assets[25] --- Factor Backtesting Results 1. BARRA Style Factors - **Valuation Factors**: High EP value assets demonstrated strong returns[25] - **Trading-Related Factors**: Momentum and high-volatility assets experienced drawdowns[25] - **Size Factors**: Positive excess returns for size factors, with reduced drawdowns in non-linear size factors, indicating a shift toward large-cap preferences[25]

证券时报·数据宝统计，截至上午收盘，今日沪指涨0.08%，A股成交量550.44亿股，成交金额6863.36亿 元，比上一个交易日减少14.81%。个股方面，1943只个股上涨，其中涨停39只，3209只个股下跌，其 中跌停10只。从申万行业来看，食品饮料、交通运输、非银金融等涨幅最大，涨幅分别为1.20%、 0.85%、0.81%；传媒、石油石化、计算机等跌幅最大，跌幅分别为1.69%、1.35%、1.16%。（数据宝） 今日各行业表现（截至上午收盘） | 国防军工 | | | | 新光光电 | | | --- | --- | --- | --- | --- | --- | | 计算机 | -1.16 | 668.11 | -15.63 | 致远互联 | -8.74 | | 石油石化 | -1.35 | 131.36 | 16.19 | 华锦股份 | -8.23 | | 传媒 | -1.69 | 268.71 | -1.71 | 元隆雅图 | -9.79 | 注：本文系新闻报道，不构成投资建议，股市有风险，投资需谨慎。 （文章来源：证券时报网） | 申万行业 | 行业涨跌（%） | 成交额（亿元） | 比上 ...

注：本文系新闻报道，不构成投资建议，股市有风险，投资需谨慎。 （文章来源：证券时报网） | 行业名 | 成交量（亿 | 成交量较昨日增减 | 换手率 | 涨跌幅 | 今日主力资金净流入（亿 | | --- | --- | --- | --- | --- | --- | | 称 | 股） | （%） | （%） | （%） | 元） | | 医药生 物 | 69.12 | 0.99 | 2.54 | 1.27 | 11.01 | | 银行 | 34.41 | 11.70 | 0.26 | 0.30 | 9.88 | | 通信 | 34.71 | 11.71 | 1.98 | 0.98 | 6.71 | | 传媒 | 61.49 | 13.75 | 4.20 | 1.33 | 6.39 | | 非银金 融 | 48.42 | -9.84 | 1.17 | 0.19 | 3.13 | | 石油石 化 | 13.59 | 19.84 | 0.38 | 0.27 | 2.79 | | 有色金 属 | 49.58 | -8.68 | 2.27 | 1.40 | 2.37 | | 家用电 器 | 11.43 | -11.8 ...

Core Viewpoint - The report highlights the net capital inflow and outflow across various industries, indicating a significant disparity in investment trends, with non-bank financials attracting the most capital while the automotive sector experienced the largest outflow [1][2]. Industry Summary - **Non-Bank Financials**: - Net capital inflow of 2.781 billion, with a price change of 1.20% and a turnover rate of 0.97%. The trading volume increased by 42.65% compared to the previous trading day [1]. - **Pharmaceuticals**: - Net capital inflow of 2.027 billion, with a price change of 2.30% and a turnover rate of 2.93%. The trading volume increased by 38.74% compared to the previous trading day [1]. - **Media**: - Net capital inflow of 1.565 billion, with a price change of 1.05% and a turnover rate of 3.02%. The trading volume increased by 22.53% compared to the previous trading day [1]. - **Defense and Military**: - Net capital inflow of 1.103 billion, with a price change of 1.52% and a turnover rate of 2.28%. The trading volume increased by 10.68% compared to the previous trading day [1]. - **Automotive**: - Net capital outflow of -1.108 billion, with a price change of 0.03% and a turnover rate of 2.63%. The trading volume increased by 12.09% compared to the previous trading day [2]. - **Electric Power Equipment**: - Net capital outflow of -0.318 billion, with a price change of 0.79% and a turnover rate of 2.76%. The trading volume increased by 10.26% compared to the previous trading day [2]. - **Real Estate**: - Net capital outflow of -0.404 billion, with a price change of 0.06% and a turnover rate of 1.18%. The trading volume increased by 0.85% compared to the previous trading day [2]. - **Computers**: - Net capital outflow of -1.105 billion, with a price change of 0.86% and a turnover rate of 3.75%. The trading volume decreased by 0.65% compared to the previous trading day [2].

（原标题：今日69只A股封板 医药生物行业涨幅最大） 证券时报•数据宝统计，截至上午收盘，今日沪指涨0.23%，A股成交量673.18亿股，成交金额8386.18亿元，比上一个交易日增加9.96%。个股方 面，3695只个股上涨，其中涨停69只，1442只个股下跌。从申万行业来看，医药生物、国防军工、传媒等涨幅最大，涨幅分别为2.59%、1.87%、 1.14%；银行、有色金属、食品饮料等跌幅最大，跌幅分别为0.59%、0.44%、0.36%。（数据宝） 近五日涨跌:1.26% 市盈率: 17.08倍 资金流向：最新份额为5.5亿份，减少了300.0万份，主力资金净 流出28.7万元。 估值分位: 66.98% 今日各行业表现（截至上午收盘） | 申万行业 | 行业 | 成交额 | 比上日 | | 涨跌幅 | | --- | --- | --- | --- | --- | --- | | | 涨跌 | （亿元） | （%） | 领涨（跌）股 | （%） | | | （%） | | | | | | 医药生物 | 2.59 | 950.15 63.18 | | 星昊医药 | 25.82 | | 国防军工 | 1. ...

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Views of the Report - The U.S. Treasury yield curve rebounded across the board due to the better - than - expected non - farm payroll data, and the Fedwatch shows that the pricing for interest rate cuts this year is less than two times. The U.S. internal game uncertainty has increased, and the U.S. Treasury yield may still fluctuate at a high level [1][41][42] - In the domestic market, the Shanghai Composite Index has closed up for four consecutive trading days, challenging 3400 points. Core technology sectors have performed well, and micro - cap stocks have continued the valuation repair trend. Next week, the overall opportunities may outweigh the risks [1][42] - In terms of convertible bond styles, equal - weighted leads weighted, small - cap leads large - cap, high - price leads low - price, and AAA - rated bonds perform weakly while medium - and low - rated bonds perform strongly [1][42] Group 3: Summary According to the Directory 1. Week - to - Week Market Review 1.1. The equity market rose overall, and most industries closed up - From June 2nd to June 6th, the equity market rose overall. The average daily trading volume of the two markets increased by about 1011.75 billion yuan to 11856.64 billion yuan, with a weekly on - week increase of 9.33% [9] - Among the 31 Shenwan primary industries, 23 industries closed up. Communication, non - ferrous metals, electronics, computers, and basic chemicals led the gains, while household appliances, food and beverages, transportation, coal, and steel led the losses [15] 1.2. The convertible bond market rose overall, and most industries closed up - From June 2nd to June 6th, the CSI Convertible Bond Index rose 1.08%. Among the 29 Shenwan primary industries, 28 industries closed up, with 7 industries having a gain of over 2%. Media, communication, computers, household appliances, and beauty care led the gains, while building materials led the losses [18] - The average daily trading volume of the convertible bond market was 515.51 billion yuan, a decrease of 39.67 billion yuan, with a on - week change of - 7.15%. The top ten convertible bonds in terms of trading volume had an average trading volume of 104.79 billion yuan, and the first - ranked one had a trading volume of 233.31 billion yuan [18] - Approximately 90.53% of convertible bond issues rose, about 37.68% had a gain in the 0 - 1% range, and 22.95% had a gain of over 2% [18] 1.3. Comparison of stock and bond market sentiments - From June 2nd to June 6th, the weekly weighted average and median of the convertible bond and underlying stock markets were positive, and the underlying stocks had a larger weekly gain. The trading volume of both the convertible bond and underlying stock markets decreased significantly, and the underlying stock market had a larger decline in trading volume and a lower quantile level [36] - Approximately 89.71% of convertible bonds and 77.70% of underlying stocks closed up. About 40.36% of convertible bonds had a larger gain or loss than underlying stocks. Overall, the trading sentiment in the underlying stock market was better this week [36] 2. Outlook and Investment Strategies - The U.S. Treasury yield may still fluctuate at a high level due to the increase in internal game uncertainty in the U.S [1][41][42] - In the domestic market, next week's opportunities may outweigh risks. It is recommended to allocate core technology themes that have corrected significantly and focus on medium - and low - priced targets with low business uncertainty, sufficient cash, and a positive attitude towards equity investment and mergers and acquisitions [1][42] - The top ten high - rated, medium - and low - priced convertible bonds with the greatest potential for par premium rate repair next week are Qilu Convertible Bond, Chuanheng Convertible Bond, Youfa Convertible Bond, Wankai Convertible Bond, Dayu Convertible Bond, Qizheng Convertible Bond, Baidian Convertible Bond, Guangda Convertible Bond, Wantian Convertible Bond, and Jinlun Convertible Bond [1]

Report Industry Investment Rating - No industry investment rating information is provided in the report. Core Viewpoints of the Report - During the week from May 26th to May 31st, 2025, the A-share market continued to fluctuate and consolidate, with deepening industry rotation. The pharmaceutical and biological, environmental protection sectors led the gains, while the household appliances, power equipment, and comprehensive sectors saw significant adjustments. The convertible bond market showed a slight recovery, with intensified valuation differentiation. The low-price zone compressed, and the medium and high-price zones had repair elasticity. The short-term market structure switched frequently, and the capital style shifted from high elasticity to stability and low-level repair. The primary market supply was stable, but clause games were active, with an increase in the number of early redemption and downward revision bonds. Attention should be paid to the risk of supply decline. It is recommended to focus on medium and high-price convertible bonds with low valuations and strong fundamentals, and also consider the allocation value of high-grade blue-chip convertible bonds, while flexibly participating in theme rotation opportunities [2][5]. Summary by Relevant Catalogs Market Weekly Review A-share Market - The A-share market continued to fluctuate and consolidate, with the Shanghai Composite Index down 0.03% week-on-week, the Shenzhen Component Index down 0.91%, and the ChiNext Index down 1.40%. The small and medium-cap stocks were more resilient, with the CSI 500 and CSI 2000 rising against the trend. The trading volume decreased slightly to 1.07 trillion yuan, and the average daily net outflow of main funds was 13.7 billion yuan, indicating a cautious attitude. In terms of industries, sectors with strong fundamentals or recovery expectations such as media and pharmaceuticals strengthened, while sectors such as automobiles and household appliances adjusted. Overall, the market risk appetite remained low, and the trading focus shifted towards low-valuation repair and strong fundamentals [9]. Convertible Bond Market - The convertible bond market showed a slight recovery, with the CSI Convertible Bond Index rising 0.2% week-on-week, and the average daily trading volume increasing to 5.578 billion yuan. The market activity recovered moderately. Structurally, large-cap convertible bonds were relatively stable, indicating that investors were seeking high-certainty allocations. The valuation in the parity range was significantly differentiated, with the valuation of low-parity convertible bonds generally compressed and the medium and high-parity ranges slightly repaired, showing a cautious game attitude among investors. The implied volatility increased slightly, and the median price rose slightly to 112.33 yuan, indicating a moderate recovery in market risk appetite. In terms of industries, convertible bonds in the media, beauty care, and national defense and military industries led the gains, while those in the communication, household appliances, and other high-elasticity sectors faced greater correction pressure. At the individual bond level, the top-performing bonds mostly had strong underlying stock drivers, and trading opportunities were concentrated in bonds with low valuations and strong fundamentals. Overall, the convertible bond market continued to fluctuate and consolidate, and the allocation focus shifted towards high certainty and defensive attributes [9]. Convertible Bond Allocation Suggestions - The convertible bond market showed a moderate recovery this week, with a slight repair in risk appetite and active short-term rotation trading. In terms of allocation, it is recommended to adhere to the idea of "stable allocation + theme elasticity": on the one hand, focus on large-cap blue-chip convertible bonds with high ratings, low premiums, and good liquidity for defensive purposes; on the other hand, moderately seize opportunities in medium and high-price growth convertible bonds with underlying stock drivers and strong fundamentals, focusing on high-quality varieties in advanced manufacturing, pharmaceuticals, and other sectors to balance defense and offense [7]. Market Theme Weekly Review Equity Theme Weekly Review - During the week from May 26th to May 31st, 2025, the theme trading style was significantly differentiated, and short-term game enthusiasm increased significantly. The limit-up trading style continued to lead, with the consecutive limit-up index, the first limit-up non-ST index, and the limit-up index rising 17.1%, 12.7%, and 12.5% week-on-week respectively, indicating that short-term trading funds dominated the market. Some high-growth sectors such as the innovative drug index, the pharmaceutical centralized procurement index, the financial technology index, and the nuclear power index rebounded, with week-on-week gains of over 4%, showing investors' willingness to make structural replenishments in high-quality themes. At the same time, the TMT and pan-AI sectors were under pressure, with the AI computing power index, the east-west computing power index, etc. falling by over 2%, and previously strong sectors such as cloud computing and IDC leading the decline. The automobile and humanoid robot sectors adjusted significantly, with related theme indices such as the charging station index, the automobile golden stock index, and the humanoid robot index all falling by over 3%, reflecting the market's revaluation pressure on high-valuation sectors. Overall, the market was still in the theme rotation stage, with short-term trading driven by events and sentiment, and structural differentiation and high-low switching remaining the main themes in the future [14]. Convertible Bond Weekly Review - The convertible bond market showed a slight recovery during the week from May 26th to May 31st, 2025, with overall trading activity moderately recovering, and investors preferring large-cap convertible bonds with high certainty. The CSI Convertible Bond Index rose 0.23% week-on-week, the large-cap index also rose 0.23%, while the medium and small-cap convertible bond indices fluctuated slightly. The market as a whole continued to recover moderately, with the large-cap index showing relatively strong upward momentum, indicating certain defensive characteristics. In terms of trends, the convertible bond market showed some independence compared to the equity market, reflecting the "offensive and defensive" characteristics of convertible bonds. In terms of style, the large-cap index was more active, indicating that investors were seeking certainty while also maintaining a certain degree of risk aversion. In terms of capital, the trading activity of the convertible bond market increased slightly, with the average daily trading volume rising to 5.578 billion yuan, a week-on-week increase of 64 million yuan, indicating a slight recovery in investor sentiment. Currently, the convertible bond market lacks clear trend catalysts, and investors still focus on large-cap convertible bonds with high certainty. The valuation in the parity range showed a differentiated trend. In the parity range below 80 yuan, the conversion premium rate compressed by 0.62%; in the 80-90 yuan range, the compression was even greater, reaching 1.49%. In the 100-yuan parity range, the conversion premium rate in the 90-100 yuan range slightly expanded by 0.33%, while that in the 100-110 yuan range compressed by 1.89%. In the medium and high-parity ranges, the conversion premium rates in the 110-120 yuan and 120-130 yuan ranges expanded by 1.09% and 0.04% respectively; while in the range above 130 yuan, it slightly compressed by 0.89%. Overall, the market valuation in the parity range was still in a box-shaped shock stage, reflecting investors' cautious game attitude. By market price range, the convertible bond valuation generally compressed. Convertible bonds below 90 yuan compressed by 1.07%, those in the 90-100 yuan range compressed by 12.61%, and those in the 100-110 yuan range compressed by 0.10%. In the 110-120 yuan range, it compressed by 3.31%, in the 120-130 yuan range by 3.21%, and above 130 yuan by 0.74%. Overall, the convertible bond market valuation by market price range showed obvious compression. The market was still cautious about the pressure to realize high positions, but the game sentiment among investors at low positions recovered. Currently, the market risk appetite continued to decline, and it is recommended to pay attention to the repair opportunities of bonds that have adjusted deeply and with fully compressed valuations, as well as medium and high-price bonds with strong fundamentals. The weighted implied volatility of the convertible bond market increased slightly this week. The weighted implied volatility of the entire market's convertible bonds narrowed from 18.8% on Monday to 19.1% on Friday, indicating that the overall market risk appetite was still relatively cautious. Investors preferred convertible bond assets with strong defensive attributes when market volatility increased. The elasticity of convertible bonds provided certain repair opportunities, but the implied volatility remained at a low level, and the market's expectation of significant future volatility was still moderate, reflecting that investors preferred stable allocations. In terms of strategy, it is necessary to defend while attacking, and accumulate safety margins through bond floor protection and clause games. The median convertible bond price increased slightly this week. The median convertible bond price rose slightly from 112.29 yuan last Friday to 112.33 yuan, showing a fluctuating pattern during the week. Currently, the convertible bond market continued to fluctuate and consolidate, and the moderate recovery of the price median reflected that the risk appetite had not significantly recovered, and the convertible bond market had no clear trend catalyst [17]. Weekly Market Outlook - Looking ahead, the A-share market is expected to continue its structural rotation pattern, with the market style becoming more balanced, and the trading focus shifting from high-elasticity themes to low-valuation and stable-growth sectors. In the short term, attention should be paid to the correction risk of high-position sectors, and sectors with strong fundamentals and recovery expectations such as consumption and pharmaceuticals are expected to continue to attract incremental funds. In the convertible bond market, while waiting for clear trend catalysts, trading activity may moderately decline following the equity market. The allocation value of medium and high-price convertible bonds with low premiums and strong underlying stock drivers is prominent. At the same time, attention should be paid to sectors with certain certainty such as basic chemicals and transportation, given the increasing scarcity of large-scale bank convertible bonds. In terms of strategy, it is recommended to pay attention to low-level repair opportunities, and focus on bonds with fully adjusted valuations, "bond floor + underlying stock catalysts", while controlling the risk of crowded trading [19].

股指期货日度数据跟踪 2025-06-04 一、指数走势 06 月 03 日，上证综指涨跌幅 0.43%，收于 3361.98 点，成交额 4682.93 亿元，深成指数涨跌幅 0.16%，收于 10057.17 点，成交额 6731.17 亿元。 中证 1000 指数涨跌幅 0.72%，成交额 2342.97 亿元，其中开盘价 6009.18，收盘价 6070.04，当日最高价 6086.62，最低价 6008.54； 中证 500 指数涨跌幅 0.42%，成交额 1599.97 亿元，其中开盘价 5653.67，收盘价 5694.84，当日最高价 5710.42，最低价 5653.3； 沪深 300 指数涨跌幅 0.31%，成交额 2267.83 亿元，其中开盘价 3833.46，收盘价 3852.01，当日最高价 3863.3，最低价 3832.72； 上证 50 指数涨跌幅 0.32%，成交额 590.77 亿元，其中开盘价 2674.77，收盘价 2687.3，当日最高价 2697.39，最低价 2671.34。 数据来源：Wind，光期研究所 数据来源：Wind，光期研究所 二、板块涨跌对指数影响 ...