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基金研究周报:抗战胜利80周年纪念活动将举行,军工板块或可布局-20250630
Datong Securities· 2025-06-30 13:53
Market Overview - The equity market saw a collective rebound last week, with the North Certificate 50 index rising the most by 6.84%, followed by the ChiNext index at 5.69% and the Wande All A index at 3.56% [5][6] - The TMT sector experienced a collective rebound, with notable increases in the computer sector (7.70%), defense and military industry (6.90%), and non-bank financials (6.66%) [5][6] Equity Product Allocation Strategy - Event-driven strategies include focusing on the upcoming 80th anniversary of the victory in the War of Resistance against Japan on September 3, with recommended funds such as Huashan Manufacturing Pioneer A (006154) and Boshi Military Industry Theme A (004698) [16] - The recent joint issuance of guidelines by six departments to support consumption can lead to investment opportunities in funds like ICBC Consumer Service A (481013) and Jiashi New Consumption A (001044) [17] - The National Medical Insurance Administration's issuance of guidelines for the 2025 basic medical insurance directory may benefit funds like ICBC Medical Health A (006002) and Penghua Medical Technology A (001230) [18] Asset Allocation Strategy - The overall allocation strategy suggests a balanced core plus a barbell strategy, focusing on dividend and technology sectors [19] - High dividend assets are highlighted as having significant allocation value due to the low interest rate environment and government support for dividend-paying companies [20] - The technology growth direction is emphasized due to national policy support, high industry prosperity, and the need for domestic companies to enhance competitiveness [21] Stable Product Allocation Strategy - The central bank's recent net injection of 12,672 billion yuan indicates a continued loose monetary policy, which is expected to support technology innovation and consumption [24] - The profit data from industrial enterprises shows a decline, suggesting potential for more proactive policies to stimulate domestic demand [25] - Convertible bonds are noted for their dual characteristics of debt and equity, maintaining value but with caution advised regarding volatility risks [26] Key Focus Products - Recommended funds include Nord Short Bond A (005350) and Anxin New Value A (003026), which are positioned to benefit from current market conditions [29]
6月第4期:普涨:估值与盈利周观察
Tai Ping Yang Zheng Quan· 2025-06-30 13:12
Group 1 - The overall market valuation has increased, with the ChiNext Index performing the best, while the dividend index showed the weakest performance [1][10] - The computer, defense, and non-bank financial sectors experienced the highest gains, while the oil, food and beverage, and transportation sectors performed the weakest [13][35] - The relative PE and PB of the ChiNext Index compared to the CSI 300 have both increased, indicating a shift in valuation dynamics [17][26] Group 2 - The overall valuation of broad market indices has risen, with the majority of indices above the 50% historical percentile [15][26] - The financial and real estate sectors are valued above the 50% historical percentile, while materials, equipment manufacturing, industrial services, transportation, consumption, and technology sectors are at or below the 50% level [28][39] - The valuation of the food and beverage, agriculture, public utilities, and home appliance sectors is currently considered relatively cheap [39][44] Group 3 - The overall profit expectations across industries have shown slight changes, with the largest upward adjustments and the computer sector experiencing the most significant downward revision [50]
短期维持震荡市思路
Xin Da Qi Huo· 2025-06-30 09:14
1. Report Industry Investment Rating - The investment rating for the stock index market is "Oscillation" [1] 2. Core Viewpoints of the Report - Last week, the stock index market rebounded due to the cease - fire between Iran and Israel, which restored global risk appetite, and the fermentation of concepts like "Stability Ratio + Military Parade". The small and medium - cap growth sectors led the market, and the financial and growth styles performed well. The gains of the four major broad - based indices were: CSI 1000 (+4.62%) > CSI 500 (+3.98%) > SSE 50 (+1.27%) [1]. - In the US stock market, the three major indices all closed in the green last week, with the Nasdaq rising 4.25% [1]. - From the perspective of Shenwan's primary industry classification, most sectors rose last week. Computer (+7.70%) and National Defense and Military Industry (+6.90%) led the gains, while Petroleum and Petrochemicals (-2.07%) and Food and Beverage (-0.88%) lagged [2]. - The trading volume of A - shares increased last week, indicating a restart of investors' trading enthusiasm, but it was still at a neutral - to - bullish level in the short term. After continuous low - volatility periods, the market sentiment broke through last week, with the four major broad - based indices generally surpassing their May highs, showing stronger short - term (daily) bullish sentiment. However, the upward momentum weakened on Thursday and Friday [2]. - The fundamental logic behind the stock index has not changed. The short - term rise is just a manifestation of lingering sentiment, and it is difficult to form a trend - based upward force. This week, the short - term daily bullish power has strengthened, and the market can be regarded as having a relatively strong oscillation. Given that the technical indicators are at high levels and the imagination space of recent themes is limited, it is expected to be difficult to break through the March high. It is recommended that investors can choose short - term long positions within the day or continue to wait and see [2]. - In the derivatives market, the discount of stock index futures has rapidly converged. Currently, the annualized discount rates of the current - quarter contracts of IC and IM have reached 8% and 10% respectively, and it is expected that the convergence speed will slow down. Long positions as substitutes for long - term index investment in futures can be held [2]. 3. Summary According to the Table of Contents 3.1 Last Week's Stock Index Operation 3.1.1 International Risk Preference Restoration and General Rise of Global Stock Indices - The stock index market rebounded last week. The reasons were the cease - fire between Iran and Israel, which restored global risk appetite, and the fermentation of concepts like "Stability Ratio + Military Parade". The small and medium - cap growth sectors led the market, and the financial and growth styles performed well. Among the four major broad - based indices, CSI 1000 (+4.62%) > CSI 500 (+3.98%) > SSE 50 (+1.27%) [8]. - Overseas, the easing of the Middle East situation and the restart of interest - rate cut expectations led to a general recovery of global risk assets. In the US stock market, the three major indices all closed in the green last week, with the Nasdaq rising 4.25% [8]. 3.1.2 Computer and National Defense and Military Industry Leading the Gains, and Trading Volume Larger than the Previous Week - From the perspective of Shenwan's primary industry classification, most sectors rose last week. Computer (+7.70%) and National Defense and Military Industry (+6.90%) led the gains, while Petroleum and Petrochemicals (-2.07%) and Food and Beverage (-0.88%) lagged [9]. - In terms of capital flow, the trading volume of A - shares increased last week, with the highest reaching over 16 trillion yuan during the week. Investors' trading enthusiasm restarted, and it was still at a neutral - to - bullish level in the short term [9]. 3.1.3 Continued Convergence of Futures Discount and Fluctuation of Option Volatility - In the futures market, the basis (spot - futures) of each futures contract continued to decline last week. Currently, the annualized discount rates of the current - quarter contracts of IC and IM have reached 8% and 10% respectively, and it is expected that the convergence speed will slow down. In operation, short - term investors can choose short - term long positions within the day or continue to wait and see. For monthly operations, the band - trading idea should be maintained. Long positions as substitutes for long - term index investment in futures can be held [10]. - In the options market, the implied volatility of stock index options first rose and then fell last week. The IV of the at - the - money contracts of SSE 300 Index Options reached up to 15% during the week and dropped to 13% at the end of the week. It is expected that the volatility will mainly oscillate at a low level in the short term. The previous short - term double - selling positions can take profits and exit. After a second wave of rising volatility, investors can re - enter the market [10]. 3.2 Fundamental Factors and Outlook for the Future 3.2.1 The Central Bank's Net Injection of 136.72 Billion Yuan in the Open Market Last Week - In terms of inter - bank liquidity, the central bank achieved a net injection of 136.72 billion yuan in the open market last week. It conducted 202.75 billion yuan of open - market reverse repurchase operations and 30 billion yuan of MLF operations, with a total reverse - repurchase maturity amount of 96.03 billion yuan [71]. - In terms of inter - bank interest rates, the interest rates of various tenors increased slightly last week. The overnight Shibor rose 0.30bp, the one - week Shibor rose 13.90bp, the two - week Shibor rose 3.60bp, R001 rose 1.22bp, R007 rose 32.91bp, and R014 rose 8.89bp [71]. 3.2.2 Maintaining the Idea of an Oscillating Market - After continuous low - volatility periods, the market sentiment broke through last week, with the four major broad - based indices generally surpassing their May highs, indicating stronger short - term (daily) bullish sentiment [72]. - However, the upward momentum weakened on Thursday and Friday, with indicators such as trading volume and volatility showing varying degrees of decline. The fundamental logic behind the stock index has not changed. The short - term rise is just a manifestation of lingering sentiment, and it is difficult to form a trend - based upward force [72]. - This week, the short - term daily bullish power has strengthened, and the market can be regarded as having a relatively strong oscillation. Given that the technical indicators are at high levels and the imagination space of recent themes is limited, it is expected to be difficult to break through the March high. It is recommended that investors can choose short - term long positions within the day or continue to wait and see. In the derivatives market, the discount of stock index futures has rapidly converged. Currently, the annualized discount rates of the current - quarter contracts of IC and IM have reached 8% and 10% respectively, and it is expected that the convergence speed will slow down. Long positions as substitutes for long - term index investment in futures can be held [72]. 3.3 Economic Data and Financial Event Forecast 3.3.1 Announcement of Macroeconomic Data - The report mentions the announcement of macroeconomic data, but specific details are not provided [100]. 3.3.2 Key Financial Events - There are no major financial events. Specific events include: the release of the official manufacturing PMI for June at 09:30 on June 30; the release of the US manufacturing PMI for June at 22:00 on July 1; the release of the US unemployment rate and non - farm payrolls for June at 20:30 on July 3; and the release of the US non - manufacturing PMI for June at 22:00 on July 3 [101].
万联晨会-20250630
Wanlian Securities· 2025-06-30 01:11
Core Insights - The A-share market showed mixed performance last Friday, with the Shanghai Composite Index down by 0.7%, while the Shenzhen Component Index and the ChiNext Index rose by 0.34% and 0.47% respectively. The total trading volume in the Shanghai and Shenzhen markets reached 15,409.36 billion yuan [1][7] - In terms of industry performance, non-ferrous metals, telecommunications, and textile and apparel sectors led the gains, while banking, public utilities, and food and beverage sectors lagged behind. Concept sectors such as copper cable high-speed connections, metal zinc, and newly listed technology stocks saw significant increases, whereas cross-border payments, combustible ice, and digital currencies experienced declines [1][7] Market News - During the 2025 Listed Companies Forum held in Wenzhou on June 28-29, leaders from the four major exchanges (Shanghai, Shenzhen, Beijing, and Hong Kong) emphasized multi-dimensional reform signals. The Shanghai Stock Exchange's deputy general manager stated that they will solidly promote the "1+6" reform measures and demonstration cases [2][8] - The Hong Kong market will adjust its stock transaction fees starting June 30, increasing from 0.002% to 0.0042% of the transaction amount, while removing the minimum fee of 2 HKD and the maximum fee of 100 HKD. This adjustment is expected to lower transaction costs for small trades and help institutional investors better control costs during large-scale transactions [3][9] Investment Highlights - As of June 25, the A-share market indices generally rose, with the Shanghai Composite Index closing at 3,455.97 points, reflecting a 3.24% increase from the end of May. The Shanghai 50 and CSI 300 indices showed significant gains [10] - Market liquidity has improved, with an increase in the scale of locked-up shares released in June compared to the previous month. The establishment of new equity funds and increased share buybacks by major shareholders contributed to a continued rise in trading volume [10] - Investor confidence has rebounded, with trading activity increasing following the easing of US-China trade tensions. However, geopolitical conflicts and domestic economic data have caused some adjustments in the market [10][12] - The Chinese government is focusing on expanding domestic demand and enhancing internal economic momentum, with the People's Bank of China and other departments issuing guidelines to support consumption growth through financial services [13][12] - The recent announcements from the China Securities Regulatory Commission (CSRC) regarding capital market reforms and support for technology enterprises are expected to boost investor confidence and improve long-term liquidity in the A-share market [13][12]
【股指期货周报】权重板块回调,股指上方面临压力-20250629
Zhe Shang Qi Huo· 2025-06-29 11:43
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].
股指期货日度数据跟踪2025-06-24-20250624
Guang Da Qi Huo· 2025-06-24 08:15
1. Index Movements - On June 23, the Shanghai Composite Index rose 0.65% to close at 3381.58 points, with a turnover of 442.789 billion yuan; the Shenzhen Component Index rose 0.43% to close at 10048.39 points, with a turnover of 679.817 billion yuan [1]. - The CSI 1000 Index rose 1.31% with a turnover of 239.995 billion yuan, opening at 5966.5, closing at 6078.22, with a daily high of 6083.53 and a low of 5965.66 [1]. - The CSI 500 Index rose 0.61% with a turnover of 146.035 billion yuan, opening at 5613.28, closing at 5674.17, with a daily high of 5684.4 and a low of 5613.28 [1]. - The SSE 50 Index rose 0.41% with a turnover of 72.036 billion yuan, opening at 2664.64, closing at 2684.78, with a daily high of 2692.91 and a low of 2656.68 [1]. - The CSI 300 Index rose 0.29% with a turnover of 232.482 billion yuan, opening at 3831.17, closing at 3857.9, with a daily high of 3867.59 and a low of 3827.08 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 78.63 points from the previous close, with sectors such as computer, electronics, and power equipment significantly pulling the index up [2]. - The CSI 500 rose 34.66 points from the previous close, with sectors such as electronics, power equipment, and national defense and military industry significantly pulling the index up [2]. - The CSI 300 rose 11.26 points from the previous close, with sectors such as banks, non - bank finance, and electronics significantly pulling the index up, while sectors such as communication and food and beverage pulled the index down [2]. - The SSE 50 rose 11.06 points from the previous close, with sectors such as banks, non - bank finance, and coal significantly pulling the index up, while the food and beverage sector pulled the index down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 66.55, IM01 was - 141.01, IM02 was - 217.17, and IM03 was - 390.88 [12]. - IC00 average daily basis was - 46.1, IC01 was - 97.95, IC02 was - 149.85, and IC03 was - 271.17 [12]. - IF00 average daily basis was - 35.08, IF01 was - 50.58, IF02 was - 63.57, and IF03 was - 92.48 [12]. - IH00 average daily basis was - 33.35, IH01 was - 35.67, IH02 was - 34.33, and IH03 was - 36.34 [12]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM, specific roll - over point differences and corresponding 15 - minute average data are provided at different times, along with the corresponding annualized costs [21][25][26]. - For IC, specific roll - over point differences and corresponding 15 - minute average data are provided at different times, along with the corresponding annualized costs [21][27]. - For IF, specific roll - over point differences and corresponding 15 - minute average data are provided at different times, along with the corresponding annualized costs [22]. - For IH, specific roll - over point differences and corresponding 15 - minute average data are provided at different times, along with the corresponding annualized costs [23][24].
23个行业获融资净买入,国防军工行业净买入金额最多
Sou Hu Cai Jing· 2025-06-19 01:42
6月18日各行业融资余额环比变动 截至6月18日,市场最新融资余额为18166.59亿元,较上个交易日环比增加13.39亿元,分行业统计,申 万所属一级行业有23个行业融资余额增加,国防军工行业融资余额增加最多,较上一日增加4.03亿元; 融资余额增加居前的行业还有非银金融、通信、食品饮料等,融资余额分别增加3.92亿元、2.83亿元、 2.68亿元;融资余额减少的行业有8个,汽车、有色金属、银行等行业融资余额减少较多,分别减少4.05 亿元、2.97亿元、2.47亿元。 以幅度进行统计,商贸零售行业融资余额增幅最高,最新融资余额为212.07亿元,环比增长0.92%,其 次是房地产、石油石化、国防军工行业,环比增幅分别为0.77%、0.74%、0.62%;融资余额环比降幅居 前的行业有综合、纺织服饰、银行等,最新融资余额分别有32.74亿元、68.49亿元、531.27亿元,分别 下降0.98%、0.80%、0.46%。(数据宝) 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。 | 代码 | 最新融资 | 较上一日增减(亿元) | 环比增幅(%) | | --- | --- | --- | - ...
6月第2期:金融、周期领涨
Tai Ping Yang Zheng Quan· 2025-06-16 10:42
Group 1 - The market experienced a general decline, with financial and cyclical sectors performing the best, while the STAR 50, consumer, and CSI 2000 indices lagged behind [3][9] - Among industries, non-ferrous metals, petroleum and petrochemicals, and agriculture, forestry, animal husbandry, and fishery showed the highest gains, while household appliances, food and beverage, and building materials performed the weakest [11][12] - The relative PE of the ChiNext index to the CSI 300 decreased, and the relative PB also declined [16] Group 2 - The overall valuation of broad market indices fell, with the current valuations of major indices above the 50% historical percentile level, while the ChiNext index is at a low valuation compared to the past year [24] - Valuation differentiation is evident across industries, with financial real estate valuations above the 50% historical percentile, while materials, equipment manufacturing, industrial services, transportation, consumption, and technology are at or below the 50% level [26] Group 3 - The current valuation of the food and beverage, agriculture, forestry, animal husbandry, and public utilities sectors is relatively cheap, indicating potential investment opportunities [37] - The PB-ROE perspective shows that non-bank financials, public utilities, agriculture, food and beverage, and social services have lower PB-ROE ratios, suggesting they may be undervalued [40] Group 4 - Current popular concepts such as autonomous driving, cultivated diamonds, third-generation semiconductors, digital currency, 6G, robotics, central state-owned enterprises, and large aircraft are at historically high valuation percentiles over the past three years [43]
地缘风险扩散,股指高位回调
Dong Zheng Qi Huo· 2025-06-15 11:45
Report Industry Investment Rating - The rating for the stock index is "Oscillation" [4] Core View of the Report - The geopolitical risks still pose disturbances to the market. The A-share market is expected to maintain a narrow - range oscillation. To break out of the current oscillation pattern and elevate the valuation again, policy - driven fiscal expansion, intensified real - estate stabilization measures, and rapid advancement of supply - side reform are required [2][10] Summary According to the Table of Contents 1. One - Week View and Overview of Macro Key Events Next Week's View - Geopolitical risks continue to affect the market. The global stock market showed a roller - coaster trend this week, with the MSCI Global Index rising in the first four days and falling sharply on Friday. The A - share market remained in a high - level oscillation. The Sino - US talks in London earlier this week alleviated trade pressure, but the conflict between Israel and Iran on Friday increased geopolitical risks and impacted global risk assets, causing a sharp decline in the A - share market. Domestically, the economic momentum is weakening, and the abnormal valuation expansion of the A - share market is prominent [2][10] This Week's Key Events - On June 9th, China's May CPI was down 0.1% year - on - year, PPI was down 3.3% year - on - year, exports grew 4.8% year - on - year, and imports fell 3.4% year - on - year. The State Council held a special learning meeting on promoting the transformation of scientific and technological achievements, and the General Offices of the CPC Central Committee and the State Council issued a document on improving people's livelihood [11][12][13] - On June 10th, the General Offices of the CPC Central Committee and the State Council issued a document on promoting in - depth reform in Shenzhen, and the Chinese President had a phone call with the South Korean President to ensure the healthy development of Sino - South Korean relations [15][16] - On June 11th, China and the US reached a framework on implementing the consensus of the two heads of state's phone call and the Geneva talks. China will implement zero - tariff measures for 100% of tariff items for 53 African diplomatic countries [17][18] - On June 12th, China and the US agreed to further play the role of the Sino - US economic and trade consultation mechanism and maintain communication [19][20] - On June 13th, China's M2 in May increased 7.9% year - on - year, and the Chinese President will attend the Second China - Central Asia Summit [21][22] 2. One - Week Market Quotes Overview Global Stock Market Weekly Overview - From June 9th to June 13th, the global stock market denominated in US dollars declined. The MSCI Global Index fell 0.25%, with emerging markets (+0.60%) > developed markets (-0.35%) > frontier markets (-0.47%). The stock index of Taiwan, China rose 3.64%, leading the world, while the German stock market fell 1.99%, performing the worst globally [1][23] Chinese Stock Market Weekly Overview - From June 9th to June 13th, Chinese equity assets corrected. In terms of different markets, A - shares > Hong Kong stocks > Chinese concept stocks. The average daily trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1371.8 billion yuan, an increase of 171.7 billion yuan compared with last week. The A - share market was differentiated, with the Science and Technology Innovation Board and the Beijing Stock Exchange performing poorly, while the ChiNext Index rose slightly by 0.22% [1][26] Weekly Overview of GICS Primary Industries in Chinese and Foreign Stock Markets - Most global GICS primary industries declined this week. The leading industry was energy (+5.11%), and the poorly performing industry was finance (-1.80%). In the Chinese market, energy led the rise (+2.27%), and daily consumption led the decline (-3.14%) [30] Weekly Overview of China A - Share CITIC Primary Industries - Among China's A - share CITIC primary industries this week, 14 rose (23 last week) and 16 fell (7 last week). The leading industry was non - ferrous metals (+3.95%), and the industry with the largest decline was food and beverages (-4.42%) [1][31] Weekly Overview of China A - Share Styles - This week, the value style outperformed the growth style, and the market - capitalization style was biased towards mid - cap stocks [36] Overview of Stock Index Futures Basis - Relevant charts show the basis of IH, IF, IC, and IM in the past 6 months [38][40] 3. Overview of Index Valuation and Earnings Forecast Broad - Based Index Valuation - The report provides the PE, eight - year percentile, PE at the beginning of the year, PE change during the year, PB, eight - year percentile, PB at the beginning of the year, and PB change during the year of multiple broad - based indexes such as the Shanghai 50, CSI 100, etc. [43] Primary Industry Valuation - The report presents the PE, eight - year percentile, PE at the beginning of the year, PE change during the year, PB, eight - year percentile, PB at the beginning of the year, and PB change during the year of multiple primary industries such as petroleum and petrochemicals, coal, etc. [44] Equity Risk Premium of Broad - Based Indexes - The ERP of the CSI 300 decreased slightly this week, while the ERPs of the CSI 500 and CSI 1000 increased slightly [45][50] Consensus Expected Earnings Growth Rate of Broad - Based Indexes - The expected earnings growth rate of the CSI 300 in 2025 remained flat at 8.16%, and that in 2026 was lowered to 8.12%. The expected earnings growth rate of the CSI 500 in 2025 was lowered to 36.79%, and that in 2026 was raised to 16.16%. The expected earnings growth rate of the CSI 1000 in 2025 was lowered to 1.36%, and that in 2026 was raised to 19.38% [51] 4. Liquidity and Capital Flow Tracking Interest Rates and Exchange Rates - This week, the 10 - year and 1 - year bond yields declined, and the spread narrowed. The US dollar index was 98, and the offshore RMB exchange rate was 7.19 [59] Tracking of Trading - Type Funds - This week, the average daily trading volume of northbound funds increased by 18.5 billion yuan compared with last week, and the margin trading balance increased by 12.6 billion yuan compared with last week [61] Tracking of Funds Flowing in through ETFs - There are 29 on - market ETFs tracking the CSI 300, 27 tracking the CSI 500, 15 tracking the CSI 1000, and 29 tracking the CSI A500. This week, the share of ETFs tracking the CSI 300 decreased by 1.5 billion, the share of ETFs tracking the CSI 500 increased by 0.2 billion, the share of ETFs tracking the CSI 1000 increased by 0.3 billion, and the share of ETFs tracking the CSI A500 decreased by 3.9 billion [65][66][70] 5. Tracking of Domestic Macro High - Frequency Data Supply Side: Tire Operating Rate Rebounded - The tire operating rate rebounded, and relevant charts show the national blast furnace operating rate, coking enterprise operating rate, and domestic crude steel daily output [72][74][75] Consumption Side: The Transaction Volume of New Homes Declined Significantly - The transaction volume of new homes in 30 large and medium - sized cities declined significantly, and the year - on - year growth rate of passenger car wholesale sales declined. The price of crude oil rose to around $75 per barrel [81][91] Inflation Observation: Energy Prices Rose Significantly - Energy prices rose significantly, production material prices fluctuated at a low level, and agricultural product prices reached a new low for the year [93][94]
量化择时周报:模型提示市场价量匹配度提高,但轮动仍缺乏持续性-20250615
Shenwan Hongyuan Securities· 2025-06-15 10:44
Group 1 - Market sentiment indicator decreased to 0.8, down from 1.75, indicating a bearish outlook [10][4] - Price-volume consistency improved, but industry trends remain weak with significant capital rotation [14][4] - Total A-share trading volume increased to 1.50 trillion RMB, with daily trading volume reaching 122.514 billion shares [17][4] Group 2 - Small-cap value style is currently favored, with a notable increase in short-term trend scores for sectors like social services, non-ferrous metals, and steel [32][34] - Social services sector saw a significant short-term trend score increase of 31.25% [32][34] - The model indicates a weakening differentiation between growth and value styles, suggesting a prevailing value preference [36][37]