策略周报——2025.08.26 | | | 研究所 0371-58620086 | | --- | --- | --- | | 品种 | 逻辑 | 策略建议 | | 期权 | 本周 A 股延续上涨趋势，上证综指创一举突破 3800 点，创十 | 趋势投资者关注品种 | | | 年新高，市场成交额连续 8 个交易日超过 2 万亿。沪深 300 | 间的强弱套利机会。 | | | 指数均线多头排列，日三彩 K 线指标维持红色；周线三连阳 | 波动率投资者标的指 | | | ，周三彩 K 线指标维持红色。IF 期货当月合约转为升水标的 | 数上涨时做多波动率 | | | ，次月合约贴水当月合约基差缩小。IO 期权成交量放大，持 | ，下跌时做空波动率 | | | 仓量回升，期权成交量 PCR 下降，期权持仓量 PCR 上升，隐 | 。 | | | 含波动率上升，看涨、看跌期权最大持仓量行权价区间扩大 | | | | 。中证 1000 指数日线站上 7300 点，日三彩 K 线指标维持红 | | | | 色；周线三连阳，周三彩 K 线指标维持红色。IM 期货当月合 | | | | 约贴水标的基差缩小，次月合约贴水当 ...

Core Insights - The small-cap market continues to show strong performance, with the CSI 2000 Enhanced ETF (159552) nearing a historical high of 1.2 billion, reflecting a year-to-date growth of 7247.70% [1] Group 1: Market Trends - The current channels for resident capital entering the market include rising financing balances, increasing private fund sizes, and active individual investor account openings, contributing to a positive feedback loop for incremental capital [1] - The market is exhibiting a clear preference for technology growth styles (represented by the Sci-Tech 200 and ChiNext Index) and small-cap styles (represented by the CSI 1000 and CSI 2000), which are expected to continue dominating until other types of external capital enter the market [1]

Market Performance - On August 18, the A-share market saw a strong performance with a trading volume of 2.81 trillion yuan, marking a near 10-year high for the Shanghai Composite Index [1][2][3] - The Shanghai Composite Index reached 3740 points during the day, the highest since August 21, 2015, while the ChiNext Index closed at 2606.20 points, the highest since February 2, 2023 [2][3] Sector Performance - Technology stocks led the market rally, with significant gains in the telecommunications, comprehensive, and computer sectors, which rose by 4.46%, 3.43%, and 3.33% respectively [3][4] - Small-cap stocks outperformed large-cap stocks, with the CSI 1000 Index and CSI 2000 Index rising by 1.69% and 2.14% respectively [2][3] Capital Inflow - As of August 15, the A-share margin trading balance reached 20,626.42 billion yuan, with a financing balance of 20,485.99 billion yuan, both hitting over 10-year highs [1][5] - The net inflow of leveraged funds exceeded 530 billion yuan last week, indicating strong market interest [5][6] Investment Opportunities - Analysts suggest that the current market conditions present numerous investment opportunities, particularly in technology growth and small-cap styles, with expectations of continued upward movement in the mid-term [1][7][8] - The overall market capitalization of A-shares reached 110.08 trillion yuan, with a rolling P/E ratio of 21.34 times, indicating a strong valuation environment [7][8] Stock Highlights - Notable stocks in the telecommunications sector included Ruijie Networks and Dekeli, both hitting the 20% limit up, while Guangke Technology rose over 18% [4] - The top stocks with significant net inflows included ZTE Corporation and Lioo Co., with inflows of 27.77 billion yuan and 15.11 billion yuan respectively [6]

Core Viewpoint - The A-share market has shown strong performance, with significant increases in trading volume and stock prices, driven by the influx of incremental capital and a favorable market environment [1][6][7]. Group 1: Market Performance - On August 18, the A-share market saw a trading volume of 2.81 trillion yuan, marking a historical high and a significant increase of 536.3 billion yuan from the previous trading day [2][3]. - The Shanghai Composite Index reached 3,740 points during the day, the highest level since August 21, 2015, closing at 3,728.03 points, which is the highest close since August 20, 2015 [1][2]. - Over 4,000 stocks in the A-share market rose, with more than 120 stocks hitting the daily limit up [1][3]. Group 2: Capital Inflow - As of August 15, the A-share margin trading balance reached 20,626.42 billion yuan, with a financing balance of 20,485.99 billion yuan, both hitting the highest levels since June 30, 2015 [4][6]. - The net inflow of leveraged funds exceeded 530 billion yuan last week, indicating strong demand for stocks [3][4]. - On August 18, the net inflow of main funds into the CSI 300 index exceeded 30 billion yuan [1][5]. Group 3: Sector Performance - The technology sector, including communications, comprehensive, and computer industries, led the market gains, with respective increases of 4.46%, 3.43%, and 3.33% [3][6]. - The electronic, defense, and media sectors also saw significant gains, with increases exceeding 2% [3][6]. - The majority of industries experienced an increase in financing balances, with electronics, non-bank financials, and computing sectors leading in net buying amounts [4][6]. Group 4: Market Outlook - Analysts suggest that the A-share market still has considerable upward potential and investment opportunities in the medium term, supported by strong liquidity and improving fundamentals [6][7]. - The market is expected to continue favoring technology growth and small-cap styles, with a focus on new technologies and growth sectors such as domestic computing, robotics, and solid-state batteries [7].

Group 1: Size Rotation Model - The core viewpoint indicates that A-shares experience a rotation between large-cap and small-cap stocks approximately every few years, with small-cap styles dominating in months 2, 3, 5, and 8, while large-cap styles prevail in months 1, 4, and 12 [1] - The size rotation model is tested across six dimensions: macroeconomic factors, valuation, fundamentals, capital flow, sentiment, and volume-price analysis, yielding an annualized excess return of 17.45% during the backtest period from December 2013 to September 2024 compared to benchmarks like CSI 300 and CSI 2000 Equal Weight [1] - The latest quantitative model signal as of the end of July is 0.5, suggesting a continued preference for small-cap stocks, with historical data indicating that small-cap stocks slightly outperform in August, recommending an overweight position in small-cap for that month [1] Group 2: Value-Growth Rotation Model - The core viewpoint highlights that the value-growth rotation in A-shares is frequent and exhibits certain monthly effects, with the monthly model yielding an annualized excess return of 8.8% relative to benchmarks like the National Index Growth and National Index Value Equal Weight [2] - A weekly model constructed from deep learning factors, momentum factors, and crowding factors from a pure volume-price perspective shows an annualized excess return of 7.19% [2] - The latest monthly quantitative model signal as of the end of July is -0.33, indicating a shift towards value style, with historical data suggesting that value stocks tend to outperform in August, recommending an overweight position in value stocks for that month [2]

- The report constructs a "Speculative Capital Activity Indicator" to measure the activity level of speculative funds in the market. This indicator is derived from the rolling 60-day growth of margin financing balances and the activity of speculative traders in the market. The correlation between this indicator and the relative performance of the CSI 2000 index versus the CSI 300 index is 0.94, indicating that speculative funds significantly influence the pricing of small-cap stocks[11] - The "Small-Cap Style Dominance" is supported by the observation that the average market capitalization of stocks dominated by speculative traders has remained within the 30%-50% percentile range since 2018, aligning with the market cap range of the CSI 2000 index. This suggests that speculative funds are primarily concentrated in small-cap stocks[11] - The "Sectoral Dispersion Indicator" measures the internal return dispersion within sectors such as telecommunications, non-ferrous metals, and electronics. The rolling 20-day standard deviation of daily returns within these sectors is used as the metric. As of August 15, 2025, the dispersion levels for these sectors are at the 44.4%, 61.8%, and 54.7% percentiles, respectively, indicating no significant concentration of funds in large-cap stocks within these sectors[13] - The "BARRA Style Factor Performance" analysis highlights that short-term momentum factors delivered significant excess returns during the week, while high-beta stocks also maintained positive excess returns. Conversely, long-term reversal and high-volatility factors underperformed. The EP (Earnings-to-Price) value factor showed a weekly return of 0.2%, while the momentum factor achieved a return of 0.3%[24][25]

Core Insights - The report indicates that there are signs of accelerated inflow of resident funds into the market, driven by a combination of improved market liquidity and a shift in deposit behavior towards non-bank financial institutions [2][4][17]. - The overall A-share valuation level has increased, with the Wind All A Index PE (TTM) rising to 16.62, which is at the 63.0% historical percentile [3]. - The market is currently characterized by a strong preference for technology growth and small-cap styles, with the ChiNext 200 and the ChiNext Index leading in performance [6][36]. Financial Data Summary - In July, the new social financing (社融) increased by 1.13 trillion yuan, a year-on-year increase of 361.3 billion yuan, while RMB loans decreased by 500 billion yuan, reflecting a weak demand for credit in the real economy [7][9]. - The M1 growth rate rose from 4.6% to 5.6%, while the M2-M1 gap narrowed, indicating a shift of deposits from residents to non-bank sectors [12][17]. - Resident deposits decreased by 780 billion yuan year-on-year, while non-bank deposits increased by 1.39 trillion yuan, highlighting a clear trend of funds moving towards non-bank financial institutions [5][12]. Market Style and Trends - The current market style is dominated by technology growth and small-cap stocks, with the ChiNext 200 and ChiNext Index showing significant gains [36][40]. - The report notes that the inflow of funds from private equity, margin financing, and active retail investors has played a crucial role in driving market performance [35][39]. - The report emphasizes that the active participation of thematic ETFs has further reinforced the structural market trends, contributing to the overall positive market sentiment [28][35]. Investment Opportunities - The report highlights the potential investment opportunities in the marine economy, particularly in emerging industries such as offshore wind power and marine biomedicine, as part of the "14th Five-Year Plan" [4]. - The active performance of private equity funds and the increase in personal investor accounts suggest a growing interest in equity markets, which may lead to further investment opportunities [23][25]. - The report indicates that the strong performance of active equity funds, which have outperformed major indices, signals a favorable environment for equity investments [18][19].

Quantitative Models and Construction Methods 1. Model Name: Value Smart Beta Portfolio - **Model Construction Idea**: The Value Smart Beta Portfolio is constructed based on the goal of achieving high beta elasticity and long-term stable excess returns, focusing on the value style[7] - **Model Construction Process**: - The portfolio includes two variations: the "Value 50 Portfolio" and the "Value Balanced 50 Portfolio" - The "Value 50 Portfolio" is designed to capture the value factor, while the "Value Balanced 50 Portfolio" aims to balance the exposure to the value factor with reduced risk through diversification[7] - **Model Evaluation**: The Value Balanced 50 Portfolio demonstrated superior performance compared to the Value 50 Portfolio, with higher weekly and monthly returns, indicating better risk-adjusted returns[4][8] 2. Model Name: Growth Smart Beta Portfolio - **Model Construction Idea**: The Growth Smart Beta Portfolio is constructed to capture the growth style, targeting high beta elasticity and stable excess returns over the long term[7] - **Model Construction Process**: - The portfolio includes two variations: the "Growth 50 Portfolio" and the "Growth Balanced 50 Portfolio" - The "Growth 50 Portfolio" focuses on growth factor exposure, while the "Growth Balanced 50 Portfolio" balances growth exposure with diversification to reduce risk[7] - **Model Evaluation**: The Growth Balanced 50 Portfolio outperformed the Growth 50 Portfolio in terms of weekly and annual returns, suggesting better performance under the balanced approach[4][8] 3. Model Name: Small-Cap Smart Beta Portfolio - **Model Construction Idea**: The Small-Cap Smart Beta Portfolio is designed to capture the small-cap style, emphasizing high beta elasticity and long-term stable excess returns[7] - **Model Construction Process**: - The portfolio includes two variations: the "Small-Cap 50 Portfolio" and the "Small-Cap Balanced 50 Portfolio" - The "Small-Cap 50 Portfolio" targets small-cap factor exposure, while the "Small-Cap Balanced 50 Portfolio" balances small-cap exposure with diversification to mitigate risk[7] - **Model Evaluation**: The Small-Cap Balanced 50 Portfolio achieved the highest returns among all portfolios, demonstrating the effectiveness of the balanced approach in capturing small-cap factor returns[4][8] --- Model Backtesting Results 1. Value Smart Beta Portfolio - **Value 50 Portfolio**: - Weekly Return: 2.19% - Monthly Return: 2.40% - Annual Return: 14.90% - Excess Return (Annual): 9.41% - Maximum Relative Drawdown: 2.35%[8] - **Value Balanced 50 Portfolio**: - Weekly Return: 3.14% - Monthly Return: 3.64% - Annual Return: 13.62% - Excess Return (Annual): 8.13% - Maximum Relative Drawdown: 3.99%[8] 2. Growth Smart Beta Portfolio - **Growth 50 Portfolio**: - Weekly Return: 1.67% - Monthly Return: 0.95% - Annual Return: 6.11% - Excess Return (Annual): 2.48% - Maximum Relative Drawdown: 3.61%[8] - **Growth Balanced 50 Portfolio**: - Weekly Return: 2.16% - Monthly Return: 2.22% - Annual Return: 10.54% - Excess Return (Annual): 6.91% - Maximum Relative Drawdown: 6.11%[8] 3. Small-Cap Smart Beta Portfolio - **Small-Cap 50 Portfolio**: - Weekly Return: 3.34% - Monthly Return: 4.45% - Annual Return: 41.08% - Excess Return (Annual): 21.26% - Maximum Relative Drawdown: 6.23%[8] - **Small-Cap Balanced 50 Portfolio**: - Weekly Return: 3.85% - Monthly Return: 4.49% - Annual Return: 31.48% - Excess Return (Annual): 11.66% - Maximum Relative Drawdown: 4.56%[8]

Group 1 - The current "anti-involution" theme has a broader industry coverage compared to the supply-side reform from 2015-2018, including sectors like photovoltaic, new energy vehicles, steel, coal, building materials, basic chemicals, and pig farming [22][23][28] - The steel and coal industries are transitioning from passive destocking to active restocking, with steel profitability already improving, while photovoltaic and medical devices show stronger demand for "anti-involution" [27][28] - The report highlights that the photovoltaic and medical device sectors are in an active destocking phase, with high potential for price rebound if successful [27][28] Group 2 - The equity market is experiencing a slight decline in sentiment, with expectations for a high-level fluctuation in August, as the overall financial and industrial sentiment has decreased [31][32] - The 10Y government bond yield is expected to slightly decline to 1.70% in August, influenced by factors such as economic growth and inflation [50][53] - The real estate sector is under increasing demand-side pressure, with the industry pressure index rising slightly to 0.597, indicating a potential worsening of the market situation [69][71] Group 3 - The report recommends focusing on high win-rate and high payout industries, including computer, electric equipment and new energy, non-ferrous metals, agriculture, transportation, and light manufacturing [4] - The "clearing reversal" strategy suggests investing in industries that are at the end of the clearing phase, with rising demand and improved competitive landscape, such as oil and petrochemicals, non-ferrous metals, and utilities [4][88] - The report emphasizes the importance of monitoring the performance of small-cap stocks, which have shown a slight increase in attention compared to large-cap stocks [87][88]

- The report tracks the performance of style factors, including Beta, liquidity, leverage, profitability, and market capitalization, with Beta and liquidity showing strong long positions, while leverage, profitability, and market capitalization exhibit strong short positions [2][16] - Style factors are constructed using various metrics, such as historical Beta, logarithm of total market capitalization, historical excess return averages for momentum, and a weighted combination of volatility measures for the volatility factor. For example, the volatility factor is calculated as $ 0.74 * historical excess return volatility + 0.16 * cumulative excess return deviation + 0.1 * historical residual return volatility $ [15] - Fundamental factors, including growth-related financial metrics and static financial metrics, are tested across different stock pools (e.g., CSI 300, CSI 500, CSI 1000). Growth-related financial factors generally show mixed or negative performance, while static financial factors exhibit varied results depending on the stock pool [3][4][5][6][18][20][23][25] - Technical factors, such as momentum and volatility, generally show positive performance across stock pools, with high-volatility and high-momentum stocks being dominant. For example, the 120-day momentum factor and 20-day volatility factor are highlighted for their significant contributions [3][4][5][6][18][20][23][26] - GRU factors are tested using different models (e.g., barra1d, barra5d, close1d), with performance varying across stock pools. For instance, barra1d shows strong positive performance in CSI 500 and CSI 1000 pools, while close1d experiences significant drawdowns in CSI 1000 [3][4][5][6][18][20][23][26] - Multi-factor strategies and GRU-based long portfolios are evaluated against the CSI 1000 index. GRU long portfolios show weak performance this week, with relative drawdowns of 0.11%-0.25%, while the barra5d model demonstrates strong year-to-date performance, achieving an excess return of 8.36% [7][30][31]