Group 1 - The core viewpoint of the article highlights the performance of the China Securities Index for Hong Kong-listed tradable mainland consumption, which has seen a recent increase of 0.57% to 1230.76 points, despite a decline of 8.09% over the past month [1] - The index has shown a year-to-date increase of 8.81% and a three-month increase of 7.24%, indicating a positive trend over a longer period [1] - The index is part of a series that includes HKT Hong Kong real estate, HKT mainland consumption, and HKT mainland banking, reflecting the overall performance of related thematic securities in the Hong Kong market [1] Group 2 - The top ten holdings of the index include BYD Company (12.92%), Alibaba-W (12.58%), JD Group-SW (8.05%), Trip.com Group-S (7.63%), Meituan-W (7.32%), Pop Mart (4.52%), Xpeng Motors-W (3.96%), Li Auto-W (3.96%), Yum China (3.88%), and Anta Sports (3.65%) [1] - The index's holdings are entirely composed of securities listed on the Hong Kong Stock Exchange, with the passenger vehicles and parts sector accounting for 29.45%, consumer services for 23.30%, and retail for 21.88% [2] - The index samples are adjusted biannually, with changes implemented on the next trading day following the second Friday of June and December, ensuring that the weight factors are updated accordingly [2]

本周是五一长假前的最后一个交易周，上市公司年报和一季报也将披露完毕，泓德基金表示，市场未来 三个月将进入业绩的真空期，外部环境的变化可能的对国内资本市场产生一定程度的扰动，但我们相 信，按照政治局会议的部署，统筹国内经济工作和国际经贸斗争，坚定不移办好自己的事，坚定不移扩 大高水平对外开放，着力稳就业、稳企业、稳市场、稳预期，以高质量发展的确定性应对外部环境急剧 变化的不确定性，中国经济这艘巨轮可以行稳致远。 MACD金叉信号形成，这些股涨势不错！ 整体来看，泓德基金分析，当前政策仍处于以"筹备"和"积蓄弹性"为主的阶段，结构性调控和局部支持 依然是主旋律，这使得市场将更多将目光聚焦于中美谈判进展以及潜在的降关税交易预期上。 从债券市场看，泓德基金表示，上周利率债收益率普遍上行。信用债收益率也多数上行。MLF超额续 作短暂提振但未能扭转观望情绪，超长端波动收窄显示市场分歧仍在，市场仍在等待央行降准降息。 上周国内权益市场延续小幅反弹走势，日均成交量相较上上周变化不大，维持在1.1万亿元附近，万得 全A周涨幅为1.15%。具体来看，国内主要股指中，小型股股指涨幅较大，中证1000（+1.8%）和中证 2000（ ...

据了解，中证沪港深行业指数系列将中证沪港深 500、中证沪港深互联互通中小综合以及中证沪港深互 联互通综合指数样本按行业分类标准分别分为 11 个行业，再以各行业全部证券作为样本编制指数，以 反映中证沪港深指数系列中不同行业公司证券的整体表现。该指数以2004年12月31日为基日，以1000.0 点为基点。 从指数持仓来看，中证沪港深互联互通中小综合可选消费指数十大权重分别为：四川长虹（2.11%）、 老铺黄金（2.07%）、供销大集（1.99%）、零跑汽车（1.8%）、福耀玻璃（1.76%）、同程旅行 （1.55%）、北汽蓝谷（1.46%）、伯特利（1.45%）、长城汽车（1.45%）、永辉超市（1.43%）。 从中证沪港深互联互通中小综合可选消费指数持仓的市场板块来看，深圳证券交易所占比43.43%、上 海证券交易所占比34.15%、香港证券交易所占比22.42%。 从中证沪港深互联互通中小综合可选消费指数持仓样本的行业来看，乘用车及零部件占比43.12%、耐 用消费品占比18.17%、纺织服装与珠宝占比14.86%、零售业占比12.63%、消费者服务占比11.21%。 资料显示，该指数系列样本每半年调整 ...

2025年4月28日 [Table_Title] 美国持续释放关税缓和信号，股指整体反弹 ——股指期货周报 [table_main] 投资要点： 行情走势：上周沪深 300 指数收于 3786.99 点，较前值上升 0.39%；累计成交 10914 亿元，日均成交 2183 亿元，较前值下降 147 亿元。两市融资融券余额 为 17916 亿元。表现较好的前五名行业分别是综合金融(6.07%)、汽车(4.94%)、 通信(3.16%)、电力设备及新能源(3.07%)、综合(2.77%)；表现较差的前五名行 业分别是交通运输(-0.88%)、煤炭(-1.21%)、农林牧渔(-1.38%)、食品饮料(- 2.40%)、消费者服务(-3.70%)。 期现基差行情：IF、IH、IC、IM 当月合约基差分别为-12.19 点、-3.81 点、 -44.98 点、-54.50 点。前一周同期值分别为-6.82 点、-3.10 点、-5.81 点、 6.24 点。 投资咨询业务资格： 证监许可[2011]1771号 宏 观 金 融 周 报 跨期价差行情：IF 合约次月-当月、当季-次季、次季-当季价差分别为-35.60 点 ...

Quantitative Models and Construction Methods 1. Model Name: Timing System Signal (Wind All A Index Long-term and Short-term Moving Averages) - **Model Construction Idea**: The model uses the distance between the 120-day long-term moving average and the 20-day short-term moving average of the Wind All A Index to identify the overall market environment and potential trend shifts[2][9]. - **Model Construction Process**: - Calculate the 20-day moving average (short-term) and the 120-day moving average (long-term) of the Wind All A Index. - Compute the relative distance between the two moving averages: $$ \text{Distance} = \frac{\text{20-day MA} - \text{120-day MA}}{\text{120-day MA}} $$ - A negative distance indicates the short-term average is below the long-term average, signaling a potential downtrend. Conversely, a positive distance suggests an uptrend[2][9]. - **Model Evaluation**: The model effectively identifies the market's transition to a downtrend when the distance narrows and becomes negative, providing actionable insights for timing decisions[2][9]. 2. Model Name: Industry Allocation Model - **Model Construction Idea**: This model identifies medium-term industry allocation opportunities by focusing on sectors with turnaround potential or strong growth drivers[2][10]. - **Model Construction Process**: - Analyze industry-specific metrics and trends to identify sectors with "distressed reversal" characteristics or those benefiting from structural growth themes. - Recommended sectors include: - Healthcare (e.g., Hang Seng Medical) - Low-valued sectors like new energy and consumer-related industries - Technology sectors driven by domestic substitution, such as AI chips and information innovation (Xinchuang)[2][10]. - **Model Evaluation**: The model provides a systematic approach to identifying sectors with medium-term growth potential, aligning with macroeconomic and structural trends[2][10]. 3. Model Name: TWO BETA Model - **Model Construction Idea**: This model focuses on identifying high-growth sectors, particularly in technology, by leveraging beta factors[2][10]. - **Model Construction Process**: - Analyze beta coefficients of various sectors to identify those with higher sensitivity to market movements. - Emphasize sectors like technology, including AI chips and information innovation, which are expected to outperform due to domestic substitution trends[2][10]. - **Model Evaluation**: The model effectively highlights high-growth sectors, particularly in technology, aligning with market trends and policy support[2][10]. 4. Model Name: Position Management Model - **Model Construction Idea**: This model determines optimal equity allocation levels based on valuation and trend signals[3][10]. - **Model Construction Process**: - Use valuation metrics such as PE and PB ratios of the Wind All A Index: - PE is at the 50th percentile, indicating a moderate valuation level. - PB is at the 20th percentile, indicating a relatively low valuation level. - Combine valuation insights with trend signals (e.g., moving average distances) to recommend a 50% equity allocation for absolute return products[3][10]. - **Model Evaluation**: The model provides a balanced approach to equity allocation, considering both valuation and trend factors[3][10]. --- Model Backtesting Results 1. Timing System Signal - **Distance between 20-day and 120-day moving averages**: -3.08% (indicating a narrowing gap and a potential downtrend)[2][9][13] - **Profitability Effect**: -1.7% (indicating negative short-term market sentiment)[2][10][13] 2. Position Management Model - **PE Ratio**: 50th percentile (moderate valuation level)[3][10] - **PB Ratio**: 20th percentile (relatively low valuation level)[3][10] - **Recommended Equity Allocation**: 50% for absolute return products[3][10] 3. Industry Allocation Model - **Recommended Sectors**: - Healthcare (e.g., Hang Seng Medical) - New energy and consumer-related industries - Technology sectors (e.g., AI chips, information innovation)[2][10][13] 4. TWO BETA Model - **Recommended Sectors**: - Technology sectors, including AI chips and information innovation, driven by domestic substitution trends[2][10][13]

2025 年 03 月 16 日 上期推荐三个行业涨幅前五，继续关注资金流长 短景气和反转 —行业和风格因子跟踪报告 投资要点 ▌ 行业因子最新变动情况 上周推荐的食品饮料、有色金属、纺织服装涨幅居全行业 前 5。 行业因子上周最大特征单一大类因子解释力度不佳，因为 单大类因子选择的部分行业跌幅过深。本周高低切换明 显，反转类因子有效，复合因子层面短期景气预期有效性 显著。因子多头短期预期营收调升比例均值同比上周表现 最好。主力资金因子未能排入前列但多头超额继续创下新 高。 整体看行业轮动因子描述市场开始积极定价一季报，资金 高切低时有分歧，分歧可能源自博弈上周政策，最终博弈 结果来看消费>顺周期>地产链。景气预期层面继续关注长 短预期。我们推荐长期景气 30%、短期景气 20%权重突出 多头选择，给主力资金 30%权重，长端反转因子 20%来筛 选当前政策刺激下的受益板块。 月频流动性角度三月最强势的复合因子是短周期预期和部 分财报质量因子。选择的是消费中的食品饮料和社服、军 工和顺周期中的钢铁、有色，以及纺织服装。 ▌ 定量行业推荐 基于权重分配，我们推荐内资主力资金因子为代表的资金流 （30%）、细分因 ...