策略周报 "十六连阳"背后是哪些资金在买——1 月第 1 周立体投资策 略周报 核心结论：①1 月第 1 周，资金入市合计净流入 721 亿元，前一周流出 104 亿元。②短期情绪指标处于 05 年以来高位，长期情绪指标处于 05 年以来中 低位。③从行业角度看，以换手率为例，过去一周国防军工、传媒、汽车等 热度较高。 1 月第 1 周，资金入市合计净流入 721 亿元，前一周流出 104 亿元。资金流 入方面，融资余额增加 858 亿元，公募基金发行增加 70 亿元，ETF 净赎回 4 亿元，北上资金估算净流入 96 亿元；资金流出方面，IPO 融资规模 15 亿元， 产业资本净减持 145 亿元，交易费用 139 亿元。 证券研究报告 | 2026年01月12日 短期情绪指标处于 05 年以来高位。短期情绪指标主要看换手率和融资交易 占比，最近一周换手率（年化）为 564%，当前处在历史上由低到高 87%的分 位；最近一周融资交易占比为 11.36%，当前处在历史上由低到高 90%的分位。 长期情绪指标处于 05 年以来中低位。长期情绪指标主要看大类资产比价， 一看价格对比，最近一周 A 股风险溢价（全部 ...

量包括成交金额占总市值比例、换手率。 价包括当日收涨的股票数量占比、近3个月收涨的股票占比。 中信建投证券发布研报称，相较2014年5月-2015年6月那一轮流动性牛市，2024年9月至今的牛市，市场情绪有相似之处，也有诸多不同。相较而言，本轮 牛市的成交额、换手率等"量"的层面情绪近似上一轮牛市顶峰，但"资金"、"估值"、"风险溢价"这三个维度的情绪指标仍有差距，主要因为当前牛市结构 性特征更明显，若走向全面牛市，后三个维度的情绪指标才会快速走高。 中信建投主要观点如下： 一、如何构建一套完整的情绪指标？ 衡量市场情绪，我们从五个维度出发："量"、"价"、"资金"、"估值"、"风险溢价"。 资金层面，涵盖主动买入净额占成交金额的比例，公募基金股票仓位、融资买入额占成交金额比例及融资余额占A股市值比例。 估值层面，选择万得全A整体动态市盈率、31个申万行业平均动态市盈率、万得全A整体市净率。 风险溢价，则是万得全A隐含收益率与10年国债收益率之差。 我们将以上5个层面、共12个指标，先计算各自的历史分位数水平，加总取平均值，作为全方位衡量市场情绪的总指数。 | | 分项 | 当日分位数 | 环比 | | -- ...

Group 1 - Market sentiment score continued to decline, reaching 1.35 as of December 12, down from 2.4 the previous week, indicating a bearish outlook from a sentiment perspective [2][8] - The overall trading volume in the market increased significantly, with total trading volume for the week rising by 15.14% compared to the previous week, averaging 19,530.44 billion yuan per day, with a peak of 21,190.10 billion yuan on December 12 [14][16] - The industry score model indicates that sectors such as non-bank financials, communication, defense, and automotive are showing upward trends in short-term scores, with communication having the highest short-term score of 77.97 [40][41] Group 2 - The correlation between industry congestion and weekly price changes is strong, with a coefficient of 0.33, indicating that sectors with high congestion like communication and defense are leading in gains, while sectors with low congestion like steel and environmental protection are lagging [45][46] - The current model suggests a preference for large-cap and growth styles, with signals indicating that growth style may strengthen further in the future [40][51] - The financing balance ratio continues to rise, reaching a new high for the phase, indicating an increase in leveraged funds and a structural recovery in risk appetite [26][28]

Group 1: Market Sentiment Indicators - The market sentiment index as of October 10 is 1.75, a slight decrease from 1.85 on September 26, indicating a bearish sentiment [8][11] - The financing balance ratio continues to rise, reflecting an increase in market leverage sentiment and improving trading atmosphere [27][11] - The industry trading volatility continues to decline, suggesting a slowdown in fund switching activity and a decrease in market participants' divergent views on short-term industry value [21][11] Group 2: Timing Model Insights - The model indicates a preference for small-cap value style, with a weak signal strength due to a slight decline in the 5-day RSI relative to the 20-day RSI [45][46] - The short-term trend scores for industries such as non-ferrous metals, power equipment, real estate, machinery, and electronics are notably strong, with non-ferrous metals scoring the highest at 98.31 [34][36] - The model maintains a strong signal for value style, suggesting potential for further strengthening in the future [45][46] Group 3: Industry Crowding and Performance - Recent high returns in non-ferrous metals and coal are accompanied by high fund crowding, indicating potential volatility risks due to valuation and sentiment corrections [42][41] - Industries like automotive and electronics show high crowding but lower returns, while sectors with low crowding such as pharmaceuticals and beauty care may present long-term investment opportunities as risk appetite increases [42][41] - The average crowding levels for industries as of October 10 show automotive, environmental protection, real estate, power equipment, and electronics as the highest, while agriculture, computers, defense, beauty care, and pharmaceuticals are the lowest [40][41]

Core Insights - Despite a strong rebound in US stocks since April, overall investor sentiment remains cautious rather than euphoric [1][2] - JPMorgan analysts indicate that the current market rally is driven more by investors "chasing the trend" rather than excessive optimism [1][3] Market Positioning - JPMorgan's unique market sentiment indicator shows that investor positioning has been unexpectedly cautious, even "bearish," since early May [2][3] - This indicator turned negative in early May and peaked negatively by the end of June, indicating that investors found their positions to be more bearish than desired [3][4] Investor Behavior - As of early September, key participants such as hedge funds and speculative investors have not reached high stock exposure levels, reflecting a continued cautious sentiment [5][6] - Macro hedge funds' stock beta remains in a "moderate negative" range, while speculative investors' net long positions in US stock index futures have returned to near long-term median levels [5][6] Multi-Asset Fund Dynamics - The behavior of multi-asset investors shows a complex sentiment, with balanced funds' stock beta falling below average levels in recent weeks [7][8] - Risk parity funds exhibited more volatility, with their stock beta dropping below average in early April, rising above average in early August, and then falling again by the end of September [8]

Summary of Conference Call Records Industry Overview - The A-share market is currently experiencing a strong oscillation pattern, with limited upward potential and minimal downward risk, influenced by market sentiment, economic data, and Sino-U.S. relations [1][2][5] - The technology growth sector is performing exceptionally well, particularly companies with strong industrial trends. Cyclical industries and previously underperforming growth companies, such as the telecommunications sector, also present opportunities for low-cost positioning [1][3][12] Core Insights and Arguments - Key factors contributing to market oscillation include: 1. High-level financing leading to cooling risks, with a total inflow of nearly 60 billion since September 5, and financing balances exceeding 2.3 trillion, a historical high [5] 2. Economic data from August indicating a weak recovery, with export growth slowing to approximately 4% year-on-year and a decline in new social financing and RMB loans [5] 3. Increased risk from U.S.-China semiconductor sanctions, although ongoing trade negotiations may mitigate long-term impacts [5][10] - Historical patterns suggest that oscillations in bull markets typically end with significant policy changes or external events that positively influence risk appetite [6][12] - Current indicators for the end of the oscillation phase are not fully met: - The valuation percentile of the Shanghai Composite Index is around 66, above the neutral level of 50% [8] - Trading volume has decreased by a maximum of 37%, not exceeding the 50% threshold [8] - The turnover rate remains high at 72%, indicating insufficient cooling [8] Industry Rotation and Opportunities - Industry rotation is incomplete, with consumer and cyclical sectors not showing significant recovery. In the agriculture, forestry, animal husbandry, and fishery sector, only leading stocks have increased, with an average rise of 8.1%, while non-leading stocks only rose by 1.4% [9][12] - Recommended sectors for investment include: 1. Technology, Media, and Telecommunications (TMT) and non-ferrous metals, which are expected to continue their upward trend [13][14] 2. Telecommunications and innovative pharmaceuticals, which may show signs of recovery and potential for upward movement [13][14] Additional Important Insights - The current market sentiment remains relatively high, which could lead to a decrease in potential gains [5] - The overall liquidity environment is favorable, with policies supporting inflows and a low-risk external environment due to ongoing negotiations with the U.S. [11][12] - The short-term economic outlook remains weak, but there are signs of recovery in corporate earnings data, suggesting a potential for gradual improvement [11][12]

Core Insights - Spot gold prices continue to rise strongly, with a cumulative increase of over 3% in the past five trading days, breaking through the historical high of $3,500 per ounce [1] - Global central banks are increasing their gold reserves, with the total gold reserve surpassing $3.9 trillion, exceeding the U.S. Treasury holdings for the first time in 30 years [3] - The market sentiment indicators show mixed signals, with the CNN "Fear and Greed Index" remaining in the "Greed" zone but trending downward, indicating potential increased demand for safe-haven assets like gold [4] Market Dynamics - The expectation of a rate cut by the Federal Reserve has strengthened, with the 10-year U.S. Treasury yield hovering around 4.2%, diminishing the attractiveness of bonds and reinforcing gold's position as a preferred safe-haven asset [3] - Technical indicators are showing bullish signals, with gold successfully breaking through the $3,450 per ounce resistance level, and if it holds above $3,500, it could open up further upside potential [6] - Immediate support has shifted to $3,450, with the $3,355 area serving as a critical defense line due to the convergence of the 50-period SMA and cloud support [7] Investment Considerations - The current market environment presents three favorable factors: structural demand support, expectations of a shift in monetary policy, and technical breakout signals [9] - Investors should focus on the effectiveness of the $3,500 breakthrough, the policy guidance from the Federal Reserve's September meeting, and changes in global central bank gold purchasing patterns [9]

- The "PB-ROE-50" strategy is based on the idea of identifying market expectation gaps and enhancing portfolio returns by incorporating surprise factors such as SUE and ROE year-on-year growth. It selects 50 stocks to construct the portfolio using the PB-ROE pricing model derived from Wilcox (1984)[29][33][36] - The "PB-ROE-50" strategy achieved positive excess returns in August 2025 for the CSI 800 and the entire market stock pools, with excess returns of 5.22% and 7.61%, respectively. However, it recorded a negative excess return of -0.54% for the CSI 500 stock pool[29][33][36] - The "Upward Count Proportion Sentiment Indicator" calculates the proportion of stocks in the CSI 300 index with positive returns over the past N days. It is used to gauge market sentiment, with higher proportions indicating optimistic sentiment. The formula is: CSI 300 Index N-day Upward Count Proportion = Number of CSI 300 Index constituent stocks with returns > 0 in the past N days / Total number of constituent stocks[12][13][15] - The "Upward Count Proportion Sentiment Indicator" is smoothed using two different window periods (N1=50, N2=35) to generate fast and slow lines. When the fast line exceeds the slow line, it signals a bullish market sentiment[13][15][16] - The "Moving Average Sentiment Indicator" uses eight moving averages (parameters: 8, 13, 21, 34, 55, 89, 144, 233) to assess the sentiment state of the CSI 300 index. The indicator assigns values based on the range of the moving averages, with values of -1, 0, or 1 corresponding to different sentiment states[19][24][23] - The "Moving Average Sentiment Indicator" signals a bullish sentiment when the current price exceeds the values of more than five moving averages[19][24][23] - The "Fund Concentration Degree Tracking" uses the standard deviation of cross-sectional returns of concentrated fund portfolios as a proxy for fund concentration. Lower standard deviation indicates higher concentration, while higher standard deviation suggests concentration is breaking down[25][28][26] - The "Institutional Research Strategy" includes public fund research stock selection and private fund research tracking strategies. It selects stocks based on the number of times a company is researched and its relative performance before the research. In August 2025, the public fund strategy recorded an excess return of -1.33%, while the private fund strategy recorded -5.05%[37][39][40] - The "Relaxed Interest-Bearing Debt Ratio" is calculated as: (Short-term loans + Interest payable + Transactional financial liabilities + Payable short-term bonds + Lease liabilities + Long-term loans + Payable bonds + Long-term payables + Other current liabilities + Liabilities classified as held-for-sale + Non-current liabilities due within one year) / Total assets. It is used to identify stocks with high liquidity risk[42][43][45] - The "Financial Cost Burden Ratio" is calculated as: Financial expenses: Interest expenses / Earnings before interest and taxes (EBIT). It measures the pressure companies face in paying interest costs. Stocks with high ratios are flagged for potential financial risk[46][47][48]

Core Viewpoint - The article discusses the limitations of traditional market sentiment indicators and proposes a new approach to measure market sentiment through structural indicators, aiming to provide more detailed insights for market timing decisions. Group 1: Market Sentiment Measurement - The existing market sentiment indicators lack sensitivity and are not effective in signaling market reversals, as they are influenced heavily by a limited number of metrics [1][3][9] - The proposed sentiment temperature model consists of five indicators: total turnover rate, trading volume, northbound capital inflow, and volatility indices for options [1][3] - The methodology for constructing the sentiment temperature involves averaging the VIX percentiles and smoothing the data over a five-day period [1] Group 2: Structural Indicators - The article emphasizes the need for structural indicators to better capture market trading characteristics, especially in weak trend environments where investment hotspots shift rapidly [9][10] - Key structural indicators include: - **Industry Turnover Rate Consistency**: Measures the degree of consensus among funds regarding industry sectors, indicating whether market trading behavior is consistent or shifting [11][14] - **Industry Concentration**: Reflects the degree of trading activity concentration in specific sectors, with higher values indicating a lack of diversification in fund preferences [18][20] - **Industry Performance and Turnover Consistency**: Assesses whether the performance of leading sectors aligns with their trading volumes, indicating market sentiment stability [21][24] - **Growth Board Activity**: Indicates risk appetite among investors, with higher activity in the growth sector suggesting bullish sentiment [25][28] Group 3: Financing Data - The financing balance to free float market value ratio serves as a long-term sentiment indicator, with increases suggesting bullish sentiment and decreases indicating bearish sentiment [29][32] - The article also discusses the use of the Relative Strength Index (RSI) as a sentiment indicator, where values above 50 indicate strong buying power [33][34] Group 4: Timing Strategy - The sentiment structure indicators have been tested for their effectiveness in timing strategies, with daily strategies outperforming weekly ones in terms of annualized returns and risk management [91][92] - The backtesting results show that the sentiment indicators can provide significant excess returns compared to the benchmark index, with a notable reduction in drawdown and volatility [91][92]

Market Sentiment - The current market sentiment score is 93, indicating an "overheated" market condition, which suggests a potential resistance to further upward movement [6][9][17]. Hot Themes Tracking - **Brain-Computer Interface Theme**: The National Healthcare Security Administration has introduced a new pricing mechanism for innovative medical technologies, including a "brain-computer interface implantation fee," which is expected to accelerate the clinical application of innovative drugs and devices. Related stocks include Innovation Medical (002173) and Weisi Medical (688580) [6]. - **Robotics Theme**: The first World Humanoid Robot Games took place in Beijing, showcasing advancements in motion control and practical applications. Related stocks include Wolong Electric (600580) and Changsheng Bearing (300718) [6]. - **Logistics Theme**: The State Post Bureau held discussions to address issues in the express delivery industry, promoting high-quality development. The commercialization of unmanned logistics vehicles is also gaining traction, particularly in the "last mile" delivery segment. Related stocks include Shentong Express (002468) and SF Holding (002352) [6]. Capital Flow Analysis - **Top Net Inflow Stocks**: The top stocks with significant net inflows include Dongfang Caifu (573.36 million), Zhinanzhen (141.55 million), and Zhongke Sanhuan (62.22 million) [10]. - **Top Net Outflow Stocks**: The stocks with the highest net outflows include Dongshan Precision (-91.66 million), Heertai (-84.24 million), and Sifang Chuangxin (-74.04 million) [12][18]. - **Industry Net Inflows**: The non-bank financial sector saw the highest net inflow at 825.98 million, followed by electrical equipment (188.82 million) and household appliances (115.79 million) [15][16]. Investment Strategy Recommendations - In an "overheated" market, it is advisable to consider reducing positions to avoid buying at market peaks and to be cautious of potential market bubbles [17].