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 ...

Market Sentiment Tracking - As of February 28, 2025, the proportion of rising stocks in the CSI 300 index has decreased to below 60%, indicating a decline in market sentiment [2] - The momentum sentiment indicators show a downward trend in the short-term line and an upward trend in the long-term line, suggesting a cautious outlook for the near future [2] - The short-term sentiment indicators for the CSI 300 index remain in a prosperous sentiment range [2] Fund Cohesion Tracking - As of February 28, 2025, the degree of fund cohesion remains low, with a high level of fund clustering observed [3] - There has been a slight decline in the excess returns of clustered stocks and funds over the past month [3] PB-ROE-50 Strategy Tracking - In February 2025, the PB-ROE-50 strategy experienced a pullback in excess returns across various stock pools [4] - The excess return for the CSI 500 stock pool was -3.34%, for the CSI 800 stock pool was -5.32%, and for the overall market stock pool was -2.54% [4] Institutional Research Strategy Tracking - The private equity research tracking strategy showed significant excess returns in February [5] - The public fund research selection strategy underperformed the CSI 800 with an excess return of -0.57%, while the private equity research tracking strategy outperformed with an excess return of 2.88% [5] Negative List - As of February 28, 2025, several stocks with high interest-bearing debt ratios ranked poorly, including Zhongyida, Guiding Compass, and others, with rankings of 100 or lower [6] - Stocks with high financial cost burden ratios include Ningbo Fangzheng, Ganfeng Lithium, and others, all with ratios exceeding 10 times [6]

- The report primarily focuses on market liquidity, investor behavior, and fund flows, with no explicit mention of quantitative models or factors for analysis [3][5][6] - The data includes metrics such as market valuation ratios (e.g., PE, PB), trading activity (e.g., turnover rates), and fund flows (e.g., ETF inflows/outflows, financing balances), but these are descriptive statistics rather than constructed quantitative factors or models [12][15][47] - The report highlights external influences like foreign capital flows, AH premium trends, and macroeconomic indicators (e.g., US-China interest rate spreads), but these are not tied to specific quantitative factor construction or model testing [50][56][70]

短短一个星期，股民就从极度亢奋的状态，又变回了以前万念俱灰的样子。国庆开盘前很多人摩拳擦 掌，嫌10%涨的太慢，现在已经开始诚惶诚恐担心会不会跌回3000点以下。 大v也有拒绝奋斗，主动躺平的，我就是。曾经那个老想把事情扛起来，经常自我感动往前冲的猫兄 弟，在前几年已经寄了。 晚上不知怎的絮絮叨叨写了那么多闲的淡的，如果你们想听行情的话，我觉得10月7日是过度乐观，现 在则是过度悲观，都是不可取的极端情绪。我今天收盘前加了1手if，1手ic，我已经很久很久没有主动 加仓a股头寸了。 想听听看周六那个会议有哪些内容，就算落空了，我寻思在这个位置滚期指大不了浪费时间，不至于大 亏。哎， 赌瘾又犯了，剁手了剁手了。 像10月8日之前的那种涨法，摆明了就是不想好好投资，既要逼死空头，也要逼疯多头，最后行情就像 打上天的一朵烟花，的一下就散落了。那几天微信群、抖音、微博全都在聊股票，同行们都在讨论 流量涨了没，哪里开户效率高，谁谁谁的课卖疯了，谁谁谁拉大户群搞串联。 我不跟你们开玩笑，我那几天根本没想这些，我满脑子的都是警铃大作，一定要注意文章措辞，我不能 再同一个坑里摔两次。其实我当时并不知道最后大盘能疯到哪，但我能 ...