六月首周宽基指数反弹，后市维持短期多头策略谨慎和对冲策略中性观点

策略环境监控权益市场回顾030201未来策略研判 核心观点风险提示：因子失效，模型失效，市场主流策略偏移，请投资者谨慎参考。总体情况策略概况权益市场回顾股票市场回顾期货市场回顾期权市场回顾策略环境监控日内Alpha环境交易型Alpha环境持有型Alpha环境总体来看，环境不利于持有型Alpha积累，且预计对持有型Alpha稳定性有利。股指对冲环境未来策略研判股票策略 01权益市场回顾 因子日历总览：本周权益市场窄震，整体上涨图表1.1-本周宽基指数、因子及策略收益日历总览从宽基指数来看，截至2025-06-06，本周创业板指数上涨2.32%，中证2000指数上涨2.29%，中证1000指数上涨2.10%，中证500指数上涨1.60%，科创50指数上涨1.50%，中证全指指数上涨1.47%，沪深300指数上涨0.88%。从Barra风格因子来看，截止2025-06-06，本周收益最好的3个风格因子为动量,BETA,成长，分别为0.28%,0.24%,0.19%；表现最差的3个风格因子为流动性,中盘,大小盘，分别为-0.18%,-0.25%,-0.63%。综上，从因子日历总览来看，本周权益市场窄震，整体上涨。源：Wind、通联数据、招商期货日期宽基指数沪深300中证500中证1000中证2000创业板指科创50中证全指BETA动量大小盘2025/6/30.31%0.42%0.72%0.82%0.48%0.48%0.50%-0.03%0.05%-0.36%2025/6/40.43%0.78%0.88%1.06%1.11%0.45%0.68%0.13%-0.02%-0.18%2025/6/50.23%0.54%0.72%0.59%1.17%1.04%0.39%0.33%0.14%0.20%2025/6/6-0.09%-0.14%-0.23%-0.19%-0.45%-0.48%-0.11%-0.19%0.10%-0.29%本周0.88%1.60%2.10%2.29%2.32%1.50%1.47%0.24%0.28%-0.63% 5 1.主要宽基指数回顾：本周宽基指数普升，波动率普跌，处于近三年低位：Wind、招商期货图表1.2-宽基指数净值走势图表1.3-宽基指数波动率走势从宽基指数波动率来看，截止2025-06-06，中证2000波动率为17.22%（25.66%分位），周边际下降3.62%，中证1000波动率为14.94%（20.90%分位），周边际下降2.36%，中证500波动率为11.95%（13.23%分位），周边际下降1.55%，中证全指波动率为10.79%（5.82%分位），周边际下降1.69%，沪深300波动率为9.41%（5.29%分位），周边际下降0.82%。总体而言，本周宽基指数普升，波动率普跌，处于近三年低位。0.650.750.850.951.051.151.251.3522-06-0622-08-0622-10-0622-12-0623-02-0623-04-0623-06-0623-08-0623-10-0623-12-0624-02-0624-04-0624-06-0624-08-0624-10-0624-12-0625-02-0625-04-0625-06-06中证2000沪深300中证1000中证500中证全指0.10.20.30.40.50.60.70.822-06-0622-08-0622-10-0622-12-0623-02-0623-04-0623-06-0623-08-0623-10-0623-12-0624-02中证1000中证2000中证500指数周收益率近1月收益率近3月收益率近6月收益率今年收益率近1年收益率近1年波动率近1年最大回撤中证20002.29%1.28%-1.62%9.42%10.79%24.33%15.77%19.65%中证10002.10%-0.08%-5.45%2.86%3.28%11.07%14.22%20.59%中证5001.60%-0.20%-4.19%1.26%0.63%5.37%12.31%18.61%中证全指1.47%0.57%-2.62%2.46%1.77%9.37%11.45%16.72%沪深3000.88%0.55%-1.78%0.88%-1.55%5.14%9.82%15.66% ：Wind、招商期货图表1.4-主要宽基指数MA1成交额占比分布走势图表1.5-主要宽基指数MA5成交额占比分布走势为了便于股票量化管理人和FOF管理人看到高换手和低换手各自的解释维度，我们呈现1日滚动、5日滚动和20日滚动的日均成交额占比分布走势情况。当前5个交易日滚动日均成交额来看，截至2025-06-06，中证全指口径日均成交额为1.15万亿元。中证2000成交额占比为32.90%（周边际下降1.91%），中证1000成交额占比为20.96%（周边际上升1.18%），沪深300成交额占比为18.59%（周边际上升0.32%），其他(含小微盘)成交额占比为14.17%（周边际下降0.44%），中证500成交额占比为13.38%（周边际上升0.84%）。00.511.522.533.540%10%20%30%40%50%60%70%80%90%100%22-06-0622-08-0622-10-0622-12-0623-02-0623-04-0623-06-0623-08-0623-10-0623-12-0624-02-0624-04-0624-06-0624-08-0624-10-0624-12-0625-02-0625-04-0625-06-06其他(含小微盘)中证2000中证1000中证500沪深300中证全指(万亿)（右）0%10%20%30%40%50%60%70%80%90%100%22-06-0622-08-0622-10-0622-12-0623-02-0623-04-0623-06-0623-08-0623其他(含小微盘)中证2000中证1000沪深3001.主要宽基指数回顾：短期市场活跃度周边际上升，处于中高位置 ：Wind、招商期货图表1.6-主要宽基指数MA20成交额占比分布走势当前20个交易日滚动日均成交额来看，截至2025-06-06，中证全指口径日均成交额为1.14万亿元。中证2000成交额占比为32.90%（周边际上升0.42%），中证1000成交额占比为20.23%（周边际上升0.04%），沪深300成交额占比为19.42%（周边际下降0.27%），其他(含小微盘)成交额占比为13.83%（周边际上升0.25%），中证500成交额占比为13.62%（周边际下降0.44%）。-0.500.511.522.50%10%20%30%40%50%60%70%80%90%100%22-06-0622-08-0622-10-0622-12-0623-02-0623-04-0623-06-0623-08-0623-10-0623-12-0624-02-0624-04-0624-06-0624-08-0624-10-0624-12-0625-02-0625-04-0625-06-06其他(含小微盘)中证2000中证500中证1000沪深300中证全指(万亿)（右）1.主要宽基指数回顾：中期市场活跃度周边际上升，处于中高位置 2.权益行业指数回顾：本周有80.6%的行业获得正收益，通信板块领跑：Wind、招商期货图表1.7-申万一级行业指数业绩对比截至2025-06-06，本周收益率最高的三个行业分别为通信5.27%，有色金属3.74%，电子3.60%，最低的三个行业分别为交通运输-0.54%，食品饮料-1.06%，家用电器-1.79%。指数周收益率近1月收益率近3月收益率近6月收益率今年收益率近1年收益率近1年波动率近1年最大回撤近1年夏普比近1年卡玛比通信5.27%2.90%-4.48%7.53%0.94%24.69%16.07%25.05%1.470.94有色金属3.74%2.54%0.80%6.98%12.16%1.10%12.60%23.28%0.080.05电子3.60%-2.07%-10.81%3.64%-1.02%31.41%17.17%23.03%1.751.30综合2.89%3.30%0.74%1.64%-0.31%23.15%14.05%21.95%1.581.01计算机2.79%-1.79%-13.96%2.91%4.49%30.09%18.93%25.00%1.521.15基础化工2.61%1.44%0.74%3.48%5.84%0.17%11.82%22.46%0.010.01传媒2.59%1.53%-3.78%4.34%6.72%19.54%17.09%21.37%1.090.88轻工制造2.18%3.56%1.75%1.08%3.09%0.20%12.55%26.82%0.020.01社会服务2.09%-1.00%-3.65%-1.41%1.32%5.85%15.01%21.73%0.370.26非银金融1.99%1.94%-1.51%-5.43%-5.35%21.50%14.10%26.00%1.460.79纺织服饰1.89%5.16%4.99%9.20%5.46%3.28%12.13%23.84%0.260.13美容护理1.56%3.84%11.98%8.95%12.64%1.65%17.25%28.12%0.090.06银行1.56%5.10%8.85%17.62%9.38%20.56%8.97%11.68%2.191.68电力设备1.38%-1.10%-8.50%-8.89%-5.61%0.02%15.63%24.30%0.000.00商贸零售1.29%0.41%0.09%3.88%-3.86%20.41%15.01%24.94%1.300.78建筑装饰1.25%1.50%-0.43%-3.83%-3.26%0.60%11.78%22.38%0.050.03医药生物1.13%6.29%5.50%4.31%7.81%3.27%13.22%20.33%0.240.15石油石化1.02%1.62%1.56%-3.16%-5.20%-9.45%9.68%19.59%-0.94-0.46机械设备0.93%-2.85%-8.98%9.51%7.29%17.64%14.75%19.76%1.140.85农林牧渔0.91%2.00%7.90%3.70%5.98%-7.84%12.03%27.48%-0.63-0.27房地产0.86%-1.61%-5.09%-13.45%-6.97%-10.55%15.26%29.57%-0.67-0.34建筑材料0.63%-0.59%-1.69%-2.20%0.17%-8.55%11.95%28.56%-0.69-0.29环保0.46%4.01%4.55%5.13%7.28%14.81%12.67%18.01%1.120.79国防军工0.41%-1.46%-0.49%3.70%2.31%16.33%15.79%23.84%0.990.66汽车0.17%-1.38%-4.16%12.03%8.76%25.27%12.83%18.62%1.881.30公用事业-0.13%0.48%6.14%2.57%-0.80%-0.25%8.25%14.20%-0.03-0.02钢铁-0.23%-3.16%-7.24%0.58%0.81%-1.55%11.87%22.93%-0.13-0.07煤炭-0.50%1.80%1.91%-10.12%-11.68%-22.30%11.19%27.34%-1.92-0.79交通运输-0.54%2.94%3.76%0.13%-1.25%0.90%8.93%14.63%0.100.06食品饮料-1.06%-2.62%-0.31%-1.85%-2.57%-11.01%12.38%28.19%-0.86-0.38家用电器-1.79%-1.18%-0