截至收盘，中证2000指数上涨1.3%，中证1000指数上涨1.2%，中证500指数上涨1.1%，创业板中盘200指数上涨0.4%，科创100指数下跌1.6%。 中国银河证券表示，春节前后A股市场存在显著的"日历效应"。从2016年至2025年十年间的历史规律来看，春节后，A股市场上涨概率较大，资金转向小盘 风格，周期风格和成长风格表现更优。作为精准覆盖小微盘股的工具，中证2000ETF易方达（159532） 跟踪指数由中证1000样本以外的2000只规模更小、 流动性良好的股票构成，完整覆盖11个中证一级行业，在当前市场风格切换节点，精准捕捉了小微盘股的成长弹性。 | 中证500ETF易方达 低费率 | | | | | --- | --- | --- | --- | | 跟踪中证500指数 | | | | | 该指数由全部A股中剔除沪深300指 | 今日该指数涨跌 | 该指数滚动市盈率 | 该指数自 | | 数成份股及总市值排名前300名的 | | | 发布以来 | | 股票后,总市值排名靠前的500只 | | | | | 股票组成,完整覆盖11个中证一级 行业 | 1.1% | 37.5倍 | 69. | ...

截至收盘，中证2000指数上涨1.3%，中证1000指数上涨1.2%，中证500指数上涨1.1%，创业板中盘200指数上涨0.4%，科创100指数下跌1.6%。 中国银河证券表示，春节前后A股市场存在显著的"日历效应"。从2016年至2025年十年间的历史规律来看，春节后，A股市场上涨概率较大，资金转向小盘 风格，周期风格和成长风格表现更优。 组成,综合反映中国A股市场中一 批小市值公司股票的整体表现,完 整覆盖11个中证一级行业 中证2000ETF易方达 低费率 跟踪中证2000指数 该指数由中证1000指数样本以外的 规模更小且流动性良好的2000只股 票构成,进一步聚焦中国A股市场 小微盘股的整体表现,指数完整覆 盖11个中证一级行业 跟踪上证科创板100指数 该指数由科创板中市值中等且流动 性较好的100只股票组成,聚焦中 小科创企业,电子、电力设备、医 药生物、计算机行业合计占比超 今日该指数 今日该指数 1. 3 科创100ETF易方达 低费率 每日经济新闻 ...

Group 1 - The core viewpoint is that A-shares are likely to experience a favorable upward trend in the next 1-2 months, driven by a combination of favorable timing, conditions, and human factors, particularly during the strong seasonal effect of spring and around the Chinese New Year [1] - The CSI 500 index rose by 0.2%, while the CSI 1000 index fell by 0.1%, the CSI 2000 index decreased by 0.4%, the STAR 100 index dropped by 0.8%, and the ChiNext Mid-cap 200 index declined by 0.3% [1] Group 2 - The CSI 500 ETF, which tracks the CSI 500 index, has a rolling price-to-earnings ratio of 37.6 times since its inception [3] - The CSI 1000 index, composed of 1,000 smaller and more liquid stocks, has a rolling price-to-earnings ratio of 50.4 times [4] - The CSI 2000 index, focusing on even smaller and more liquid stocks, has a rolling price-to-earnings ratio of 168.4 times since its launch [5]

文 | 银行螺丝钉 （转载请注明出处） 很多投资者都是从投资指数基金开始自己的投资之路的。 但是怎样投资指数基金，才能获得好收益？ 这里有一门限时免费的福利课程，介绍了指数基金的投资技巧。 想要获取这个课程，可以添加下方「课程小助手」，回复「 指数基金 」领取哦～ 更有课程笔记、思维导图，帮您快速搞懂课程脉络，学习更高效。 ◆◆◆ ///////// 银行螺丝钉 2013年，A股上市公司盈利下滑，A股整 体也在5点几星的熊市。 2014年下半年,开始了各种刺激政策, 人民币利率也大幅下降。市场开始大幅 上涨，第一波领涨的品种是证券。 2015年上半年，市场风格切换。第二波 领涨的品种，变成了小盘、成长风格， 最终涨到百倍市盈率以上。2015年6 月，也出现了1星级泡沫估值。 随后2015年下半年，因为小盘估值太 高，市场出现快速下跌，指数腰斩。 2015年上半年上涨不多的价值风格，也 跟随下跌。在2015年底，价值风格估值 相对较低。 2016-2017年，基本面开始恢复。2017 年是最近10年，A股上市公司盈利增长 速度最快的一年。 在经济景气的推动下，2016-2017年第 三波上涨，变成价值风格领涨。 ...

风险提示： 量化模型基于历史数据构建，而历史规律存在失效风险。 价值成长风格轮动月度策略。 月度观点： 1 月底量化模型信号为 0 ，建议 2 月等权配置成长和价值风格。中长期观点，未来一年更看好成长风格。截止 1 月底，模型收益 4.01% ，相对等权基准（ 4.01% ）的超额收益为 0% 。策略构建详见报告《量化视角多维度构建月度和周度价值成长风格轮动策略 _20250305 》。 风格因子表现跟踪。 8 个大类因子中， 1 月价值、波动率因子正向收益较高；大市值、质量因子负向收益较高。本年价值、波动率因子正向收益较高；大市 值、质量因子负向收益较高。 24 个风格因子中， 1 月贝塔、长期反转、中市值因子正向收益较高；大市值、残差波动、行业动量因子负向收益较高。本年 贝塔、长期反转、中市值因子正向收益较高；大市值、残差波动、行业动量因子负向收益较高。 因子构建详见报告《 A 股风险模型实践：风险因子篇 _20240519 》。 因子协方差矩阵更新。 股票协方差矩阵估计是股票组合风险预测的核心。利用多因子模型，可以将股票协方差矩阵拆解为因子协方差矩阵和股票特质风险矩 阵的结合，从而完成较为准确的估计。本 ...

证券研究报告 继续看好权益与小盘、成长风格 ——2月基金配置展望 证券分析师 郭子睿 投资咨询资格编号：S1060520070003 任书康 投资咨询资格编号：S1060525050001 陈 瑶 投资咨询资格编号：S1060524120003 高 越 一般从业资格编号：S1060124070014 胡心怡 一般从业资格编号：S1060124030069 研究助理 2026年2月2日 请务必阅读正文后免责条款 基金配置建议：继续看好权益与小盘、成长风格 2 1月回顾：A股、美股上涨；美债利率上行，国债利率下行；商品价格上涨；美元指数下行，人民币升值。A股春季行情延续，市场活跃度大幅提 升，A股、港股表现亮眼，中盘成长风格基金涨幅最大。美国经济数据表现韧性，美股震荡上涨，美债利率上行。国内央行释放流动性，国债利 率下行，期限利差小幅走阔。在全球流动性宽松与地缘风险等因素驱动下，海内外商品价格上涨，贵金属价格涨幅大幅居前。 2月展望：资产配置的逻辑。股债轮动模型显示，2025年12月私人部门融资增速继续上行，通胀因子低位回升，基本面模型延续经济复苏信号。 我们在1月基金月报《增配权益，看好成长》中建议增配权益资产 ...

1. Report Industry Investment Rating - There is no information provided regarding the report industry investment rating in the given content. 2. Core Viewpoints of the Report - Last week, the equity market style switched, with the small - cap style continuing to weaken. The convertible bond market adjusted with reduced volume, showing anti - decline properties, and the Wind Convertible Bond Weighted Index outperformed the Wind Convertible Bond Underlying Stock Weighted Index by 0.43 pcts. Convertible bond ETFs had a net subscription of 2.545 billion yuan, supporting the convertible bond valuation. [2] - In the short term, convertible bonds are expected to follow the underlying stocks in volatile consolidation, maintaining a structural market with rapid rotation. Large - cap and dividend convertible bonds are expected to continue to dominate. However, during the wide - range volatility period, convertible bonds have an asymmetric advantage. After the performance announcements, the risk - aversion sentiment in small - and micro - cap stocks will gradually ease, and the regulatory attitude will warm up. Before the Spring Festival, a new round of favorable and policy - game market is expected to start, with the market style switching back to small - cap dominance, which will drive the convertible bond market. [2] 3. Summary by Relevant Catalogs Policy Tracking - On January 27, the State Council issued the "Regulations for the Implementation of the Drug Administration Law of the People's Republic of China", which will come into force on May 15, 2026. It supports the development of new industrial formats, promotes the implementation of pharmaceutical innovation results, and improves various aspects of drug management. [3] - On January 29, the State Council issued the "Guidelines on Performance Comparison Benchmarks for Publicly Offered Securities Investment Funds", proposing 12 policy measures and identifying key service consumption areas such as transportation and household services, and strengthening support for cultivating new growth points in service consumption. [2][3] Secondary Market - **Equity Market**: Last week, major equity market indices closed down. The Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index fell 0.44%, 1.62%, and 0.09% respectively. Overseas, the Fed's hawkish nomination and the sharp adjustment in the precious metal market affected the global capital market. Domestically, although the profits of industrial enterprises above designated size increased in 2025, the January PMI index declined, and the market risk preference decreased. The small - and micro - cap stocks weakened, and the large - cap dividend stocks strengthened. [6] - **Convertible Bond Market**: Major convertible bond market indices followed the decline. The CSI Convertible Bond Index, Shanghai Convertible Bond Index, and Shenzhen Convertible Bond Index fell 2.61%, 2.56%, and 2.61% respectively, with an average daily trading volume of 9.0209 billion yuan, a marginal decrease of 308.6 million yuan from the previous week. Convertible bond ETFs showed differentiation, with a net subscription of 2.545 billion yuan in total, supporting the valuation. [7] - **Structural Analysis**: The large - cap style in the convertible bond market was dominant due to its anti - decline property. The median prices of convertible bonds and their underlying stocks were still at a high level, the conversion value quantile decreased, and the median valuation level increased slightly. The trading activity of underlying stocks decreased, while that of convertible bonds increased. [9] - **Industry Analysis**: All industries' convertible bonds fell. Construction materials, agriculture, forestry, animal husbandry, and fishery, food and beverage, and public utilities had relatively small average declines, while national defense and military industry and computer industries had larger average declines. The valuation of convertible bonds in different industries was differentiated. [10] - **Individual Bond Analysis**: Most convertible bonds rose. Baichuan Convertible Bond 2 led the rise with an increase of over 12%, while high - position convertible bonds such as Xinzhi Convertible Bond and Hangyu Convertible Bond had significant declines. [13] - **Price and Valuation**: The arithmetic average and median of convertible bond prices decreased. The arithmetic average of the conversion premium rate increased, and the median decreased. The arithmetic average and median of the pure - bond premium rate decreased. [24] Primary Market - **Issuance and Listing**: No new convertible bonds were issued last week. Lianrui Convertible Bond and Naipu Convertible Bond 02 were listed, and several convertible bonds were redeemed early and delisted. As of last Friday, the convertible bond market's outstanding scale was 55.2588 billion yuan, a decrease of 4.596 billion yuan from the beginning of the year and 3.682 billion yuan from the previous week. [30] - **Conversion**: Ten convertible bonds had a conversion ratio of over 5%, one more than the previous week. Some bonds had announced early redemption or were about to trigger the strong - redemption condition. [33] - **Approval Progress**: Star Semiconductor's convertible bond issuance was approved by the exchange. One convertible bond passed the review of the Issuance Examination Committee, with a total scale of 1.5 billion yuan. As of last Friday, eight convertible bonds were approved by the CSRC to be issued, with a total scale of 6.164 billion yuan. [34] - **Clause Tracking**: One convertible bond announced a downward revision of the conversion price, and two announced early redemption. Some bonds announced not to revise the conversion price downward or were about to trigger the downward - revision condition, and many bonds were expected to trigger the early - redemption condition. [35]

Core Viewpoint - The market sentiment is stable with high price-volume consistency, indicating a sideways trend in the market [1] Group 1: Market Sentiment Indicators - The market sentiment indicator value as of January 23 is 2.35, a slight increase from 2.25 the previous week, indicating a neutral sentiment [3] - Key indicators such as the proportion of transactions in the Sci-Tech 50 and inter-industry trading volatility have shown signs of recovery, suggesting a marginal improvement in market risk appetite [6][15][17] - The price-volume consistency indicator remains high, reflecting a strong correlation between market attention and stock price movements, indicating active market sentiment [9] - The financing balance ratio has shown a slight upward trend, indicating that leveraged funds are maintaining a high level of sentiment, suggesting overall market risk appetite remains positive [22] Group 2: Industry Trends and Performance - The scoring model indicates that non-ferrous metals, communication, and defense industries are leading in trend scores, with non-ferrous metals achieving a short-term score of 100.00, the highest among industries [30][31] - The average industry congestion level is highest in utilities, computers, media, banks, and oil and petrochemicals, while the lowest is in environmental protection, textiles, and light manufacturing [33] - The correlation between industry congestion and weekly price changes is negligible, indicating that high congestion sectors like oil and petrochemicals are experiencing significant price increases, while sectors with low congestion are lagging [35] Group 3: Technical Indicators - The RSI indicator has shown a decline, suggesting a decrease in short-term upward momentum and an increase in selling pressure, indicating a potential weakening of market sentiment [25][37] - The model indicates that small-cap and growth styles are currently favored, although there are signs of weakening in the short-term signals for these styles [38]

Quantitative Models and Construction Methods - **Model Name**: Value Smart Beta Portfolio **Model Construction Idea**: The model is based on selecting stocks with low historical correlation and aims to achieve high beta elasticity and long-term stable excess returns[5] **Model Construction Process**: The Value Smart Beta Portfolio includes two sub-portfolios: Value 50 Portfolio and Value Balanced 50 Portfolio. These portfolios are constructed by selecting stocks that align with the value style and optimizing for beta elasticity and excess return stability. The detailed construction process is referenced in a prior report[5] **Model Evaluation**: The Value Balanced 50 Portfolio outperformed the Value 50 Portfolio in terms of weekly, monthly, and yearly returns, demonstrating its superior performance in capturing value style excess returns[3][6] - **Model Name**: Growth Smart Beta Portfolio **Model Construction Idea**: Similar to the value model, this portfolio focuses on stocks with low historical correlation, targeting high beta elasticity and stable excess returns in the growth style[5] **Model Construction Process**: The Growth Smart Beta Portfolio includes Growth 50 Portfolio and Growth Balanced 50 Portfolio. Stocks are selected based on growth style characteristics, and the portfolios are optimized for beta elasticity and excess return stability. The detailed methodology is referenced in a prior report[5] **Model Evaluation**: The Growth Balanced 50 Portfolio consistently outperformed the Growth 50 Portfolio, indicating its effectiveness in capturing growth style excess returns[3][6] - **Model Name**: Small-Cap Smart Beta Portfolio **Model Construction Idea**: This portfolio targets small-cap stocks with low historical correlation, aiming for high beta elasticity and stable excess returns[5] **Model Construction Process**: The Small-Cap Smart Beta Portfolio includes Small-Cap 50 Portfolio and Small-Cap Balanced 50 Portfolio. Stocks are selected based on small-cap style characteristics, and the portfolios are optimized for beta elasticity and excess return stability. The detailed methodology is referenced in a prior report[5] **Model Evaluation**: The Small-Cap Balanced 50 Portfolio outperformed the Small-Cap 50 Portfolio, showcasing its ability to capture small-cap style excess returns effectively[3][6] --- Model Backtesting Results - **Value Smart Beta Portfolio** - **Value 50 Portfolio**: Weekly return: 1.38%, Monthly return: -0.11%, Yearly return: -0.11%, Maximum relative drawdown: 2.43%[6] - **Value Balanced 50 Portfolio**: Weekly return: 4.59%, Monthly return: 8.27%, Yearly return: 8.27%, Maximum relative drawdown: 0.56%[6] - **Growth Smart Beta Portfolio** - **Growth 50 Portfolio**: Weekly return: -0.37%, Monthly return: 5.13%, Yearly return: 5.13%, Maximum relative drawdown: 1.30%[6] - **Growth Balanced 50 Portfolio**: Weekly return: 3.79%, Monthly return: 10.01%, Yearly return: 10.01%, Maximum relative drawdown: 1.33%[6] - **Small-Cap Smart Beta Portfolio** - **Small-Cap 50 Portfolio**: Weekly return: 3.71%, Monthly return: 11.57%, Yearly return: 11.57%, Maximum relative drawdown: 3.08%[6] - **Small-Cap Balanced 50 Portfolio**: Weekly return: 4.27%, Monthly return: 12.88%, Yearly return: 12.88%, Maximum relative drawdown: 2.38%[6]

Core Viewpoint - The market is experiencing significant volatility, and the pressure in investment comes from the continuous tracking, dynamic assessment, and evaluation of portfolio status rather than the relative performance of net asset value [2][3]. Group 1: Market Dynamics and Investment Pressure - The pressure faced by the company is primarily due to the downward pressure on fundamentals in cyclical industries, which has been a consistent challenge over the past two to three years [3]. - The company emphasizes that the performance of net asset value is not the main source of pressure; rather, it is the ongoing need to dynamically assess new fundamental facts, including changes in demand and supply [3][4]. - The company does not focus on how much others are earning compared to them; the key is whether they can earn money themselves, which is the main source of investment pressure [4]. Group 2: Value Investment Philosophy - Value investment is not merely a strategy but a philosophy that addresses the source of returns, focusing on long-term value creation rather than short-term market performance [5][6]. - The company argues that the performance of the CSI 300 index does not necessarily reflect the effectiveness of value strategies, as the index's style can shift due to periodic adjustments [5][6]. - The company believes that the current weakness in the value strategy does not imply its failure; rather, it is a reflection of market dynamics and should not deter long-term value investment [7][8]. Group 3: Long-term Value Assessment - The company highlights the importance of assessing whether a company's long-term competitive advantage and governance can sustain good dividend returns, which is a core source of pressure [11][12]. - It is noted that identifying companies with sustainable competitive advantages is challenging, leading to a concentrated investment strategy due to the scarcity of such opportunities [12]. - The company emphasizes that the assessment of long-term value is complex and cannot be simplified into a one-size-fits-all approach, especially in a market with over 5,000 stocks [12][13]. Group 4: Industry Trends vs. Market Performance - The company distinguishes between market style performance and actual industry trends, asserting that the two are not synonymous [15][16]. - It is stated that while certain industries may show strong performance, this does not necessarily correlate with sustainable investment opportunities [15][16]. - The company advocates for a focus on genuine industry trends and competitive landscapes rather than being swayed by short-term market fluctuations [16]. Group 5: Investment Strategy and Risk Management - The company discusses the concept of a "barbell strategy," which depends on the investor's ability circle and the clarity of investment goals [20][21]. - It is acknowledged that while short-term performance may be slow, the focus should remain on avoiding permanent capital loss and aligning with investor expectations [21]. - The company emphasizes that the ability to assess long-term value is crucial, and the risk of "value traps" must be carefully managed [13][21]. Group 6: Valuation Models and Cash Flow - The company asserts that valuation models are fundamentally based on cash flow discounting, with current cash returns holding more weight in valuations [26][27]. - It is noted that while growth companies may have high valuations, their long-term value assessment remains complex and requires careful consideration of future cash flows [23][24]. - The company stresses that reasonable valuation levels are determined by long-term value rather than short-term profit performance or market style [27]. Group 7: Knowledge and Information Sources - The company advocates for a balanced approach to learning, emphasizing the importance of both reading financial reports for information and engaging with broader literature to build analytical skills [29][30]. - It is highlighted that understanding financial reports is essential for making informed investment decisions, but this should be complemented by a well-rounded knowledge base [29][30].