Group 1 - Market sentiment indicators showed a decline, with the sentiment index at 2, down from 2.55 the previous week, indicating a bearish outlook despite some improvement in sub-indicators [7][9][10] - The industry trend showed signs of recovery, with financing balance ratio increasing, suggesting a restoration of market leverage sentiment [9][24][39] - The total trading volume for the week increased slightly compared to the previous week, with the highest daily trading volume reaching 31,666.43 billion RMB [12][14] Group 2 - The trading volatility between industries continued to decline, indicating reduced activity in fund switching, while the RSI indicator shifted from positive to neutral, suggesting a cooling of bullish momentum [9][30] - The short-term trend scores for industries such as machinery, electric equipment, and automotive are notably strong, with machinery and electric equipment both scoring 96.61 [34][35] - The model indicates a preference for large-cap growth styles, although the strength of this signal is weakening and requires further observation [34][49] Group 3 - The report highlights high capital congestion in sectors like automotive and electric equipment, which have seen significant price increases, indicating potential volatility risks [39][44] - Conversely, sectors such as retail and transportation show high capital congestion but lower price increases, suggesting stable capital allocation [39][44] - Low congestion sectors like pharmaceuticals and beauty care, which have seen lower price increases, may present opportunities for gradual long-term investment as risk appetite improves [39][44]

Core Insights - The report indicates that the market is currently in an upward trend, with the WIND All A index showing a positive money-making effect of approximately 0.87% [2][10][15] - The report suggests maintaining a portfolio allocation of 80% in absolute return products based on the current valuation levels of the WIND All A index, which is at the 85th percentile for PE and the 50th percentile for PB, indicating a moderate valuation [11][8] Market Overview - The WIND All A index experienced a slight decline of 0.18% over the past week, with small-cap stocks represented by the CSI 2000 down by 0.02%, mid-cap stocks in the CSI 500 up by 0.32%, and large-cap indices like the CSI 300 and SSE 50 down by 0.44% and 1.98% respectively [9][10] - The report highlights strong performance in sectors such as power equipment and new energy, with new energy stocks rising by 3.61%, while the banking sector saw a decline of 4.09% [9][10] Timing System Analysis - The distance between the short-term (20-day) and long-term (120-day) moving averages continues to widen, indicating a sustained upward trend in the market, with the latest figures showing a 13.57% difference [2][10] - The report emphasizes that as long as the money-making effect remains positive, there is potential for continued inflow of incremental funds into the market [2][10][15] Sector Recommendations - The report recommends focusing on sectors that are likely to benefit from policy-driven growth, including innovative pharmaceuticals, new energy, and chemicals, while also suggesting a renewed focus on precious metals [2][10][15] - The TWO BETA model continues to recommend technology sectors, particularly in computing power and consumer electronics [2][10][15]

证券研究报告 | 金融工程 2025 年 9 月 21 日 利多因素边际走弱，继续看多但程度下降 ——A 股趋势与风格定量观察 20250921 1. 当前市场观察 2. 市场最新观点 风险提示：择时和风格轮动模型结论基于合理假设前提下结合历史数据统计规 律推导而出，市场环境变化下可能导致出现模型失效风险。 王武蕾 S1090519080001 wangwulei@cmschina.com.cn 王禹哲 S1090525080001 wangyuzhe@cmschina.com.cn 敬请阅读末页的重要说明 定期报告 ❑ 本周市场震荡分化，大盘价值风格走弱，小盘成长风格维持偏强走势。具体 来看，万得全 A 指数下跌约 0.18%，上证 50、沪深 300 分别下跌约 1.95%、 0.41%，中证 1000 则上涨约 0.23%。国证价值下跌约 2.06%，而国证成长却 上涨约 1.49%，创业板指、科创 50 分别上涨约 2.35%、1.84%。 ❑ 择时方面，我们继续看多 A 股，但短期看好程度有所下降。继续看好的核心 原因为当前市场交易情绪仍相对较强、人民币升值背景下内外部流动性宽 裕、基本面上信贷脉冲 ...

Group 1: Market Overview - The SAR indicator has shown a bullish breakout, indicating strong market volatility and a potential upward trend in the coming week [1][3] - The liquidity shock index for the CSI 300 was 0.78, indicating higher liquidity compared to the past year's average [1] - The PUT-CALL ratio for the SSE 50 ETF decreased to 0.67, reflecting increased investor optimism about short-term market movements [1] Group 2: Macroeconomic Factors - The onshore and offshore RMB exchange rates experienced weekly increases of 0.22% and 0.04%, respectively [2] - August CPI in China was -0.4%, lower than the previous value of 0% and below the consensus expectation of -0.2% [2] - New RMB loans in August amounted to 590 billion, exceeding both the consensus expectation and the previous value [2] Group 3: Technical Analysis - The Wind All A Index broke above the SAR indicator on September 11, signaling a potential upward trend [3] - The market score based on moving averages is 246, placing it in the 89.6 percentile for 2023 [3] - The sentiment model score is 2 out of 5, indicating mixed market emotions with a positive trend signal and a negative weighted model signal [3] Group 4: Market Performance - The SSE 50 Index rose by 0.89%, the CSI 300 Index increased by 1.38%, and the ChiNext Index grew by 2.1% during the last week [4] - The current market PE (TTM) is 22.2 times, which is in the 76.4 percentile since 2005 [4] Group 5: Factor and Industry Observations - Small-cap factor crowding remains stable at 0.57, while low valuation and high profitability factors show negative crowding [5] - The industry crowding is relatively high in sectors such as non-ferrous metals, communications, and power equipment, with notable increases in power equipment and media [6]

Group 1 - The report indicates that the current WIND All A index is in an upward trend, with the trend line positioned around 6106 points and a positive earning effect of approximately 1.9% [2][10] - The report suggests maintaining a balanced allocation in response to increased market volatility, especially as the market enters a significant event window [2][10] - The report highlights that the market's short-term moving average (20-day) is above the long-term moving average (120-day), with the distance between them increasing from 12.15% to 13.19%, indicating a continued upward trend [2][9] Group 2 - The industry allocation model recommends focusing on sectors that are expected to benefit from policy-driven growth, such as chemicals and innovative new energy, while also continuing to support the Hong Kong innovative pharmaceutical sector [2][10] - The report emphasizes the importance of the market's earning effect in sustaining mid-term incremental capital inflows, as long as the earning effect remains positive [2][10] - The report identifies technology sectors, particularly those related to computing power and batteries, as areas of interest based on the TWO BETA model [2][10]

Group 1: Market Sentiment Indicators - The market sentiment indicator is currently at 3.2, indicating a high level of market sentiment, which is a slight increase from 2.9 the previous week, with a neutral outlook in the short term [2][8] - The price-volume consistency score has rapidly declined, suggesting a decrease in market activity and participation, while the trading volatility among industries continues to decrease, indicating a slowdown in capital flow [2][10] - The total transaction volume for the entire A-share market has significantly decreased compared to the previous week, with the lowest daily transaction amount recorded at 23,483.59 billion RMB and a daily trading volume of 1,460.90 million shares [2][14] Group 2: Industry Trends and Performance - The industry trend has shown a rapid decline, with the PCR combined with the VIX indicator turning negative, indicating a decrease in hedging demand and potential accumulation of risks due to suppressed volatility [2][10] - The sectors with high capital congestion include comprehensive and electric equipment, which have seen significant price increases, while sectors like computer and electronics have high congestion but lower price increases [2][38] - The short-term trend scores for industries such as electric equipment, public utilities, and food and beverage are on the rise, with electric equipment achieving a short-term score of 100, indicating strong performance [2][31][32] Group 3: Investment Style and Strategy - The current model indicates a preference for large-cap growth styles, with a strong signal for large-cap stocks, while the short-term RSI for growth styles has significantly declined, suggesting a need for further monitoring [2][31][43] - The analysis of industry congestion indicates that low congestion sectors like defense, steel, and construction materials may present investment opportunities as risk appetite increases [2][38][39]

Market Overview - The market is expected to continue its upward trend next week, with the liquidity shock indicator for the CSI 300 index at 0.77, lower than the previous week's 1.26, indicating current market liquidity is 0.77 standard deviations above the average level over the past year [2] - The PUT-CALL ratio for the SSE 50 ETF options has increased to 0.80 from 0.66, reflecting a rise in investor caution regarding the short-term performance of the SSE 50 ETF [2] - The average turnover rates for the Shanghai Composite Index and Wind All A are at 1.47% and 2.25%, respectively, indicating a decrease in trading activity compared to historical levels [2] Economic Indicators - The onshore and offshore RMB exchange rates saw weekly increases of 0.66% and 0.68%, respectively [2] - The official manufacturing PMI for China in August was reported at 49.3, slightly below the previous value of 49.7 but above the consensus expectation of 49.25; the S&P Global China Manufacturing PMI was at 50.5, up from 49.5 [2] Technical Analysis - The SAR indicator for the Wind All A index has shown a downward breakout, while the sentiment model has issued a negative signal [2] - The moving average strength index currently scores 211, placing it in the 77.0% percentile for 2023 [2] - The sentiment model score is at 0 (out of 5), indicating a negative trend signal [2] Market Performance - For the week of September 1-5, the SSE 50 index fell by 1.15%, the CSI 300 index decreased by 0.81%, and the CSI 500 index dropped by 1.85%, while the ChiNext index rose by 2.35% [3] - The overall market PE (TTM) stands at 21.9 times, which is in the 73.9% percentile since 2005 [3] Factor Analysis - The small-cap factor's congestion level remains stable at 0.68, while the low valuation factor is at -0.66, and the high profitability factor is at -0.23 [4] - The high profitability growth factor has a congestion level of 0.25 [4] Industry Analysis - The congestion levels for the comprehensive, non-ferrous metals, telecommunications, power equipment, and machinery equipment industries are relatively high, with notable increases in the congestion levels for power equipment and comprehensive sectors [5]

Core Insights - The report indicates that the market is in an upward trend, with the WIND All A index showing a significant distance of 12.15% between the short-term (20-day) and long-term (120-day) moving averages, suggesting a continued bullish environment [2][4][11] - The current market environment is characterized by a positive profit effect of 1%, and as long as this remains positive, there is potential for continued inflow of incremental funds [2][4][11] - The report highlights the importance of maintaining a balanced portfolio due to increased market volatility, recommending adjustments to holdings in favor of defensive sectors [3][4][11] Market Performance - The WIND All A index experienced a decline of 1.37% over the past week, with small-cap stocks (CSI 2000) down 1.72%, mid-cap stocks (CSI 500) down 1.85%, and large-cap stocks (CSI 300) down 0.81% [10] - Notable sector performance included a 5.91% increase in the electric equipment and new energy sector, while the defense and military sector saw a decline of 11.61% [10] Investment Strategy - The report recommends maintaining a high position in the market, suggesting an 80% allocation to absolute return products based on the current market conditions [3][11] - The industry allocation model suggests a focus on sectors that are likely to benefit from policy support, such as chemicals, non-ferrous metals, and innovative new energy, while also recommending investments in Hong Kong innovative pharmaceuticals and securities insurance [3][4][11] - The report advises against chasing high-flying stocks and instead suggests increasing exposure to previously lagging sectors to mitigate risks during market adjustments [3][4][11]

Core Viewpoint - The market is expected to continue its upward trend in the coming week, supported by positive signals from SAR indicators and sentiment models, as well as new upward space in the moving average strength index [1][2]. Market Indicators - The liquidity shock indicator for the CSI 300 index was 1.26, lower than the previous week's 1.73, indicating current market liquidity is 1.26 times above the average level of the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF options increased to 0.66, up from 0.64 the previous week, suggesting a decrease in investor optimism regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 1.67% and 2.58%, respectively, indicating trading activity is at the 83.35% and 90.49% percentile since 2005 [2]. Economic Events - The US stock market experienced fluctuations, with the Dow Jones, S&P 500, and Nasdaq indices showing weekly returns of -0.19%, -0.1%, and -0.19%, respectively [2]. - The US core PCE price index for July rose by 2.9% year-on-year, marking the highest level since February 2025, with a month-on-month increase of 0.3% [2]. Industry Insights - The State Council released an action plan for the deep implementation of "Artificial Intelligence +", aiming for significant integration of AI in six key areas by 2027 and a core industry scale of the smart economy to grow rapidly [2]. - The sentiment model score is 3 out of 5, indicating a positive trend signal, while the moving average strength index score is 244, placing it in the 89.2% percentile for 2023 [2]. Performance Overview - For the week of August 25-29, the SSE 50 Index rose by 1.63%, the CSI 300 Index by 2.71%, the CSI 500 Index by 3.24%, and the ChiNext Index by 7.74% [3]. - The current overall market PE (TTM) stands at 22.1 times, which is at the 75.5% percentile since 2005 [3]. Factor Crowding - The crowding degree for small-cap factors has significantly decreased to 0.46, while low valuation factors are at -0.65, high profitability factors at -0.18, and high profitability growth factors at 0.40 [3]. Industry Crowding - The industry crowding degree is relatively high in sectors such as non-ferrous metals, comprehensive, telecommunications, machinery equipment, and electronics, with telecommunications and non-ferrous metals showing a significant increase [4].

Core Insights - The report emphasizes a bullish market sentiment, suggesting that investors should maintain high positions and accumulate during dips as long as the market's profitability remains positive [1][2][3] - The current trend line for the WIND All A index is around 5926 points, with a profitability effect value of 4.2%, indicating a strong positive sentiment [2][10] - The report recommends focusing on sectors that are likely to benefit from policy support, including innovative pharmaceuticals, securities insurance, chemicals, and new energy technologies [2][10] Market Overview - The market is in an upward trend, with the short-term moving average (20-day) at 5884 points and the long-term moving average (120-day) at 5310 points, showing a widening gap of 10.81% [2][9] - The profitability effect has been positive, with a previous value of 5.22% and a recent value of 4.2%, suggesting continued market interest and potential for new capital inflows [1][10] - The report notes that small-cap stocks (represented by the CSI 2000) decreased by 0.78%, while mid-cap (CSI 500) and large-cap stocks (CSI 300 and SSE 50) showed increases of 3.24%, 2.71%, and 1.63% respectively [1][9] Sector Recommendations - The report continues to recommend sectors that are in a turnaround phase, specifically highlighting innovative pharmaceuticals and securities insurance as key areas for investment [2][10] - Additionally, sectors driven by policy support, such as chemicals and new energy technologies, are expected to maintain an upward trajectory [2][10] - The TWO BETA model suggests a focus on technology sectors, particularly in AI applications, computing power, and battery technologies [2][10] Valuation Metrics - The overall PE ratio for the WIND All A index is around the 85th percentile, while the PB ratio is at the 50th percentile, indicating a moderate valuation level [3][10] - Based on the current market conditions, the report advises maintaining an 80% allocation in absolute return products based on the WIND All A index [3][10]