Quantitative Models and Construction 1. Model Name: Diffusion Index Model - **Model Construction Idea**: The model is based on the principle of price momentum, aiming to capture upward trends in industry performance[28][38] - **Model Construction Process**: The model calculates the diffusion index for each industry, ranking them based on their relative performance. Industries with higher diffusion indices are recommended for allocation. The model tracks weekly and monthly changes in the diffusion index to adjust allocations dynamically[5][14][29] - **Model Evaluation**: The model has shown strong performance in capturing momentum trends during upward markets but may underperform during market reversals[28][38] 2. Model Name: GRU Factor Model - **Model Construction Idea**: This model leverages GRU (Gated Recurrent Unit) deep learning networks to process high-frequency volume and price data, aiming to identify industry rotation opportunities[39] - **Model Construction Process**: The GRU network is trained on historical minute-level data to predict industry factor rankings. The model dynamically adjusts allocations based on the predicted rankings, focusing on industries with higher GRU factor scores[6][34][39] - **Model Evaluation**: The model performs well in short-term scenarios due to its adaptability but may face challenges in long-term or extreme market conditions[39] --- Backtesting Results of Models 1. Diffusion Index Model - **2025 YTD Excess Return**: -2.75%[27][32] - **April 2025 Excess Return**: -0.68%[32] - **Weekly Portfolio Return**: -0.18%[32] 2. GRU Factor Model - **2025 YTD Excess Return**: -3.54%[34][37] - **April 2025 Excess Return**: 0.68%[37] - **Weekly Portfolio Return**: -0.78%[37] --- Quantitative Factors and Construction 1. Factor Name: Diffusion Index - **Factor Construction Idea**: Measures the breadth of industry performance to identify upward trends[5][14] - **Factor Construction Process**: The diffusion index is calculated as the proportion of stocks in an industry with positive momentum. Weekly and monthly changes in the index are tracked to adjust rankings dynamically[5][14][29] - **Factor Evaluation**: Effective in capturing momentum trends but sensitive to market reversals[28][38] 2. Factor Name: GRU Industry Factor - **Factor Construction Idea**: Utilizes GRU deep learning to analyze high-frequency trading data and predict industry rankings[39] - **Factor Construction Process**: The GRU network processes minute-level volume and price data to generate factor scores for industries. Industries with higher scores are prioritized for allocation[6][34][39] - **Factor Evaluation**: Strong adaptability in short-term scenarios but limited in long-term or extreme market conditions[39] --- Backtesting Results of Factors 1. Diffusion Index Factor - **Top 6 Industries (as of April 30, 2025)**: Banking (0.988), Non-Banking Financials (0.94), Comprehensive Financials (0.928), Computers (0.884), Retail (0.88), Automobiles (0.872)[5][14][29] - **Weekly Change Leaders**: Steel (0.17), Comprehensive (0.095), Automobiles (0.065)[5][31] 2. GRU Industry Factor - **Top 6 Industries (as of April 30, 2025)**: Real Estate (4.62), Textiles & Apparel (4.14), Comprehensive Financials (2.89), Transportation (1.71), Light Manufacturing (1.7), Construction (1.41)[6][35] - **Weekly Change Leaders**: Pharmaceuticals, Real Estate, Comprehensive Financials[6][35]

Report Industry Investment Rating - The rating for stock index futures is "oscillation" [3] Core Viewpoints of the Report - Global stock markets continued to recover this week, with US stocks achieving a V-shaped reversal. The pricing duration of global risk assets is getting shorter, actively pricing in factors such as optimism about tariff negotiations, resilient non - farm employment data, and better - than - expected tech stock earnings reports. For A - shares, the market is supported by factors like the potential acceleration of Sino - US negotiations, clear technology industry trends, and capital support from the "national team". However, the performance of small - cap stocks is concerning. In Q1 2025, the profit growth rate of listed companies was 3.46%, slightly higher than expected, but the resilience was mainly in blue - chip stocks. The valuation levels of small - cap indices such as CSI 2000 and BeiZheng 50 have reached historical extremes, and the risk of potential return decline should be vigilant [2][11] Summary by Directory 1. One - Week View and Overview of Macro Key Events - **Next - week View**: Wait for the return of market liquidity. The performance of small - cap stocks is worrying, and attention should be paid to the risk of potential return decline due to high valuations [11] - **This - week Key Events**: - On April 28, the National Development and Reform Commission announced measures to stabilize employment and the economy, including supporting employment, stabilizing foreign trade, promoting consumption, and expanding effective investment. It also planned to issue additional car purchase indicators for specific groups. The China Council for the Promotion of International Trade reported that nearly half of foreign - trade enterprises would reduce US business and 75.3% planned to expand emerging markets [11][13][14] - On April 29, the national leader emphasized that Shanghai should build a global - influence scientific and technological innovation high - ground. Three departments jointly issued a notice to clean up and rectify unreasonable regulations on market access barriers. China's service trade deficit in Q1 2025 decreased year - on - year [16][17][18] - On April 30, China's manufacturing PMI in April fell to 49. The foreign ministry stated that there was no Sino - US tariff negotiation. The national leader emphasized the importance of developing new - quality productivity in the "15th Five - Year Plan" period [19][20][21] 2. One - Week Market Quotes Overview - **Global Stock Markets Weekly Overview**: From April 28 to May 2, global stock markets denominated in US dollars rose. The MSCI Global Index increased by 2.97%, with emerging markets (+3.30%) > developed markets (+2.93%) > frontier markets (-0.11%). The Taiwan stock index led the world with a 9.62% increase, while the Saudi stock market performed the worst with a 2.03% decline [23] - **Chinese Stock Markets Weekly Overview**: From April 28 to May 2, in the Chinese equity market, Hong Kong stocks > Chinese concept stocks > A - shares. The average daily trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1.104 trillion yuan, a decrease of 42.8 billion yuan from last week. The A - share market showed a differentiated trend, with the BeiZheng 50 index rising 2.38% and large - cap blue - chip indices such as the Shanghai Composite 50 generally falling about 0.5% [26] - **Weekly Overview of GICS Primary Industries in Chinese and Foreign Stock Markets**: Most global GICS primary industries rose this week. The information technology industry increased by 4.26%, while the energy industry increased by only 0.82%. In the Chinese market, the telecommunications service industry led with a 2.27% increase, and the real estate industry led the decline with a 3.03% decrease [30] - **Weekly Overview of China A - share CITIC Primary Industries**: Among China A - share CITIC primary industries this week, 9 industries rose (24 last week) and 21 industries fell (6 last week). The media industry led the rise with a 2.86% increase, and the comprehensive industry led the decline with a 3.48% decrease [31] - **Weekly Overview of China A - share Styles**: The small - cap growth style was dominant this week [36] - **Overview of Stock Index Futures Basis**: No specific data was provided in the text, only references to relevant charts [38][40] 3. Index Valuation and Earnings Forecast Overview - **Broad - based Index Valuation**: The valuation levels of some broad - based indices such as CSI 2000, KeChuang 50, and BeiZheng 50 have reached historical extremes [43] - **Primary Industry Valuation**: The valuation levels of different primary industries vary, with some industries such as defense and military industry having extremely high PE ratios [44] - **Broad - based Index Equity Risk Premium**: The ERP of the CSI 300, CSI 500, and CSI 1000 increased slightly this week [45][50] - **Consensus Earnings Growth Rate of Broad - based Indices**: The expected earnings growth rates of the CSI 300, CSI 500, and CSI 1000 in 2025 and 2026 have been adjusted [51] 4. Liquidity and Capital Flow Tracking - **Interest Rates and Exchange Rates**: This week, the yield of the 10 - year treasury bond decreased, the yield of the 1 - year treasury bond increased, and the spread narrowed. The US dollar index was 100, and the offshore RMB exchange rate was 7.21 [59] - **Trading - type Capital Tracking**: This week, the average daily trading volume of north - bound funds decreased by 200 million yuan compared with last week, and the margin trading balance decreased by 150 million yuan [63] - **Capital Inflow Tracking through ETFs**: This week, the share of ETFs tracking the CSI 300 decreased by 1.1 billion shares, the share of ETFs tracking the CSI 500 decreased by 200 million shares, the share of ETFs tracking the CSI 1000 decreased by 400 million shares, and the share of ETFs tracking the CSI A500 decreased by 3.7 billion shares [68][72] 5. Tracking of Domestic Macro High - frequency Data - **Supply - side**: The tire operating rate declined [74] - **Consumption - side**: The number of second - hand housing listings decreased, and international oil prices slightly recovered [94] - **Inflation Observation**: Agricultural product prices stabilized and rebounded [95]

Global Macro Overview - During the May Day holiday, overseas risk assets showed signs of recovery, with major stock indices in the US, Asia, and Europe rising significantly. The S&P 500, Nasdaq, and Dow Jones increased by 2.9%, 3.4%, and 3.0% respectively [3][8] - Oil prices experienced a substantial decline due to supply shocks, with WTI and Brent crude oil prices falling by 7.5% and 8.3% respectively [3][16] - The US dollar index saw a slight increase of 0.5%, while major currencies like the euro, pound, and yen depreciated against the dollar [14] Overseas Events & Data - The second round of trade negotiations between the US and Japan did not yield significant breakthroughs, although both sides reached agreements on expanding agricultural quotas and simplifying automotive inspections [4][20] - The US economy unexpectedly contracted in Q1 2025, with a GDP growth rate of -0.3% on a quarter-over-quarter basis, primarily due to increased imports and inventory accumulation [29][39] - Japan's central bank maintained its monetary policy stance amid trade uncertainties, downgrading its GDP growth forecasts for 2025 and 2026 [4][20] Domestic Data & Events - During the May Day holiday, domestic travel remained high, with cross-regional travel volume increasing by 5.7% year-on-year, reflecting a significant rise in public transportation usage [6][7] - Cross-border travel and county tourism saw notable growth, with domestic flights increasing by 3.6% compared to the Spring Festival [6] - The Chinese government has been proactive in promoting tourism consumption through subsidies and enhancing consumer experiences [6] Investment Insights - Warren Buffett expressed optimism about Japanese assets and criticized trade wars during the Berkshire Hathaway annual meeting, indicating a cautious but positive outlook on long-term investments in Japan [18][19] - The US Treasury's refinancing plan for Q2 2025 maintained the scale of bond auctions, indicating a reliance on short-term debt amid rising deficit pressures [27]

Market Performance - A-shares experienced slight gains with the Shanghai Composite Index down 0.3% and the CSI 300 up 0.4% for the week[2] - The ChiNext Index rose by 1.7%, while the Hang Seng Index increased by 2.7%[2] - The average daily trading volume for A-shares was 1.15 trillion CNY, up 3.4% from the previous week[2] Sector Performance - Among 31 industry indices, 24 sectors rose, led by automotive, beauty, and basic chemicals, while food and beverage and real estate sectors lagged[2] - The automotive sector's turnover rate ZScore increased, indicating stronger trading activity[2] Valuation Metrics - The CSI 300's price-to-earnings (P/E) ratio stood at 12.3, with a ZScore of -0.4, indicating it is below the historical average[2] - The ChiNext's P/E ratio was significantly higher at 37.2, also with a ZScore of -0.4[2] Bond Market Insights - The yield on 1-year government bonds rose by 2.0 basis points to 1.45%, while the 10-year yield increased by 1.2 basis points to 1.66%[3] - The market sentiment for bonds fluctuated, influenced by external factors such as U.S. Treasury yields, which fell to approximately 4.29%[3] Currency and Commodity Trends - The U.S. dollar index rose by 0.4% to 99.58, while the offshore RMB exchange rate fell by 0.2% to 7.29[3] - Gold prices decreased by 0.2% to 3319 USD/ounce, reflecting market adjustments following geopolitical concerns[3] Risk Factors - Potential risks include unexpected changes in liquidity and economic fundamentals, which could impact market stability[3]