Quantitative Models and Construction Methods - **Model Name**: A-Share Industry Rotation Model **Model Construction Idea**: The model uses six factors—capital, valuation, sentiment, momentum, overbought/oversold, and profitability—to build a scoring system for industry evaluation[17] **Model Construction Process**: - **Capital Factor**: Based on industry net inflow rate of major funds - **Valuation Factor**: Uses the valuation percentile of the industry over the past year - **Sentiment Factor**: Derived from the proportion of rising constituent stocks - **Momentum Factor**: Based on MACD indicator - **Overbought/Oversold Factor**: Uses RSI indicator - **Profitability Factor**: Based on the consensus forecast EPS percentile of the industry over the past year[17] **Model Evaluation**: The model provides a comprehensive scoring system to assess industry rotation trends[17] - **Model Name**: Consensus Stock Selection Model **Model Construction Idea**: The model identifies high-growth industries and selects stocks with high similarity between high-frequency capital flow trends and stock price trends[20] **Model Construction Process**: - Filters high-growth industries at the Shenwan secondary industry level based on the past 30-day performance - Calculates momentum, valuation, and frequency of price increases for stocks within these industries - Uses high-frequency minute-level capital flow data to compute changes in inflow/outflow for each stock - Selects stocks with the highest similarity between capital flow trends and price trends within the top-performing secondary industries[20] **Model Evaluation**: The model effectively identifies stocks with strong capital flow and price trend alignment[20] --- Model Backtesting Results - **A-Share Industry Rotation Model**: - **Top Scoring Industries**: Comprehensive (+10), Non-ferrous Metals (+10), Electronics (+7)[18][19] - **Low Scoring Industries**: Banking (-15), Petrochemicals (-9), Transportation (-8)[19] - **Consensus Stock Selection Model**: - **Selected Industries**: Communication Equipment, Ground Armament II, Components[21] - **Selected Stocks**: - Communication Equipment: New Yisheng, Move Communication, Feiling Kesi, Hengtong Optoelectronics, Meixin Technology - Ground Armament II: Great Wall Military Industry, Optical Shares, Inner Mongolia First Machine, Sweet Qin Equipment, Ganfa Technology - Components: Jingwang Electronics, Deep South Circuit, Fangbang Shares, Zhongjing Electronics, Shenghong Technology[21] --- Quantitative Factors and Construction Methods - **Factor Name**: Capital Factor **Construction Idea**: Measures industry net inflow rate of major funds[17] **Construction Process**: Aggregates daily net inflow data for transactions exceeding 10,000 shares or 200,000 yuan[12] **Evaluation**: Reflects the strength of capital flow within industries[17] - **Factor Name**: Valuation Factor **Construction Idea**: Uses industry valuation percentile over the past year[17] **Construction Process**: Calculates the relative valuation position of the industry within a one-year window[17] **Evaluation**: Indicates whether an industry is undervalued or overvalued[17] - **Factor Name**: Sentiment Factor **Construction Idea**: Based on the proportion of rising constituent stocks[17] **Construction Process**: Computes the percentage of stocks within the industry that have increased in price[17] **Evaluation**: Captures market sentiment towards the industry[17] - **Factor Name**: Momentum Factor **Construction Idea**: Uses MACD indicator to measure price trends[17] **Construction Process**: Applies MACD calculations to industry-level data[17] **Evaluation**: Identifies industries with strong upward or downward trends[17] - **Factor Name**: Overbought/Oversold Factor **Construction Idea**: Uses RSI indicator to assess market conditions[17] **Construction Process**: Calculates RSI values for industries to determine overbought or oversold conditions[17] **Evaluation**: Helps identify potential reversals in industry trends[17] - **Factor Name**: Profitability Factor **Construction Idea**: Based on consensus forecast EPS percentile over the past year[17] **Construction Process**: Aggregates EPS forecasts and calculates relative percentile rankings[17] **Evaluation**: Reflects the earnings potential of industries[17] --- Factor Backtesting Results - **Capital Factor**: Comprehensive (++), Non-ferrous Metals (++), Electronics (++), Banking (---), Petrochemicals (---), Transportation (---)[19] - **Valuation Factor**: Comprehensive (+++), Non-ferrous Metals (++), Electronics (+), Banking (-), Petrochemicals (---), Transportation (---)[19] - **Sentiment Factor**: Comprehensive (-), Non-ferrous Metals (+++), Electronics (+++), Banking (--), Petrochemicals (---), Transportation (---)[19] - **Momentum Factor**: Comprehensive (+++), Non-ferrous Metals (+++), Electronics (+), Banking (--), Petrochemicals (---), Transportation (---)[19] - **Overbought/Oversold Factor**: Comprehensive (+++), Non-ferrous Metals (+++), Electronics (+), Banking (--), Petrochemicals (---), Transportation (---)[19] - **Profitability Factor**: Comprehensive (+++), Non-ferrous Metals (+++), Electronics (+++), Banking (---), Petrochemicals (---), Transportation (---)[19]

宏观经济 | 证券研究报告 — 总量周报 2025 年 7 月 6 日 周度金融市场跟踪 财经委会议"反内卷"，钢铁建材领涨 A 股；债 券市场收益率整体小幅震荡下行 （ 6 月 30 日 -7 月 4 日） 股票方面，本周 A 股震荡上涨，全周累计看，沪深 300 上涨 1.5%，中证 2000 上涨 0.6%。本周港股走势弱于 A 股，恒生指数下跌 1.5%，恒生科技指数下跌 2.3%。行业方面，本周钢铁、建筑材料和银行领涨，计算机、非银金融和美容 护理领跌。周内看，周一（6 月 30 日）上午，6 月制造业 PMI 指数发布，连续 2 个月回升。当天市场超 4000 只股票上涨。周二（7 月 1 日）市场震荡上涨。 周二盘后中央财经委第六次会议新闻发布，会议强调依法依规治理企业低价无 序竞争。受此影响，周三（7 月 2 日）钢铁、煤炭和建筑材料等传统周期类行业 领涨 A 股。周四（7 月 3 日）盘前美国解除对中国芯片设计类软件出口限制新 闻发出，当天市场超 3200 家公司上涨，创业板指数上涨 1.9%。周五（7 月 4 日） 市场有所分化，以沪深 300 为代表的大盘股上涨，但以中证 2000 为代 ...

Group 1 - The market is experiencing an upward shift in the oscillation center, characterized by "top and bottom" dynamics, with a positive outlook for effective index breakthroughs due to monthly momentum reversal and rising trading volume [2][12][13] - Profitability is still in a bottoming phase, with expectations that the profit bottom will not arrive before the end of Q3, limiting the elasticity of the current profit cycle [2][13] - Valuation support is provided by government-backed credit policies, with a focus on stable growth and market stabilization measures [2][13] Group 2 - Structural opportunities are emphasized, particularly in "Deep Sea Technology" and "Newly Listed Stocks," alongside existing themes like "Delta G Consumption" and "Self-Controlled Technology" [3][23] - "Deep Sea Technology" is positioned as a strong thematic opportunity for the second half of the year, aligning with national strategic priorities and policies aimed at enhancing marine economic development [4][24][29] - The deep sea technology industry chain is extensive, covering upstream materials, midstream manufacturing, and downstream resource utilization, indicating a comprehensive growth potential [4][32] Group 3 - Newly listed stocks have regained prominence since September 2024, with a significant upward trend observed in their performance, correlating closely with improvements in economic confidence [5][34] - The performance of newly listed stocks is highly correlated with macroeconomic indicators, suggesting that as economic expectations improve, these stocks are likely to outperform the market [5][38] - A new index, the "Open Source Newly Listed Stock Index," has been created to better track and represent the performance of newly listed stocks, expanding the criteria to include stocks listed for up to six years [5][44] Group 4 - Current investment strategy emphasizes diversification across sectors, focusing on "Delta G Consumption," "Self-Controlled Technology," "Stable Dividends," and "Gold" [6][50] - Specific sector recommendations include domestic consumption, technology growth, cost improvement sectors, and structural opportunities in exports, particularly to Europe [6][50] - The strategy aims to capture the greatest expected differences and domestic certainties while avoiding over-concentration in any single sector [6][50]

图 一周摘要 图 市场概况： 上周（6月30日至7月4日） A 股呈现 "深强沪弱" 特征，上证 50 上涨 1.21%，沪深 300 上涨 1.54%，市净率处于近 5 年中位数附近，受新能源和电子板块提振，创业板指大涨 1.50%，但科创 50 却 逆势下跌 0.35%，银行股指数创新高，显示资金从高估值赛道向政策受益领域迁移。全周上证指数上涨 1.40%，深证指数上涨1.25%，创业板指上涨1.50%。 行业板块： 上周 Wind一级平均涨幅1.30%，Wind百大概念指数上涨比例78%。板块方面， 81%板块获 得正收益，钢铁、建筑材料、银行相对表现良好，分别上涨5.06%、3.96%、3.77%，综合、传媒、农林 牧渔等均出现2%以上的涨幅，而仅有美容护理、非银金融、计算机走弱，分别下跌0.55%、0.72%、 1.28%。 基金表现 ： 上周 万得全基指数上涨 0.71% 。其中，万得普通股票型基金指数上涨 1.60% ，万得偏股混合型基金指数上涨 1.25% ，万得债券型基金指数上涨 0.20% 。 图 一周市场 图 01 全球大类资产回顾 大类资产方面，上周 国际权益市场略有分化，美股延续涨势 ...

- The report uses Mahalanobis distance to measure industry crowding based on weekly price and transaction volume changes[3][17][18] - The construction process involves identifying industries where price and transaction volume deviate significantly, with industries outside the ellipse in quadrant 1 indicating short-term significant crowding[17] - Last week, the building materials industry showed significant trading crowding[18]

Core Insights - The global economy is facing multiple challenges, revealing its vulnerabilities under the uncertainty of US policies. Issues such as regionalism, inflation, debt pressure, and structured risks in asset valuations are still unfolding. The continuous depreciation of the US dollar has made European and emerging markets more attractive to capital, while precious metals like gold have seen significant price increases, indicating a reshaping of the global market. In response to the current market environment, it is advised to focus on certainty and make asset allocations based on a high safety margin [1][16][21]. Market Overview - As of June 29, 2025, global equity assets performed well, with MSCI global returns at 4.01% and emerging markets at 6.15%, slightly outperforming developed markets. The domestic market also showed strong performance, with the CSI All Share Index yielding 3.13%, particularly driven by growth stocks which rose by 4.87% [7][13]. - The global economic pressure remains significant, with manufacturing PMI in some regions still below the expansion threshold, indicating risks of a peak in the global economic growth cycle. Concurrently, US stocks have seen valuations driven up by AI and buybacks, which has weakened corporate resilience [19][20]. Asset Allocation Strategy - **Equity Funds**: The strategy should focus on a "core + opportunities" approach, balancing safety and returns. Core allocations should prioritize high earnings certainty, high profits, and high dividends, while opportunity allocations should leverage policy implementation, confidence-driven investments, and technology empowerment [3][30]. - **Fixed Income Funds**: It is recommended to lower expectations while seeking stable returns. Mid to short-duration funds are seen as more cost-effective, as the market's excessive pursuit of long-duration bonds has diminished their risk-return profile [3][4]. - **QDII Funds**: Attention should be paid to marginal changes affecting expectations. For equity QDII, caution is advised regarding structured valuation risks, while for oil QDII, geopolitical factors are becoming increasingly significant. Gold QDII is expected to perform well in the medium to long term due to ongoing demand for safe-haven assets [4][37][40]. Domestic Economic Insights - The domestic economy has shown resilience, with a GDP growth of 5.4% in Q1 2025, driven by consumption and exports. Industrial value-added growth was steady at 5.8%, with significant contributions from sectors like new energy vehicles and robotics [21][28]. - Consumer spending has been robust, with retail sales in May growing by 6.4% year-on-year, supported by government subsidies and promotional activities. However, structural income disparities remain a challenge for sustained consumption growth [26][28]. Commodity Market Dynamics - Geopolitical issues and inflation have been influencing global commodity prices. The escalation of conflicts has pushed oil prices higher, while the depreciation of the dollar has led to fluctuations in gold prices. Future trading logic for oil and gold will likely continue to be driven by geopolitical and risk-averse sentiments [37][49]. - The long-term stability of oil prices will depend on global economic growth and demand, with current PMI data indicating potential declines in demand. The supply side, particularly OPEC+ production decisions, will also play a crucial role in short-term price movements [45][49].

7月4日，A股市场早盘强势，午后调整回落。 截至收盘，上证指数收报3472.32点，上涨0.32%；深证成指收报10508.76点，下跌0.25%；创业板指收 报2156.23点，下跌0.36%。两市合计成交14285.45亿元，较上一交易日增加1188.11亿元。 1. 两市主力资金净流出超230亿元 今日沪深两市主力资金开盘净流出75.26亿元，尾盘净流出34.23亿元，全天净流出236.55亿元。 | | | 沪深两市最近五个交易日主力资金流向情况(亿元) | | | | --- | --- | --- | --- | --- | | 日期 | | 净流入金额 开盘净流入 | 人張史臨圖 | 超大单净买入 | | 2025-7-4 | -236. 55 | -75. 26 | -34. 23 | -86. 46 | | 2025-7-3 | -24. 75 | -48. 18 | 4. 10 | 36. 21 | | 2025-7-2 | -331.90 | -120. 22 | -18.91 | -157.53 | | 2025-7-1 | -231.12 | -105.84 | -1.95 | -9 ...

| 家用电 | 15.88 | -2.77 | 2.07 | 0.03 | -3.89 | | --- | --- | --- | --- | --- | --- | | 器 | | | | | | | 社会服 | 13.50 | 11.98 | 2.99 | -0.20 | -4.08 | | 务 | | | | | | | 环保 | 18.96 | 11.58 | 2.12 | -1.03 | -4.59 | | 医药生 物 | 68.04 | -1.48 | 2.49 | 0.39 | -5.73 | | 通信 | 32.51 | 17.15 | 1.87 | -0.85 | -15.10 | | 汽车 | 45.27 | -0.21 | 2.09 | -0.53 | -17.97 | | 基础化 工 | 71.27 | 1.70 | 2.66 | -1.22 | -21.74 | | 机械设 | 65.11 | -6.74 | 2.40 | -0.97 | -28.36 | | 备 | | | | | | | 国防军 | 32.96 | -12.68 | 3.05 | -0.91 | -29.30 | ...

Group 1 - The computer sector saw a net inflow of over 44 billion yuan, leading the market in capital inflow [1][2] - Other sectors with net inflows include non-bank financials (9.5 billion yuan) and banks (6.31 billion yuan) [2] - The sectors experiencing net outflows include non-ferrous metals (-44.1 billion yuan), electronics (-32.5 billion yuan), and new energy (-29.26 billion yuan) [2] Group 2 - The top stock by net inflow was沃尔核材 with 11.82 billion yuan, representing a net inflow rate of 19.67% [3] - Other notable stocks with significant net inflows include 协鑫能科 (5.36 billion yuan) and 长亮科技 (4.65 billion yuan) [3] - The stock with the highest net outflow was 好上好, with a net outflow of 4.62 billion yuan, reflecting a net outflow rate of -18.59% [4] Group 3 - The overall market showed a mixed trend with strong inflows in the computer sector while facing significant outflows in sectors like non-ferrous metals and electronics [1][2] - The data indicates a potential shift in investor sentiment towards technology and financial sectors, while traditional sectors may be losing appeal [1][2]

7月4日下午，A股指数异动拉升，银行、非银金融、传媒等行业走强。截至13点29分，A500ETF基金 （512050）涨0.93%，持仓股沃尔核材涨停，巨人网络、健帆生物、沪电股份、三七互娱等表现居前。 截至发文，A500ETF基金（512050）盘中成交额超34亿元，位居同类第一。 均衡宽基A500ETF基金（512050）助力投资者一键布局A股核心资产。该ETF所跟踪中证A500指数，采 取行业均衡配置与龙头优选双策略，细分行业全覆盖，融合价值与成长属性，相比沪深300，超配电 子、医药生物、电力设备新能源等新质生产力行业，具备天然的哑铃投资属性。场外联接（A类： 022430；C类：022431）。 每日经济新闻 消息面上，国务院发文复制推广上海自贸区77条试点措施，涵盖服务贸易、货物贸易、数字贸易、知识 产权保护、政府采购改革、"边境后"管理制度改革、风险防控等7个方面。其中，加强数字人民币试点 应用场景创新等34条措施复制推广至其他自贸区；推进电子支付跨境应用等43条措施复制推广至全国。 中信建投证券表示，在美联储可能进一步降息、中美贸易摩擦缓和的背景下，下半年美元指数或震荡偏 弱，将减轻人民币的外 ...