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].

Quantitative Models and Construction 1. Model Name: GRU Model - **Model Construction Idea**: The GRU model is used to capture temporal dependencies in financial data, leveraging its recurrent structure to predict stock movements and generate long-short signals[4][5][6] - **Model Construction Process**: - Input data includes historical stock prices, technical indicators, and fundamental factors - The GRU network processes sequential data to learn patterns over time - Outputs are used to construct long-short portfolios based on predicted returns[4][5][6] - **Model Evaluation**: The GRU model demonstrates strong performance in certain market conditions, though its results vary across different stock pools[4][5][6] 2. Model Name: Barra Models (barra1d, barra5d) - **Model Construction Idea**: Barra models are factor-based models designed to decompose stock returns into systematic and idiosyncratic components, enabling factor-based portfolio construction[4][5][6] - **Model Construction Process**: - Factors such as size, value, momentum, and volatility are calculated for each stock - Stocks are ranked based on factor scores, and portfolios are constructed by going long the top 10% and short the bottom 10% of stocks based on factor rankings - barra1d uses daily data, while barra5d aggregates data over a 5-day window[4][5][6] - **Model Evaluation**: barra1d shows consistent strong performance, while barra5d experiences significant drawdowns in certain periods[4][5][6] --- Backtesting Results of Models GRU Model - **Open1d**: Weekly excess return: -1.80%, Monthly: -1.96%, YTD: 5.24%[33] - **Close1d**: Weekly excess return: -2.40%, Monthly: -3.10%, YTD: 4.04%[33] Barra Models - **Barra1d**: Weekly excess return: -0.63%, Monthly: -0.34%, YTD: 3.13%[33] - **Barra5d**: Weekly excess return: -1.80%, Monthly: -2.08%, YTD: 6.42%[33] --- Quantitative Factors and Construction 1. Factor Name: Beta - **Factor Construction Idea**: Measures the sensitivity of a stock's returns to market movements[15] - **Factor Construction Process**: Calculated as the historical beta of the stock relative to the market index[15] 2. Factor Name: Size - **Factor Construction Idea**: Captures the size effect, where smaller firms tend to outperform larger firms[15] - **Factor Construction Process**: Natural logarithm of total market capitalization[15] 3. Factor Name: Momentum - **Factor Construction Idea**: Stocks with strong past performance tend to continue performing well in the short term[15] - **Factor Construction Process**: - Weighted combination of historical excess return volatility (0.74), cumulative excess return deviation (0.16), and residual return volatility (0.10)[15] 4. Factor Name: Volatility - **Factor Construction Idea**: Measures the risk or variability in stock returns[15] - **Factor Construction Process**: Weighted combination of historical residual return volatility and other metrics[15] 5. Factor Name: Valuation - **Factor Construction Idea**: Identifies undervalued stocks based on fundamental metrics[15] - **Factor Construction Process**: Inverse of price-to-book ratio[15] 6. Factor Name: Liquidity - **Factor Construction Idea**: Measures the ease of trading a stock[15] - **Factor Construction Process**: Weighted combination of monthly turnover (0.35), quarterly turnover (0.35), and annual turnover (0.30)[15] 7. Factor Name: Profitability - **Factor Construction Idea**: Captures the financial health and earnings quality of a firm[15] - **Factor Construction Process**: Weighted combination of analyst-predicted earnings yield, cash flow yield, and other profitability metrics[15] 8. Factor Name: Growth - **Factor Construction Idea**: Identifies firms with strong earnings and revenue growth[15] - **Factor Construction Process**: Weighted combination of earnings growth rate (0.24) and revenue growth rate (0.47)[15] 9. Factor Name: Leverage - **Factor Construction Idea**: Measures the financial risk associated with a firm's debt levels[15] - **Factor Construction Process**: Weighted combination of market leverage (0.38), book leverage (0.35), and debt-to-asset ratio (0.27)[15] --- Backtesting Results of Factors Fundamental Factors - **Growth**: Weekly excess return: 2.41%, Monthly: -2.18%, YTD: 3.20%[28] - **Profitability**: Weekly excess return: 0.22%, Monthly: 40.98%, YTD: 6.12%[28] Technical Factors - **Momentum (20-day)**: Weekly excess return: 1.72%, Monthly: 4.23%, YTD: -5.29%[30] - **Volatility (120-day)**: Weekly excess return: 4.85%, Monthly: 8.64%, YTD: -14.60%[30]

□本报记者 王宇露 上周市场表现强势，中证新华社民族品牌工程指数上涨3.64%，报1780.22点。阳光电源（300274）、东 方财富（300059）、中际旭创（300308）等成分股上周表现优异；下半年以来，中际旭创、科沃斯 （603486）、药明康德（603259）等成分股涨幅居前。 展望后市，机构认为，后续市场风险偏好和交投情绪或持续高涨，流动性充裕将成为驱动力，市场仍存 在着较多的投资机会，在流动性驱动后，基本面驱动有望接棒。 多只成分股表现强势 上周市场大幅上涨，上证指数上涨1.70%，深证成指上涨4.55%，创业板指上涨8.58%，沪深300指数上 涨2.37%，品牌工程指数上涨3.64%，报1780.22点。 下半年以来，中际旭创上涨63.20%，排在涨幅榜首位；科沃斯上涨57.31%，居次席；药明康德上涨 40.62%；阳光电源、达仁堂、泰格医药涨逾30%；我武生物（300357）和恒瑞医药（600276）分别上涨 29.22%和22.16%；智飞生物（300122）、国瓷材料、盾安环境、石头科技、东方财富、复星医药、泸 州老窖（000568）、康泰生物（300601）、步长制药（60385 ...

近期A股股指一路上行，市场热情被点燃。多家投顾组合顺势而为，提升股票仓位、增加成长风格基金 配比，为组合注入进攻因素，同时减少固收配置。 科技、医药等主题基金成为投顾旗下组合的热门加仓品种，部分组合还通过增配港股、量化产品等方 式，进一步增强业绩弹性。 组合进攻性增强 □本报记者 张舒琳 魏昭宇 让组合更具成长性，是多家投顾组合近期调仓的重要思路。比如，富国双子星股债均衡在8月1日的调仓 理由中明确提到"权益部分增加成长基金配比"。具体来看，该组合加仓了金鹰科技创新股票C、富国新 兴产业股票C等多只成长风格较强的基金。此外，富国满天星追求收益在8月4日的调仓理由中表示，本 次调仓小幅增加了组合的弹性和锐度，中信建投轮换混合C、金鹰科技创新股票C等产品获得加仓。嘉 实财富权益甄选在近期的调仓计划中表示，预计市场维持结构性震荡行情，组合在风格均衡的基础上， 小幅增加了相对低位的成长方向。 仓位变动也能显示组合的进攻性变化，这些投顾组合近期普遍提升了权益投资仓位，减少了固收配置仓 位。例如，易方达股债平衡自7月以来两次调仓，7月9日将股票型基金持仓占比提升至52%，8月14日再 次将股票型基金持仓占比提升至55.3 ...

Market Overview - The A-share market remained active from August 11 to August 15, with the Shanghai Composite Index closing near 3700 points, marking a new high since September 2021 [1] - Financial technology, securities, battery, and optical module sectors showed strong performance, while banking and dividend-themed ETFs weakened [1][2] - The total trading volume of ETFs approached 2 trillion yuan, indicating a significant increase in trading activity [3] ETF Performance - Over 20 ETFs related to financial technology, securities, batteries, and optical modules rose over 10% last week, with individual stocks like Yingwei Ke, Xinyi Sheng, and Tonghuashun increasing over 20% [2] - The top-performing ETFs included those from Huaxia Fund, Bosera Fund, and E Fund, focusing on financial technology and new energy sectors [2] - Conversely, banking-themed ETFs experienced declines of around 3%, with some dividend and aerospace ETFs dropping over 1% [2] Fund Flow Trends - There is a noticeable trend of profit-taking in ETF funds, with significant outflows from ETFs like Huaxia's and Jiashi's technology-focused products, despite their price increases [3] - The total trading volume for stock and bond ETFs exceeded 500 billion and 700 billion yuan, respectively, with the E Fund's Hong Kong Securities ETF reaching a record weekly trading volume of nearly 120 billion yuan [3] - Funds have been flowing into leading broad-based and popular Hong Kong stock ETFs, indicating a shift in investor focus [3] Investment Strategy Shifts - The market has transitioned from a "bank + micro-disk" approach to pricing based on fundamental trends, particularly favoring growth sectors [4] - Analysts suggest a shift in investment strategies towards growth styles, with a notable switch between large-cap and small-cap stocks driven by valuation differences [4] - The focus is now on sectors with strong industrial trends, as growth leaders are attracting more investor attention due to their profitability potential [4] Future Market Outlook - Short-term market strategies may focus on "bull market synchronous assets," particularly in brokerage, insurance, military, and rare earth sectors [5] - The Hong Kong market is viewed positively, with a focus on pricing trends indicating it may offer better value in the short to medium term [5] - The market is currently experiencing a phase of concentrated hot spots across various sectors, with potential mainline directions including domestic technological breakthroughs and high global market share manufacturing [5]

Core Insights - The A-share market has shown significant activity, with the Shanghai Composite Index nearing 3700 points, marking a new high since September 2021 [1] - Financial technology, securities, battery, and optical module sectors have performed strongly, while banking and dividend sectors have weakened [2][4] - There is a noticeable trend of profit-taking in ETF investments, with significant outflows from certain technology-focused ETFs [3][4] Market Performance - Over 20 ETFs related to financial technology and other growth sectors saw gains exceeding 10% last week, including those from major fund houses like Huaxia and E Fund [2] - Conversely, several banking and dividend-themed ETFs experienced declines of around 3% [2] ETF Trading Activity - The total trading volume of ETFs approached 2 trillion yuan, with stock and bond ETFs contributing over 500 billion and 700 billion yuan, respectively [3] - The E Fund's Hong Kong Securities Investment ETF reached a record weekly trading volume of nearly 120 billion yuan [3] Fund Flows - There has been a clear trend of profit-taking, with significant outflows from ETFs like Huaxia's STAR 50 and Jiashi's STAR Chip ETFs, despite their price increases [3] - Conversely, funds have flowed into broader market ETFs such as Huaxia's 50 ETF and others focused on non-bank financials and internet sectors [4] Investment Strategy Shifts - The market is shifting from a focus on "banking + micro盘" to a valuation based on fundamental trends, particularly in growth sectors [4] - Analysts suggest a "barbell strategy" is emerging, favoring growth stocks over traditional dividend-paying stocks [4] Future Market Outlook - The market may experience a shift in trading logic, moving from emotion-driven rapid increases to trends supported by fundamentals [5] - Key sectors to watch include technology breakthroughs, high global market share manufacturing, and potentially high-growth areas like pharmaceuticals and new consumption [5]

科技、医药等主题基金成为投顾旗下组合的热门加仓品种，部分组合还通过增配港股、量化产品等方 式，进一步增强业绩弹性。 组合进攻性增强 让组合更具成长性，是多家投顾组合近期调仓的重要思路。比如，富国双子星股债均衡在8月1日的调仓 理由中明确提到"权益部分增加成长基金配比"。具体来看，该组合加仓了金鹰科技创新股票C、富国新 兴产业股票C等多只成长风格较强的基金。此外，富国满天星追求收益在8月4日的调仓理由中表示，本 次调仓小幅增加了组合的弹性和锐度，中信建投轮换混合C、金鹰科技创新股票C等产品获得加仓。嘉 实财富权益甄选在近期的调仓计划中表示，预计市场维持结构性震荡行情，组合在风格均衡的基础上， 小幅增加了相对低位的成长方向。 仓位变动也能显示组合的进攻性变化，这些投顾组合近期普遍提升了权益投资仓位，减少了固收配置仓 位。例如，易方达股债平衡自7月以来两次调仓，7月9日将股票型基金持仓占比提升至52%，8月14日再 次将股票型基金持仓占比提升至55.3%。南方股债平衡蓝筹也在7月底将股票型基金仓位从41.24%提升 到47%，与此同时将固收型基金仓位降低至35%。景顺长城攻守全明星组合表示，随着外部扰动因素的 不确 ...

□本报记者 王宇露 上周市场表现强势，中证新华社民族品牌工程指数上涨3.64%，报1780.22点。阳光电源、东方财富、中 际旭创等成分股上周表现优异；下半年以来，中际旭创、科沃斯、药明康德等成分股涨幅居前。 行情有望转为基本面驱动 盘京投资表示，在宏观和微观因素持续改善的背景下，7月份以来市场风险偏好有所提振，A股市场延 续结构性行情，主要宽基指数普遍收涨，恒生指数和恒生科技指数与A股趋势保持一致。近期科技风格 表现较好，科技龙头和创业板指领涨，红利、消费类风格表现不尽如人意。市场的行业选择围绕科技风 格等展开，表现相对较弱的行业主要集中在过去的传统高股息板块和消费领域，如银行、公用事业板块 逆势下跌，显示市场已从偏防御心态转变为偏进攻心态。 星石投资分析，国内宏观因素的影响偏中性，市场对利好信息更为敏感，对利空信息相对"脱敏"，情绪 端和资金行为的短期变化对股市的影响有所增加。结构上看，成长风格表现更好，其余风格内部表现分 化。 展望后市，星石投资表示，近期市场在短期回调后再度上涨，市场成交持续增加，后续市场风险偏好和 交投情绪或持续高涨，股市赚钱效应的提升或吸引场外资金入市，场内流动性保持充裕的背景下， ...

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].