Quantitative Factors and Models Summary Quantitative Factors and Construction - **Factor Name**: BETA **Construction Idea**: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk exposure [13][28] **Construction Process**: The BETA factor is calculated as the slope coefficient in a regression of a stock's returns against the market index returns over a specified period [13][28] **Evaluation**: This factor performed well during the week, indicating a positive contribution to portfolio returns [13][28] - **Factor Name**: Residual Volatility **Construction Idea**: Captures the idiosyncratic risk of a stock, independent of market movements [13][28] **Construction Process**: Residual volatility is derived from the standard deviation of the residuals in a regression of stock returns against market returns [13][28] **Evaluation**: This factor showed moderate positive performance during the week [13][28] - **Factor Name**: Momentum **Construction Idea**: Reflects the tendency of stocks with strong past performance to continue performing well in the short term [13][28] **Construction Process**: Momentum is calculated as the cumulative return of a stock over a specific look-back period, excluding the most recent month [13][28] **Evaluation**: This factor exhibited slight positive performance during the week [13][28] - **Factor Name**: Value **Construction Idea**: Measures the attractiveness of a stock based on its valuation metrics, such as price-to-earnings or price-to-book ratios [13][28] **Construction Process**: Value is computed using a weighted combination of valuation ratios, normalized across the universe of stocks [13][28] **Evaluation**: This factor underperformed during the week, indicating a negative contribution to portfolio returns [13][28] - **Factor Name**: Leverage **Construction Idea**: Represents the financial risk of a company based on its debt levels relative to equity [13][28] **Construction Process**: Leverage is calculated as the ratio of total debt to total equity for each stock [13][28] **Evaluation**: This factor showed slight negative performance during the week [13][28] - **Factor Name**: Size **Construction Idea**: Captures the performance difference between small-cap and large-cap stocks [13][28] **Construction Process**: Size is measured as the natural logarithm of a company's market capitalization [13][28] **Evaluation**: This factor significantly underperformed during the week, reflecting a preference for larger-cap stocks [13][28] Factor Backtesting Results - **BETA Factor**: Weekly return +0.27%, 1-year Sharpe ratio 2.74, 1-year maximum drawdown 5.40% [13][29] - **Residual Volatility Factor**: Weekly return +0.12%, 1-year Sharpe ratio -3.22, 1-year maximum drawdown 11.67% [13][29] - **Momentum Factor**: Weekly return +0.05%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 2.47% [13][29] - **Value Factor**: Weekly return -0.25%, 1-year Sharpe ratio -0.18, 1-year maximum drawdown 3.31% [13][29] - **Leverage Factor**: Weekly return -0.28%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 1.55% [13][29] - **Size Factor**: Weekly return -0.47%, 1-year Sharpe ratio -5.82, 1-year maximum drawdown 17.33% [13][29]

Global Market Overview - The global markets experienced a general decline in the week from July 28 to August 1, 2025, with the US stock market falling across the board, particularly the Dow Jones Industrial Average. European markets, led by Germany and France, also saw significant drops, while the UK showed relative resilience. The Asia-Pacific region weakened overall, with notable declines in Japan and South Korea, and significant losses in Hong Kong stocks [2][8]. - Valuation adjustments were observed, with the German DAX expanding its PE ratio by 1.42x, maintaining a high percentile. The French CAC40 dropped by 3.68%, with a corresponding PE reduction of 1.23x. Most Hong Kong indices, except for the Hang Seng Tech Index, remained at high valuation percentiles over the past three years [2][8]. A-share Market Analysis - The A-share market saw a broad decline in core indices, with a moderate contraction in valuations during the same week. The National Index 2000 and the CSI 1000 showed relative resilience with declines of only -0.19% and -0.54%, respectively, while the CSI 100 experienced a significant drop of -2.15%. Growth and value indices faced pressure, with large-cap growth down by 2.58% and mid-cap value down by 2.57% [2][36]. - Overall, the A-share market's valuations contracted significantly, with large-cap growth experiencing the largest PE contraction of -1.45x, followed by the National Growth Index at -1.2x. As of August 1, 2025, major A-share indices' PE, PB, and PS ratios were positioned between the 85%-100% percentiles for the past year, while PCF ratios were between 80%-90% [2][36][38]. Sector Performance - Most primary sectors in the A-share market declined, with the financial sector showing mixed results. Real estate and non-bank financials led the declines at -3.43% and -2.4%, respectively, while the banking sector saw a smaller drop of -0.84%. The essential consumer sector displayed internal differentiation, with pharmaceuticals rising by 2.95% while other sectors fell by over 2% [2][36]. - Valuations across sectors generally contracted, with pharmaceuticals experiencing the most significant expansion, exceeding 1x, while beauty care and real estate saw PE contractions of over 1x [2][36]. Valuation Comparisons - The essential consumer sector demonstrated superior valuation attractiveness. In terms of PE, PB, PS, and PCF percentiles, bank valuations are at historical highs, nearing 100% in both 1-year and 3-year dimensions. The TMT sector is also at long-term high valuations, while essential consumer sectors like food and beverage show significant valuation recovery potential, with 3-year and 5-year average percentiles at only 9.94% and 5.97%, respectively [2][36]. - Emerging industries showed mixed performance, with optical modules and optical communications standing out. Innovative pharmaceuticals and 5G sectors saw gains of 3.5% and 2.87%, respectively, while the smart vehicle sector exhibited internal differentiation [2][36].

- The report constructs an industry crowding monitoring model to monitor the crowding degree of Shenwan first-level industry indices on a daily basis[4] - The ETF product screening signal model is built using the premium rate Z-score model, which provides potential arbitrage opportunities through rolling calculations[5] Model Construction and Evaluation 1. **Industry Crowding Monitoring Model** - **Construction Idea**: Monitor the crowding degree of Shenwan first-level industry indices daily[4] - **Construction Process**: The model calculates the crowding degree of each industry index based on the daily trading data and ranks them accordingly[4] - **Evaluation**: The model effectively identifies industries with high and low crowding degrees, providing valuable insights for investment decisions[4] 2. **Premium Rate Z-score Model** - **Construction Idea**: Identify potential arbitrage opportunities in ETF products by calculating the Z-score of their premium rates[5] - **Construction Process**: - Calculate the premium rate of each ETF product - Compute the Z-score of the premium rate using the formula: $ Z = \frac{(X - \mu)}{\sigma} $ where \( X \) is the premium rate, \( \mu \) is the mean premium rate, and \( \sigma \) is the standard deviation of the premium rate[5] - **Evaluation**: The model helps in identifying ETF products with significant deviations from their average premium rates, indicating potential arbitrage opportunities[5] Model Backtesting Results 1. **Industry Crowding Monitoring Model** - **Top Crowded Industries**: Pharmaceuticals, Steel, Building Materials[4] - **Least Crowded Industries**: Automobiles, Home Appliances[4] 2. **Premium Rate Z-score Model** - **Top Potential Arbitrage Opportunities**: Identified through rolling calculations, specific ETF products are not listed in the provided content[5]

Market Overview - The A-share market showed a positive trend today, with major indices mostly rising. The Shanghai Composite Index increased by 0.50% to close at 3534.48 points, the Shenzhen Component Index rose by 0.37% to 10913.84 points, and the ChiNext Index gained 0.34% to finish at 2277.15 points. The total trading volume in the Shanghai and Shenzhen markets reached 1571 billion yuan, an increase of 31.7 billion yuan compared to the previous trading day [1][14]. Industry Performance - Among the Shenwan first-level industries, the leading sectors included non-ferrous metals, basic chemicals, steel, coal, and transportation, with respective increases of 2.10%, 1.36%, 1.34%, 0.94%, and 0.90%. Conversely, the media, electronics, light manufacturing, public utilities, and telecommunications sectors experienced declines, with decreases of 0.98%, 0.49%, 0.41%, 0.35%, and 0.31% respectively [1][14]. Concept Sector Performance - The top-performing concept sectors today included rare earths, rare metals, lithium mining, rare earth permanent magnets, and small metals, among others. Notable sectors that experienced pullbacks included marketing communication, dairy, and online gaming [2][11].

Market Performance - The Shanghai Composite Index closed at 3497.48, up 0.70% with an increase of 24.35 points [2] - The Shenzhen Component Index rose by 1.47%, closing at 10588.39, with an increase of 152.89 points [2] - The CSI 300 Index increased by 0.84%, closing at 3998.45, with an increase of 33.28 points [2] - The ChiNext Index led the gains with a rise of 2.39%, closing at 2181.08, increasing by 50.89 points [2] - The STAR 50 Index closed at 991.95, up 1.40%, with an increase of 13.66 points [2] - The North Exchange 50 Index rose by 1.36%, closing at 1420.99, with an increase of 19.07 points [2] Sector Performance - The top-performing sectors included Communication (up 2.89%), Electric Equipment (up 2.30%), and Electronics (up 2.27%) [3] - The underperforming sectors were Utilities (down 0.37%), Banks (down 0.24%), and Household Appliances (up 0.21%) [3] - Concept sectors that performed well included BC Battery (up 4.13%), Silicon Energy (up 4.02%), and PCB Concept (up 3.86%) [3] - Underperforming concept sectors included Shipbuilding System (down 0.45%) and Biomass Power Generation (up 0.03%) [3] Market Outlook - The market showed a general upward trend with the Shanghai Composite Index approaching 3500 points, and the ChiNext Index leading the gains [4] - The trading volume in the Shanghai and Shenzhen markets reached 1.45 trillion, an increase of 245.3 billion compared to the previous trading day [7] - The report anticipates that the domestic economy will maintain resilience, with a lower likelihood of unexpected policy changes in the short term [7] - The report highlights that July is a period for tariff negotiations and economic observation, with a focus on the upcoming Politburo meeting at the end of the month [7] - The external environment for A-shares is expected to stabilize, with reduced disturbances from international factors [7]

Group 1 - As of the end of Q2 2025, the total market value of northbound funds reached 2.29 trillion yuan, an increase of over 2% compared to the end of Q1, with the number of shares held reaching 123.51 billion, a growth of over 3% [1] - Northbound funds have shown a significant increase in holdings across various sectors, with over 20 industries experiencing a rise in shareholding numbers, reflecting a positive outlook on China's economic recovery and consumption upgrade trends [1] - The proportion of northbound funds' holdings in the total circulating shares of A-shares in Shanghai and Shenzhen increased to 1.74%, up by 0.04 percentage points, while the market value proportion slightly decreased to 2.81%, down by 0.04 percentage points [1] Group 2 - Seven industries saw an increase in holdings of over 10%, including retail, telecommunications, and defense, with the retail sector experiencing a remarkable increase of 28.69% in shareholding value, reaching 19.75 billion yuan [2] - The defense and military industry also performed well, with a 12.5% increase in the number of shares held by northbound funds, and the industry index leading with a growth of over 15% in Q2 [2] - Conversely, four industries, including oil and petrochemicals, textiles, electronics, and home appliances, experienced a decline in shareholding numbers of over 10% [3] Group 3 - Over 1,500 individual stocks received increased holdings from northbound funds, with notable new additions such as Hengxin Life and Yutian Guanjia leading in shareholding ratios [3] - Among existing stocks, 168 saw an increase in holdings of over 1 percentage point, with more than 50 stocks experiencing an increase of over 2 percentage points, primarily in the electronics, pharmaceuticals, media, and telecommunications sectors [3]

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 ...