存款搬家如何演绎 20250827 摘要 当前股市调整是牛市中的健康调整，上证指数在突破 3,700 点后需确认 新的箱体，该点位或构成强支撑，国内外环境未见显著风险，中美谈判 及元首访华预期支撑市场。 宏观和市场流动性宽松有所回摆，美联储降息交易需修正，两融融资买 入占比亦然，投资策略应从成长风格向价值风格切换，关注金九银十旺 季预期及反内卷政策受益行业。 存款搬家的本质是货币持有人结构的调整，当 M2 增速低于居民存款增 速时，存款积累增加；反之，则发生存款搬家，常见于低利率环境，资 金流向股市和资管产品。 历史上的存款搬家事件，如 07 年股改、09 年财政刺激、14-15 年货币 宽松、21 年资管新规及 23-24 年利率下行，均推动资金从银行体系流 向股市及其他投资渠道。 美国经验表明，股市上涨、利率下行及 401K 计划普及促使资金从储蓄 转向资本市场，对中国当前低利率环境下的资金流向具有借鉴意义。 Q&A 近期市场出现较大波动的原因是什么？后续市场走势如何？ 近期市场出现了自 4 月份以来最大幅度的调整，主要原因在于前期涨幅较大， 市场有整固需求。虽然有诸如中美贸易窗口期、两融降杠杆传闻、月底 ...

文 | 银行螺丝钉 （转载请注明出处） 低。其实不仅仅是白酒,其他的食品饮料也是 整体下跌的。 原因是消费的基本面比较低迷。 因此估值也比较低，要等下一轮业绩复苏。 同红利。 (2) 质量类指数 主要挑选ROE比较高的股票，并且也含有不少 消费。 质量类指数是2020-2021年牛市上涨最多的指 数之一，但也因此2021年估值过高。之后几年 质量类指数表现比较低迷。 2025年以来截止到8月中旬，质量指数整体微 涨。但背后公司盈利也增长，估值并没有提高 多少。 代表是MSCI质量、300质量、500质量。不过 质量类指数基金，数量相对稀少一些。 (3) 红利类 像红利类指数,2025年以来截止到8月中旬平 均也是上涨的，但涨幅不高。 红利这种价值风格,往往在熊市的时候更容易 发挥优势。牛市弹性小，不吸引散户的眼球。 像2019-2021年牛市,红利也上涨了一些,但 跑输市场。 红利类指数,2025年略微上涨。背后公司的盈 利也增长，所以指数估值反而降了一些。 (4) 自由现金流 自由现金流指数是2025年新出来的指数,挑选 自由现金流率比较高的股票。 从今年年初到8月中旬，自由现金流指数微 涨。但背后公司盈利 ...

文 | 银行螺丝钉 （转载请注明出处） ——丁宁） T'J·四、 M AVVI日JXノ——JIXO 当时对杠杆投资、场外配资等管控较松， 带动市场出现一波杠杆牛。 A股在几个月时间里，从5星一口气涨到1星 泡沫估值。当时中证全指，从2000多点， 最高冲到8000多点。 同时，在2015年中小盘、成长风格大涨的 时候，价值风格相对低迷，跑输市场。 不过，因为市场太疯狂，2015年下半年， A股整体腰斩下跌。估值也快速回落到4点 几星。 (4) 2016年 随着2014年推出的一篮子刺激政策逐渐落 地，A股上市公司基本面逐渐复苏。 2014-2015年上涨比较少的价值股、消费 股，逐渐发力上涨。 2016-2017年出现了一轮基本面复苏,带 来的价值股慢牛行情。红利、价值、低波 动，以及消费等行业，逐渐上涨，在2017 年底，超过2015年牛市最高位水平。 而中小盘、成长股，因为2015年涨的实在 太多，2015-2017年整体下跌。 2024年，跟2013-2014年比较相似。 · 2023-2024年,也是基本面低迷,上市公 司盈利整体下降。 ·2024年9月，随着美联储首次降息，咱们 也推出了一篮子的降息 ...

Group 1 - The overall A-share market has risen since the beginning of 2024, with growth style performing relatively strong while value style has been weaker [3][4] - From early 2024 to August 21, 2025, the CSI All Share Index saw a maximum increase of 56.98%, while the CSI 300 Value Index had a maximum increase of 45.13%, and the ChiNext Index reached a maximum increase of 82.16% [4] - The current market uptrend is similar to the period from 2013 to 2017 [6] Group 2 - Between 2012 and 2014, A-shares experienced a bear market with a maximum drawdown of 39.24% due to poor fundamentals and declining corporate profits [7] - In the second half of 2014, financial stocks such as securities and insurance surged significantly, with the Securities Industry Total Return Index rising by 206.91% from July 1 to the end of 2014 [9] - In the first half of 2015, small-cap and growth styles saw substantial gains, with the CSI All Share Index rising from over 2000 points to over 8000 points [10][11] Group 3 - The second half of 2015 saw a significant market decline, with valuations quickly dropping to around 4 stars [16] - From 2015 to the end of 2018, the A-share market experienced a maximum drawdown of 55.78%, with small-cap stocks and growth stocks facing even larger declines [20] - The period from 2016 to 2017 saw a recovery in value and consumer stocks, leading to a slow bull market [21] Group 4 - The current market phase resembles the 2015-2016 period, with stimulus policies beginning to take effect and corporate fundamentals starting to recover [35] - If corporate fundamentals continue to improve, there is potential for further market growth, similar to past economic recovery phases [36] - The current market is rated at around 4 stars, indicating it is relatively inexpensive and still offers opportunities for stock asset allocation [37][40] Group 5 - The current bull market differs from the 2014-2015 bull market in that there is stricter control over leveraged investments and the real estate sector remains in a bear market [32][33] - The main drivers of the recent market uptrend have been financial stocks, with the Securities Industry Total Return Index achieving a maximum increase of 80.43% from June 3, 2024, to the end of 2024 [28] - By 2025, small-cap and technology stocks are expected to take over as the main growth drivers, while value and consumer stocks may remain relatively subdued [29]

Core Viewpoint - The market is experiencing fluctuations, with value styles showing relative strength during these times, indicating potential investment opportunities in value-oriented stocks and funds [3][4][10]. Market Overview - The overall market slightly declined, with the CSI All Share Index down by 0.13% [1]. - Large-cap stocks saw slight gains, while small-cap stocks experienced more significant declines [2]. - The pharmaceutical sector showed overall gains, contrasting with the slight decline in consumer stocks that had previously risen [5][6]. Investment Strategies - In the current market environment, it is advised to maintain a steady position and avoid frequent trading to prevent losses [8][11]. - The recent market behavior resembles the trends observed between 2013 and 2017, suggesting that undervalued stocks across various categories will eventually have their performance phases [9][10]. Value Style Performance - Value styles, including dividend and free cash flow stocks, have seen an increase, although the overall rise has been modest this year [4][18][19]. - The A-share CSI Dividend Index showed a slight decline from the beginning of the year until August 21, while the Hong Kong dividend stocks have seen some gains, albeit limited [20][21]. Fund Performance and Strategies - The "Monthly Salary Treasure" strategy is currently undervalued, with 40% of its portfolio in value-oriented stocks [17]. - The bond portion of the "Monthly Salary Treasure" strategy is focused on medium to short-term bonds, which are currently more favorable compared to long-term bonds that have seen significant declines this year [28][30]. - The strategy includes an automatic rebalancing feature to optimize returns by adjusting the stock and bond allocations based on market movements [28][30]. Valuation Insights - A valuation table for dividend indices has been created for reference, highlighting various metrics such as earnings yield, price-to-earnings ratio, and return on equity [22][41]. - The current valuation of value styles has not improved significantly since the beginning of the year, indicating potential for future appreciation as market conditions evolve [27]. Upcoming Events - A live session is scheduled to discuss historical bull and bear market characteristics and current market stages, providing insights for investors [4].

Market Overview - The Hang Seng Index experienced a decline for four consecutive days, closing down 0.21% at 25,122.9 points, while the Hang Seng Technology Index fell 0.67% to 5,542.03 points, and the Hang Seng China Enterprises Index decreased by 0.30% to 9,006.23 points [2][3] - The total market turnover was HKD 278.2 billion, showing a decrease compared to the previous trading day, with net inflow from southbound funds amounting to HKD 18.573 billion [3] Stock Performance - Among the constituents of the Hang Seng Index, Zhongsheng Holdings surged by 8.29%, China Resources Beer rose by 6.24%, and Hansoh Pharmaceutical increased by 4.75%. Conversely, China Biologic Products fell by 6.57%, WuXi AppTec dropped by 5.16%, and BYD Electronic declined by 4.67% [4] - In the Hang Seng Technology Index, Tongcheng Travel rose by 7.43%, Horizon Robotics increased by 2.07%, and Midea Group gained 2.04%. However, SMIC saw a decline of 3.38% [4] Semiconductor Sector - Semiconductor stocks continued to decline, with Hongguang Semiconductor down 2.99%, SMIC down 3.38%, Huahong Semiconductor down 3.12%, Fudan Semiconductor down 1.83%, and Jingmen Semiconductor down 2.02% [6] - Huahong Semiconductor announced plans to acquire Shanghai Huali Microelectronics to resolve competition issues related to its IPO commitments, indicating strategic moves within the semiconductor industry [8] Company Earnings - Ping An Good Doctor reported a 136.8% year-on-year increase in net profit for the first half of 2025, with total revenue reaching RMB 2.5 billion, a 19.5% increase. The number of paying users for its financial client and enterprise client segments grew significantly [9][11] A-Share Market Insights - UBS analyst Meng Lei noted that the leverage in the A-share market is significantly lower than the mid-2015 levels, despite an increase in financing balance. The number of new investors in July was approximately 1.11 million, which is much lower than the 3.8 million in October of the previous year [12] Employment Data - The unemployment rate in Hong Kong slightly increased from 3.5% to 3.7% between April-June and May-July 2025, although the total number of employed individuals rose. The increase in unemployment is partly attributed to new graduates entering the labor market [14][15]

Group 1: Size Rotation Model - The core viewpoint indicates that A-shares experience a rotation between large-cap and small-cap stocks approximately every few years, with small-cap styles dominating in months 2, 3, 5, and 8, while large-cap styles prevail in months 1, 4, and 12 [1] - The size rotation model is tested across six dimensions: macroeconomic factors, valuation, fundamentals, capital flow, sentiment, and volume-price analysis, yielding an annualized excess return of 17.45% during the backtest period from December 2013 to September 2024 compared to benchmarks like CSI 300 and CSI 2000 Equal Weight [1] - The latest quantitative model signal as of the end of July is 0.5, suggesting a continued preference for small-cap stocks, with historical data indicating that small-cap stocks slightly outperform in August, recommending an overweight position in small-cap for that month [1] Group 2: Value-Growth Rotation Model - The core viewpoint highlights that the value-growth rotation in A-shares is frequent and exhibits certain monthly effects, with the monthly model yielding an annualized excess return of 8.8% relative to benchmarks like the National Index Growth and National Index Value Equal Weight [2] - A weekly model constructed from deep learning factors, momentum factors, and crowding factors from a pure volume-price perspective shows an annualized excess return of 7.19% [2] - The latest monthly quantitative model signal as of the end of July is -0.33, indicating a shift towards value style, with historical data suggesting that value stocks tend to outperform in August, recommending an overweight position in value stocks for that month [2]

Core Viewpoint - The article discusses the fluctuations of the Shanghai Composite Index around the 3700-point mark, highlighting its psychological significance and the differences in market conditions compared to previous years. It emphasizes that despite the index's stagnation, the total return index has shown significant growth, indicating underlying investment opportunities [3][4][5]. Group 1: Index Performance - The Shanghai Composite Index briefly surpassed 3700 points but closed at 3666.44 points, indicating a struggle to maintain this level [3][4]. - The index has shown a slight increase of 0.31% from 3655.09 points to 3666.44 points, but the total return index has increased by 13.73% from 3666.87 points to 4170.49 points, reflecting better investment performance [7][8]. - The largest ETFs tracking the Shanghai Composite Index have surpassed their values from February 2021, indicating strong performance despite the index's struggles [10]. Group 2: Changes in Index Composition - The composition of the Shanghai Composite Index has changed significantly over the past four and a half years, with 72 stocks exiting and 763 new stocks entering, resulting in a total of 2232 constituent stocks [12][15]. - The weight of the electronics sector has increased from 4.45% to 9.47%, while the food and beverage sector has seen a significant decrease from 12.41% to 5.49% [18][19]. Group 3: Sector Contributions - The banking sector has contributed significantly to the index's performance, with a weight increase from 16.04% to 18.52%, while the food and beverage sector has been a major drag on performance [18][19][31]. - The top-performing sectors include coal (178% increase), oil and petrochemicals (116% increase), and banking (78% increase), while the worst-performing sectors include social services (-73%), beauty and personal care (-50%), and food and beverage (-42%) [30][31]. Group 4: Key Stocks Impacting the Index - Key stocks such as Agricultural Bank, Industrial and Commercial Bank, and China Petroleum have significantly influenced the index's performance, contributing to a rise of 14.64% if excluded from the analysis [32][33]. - Conversely, stocks like Kweichow Moutai and China Duty Free have negatively impacted the index, suggesting a substantial influence of individual stocks on overall performance [32][33].

证券研究报告 | 金融工程报告 2025 年 08 月 17 日 当下价值/成长的赔率和胜率几何？ ——风格轮动策略周报 20250815 在《如何从赔率和胜率看成长/价值轮动》报告中，我们创新性地提出了基于 赔率和胜率的投资期望结合方式，为应对价值成长风格切换问题提供了定量模 型解决方案。后续，我们将持续在样本外进行跟踪并做定期汇报。 上周全市场成长风格组合收益 3.34%，而全市场价值风格组合收益为 1.02%。 1、赔率 在前述报告中，我们已经进行了验证，即市场风格相应的相对估值水平 是其预期赔率的关键影响因素，并且两者应该呈现出负相关。由于存在上述 线性关系，我们根据最新的估值差分位数，可推得当下成长风格的赔率估计 为 1.11，价值风格的赔率估计为 1.09。 2、胜率 在八个胜率指标中，当前有 6 个指向成长，2 个指向价值。根据映射方 案，当下成长风格的胜率为 68.88%，价值风格的胜率为 31.12%。 3、最新推荐风格：成长 根据公式，投资期望=胜率*赔率-（1-胜率）。我们计算得最新的成长风格 投资期望为 0.45，价值风格的投资期望为-0.35，因此最新一期的风格轮动模 型推荐为成长风 ...

Group 1 - The report indicates that the backtest of the predictive growth factor shows no significant excess returns before 2022, with a notable differentiation occurring in 2022, where the revenue and net profit growth group (0-15%) performed the best since then, attributed to a market style shift towards value investing due to macroeconomic pressures and declining market risk appetite [1][14]. - The report highlights the introduction of the PEG factor to optimize the investment portfolio, which measures the relationship between valuation and growth potential, suggesting that high-growth companies should have a higher PEG valuation level compared to slower-growing companies [2][21]. - The PEG (1-3) factor was found to be most effective in the revenue and net profit growth group (50%+), with the cumulative return for the revenue growth (50%+) PEG (1-3) portfolio reaching 275.45% and the net profit growth (50%+) PEG (1-3) portfolio achieving 296.87% over the period from July 1, 2014, to July 25, 2025 [3][50]. Group 2 - The report discusses the historical performance of growth and value styles in the A-share market, noting a cyclical rotation approximately every four years, with growth style underperforming since 2022 due to economic pressures and liquidity tightening [7]. - The report provides a detailed analysis of the backtest results based on revenue growth, categorizing companies into four groups based on their predicted revenue growth rates, with the 0-15% growth group showing the best performance since 2022 [9][14]. - The report also analyzes net profit growth, indicating that the net profit growth (0-15%) group similarly outperformed in the same period, reflecting a consistent trend across both revenue and net profit growth metrics [15][19]. Group 3 - The report emphasizes the importance of adjusting PEG valuation levels based on historical context and market conditions, with a recommendation that a PEG below 1.0 is considered a reasonable valuation standard [20][21]. - The backtest results for different revenue growth groups show that the 0-15% revenue growth group performed best with a PEG (0-1) range, achieving a cumulative return of 249.25% [24][27]. - The report concludes that the PEG (1-3) factor is particularly effective for high-growth companies, with significant excess returns observed in both revenue and net profit growth groups exceeding 50% [35][46].