金融工程 | 金工定期报告 金融工程 证券研究报告 量化择时周报：缓和预期仍存，调整空间或有限 缓和预期仍存，调整空间或有限 节前周报(20250928)认为：进入国庆长假，假期的不确定性或对市场风险 偏好有所压制；WIND 全 A 趋势线位于 6184 点附近，赚钱效应约为 0.65%， 仍然为正，在赚钱效应转负之前，建议耐心持有。考虑长假的不确定性， 可调仓红利板块应对。 WIND 全 A 上周下跌 0.36%，市值维度上，上周代 表小市值股票的中证 2000 下跌 0.06%，中盘股中证 500 下跌 0.19%，沪深 300 下跌 0.51%，上证 50 下跌 0.47%;上周中信一级行业中，表现较强行业 包括有色金属、煤炭，有色金属上涨 4.35%，传媒、消费者服务表现较弱， 传媒下跌 3.58%。上周成交活跃度上，煤炭、钢铁资金继续流入明显。 从择时体系来看，我们定义的用来区别市场整体环境的 wind 全 A 长期均 线（120 日）和短期均线（20 日）的距离继续缩小，最新数据显示 20 日 线收于 6237，120 日线收于 5525 点，短期均线继续位于长线均线之上， 两线差值由上周的 12 ...

Core Viewpoint - The A-share market has experienced adjustments after reaching new highs, but it remains in a consolidation phase since September, with a positive outlook on liquidity and market sustainability [1] Market Analysis - The current market's sustainability is heavily influenced by the liquidity situation, which appears to be positive [1] - There is a focus on the direction of market profitability moving forward, with ongoing improvements in overseas liquidity and geopolitical issues [1] - The domestic economic fundamentals are showing upward momentum, supporting a mid-term bullish outlook for the market [1] Investment Strategy - It is recommended to maintain a high position in the market, with an emphasis on balanced sector selection [1] - Attention should be given to the continuation of the positive trends indicated in the third-quarter reports [1] - Specific sectors to focus on include domestic computing power chains, innovative pharmaceuticals, robotics, chemicals, batteries, and leading consumer goods companies [1]

Core Viewpoint - The report from Huatai Securities indicates that after reaching a new high, the A-share market has experienced some adjustments but remains in a consolidation phase since September. The sustainability of the current market trend is largely dependent on the positive feedback from the liquidity situation [1] Market Conditions - The current liquidity environment is viewed as positive, with ongoing improvements in overseas liquidity and geopolitical issues. The domestic economic fundamentals are also showing upward momentum, supporting the mid-term outlook for the market [1] Investment Strategy - The company recommends maintaining a high position in the market and emphasizes the importance of balanced sector selection. Attention should be paid to the continuation of profitability trends as reflected in the upcoming third-quarter reports [1] Sector Focus - Specific sectors to watch include: - Domestic computing power chain - Innovative pharmaceuticals - Robotics - Chemicals - Batteries - Leading consumer goods companies [1]

Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect remains positive, mid-term incremental capital is expected to continue entering the market [1][4][7] - The current WIND All A trend line is around 6106 points, with a profit-making effect of approximately 1.9%, still positive. It is advised to hold patiently until the profit-making effect turns negative [2][4][7] - The market is entering a significant event window, and volatility is expected to increase significantly. A more balanced allocation is recommended in response to this volatility [2][4][7] Industry Allocation - From a mid-term perspective, the industry allocation continues to recommend sectors that are experiencing a turnaround, particularly innovative pharmaceuticals in Hong Kong, which are still in an upward trend. Additionally, sectors benefiting from policy-driven growth, such as chemicals and innovative new energy, are expected to maintain upward momentum [2][4][7] - The TWO BETA model continues to recommend the technology sector, focusing on computing power and batteries. In the short term, if the military sector shows significant volume reduction, it may present a good short-term buying opportunity [2][4][7] Performance Metrics - The Davis Double strategy achieved an absolute return of 1.68% this month and a cumulative absolute return of 48.70% for the year. The net profit gap strategy outperformed the benchmark by 1.34% this week, with a cumulative absolute return of 53.50% for the year [1][8][11]

Group 1 - The expectation of a turning point in the profit growth rate of listed companies has increased, with A-share non-financial and "three barrels of oil" companies showing a rebound in net profit growth to 6.8% in Q1 2025, followed by a decline to 2.9% in Q2 2025, but maintaining positive growth due to decreasing base pressure from 2024 [5][10] - Domestic growth stabilization measures are being implemented, including policies like "anti-involution," infrastructure projects in the western regions, and childbirth subsidies, creating a dual focus on supply and demand [5][10] - The stock market is increasingly optimistic about the overall profit growth of listed companies potentially transitioning from negative to positive, which is a significant factor influencing the mid-term market trend [5][10] Group 2 - The Federal Reserve's "neutral dovish" policy stance has significantly raised expectations for interest rate cuts in September, with implied probabilities for a cut rising from 72% to 94%, and the total number of cuts expected in 2026 increasing from 5.0 to 5.3 [6][13] - The rise in U.S. interest rate cut expectations has led to increased activity in global equity and commodity markets, marking it as a core influencing factor for market performance in September [6][13] Group 3 - The equity risk premium of the CSI 300 index was recorded at 5.61 at the end of August, significantly lower than the historical average, indicating a trend towards mean reversion [6][15] - The number of stocks in the market with gains exceeding 20% reached 789 in August 2025, a 76% increase from the previous month, marking the highest count for the year and reflecting a strong market characteristic [7][17] Group 4 - The Shanghai Composite Index has shown a rapid upward trend after breaking through its previous trading range, overcoming key resistance levels from the last quarter of the previous year and 2021 [8][19] - The CSI 300 index has also broken through its previous high from the last quarter of the previous year, indicating a potential return to an upward trend, with long-term resistance levels possibly turning into support [8][22]

Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect remains positive, incremental funds are likely to continue entering the market [1][3][9] - The current WIND All A trend line is around 6030 points, with a profit-making effect of 1%, which is at a critical position but still positive. It is advised to hold patiently until the profit-making effect turns negative [1][3][9] - Short-term expectations of a Federal Reserve interest rate cut have increased, which may enhance global risk appetite [1][3][9] Investment Strategy - The Davis Double Strategy achieved an excess return of 3.24% this week, with a cumulative absolute return of 48.29% for the year [10] - The net profit gap strategy also reported an excess return of 0.00% this week, with a cumulative absolute return of 46.58% for the year [10][14] - The recommended position is 80%, indicating a moderate level of investment in the market [4] Sector Allocation - Mid-term sector allocation continues to recommend turnaround sectors, particularly Hong Kong innovative pharmaceuticals and securities insurance, which are expected to maintain an upward trend [2][3] - Policy-driven sectors such as chemicals, non-ferrous metals, and innovative energy are also anticipated to sustain upward momentum [2][3] - The TWO BETA model continues to recommend technology sectors, focusing on consumer electronics and computing power [2][3] Market Volatility - Current market volatility has increased significantly, with some sectors experiencing substantial fluctuations. It is recommended to maintain a balanced allocation and to increase exposure to previously lagging sectors to diversify risk [1][3][9]

Core Viewpoint - The A-share market has regained upward momentum after a brief pullback, with the Shanghai Composite Index breaking through key resistance levels, indicating strong internal demand and market participation from domestic investors [1][2]. Group 1: Market Performance - The Shanghai Composite Index reached a new high of 3704 points on August 14, 2024, following a breakthrough of the previous high of 3674 points on August 13 [1]. - Trading activity has increased significantly, with the total trading volume in the Shanghai and Shenzhen markets exceeding 2.2 trillion yuan, and the margin financing balance surpassing 2.05 trillion yuan [1][2]. - The margin financing balance rose to 20,551.9 billion yuan by August 14, 2024, marking a significant increase in market activity [2]. Group 2: Capital Inflow and Market Sentiment - The rise in margin financing indicates that traders are increasing their equity allocations in the A-share market, reflecting a growing market activity [2]. - The proportion of margin financing to the total market capitalization is currently at 2.3%, significantly lower than the 4.7% observed in 2015, suggesting that the current market is not overly leveraged [2]. - Financial data from July shows a substantial increase in non-bank financial institution deposits, indicating a shift of funds from savings to equity investments [3]. Group 3: Future Outlook - The A-share market is expected to continue its upward trend until the end of October, barring any unexpected negative developments or external liquidity constraints [4]. - The market's structural dynamics are driven by sector rotations, with significant performances from cyclical sectors and technology-related stocks, particularly in AI and semiconductor industries [5][7]. - Short-term external uncertainties have decreased, contributing positively to market sentiment, with recent developments in U.S.-China trade relations and economic indicators supporting the outlook for Chinese assets [6].

Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect remains positive, mid-term incremental capital is expected to continue entering the market [1][2][7] - The current WIND All A trend line is around 5625 points, with a profit-making effect value of 3.73%, which is significantly positive. It is recommended to hold positions patiently and maintain a high allocation until the profit-making effect turns negative [1][2][7] Industry Allocation - From a mid-term perspective, the industry allocation continues to recommend sectors that are experiencing a turnaround, specifically Hong Kong stocks in innovative pharmaceuticals and securities. The upward trend is still ongoing. Additionally, sectors benefiting from policy support, such as photovoltaics, coal, and non-ferrous metals, are expected to maintain an upward trajectory [3][7] - The TWO BETA model continues to recommend the technology sector, with a focus on military and computing power [2][3][7] Performance Metrics - The Davis Double Strategy has achieved a cumulative absolute return of 41.19% this year, exceeding the benchmark by 26.47%. This week, the strategy outperformed the benchmark by 1.62% [8][22] - The net profit gap strategy has achieved a cumulative absolute return of 42.83% this year, with a benchmark excess return of 28.11% [12][16] - The enhanced CSI 300 strategy has achieved an excess return of 19.88% relative to the CSI 300 index this year, with a weekly excess return of 0.01% [17][20]

Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect remains positive, incremental capital is likely to continue entering the market. The current WIND All A trend line is around 5540 points, with a profit-making effect value of 2.30%, which is significantly positive. It is recommended to hold positions patiently and maintain a high allocation until the profit-making effect turns negative [1][4][8]. Industry Rotation - In terms of industry allocation, the model continues to recommend sectors that are in a turnaround phase, specifically Hong Kong innovative pharmaceuticals and securities, as the upward trend persists. The TWO BETA model continues to recommend the technology sector, with a focus on military and computing power. Short-term signals indicate that the liquor and agriculture sectors are entering a low point in the emotional cycle, which may lead to a rebound [2][4][8]. Performance Metrics - The Davis Double strategy achieved an excess benchmark of 1.32% this week, with a cumulative absolute return of 33.83% for the year. The CSI 300 Enhanced strategy also outperformed the benchmark by 1.77% this week, with a cumulative excess return of 19.41% for the year. The net profit gap strategy had an excess benchmark of -0.26% this week, with a cumulative absolute return of 37.50% for the year [1][9][15]. Valuation Indicators - The overall PE of the WIND All A index is at the 70th percentile, indicating a medium level, while the PB is at the 30th percentile, indicating a relatively low level. Based on short-term trend assessments, the absolute return products with WIND All A as the stock allocation subject are recommended to maintain an 80% allocation [4][6][8].

- The report identifies the market's uptrend by analyzing the distance between the 120-day and 20-day moving averages of the WIND All A index, which has expanded from 3.04% to 4.04%, indicating a continued uptrend[2][10][17] - The core observation variable for the market's uptrend is the "profitability effect," which is currently positive at 3.76%, suggesting that incremental funds are likely to continue entering the market[2][4][11] - The industry allocation model recommends sectors such as Hong Kong innovative drugs, Hong Kong securities, and Hang Seng consumption, with additional opportunities in the photovoltaic sector due to anti-involution benefits[3][4][11] - The TWO BETA model continues to recommend the technology sector, with a focus on military and AI applications[3][4][11] - The valuation indicators show that the WIND All A index's overall PE is at the 70th percentile, indicating a moderate level, while the PB is at the 30th percentile, indicating a relatively low level[3][11] - Based on the short-term trend judgment and the position management model, the report suggests an 80% position for absolute return products with the WIND All A index as the main stock allocation[3][11] Model Backtesting Results - The distance between the 20-day and 120-day moving averages of the WIND All A index is 4.04%, indicating a continued uptrend[2][10][17] - The profitability effect value is 3.76%, which is significantly positive, suggesting that the market is likely to continue its uptrend despite short-term fluctuations[2][4][11]