证券研究报 告 【策略专题】 现金流指数为何今年偏弱，往后会强吗？ ——自由现金流资产系列 13 现金流相对红利：大盘风格显著，小盘占优行情下相对收益承压。由于基于 自由现金流规模被赋予的权重较红利指数的股息率加权更大，故现金流指数 大盘风格显著更强。 宏观经济不及预期；宏观及行业政策、监管环境发生重大变化，使得行业发 展逻辑根本性改变；历史经验不代表未来。 策略研究 策略专题 2025 年 08 月 22 日 华创证券研究所 证券分析师：姚佩 邮箱：yaopei@hcyjs.com 执业编号：S0360522120004 证券分析师：林昊 邮箱：linhao@hcyjs.com 执业编号：S0360523070007 相关研究报告 图表目录 | 图表 | 1 煤炭&石化 23、24 年估值驱动行情，25Q1 估值盈利双双承压 | 4 | | --- | --- | --- | | 图表 | 2 煤炭盈利下滑带动现金流规模收缩持续两年有余 | 4 | | 图表 | 3 石油石化盈利规模小幅收缩 | 4 | | 图表 | 4 盈利能力的低波特征同样能带来收益增强 | 5 | | 图表 | 5 华创自由现金流组合 ...

Core Viewpoint - The market is experiencing a bullish trend driven by the performance of the National Index of Free Cash Flow, with significant gains in related stocks and ETFs, indicating a shift towards a focus on cash flow accumulation in corporate management [1]. Group 1: Market Performance - On August 8, major indices opened lower but rebounded, with the National Index of Free Cash Flow rising over 0.6% during the session [1]. - Notable gainers among constituent stocks included Chuangfeng Power, which rose over 5%, along with Xuefeng Technology, Jiejia Weichuang, and Luoyang Molybdenum [1]. - The Free Cash Flow ETF (159201) closely tracked the index's performance, with a trading volume exceeding 200 million yuan, indicating active trading [1]. Group 2: Economic Outlook - Huachuang Securities suggests that the second half of the year will see a physical re-inflation, contributing to a more stable bull market [1]. - The ability of free cash flow to create compounding miracles is highlighted, with expectations of a gradual recovery in credit growth, although it is unlikely to return to the rapid capital expenditure expansion levels seen a decade ago [1]. - The changing economic operating model is expected to shift the long-term logic of stock market pricing from front-end expansion to back-end prudent management and cash flow accumulation [1]. Group 3: Investment Strategy - The Free Cash Flow ETF (159201) compensates for the traditional dividend strategy's shortcomings in industry coverage and future performance predictions, focusing on endogenous growth capabilities [1]. - The strategy emphasizes financial health and sustainability, aligning with the needs of investors seeking long-term growth and capital appreciation [1].

Group 1: Macro Insights - The relative value of stocks compared to bonds has significantly improved, indicated by a ten-year divergence in the Sharpe ratio difference between stocks and bonds, suggesting a resurgence in the attractiveness of equities[2][13][17]. - Policy measures have provided a rare certainty that limits downside risks in the stock market, reducing volatility and drawdowns[2][14][19]. - Economic leading indicators have shown signs of bottoming out, with the corporate and household deposit scissors gap improving since September 2024, indicating a potential stabilization in profit growth[2][14][20]. Group 2: Market Trends - The bull market is expected to continue, transitioning from financial re-inflation to real asset re-inflation, with a focus on structural optimization rather than total expansion[3][24]. - New trends above 3500 points include accelerated inflow of incremental funds, with margin trading and active equity funds driving significant volume increases, reaching an average daily turnover of 1.6 trillion CNY in July[3][25]. - The market is witnessing a shift towards mid-cap growth stocks, with a notable increase in earnings per share (EPS) revisions, indicating a recovery in corporate performance expectations[3][27]. Group 3: Fixed Income Adjustments - The recent adjustment in the value-added tax (VAT) on bond interest income is expected to create a favorable environment for older bonds, leading to a decrease in yields and a return of alpha spread value in the bond market[4][29][32]. - The long-term impact of the VAT changes will depend on the issuance of new government bonds and the market's response to these adjustments, with expectations of a potential upward shift in the yield curve[4][32][33]. Group 4: U.S. Federal Reserve Signals - The July Federal Reserve meeting maintained the federal funds rate at 4.25%-4.5%, with indications that inflation risks outweigh employment risks, suggesting a cautious approach to future rate cuts[5][34][35]. - The Fed's stance reflects a focus on managing inflationary pressures while acknowledging the uncertainties surrounding economic growth, particularly in light of tariff impacts on consumer prices[5][34][36].

Core Viewpoint - The significant increase in new A-share investor accounts in July 2025, driven by market performance and policy support, indicates a strong investor sentiment and potential for continued growth in the market [1][5]. Summary by Sections New Account Openings - In July 2025, the number of new A-share investor accounts reached 1.96 million, a 71% increase compared to 1.15 million in July 2024 [1]. - The total number of new accounts opened in the A-share market for the first seven months of 2025 has reached 14.56 million [2]. Monthly Account Data - Monthly new account openings showed fluctuations: January had 1.57 million, February saw a near doubling to 2.84 million, and March exceeded 3 million. April experienced a 37.22% decline due to market volatility, while July saw a 19.27% increase from June [3]. Market Performance and Investor Sentiment - The strong performance of the A-share market in July, with the Shanghai Composite Index rising by 3.74%, the Shenzhen Component by 5.20%, and the ChiNext Index by 8.14%, contributed to heightened investor confidence and enthusiasm for opening new accounts [5]. - The collaboration between brokerage firms and internet platforms has facilitated the influx of younger investors, injecting new energy into the A-share market [5]. Brokerage Performance - Many brokerage firms reported positive growth in new account openings in their 2024 annual reports, with some mid-sized firms experiencing increases exceeding 90% [6]. Market Outlook - Despite some market corrections, the Shanghai Composite Index has shown a year-to-date increase of 6.61%, with expectations for further highs in the future [8]. - Analysts suggest that the market may experience fluctuations in early August but is likely to return to an upward trend later in the month, driven by performance disclosures and easing concerns over trade tensions [9].

Group 1 - The report highlights that global stock indices have recovered to levels prior to the tariff shocks on April 2, with significant rebounds observed across major economies [10][11][18] - The domestic market is currently facing a contradiction between liquidity-driven valuation recovery and the downward pressure on earnings due to tariff impacts, with liquidity being the dominant factor in the short term [2][29][31] - The report anticipates a range-bound market in the second quarter, with limited potential for upward or downward breakthroughs, influenced by state support and the need for fundamental and policy developments [3][41][50] Group 2 - The investment strategy maintains a focus on financial re-inflation in the first half of the bull market, advocating for a "barbell" allocation of dividend stocks and small-cap growth [4][51][52] - The banking sector is expected to benefit from increased allocations due to public fund reforms and the entry of long-term capital, positioning banks favorably as creditors compared to private debtors in a low-price environment [4][52] - Dividend assets are highlighted for their stable cash flow generation and shareholder returns, with a focus on sectors such as banking, ports, highways, non-ferrous metals, liquor, and telecommunications [5][51]