证券研究报告 | 金融工程 2026 年 3 月 4 日 价值为纲，周期未尽 ——3 月大类资产配置展望 风险提示：本报告中的资产表现展望通过历史数据统计、建模和测算完成，大类 资产价格走势受到海内外等多方面因素影响，在政策或市场环境发生明显变化 时，模型存在失效的风险。 王武蕾 S1090519080001 wangwulei@cmschina.com.cn 梁雨辰 S1090523070008 liangyuchen2@cmschina.com.cn 江雨航 jiangyuhang1@cmschina.com.cn S1090525070014 王禹哲 S1090525080001 wangyuzhe@cmschina.com.cn 研究助理 董昱含 dongyuhan@cmschina.com.cn 敬请阅读末页的重要说明 专题报告 ❑ A 股展望：继续下调收益预期，风格建议超配价值。整体来看，当前 A 股整 体格局未发生明显变化，仍维持估值空间偏小，而盈利增速受经济结构性压力 难以大幅增长的情况，进一步下调未来 1 年 A 股收益预期。风格层面，当前基 本面和中短期动量对成长风格形成利空，建议配置价值 ...

证券研究报告 | 金融工程 gszqdatemark 2026 03 04 年 月 日 量化点评报告 行业主线模型：今年截止 2 月底，有色、石油石化、建材、化工、军 工、通信、传媒这 7 个行业出现 RS>90 的信号，以顺周期板块为主，与 景气扩张形成共振，建议重点关注。 资产配置：A 股胜率回落。 A 股：中等赔率-低胜率品种。基于 Shiller ERP 和 DRP 的标准化数值等权计算 A 股赔率，截至 2 月底，A 股赔率下 行至-0.3 倍标准差，位于中等水平；1 月信贷数据较弱使得 A 股胜率跌至 -13%。 债券：中低赔率-高胜率品种。近期债市小幅回暖，赔率降至- 0.8 倍标准差的中低水平；胜率指标由于信贷数据较弱升至 25%，处于高 胜率水平。 美股：极低赔率-低胜率品种。美股 AIAE 指标当前处于 55% 的历史最高点，位于 2.4 倍标准差水平，回撤风险仍然较高；美元流动性 指数于 1 月 29 日触发-60%的"极度收紧"预警信号持续至今，美股失去 流动性支撑，接近于 2025Q1 的状态，需警惕后续风险。 风格配置：小盘+价值占优。小盘风格配置价值提升：小盘风格近期拥挤 度大幅 ...

Group 1 - The article discusses the lesser-known bond index funds compared to stock index funds and offers a free course on how to invest in bond index funds [2] Group 2 - As of early February 2026, the Hong Kong stock market has shown strong performance in dividend indices, nearing historical highs, while technology indices have declined [6] - The A-share and Hong Kong markets frequently experience style rotation between growth and value, with Hong Kong primarily focusing on dividend indices [6][10] - From September 2024 to September 2025, the growth style in Hong Kong stocks is expected to be strong, with technology stock earnings projected to double year-on-year in the first two quarters of 2025 [7] - During the same period, the Hong Kong value style, such as the Hang Seng Dividend Low Volatility Index, increased by approximately 30%, underperforming the overall market [8] - Since September 2025, there has been a style switch in Hong Kong stocks, with growth style experiencing a correction of about 19% while value style continued to rise by approximately 10% [9] - The rotation between growth and value styles is a characteristic of both A-share and Hong Kong markets, driven by limited market funds moving in and out of different styles [10]

重点关注 待定 中国1月金融数据 2/10 21:30 美国1月零售销售、核心零售销售 2/11 9:30 中国1月CPI、PPI 2/11 21:30 美国1月非农就业人数、失业率、劳动参与率 2/13 21:30 美国1月CPI、核心CPI 数据来源第三方，观点仅供参考。市场有风险，投资需谨慎！ 备注：IF:沪深300 IH:上证50 IC:中证500 IM：中证1000 IO:沪深300期权 股指期货全景日报 2026/2/10 | 项目类别 | 数据指标 最新 环比 数据指标 最新 IF主力合约（2603） | 4724.0 | +6.2↑ IF次主力合约（2602） | 4728.2 | 环比 +9.6↑ | | --- | --- | --- | --- | --- | --- | | | IH主力合约（2603） | 3093.6 | +11.4↑ IH次主力合约（2602） | 3092.8 | +12.2↑ | | | IC主力合约（2603） | 8290.8 | -11.4↓ IC次主力合约（2602） | 8309.0 | -6.4↓ | | | IM主力合约（2603） | 8229 ...

证券研究报告 2026.02.07 量化策略 量化策略周报（467）：静观其变 全周回顾：市场有所震荡，食品饮料与纺织服装强势，价值强于成长，贴水低位震荡 1）市场有所震荡：A 股市场在本周有所震荡，表征市场走势的宽基指数均有所下跌，最终沪深 300、中证 500、创业板指在本周涨跌幅分别为-1.33%、-2.68%、-3.28%。 2）食品饮料与纺织服装强势：本周食品饮料与纺织服装行业表现出色，涨幅在所有行业中排在前两 位，其它表现较好的行业还包括银行、电力设备及新能源、交通运输等。而有色金属与通信行业在本 周表现不佳，跌幅在所有行业中排名前两位，其它表现偏弱的行业还包括电子、计算机、传媒等。 3）价值强于成长：本周价值风格的收益强于成长风格，对应国证价值指数全周下跌 0.53%，而国证 成长指数全周下跌 1.99%。根据中金量化风格因子体系，本周表现较好的因子主要包括分红、低换 手、低流动性、低波动等。 4）贴水低位震荡：本周小盘股期指当季合约周均年化贴水震荡收窄。本周五 IH、IF、IC 和 IM 当季 年化基差率分别为-0.4%、-2.1%、-4.7%和-8.0%。IV 情绪指标本周一收盘发出开多仓信 ...

Core Viewpoint - The A-share market is at a critical turning point entering 2026, transitioning from a valuation recovery phase to a profit-driven new cycle supported by policy efforts, improved corporate earnings expectations, and increased household savings entering the market [1] Market Outlook - If the "anti-involution" initiative achieves substantial results, the A-share market may experience an upward trend in 2026, fundamentally changing investor confidence [1] - The core driver for this potential growth is the continuous improvement in corporate profitability, which will support sustainable asset returns and valuations [1] Sector Focus - Key sectors of interest include real estate, materials, and information technology (IT) [2] - A stronger stabilization signal in the real estate sector, particularly with further policy easing in first-tier cities, could surprise the market positively [2][5] - The materials sector is closely tied to global macroeconomic conditions, with a focus on precious metals outside the dollar and important metals related to new energy [2][5] - The IT sector is viewed with caution in the short term due to high current valuations and elevated expectations for Q4 2025, suggesting a need for a correction before new investment opportunities arise [2][6] Foreign Capital Flow - The return of foreign capital is expected to be a gradual and structurally differentiated process, with passive funds actively positioning in the Chinese market [2][11] - Active funds, particularly those excluding the U.S., have shown significant low allocation to Chinese stocks, but this is beginning to narrow as they gain a better understanding of similar companies in China [2][11] Profitability and Investment Strategy - The forecast for the CSI 300 index in 2026 is set at 5200 points, driven by an expected 15% year-on-year profit growth, with real estate, IT, and materials sectors anticipated to show the most significant growth [5] - The real estate sector's potential for upward movement is supported by a decrease in the ratio of residential value to GDP, currently at 1.8 to 1.9 times, below historical averages [5] - The food and beverage sector is highlighted for its potential due to a growing demand for healthy food, with the industry currently undervalued compared to historical standards [10] Long-term Opportunities - The "anti-involution" theme is expected to create long-term opportunities, particularly in the battery, storage, and photovoltaic sectors, as companies focus on core business quality and stable pricing [8][9] - The profitability of the Chinese market is currently the lowest in the Asia-Pacific region, but historical comparisons suggest that improvements in profit margins could lead to substantial investment returns over time [9]

文 | 银行螺丝钉 （转载请注明出处） 时加 正 2015年牛市顶点后），即使股息率稳 定,股价下跌仍然可能导致账面浮亏。 价值、成长策略，在A股长期都有效。 长期收益也差不多，但每隔几年，就会 出现风格轮动,某一种风格会超过另一 种风格。 价值风格的波动,在股票类资产中属于 比较低的，遇到成长风格牛市，价值风 格也不至于大幅暴跌。不过可能会阶段 性的跑输市场，此时就对投资者的耐心 提出了考验。 其实对红利这类品种,如果想要长期坚 持下来,最好不要以短期跑赢跑输市场 来看待。 因为风格轮动的存在，红利肯定会在某 几年跑输市场。这在长达几十年的投资 中，几乎是一定会遇到的。 如果以跑赢跑输看待红利策略，那就会 患得患失。 实际上，能长期坚持投资红利类品种 的，通常是从股息率的角度看待红利。 如果是用短期资金投资,那么为了应对 流动性需求，可能会被迫在低位卖出, 影响我们的投资体验,甚至产生实际的 亏损。 所以，最好也是用3-5年以上长期不用的 闹钱来投资，并做好面对波动风险的心 理准备。 (2) A 股存在显著的成长与价值风格轮 动特征。 红利作为价值风格品种，会在不同阶段 出现跑赢或跑输市场的情况。 风险提示 ...

Group 1: Report's Industry Investment Rating - Not provided in the content Group 2: Report's Core Viewpoints - In the context of an upward - shifted market volatility center and increased external uncertainties, adopt a "pre - holiday defense, structural balance" strategy, use a dumbbell - style allocation of value and technology to smooth portfolio fluctuations, and dynamically allocate high - quality growth targets with fully adjusted valuations and clear performance growth paths to capture structural flexibility from pricing misalignments [1] - The convertible bond market is in a high - volatility and low - certainty environment. The "pre - holiday defense, structural balance" should be the core strategy, using a dumbbell - style allocation of value and technology to smooth portfolio fluctuations [2][11] - As the Spring Festival approaches, investors should be prudent, mainly adopt the dumbbell strategy, and focus on low - volatility dividend - paying bonds such as "Zhongte" and "Tian 23" [3][14] - With the resonance of external volatility and risk - aversion sentiment, the valuation of convertible bonds is rationally returning. Low - volatility and value - style bonds are preferred for cross - holiday risk - aversion [4][15] - In the future, switch from "allocation thinking" to "trading thinking", adopt the "dumbbell strategy", focus on defensive varieties at one end and high - quality growth targets at the other, while strengthening the exploration of alpha premium and setting strict risk - control thresholds [18][21] Group 3: Summary by Relevant Catalogs 1.1 Convertible Bond Market Conditions - In the past week (2026/02/02 - 2026/02/06), the convertible bond market was weak and highly volatile. The large - cap index (0.77%) outperformed the mid - cap (0.25%) and small - cap (- 0.04%) indexes. The mid - price index performed well (0.96%), while high - price convertible bonds were weak (- 1.19%) [2][11] - The performance of various convertible bond indexes in different time frames is presented in Table 1, showing significant differences in trends [22] 1.2 Convertible Bond Individual Securities - In the past week, the convertible bond market was deeply adjusted. Only "Huicheng Convertible Bond" in the environmental protection sector had a positive return (+ 0.90%), and the value - style showed strong resilience, such as "Zhongte Convertible Bond" with a slight decline of 0.02% [3][14] - The technology industry, represented by software services, performed poorly. For example, "Xinzhi Convertible Bond" fell - 28.29% in a week, while the special steel and electrical equipment sectors had defensive advantages [3][14] 1.3 Convertible Bond Valuations - Due to the Fed's balance - sheet reduction expectations and the approaching Spring Festival, the convertible bond market has seen increased risk - aversion sentiment and active valuation compression. Low - volatility and value - style bonds are more resistant to declines, while volume - price and momentum - style bonds are weaker [4][15] 1.4 Convertible Bond Prices - Not provided in the content other than the performance of high - price, mid - price, and low - price convertible bond indexes in the market conditions section

文 | 银行螺丝钉 （转载请注明出处） 很多投资者都是从投资指数基金开始自己的投资之路的。 但是怎样投资指数基金，才能获得好收益？ 这里有一门限时免费的福利课程，介绍了指数基金的投资技巧。 想要获取这个课程，可以添加下方「课程小助手」，回复「 指数基金 」领取哦～ 更有课程笔记、思维导图，帮您快速搞懂课程脉络，学习更高效。 ◆◆◆ ///////// 银行螺丝钉 2013年，A股上市公司盈利下滑，A股整 体也在5点几星的熊市。 2014年下半年,开始了各种刺激政策, 人民币利率也大幅下降。市场开始大幅 上涨，第一波领涨的品种是证券。 2015年上半年，市场风格切换。第二波 领涨的品种，变成了小盘、成长风格， 最终涨到百倍市盈率以上。2015年6 月，也出现了1星级泡沫估值。 随后2015年下半年，因为小盘估值太 高，市场出现快速下跌，指数腰斩。 2015年上半年上涨不多的价值风格，也 跟随下跌。在2015年底，价值风格估值 相对较低。 2016-2017年，基本面开始恢复。2017 年是最近10年，A股上市公司盈利增长 速度最快的一年。 在经济景气的推动下，2016-2017年第 三波上涨，变成价值风格领涨。 ...

Core Viewpoint - The company "Bank Screw" has completely suspended subscriptions to its stock-related fund advisory portfolio, indicating that the current stock market is relatively high and investors may face a volatility risk of 20-30% if they enter now [2][19]. Group 1: Market Conditions and Investment Strategies - The current stock market is perceived as being at a high level, prompting the suspension of fund subscriptions [3][19]. - For ordinary investors, dividend index funds are recommended due to their relatively lower volatility, making them more suitable as an entry point [3][10]. - The recent performance of the STAR Market and ChiNext has shown significant volatility, making them more appropriate for experienced investors with higher risk tolerance [3][9]. - In 2026, two key signals to watch are the Federal Reserve's interest rate cycle and the recovery of fundamentals, which could impact market conditions significantly [4][22]. Group 2: Investor Behavior and Fund Performance - A notable phenomenon exists where funds may be profitable while individual investors are not, with 37% of investors still losing money despite a bull market [7][8]. - The primary reasons for investor losses include chasing trends and frequent trading, which lead to higher transaction costs and lower average returns [8][10]. - The growth of dividend products has been accelerated by declining interest rates, making their cash flow more attractive compared to traditional savings [11][12]. Group 3: Valuation and Investment Timing - The historical price-to-earnings (P/E) ratio for major indices like the CSI 300 is between 8-15, with the current P/E ratio slightly above this range, indicating a potential overvaluation [14][15]. - Investors are advised to be cautious during bull markets, as significant price increases may not be sustainable, leading to potential mean reversion [16][17]. - The optimal investment strategy varies by market phase, with dividend stocks being more suitable in the latter stages of a bull market and early stages of a bear market [12][13]. Group 4: Key Economic Indicators - The Federal Reserve's interest rate decisions and the overall recovery of corporate earnings are critical indicators for market performance in 2026 [22][27]. - Observing the year-on-year growth of corporate earnings in the first half of the year will be essential to gauge market momentum [28].