Group 1 - The domestic equity market continued its upward trend last week, with the Wind All A Index rising by 1.22%, and the average daily trading volume maintained around 1.5 trillion yuan, approaching the historical high from 2015, currently less than 3% away from that peak [1] - The growth rates for specific indices included the ChiNext (+1.5%), Shanghai Composite Index (+1.4%), and CSI 300 (+1.5%), while the STAR Market saw a slight decline of 0.3% [1] - From an industry perspective, steel (+5.3%), banking (+3.8%), and building materials (+3.6%) experienced significant gains, whereas computer technology (-0.9%) and comprehensive finance (-4.5%) faced notable declines [1] Group 2 - The Central Financial Committee emphasized the need to advance the construction of a unified national market, focusing on addressing key challenges, regulating low-price disorderly competition, enhancing product quality, and promoting the orderly exit of backward production capacity [1] - The emergence of new technologies and business models tends to attract substantial investment, but it may also lead to over-investment issues, where capacity expansion outpaces demand release during technological iterations [2] - The bond market saw a general decline in interest rates, with credit bond yields decreasing significantly, particularly for lower-rated AA- bonds, indicating a potential structural market trend driven by new capital inflows [2]

Market Performance - On July 7, 2025, the Shanghai Composite Index rose by 0.02%, while the Shenzhen Component Index fell by 0.70% and the ChiNext Index decreased by 1.21%[3] - The total market turnover was 1,208.497 billion yuan, a decrease of 219.868 billion yuan compared to the previous trading day[3] - Out of 3,286 stocks, 2,010 declined while 1,276 advanced[3] Sector Performance - The top-performing sectors included Comprehensive Finance (up 2.21%), Real Estate (up 1.70%), and Electric Power & Utilities (up 1.50%) while the laggards were Pharmaceuticals (down 0.94%), Communications (down 0.80%), and Home Appliances (down 0.73%)[3][21] - The market style ranking was Stable > Financial > Cyclical > Neutral > Growth > Consumer[21] Capital Flow - On July 7, 2025, the net outflow of main funds was 18.268 billion yuan, with large orders seeing a net outflow of 11.283 billion yuan and small orders experiencing a net inflow of 19.967 billion yuan[4][26] - Southbound capital saw a net inflow of 12.067 billion HKD, with the Shanghai-Hong Kong Stock Connect contributing 5.791 billion HKD and the Shenzhen-Hong Kong Stock Connect contributing 6.276 billion HKD[5][28] ETF Trading - Major ETFs such as the Huaxia SSE 50 ETF and the Huatai-PB CSI 300 ETF saw significant decreases in trading volume, with changes of -7.82 billion yuan and -26.26 billion yuan respectively[4][31] - The total trading volume for ETFs on July 7 was 12.08497 billion yuan, reflecting a decrease from the previous trading day[31] Global Market Overview - On July 7, 2025, major Asia-Pacific indices showed mixed results, with the Hang Seng Index down 0.12% and the Nikkei 225 down 0.56%[5][34] - European indices also experienced declines, with the DAX down 0.61% and the CAC40 down 0.75% on July 4, 2025[5][34]

The provided content does not include any specific quantitative models or factors, nor does it detail their construction, evaluation, or backtesting results. The documents primarily focus on market performance, sentiment, fund flows, ETF premiums/discounts, block trades, and institutional activity. These are descriptive analyses and statistics rather than quantitative models or factor-based methodologies. If you have another document or report that includes quantitative models or factors, please provide it for analysis

- Model Name: Diffusion Index Model; Model Construction Idea: The model is based on the principle of price momentum; Model Construction Process: The model tracks the weekly changes in the diffusion index of various industries, ranking them based on their diffusion index values. The formula used is $ \text{Diffusion Index} = \frac{\text{Number of Stocks with Positive Momentum}}{\text{Total Number of Stocks}} $; Model Evaluation: The model captures industry trends effectively but may face challenges during market reversals[5][27][28] - Model Name: GRU Factor Model; Model Construction Idea: The model utilizes GRU (Gated Recurrent Unit) deep learning networks to analyze minute-level price and volume data; Model Construction Process: The model ranks industries based on their GRU factor values, which are derived from the GRU network's analysis of trading information. The formula used is $ \text{GRU Factor} = \text{GRU Network Output} $; Model Evaluation: The model performs well in short cycles but may struggle in long cycles or extreme market conditions[6][13][33] - Diffusion Index Model, IR value 2.05%, weekly average return 0.24%, monthly excess return -1.00%, annual excess return 2.05%[25][30] - GRU Factor Model, IR value -4.52%, weekly average return 1.32%, monthly excess return 0.77%, annual excess return -4.52%[32][37] - Factor Name: GRU Industry Factor; Factor Construction Idea: The factor is derived from GRU deep learning networks analyzing minute-level trading data; Factor Construction Process: The factor values are calculated based on the GRU network's output, ranking industries accordingly. The formula used is $ \text{GRU Factor} = \text{GRU Network Output} $; Factor Evaluation: The factor captures short-term trading information effectively but may face challenges in long-term or extreme market conditions[6][13][33] - GRU Industry Factor, IR value -4.52%, weekly average return 1.32%, monthly excess return 0.77%, annual excess return -4.52%[32][37]

Report Industry Investment Ratings Not provided in the documents. Core Viewpoints of the Report - The drivers of commodity futures are differentiated, with coking coal being relatively strong and lithium carbonate and PTA being relatively weak [1]. - Stock indices are in a period of consolidation, and their medium - to long - term upward trend is clear. The bond market is running at a high level, and gold is oscillating at a high level [1]. Summary by Related Catalogs Stock Indices - Last week, the A - share market oscillated strongly, with the Shanghai Composite Index hitting a new high. The trading volume of the two markets was about 1.4 trillion yuan, slightly lower than the previous week. The steel, banking, and building materials sectors led the gains, while the comprehensive finance and computer industries led the losses. The four major stock index futures showed differentiated trends, with IF and IH strengthening, and IC and IM oscillating at high levels [1]. - In the short term, stock indices may maintain high - level consolidation. In the medium - to long - term, with clear policy support and improved fundamental expectations, the inflow of medium - to long - term funds continues, and the upward trend of stock indices is clear. Overseas, attention should be paid to the progress of US tariff negotiations. Domestically, during the interim report season, the earnings of IF and IH constituent stocks are more certain, and their trends may be stronger [1]. Bonds - Last week, the bond market rose slightly and remained at a high level. The US is in trade negotiations with many countries, and there is still high uncertainty. The central bank continued its net capital withdrawal operation at the beginning of the month, but the capital market remained loose, and the inter - bank capital cost declined across the board [1]. - Although the bond issuance pressure has increased, the market's expectation of liquidity remains optimistic. Overall, the macro - environment has strong uncertainty and limited trend drivers. The bond market remains at a high level, but there is still high - valuation pressure, and attention should be paid to the performance of the equity market [1]. Gold and Silver - The suspension period of US reciprocal tariffs is about to end, and short - term policy uncertainty has increased again. However, there are more signals of strong US economic resilience, which is conducive to restoring market risk appetite. The short - term probability of a Fed rate cut has decreased, and the factors favorable to the gold price in the long - term need further fermentation [1]. - In the short term, the driving force for the gold price to break through upwards is insufficient, and it will continue to oscillate at a high level in July. The gold - silver ratio is high, and there is a possibility of repair. The silver price has strong technical support below after the breakthrough. It is recommended to hold the sold out - of - the - money put option positions of the gold and silver 08 contracts until expiration [4]. Non - ferrous Metals Copper - Last week, Shanghai copper was strong in the first half of the week and fell back in the second half, returning below 80,000 yuan. The US is in trade negotiations with many countries, and there is still high uncertainty. The supply at the mine end remains tight, and attention should be paid to the development of the Peruvian copper mine incident [3][4]. - The demand remains cautiously expected, and the off - season and high prices have restricted the downstream to a certain extent. The inventories of domestic and overseas exchanges have increased across the board, and the LME spot premium has significantly declined. The financial attribute still supports the copper price in the medium - to long - term, and the low - inventory pattern is expected to remain unchanged before the copper tariff is implemented. However, the short - term positive factors may weaken [4]. Aluminum and Alumina - The US trade negotiation uncertainty remains high. The concern about ore disturbances in alumina has not subsided, but the domestic bauxite inventory is still high, and the short - term supply shortage concern is limited. The alumina production capacity is expanding rapidly, and the downstream demand has little room for growth, so the surplus pattern is difficult to change [3][4]. - For Shanghai aluminum, the supply constraint is still clear, and the import profit remains inverted. The demand is still cautious due to the off - season, and the inventory shows signs of accumulation. Overall, the alumina surplus pattern is difficult to change, and the price is under pressure. The medium - term upward trend of Shanghai aluminum remains unchanged, but the short - term demand and inventory have certain drags, and the influence of tariffs has increased [4]. Nickel - The supply of Philippine nickel ore has recovered seasonally, the port inventory has increased significantly, and the nickel ore price has weakened marginally. The supply of nickel iron is abundant, but the downstream acceptance is limited, and the price is under pressure [4]. - The production capacity of intermediate products is still expanding. The refined nickel production decreased in June, but the inventory remained oscillating at a high level. Overall, the demand is weak, the nickel supply has increased seasonally, and the surplus pattern is clear. As the macro - sentiment fades, the nickel price is under pressure. It is recommended to adopt the strategy of selling call options [4]. Energy and Chemicals Lithium Carbonate - The lithium ore price has stabilized, which has increased the cost support. However, the surplus pattern of the lithium salt market has not been substantially improved. The weekly output of lithium carbonate remains at a relatively high level of over 18,000 tons, while the downstream demand has insufficient growth, and the inventory is still in the accumulation cycle [6]. - The current periodical rebound can be used to short at high prices [6]. Industrial Silicon - The number of open furnaces in the industrial silicon market has increased this week. Some manufacturers in the southwest region have resumed production due to the implementation of the wet - season subsidy electricity price, and the market supply has increased [6]. - Since the warehouse receipts are still being depleted, the near - month contracts are strongly supported. Attention should be paid to the implementation of anti - involution production cuts on the supply side [6]. Steel and Ore Rebar - The spot price of rebar was stable to slightly lower over the weekend, and the spot trading was generally weak. The "anti - involution" concept has boosted market expectations, but the improvement at the spot level is limited. The speculative demand has recovered, but the rigid demand has weakened seasonally, and the marginal inventory reduction speed of rebar has gradually slowed down [6]. - It is expected that the rebar futures price has strong bottom support but is subject to double pressure from the electric - furnace cost and the sustainability of spot price increases. It is recommended to continue holding the sold out - of - the - money put option positions (RB2510P2900) [6]. Hot - Rolled Coil - The spot price of hot - rolled coil was generally stable over the weekend, with slight declines in some areas, and the spot trading was generally weak. The "anti - involution" concept has boosted market expectations, but the follow - up power at the spot level is insufficient. The supply and demand of hot - rolled coils are both strong, and the inventory has increased [6]. - It is expected that the hot - rolled coil futures price has strong bottom support but is subject to pressure from export costs and the sustainability of spot price increases during the off - season. It is recommended to temporarily wait and see on the single - side and consider participating in the arbitrage strategy of compressing profits for the 01 contract [6]. Iron Ore - Last week, the daily output of molten iron in the Steel Union sample decreased but remained above 2.4 million tons. Under the background of high molten iron output and low steel mill raw material inventory, the supply - demand contradiction of imported ore in July is limited [6]. - The "anti - involution" concept has boosted market expectations, and the steel futures and spot prices have risen in resonance. It is expected that the iron ore price will continue to oscillate strongly. It is recommended to continue holding the sold out - of - the money put option I2509 - P680 and consider participating in the 9 - 1 positive spread when the spread is low [6]. Coal and Coke Coking Coal - The raw coal inventory in coal mines has continued to decline, the pit - mouth transaction atmosphere has improved, and the enthusiasm of steel, coke enterprises, and trading links for raw material procurement and inventory has increased. The transaction rate has reached a new high for the year, and the short - term supply - demand mismatch has pushed up the coal price [8]. - It is recommended to continue holding the long - position strategy and pay attention to the coal mine production increase progress after the safety production month and the sustainability of downstream procurement [8]. Coke - Hebei steel mills may have production restrictions, but the daily output of molten iron is at a relatively high seasonal level, which supports the rigid demand for coke. The actual demand performance is good, while the coke oven operation is restricted by profit factors and is difficult to significantly increase production. Coke plants are actively reducing inventory, and there is an expectation of price increases in the spot market [8]. Soda Ash and Glass Soda Ash - The fundamentals of soda ash are clear. The daily output of soda ash remained unchanged at 99,300 tons on Friday, and Kunshan and Qinghai Fatou will resume production one after another this week. The demand for light soda ash is difficult to offset the reduction in heavy soda ash demand [8]. - The supply of soda ash is relatively loose, and the continuous passive inventory accumulation trend of alkali plants remains unchanged. In the short term, the soda ash price oscillates at a low level, and the near - month contracts are weaker than the far - month contracts due to the selling - hedging pressure. It is recommended to hold the short positions of the soda ash 09 contract with a stop - profit line and patiently hold the strategy of going long on glass 01 and short on soda ash 01 [8]. Float Glass - The operating capacity of float glass is temporarily stable, and the demand is difficult to digest both the supply and the existing inventory at the same time. The glass factory inventory fluctuates slightly, and it is difficult to reduce the high inventory [8]. - The "anti - involution" concept has promoted the recovery of market expectations, but the short - term implementation probability is low, and the cold - repair drive of glass factories is still accumulating. It is recommended to pay attention to the opportunity of going long on the 01 contract at low prices after the basis widens and continue to hold the arbitrage strategy of going long on glass 01 and short on soda ash 01 [8]. Crude Oil - OPEC+ has decided to increase production by 548,000 barrels per day in August, and the US "Big and Beautiful" Act has been passed by both houses of Congress, which may increase US crude oil production. The EIA weekly data shows an unexpected inventory accumulation, which is generally bearish [8]. - Overall, the OPEC+ production increase decision may increase the supply pressure, and the short - term oil price will oscillate weakly [8]. PTA - The cost - end crude oil OPEC+ continues to significantly increase production, and the oil price is expected to move down, providing weak support for energy - chemical products. In addition, the PTA supply side will face the pressure of new production capacity and the resumption of existing maintenance capacity in the third quarter, and the inventory - reduction pattern will turn into inventory accumulation [11]. - It is expected that the price will show an oscillating downward trend [11]. Methanol - Most Iranian methanol plants have restarted, but the operating load is low. The operating rate of overseas methanol plants has increased by 11% to 64%. Many plants in the northwest started maintenance last week, and the output will decrease by about 5% in the next month, and the factory inventory will also decrease passively [10]. - The monthly arrival volume has decreased more than expected, and the weekly volume is expected to not exceed 300,000 tons. Although the downstream demand has entered the off - season, the total demand has not changed significantly. Therefore, the supply will be tight in July, and the methanol price is supported. It is recommended to sell out - of - the - money put options or at - the - money straddles for the 08 options contract [10]. Polyolefins - OPEC+ is accelerating production increases, with an increase of 548,000 barrels per day starting in August and considering another increase of 548,000 barrels per day in September. The crude oil supply is increasingly surplus, and the price will continue to decline [10]. - In the second quarter, new polyolefin plants were successfully put into operation. In the second half of the year, PE will have 3.1 million tons of new production capacity, and PP will have 2.1 million tons of new production capacity, resulting in large supply pressure. It is recommended to go long on the L - PP spread and short on PP 3MA [10]. Cotton - The domestic cotton output in the 2025/26 season is expected to be 6.784 million tons, a slight year - on - year decrease, and the expectation of tight supply and demand in the current season has strengthened. The third quarter is the critical growth period of cotton, and any adverse weather conditions may cause final yield losses and push up the weather premium [10]. - The downstream textile enterprises are performing well, the terminal clothing consumption has remained basically unchanged year - on - year, and the commercial inventory has continued to decline. It is recommended to continue holding the previous long positions [10]. Rubber - The rubber tapping operations in domestic and Southeast Asian main producing areas have progressed smoothly, the impact of climate factors has weakened, and the expected seasonal increase in raw material supply has been realized. The downstream tire enterprises have difficulty in depleting finished - product inventory, which has dragged down the production line operation rate [10]. - The inventory at the port is accelerating accumulation, indicating an increase in supply and a decrease in demand in the fundamentals. The rubber price is likely to continue the weak - oscillation pattern, and it is recommended to hold the strategy of selling call options [10].

Report Industry Investment Rating - Not provided in the document Core Viewpoints - The expiration of the 90 - day US tariff exemption this week brings uncertainty. The impact of tariff policies on the market remains uncertain, and it's necessary to guard against the negative emotional impact of Trump's extreme pressure. The domestic economy is entering a seasonal recovery window, and the market expects positive signals from the Politburo meeting at the end of July [4]. - In the medium - term, real estate sales are seasonally rising at a low level, the service industry is structurally differentiated and seasonally warming up in summer. Consumption is boosted by fiscal subsidies, and the manufacturing's rush - to - export is ending, with a possible decline in the third quarter. Domestic anti - involution policies may reverse the commodity supply - demand balance and lead to a rebound in prices [4]. - Domestically, liquidity is generally loose, while overseas, it is marginally tightening. The US dollar index is expected to rebound from oversold levels. The domestic stock market will receive incremental funds, but the pressure of share unlocks remains [4]. - After a short - term rebound, the valuations of various indices are still at a historically neutral to high level, and the attractiveness of allocation funds is average [4]. - The stock market may rise in an oscillating manner in the third quarter. It is recommended to actively go long on stock index futures after sharp declines due to tariff policy shocks this week. In terms of style, first go long on IC and IM, then on IF and IH, or conduct an arbitrage strategy of going long on IM and short on IF [4]. Summary by Directory 1. Market Review - **Global Stock Market Performance**: Last week, US stocks led the rise, and the Hang Seng Technology Index led the decline. The performance order is Nasdaq > S&P 500 > CSI 300 > Shanghai Composite Index > FTSE Emerging Markets > German Stock Market > Nikkei 225 > STAR 50 > Hang Seng Technology [8]. - **Industry Performance**: Steel led the rise, and comprehensive finance led the decline. The order is Steel > Bank > Building Materials > Medicine... > Transportation > Comprehensive > Computer > Comprehensive Finance [12]. - **Futures Basis and Spread Changes**: The basis rates of the four major stock index futures (IH, IF, IC, and IM) changed by 0.22%, 0.3%, 0%, and - 0.05% respectively last week, with the discounts of IF and IH significantly narrowing. The inter - period spread rates (current month and next month) of the four major stock index futures changed by - 0.05%, - 0.23%, - 0.27%, and - 0.31% respectively, with the inter - period discounts of IF, IC, and IM slightly widening. The inter - period spread rates (next quarter and current month) changed by - 0.05%, - 0.31%, - 0.44%, and - 0.48% respectively, with the long - term discounts of IF, IC, and IM significantly widening [15][16]. 2. Fund Flows - **Margin Trading and Stabilizing Funds**: Last week, margin trading funds flowed in 19.71 billion yuan, reaching 1.86 trillion yuan. The proportion of margin trading balance to the circulating market value of the Shanghai and Shenzhen stock markets decreased by 0.01% to 2.26%. The scale of passive stock ETF funds was 302.83 billion yuan, an increase of 13.89 billion yuan from last week, and the share was 199.171 billion shares, with a redemption of 1.48 billion shares from last week [25]. - **Industrial Capital**: In the first week of July, equity financing was 3.67 billion yuan, with 1 company. Among them, IPO financing was 640 million yuan, private placement was 0 yuan, and convertible bond financing was 3.03 billion yuan. The scale of equity financing declined significantly. The market value of stock unlocks last week was 90.83 billion yuan, an increase of 33.28 billion yuan from the previous week, remaining at the second - highest level this year [28]. 3. Liquidity - **Money Supply**: Last week, the central bank's OMO reverse repurchase expired 202.75 billion yuan, with a reverse repurchase of 65.22 billion yuan, resulting in a net money withdrawal of 137.53 billion yuan. After the end of the quarter, the open - market operations recovered liquidity. MLF had a net injection for four consecutive months, and the overall liquidity supply was neutral [30]. - **Money Demand**: Last week, the net money demand for national debt was 19.993 billion yuan, for local debt was 4.361 billion yuan, and for other bonds was 34.787 billion yuan. The total net money demand in the bond market was 59.141 billion yuan, remaining at a high level [33]. - **Fund Price**: DR007, R001, and SHIBOR overnight rates changed by - 27.4bp, - 9.9bp, and - 5.8bp respectively, reaching 1.42%, 1.36%, and 1.31%. The issuance rate of inter - bank certificates of deposit decreased by 5.9bp, and the CD rate issued by joint - stock banks dropped by 8.1bp to 1.59%. The overall fund price was oscillating at a low level [36]. - **Term Structure**: Last week, the yield curve flattened. The central bank's liquidity recovery in the open market made the short - end stronger, and the credit spread between national debt and policy - bank bonds widened at the long - end [40]. - **Sino - US Interest Rate Spread**: As of July 4th, the US 10 - year bond rate increased by 6.0bp to 4.35%, the inflation expectation increased by 4.0bp to 2.33%, and the real interest rate increased by 2.00bp to 2.02%. The inversion of the Sino - US interest rate spread widened by 6.40bp to - 270.78bp, and the offshore RMB appreciated by 0.11% [43]. 4. Macroeconomic Fundamentals - **Real Estate Demand**: As of July 3rd, the weekly transaction area of commercial housing in 30 large - and medium - sized cities seasonally recovered to 3.329 million square meters, but was still at a low level compared to the same period in 2019. Second - hand housing sales seasonally declined to the lowest level in the past seven years. The overall real estate market sales were weak, and more incremental policies were expected [46]. - **Service Industry Activity**: As of July 4th, the subway passenger volume in 28 large - and medium - sized cities remained high, with a daily average of 83.58 million passengers, a year - on - year increase of 1.2% and a 32.5% increase compared to the same period in 2021. The service industry's economic activity seasonally recovered in summer. The Baidu Hundred - City Traffic Congestion Delay Index remained flat compared to last week, at a neutral level in the past three years [50]. - **Manufacturing Tracking**: Last week, the manufacturing capacity utilization rate declined across the board. The capacity utilization rate of steel mills decreased by 0.54%, that of asphalt increased by 0.2%, that of cement clinker enterprises decreased by 6.7%, and that of coke enterprises decreased by 0.18%. The average operating rate of the chemical industry chain related to external demand decreased by 0.45% compared to last week [52]. - **Goods Flow**: Both goods flow and passenger flow remained at relatively high levels. The number of civil aviation flights for summer tourism consumption increased strongly, while highway transportation was relatively weak, with limited growth, and there was a risk of a second seasonal decline from July to August [57]. - **Import and Export**: In terms of exports, the logic of rush - to - export after the Sino - US trade talks continued. The port cargo throughput and container throughput rebounded after a short - term decline. From July to August, it was necessary to guard against the risk of a second decline due to renewed trade frictions after the expiration of the 90 - day US tariff exemption [60]. - **Overseas Situation**: The US May non - farm payrolls report slightly exceeded expectations, but the structure implied a cooling signal. The US non - farm employment showed certain resilience, and the service industry PMI rebounded unexpectedly. The market's expectation of the Fed's interest - rate cuts in 2025 was reduced to 2 times, with a cut of about 25 - 50bp, and the probability of a rate cut in July dropped to 4.7% [62][66]. 5. Other Analyses - **Valuation**: The stock - bond risk premium last week was 3.35%, a 0.06% decrease from last week, at the 68.8% percentile. The foreign - capital risk premium index was 4.24%, a 0.21% decrease from last week, at the 24.3% percentile, indicating a low level of foreign - capital attractiveness. The valuations of the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices were at the 79.9%, 72.9%, 78.2%, and 60.3% percentiles in the past five years respectively, and the attractiveness of each index's valuation decreased marginally [69][74]. - **Quantitative Diagnosis**: According to seasonal rules, the stock market is in a seasonally oscillating and rising period with structural differentiation in July. The growth style is relatively dominant, and the cyclical style first rises and then falls. In general, the market is likely to rise in July. Pay attention to the opportunities of going long on IC and IM on pullbacks, short - term shorting on sharp rises of IF and IH, and medium - term long - term on sharp declines. This week, the market is greatly disturbed by the uncertainty of US tariff policies. If there are negative impacts, pay attention to going long on the growth style on sharp declines [77]. - **Financial Calendar**: This week's financial calendar includes China's June CPI and PPI data, and attention should be paid to whether prices have stabilized and rebounded. Overseas markets should focus on the US Treasury auctions and the progress of the Trump administration's tariff policy negotiations with other countries [79]

Domestic Market Overview - The market experienced a mixed performance with the Shanghai Composite Index closing at 3472.32 points, up by 0.32%, while the Shenzhen Component Index closed at 10508.76 points, down by 0.25% [1][3][7] - Among the 30 sectors tracked, 13 sectors saw gains, with banking, comprehensive finance, and media leading the increases, while non-ferrous metals, basic chemicals, and light manufacturing faced significant declines [1][3][7] - The total trading volume for the entire A-share market reached 145.45 billion yuan, showing an increase compared to the previous day [1][3][7] News Highlights - The Shenzhen government announced a 5 billion yuan policy to support the semiconductor and integrated circuit industry, aiming for breakthroughs across the entire industry chain [12][15][16] - The Ministry of Finance implemented measures affecting government procurement of certain medical devices imported from the EU, requiring that non-EU products cannot exceed 50% of the total contract amount for projects over 45 million yuan [12][13] - U.S. Treasury Secretary stated that trade negotiations have reached a stalemate, with significant announcements expected in the coming days [12][17][18] Market Drivers - The U.S. government plans to set new unilateral tariff rates, which may range from 10% to 70%, starting August 1 [8] - The integrated circuit industry in Shenzhen reached a scale of 142.4 billion yuan in the first half of 2025, marking a year-on-year growth of 16.9% [15][16] - Global manufacturing PMI rose to 49.5% in June, indicating a slight recovery in the global economy [20]

Report Industry Investment Rating - The rating for the stock index is "Oscillation" [4] Core View of the Report - This week, global stock markets rebounded, and market risk appetite strengthened. Chinese equity assets showed significant differentiation, with A-shares performing better than Hong Kong stocks. The logic for Hong Kong stocks is that the HIBOR rate has the potential to rise, suppressing market performance. A-shares have chosen a new theme, anti-involution. Affected by the information from the Central Financial and Economic Commission meeting, sectors such as steel and coal in A-shares staged a "capacity reduction" market, with stock prices rising from low levels. The sustainability of the subsequent market remains to be verified. In July, the core variable determining whether the stock market can continue to rise is the disturbance factor of overseas reciprocal tariffs [2][10] Summary According to the Directory 1. One-week View and Overview of Macro Key Events - **Next Week's View**: The high-level oscillation will continue. Chinese equity assets are differentiated, with A-shares outperforming Hong Kong stocks. A-shares focus on the anti-involution theme, and the sustainability of the market depends on overseas reciprocal tariffs [10] - **This Week's Key Events**: - **June 30**: China's manufacturing PMI in June was 49.7%, and the three major indices all rebounded. Shanghai's 500 million yuan consumption vouchers were distributed, and the TOP100 real estate enterprises' sales in June decreased by 18.5% year-on-year [11][12][13] - **July 1**: The Central Financial and Economic Commission meeting emphasized governance of low-price disorderly competition and promotion of marine economic development. From January to May, the added value of above-scale electronic information manufacturing increased by 11.1% year-on-year [14][16] - **July 2**: Sichuan Province issued a detailed plan to boost consumption. From January to May, the profits of above-scale Internet and related service enterprises decreased by 2.2% year-on-year. The possibility of a stablecoin pegged to the offshore RMB in Hong Kong was proposed. The 80 billion yuan "two major" project list for this year was fully issued [17][18][20] - **July 3**: The volume of electric bicycle trade-ins reached 6.1 times that of 2024. The Shanghai Stock Exchange held a promotion meeting for the "1+6" policy of the Science and Technology Innovation Board [21][22] - **July 4**: The Ministry of Housing and Urban-Rural Development called for greater efforts to stabilize the real estate market. The domestic high temperature drove up the electricity load, setting a new record [24][25] 2. One-week Market Quote Overview - **Global Stock Market Weekly Overview**: From June 30 to July 4, global stock markets denominated in US dollars rose. The MSCI Global Index rose 1.2%, with frontier markets (+1.55%) > developed markets (+1.31%) > emerging markets (+0.25%). The Brazilian stock market led the world with a 4.40% increase, while the Swedish stock market had the worst performance, falling 1.6% [26] - **Chinese Stock Market Weekly Overview**: Chinese equity assets were differentiated, with A-shares > Chinese concept stocks > Hong Kong stocks. The average daily trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1441.7 billion yuan, a decrease of 45.3 billion yuan from last week. The micro-cap stock index rose 1.89%, performing the best, while the North Exchange 50 Index fell 1.71%, underperforming the market [29] - **Weekly Overview of GICS Primary Industries in Chinese and Foreign Stock Markets**: Most global GICS primary industries rose this week, with materials leading the way (+2.75%), and telecommunications services performing poorly (-0.40%). In the Chinese market, healthcare led the rise (+3.48%), and information technology underperformed the market (+0.05%) [32] - **Weekly Overview of China A-share CITIC Primary Industries**: Among China A-share CITIC primary industries, 25 rose (29 last week) and 5 fell (1 last week). The steel industry led the rise (+5.27%), and the comprehensive finance industry had the largest decline (-4.45%) [34] - **Weekly Overview of China A-share Styles**: The large-cap value style was dominant. This week, the value style outperformed the growth style, and the market capitalization style was biased towards large-cap [38][39] - **Overview of Stock Index Futures Basis**: Included information on the basis of IH, IF, IC, and IM in the past 6 months [42][45] 3. Overview of Index Valuation and Earnings Forecast - **Broad-based Index Valuation**: Provided PE and PB data for various broad-based indices this week, at the beginning of the year, and their changes, as well as the eight-year percentile [46] - **Primary Industry Valuation**: Presented PE and PB data for various primary industries this week, at the beginning of the year, and their changes, as well as the eight-year percentile [47] - **Broad-based Index Equity Risk Premium**: The ERP of the Shanghai and Shenzhen 300, CSI 500, and CSI 1000 decreased slightly this week [48][53] - **Broad-based Index Consensus Earnings Growth Rate**: The expected earnings growth rate of the Shanghai and Shenzhen 300 in 2025 was adjusted down to 7.92%, and in 2026 it was adjusted up to 8.08%. For the CSI 500, the 2025 expected earnings growth rate was adjusted down to 32.00%, and the 2026 rate remained flat at 15.37%. For the CSI 1000, the 2025 expected earnings growth rate was adjusted down to 41.87%, and in 2026 it was adjusted up to 17.02% [54] 4. Liquidity and Capital Flow Tracking - **Interest Rates and Exchange Rates**: This week, the 10Y and 1Y rates decreased, and the spread widened. The US dollar index was 96, and the offshore RMB was 7.16 [65] - **Trading Capital Tracking**: This week, the average daily trading volume of northbound funds decreased by 1.14 billion yuan compared with last week, and the margin trading balance increased by 1.99 billion yuan [63] - **Capital Flow Tracking through ETFs**: There were 29 on-exchange ETFs tracking the Shanghai and Shenzhen 300, 27 tracking the CSI 500, 15 tracking the CSI 1000, and 38 tracking the CSI A500. This week, the shares of ETFs tracking the Shanghai and Shenzhen 300 decreased by 2.5 billion, those tracking the CSI 500 decreased by 0.5 billion, those tracking the CSI 1000 decreased by 1.2 billion, and those tracking the CSI A500 decreased by 13.9 billion [68][72] 5. Tracking of Domestic High-frequency Macro Data - **Supply Side**: The tire operating rate decreased [75] - **Consumption Side**: The transaction volume of first-hand houses was weaker than the seasonal level [84] - **Inflation Observation**: The prices of production materials rebounded from a low level, and agricultural product prices flattened at a low level [96][97]

Quantitative Models and Construction Methods Model Name: Wind All A Index Timing System - **Model Construction Idea**: The model aims to distinguish the overall market environment by analyzing the distance between long-term and short-term moving averages of the Wind All A Index[1][10][16] - **Model Construction Process**: - Define the long-term moving average (120-day) and short-term moving average (20-day) of the Wind All A Index[1][10] - Calculate the distance between the two moving averages: $$ \text{Distance} = \frac{\text{Short-term MA} - \text{Long-term MA}}{\text{Long-term MA}} $$ where the short-term MA is the 20-day moving average and the long-term MA is the 120-day moving average[1][10] - Monitor the distance value to determine market conditions. If the distance exceeds 3%, it signals a change from a volatile to an upward trend[1][10][16] - **Model Evaluation**: The model is effective in identifying market trends and providing signals for adjusting positions[1][10][16] Model Name: Industry Allocation Model - **Model Construction Idea**: The model recommends industry sectors based on medium-term perspectives and current market trends[2][4][11] - **Model Construction Process**: - Analyze the performance and trends of various industry sectors[2][4][11] - Identify sectors with potential for reversal or growth, such as distressed reversal sectors, innovative drugs in Hong Kong stocks, and photovoltaic sectors benefiting from anti-involution[2][4][11] - Use the TWO BETA model to recommend technology sectors, focusing on military and communication industries[2][4][11] - **Model Evaluation**: The model provides targeted industry recommendations based on current market conditions and trends[2][4][11] Model Name: Position Management Model - **Model Construction Idea**: The model manages stock positions based on valuation indicators and short-term market trends[3][12] - **Model Construction Process**: - Evaluate the overall PE and PB ratios of the Wind All A Index[3][12] - Determine the stock position based on the valuation levels and short-term market trends. For example, with the Wind All A Index at a medium PE level (70th percentile) and a low PB level (30th percentile), the recommended position is 60%[3][12] - **Model Evaluation**: The model helps in managing stock positions effectively by considering valuation levels and market trends[3][12] Model Backtest Results Wind All A Index Timing System - **Distance between Moving Averages**: 2.52%[1][10][16] Industry Allocation Model - **Recommended Sectors**: Distressed reversal sectors, innovative drugs in Hong Kong stocks, photovoltaic sectors, technology sectors (military and communication), A-share banks, and gold stocks[2][4][11] Position Management Model - **Recommended Position**: 60%[3][12]

- The report discusses the market performance of various indices, including the Shanghai Stock Exchange 50 Index, which performed well with a rise of 0.58%[6] - The report highlights the performance of sector indices, noting that the banking, comprehensive finance, media, steel, and pharmaceutical industries performed well, with returns of 1.85%, 1.13%, 0.72%, 0.52%, and 0.41%, respectively[7] - The report provides data on market sentiment, including the number of stocks that hit their daily limit up and down, with 41 stocks hitting the limit up and 13 stocks hitting the limit down at the close of trading[12] - The report includes information on the financing and securities lending balance, which stood at 18,591 billion yuan as of July 3, 2025, with a financing balance of 18,464 billion yuan and a securities lending balance of 127 billion yuan[16] - The report discusses the premium and discount rates of ETFs, noting that the innovative drug ETF Huatai Bairui had the highest premium at 0.92%, while the Kechuang New Materials ETF Huatai Bairui had the highest discount at 0.74%[20] - The report provides data on block trading, noting that the average daily transaction amount over the past six months was 1.2 billion yuan, with the transaction amount on July 3, 2025, being 1.8 billion yuan and the average discount rate over the past six months being 5.75%[23] - The report discusses the annualized discount rates of stock index futures, noting that the annualized discount rates of the main contracts of the Shanghai Stock Exchange 50, CSI 300, CSI 500, and CSI 1000 stock index futures were 3.86%, 5.27%, 15.75%, and 14.40%, respectively, on July 4, 2025[25] - The report provides data on institutional attention and the Dragon and Tiger list, noting that the stocks with the highest net inflows from institutional seats were Shenzhou Cells, Xice Testing, Longyang Electronics, Guangsheng Tang, Nanling Technology, Rejing Biology, Desheng Technology, Yihong New Materials, Xuedilong, and Canning Power[27][30][33] - The report includes data on the net inflows and outflows of stocks from the Shanghai-Hong Kong Stock Connect, noting that the stocks with the highest net inflows were Beijing New Pharmaceuticals, Hengbao Shares, Bomin Electronics, Longyang Electronics, Guangsheng Tang, and Shenzhou Cells[34]