Report Industry Investment Ratings - Not provided in the content Core Views - The stock market may experience intensified short - term volatility after continuous recent rises, but the overall strategy is to go long on dips. The bond market may return to a wide - range shock pattern in the short term, while the long - term interest rate trend is downward. For most commodities, prices are affected by various factors such as supply - demand fundamentals, policies, and macro - economic conditions, showing different trends and adjustment ranges [3][6]. Summary by Category Macro - financial Index - News includes a photovoltaic industry symposium, satellite internet application promotion, high trading volume in the stock market, and an "AI + manufacturing" development plan. The trading logic is that policies support the capital market, and the short - term market may be volatile, but the long - term strategy is to go long on dips [2][3]. - The basis ratios of different contracts of IF, IC, IM, and IH are provided [3]. Treasury Bonds - On Tuesday, the main contracts of TL, T, TF, and TS all rose. News includes fiscal revenue data and global hedge funds buying Chinese stocks. The central bank conducted a net injection of 4657 billion yuan. The strategy is that the interest rate may decline in the long - term, and the bond market may be in a wide - range shock pattern in the short term [4][6]. Precious Metals - Domestic precious metals prices generally declined, while international prices rose slightly. The US 10 - year Treasury yield and the US dollar index are reported. The short - term pressure on precious metals prices is due to the progress of Russia - Ukraine negotiations and the resilience of US economic data. Wait for Powell's speech to decide on silver long positions [7][8]. Non - ferrous Metals Copper - Copper prices may consolidate due to concerns about US tariffs and cooling "anti - involution" sentiment. The supply of copper raw materials is tight, and the overall price may wait for macro - economic drivers. The operating ranges of Shanghai copper and LME copper are provided [10]. Aluminum - Aluminum prices oscillated and adjusted due to the expansion of US aluminum tariffs and cooling "anti - involution" sentiment. The domestic aluminum ingot inventory is low, but the downstream consumption is weak. The short - term price may be in an oscillatory adjustment [11]. Zinc - Zinc prices have a large downward risk. The domestic zinc market is in an oversupply situation, and the LME market's structural disturbance is receding [12]. Lead - Lead prices are expected to be weak. The industry has a situation of weak supply and demand, and the social inventory of lead ingots is rising [13]. Nickel - Nickel prices may have a callback pressure in the short term, but there is support in the long term. If the price drops significantly, long positions can be established [14]. Tin - Tin prices are expected to oscillate. The supply is tight in the short term, and the demand is weak in the off - season [15][16]. Carbonate Lithium - The price of carbonate lithium has adjusted. The supply and demand pattern improvement depends on the reduction of the ore end. Speculative funds are advised to wait and see, and holders can choose opportunities to enter the market [17]. Alumina - Alumina prices may be shorted on rallies. The supply of ore is disturbed, but the over - capacity pattern remains [18]. Stainless Steel - Stainless steel prices are expected to oscillate. The market is weak, and the downstream procurement is cautious [19]. Casting Aluminum Alloy - Casting aluminum alloy prices face upward resistance. The downstream is in the off - season, and the supply and demand are both weak [20]. Black Building Materials Steel - Steel prices may decline if demand cannot be repaired. The demand for rebar has decreased, and the demand for hot - rolled coils has increased. The inventory of both is rising, and the demand is insufficient [22][23]. Iron Ore - Iron ore prices may adjust slightly. The supply is increasing, the demand is slightly weak, and the inventory is rising [24][25]. Glass and Soda Ash - Glass prices are expected to oscillate. The inventory is increasing, and the demand is not significantly improved. Soda ash prices are also expected to oscillate, with the price center expected to rise in the long - term, but the upward space is limited [26][27]. Manganese Silicon and Ferrosilicon - The prices of manganese silicon and ferrosilicon have declined. Investment positions are advised to wait and see, and hedging positions can be considered. The "anti - involution" policy has an impact on the market, and the final price will return to the fundamentals [28][29]. Industrial Silicon and Polysilicon - Industrial silicon prices are expected to oscillate weakly. The over - capacity and high inventory problems remain. Polysilicon prices are expected to oscillate widely, and the follow - up impact of warehouse receipts needs attention [31][33]. Energy and Chemicals Rubber - Rubber prices are expected to oscillate weakly. It is advisable to wait and see. The long and short sides have different views on rubber prices, and the industry's tire production and inventory data are provided [35][36]. Crude Oil - Crude oil has the potential to rise, but the upward space is limited in the short term. The target price of WTI is set at $70.4 per barrel, and short - term long positions can be taken on dips [39][40]. Methanol - Methanol prices are advised to wait and see. The supply pressure is large, and the demand is expected to improve in the peak season [41]. Urea - Urea prices can be considered for long positions on dips. The supply is loose, the demand is average, and the price may break through the oscillatory range with positive news [42]. Styrene - Styrene prices may rise with the cost. The cost support exists, the inventory is decreasing, and the demand is improving [43]. PVC - PVC prices are advised to wait and see. The supply is strong, the demand is weak, and the valuation is high [46]. Ethylene Glycol - Ethylene glycol prices may decline in the short term. The supply and demand situation is changing, and the inventory may accumulate [47]. PTA - PTA prices can be considered for long positions on dips with PX. The supply may accumulate, and the demand needs improvement [48]. p - Xylene - p - Xylene prices can be considered for long positions on dips with crude oil. The load is high, the inventory may decrease, and the valuation has support [49][50]. Polyethylene PE - Polyethylene prices are affected by cost and supply. The short - term contradiction has shifted, and short positions can be held [51]. Polypropylene PP - Polypropylene prices are expected to oscillate strongly with crude oil. The supply and demand are both weak in the off - season [52]. Agricultural Products Hogs - Hog prices may be in an oscillatory range. The short - term can focus on low - buying, the medium - term should pay attention to the upper pressure, and the far - month can use the reverse spread strategy [53]. Eggs - Egg prices may be stable or decline. The supply is large, and the short - term may fluctuate, while the medium - term can consider short positions after the price rebounds [54]. Soybean and Rapeseed Meal - Soybean meal prices follow the cost to oscillate. The import cost has a stable and slightly rising trend. Long positions can be tried on dips in the cost range [55][56]. Oils - Oil prices are expected to oscillate strongly. The fundamentals support the price center, but the upward space is limited [57][59]. Sugar - Sugar prices are likely to decline. The international and domestic supply is increasing, and the valuation is high [60]. Cotton - Cotton prices may oscillate at a high level. The USDA report is positive, but the downstream consumption is average [61].

1. Report Industry Investment Ratings No industry - wide investment ratings are provided in the report. 2. Core Views - The second - round China - US trade talks extended the tariff exemption clause, and the Politburo meeting's policy tone was consistent with the previous one. The TMT sector rose strongly, and the stock index increased with heavy trading volume. However, the improvement in corporate earnings needs to be verified by the upcoming mid - year report data [2]. - Multiple negative factors such as the central bank's mention of "preventing idle funds from circulating" in the second - quarter monetary policy report, the strong performance of the stock market, and the tightening of funds during the tax payment period led to a significant decline in bond futures. The bond market sentiment remains weak [2]. - The meeting of US, Ukrainian, and European leaders brought hope for easing the Russia - Ukraine conflict, which increased risk appetite and caused precious metals to rise and then fall. Gold and silver prices are in a range - bound state [2]. - The container shipping index (European line) is in a weak and volatile state, and the short position of the October contract should be continued to hold [2]. - Steel prices are supported due to limited inventory accumulation in steel mills and upcoming production restrictions. Iron ore follows the price fluctuations of steel, while some coal prices are showing signs of weakness [2]. - The prices of non - ferrous metals such as copper, aluminum, and zinc are in a narrow - range or weak - range fluctuation, and different trading strategies are recommended for each metal [2]. - The energy and chemical sectors show different trends. Some products are in a range - bound state, while others are facing supply - demand pressures and are recommended for short - selling or other strategies [2]. - In the agricultural products sector, different products have different trends, such as the upward trend of palm oil and the weakening trend of corn [2]. - Special commodities like glass are in a weak state, and new energy products such as polysilicon and lithium carbonate need to pay attention to policy and supply - related factors [2]. 3. Summary by Relevant Catalogs Financial - **Stock Index**: The stock index rose with heavy volume, but the improvement in earnings needs mid - year report data verification. It is recommended to sell put options on MO2509 with an exercise price around 6600 at high prices and have a moderately bullish view [2]. - **Treasury Bonds**: Multiple negative factors led to a decline in bond futures. The bond market is in an unfavorable situation, and it is recommended to stay on the sidelines in the short term [2]. - **Precious Metals**: Gold is recommended to build a bullish spread strategy through call options at the low - price stage after price corrections. Silver is recommended to maintain a low - buying strategy or build a bullish spread strategy with options [2]. Black - **Steel**: Steel prices are supported due to limited inventory accumulation in steel mills and upcoming production restrictions. The 10 - month contracts of hot - rolled coils and rebar should pay attention to the support levels of 3400 yuan and 3200 yuan respectively [2]. - **Iron Ore**: The shipping volume increased, and the port inventory and port clearance improved. It follows the price fluctuations of steel, and it is recommended to short at high prices [2]. - **Coking Coal**: After the exchange's intervention, the futures price peaked and declined, and some coal prices weakened. It is recommended to short at high prices [2]. - **Coke**: The sixth - round price increase of mainstream coking plants has been implemented, and the seventh - round price increase is in progress. It is recommended to short at high prices [2]. Non - ferrous - **Copper**: The main contract fluctuates within the range of 78000 - 79500 yuan [2]. - **Aluminum Oxide**: The main contract fluctuates within the range of 3000 - 3300 yuan [2]. - **Aluminum**: The price fluctuated downward due to the additional tariff on aluminum. The main contract should pay attention to the pressure level of 21000 yuan and fluctuates within the range of 20000 - 21000 yuan [2]. - **Zinc**: The main contract fluctuates within the range of 22000 - 23000 yuan [2]. - **Tin**: It is recommended to wait and see, paying attention to the import situation of Burmese tin ore [2]. - **Nickel**: The main contract fluctuates within the range of 118000 - 126000 yuan [2]. - **Stainless Steel**: The main contract fluctuates in a narrow range, with cost support but demand drag, and fluctuates within the range of 12800 - 13500 yuan [2]. Energy and Chemical - **Crude Oil**: The short - term geopolitical risk is the main factor. It is recommended to stay on the sidelines for single - side trading and expand the spread between the October - November/December contracts. The support levels for WTI, Brent, and SC are given [2]. - **Urea**: The Indian tender news has a certain boost to the market. If there are no more positive factors after the price rebound, it is recommended to short at high prices [2]. - **PX**: The supply - demand pressure is not significant, and the demand is expected to improve. It is recommended to go long at the lower end of the 6600 - 6900 range and expand the PX - SC spread at a low level [2]. - **PTA**: The processing fee is low, and the cost support is limited. It is recommended to go long at the lower end of the 4600 - 4800 range and conduct a reverse spread operation on TA1 - 5 at high prices [2]. - **Short - fiber**: The supply - demand situation is expected to improve, but there is no obvious short - term driver. It is recommended to try to go long at the lower end of the 6300 - 6500 range [2]. - **Bottle - grade PET**: The production reduction effect is obvious, and the inventory is slowly decreasing. It is recommended to go long on the processing fee at a low price [2]. - **Ethanol**: The supply of MEG is gradually returning, and it is expected to follow the fluctuations of commodities. It is in the range of 4300 - 4500 yuan [2]. - **Caustic Soda**: The main downstream buyers are purchasing well, and the spot price is stable. It is recommended to wait and see [2]. - **PVC**: The supply - demand pressure is still high, and it is recommended to take a short - selling approach [2]. - **Benzene**: The supply - demand expectation has improved, but the driving force is limited due to high inventory. It follows the fluctuations of oil prices and styrene [2]. - **Styrene**: The supply - demand situation has marginally improved, but the cost support is limited. It is recommended to short on rebounds within the 7200 - 7400 range [2]. - **Synthetic Rubber**: The cost is in a range - bound state, and the supply - demand is loose. It is recommended to hold the seller position of the short - term put option BR2509 - P - 11400 [2]. - **LLDPE**: The basis remains stable, and the trading volume is acceptable. It is in a short - term volatile state [2]. - **PP**: The spot price has little change, and the trading volume has weakened. It is recommended to take profit on the short position in the 7200 - 7300 range [2]. - **Methanol**: The inventory is continuously tightening, and the price is weakening. It is recommended to conduct range - bound operations within 2350 - 2550 [2]. Agricultural Products - **Soybeans and Related Products**: The cost support is strong, and a long - term bullish expectation remains. It is recommended to arrange long positions for the January contract [2]. - **Pigs**: The spot price is in a low - level volatile state, and attention should be paid to the rhythm of production release [2]. - **Corn**: The supply pressure is emerging, and the futures price is in a weak state. It is recommended to short at high prices [2]. - **Palm Oil**: The Malaysian palm oil price is rising, and the domestic palm oil price is following the upward trend. It is expected to reach the 10000 - yuan mark in the short term [2]. - **Sugar**: The overseas supply outlook is loose. It is recommended to reduce the short position established at the previous high price [2]. - **Cotton**: The downstream market is weak. It is recommended to reduce the short position [2]. - **Eggs**: The spot price is weak. It is bearish in the long - term [2]. - **Apples**: The sales are slow. Attention should be paid to the price trend of early - maturing apples. The main contract is around 8250 [2]. - **Jujubes**: The price is stable. It is recommended to be cautious when chasing high prices and focus on short - term trading [2]. - **Soda Ash**: The supply is at a high level, and the fundamentals are weakening. It is recommended to try short - selling at high prices [2]. Special Commodities - **Glass**: The industry is in a negative feedback cycle, and the futures price is weak. It is recommended to hold the short position [2]. - **Rubber**: Attention should be paid to the raw material price increase during the peak production period [2]. - **Industrial Silicon**: Attention should be paid to the change in production capacity [2]. New Energy - **Polysilicon**: Attention should be paid to the change in policy expectations [2]. - **Lithium Carbonate**: The supply is subject to continuous disturbances, and the fundamentals are marginally improving. It is recommended to be cautious and try to go long with a light position at a low price [2].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - In July, the global economic data still showed resilience, but there were still pressures in domestic monthly economic data. The A-share market was strong on August 18, with the Shanghai Composite Index reaching a near 10-year high, and the Shenzhen Component Index and ChiNext Index breaking through last year's highs. The bond market tumbled, and commodities were divided. Attention should be paid to the impact of "reciprocal tariffs" and the progress of "anti-involution" [1]. - The current tariffs are still in a "stagnant" stage, which will bring certain drag to commodities greatly affected by external demand. After the July interest rate meeting, Powell did not give guidance on a September rate cut, emphasizing the uncertainty of tariffs and inflation [2]. - For commodities, the black and new energy metal sectors are most sensitive to the domestic supply side, the energy and non-ferrous sectors benefit significantly from overseas inflation expectations, and the "anti-involution" space of some chemical products is also worthy of attention. The short - term fluctuation space of agricultural products is relatively limited [3]. - For strategies, it is recommended to allocate more industrial products on dips in commodities and stock index futures [4]. Summary by Directory Market Analysis - In July, China's official manufacturing PMI dropped to 49.3, non - manufacturing remained in expansion, exports increased by 7.2% year - on - year in US dollars, monetary supply exceeded expectations, but financing and loan data were still weak, and investment data had obvious pressure. In the US, the July non - farm payrolls data was below expectations, but the service PMI improved significantly, and the "Great Beauty" bill might support subsequent consumption. On August 18, the A - share market was strong, with the total market turnover exceeding 2.8 trillion yuan, the third - highest in history. Market hotspots focused on AI hardware stocks, brokers, and fintech, while the bond market tumbled and commodities were divided [1]. Tariff Impact - On July 31, the White House re - set "reciprocal tariff" rates. From August 12, 2025, the implementation of a 24% tariff was suspended for 90 days until November 10. On August 15, the Trump administration expanded the scope of a 50% tariff on steel and aluminum imports and might announce a semiconductor tariff of up to 300% within two weeks. Current tariffs are in a "stagnant" stage, dragging down some commodities [2]. Commodity Analysis - The black sector is still dragged down by downstream demand expectations, and the non - ferrous sector's supply constraints have not been alleviated. The medium - term supply of the energy sector is considered to be relatively loose, with OPEC+ accelerating production and increasing production by 548,000 barrels per day in August. The "anti - involution" space of some chemical products is worthy of attention, and the short - term fluctuation of agricultural products is relatively limited. Since the "anti - involution" market started in July, major varieties have retreated to varying degrees [3]. Strategy - For commodities and stock index futures, it is recommended to allocate more industrial products on dips [4]. To - do News - On August 18, the market was strong, with the Shanghai Composite Index reaching a near 10 - year high, over 4000 stocks rising, and the trading volume reaching 2.81 trillion yuan. Trump will meet with Zelensky and European leaders on the 18th. The European Council President emphasized the importance of trans - Atlantic unity, and the EU will introduce the 19th round of sanctions against Russia in early September [5].

Core Viewpoint - The article discusses the anticipated turning points in various sectors, particularly in steel and non-ferrous metals, highlighting potential investment opportunities and industry trends for 2025 [2]. Group 1: Steel Industry Insights - The steel industry is expected to face a transformative year, with significant changes on the horizon [4]. - Key discussions include the competitive advantages of leading companies like Baosteel, which is maintaining its profitability amidst industry challenges [4]. Group 2: Non-Ferrous Metals Outlook - The copper market is projected to rebound, with expectations of a renewed upward trajectory [4]. - Lithium prices are anticipated to stabilize, indicating a potential recovery in the lithium market [4]. Group 3: Industry Research Frameworks - The article outlines various research methodologies for industrial products and precious metals, emphasizing the importance of structured analysis in understanding market dynamics [4]. - A specific focus is placed on the tungsten sector as part of the new materials research framework [4]. Group 4: International Steel Market Trends - The article highlights Japan's Nippon Steel's strategy of expanding overseas while contracting domestic operations, indicating a shift in global steel dynamics [4]. - Tata Steel in India is also noted for its centennial celebration and the emerging opportunities in the Indian steel market [4].

Group 1 - A-shares indices have risen significantly, with the Shanghai Composite Index surpassing the previous high of 3731.69 points from February 18, 2021, marking a nearly 10-year high since August 20, 2015 [1] - Most institutions believe that short-term market fluctuations do not alter the overall bullish trend, supported by proactive domestic policies and sustained inflow of medium to long-term capital [1] - Dongwu Securities indicates that while the market may experience volatility during attempts to break previous highs, the medium-term outlook remains positive due to the combination of policy support, asset scarcity, and expectations of a US interest rate cut [1] Group 2 - Shenwan Hongyuan Securities suggests that the bullish market sentiment will continue to dominate, with expectations of a strong market until early September, followed by limited corrections [2] - Dongwu Securities highlights technology growth as a key investment theme, recommending focus on sectors such as consumer electronics, autonomous driving, domestic computing power, and AI software [2] - Investment opportunities are identified in sectors like brokerage, insurance, military industry, and rare earths, with additional attention on healthcare and overseas computing power as scarce assets [2]

行业配置上，金鹰基金建议均衡配置应对板块快速轮动。具体而言，科技方向，AI海外产业链和创新 药等景气方向在此前已经历资金集中配置，市场交易趋于拥挤，增量资金存在恐高情绪，或将转向低位 品种。其建议关注与AI主线相关、但当前估值赔率更具性价比的细分方向，如AI应用及半导体先进制 程。 价值方向，随着市场逐渐走强，券商、保险、金融IT等非银方向或有望迎来估值和业绩的双重改善。同 时，美联储降息预期的打开，以及2026年海外货币与财政"双宽"格局的确立，将利好出口产业链，以有 色、家电为代表的外需相关板块或具备配置价值。 此外，在"反内卷"进程持续推进的背景下，其建议关注光伏、玻璃、钢铁等行业，以及近期政策重点指 导的行业。 上证报中国证券网讯（记者 聂林浩）A股近期放量上涨。8月18日，上证指数刷新近十年来新高，沪深 两市成交额已连续多个交易日破2万亿元。 金鹰基金表示，国内方面，上周公布的M1、M2增速等金融 数据超出预期，居民"存款搬家"现象成市场热议话题。在低利率环境下，权益市场仍有较大资金容纳空 间，有望在赚钱效应中持续提振市场风偏。海外方面，其认为9月美联储降息或是基准情形，未来随着 特朗普引导市场预期 ...

Investment Rating - The report maintains an "Overweight" rating for the steel and non-ferrous metals sectors [6] Core Insights - The liquidity indicators show that the M1 and M2 growth rate difference narrowed to -3.2 percentage points in July, marking a 49-month high [1][11] - The construction and real estate sectors are experiencing a decline, with key enterprises' average daily crude steel output hitting a year-to-date low in late July [2][20] - The profitability of titanium dioxide and flat glass remains low, with significant negative margins reported [70] Summary by Sections Liquidity - The M1 and M2 growth rate difference was -3.2 percentage points in July, a month-on-month increase of 0.5 percentage points [1][17] - The BCI small and medium enterprise financing environment index for July was 46.09, down 6.16% month-on-month [1][17] - The London gold spot price decreased by 1.86% compared to the previous week [1] Infrastructure and Real Estate Chain - Key enterprises' average daily crude steel output reached a year-to-date low in late July [2][38] - The national real estate new construction area from January to July 2025 showed a year-on-year decline of 19.40% [20] - The national cement price index decreased by 0.37% this week, with a cement profit of 29 yuan/ton [56] Industrial Products Chain - The operating rate of semi-steel tires is at a five-year high, with a current rate of 72.07%, down 2.28 percentage points [2] - Major commodity prices showed mixed results, with cold-rolled steel, copper, and aluminum prices increasing by 1.24%, 0.69%, and 0.24% respectively [2] Export Chain - The new export orders PMI for China in July was 47.10%, a decrease of 0.6 percentage points [4] - The CCFI comprehensive index for container shipping rates was 1193.34 points, down 0.62% [4] Valuation Metrics - The Shanghai Composite Index increased by 2.37%, with the industrial metals sector performing best at +5.31% [4] - The PB ratio of the ordinary steel sector relative to the Shanghai and Shenzhen markets is currently at 0.54, with a historical high of 0.82 [4] Investment Recommendations - The report suggests that the profitability of the steel sector is expected to recover to historical average levels, following regulatory support for the industry [5]

- The report discusses the valuation of convertible bonds (CB) using the pricing deviation indicator, which is calculated as the ratio of the CB price to the CCBA model price minus one. As of August 15, 2025, the pricing deviation indicator for the CB market is 5.42%, placing it in the 99.9th percentile since 2018, indicating a high valuation zone[6] - The report also mentions a rotation strategy between CBs and a stock-bond portfolio based on the pricing deviation indicator. The strategy involves calculating a Z-score from the pricing deviation and its standard deviation over the past three years, then adjusting the CB weight accordingly. This strategy has historically generated stable excess returns[21][23] - The report evaluates different CB strategies, including a low-valuation strategy, a low-valuation plus strong momentum strategy, a low-valuation plus high turnover strategy, a balanced debt-enhanced strategy, a credit bond replacement strategy, and a volatility control strategy. Each strategy is constructed using specific factors and has shown varying degrees of absolute and excess returns since 2018[33][36][40][44][48][52] Model and Factor Construction 1. **Pricing Deviation Indicator**: - **Construction Idea**: Measure the deviation of CB prices from their theoretical values - **Construction Process**: - Calculate the pricing deviation as follows: $ \text{Pricing Deviation} = \frac{\text{CB Price}}{\text{CCBA Model Price}} - 1 $ - Use this indicator to assess the valuation level of the CB market[6] - **Evaluation**: Indicates that the CB market is currently in a high valuation zone[6] 2. **Rotation Strategy Between CBs and Stock-Bond Portfolio**: - **Construction Idea**: Rotate between CBs and a stock-bond portfolio based on CB valuation - **Construction Process**: - Calculate the Z-score of the pricing deviation: $ Z = \frac{\text{Pricing Deviation}}{\text{Standard Deviation (3 years)}} $ - Adjust the CB weight using the Z-score: $ \text{CB Weight} = 50\% + 50\% \times \text{Z-score} $ - Allocate the remaining weight to the stock-bond portfolio[21] - **Evaluation**: This strategy has historically generated stable excess returns[21][23] 3. **Low-Valuation Strategy**: - **Construction Idea**: Select CBs with the lowest valuation deviations - **Construction Process**: - Use the CCB_out model to calculate the pricing deviation: $ \text{Pricing Deviation} = \frac{\text{CB Price}}{\text{CCB_out Model Price}} - 1 $ - Select the 15 CBs with the lowest deviations in each of the debt, balanced, and equity-biased categories (total 45 CBs) - Ensure the selected CBs have a balance of over 300 million and a rating of AA- or above[33] - **Evaluation**: This strategy has shown strong stability and significant absolute and excess returns since 2018[33] 4. **Low-Valuation + Strong Momentum Strategy**: - **Construction Idea**: Combine low valuation with strong momentum for higher elasticity - **Construction Process**: - Combine the pricing deviation factor with the stock momentum factor (1, 3, 6 months) - Select CBs based on combined scores[36] - **Evaluation**: This strategy has shown strong elasticity and significant absolute and excess returns since 2018[36] 5. **Low-Valuation + High Turnover Strategy**: - **Construction Idea**: Combine low valuation with high turnover for higher liquidity - **Construction Process**: - Select the lowest 50% valuation CBs - Within this pool, select CBs with the highest turnover rates (5, 21 days) and the highest CB to stock turnover ratios (5, 21 days)[40] - **Evaluation**: This strategy has shown stable excess returns and significant absolute returns since 2018[40] 6. **Balanced Debt-Enhanced Strategy**: - **Construction Idea**: Enhance returns by combining low valuation with turnover and momentum factors - **Construction Process**: - Select the lowest 50% valuation CBs, excluding equity-biased CBs - Use turnover and momentum factors for debt-biased CBs and turnover factors for balanced CBs[44] - **Evaluation**: This strategy has shown significant absolute returns with low volatility and drawdown since 2018[44] 7. **Credit Bond Replacement Strategy**: - **Construction Idea**: Replace credit bonds with CBs for higher returns - **Construction Process**: - Select CBs with YTM + 1% greater than 3-year AA credit bond YTM - Ensure selected CBs have a balance of over 300 million and a rating of AA- or above - Select the top 20 CBs based on 1-month stock momentum, with a maximum weight of 2% per CB - Use volatility control to reduce short-term drawdown, allocate remaining weight to credit bonds[48] - **Evaluation**: This strategy has shown stable returns with low volatility and drawdown since 2018[48] 8. **Volatility Control Strategy**: - **Construction Idea**: Control portfolio volatility while enhancing returns - **Construction Process**: - Select the top 15 CBs in each of the debt, balanced, and equity-biased categories based on low valuation and strong momentum scores - Use volatility control to maintain portfolio volatility at 4% - Allocate remaining weight to credit bonds[52] - **Evaluation**: This strategy has shown stable returns with controlled volatility and drawdown since 2018[52] Model and Factor Backtest Results 1. **Low-Valuation Strategy**: - **Annualized Return**: 23.0% - **Annualized Volatility**: 13.5% - **Maximum Drawdown**: 15.6% - **Excess Return**: 11.9% - **IR**: 2.08[36] 2. **Low-Valuation + Strong Momentum Strategy**: - **Annualized Return**: 25.4% - **Annualized Volatility**: 14.2% - **Maximum Drawdown**: 11.9% - **Excess Return**: 14.0% - **IR**: 2.32[40] 3. **Low-Valuation + High Turnover Strategy**: - **Annualized Return**: 25.2% - **Annualized Volatility**: 15.2% - **Maximum Drawdown**: 15.9% - **Excess Return**: 13.9% - **IR**: 2.20[44] 4. **Balanced Debt-Enhanced Strategy**: - **Annualized Return**: 23.2% - **Annualized Volatility**: 12.2% - **Maximum Drawdown**: 13.4% - **IR**: Not provided[48] 5. **Credit Bond Replacement Strategy**: - **Annualized Return**: 7.5% - **Annualized Volatility**: 2.1% - **Maximum Drawdown**: 2.8% - **IR**: Not provided[52] 6. **Volatility Control Strategy**: - **Annualized Return**: 10.2% - **Annualized Volatility**: 4.4% - **Maximum Drawdown**: 4.2% - **IR**: Not provided[56]

Group 1 - The global market experienced a broad rally last week (August 11-15, 2025), with A-shares continuing their strong performance and overall investor risk appetite increasing, as both trading volume and margin financing balances exceeded 20 trillion yuan [3][10] - Market hotspots focused on sectors such as AI PCB, CPO, non-ferrous metals, pharmaceuticals, and military industry, indicating a shift from bank and micro盘 to pricing based on fundamental trends, primarily in growth-style sectors reliant on industrial trends [3][10] - The technology sector, particularly AI, semiconductors, and robotics, showed strong performance, with the ChiNext Index and the Sci-Tech 50 Index rising by 8.58% and 5.53% respectively [10] Group 2 - The high dividend strategy's returns consist of capital gains and dividend income, focusing on mature companies with strong cash flow and profit distribution tendencies, which can outperform during market valuation contractions [11] - The Hong Kong stock market's performance has been bolstered by scarce assets in innovative pharmaceuticals and new consumption, with expectations that the pressure on the Hong Kong dollar may ease as the Federal Reserve approaches interest rate cuts [12] - The China Securities Regulatory Commission's "Action Plan for Promoting High-Quality Development of Public Funds" was released in May 2025, outlining 25 actionable measures across five key areas, including optimizing fee structures and enhancing investor services [13] Group 3 - The Active Equity Fund Index saw a weekly increase of 2.84%, with a cumulative excess return of 11.32% since inception [5] - The Growth Stock Fund Index rose by 4.06% last week, achieving a cumulative excess return of 19.51% since inception, while the Pharmaceutical Stock Fund Index increased by 5.17% with a cumulative excess return of 23.51% [8][26] - The Balanced Stock Fund Index recorded a weekly gain of 3.33%, with a cumulative excess return of 8.41% since inception, indicating strong performance across various fund categories [7][20]

Market Performance - The A-share market indices collectively opened higher on August 18, with the Shanghai Composite Index surpassing 3700 points, reaching a new ten-year high after breaking the 2021 peak [1] - The Shanghai Composite Index closed up 0.85% at 3728.03 points, the ChiNext Index rose 2.84% to 26062 points, and the Shenzhen Component Index increased by 1.73% to 11835.57 points [1] Sector Performance - Strong gains were observed in sectors such as stock trading software, liquid cooling, rare earths, and CPO concepts, while military and stablecoin concepts gained momentum in the afternoon [1] - Cyclical stocks, including coal and non-ferrous metals, generally underperformed the indices [1] Trading Volume - The total trading volume reached 27,641 billion yuan, an increase of 5,195 billion yuan compared to the previous trading day, marking the third-highest trading volume in history [2]