广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@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指数涨6.47%，创业板指涨1.96%，大盘价值跌0.34%，大盘成长涨2.48%，上证50涨1.07%，国证2000代表的小盘跌1.27%，电力设 备、有色金属表现靠前，社会服务、综合表现靠后。 广发证券资深金工分析师 张钰东 SAC: S0260522070006 zhangyudong@gf.com.cn | 日 期 | 指数代码 | 指数名称 | | --- | --- | --- | | 20250926 | 950125.CSI | 上证科创板半导体材料设备主题指数 | | 20250926 | 931865.CSI | 中证半导体产业指数 | | 20250926 | 931743.CSI | 中证半导体材料设备主题指数 | | 20250926 | 000685.SH | 上证科创板芯片指数 | | 20250926 | 000682.SH | 上证科创板新一代信息技术指数 | 一、市场涨跌 风险溢价，中证全指静态PE的倒数E ...

Core Viewpoint - The articles present a comprehensive collection of trading strategies and research reports focused on index futures and options, emphasizing quantitative methods and market timing techniques [2][3]. Group 1: Index Futures Trading Strategies - The series includes various strategies such as noise trend trading based on chaos theory, trend-following strategies using polynomial fitting, and day trading systems based on intraday volatility extremes [2]. - Additional strategies cover genetic programming methods for intelligent trading, statistical language models for timing trades, and deep learning approaches for intraday trading [2][3]. - The reports also explore cross-variety arbitrage strategies and high-frequency trading techniques, indicating a focus on both theoretical and practical applications in the futures market [3]. Group 2: Derivatives and Options Strategies - The derivatives series provides foundational knowledge on options, including dynamic hedging strategies and volatility arbitrage [3]. - It discusses the impact of options on the underlying assets and market dynamics, highlighting the importance of options in institutional investment strategies [3]. - The reports also analyze the development of global individual stock options markets and their implications for market participants [3].

Group 1 - The article presents a series of reports focused on asset allocation strategies under various economic conditions, emphasizing the importance of macroeconomic factors in investment decisions [2][3] - It outlines multiple thematic reports, including those on industry rotation strategies, risk premium perspectives, and macroeconomic indicators, which are crucial for optimizing asset allocation [2][3] - The reports cover a wide range of topics, such as the impact of economic cycles on asset pricing, the effectiveness of Smart Beta strategies, and the analysis of historical patterns in interest rate cycles [2][3] Group 2 - The article highlights the significance of industry rotation strategies, detailing methods for selecting industries based on economic cycles, valuation reversals, and price momentum [3] - It discusses the application of quantitative models in industry configuration, focusing on factors like profitability and momentum as key determinants for successful industry selection [3] - The reports also explore the relationship between macroeconomic trends and industry performance, providing insights into how to capitalize on cyclical opportunities within various sectors [3]

研究报告合集下载链接（下载密码欢迎联系团队成员或对口销售）： https://pan.baidu.com/s/1d2oPPwOo4jMsF-kYQ5XpMg 基金系列专题报告 《系列一：基金研究框架构建之权益基金篇》 《系列二：基金研究框架构建之指数及增强基篇》 《系列三：跨境投资利器：QDII 基金深度解析》 《系列四：基金研究框架构建之债券基金篇》 《系列五：影响指数基金规模的因素分析》 《系列六：主动管理型股票基金超额收益影响因素析》 《系列七：主动型股票基金风格的定量研究与组合建》 《系列八：基于因子的主动股票型基金优选策略》 《系列九：国内 ETF 产品梳理及投资总览》 《系列十：精准配置工具：债券指数基金解析》 《系列十一：风险收益平衡：可转债基金深度解析》 《系列十二：基金经理分析框架及稳定风格基金经理优选》 《系列十三：行业主题投资工具：主动型及被动型行业主题基金深度解析》 《系列十四：从风格调整后超额收益出发，多维度刻画权益型基金选股能力》 《系列十五：主动型债券基金的配置工具价值及收益延续性分析》 《系列十六：从基金长线重仓股中看基金选股能力》 《系列十七：基于行业配置稳定性及选股能力的基 ...

研究报告合集下载链接（下载密码欢迎联系团队成员或对口销售）： https://pan.baidu.com/s/1d2oPPwOo4jMsF-kYQ5XpMg AI量化系列专题报告 | 《系列一：深度学习之股指期货日内交易策略》 | | --- | | 《系列二：深度学习算法掘金 Alpha 因子》 | | 《系列三：深度学习新进展，Alpha 因子的再挖掘》 | | 《系列四：趋势策略的深度学习增强》 | | 《系列五：风险中性的深度学习选股策略》 | | 《系列六：深度学习在指数增强策略上的应用》 | | 《系列七：深度学习框架下的高频数据因子挖掘》 | | 《系列八：基本面因子模型的深度学习增强》 | | 《系列九：基于条件随机场的周频择时策略》 | | 《系列十：机器学习多因子动态调仓策略》 | | 《系列十一：人工智能在资产管理行业的应用和展望》 | | 《系列十二：基于涨跌模式识别的指数和行业择时策略》 | | 《系列十三：再探西蒙斯投资之道：基于隐马尔科夫模型的选股策略研究》 | | 《系列十四：机器学习模型在因子选股上的比较分析》 | | 《系列十五：多周期机器学习选股模型》 | | 《系列十六 ...

Core Viewpoint - The article discusses the development and capabilities of the GF Quantitative Alpha Factor Database, which supports various investment strategies through a comprehensive factor library built on extensive research and data accumulation by the GF Quantitative team [1]. Group 1: Database Overview - The GF Quantitative Alpha Factor Database is established on MySQL 8.0 and encompasses over a decade of research experience, integrating fundamental factors, Level-1 and Level-2 high-frequency factors, machine learning factors, and alternative data factors [1]. - The database supports strategies such as long-short strategies, index enhancement, ETF rotation, asset allocation, and derivatives [1]. - The GF Quantitative team possesses a data storage capacity of over 100TB and high-performance CPU/GPU computing servers, collaborating with reliable data providers like Wind, Tianruan, and Tonglian for efficient factor development and dynamic updates [1]. Group 2: Factor Types and Performance - The article lists various factors categorized by type, including deep learning factors, trading volume factors, and market order ratios, each with specific definitions and performance metrics [3]. - For instance, the "agr_dailyquote" factor has a historical average of 14.22% and a historical win rate of 91.97% [3]. - The "bigbuy" factor shows a historical average of 7.85% with a win rate of 66.74% [3]. Group 3: Research Reports - A series of research reports are available for download, covering topics such as style factor-driven quantitative stock selection, industry selection, and macroeconomic observations related to Alpha factor trends [4][5]. - The reports include analyses on the application of factors in the CSI 300 index and various strategies for capturing industry alpha drivers [4].

Market Performance - The Sci-Tech 50 Index increased by 1.84% and the ChiNext Index rose by 2.34% over the last five trading days, while the large-cap value index fell by 3.23% [1] - The large-cap growth index gained 1.95%, and the Shanghai 50 Index decreased by 1.98%, with the small-cap index represented by the CSI 2000 showing a slight increase of 0.03% [1] Risk Premium Analysis - The static PE of the CSI All Index minus the yield of 10-year government bonds indicates a risk premium, which reached 4.17% on April 26, 2022, and 4.08% on October 28, 2022, suggesting a market rebound [1] - As of January 19, 2024, the risk premium indicator was at 4.11%, marking the fifth occurrence since 2016 of exceeding 4% [1] Valuation Levels - As of September 19, 2025, the CSI All Index's PE TTM percentile was at 77%, while the Shanghai 50 and CSI 300 were at 69% and 68%, respectively [2] - The ChiNext Index is close to the 50th percentile, indicating a relative valuation at historical median levels [2] Long-term Market Trends - The Shenzhen 100 Index has experienced bear markets every three years, with declines ranging from 40% to 45%, suggesting a potential upward cycle following the current adjustment that began in Q1 2021 [2] Investment Themes - The latest investment themes focus on communication, 5G, cloud computing, digital economy, and artificial intelligence, with specific indices such as the CSI Communication Equipment Index and CSI 5G Industry 50 Index highlighted [2][3] Fund Flow and Trading Activity - Over the last five trading days, ETF inflows totaled 26.5 billion yuan, and margin trading increased by approximately 62.1 billion yuan, with an average daily trading volume of 2.49 trillion yuan [2]

Market Performance - The Sci-Tech 50 Index increased by 5.48% over the last five trading days, while the ChiNext Index rose by 2.10%. In contrast, the large-cap value index fell by 0.22%, and the large-cap growth index increased by 2.16% [1] - The performance of sectors showed that electronics and real estate were leading, while comprehensive and banking sectors lagged behind [1] Risk Premium Analysis - 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, has reached historical extremes. As of October 28, 2022, it was at 4.08%, indicating a market rebound. The latest reading on January 19, 2024, was 4.11%, marking the fifth time since 2016 it exceeded 4% [1] - As of September 12, 2025, the risk premium indicator was at 2.87%, with the two-standard deviation boundary set at 4.76% [1] Valuation Levels - As of September 12, 2025, the CSI All Share Index's TTM PE was at the 78th percentile, while the SSE 50 and CSI 300 were at 72% and 70%, respectively. The ChiNext Index was close to the 48th percentile, indicating a relative median valuation level historically [2] Long-term Market Trends - The Shenzhen 100 Index has historically experienced bear markets every three years, followed by bull markets. The current adjustment, which began in Q1 2021, has shown sufficient time and space for a potential upward cycle [2] Investment Themes - The latest investment themes identified include automotive, communication, artificial intelligence, and chemicals. Specific indices highlighted are the CSI 800 Automotive and Parts Index, CSI All Share Communication Equipment Index, CSI Artificial Intelligence Theme Index, and CSI Sub-segment Chemical Industry Theme Index [2][3] Fund Flow and Trading Activity - Over the last five trading days, ETF inflows totaled 11.6 billion yuan, while margin financing increased by approximately 59.1 billion yuan. The average daily trading volume across both markets was 22,948 billion yuan [2] Market Sentiment - The proportion of stocks above the 200-day moving average indicates market sentiment, with a focus on the long-term trend [12] Financing Balance - The financing balance reflects the overall market leverage and investor sentiment towards equity investments [15]

Market Performance - The Sci-Tech 50 Index decreased by 5.42% over the last five trading days, while the ChiNext Index increased by 2.35%. The large-cap value index fell by 1.25%, and the large-cap growth index rose by 1.68%. The SSE 50 Index dropped by 1.15%, and the small-cap index represented by the CSI 2000 fell by 2.41%. The power equipment and comprehensive sectors performed well, while the defense, military, and computer sectors lagged behind [1]. Risk Premium Analysis - The risk premium, calculated as the inverse of the static PE of the CSI All Share Index minus the yield of ten-year government bonds, indicates that the implied returns of equity and bond assets are at historically high levels. This metric reached 4.17% on April 26, 2022, and 4.08% on October 28, 2022, leading to a rapid market rebound. As of January 19, 2024, the indicator was at 4.11%, marking the fifth occurrence since 2016 of exceeding 4%. As of September 5, 2025, the indicator stands at 2.99%, with the two-standard-deviation boundary at 4.76% [1]. Valuation Levels - As of September 5, 2025, the CSI All Share Index's TTM PE is at the 76th percentile. The SSE 50 and CSI 300 are at 71% and 69%, respectively, while the ChiNext Index is close to 47%. The CSI 500 and CSI 1000 are at 59% and 55%, respectively, indicating that the ChiNext Index's valuation is relatively at the historical median level [2]. Long-term Market Trends - The technical analysis of the Deep 100 Index suggests a cyclical pattern of bear markets every three years, followed by bull markets. Historical declines have ranged from 40% to 45%. The current adjustment, which began in the first quarter of 2021, appears to have sufficient time and space for a potential upward cycle [2]. Fund Flow and Trading Activity - In the last five trading days, ETF inflows totaled 29.7 billion yuan, and the margin trading balance increased by approximately 35.8 billion yuan. The average daily trading volume across both markets was 25,676 billion yuan [2]. AI and Neural Network Analysis - A convolutional neural network (CNN) has been utilized to model price and volume data, mapping learned features to industry themes. The latest focus areas include communication and artificial intelligence, covering sub-indices such as communication equipment, AI industry, and 5G [8]. Indexes of Interest - The following indices are highlighted as of September 5, 2025: - CSI All Share Communication Equipment Index - CSI Artificial Intelligence Industry Index - CSI Communication Equipment Theme Index - ChiNext Artificial Intelligence Index - CSI 5G Communication Theme Index [3][9].

Core Viewpoint - The overall macro analysis indicates a bullish outlook for equity and bond assets, while industrial products are viewed negatively. Gold assets are also favored due to positive macro conditions [1][7]. Macro Analysis - Equity assets are supported by favorable macro conditions, with a positive trend and moderate valuation, indicating capital inflow [2][23]. - Bond assets are also favored on the macro level, although they show a downward trend [2][23]. - Industrial products face negative macro conditions, despite a rising price trend [2][23]. - Gold assets benefit from positive macro conditions and an upward price trend [2][23]. Technical Analysis - The latest trend indicators show upward trends for equity, industrial products, and gold, while bond prices are trending down [12][13]. - The equity risk premium (ERP) is at 52.65%, indicating a moderate valuation level for equity assets [16][17]. Asset Performance Tracking - The fixed ratio combined with macro and technical indicators yielded a return of 2.64% as of August 2025, with an annualized return of 11.96% since April 2006 [3][28]. - The volatility-controlled and risk parity combinations achieved returns of 3.50% and 0.79%, respectively, with annualized returns of 9.50% and 9.63% since April 2006 [30][29]. Summary of Indicators - The macro and technical indicators for various asset classes show a low correlation, averaging around 0.17, suggesting that both should be considered in asset evaluation [21][22]. - The total scores for asset classes indicate a bullish stance on equities and gold, while industrial products are viewed negatively [22][23].