证券研究报告 2025年10月8日 策略报告：投资策略 10月，蓄势待发 A股动静框架之静态指标 作者： 分析师 吴开达 SAC执业证书编号：S1110524030001 联系人 汪书慧 联系人 陈英奇 请务必阅读正文之后的信息披露和免责申明 1 摘要 交易情绪活跃度延续上月热度，资产联动指标显示仍有较大潜在空间。我们将4大类指标展开进行分析，最新监测结论如下表所示： 1）资产联动指标中股债相关指标显示目前股票相对债券的配置价值较历史极值出现回撤，ERP稳定在1倍标准差以下；市场配置指标方面，目前全 A指数PE估值为22.5，大部分宽基指数PE估值历史分位数位于70%左右，创业板指PE估值历史分位数45%附近，估值依然相对偏低，而科创50PE估值 分位数则处于较高位置，估值分化程度较上月基本持平。 2）市场交易/情绪指标方面，换手率、成交额占前高比例等较上月基本持平，表明市场交易热度持续处于较高位置，同时行业趋势指标较上月有 所上升，而个股趋势指标表明50周均线上方的个股比例较上月小幅回落。 3）投资者行为方面，回购规模较上月回升，产业资本净减持规模走阔，3主体资金流较上月回升，其中新成立基金份额指标较上月相 ...

Group 1 - The report indicates that trading sentiment is warming up, with asset linkage indicators showing a recovery from historical lows. The equity risk premium (ERP) is currently below one standard deviation, suggesting improved relative value for stocks compared to bonds [2][19]. - The overall A-share index PE valuation stands at 20.4, with most broad-based indices having PE valuations above the 50% historical percentile, while the ChiNext index is at a low historical percentile of around 15% [2][20]. - The report highlights a rise in trading activity, with turnover rates and transaction volumes increasing compared to the previous month, indicating sustained market enthusiasm [2][27]. Group 2 - The report notes that the proportion of stocks above the 50-week moving average has increased to 82.58%, indicating a positive trend in individual stock performance [38]. - The buyback scale has risen to 14.837 billion, reflecting a trend where companies are repurchasing shares, often seen as a sign of confidence in their valuation [41]. - The net reduction in industrial capital reached 30.359 billion, indicating a widening scope of capital reduction compared to the previous month, which may reflect concerns about stock valuations [45]. Group 3 - The report states that the equity risk premium (ERP) is at 3.20%, which is below the historical average and indicates a potential for upward movement in stock valuations [19]. - The market configuration indicators show a high degree of valuation dispersion, with the valuation variation coefficient at 0.835, suggesting a relatively high risk environment [24]. - The report emphasizes that 90% of industries are showing positive monthly trends, indicating a broad-based recovery in market sentiment [35].

Group 1 - The report indicates that trading sentiment is gradually warming up, with market allocation indicators continuously improving and asset linkage indicators remaining at historical extreme levels [2] - The relative value of stocks compared to bonds is at historical extremes, with the equity risk premium (ERP) near one standard deviation [2][4] - The overall A-share index PE valuation is at 19.9, with most broad-based index PE valuations above the 50% historical percentile, while the ChiNext index PE valuation is around the 10% historical percentile, indicating relative undervaluation [2][17] Group 2 - Trading indicators have shown a month-on-month recovery, suggesting that market trading sentiment is gradually warming from a stage bottom [2] - The proportion of stocks above the 50-week moving average has increased compared to the previous month, indicating a positive trend in individual stocks [2][34] - The monthly maximum daily trading volume accounted for 47% of the previous high, showing a recovery in market trading activity [2][28] Group 3 - The report highlights that the net reduction of industrial capital reached 19.475 billion yuan in June 2025, indicating an increase in the scale of net reduction compared to the previous month [2][40] - The three major funding entities' indicators have shown a recovery, with financing balances and newly established fund shares increasing compared to the previous month [2][43] - The stock repurchase scale has decreased to 12.612 billion yuan, reflecting a decline in repurchase activity compared to May [2][37]

Group 1 - The trajectory of U.S. Treasury yields is influenced by two main factors: the sustainability of the budget and long-term debt control plans [1] - The willingness of global investors to finance the U.S. deficit is critical, especially in light of deteriorating geopolitical relations and declining confidence in U.S. Treasuries as a safe-haven asset [1]

Core Insights - The report highlights that the current market sentiment is cooling down, with trading activity indicators showing a decline, while asset linkage indicators suggest potential upward space in the market [2][4][18]. Group 1: Asset Linkage Indicators - The stock-bond relative yield is at a historical high, with the April 2025 figures at 1.59% and 0.96% for the two calculation methods, indicating a high comparative value of stocks over bonds [4][11]. - The equity risk premium (ERP) is currently at 3.78%, above one standard deviation, suggesting a favorable risk-return profile for equities [4][17]. - The PE ratio for the Wind All A index is 18.5, with most broad indices below the 50th percentile historically, indicating relatively low valuations [4][18]. Group 2: Market Configuration Indicators - The valuation dispersion remains high, with the coefficient of variation at 0.862, indicating significant differences in stock valuations [4][20]. - The turnover rate has decreased to 1.51%, reflecting a decline in market activity, with historical data showing that lower turnover rates are associated with bearish market conditions [4][25]. - The proportion of stocks above the 50-week moving average has dropped to 64%, indicating a slight retreat in bullish sentiment among individual stocks [4][34]. Group 3: Market Trading/Sentiment Indicators - The maximum daily trading volume as a percentage of historical highs is at 50%, showing a cooling in market trading enthusiasm compared to previous peaks [4][28]. - The MACD for industries is at a historically high level, with 90% of industries showing positive trends, suggesting ongoing opportunities in various sectors [4][30]. - The shareholder buyback scale has significantly increased to 13.97 billion, indicating a strong commitment from companies to support their stock prices [4][37]. Group 4: Investor Behavior - The net reduction in industrial capital was 361 million in April 2025, a significant decrease from previous months, indicating a more cautious approach from major shareholders [4][41]. - The three major funding entities' indicator is at 0.07, reflecting a slight decline, with positive contributions from international intermediaries and financing balances [4][43].