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. Implied volatility 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^1 $ $ dv_t = \kappa (\theta - v_t) dt + \sigma \sqrt{v_t} dW_t^2 $ Here: - \( S_t \): Asset price - \( v_t \): Variance process - \( \mu \): Drift rate of the asset price - \( \kappa \): Rate of mean reversion - \( \theta \): Long-term variance - \( \sigma \): Volatility of volatility - \( W_t^1, W_t^2 \): Two Wiener processes with correlation \( \rho \) [7]. --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Long-Short Ratio Scissor Difference - **Factor Construction Idea**: This factor is based on the number of stocks with bullish and bearish signals within an industry index. The scissor difference ratio is used to construct an industry timing strategy [15]. - **Factor Construction Process**: - Define the number of stocks with bullish signals as \( N_{bull} \) and bearish signals as \( N_{bear} \). - If \( N_{bull} = 0 \), set the bullish count to 0. Similarly, if \( N_{bear} = 0 \), set the bearish count to 0. - The scissor difference is calculated as \( N_{bull} - N_{bear} \), and the ratio is \( \frac{N_{bull} - N_{bear}}{N_{bull} + N_{bear}} \) [15]. - **Factor Evaluation**: The backtesting results show that this factor outperforms the respective industry indices in all cases, indicating excellent historical performance [15]. --- Backtesting Results of Models and Factors 1. Heston Model - **Implied Volatility Results**: - SSE 50: 13.48% (+1.11% WoW) - SSE 500: 16.97% (+0.72% WoW) - CSI 1000: 21.37% (+1.76% WoW) - CSI 300: 13.25% (-0.12% WoW) [9]. 2. Multi-Long-Short Ratio Scissor Difference - **Industry Timing Strategy Results**: - The timing model outperformed the respective industry indices in 100% of cases [15]. - **Specific Industry Examples**: - Retail Trade: Strategy Annualized Return 19.5%, Max Drawdown -43.39%, Index Annualized Return -1.49%, Max Drawdown -77.37% - Home Appliances: Strategy Annualized Return 16.27%, Max Drawdown -38.25%, Index Annualized Return 11.06%, Max Drawdown -48.96% - Comprehensive: Strategy Annualized Return 24.05%, Max Drawdown -40.81%, Index Annualized Return 0.11%, Max Drawdown -81.18% [16][18].

Group 1 - The A-share market is experiencing rapid rotation between large-cap and small-cap stocks, with a cumulative decline of 0.57% for the Shanghai Composite Index, 0.46% for the Shenzhen Component Index, and 0.88% for the ChiNext Index this week [1] - China Galaxy Securities suggests focusing on three main lines of asset allocation: high-margin assets, clear "technology narrative" in the A-share market, and consumer sectors boosted by policy [1] - The report emphasizes the importance of stable dividend returns in defensive sectors amid increased external uncertainties, and highlights the potential of technology as a long-term allocation theme [1] Group 2 - Dongwu Securities anticipates a new round of "East Rising, West Falling" trading, with a focus on technology growth styles benefiting from liquidity overflow driven by a weak dollar [2] - Recommended investment directions include robotics, artificial intelligence, AI edge devices, computing power industry chain, controllable nuclear fusion, military informationization, autonomous driving, innovative drugs, solid-state batteries, AI agents, low-altitude economy, and satellite internet [2] Group 3 - Huajin Securities indicates that the A-share market may continue a strong oscillation trend in the short term, with a focus on technology and certain consumer sectors [3] - The report highlights that new consumption may yield excess returns compared to traditional consumption, and suggests low-cost allocations in sectors like computing, robotics, military, media (AI applications), electronics (semiconductors), and communications (computing power) [3] Group 4 - CITIC Securities notes that the pricing power of core assets is gradually shifting southward, driven by a surge in A-share companies going public in Hong Kong [4] - The report suggests that the attractiveness of the Hong Kong market is improving due to better asset supply structure and quality, as well as enhanced liquidity from the return of overseas funds [4] - The trend of high-quality leading companies listing in Hong Kong may catalyze a shift in A-share market style towards core assets [4]

Group 1 - The A-share market experienced a low opening followed by upward fluctuations, with sectors such as beauty care, electronics, media, and retail performing well [1] - As of May 21, 394 listed companies announced repurchase and increase plans since Q2 2025, a growth of over 60% compared to 246 companies in Q1 [1] - The net reduction in industrial capital decreased to 5.975 billion from 6.799 billion, indicating a recovery in investor confidence [1] Group 2 - The A500 ETF (512050) is positioned to help investors easily access core A-share assets, tracking the CSI A500 Index with a balanced industry allocation and leading company selection strategy [2] - The ETF combines value and growth attributes, suggesting long-term investment potential [2]

Investment Rating - The report maintains a "Buy" rating for Alibaba Group [4] Core Views - Alibaba's e-commerce business remains robust, with AI driving accelerated growth in cloud revenue [1] - The company emphasizes shareholder returns, having repurchased $11.9 billion in shares and approved a total dividend of $4.6 billion for FY2025 [1] - The report forecasts revenue growth for FY2025 to FY2027, estimating revenues of CNY 1.10 trillion, CNY 1.19 trillion, and CNY 1.28 trillion respectively, with adjusted net profits of CNY 160.1 billion, CNY 183.2 billion, and CNY 200.9 billion [3] Financial Performance Summary - For FY2024A, Alibaba's revenue is projected at CNY 941.17 billion, with a year-over-year growth rate of 8.34% [8] - The adjusted net profit for FY2024A is expected to be CNY 79.74 billion, reflecting a year-over-year growth of 9.97% [8] - The report indicates a steady increase in EPS, projected to reach CNY 9.93 by FY2028E [8] - The company's P/E ratio is expected to decrease from 26.72 in FY2024A to 11.29 in FY2028E, indicating improved valuation over time [8] E-commerce Business Insights - The e-commerce segment, specifically Taotian Group, achieved revenue of CNY 710.77 billion in FY25Q4, a 12% increase year-over-year, exceeding market expectations [2] - The growth is attributed to increased software service fees and enhanced marketing efficiency for small and medium-sized businesses [2] - The report anticipates continued growth in the Take Rate due to improved advertising tool penetration and AI applications enhancing user experience [2] Cloud Business Insights - Cloud revenue for FY25Q4 grew by 18% year-over-year to CNY 301.27 billion, with AI-related product revenue maintaining triple-digit growth for seven consecutive quarters [3] - The report highlights a shift in the customer base from large enterprises to small and medium-sized businesses, with significant investments in AI continuing [3] - Despite increased investments leading to a slight decline in adjusted EBITA margin, the outlook for cloud revenue growth remains positive [3]

Market Overview - The A-share market showed mixed performance today, with the Shanghai Composite Index rising by 0.21% to close at 3387.57 points, while the Shenzhen Component Index increased by 0.44% to 10294.22 points. The ChiNext Index fell by 0.22% to 995.49 points, and the Growth Enterprise Market Index rose by 0.83% to 2065.39 points. Overall, there were more decliners than advancers, with 3599 stocks declining and 1615 stocks advancing across the market. The total trading volume in the Shanghai and Shenzhen markets reached 11734 billion yuan, an increase of 37.64 billion yuan compared to the previous trading day [1]. Industry Performance - Among the primary industries, coal, non-ferrous metals, electric equipment, banking, pharmaceutical biology, and transportation sectors led the gains, while beauty care, electronics, media, social services, machinery equipment, and retail sectors experienced declines [1]. - The top-performing concept sectors included gold and jewelry, selected air transport, power batteries, coal mining, central enterprise coal, lithium battery anodes, lithium iron phosphate batteries, solid-state batteries, sodium-ion batteries, complete vehicles, cobalt mines, battery recycling, new energy vehicles, germanium-gallium-antimony ink, and antibiotics [2].

图：2024年618消费数据弱于2023年 5月13日，一年一度的"618"年中大促提前开始。作为二季度重要的刺激消费事件，"618"活动中各大电商平台的促消动作和 消费数据也成为了市场关注的焦点。 所谓"618"年中大促，就像一场全民参与的"网购狂欢节"，原本是某电商平台为庆祝成立日而发起的促销活动，后来逐渐演 变成全行业参与的消费盛典。它的核心逻辑很简单：用真金白银的优惠吸引大家集中消费，既让老百姓省钱买好货，又帮商 家清库存、冲销量，最终有望让整个消费市场热起来。 今年"618"尤其特殊，因为它被放在了"提振消费年"的大背景下（2025《政府工作报告》将"提振消费"列为九大重点任务之 首）。通过这类大促活动，有望拉动工厂生产、商家卖货、物流运转，形成"消费热带动生产旺"的良性循环。比如今年多个 平台推出"国家补贴+平台优惠"叠加政策，像手机、家电等大件商品最高可能降价上千元，让原本犹豫的消费者果断下单， 这就相当于用折扣撬动了消费潜力。 活动内容上，今年的"618"或许和往年也有一些差异： （1）时间提前到5月13日启动 2024年的"618"活动正式启动于5月20日，今年进一步提前。主要可能是因为三方 ...

Investment Rating - The industry investment rating is "Overweight," indicating a positive outlook for the sector compared to the overall market performance [5][11]. Core Insights - In April 2025, the total retail sales of consumer goods increased by 5.1% year-on-year, slightly below market expectations of 5.5%. The total reached 3.7 trillion yuan, with a month-on-month decline of 0.8 percentage points [5]. - The report emphasizes the government's focus on expanding domestic demand, with policies aimed at boosting service consumption and enhancing consumer willingness [5]. - Online retail penetration continues to rise, with a year-on-year growth rate of 7.7% for the first four months of 2025, outperforming the overall retail growth by 3.0 percentage points [5]. - The service retail sector saw a year-on-year growth of 5.1%, with the government prioritizing policies to stimulate service consumption [5]. Summary by Sections Retail Sales Performance - April 2025 retail sales grew by 5.1% year-on-year, with a total of 3.7 trillion yuan. Excluding automobiles, retail sales of consumer goods increased by 5.6% [5]. - Online retail sales reached 931.7 billion yuan in April, growing by 6.12% year-on-year, with an online penetration rate of 25.1% [5]. Consumer Behavior and Policy Impact - The report highlights the effectiveness of consumption promotion policies, with significant growth in categories such as communication equipment (+19.9%) and home appliances (+38.8%) [5]. - The government has introduced measures to enhance consumer confidence, particularly in the service sector, which saw a production index increase of 6.0% year-on-year in April [5]. Investment Opportunities - The report identifies several sectors with strong growth potential, including e-commerce (Alibaba, JD.com, Meituan), department stores (DASHANG, Yonghui Supermarket), and the tourism industry (ShouLai Hotel, Jinhai Mountain) [5][6]. - The report suggests that the gold and jewelry sector will benefit from rising gold prices, with companies like LaoPu Gold and CaiBai maintaining strong growth [5][6].

摘要 26年后的今天，历史没能重演，三大指数仅有沪指收红，不过个股涨多跌少，有超3500只个股上涨。 （图片来源：东方财富APP，统计截至2025/5/19，不作投资推荐） 两市成交额超1万亿，盘面上，港口航运、地产、消费板块逆势上涨，银行、保险板块回落。 分析人士认为， 展望后市仍然保持乐观，随着资本市场基础制度改革提速，继续看好中国股市。同时贴现率下降是如今中国股市上升的重要动力，A 股指数有望进一步缓步推高。 真话白话说财经，理财不说违心话 --这是第1353 篇白话财经- - 1999年5月19日，科技股带领A股走出了牛市行情，也被称为"519行情"。 证监会发声！明天，央行即将发布 对于近期市场的震荡，机构普遍认为和 短期获利流出压力增加以及两市成交额持续缩量，没有增量资金助力导致。 不过，市场有降息预期和积极信号，有望带动A股上行。 1、明天，央行即将公布LPR最新定价。 明天央行即将公布的5月1/5年期贷款市场报价利率（LPR）也被受资金关注。 截至目前，1年期LPR为3.1%，5年期以上LPR为3.6%，LPR已连续6个月"按兵不动"。 而从2025年5月8日起，公开市场7天期逆回购操作利率由 ...

- Model Name: Diffusion Index Model; Model Construction Idea: The model is based on the observation of industry diffusion indices; Detailed Construction Process: The model tracks the weekly changes in diffusion indices for various industries, ranking them based on their performance. The formula used is $ \text{Diffusion Index} = \frac{\text{Number of Advancing Stocks}}{\text{Total Number of Stocks}} $; Model Evaluation: The model has shown varying performance over the years, with significant returns in some periods and notable drawdowns in others[6][14][27] - 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; Detailed Construction Process: The model ranks industries based on GRU factor scores, which are derived from the GRU network's analysis of trading data. The formula used is $ \text{GRU Factor Score} = \text{GRU Network Output} $; Model Evaluation: The model has achieved substantial excess returns by capturing trading information, though it has faced challenges in certain market conditions[7][14][34] Model Backtest Results - Diffusion Index Model, Average Weekly Return: 0.72%, Excess Return: 0.11%, Year-to-Date Excess Return: -2.26%[32] - GRU Factor Model, Average Weekly Return: 1.07%, Excess Return: 0.44%, Year-to-Date Excess Return: -3.71%[37] Factor Construction and Evaluation - Factor Name: GRU Industry Factor; Factor Construction Idea: The factor is constructed using GRU deep learning networks to analyze minute-level trading data; Detailed Construction Process: The factor scores are calculated based on the GRU network's output, which evaluates the trading data to rank industries. The formula used is $ \text{GRU Factor Score} = \text{GRU Network Output} $; Factor Evaluation: The factor has shown significant improvements in certain industries, indicating its effectiveness in capturing trading information[7][14][35] Factor Backtest Results - GRU Industry Factor, Top Industries: Automotive (2.84), Steel (1.85), Media (1.48), Power Equipment and New Energy (1.35), Communication (0.88), Coal (0.66)[7][14][35]

中美贸易缓和后，90天关税豁免期已催生大规模"抢出口"潮，导致美线航运运价暴涨，美西线预计涨幅或达100%。 据京报网报道，当前美线仓位接近"爆仓"状态，预订难度显著提高。数据显示，截至5月底，美西航线运价已上涨六成至一倍，美东航线运价已上 涨超三成。业内预计，6月美西线运价可能会出现翻倍增长。 当前这一火热现象为航运及出口相关板块带来投资机遇，但也对出口企业形成成本压力。 航运板块的机遇与出口链压力 广发证券研报指出，美线涨价对市场的影响主要表现在两个方面： 第一个影响是对美航运板块的投资机遇。历史来看，航运公司股价与运价相关性高，去年"红海事件"带来的涨价潮即带来航运板块的股价主升 浪。本轮供需缺口之下美线涨价预期高，可关注航运投资机会。不过，与去年全球涨价不同，本轮运价上涨集中在美线，即主要由"抢出口"带 来。 出口链行业Q1扩张加速 2025年一季度，汽车、家用电器、机械设备等出口链行业战略扩张比率显著提升。 兴业证券研报指出，2025Q1，依托经营主业实现增长的行业，出口链中分布较多。在经营收益增速大于10%的申万一级行业中，钢铁、有色金 属、电子、机械设备、家用电器、汽车、通信满足条件，而农林牧渔 ...