Market Overview - The Shanghai Composite Index closed above 3600 points, specifically at 3605.73, with a gain of 0.65% [2][4] - The Shenzhen Component Index and the ChiNext Index also saw significant increases, rising by 1.21% and 1.50% respectively [2][4] Sector Performance - The top-performing sectors included Beauty Care (3.10%), Non-ferrous Metals (2.78%), and Steel (2.68%) [3] - Conversely, the Banking sector recorded a decline of 1.42%, while the Communication sector fell by 0.15% [3] Conceptual Sector Highlights - The Hainan Free Trade Zone and the Horse Racing concept were among the leading conceptual sectors, with gains of 9.11% and 4.67% respectively [3][4] - In contrast, the F5G concept and Controlled Nuclear Fusion sectors experienced declines of 0.55% and 0.09% respectively [3][4] Future Outlook - The report indicates a strong short-term technical outlook, with the potential for continued upward movement in the market, although increased selling pressure may lead to volatility [5] - The attractiveness of Chinese assets is expected to rise due to macro policy support and capital market reforms, with a long-term upward trend anticipated [5] Investment Focus - Short-term investment focus should be on sectors expected to report favorable mid-year results, while long-term attention should be directed towards domestic demand, technology, and dividend-paying sectors [5]

Core Viewpoint - The public fund industry shows a positive trend in total scale and investor preferences, with a notable shift towards bond-type products and overseas assets, while equity funds see mixed performance [3][4]. Group 1: Public Fund Overview - As of Q2 2025, the total scale of public funds reached 34.4 trillion yuan, reflecting a 6.76% increase from Q1 2025 and a 10.65% year-on-year growth [3]. - Investor preference remains strong for stable-return bond products, with significant interest in commodity and overseas assets [3]. - Bond-type products show a mixed internal structure, with bond FOF, short-term pure bond, passive index bond, and enhanced index bond funds seeing growth rates exceeding 10% [3]. Group 2: Active Equity Funds - The scale of active equity funds remained stable in Q2 2025, with a total of 3.04 trillion yuan, reflecting a slight decrease of 0.88% [4]. - The median stock position of active equity funds increased to 90.32%, indicating a slight recovery in asset allocation [4]. - There is an increased allocation to the ChiNext, Hong Kong stocks, and the Beijing Stock Exchange, while the main board and STAR Market saw reduced allocations [4]. Group 3: Sector and Stock Preferences - Active managers increased their positions in financial real estate, defense, pharmaceuticals, and TMT sectors, with notable increases in communication, pharmaceutical biology, and non-bank financial industries [5]. - The TMT sector shows significant internal differentiation, with high interest in communication and computing power, while consumer electronics and robotics face reduced funding [6]. - The top five holdings include Tencent Holdings, CATL, Kweichow Moutai, Midea Group, and Zijin Mining, with a decrease in concentration among the top 20 holdings [6]. Group 4: Fund Performance and Trends - The market is experiencing structural rotation, with a decline in the trend of fund manager clustering, indicating a lack of consensus on core asset investment opportunities [6]. - High-performing funds are primarily from the Beijing Stock Exchange and pharmaceutical themes, demonstrating strong capital attraction for actively managed products [7].

Market Overview - The A-share market showed a positive trend today, with major indices mostly rising. The Shanghai Composite Index increased by 0.65% to close at 3605.73 points, while the Shenzhen Component rose by 1.21% to 11193.06 points. The Sci-Tech 50 Index and the ChiNext Index also saw gains of 1.17% and 1.50%, closing at 1032.84 points and 2345.37 points respectively [1]. - A total of 4391 stocks rose, while 911 stocks fell, and 113 stocks remained unchanged. The total trading volume in the Shanghai and Shenzhen markets was 18447 billion yuan, a decrease of 198.94 billion yuan compared to the previous trading day [1]. Industry Performance - Among the Shenwan first-level industries, all sectors except for banking, telecommunications, and public utilities experienced gains today. The leading sectors included beauty and personal care, non-ferrous metals, steel, retail, non-bank financials, and social services [1]. - The top-performing concept sectors included Hainan Free Trade Port, selected rare metals, rare earths, rare earth permanent magnets, vaccines, lithium mines, small metals, stock trading software, cobalt mines, duty-free shops, lithium extraction from salt lakes, selected medical services, lithium battery cathodes, and stem cells [1].

| 申万行业 | 行业涨跌（%） | 成交额（亿元） | 比上日（%） | 领涨（跌）股 | 涨跌幅（%） | | --- | --- | --- | --- | --- | --- | | 有色金属 | 2.13 | 1142.95 | 41.65 | 龙磁科技 | 14.53 | | 商贸零售 | 2.08 | 231.80 | 29.13 | 中国中免 | 10.00 | | 美容护理 | 2.03 | 86.92 | 41.48 | 拉芳家化 | 10.02 | | 钢铁 | 1.66 | 201.40 | -8.57 | 包钢股份 | 10.04 | | 房地产 | 1.51 | 189.96 | -2.61 | 海南机场 | 10.11 | | 社会服务 | 1.40 | 144.24 | 2.91 | 西藏旅游 | 9.99 | | 医药生物 | 1.32 | 1377.88 | 12.22 | 康芝药业 | 20.00 | | 非银金融 | 1.03 | 906.63 | -5.68 | 海德股份 | 10.08 | | 建筑材料 | 1.01 | 249.20 | -17.09 | 西藏天路 ...

Market Overview - The Shanghai Composite Index increased by 0.48% as of the morning close, with a trading volume of 961.23 million shares and a total transaction value of 1,133.02 billion yuan, representing a decrease of 2.25% compared to the previous trading day [1]. Industry Performance - The top-performing sectors included: - Retail: Increased by 2.31% with a transaction value of 191.00 billion yuan, led by China Duty Free Group, which rose by 10.00% [1]. - Non-ferrous Metals: Increased by 2.29% with a transaction value of 874.12 billion yuan, led by Longi Green Energy, which rose by 14.35% [1]. - Real Estate: Increased by 2.06% with a transaction value of 152.98 billion yuan, led by Hainan Airport, which rose by 10.11% [1]. - Steel: Increased by 2.03% with a transaction value of 175.98 billion yuan, led by Baosteel, which rose by 10.04% [1]. - The sectors with the largest declines included: - Banking: Decreased by 0.92% with a transaction value of 211.32 billion yuan, led by Qilu Bank, which fell by 2.53% [2]. - Communication: Decreased by 0.82% with a transaction value of 449.61 billion yuan, led by Taicheng Light, which fell by 8.68% [2]. - Public Utilities: Decreased by 0.79% with a transaction value of 226.43 billion yuan, led by Huadian New Energy, which fell by 4.77% [2]. Summary of Key Stocks - Notable gainers included: - China Duty Free Group: +10.00% [1]. - Longi Green Energy: +14.35% [1]. - Hainan Airport: +10.11% [1]. - Notable decliners included: - Qilu Bank: -2.53% [2]. - Taicheng Light: -8.68% [2]. - Huadian New Energy: -4.77% [2].

Group 1 - The A-share market showed an overall upward trend on July 24, with the Hainan sector experiencing significant growth, becoming one of the market's highlights [1][2] - The Hainan sector surged over 9% by midday, with multiple stocks hitting the daily limit, including Kangzhi Pharmaceutical, Hainan Airport, and Hainan Highway [4][6] - Major industry sectors such as retail, steel, and real estate saw gains exceeding 2%, while sectors like communication and banking underperformed [4] Group 2 - The China Electric Power Construction Company (China Power Construction) reached its daily limit, with trading volume exceeding 150 billion yuan, marking a near ten-year high [9] - The government announced that the Hainan Free Trade Port will officially start operations on December 18, 2025, with significant policy changes including an increase in zero-tariff goods from 21% to 74% [8] - The new policies will allow for a broader range of zero-tariff goods and more flexible trade management, enhancing the operational environment for businesses in Hainan [8]

| 石油石化 | | | | 华锦股份 | | | --- | --- | --- | --- | --- | --- | | 通信 | -0.69 | 309.07 | -9.44 | 太辰光 | -7.55 | | 银行 | -0.87 | 142.87 | -6.44 | 长沙银行 | -2.32 | | 公用事业 | -0.97 | 161.51 | -27.59 | 华电新能 | -4.77 | 证券时报·数据宝统计，截至上午10:28，今日沪指涨0.25%，A股成交量692.57亿股，成交金额7971.62亿 元，比上一个交易日减少10.11%。个股方面，3708只个股上涨，其中涨停49只，1473只个股下跌。从 申万行业来看，商贸零售、房地产、钢铁等涨幅最大，涨幅分别为2.05%、1.75%、1.69%；公用事业、 银行、通信等跌幅最大，跌幅分别为0.97%、0.87%、0.69%。（数据宝） 今日各行业表现（截至上午10:28） | 申万行业 | 行业涨跌（%） | 成交额（亿元） | 比上日（%） | 领涨（跌）股 | 涨跌幅（%） | | --- | --- | --- | --- | - ...

Core Insights - As of July 22, the latest market financing balance reached 1,919.613 billion yuan, an increase of 15.048 billion yuan compared to the previous trading day [1] - Among the 23 primary industries under Shenwan, the electronic industry saw the largest increase in financing balance, rising by 2.381 billion yuan [1] - The industries with notable increases in financing balance also include pharmaceuticals, electric equipment, and machinery, with increases of 1.413 billion yuan, 1.359 billion yuan, and 1.126 billion yuan respectively [1] - Conversely, eight industries experienced a decrease in financing balance, with the computer, home appliance, and retail industries seeing the largest declines of 0.114 billion yuan, 0.095595 billion yuan, and 0.090656 billion yuan respectively [2] Industry Financing Balance Changes - The coal industry had the highest growth rate in financing balance, with a latest balance of 15.839 billion yuan, reflecting a 2.48% increase [1] - Other industries with significant increases include construction decoration, banking, and building materials, with growth rates of 2.25%, 1.70%, and 1.65% respectively [1] - The steel, retail, and home appliance industries reported the largest declines in financing balance, with latest balances of 14.479 billion yuan, 21.545 billion yuan, and 26.662 billion yuan, showing decreases of 0.48%, 0.42%, and 0.36% respectively [2]

Core Viewpoint - The consumer sector is showing signs of recovery, with various sub-sectors experiencing growth and opportunities as domestic consumption trends improve [1][10]. Group 1: Consumer Sector Overview - Since early 2025, there has been a gradual recovery in consumer sentiment, with domestic demand contributing 68.8% to GDP growth in the first half of the year, and final consumption expenditure contributing 52% [1]. - The implementation of policies such as the "Special Action Plan to Boost Consumption" has injected vitality into the consumer market, leading to significant increases in tourism and dining revenues during holidays [1]. - The upcoming mid-year reporting season is expected to be a critical point for validating the recovery in the consumer sector [1]. Group 2: Food and Beverage Sector - The food and beverage industry is experiencing structural differentiation, with the liquor sector under pressure while leading brands maintain steady growth due to strong brand influence [2]. - The beer sector benefits from consumption upgrades and product innovation, while the snack sector is growing due to health-conscious and personalized consumption trends [2]. Group 3: Textile and Apparel Sector - The textile and apparel industry is seeing a recovery in demand, particularly in the sportswear segment, driven by increased awareness of fitness among consumers [3]. - Major sports brands are investing in R&D to launch high-tech, high-performance products to meet consumer demands for quality and functionality [3]. Group 4: Retail Sector - The traditional retail sector is facing challenges from online shopping, leading to a decline in consumption; however, cross-border e-commerce leaders are showing strong growth [4]. - The high growth in import and export trade in Yiwu and the opening of global trade centers are providing new opportunities for cross-border e-commerce companies [4]. Group 5: Social Services Sector - The social services sector is witnessing a surge in cross-border tourism demand, supported by inbound travel policies and the travel needs of younger and older demographics [5]. - Online travel agencies are launching personalized and diverse travel products to cater to varying consumer needs [5]. Group 6: Light Manufacturing Sector - The light manufacturing industry is facing short-term export pressures, but segments like home furnishings, packaging, and pet food are performing well [6]. - The recovery in the real estate market is boosting demand in the home furnishings sector, while the packaging industry benefits from the growth of e-commerce and express delivery [6]. Group 7: Home Appliances Sector - The home appliances industry is experiencing a significant recovery in domestic demand, driven by government subsidies for replacing old appliances [7]. - While the export market faces uncertainties due to tariff policies, long-term growth potential remains strong as global economies recover and Chinese brands enhance their competitiveness [7]. Group 8: Hong Kong Stock Market - The Hong Kong consumer sector is characterized by scarce assets and high growth in earnings, indicating strong performance among leading companies [8]. Group 9: Trend in Niche Markets - The trendy toy industry is seeing strong performance from leading companies, with significant growth in revenue, net profit, and profit margins [9]. - The high-end and trendy gold jewelry sectors are achieving growth through unique designs and brand advantages, catering to young consumers' demand for personalized, high-quality products [9]. - The new-style tea beverage sector is showing significant differentiation, with leading brands achieving double-digit growth and strong store expansion [9]. Group 10: Policy Outlook - The government is expected to continue implementing policies to boost domestic consumption, with fiscal subsidies playing a crucial role in driving growth [10]. - Sectors such as home appliances and consumer electronics are likely to benefit from policies promoting the replacement of old products, while offline service consumption is set to see new development opportunities [10].

Quantitative Models and Construction Methods 1. Model Name: Heston Model - **Model Construction Idea**: The Heston model is used to calculate the implied volatility of near-month at-the-money options, serving as a market fear index. It reflects market participants' expectations of future volatility [7] - **Model Construction Process**: The Heston model is a stochastic volatility model where the variance of the asset price follows a mean-reverting square-root process. The model is defined by the following equations: $$ dS_t = \mu S_t dt + \sqrt{v_t} S_t dW_t^S $$ $$ dv_t = \kappa (\theta - v_t) dt + \sigma \sqrt{v_t} dW_t^v $$ where: - \( S_t \): Asset price - \( v_t \): Variance of the asset price - \( \mu \): Drift term - \( \kappa \): Speed of mean reversion - \( \theta \): Long-term variance - \( \sigma \): Volatility of variance - \( W_t^S, W_t^v \): Two Wiener processes with correlation \(\rho\) [7] - **Model Evaluation**: The Heston model is widely recognized for its ability to capture the stochastic nature of volatility, making it suitable for modeling market fear indices [7] --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Industry Timing Factor (Scissors Difference) - **Factor Construction Idea**: This factor is based on the difference in the number of stocks with bullish and bearish signals within an industry. It aims to identify timing opportunities by analyzing the divergence between bullish and bearish signals [14] - **Factor Construction Process**: - Define the number of stocks with bullish signals (\(N_{bullish}\)) and bearish signals (\(N_{bearish}\)) in an industry on a given day - If no bullish or bearish signals are present, set the respective count to 0 - Calculate the scissors difference as: $$ \text{Scissors Difference} = N_{bullish} - N_{bearish} $$ - Normalize the scissors difference to obtain a ratio: $$ \text{Scissors Ratio} = \frac{N_{bullish} - N_{bearish}}{N_{bullish} + N_{bearish}} $$ - Use this ratio to construct an industry timing strategy [14] - **Factor Evaluation**: The backtesting results show that the scissors difference timing model outperforms the respective industry indices in all cases, demonstrating excellent historical performance [14] --- Model Backtesting Results 1. Heston Model - Implied volatility for major indices: - **Shanghai 50**: 13.5% (down 0.91% from last week) - **Shanghai 500**: 15.29% (down 0.11% from last week) - **CSI 1000**: 16.79% (down 1.3% from last week) - **CSI 300**: 13.65% (down 0.83% from last week) [9] --- Factor Backtesting Results 1. Multi-Industry Timing Factor (Scissors Difference) - Backtesting results for selected industries: - **Real Estate**: Strategy annualized return 13.18%, maximum drawdown -34.3%; Index annualized return -1.21%, maximum drawdown -75.09% - **Light Manufacturing**: Strategy annualized return 21.84%, maximum drawdown -37.91%; Index annualized return 2.76%, maximum drawdown -67.79% - **Coal**: Strategy annualized return 28.73%, maximum drawdown -24.76%; Index annualized return -0.1%, maximum drawdown -69.7% - **Pharmaceuticals**: Strategy annualized return 19.22%, maximum drawdown -42.71%; Index annualized return 6.69%, maximum drawdown -55.37% [15][16]