- The report mentions the "TWO BETA" model, which continues to recommend the technology sector, focusing on communication equipment and military industry[3][4][9] - The industry allocation model suggests a mid-term focus on sectors experiencing a turnaround, recommending industries such as new energy[3][4][9] - The timing system signal shows that the distance between the 20-day and 120-day moving averages of the Wind All A Index has narrowed to 3.28%, indicating a market in a volatile state[2][4][11] - The report suggests that if the trading volume falls below 1.1 trillion yuan, the market is expected to rebound[2][4][11] - The current PE ratio of the Wind All A Index is around the 60th percentile, indicating a medium level, while the PB ratio is around the 20th percentile, indicating a relatively low level[3][12] - The position management model recommends maintaining a 50% position for absolute return products based on the Wind All A Index[3][12] Model and Factor Construction - **TWO BETA Model**: This model recommends the technology sector, focusing on communication equipment and military industry. The model's construction details are not provided in the report[3][4][9] - **Industry Allocation Model**: This model suggests a mid-term focus on sectors experiencing a turnaround, recommending industries such as new energy. The model's construction details are not provided in the report[3][4][9] - **Timing System**: The timing system uses the distance between the 20-day and 120-day moving averages of the Wind All A Index to determine market trends. The latest data shows the 20-day moving average at 5253 points and the 120-day moving average at 5086 points, with a distance of 3.28%[2][4][11] Model and Factor Evaluation - **TWO BETA Model**: Continues to recommend the technology sector, focusing on communication equipment and military industry[3][4][9] - **Industry Allocation Model**: Recommends a mid-term focus on sectors experiencing a turnaround, such as new energy[3][4][9] - **Timing System**: Indicates a market in a volatile state, with the distance between the 20-day and 120-day moving averages narrowing to 3.28%[2][4][11] Backtest Results - **Timing System**: The distance between the 20-day and 120-day moving averages of the Wind All A Index is 3.28%, indicating a market in a volatile state[2][4][11] - **Wind All A Index**: The current PE ratio is around the 60th percentile, and the PB ratio is around the 20th percentile[3][12] - **Position Management Model**: Recommends maintaining a 50% position for absolute return products based on the Wind All A Index[3][12]

Market Performance - The recent 5 trading days saw the Sci-Tech 50 Index decline by 1.29%, and the ChiNext Index drop by 1.12%, while the large-cap value index rose by 0.28% and the large-cap growth index increased by 0.04% [1] - The healthcare and agriculture sectors performed well, whereas the computer and defense industries 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, which has historically reached extreme levels at two standard deviations above the mean during significant market bottoms [1] - As of January 19, 2024, the risk premium indicator was at 4.11%, marking the fifth occurrence since 2016 of exceeding 4% [1] Valuation Levels - As of March 28, 2025, the CSI All Share Index's PE TTM percentile was at 53%, with the SSE 50 and CSI 300 at 58% and 48% respectively, while the ChiNext Index was close to 14% [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 approximately every three years, followed by bull markets, with declines ranging from 40% to 45% [2] - The current adjustment cycle, which began in Q1 2021, appears to have sufficient time and space for a potential upward trend [2] Fund Flow and Trading Activity - In the last 5 trading days, ETF inflows totaled 16.2 billion yuan, while margin financing decreased by approximately 24.8 billion yuan [3] - The average daily trading volume across both markets was 1.2346 trillion yuan [3] Thematic Investment Focus - As of March 28, 2025, the recommended investment themes include construction materials and low-volatility dividend stocks [2][8]

广发证券首席金工分析师 安宁宁 SAC: S0260512020003 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指数跌4.16%，创业板指跌3.34%，大盘价值跌0.91%，大盘成长跌2.89%，上证50跌2.38%，国证2000代表的小盘跌 1.89%，石油石化、建筑材料市场表现靠前，计算机表现靠后。 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2025/03/21指标3.61%，两倍标准差边界为4.72%。 估值水平，截至2025/03/21，中证全指PETTM分位数54%，上证50与沪深300分别为58%、47%，创业板指接近15%，中证500与中证1000分别为35%、 42%，创业板指风格 ...

广发证券首席金工分析师 安宁宁 最近5个交易日，科创50指数涨2.67%，创业板指涨1.61%，大盘价值涨1.01%，大盘成长涨1.28%，上证50涨1.63%，国证2000代表的小盘涨4.00%，有色金 属、国防军工市场表现靠前，石油石化表现靠后。 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 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2025/03/07指标3.65%，两倍标准差边界为4.71%。 估值水平，截至2025/03/07，中证全指PETTM分位数55%，上证50与沪深300分别为59%、47%，创业 ...

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指数跌1.46%，创业板指跌4.87%，大盘价值跌0.65%，大盘成长跌2.63%，上证50跌1.61%，国证2000代表的小盘跌3.12%，钢铁、房 地产市场表现靠前，通信、传媒表现靠后。 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2025/02/28指标3.82%，两倍标准差边界为4.70%。 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 四、市场情绪之200日长期均线之上比例 五、权益资产与债券资产风险偏好跟踪 六、融资余额 估值水平，截至2025/02 ...