广发证券资深金工分析师 李豪 lhao@gf.com.cn 广发证券首席金工分析师 安宁宁 anningning@gf.com.cn 广发金工安宁宁陈原文团队 摘要 基于宏观视角及技术视角的A股市场大类资产最新观点： 权益： 宏观视角，当前整体看好权益资产；技术视角，当前权益资产趋势向上、估值适中、资金流 出；综合来看，当前看好权益资产； 债券： 宏观视角，当前整体看空债券资产；技术视角，当前债券资产趋势向上；综合来看，当前看空 债券资产； 黄金： 宏观视角，当前整体看空黄金资产；技术视角，当前黄金资产价格趋势向上；综合来看，当前 看平黄金资产； 工业品： 宏观视角，当前整体看好工业品资产；技术视角，当前工业品资产价格趋势向上；综合来 看，当前看好工业品资产。 | 大类资产 | 宏观视角 最新得分 | 技术视角 最新得分 | 最新 总得分 | 最新观点 | | --- | --- | --- | --- | --- | | 权益 | 2 | 0 | 2 | 看好 | | 债券 | -4 | 1 | -3 | 看空 | | 黄金 | -1 | 1 | O | 看平 | | 工业品 | 3 | 1 | 4 | 看 ...

广发证券资深金工分析师 张超 SAC: S0260514070002 zhangchao@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 摘要 量化转债组合1月表现良好 ： 组合基于可转债基本面因子、低频价量因子、高频价量因子三套因子体系生成，月度调仓。2025年以来组合收益33.49%，相对中证转债 指数超额收益7.92%；2026年1月组合收益6.26%，超额收益0.43%。 量化转债因子： 我们跟踪了32个转债基本面因子，80个转债低频价量因子和32个转债高频价量因子，详细数据欢迎订阅。报告以定价偏差因子为例，展示 了最新数据。 转债风险预警： 基于交易所退市及风险警示规则，以及事件法和信用打分法计算结果，报告对具有交易类强制退市风险、财务类强制退市风险、*ST风险、 ST风险、事件型信用风险、打分型信用风险的可转债进行了风险提示。 转债指数择时： 基于价量模型、定价偏差和转债弹性三个维度，对中证转债指数进行多空择时及仓位管理。其中，1月底价量模型与定价模型为看多信号， 最新观点为2/3仓位。 一、 组合及表现 量化可 ...

宽基指数成分股本年分红进度 ： 沪深300成分股当中，股东大会通过阶段1家；上证50成分股当中，股东大会通过阶段1家；中证500成分股当中，实施阶段1家；中证 1000成分股当中，股东提议阶段1家。 申万一级行业指数成分股本年分红进度 ： 医药生物成分股当中，实施阶段1家，股东大会通过阶段1家；公用事业成分股当中，股东大会通过阶段1家；机械设备成分股当中，股东提 议阶段1家，董事会预案阶段1家；煤炭成分股当中，实施阶段1家；石油石化成分股当中，实施阶段1家。 考虑分红的股指期货基差 ： 当前，考虑分红影响后，沪深300近月合约、远月合约、近季合约、远季合约的年化基差率分别是-0.25%、0.04%、0.44%、0.55%；上 证50近月合约、远月合约、近季合约、远季合约的年化基差率分别是-0.89%、-1.30%、-1.67%、-1.57%；中证500近月合约、远月合 约、近季合约、远季合约的年化基差率分别是-4.14%、-2.29%、-0.53%、1.11%；中证1000近月合约、远月合约、近季合约、远季合 约的年化基差率分别是-1.56%、1.25%、4.20%、5.11%。 一、 宽基指数成分股分红统计 ...

广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发证券资深金工分析师 张钰东 SAC: S0260522070006 zhangyudong@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2.85%，创业板指跌0.09%，大盘价值涨1.87%，大盘成长涨0.68%，上证50涨1.13%，国证2000代表的小盘跌2.76%，通信、 石油石化表现靠前，国防军工、电力设备表现靠后。 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2026/1/30，指标2.49%，两倍标准差边界为4.67%。 估值水平，截至2026/1/30，中证全指PETTM分位数84%，上证50与沪深300分别为74%、75%，创业板指接近62%，中证500与中证1000分别为69%、 67%，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。最新配置主题为石化、化工和有色等，具体包括中 证石化产业指数、中证细分 ...

Market Performance - The Sci-Tech 50 Index increased by 2.62% over the last five trading days, while the ChiNext Index decreased by 0.34%. The large-cap value index fell by 1.64%, and the large-cap growth index dropped by 1.34%. The Shanghai 50 Index declined by 1.54%, whereas the small-cap index represented by the CSI 2000 rose by 3.33%. The building materials and oil & petrochemical sectors performed well, while banks and telecommunications lagged behind [1]. Risk Premium and Valuation Levels - As of January 23, 2026, the static PE of the CSI All Share Index minus the yield of 10-year government bonds indicates a risk premium of 2.46%, with a two-standard deviation boundary at 4.68%. The valuation levels show that the CSI All Share Index's PETTM is at the 84th percentile, with the Shanghai 50 and CSI 300 at 72% and 73%, respectively. The ChiNext Index is close to 63%, while the CSI 500 and CSI 1000 are at 70% and 68%, respectively. 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 326.5 billion yuan, while the financing balance increased by approximately 6.5 billion yuan. The average daily trading volume across the two markets was 27.727 billion yuan [2]. Industry Themes and Indices - The latest thematic allocation includes sectors such as petrochemicals, chemicals, machine tools, semiconductors, and non-ferrous metals. Specific indices mentioned are the CSI Petrochemical Industry Index, CSI Sub-segment Chemical Industry Theme Index, CSI Machine Tool Index, CSI Semiconductor Materials and Equipment Theme Index, and the National Non-ferrous Metals Index [2][3]. Long-term Market Sentiment - The report includes observations on the proportion of stocks above the 200-day long-term moving average, indicating market sentiment trends [13]. Financing Balance - The report tracks the financing balance, which is a critical indicator of market liquidity and investor sentiment [16]. Individual Stock Performance - A statistical distribution of individual stocks based on their return ranges since the beginning of the year is provided, highlighting performance variations across different stocks [18]. Oversold Indices - The report notes instances of indices being oversold, which may present potential buying opportunities [20].

广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发证券联席首席金工分析师 陈原文 SAC: S0260517080003 chenyuanwen@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 （如无特别说明，本文数据均来源于wind，数据截至2026/01/23） 2025年业绩预告整体统计： 截至目前最新的统计结果显示，2025年年报业绩预告累计披露率约为13.1%，累计业绩积极率（业绩预告类型预增、略增、续盈、 扭亏为积极，下同）约为40.3%。在已披露业绩预告的717家公司中，业绩预增公司共有180家，占比25.1%；业绩略增公司共45家，占比6.3%；业绩扭亏公司 共58家，占比8.1%；业绩续盈公司共6家，占比0.8%；业绩预减、首亏、续亏、略减和不确定的公司共428家，占比59.7%。 | 业绩预告类型 | 公司数量 | 卡比 | | --- | --- | --- | | 不确定 | 5 | 0.7% | | ...

Group 1 - The core viewpoint of the article is the analysis of long-term heavy holdings by funds, identifying key stocks that are consistently held over multiple reporting periods, such as Ningde Times, Tencent Holdings, Zijin Mining, Kweichow Moutai, and Midea Group [4][5] Group 2 - In the long-term heavy holdings change, stocks like Xiaomi Group and Poly Developments have a high termination ratio in Q4 2025, while stocks like Baillie Tianheng and Zijin Mining have a low termination ratio [2][6] Group 3 - Industry-wise, the media, food and beverage, and electric equipment sectors show relatively low termination ratios for long-term holdings, indicating a positive outlook from fund managers for these sectors [3][9]

Core Viewpoint - The article emphasizes the importance of monitoring trading heat in various concepts and sectors, especially during periods of high market sentiment, to help investors avoid market peaks [3]. Group 1: Trading Heat Monitoring Indicators - Common indicators for monitoring trading heat include valuation percentiles, turnover rates, and liquidity measures, which help assess the relative position of sectors or themes [4][31]. - The Amihud illiquidity ratio measures the price impact of trading volume, indicating liquidity levels; a higher value suggests lower liquidity [6][8]. - The Pastor-Stambaugh liquidity measure assesses the likelihood of return reversals based on liquidity, with a negative coefficient indicating poorer liquidity [9][10]. - Turnover rate reflects trading activity, with higher rates indicating better liquidity [11]. - The constituent stock dispersion index measures the trend consistency within an industry, with higher values indicating a crowded trading environment [12]. - The constituent stock pair correlation index evaluates the homogeneity of stock movements within an industry, with higher averages indicating increased market crowding [13]. - The constituent stock return kurtosis index captures extreme trading behaviors, with higher kurtosis suggesting heightened market emotions [14]. - The heat index, based on principal component analysis, measures an industry's contribution to systemic market risk, with higher values indicating concentrated trading [15][16]. - The herd behavior index captures the consistency of market participants' actions, with significant negative coefficients indicating extreme market sentiment [17][18]. - The closing price-volume correlation index analyzes the relationship between price and volume, with significant negative correlations signaling potential trend reversals [19]. - The turnover ratio indicates the concentration of trading within a sector, with higher ratios suggesting increased speculative activity [20]. Group 2: Alternative Dimensions for Monitoring - The article suggests using historical comparisons of similar concepts or themes to provide insights into future performance, particularly when current themes have experienced significant gains [31]. - An example provided is the Wind Satellite Index, which had a maximum increase of 55.70% over the past 20 trading days, with a market capitalization of approximately 1.2 trillion yuan and a trading volume accounting for 3.31% of the total market [32]. - Historical analysis of similar market segments indicates an average maximum increase of 12.79% over the following 60 trading days, with an average peak trading duration of 33 days and peak trading volume accounting for 4.48% of the total market [32][34].

Market Performance - The Sci-Tech 50 Index increased by 2.58% over the last five trading days, while the ChiNext Index rose by 1.00%. In contrast, the large-cap value index fell by 2.81%, and the large-cap growth index decreased by 0.03%. The Shanghai Stock Exchange 50 Index dropped by 1.74%, whereas the small-cap index represented by the CSI 2000 gained 1.31%. The computer and electronics sectors performed well, while the defense, military, and real estate sectors lagged behind [1]. Risk Premium and Valuation Levels - As of January 16, 2026, the risk premium, measured as the inverse of the static PE of the CSI All Share Index minus the yield of ten-year government bonds, stands at 2.51%. The two standard deviation boundary is 4.68%. The valuation levels indicate that the CSI All Share Index's PETTM is at the 83rd percentile, with the Shanghai 50 and CSI 300 at 74% and 75%, respectively. The ChiNext Index is close to 63%, while the CSI 500 and CSI 1000 are at 69% and 67%, respectively. The ChiNext Index's valuation is relatively at the historical median level [1]. Fund Flow and Trading Volume - In the last five trading days, ETF funds experienced an outflow of 132.3 billion yuan, while the margin trading balance increased by approximately 97.3 billion yuan. The average daily trading volume across the two markets was 34.251 billion yuan [3]. Thematic Indexes - The latest thematic allocations include the Satellite Industry Index, Nonferrous Metals Index, Biotechnology Index, and Computer Index, among others. Specific indices mentioned are the CSI Satellite Industry Index, CSI Industrial Nonferrous Metals Theme Index, CSI Biotechnology Theme Index, CSI Big Data Industry Index, and CSI Computer Theme Index [2][4]. Market Sentiment and Risk Preference - The report includes observations on market sentiment based on the proportion of stocks above the 200-day moving average and tracks the risk preferences between equity and bond assets [13][14]. Financing Balance - The financing balance data is also included, indicating trends in margin trading activity [16]. Individual Stock Performance - Statistics on individual stock performance year-to-date based on return intervals are provided, highlighting the distribution of returns across different stocks [18]. Oversold Indices - The report notes instances of indices being oversold, which may indicate potential investment opportunities [20].

Core Viewpoint - The overall performance forecast for 2025 shows a cumulative disclosure rate of approximately 3.99% and a cumulative positive performance rate of about 40.83% among the disclosed companies [10][11]. Group 1: Overall Performance Forecast - Among the 218 companies that disclosed performance forecasts, 53 companies (24.31%) expect an increase in performance, 26 companies (11.93%) expect slight increases, 9 companies (4.13%) expect to turn losses into profits, and 1 company (0.46%) expects to maintain profitability [10]. - Conversely, 129 companies (59.17%) anticipate performance reductions, losses, or have uncertain forecasts [10]. Group 2: Performance by Sector - In the advanced manufacturing sector, the defense and military industry index has risen by 12.70%, correlating with a 26.50% growth in net profit attributable to the parent company [24]. - The machinery equipment sector shows a net profit growth of 39.63%, with an index increase of 6.06% [24]. - The pharmaceutical and medical sector has seen a significant decline, with net profit down by 36.59%, yet the index has increased by 9.85% [25]. - In the cyclical sector, upstream and midstream raw material industries have shown substantial improvement, with net profit growth exceeding 160% in construction materials, steel, and basic chemicals, although market reactions have been relatively stable [25]. - The consumer sector shows mixed results, with light industry manufacturing and agriculture experiencing net profit declines of -45.13% and -27.40%, respectively, while the automotive and home appliance sectors have seen net profit growth of 42.43% and 30.49% [25]. - The technology sector, particularly in media, has shown a significant divergence, with net profit down by 163.49% but an index increase of 24.65% [25]. - The real estate sector remains weak, with a net profit decline of 74.57%, while the banking sector has recorded a 5.98% profit growth but a 2.83% decline in the index [25]. Group 3: Performance Disclosure by Market Capitalization - The disclosure rate increases with market capitalization, with large-cap companies (over 100 billion) showing a disclosure rate of 7.95% and a positive performance rate of 64.29% [11][20]. - Mid-cap companies (500-1000 billion) have a disclosure rate of 8.70% and a positive performance rate of 56.25% [11][20]. - Small-cap companies (under 50 billion) have the lowest disclosure rate at 2.16% and a positive performance rate of 28.89% [11][20].