中银证券中银晨会聚焦

Key Insights - The "National Team" stock holdings have fluctuated significantly, increasing from approximately 1.1 trillion yuan in January 2013 to around 3.8 trillion yuan in January 2018, then declining to about 2.4 trillion yuan in November 2022, before gradually recovering to approximately 3.1 trillion yuan by March 2024 [15] - Since June 2016, the cumulative net value of the "National Team" holdings has consistently risen, outperforming the CSI 800 index and fund-heavy indices since early 2021 [2][16] - The "National Team" has shown a preference for the banking sector, which constituted 71.1% of its holdings as of March 2024, followed by non-bank financials at 7.1% [17] Holdings and Valuation - The market value of the "National Team" in the financial sector has grown from 197.15 billion yuan in Q1 2016 to 243.23 billion yuan by March 2024, while the consumer, cyclical, and machinery sectors have fluctuated between 10 billion and 27 billion yuan during the same period [3] - The "National Team" stock selection strategy involves entering the market during downturns to stabilize it, often leading to excess returns when following incremental capital inflows [5][25] Performance Analysis - The "National Team" heavy and increased stock combinations have consistently outperformed the CSI 800 index and mixed equity fund indices, with notable excess returns compared to northbound capital [4] - The model used for stock selection has demonstrated stable excess returns across the CSI 300, CSI 500, and the entire A-share market, achieving annualized excess returns of 11.6%, 17.0%, and 21.1% respectively [20] Stock Selection Factors - The report outlines a three-factor model for stock selection: Factor 1 measures the buying intensity of the "National Team," Factor 2 assesses potential market value space of individual stocks, and Factor 3 evaluates the market value ratio of "National Team" holdings [25]