发证券首席金工分析师 安宁宁 2026年3月23日，受到国际环境影响，A股迎来较大跌幅。沪深300跌幅3.26%，万得全A等权指数跌幅达到5.14%，小盘跌幅整体较大。 2010年以来，我们统计发现万得全A等权指数共出现47次指数单日跌幅达到5%以上的情况。进一步统计未来一段时间的收益表现，发现未来1日收益率中位数 为0.47%，未来5日收益率中位数为1.41%，未来10日收益率中位数为2.52%，未来20日收益率中位数为3.19%。且随着周期变长，胜率逐渐提高，未来20日收 益率为正的概率为68.09%。且这一现象基本在不同的宽基指数上也适用，大部分指数在单日大 跌超过5%后，未来收益率胜率在50%以上。 此外，我们统计了大跌过后不同行业的收益差异，我们将大跌当日收益率从小到大等分为5组。发现若时间窗口较短（1个交易日），则呈现出一定的动量效 应。即大跌当日跌幅越小的行业，未来表现越好。而若看未来5日、10日、20日，行业层面整体上呈现反转效应，即大跌当日跌幅越大，未来表现越好。 3月23日跌幅最大的前三个行业分别为：社会服务、美容护理、农林牧渔。跌幅最小的前三个行业分别为：煤炭、石油石化、公用事业。 风险 ...

广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 联系人：广发证券金工高级研究员 林涛 SAC: S0260124060060 gflintao@gf.com.cn 广发金工安宁宁陈原文团队 摘要 最近5个交易日，科创50指数跌4.03%，创业板指涨1.26%，大盘价值跌1.44%，大盘成长跌0.48%，上证50跌2.47%，国证2000代表的小盘跌5.45%，通信、 银行表现靠前，基础化工、有色金属表现靠后。 风险溢价，中证全指静态PE的倒数EP减去十年期国债收益率，权益与债券资产隐含收益率对比，截至2026/3/20，指标2.63%，两倍标准差边界为4.62%。 估值水平，截至2026/3/20，中证全指PETTM分位数82%，上证50与沪深300分别为70%、73%，创业板指接近63%，中证500与中证1000分别为65%、 65%，创业板指风格估值相对历史总体处于中位数水平。 使用卷积神经网络对图表化的价量数据与未来价格进行建模，并将学习的特征映射到行业主题板块中。最新配置主题为红利低波、银行、地产等，具体包 括中证红利低波动指数、中证银 ...

Market Performance - The Sci-Tech 50 Index decreased by 2.88% over the last five trading days, while the ChiNext Index increased by 2.51%. The large-cap value index rose by 0.48%, and the large-cap growth index increased by 1.38%. The Shanghai 50 Index fell by 1.20%, and the small-cap index represented by the CSI 2000 declined by 1.13%. Coal and electric equipment sectors performed well, while defense, military, oil, and petrochemical sectors lagged behind [1]. Risk Premium and Valuation Levels - As of March 13, 2026, the risk premium, measured as the inverse of the static PE of the CSI All Share Index minus the yield of 10-year government bonds, stood at 2.48%. The two-standard deviation boundary is 4.63% [1]. - The valuation level of the CSI All Share Index's TTM PE is at the 83rd percentile. The Shanghai 50 and CSI 300 indices are at 71% and 75%, respectively, while the ChiNext Index is close to 62%. The CSI 500 and CSI 1000 indices are at 68% and 67%, respectively, indicating that the ChiNext Index's valuation is relatively at the historical median level [1]. ETF Fund Flow - In the last five trading days, ETF funds experienced an outflow of 12.3 billion yuan, while margin trading increased by approximately 12 billion yuan. The average daily trading volume across both markets was 24,792 billion yuan [2]. Industry Themes and Indexes - The latest thematic allocation focuses on sectors such as electricity, power grid, and public utilities, including specific indices like the National Green Power Index, CSI Green Power Index, CSI All Share Power Public Utilities Index, CSI All Share Public Utilities Index, and CSI Power Grid Equipment Theme Index [2][3][12]. Market Sentiment and Risk Preference - The report includes observations on market sentiment based on the proportion of stocks above the 200-day long-term moving average, as well as tracking risk preferences between equity and bond assets [13][14]. Financing Balance - The report provides insights into the financing balance, indicating trends in margin trading and overall market leverage [16]. Individual Stock Performance - There is a statistical distribution of individual stock performance year-to-date based on return intervals, highlighting the performance of various stocks within the market [18]. Oversold Indices - The report notes instances of indices being oversold, which may present potential investment opportunities [20].

Core Viewpoint - The article discusses the application of OpenClaw in investment research and office automation, highlighting its capabilities in financial data integration, stock selection, document management, and report generation through various skills and automation processes [1][2][3]. Group 1: OpenClaw Applications - OpenClaw enables multi-platform deployment for investment research, including local Windows, Mac, and cloud servers, facilitating financial data access and analysis [1]. - The system automates the extraction of unstructured data from PDFs, complex data cleaning in Excel, and the generation of structured reports in Word, significantly reducing manual errors and time costs [2][7]. - OpenClaw's intelligent agent framework automates the entire process from data collection to structured output, enhancing the efficiency of investment research [3]. Group 2: Automation of Office Document Processing - The article details how OpenClaw can automate workflows involving docx, pdf, pptx, xlsx, and canvas-design skills, addressing the challenges of cross-software collaboration and data transfer [6][7]. - Each skill serves specific functions: - docx for creating and editing Word documents, enhancing collaboration [8]. - pdf for extracting and processing data from PDF files, reducing manual data entry [8]. - pptx for generating and editing PowerPoint presentations, streamlining report presentations [8]. - xlsx for managing and analyzing Excel spreadsheets, improving data accuracy [8]. - canvas-design for creating high-quality visual designs, supporting various design needs [9]. Group 3: Practical Examples - An example illustrates how OpenClaw can read a PDF financial report, summarize the content, generate visual charts, and compile everything into a Word document, showcasing its end-to-end automation capabilities [26][33]. - The process involves extracting key information from complex documents and transforming it into structured outputs, demonstrating the tool's effectiveness in handling large volumes of data [33].

Market Performance - The Sci-Tech 50 Index decreased by 4.95% over the last five trading days, while the ChiNext Index fell by 2.45%. In contrast, the large-cap value stocks rose by 1.17%, and large-cap growth stocks declined by 1.10%. The Shanghai Stock Exchange 50 Index dropped by 1.54%, whereas the small-cap index represented by the CSI 2000 increased by 3.53%. The oil and coal sectors performed well, while media and non-ferrous metals lagged behind [1]. Valuation Levels - As of March 6, 2026, the static PE of the CSI All Share Index indicates an earnings yield (EP) of 2.47% when compared to the 10-year government bond yield. The two-standard deviation boundary is at 4.64%. The CSI All Share Index's PE TTM is at the 84th percentile, with the SSE 50 and CSI 300 at 72% and 75%, respectively. The ChiNext Index is close to 58%, while the CSI 500 and CSI 1000 are at 69% and 68%, respectively. The ChiNext Index's valuation is relatively at the historical median level [1]. ETF Fund Flows - In the last five trading days, ETF inflows amounted to 5 billion yuan, while the financing balance decreased by approximately 16 billion yuan. The average daily trading volume across the two markets was 26,212 billion yuan [2]. Industry Themes - The latest thematic allocation focuses on sectors such as electricity, power grids, and public utilities. This includes specific indices like the National Green Power Index, CSI Green Power Index, CSI All Share Power Utility Index, CSI All Share Utility Index, and CSI Power Grid Equipment Theme Index [2][3]. Long-term Market Sentiment - The proportion of stocks above the 200-day moving average is being tracked to gauge market sentiment [13]. Risk Preference Tracking - The risk preference between equity and bond assets is being monitored, reflecting investor sentiment towards riskier assets [14]. Financing Balance - The financing balance data indicates trends in investor leverage and market participation [16]. Individual Stock Performance - Statistics on individual stock performance year-to-date based on return ranges are being compiled to assess market dynamics [19]. Oversold Indices - Analysis of indices that are currently oversold is being conducted to identify potential buying opportunities [20].

Group 1: Job Openings - The company is hiring for three positions: Quantitative Stock Research, Quantitative Fixed Income Research, and Fund Research, all located in Shanghai, Shenzhen, and Beijing [1][4][7] - The application deadline for all positions is April 30, 2026 [1][4][7] Group 2: Job Responsibilities - The Quantitative Stock Research role involves developing and tracking financial engineering strategy models, including factor stock selection, industry rotation, and timing strategies [1] - The Quantitative Fixed Income Research role focuses on strategy development and tracking for fixed income, such as government bonds and convertible bonds [4] - The Fund Research role is responsible for fund manager research, fund selection, and related thematic strategy research [7] Group 3: Job Requirements - All positions require a master's degree or higher in relevant fields such as mathematics, statistics, computer science, physics, or financial engineering [2][5][8] - Proficiency in at least one programming language, such as Python or Matlab, and familiarity with database languages like Oracle or SQL Server is required [2][5][8] - Candidates should have a work experience of up to five years [3][6][8] Group 4: Application Process - Interested candidates should send their resumes to specified email addresses and in PDF format [9][10] - The email subject line must follow a specific format to avoid being treated as spam [10]

Group 1: Quantitative Research Position - The company is hiring for a quantitative research position located in Shanghai, Shenzhen, and Beijing, with a resume submission deadline of April 30, 2026 [1] - Responsibilities include developing and tracking financial engineering strategy models such as factor stock selection, industry rotation, and timing strategies [1] - Candidates are required to have a master's degree or higher in relevant fields such as mathematics, statistics, computer science, physics, or financial engineering [2][3] Group 2: Fund Research Position - The company is also recruiting for a fund research position in Shanghai, Shenzhen, and Beijing, with the same resume submission deadline of April 30, 2026 [4] - Responsibilities involve conducting research on fund managers, selecting funds, and related thematic strategy research [4] - Similar to the quantitative position, candidates must hold a master's degree or higher in financial engineering or related fields [5][6] Group 3: Internship Position - An internship position is available in Shenzhen, Guangzhou, Shanghai, and Beijing, with a minimum internship duration of three months and at least three days of work per week [7] - Interns will be responsible for data processing, analysis, and assisting researchers with quantitative investment-related projects [8] - Candidates should have a master's degree or higher in relevant fields and be proficient in programming languages such as Python or Matlab [9] Group 4: Application Process - Interested candidates should submit their resumes in PDF format to specified email addresses, following a specific naming format for the email subject [10] - The company will arrange written tests and interviews for qualified candidates after the resume collection deadline [10]

Group 1 - The overall view on equity assets is neutral, with a macro perspective being bearish and a technical perspective being bullish, resulting in a total score of 0 [2][29] - The overall view on bond assets is also neutral, with a macro perspective being bearish and a technical perspective being bullish, resulting in a total score of 0 [2][29] - The overall view on gold assets is positive, with both macro and technical perspectives being bullish, resulting in a total score of 2 [2][29] - The overall view on industrial products is positive, with both macro and technical perspectives being bullish, resulting in a total score of 2 [2][29] Group 2 - The macro perspective on equity styles favors small-cap stocks, while the technical perspective also supports small-cap stocks, leading to a positive view on small-cap style [3][38] - The macro perspective on growth versus value styles favors growth stocks, and the technical perspective also supports growth stocks, resulting in a positive view on growth style [3][38] Group 3 - The macro indicators for equity assets show a bearish outlook, while for gold and industrial products, the outlook is bullish [24][26] - The technical indicators for equity assets show a bullish outlook, while for bonds, the outlook is also bullish, and for gold and industrial products, the outlook remains bullish [26][29] Group 4 - The asset allocation strategy includes equities, bonds, commodities, and cash, with fixed weightings adjusted based on macro and technical indicators [30][34] - Historical performance data indicates that the combination of fixed proportions with macro and technical indicators has yielded an annualized return of 10.18% since 2007 [32][34]

Summary of Key Points Core Viewpoint - The article provides an overview of the dividend progress of various indices and their constituent stocks, highlighting the current status of dividend implementation and the impact on futures contracts' basis rates. Group 1: Dividend Progress of Broad Indices - In the CSI 300 index, 1 stock is in the implementation stage with a total dividend of 12.51 billion [4] - In the SSE 50 index, 1 stock is also in the implementation stage with a total dividend of 12.51 billion [4] - In the CSI 500 index, 1 stock is in the implementation stage with a total dividend of 1.30 billion [4] - In the CSI 1000 index, 1 stock is in the shareholder proposal stage [4] Group 2: Dividend Progress of Industry Indices - In the pharmaceutical and biological sector, 1 stock is in the implementation stage with a total dividend of 0.66 billion, and another stock has passed the shareholder meeting [5] - In the public utilities sector, 1 stock is in the implementation stage with a total dividend of 12.51 billion [5] - In the machinery and equipment sector, 1 stock is in the implementation stage with a total dividend of 0.63 billion, and another stock is in the shareholder proposal stage [5] - In the coal sector, 1 stock is in the implementation stage with a total dividend of 1.30 billion [5] - In the oil and petrochemical sector, 1 stock is in the implementation stage with a total dividend of 0.14 billion [5] Group 3: Futures Contracts Basis Rates - The annualized basis rates for the CSI 300 index futures are -1.11% for the near month, 0.54% for the far month, 0.67% for the near quarter, and 0.79% for the far quarter [3] - The annualized basis rates for the SSE 50 index futures are -3.26% for the near month, -1.82% for the far month, -2.07% for the near quarter, and -1.65% for the far quarter [3] - The annualized basis rates for the CSI 500 index futures are 2.50% for the near month, 2.97% for the far month, 1.59% for the near quarter, and 3.28% for the far quarter [3] - The annualized basis rates for the CSI 1000 index futures are 5.71% for the near month, 6.35% for the far month, 6.70% for the near quarter, and 7.52% for the far quarter [3]

Core Viewpoint - The quantitative convertible bond portfolio has performed well in February, achieving a return of 34.84% since 2025, with an excess return of 8.15% compared to the China Securities Convertible Bond Index [1] Group 1: Portfolio and Performance - The quantitative convertible bond portfolio is generated based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [5] - In February 2026, the portfolio achieved a return of 1.01%, with an excess return of 0.23% [1] Group 2: Convertible Bond Factors - The report tracks 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors for convertible bonds, with detailed data available for subscribers [2] Group 3: Convertible Bond Index Timing - The timing strategy for the China Securities Convertible Bond Index is based on price-volume models, pricing deviations, and bond elasticity, indicating a bullish signal at the end of February with a recommended position of 2/3 [4][17]