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指数涨13.31%，创业板指涨5.85%，大盘价值涨1.56%，大盘成长涨4.77%，上证50涨3.38%，国证2000代表的小盘涨3.47%，通 信、电子表现靠前，房地产、煤炭表现靠后。 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，历史数次极端底部该数据均处在均值上两倍标准差区 域，比如2012/2018/2020年（疫情突发），2022/04/26达到4.17%，2022/10/28风险溢价再次上升到4.08%，市场迅速反弹，2024/01/19指标4.11%，自2016年 以来第五次超过4%。截至2025/08/22指标3.03%，两倍标准差边界为4.77%。 估值水平，截至2025/08/22，中证全指PETTM分位数76%，上证50与沪深300分别为72%、68%，创业板指接 ...

Core Viewpoint - The recent market performance shows a significant increase in the ChiNext and Sci-Tech 50 indices, while large-cap value stocks have declined, indicating a shift in investor sentiment towards growth sectors [1][2]. Market Performance - In the last five trading days, the Sci-Tech 50 index rose by 5.53%, the ChiNext index increased by 8.48%, while the large-cap value index fell by 0.76%. The large-cap growth index rose by 3.63%, and the Shanghai 50 index increased by 1.57%. Small-cap stocks represented by the CSI 2000 index rose by 3.86% [1]. - The communication and electronics sectors performed well, while the banking and steel sectors lagged behind [1]. Risk Premium Analysis - The risk premium, measured as the difference between the inverse of the static PE of the CSI All Share Index and the yield of ten-year government bonds, has reached historical extremes. As of October 28, 2022, the risk premium was at 4.08%, indicating a potential market rebound [1]. - The risk premium has exceeded 4% for the fifth time since 2016, with the latest reading on January 19, 2024, at 4.11% [1]. Valuation Levels - As of August 15, 2025, the CSI All Share Index's TTM PE is at the 72nd percentile, with the Shanghai 50 and CSI 300 at 69% and 63%, respectively. The ChiNext index is at a relatively low valuation level of approximately 33% [2]. - The long-term view of the Deep 100 index suggests a cyclical pattern of bear and bull markets every three years, with the current adjustment phase starting in Q1 2021 showing sufficient time and space for a potential upward cycle [2]. Fund Flow and Trading Activity - In the last five trading days, there was an outflow of 10.4 billion yuan from ETFs, while margin financing increased by approximately 41.8 billion yuan. The average daily trading volume across both markets was 20,767 billion yuan [3]. AI and Trend Observation - The use of convolutional neural networks (CNN) for modeling price and volume data has been explored, with the latest focus on mapping learned features to industry themes, particularly in the communication sector [8].

Market Performance - The recent 5 trading days saw the Sci-Tech 50 Index increase by 0.65%, the ChiNext Index by 0.49%, the large-cap value by 1.63%, the large-cap growth by 1.17%, the SSE 50 by 1.27%, and the small-cap represented by the CSI 2000 by 2.74% [1] - The sectors of defense, military, and non-ferrous metals performed well, while pharmaceuticals, biotechnology, and computers lagged behind [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, showing a market rebound [1] - As of January 19, 2024, the risk premium indicator was at 4.11%, marking the fifth time since 2016 it exceeded 4% [1] - The indicator as of August 8, 2025, was at 3.39%, with the two-standard deviation boundary at 4.77% [1] Valuation Levels - As of August 8, 2025, the CSI All Index's PE TTM percentile was at 68%, with the SSE 50 and CSI 300 at 69% and 61% respectively, while the ChiNext Index was close to 25% [2] - The long-term view of the Deep 100 Index shows a technical pattern of bear markets every three years followed by bull markets, with the current adjustment starting in Q1 2021 being substantial [2] Fund Flow and Trading Activity - In the last 5 trading days, ETF inflows amounted to 18.5 billion yuan, and the margin trading increased by approximately 27.8 billion yuan, with an average daily trading volume of 1.6748 trillion yuan [3] Neural Network Trend Observation - A convolutional neural network was utilized to model price and volume data, mapping learned features to industry themes, with a focus on semiconductor materials among the latest configurations [9]

Market Performance - The recent five trading days saw the Sci-Tech 50 Index decline by 1.65%, the ChiNext Index by 0.74%, the large-cap value index by 1.27%, the large-cap growth index by 2.58%, the SSE 50 by 1.48%, and the CSI 2000 representing small caps by 0.19% [1] - The pharmaceutical and communication sectors performed well, while coal and non-ferrous metals lagged [1] Risk Premium Analysis - The risk premium, defined as the inverse of the static PE of the CSI All Index (EP) minus the yield of ten-year government bonds, indicates that the implied returns of equity and bond assets are at historically high levels, reaching 4.17% on April 26, 2022, and 4.08% on October 28, 2022 [1] - As of January 19, 2024, the indicator was at 4.11%, marking the fifth occurrence since 2016 of exceeding 4% [1] - The latest figure as of August 1, 2025, is 3.48%, with the two-standard-deviation boundary set at 4.76% [1] Valuation Levels - As of August 1, 2025, the CSI All Index's TTM PE is at the 64th percentile, with the SSE 50 and CSI 300 at 66% and 58% respectively, while the ChiNext Index is close to 25% [2] - The CSI 500 and CSI 1000 are at 46% and 37% respectively, indicating that the ChiNext Index's valuation is relatively low compared to historical levels [2] Long-term Market Trends - The technical analysis of the Deep 100 Index shows a pattern of bear markets every three years, followed by bull markets, with previous declines ranging from 40% to 45% [2] - The current adjustment cycle began in the first quarter of 2021, suggesting a potential for upward movement from the bottom [2] Fund Flow and Trading Activity - In the last five trading days, ETF funds experienced an outflow of 13.1 billion yuan, while margin financing increased by approximately 42.6 billion yuan [2] - The average daily trading volume across both markets was 1.7848 trillion yuan [2] AI and Machine Learning Applications - A convolutional neural network (CNN) was utilized to model price and volume data, mapping learned features to industry themes, with a focus on semiconductor materials [2][7] ETF Indexes - Various ETF indexes related to semiconductor materials and innovation were listed, including the SSE Sci-Tech Semiconductor Materials Equipment Theme Index and the CSI Semiconductor Industry Index, all dated August 1, 2025 [8]

Market Performance - The Sci-Tech 50 Index increased by 4.63% over the last five trading days, while the ChiNext Index rose by 2.76%. In contrast, the large-cap value index fell by 0.11%, and the large-cap growth index increased by 2.41% [1] - The construction materials and coal sectors performed well, whereas the banking and telecommunications sectors lagged behind [1] Risk Premium Analysis - The risk premium, defined as the difference between the static PE of the CSI All Share Index and the yield of 10-year government bonds, has shown significant historical extremes. As of April 26, 2022, it reached 4.17%, and on October 28, 2022, it was 4.08%. The latest reading on January 19, 2024, was 4.11%, marking the fifth instance since 2016 where it exceeded 4% [1] - As of July 25, 2025, the risk premium indicator stands at 3.35%, with the two-standard-deviation boundary at 4.76% [1] Valuation Levels - As of July 25, 2025, the CSI All Share Index's PE TTM percentile is at 67%. The Shanghai Stock Exchange 50 and CSI 300 indices are at 68% and 62%, respectively, while the ChiNext Index is at approximately 26%. The CSI 500 and CSI 1000 indices are at 49% and 38%, indicating that the ChiNext Index is relatively undervalued compared to historical averages [2] Long-term Market Trends - The Shenzhen 100 Index has historically experienced bear markets every three years, followed by bull markets. The last adjustment began in Q1 2021, suggesting that the current market has ample time and space for a potential upward cycle [2] Fund Flow and Trading Activity - In the last five trading days, ETF inflows totaled 4.3 billion yuan, and the margin trading balance increased by approximately 36.9 billion yuan. The average daily trading volume across both markets was 181.79 billion yuan [4] AI and Machine Learning Applications - A convolutional neural network (CNN) model has been utilized to analyze graphical price and volume data, mapping learned features to industry themes. The latest focus is on sectors such as non-ferrous metals [3][10]

Market Performance - The Sci-Tech 50 Index increased by 1.32% over the last five trading days, while the ChiNext Index rose by 3.17%. In contrast, the large-cap value index fell by 0.36%, and the large-cap growth index increased by 2.41% [1] - The communication and pharmaceutical sectors performed well, whereas media and real estate sectors lagged behind [1] Risk Premium Analysis - The static PE of the CSI All Share Index minus the yield of 10-year government bonds indicates a risk premium. Historical extreme bottoms have shown this data at two standard deviations above the mean, with recent peaks at 4.17% on April 26, 2022, and 4.08% on October 28, 2022. As of January 19, 2024, the indicator was at 4.11%, marking the fifth occurrence since 2016 exceeding 4% [1] - As of July 18, 2025, the indicator stands at 3.50%, with the two standard deviation boundary at 4.76% [1] Valuation Levels - As of July 18, 2025, the CSI All Share Index's TTM PE is at the 65th percentile, with the SSE 50 and CSI 300 at 68% and 61%, respectively. The ChiNext Index is close to 24%, while the CSI 500 and CSI 1000 are at 45% and 33% [2] - The ChiNext Index's valuation is relatively low compared to historical averages [2] Long-term Market Trends - The Shenzhen 100 Index has experienced bear markets every three years, followed by bull markets, with declines ranging from 40% to 45%. The current adjustment began in Q1 2021, suggesting a potential upward cycle [2] Fund Flow and Trading Activity - In the last five trading days, ETF inflows totaled 3.1 billion yuan, and margin financing increased by approximately 30.7 billion yuan. The average daily trading volume across both markets was 15.246 billion yuan [2] AI and Data Analysis - A convolutional neural network (CNN) was utilized to model price and volume data, mapping learned features to industry themes. The latest focus is on low volatility dividend themes [9]

Market Performance - The Sci-Tech 50 Index increased by 0.98% over the last five trading days, while the ChiNext Index rose by 2.36%. The large-cap value index fell by 0.18%, and the large-cap growth index increased by 0.69%. The Shanghai 50 Index gained 0.60%, and the small-cap index represented by the CSI 2000 rose by 2.29%. Real estate and steel sectors performed well, while coal and banking sectors lagged behind [1]. Risk Premium Analysis - The static PE of the CSI All Index minus the yield of 10-year government bonds indicates a risk premium. Historical extreme bottoms have shown this data to be at two standard deviations above the mean, with notable instances in 2012, 2018, and 2020. As of January 19, 2024, the indicator was at 4.11%, marking the fifth occurrence since 2016 to exceed 4%. As of July 11, 2025, the indicator was at 3.57%, with the two standard deviation boundary at 4.76% [1]. Valuation Levels - As of July 11, 2025, the CSI All Index's PE TTM percentile was at 63%. The Shanghai 50 and CSI 300 were at 68% and 61%, respectively. The ChiNext Index was close to 21%, while the CSI 500 and CSI 1000 were at 42% and 31%. The ChiNext Index's valuation is relatively low compared to historical averages [2]. Long-term Market Trends - The Shenzhen 100 Index has experienced bear markets approximately every three years, followed by bull markets. The last adjustment began in Q1 2021, showing sufficient time and space for a potential upward cycle from the bottom [2]. Fund Flow and Trading Activity - In the last five trading days, ETF inflows totaled 3 billion yuan, and margin trading increased by approximately 14.1 billion yuan. The average daily trading volume across both markets was 1.4748 trillion yuan [2]. Neural Network Analysis - A convolutional neural network (CNN) was utilized to model price and volume data, mapping learned features to industry themes. The latest focus is on sectors such as banking [9].

Core Viewpoint - The recent market performance shows mixed results across various indices, with the ChiNext Index rising while the STAR 50 Index slightly declined, indicating a divergence in sector performance and potential investment opportunities in specific areas [1][2]. Group 1: Market Performance - Over the last five trading days, the STAR 50 Index decreased by 0.35%, while the ChiNext Index increased by 1.50%. The large-cap value stocks rose by 1.94%, and large-cap growth stocks increased by 1.78%. The Shanghai 50 Index saw a rise of 1.21%, and the small-cap stocks represented by the CSI 2000 increased by 0.53% [1]. - Steel and building materials sectors performed well, while the computer and non-bank financial sectors lagged behind [1]. Group 2: Risk Premium and Valuation Levels - The risk premium, measured as the inverse of the static PE of the CSI All Index minus the yield of 10-year government bonds, reached 4.17% on April 26, 2022, and 4.08% on October 28, 2022, indicating a market rebound potential. As of January 19, 2024, the indicator was at 4.11%, marking the fifth occurrence since 2016 of exceeding 4% [1]. - As of July 4, 2025, the CSI All Index's PE TTM percentile was at 61%, with the Shanghai 50 and CSI 300 at 67% and 60%, respectively. The ChiNext Index is close to 20%, indicating a relatively low valuation level compared to historical averages [2]. Group 3: Fund Flow and Trading Activity - In the last five trading days, ETF funds experienced an outflow of 21.2 billion yuan, while margin financing increased by approximately 19.7 billion yuan. The average daily trading volume across the two markets was 1.4136 trillion yuan [4]. Group 4: Technical Analysis and AI Modeling - The long-term technical analysis of the Deep 100 Index suggests a cyclical pattern of bear and bull markets every three years, with significant declines observed in previous cycles. The current adjustment phase, which began in the first quarter of 2021, appears to have sufficient time and space for a potential upward cycle [2]. - A convolutional neural network model has been developed to analyze price and volume data, mapping learned features to industry themes, with a focus on banking and non-ferrous metals sectors [3][9].

Market Performance - The recent five trading days saw the Sci-Tech 50 Index increase by 3.17%, the ChiNext Index by 5.69%, the large-cap value by 1.52%, the large-cap growth by 2.61%, the SSE 50 by 1.27%, and the small-cap represented by the CSI 2000 by 4.94% [1] - The sectors showing strong performance include computers and national defense, while oil, petrochemicals, and food and beverages lagged behind [1] Risk Premium Analysis - The risk premium, calculated as the inverse of the static PE of the CSI All Index minus the yield of ten-year government bonds, indicates that the implied returns of equity and bond assets are at historically high levels, reaching 4.17% on April 26, 2022, and 4.08% on October 28, 2022 [1] - As of January 19, 2024, the indicator stood at 4.11%, marking the fifth occurrence since 2016 to exceed 4% [1] Valuation Levels - As of June 27, 2025, the CSI All Index's PETTM percentile is at 59%, with the SSE 50 and CSI 300 at 66% and 57% respectively, while the ChiNext Index is close to 19% [2] - The ChiNext Index's valuation is relatively low compared to historical averages [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, with significant declines observed in previous cycles [2] - The current adjustment phase, which began in Q1 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 funds experienced an outflow of 1.3 billion yuan, while margin trading increased by approximately 17 billion yuan, with an average daily trading volume of 1.4528 trillion yuan across the two markets [4] AI and Machine Learning Applications - The use of convolutional neural networks (CNN) for modeling price and volume data has been explored, with the latest focus on sectors such as banking and artificial intelligence [3][11]

Market Performance - The Sci-Tech 50 Index decreased by 1.89% over the last five trading days, while the ChiNext Index increased by 0.22%. The large-cap value index rose by 0.10%, and the large-cap growth index fell by 0.16%. The Shanghai Stock Exchange 50 Index declined by 0.46%, and the small-cap index represented by the CSI 2000 dropped by 0.74%. The non-ferrous metals and oil & petrochemical sectors performed well, whereas household appliances and food & beverage sectors lagged behind [1]. Risk Premium Analysis - The static PE of the CSI All Index minus the yield of 10-year government bonds indicates a risk premium. Historical extreme bottoms have shown this data to be at two standard deviations above the mean, with notable instances in 2012, 2018, and 2020. As of April 26, 2022, the risk premium reached 4.17%, and on October 28, 2022, it rose to 4.08%. The latest reading on January 19, 2024, was 4.11%, marking the fifth instance since 2016 exceeding 4%. As of June 13, 2025, the indicator was at 3.83%, with the two standard deviation boundary at 4.75% [1]. Valuation Levels - As of June 13, 2025, the CSI All Index's PE TTM percentile was at 54%. The Shanghai Stock Exchange 50 and CSI 300 had percentiles of 62% and 52%, respectively. The ChiNext Index was close to 13%, while the CSI 500 and CSI 1000 were at 30% and 22%, respectively. The ChiNext Index's valuation is relatively low compared to historical averages [2]. Long-term Market Trends - The technical analysis of the Deep 100 Index indicates a bear market every three years, followed by a bull market. Historical declines ranged from 40% to 45%, with the current adjustment starting in Q1 2021 showing sufficient time and space for a potential upward cycle [2]. Fund Flow and Trading Activity - In the last five trading days, ETF funds saw an outflow of 17 billion yuan, while margin trading increased by approximately 9.4 billion yuan. The average daily trading volume across both markets was 1.3392 trillion yuan [2]. AI and Machine Learning Insights - A convolutional neural network (CNN) was utilized to model price and volume data, mapping learned features to industry themes. The latest recommended themes include non-ferrous metals and banking sectors [7].