证券研究报告·金融工程报告 2026 年 2 月 27 日 江海证券研究发展部 金融工程研究组 量化投资组合管理研究系列之（九） 热潮下的冷思考：估值、拥挤度与资金博弈的量化择时 投资要点 ◆ 研究目标：高关注度成长赛道资金集聚效应显著，拥挤度与估值分化引发短 期波动。本研究从估值合理性、交易拥挤度、资金博弈三大核心维度构建多维度 量化择时体系，挖掘协同择时信号，为高成长赛道择时提供客观量化参考。 ◆ 核心逻辑：围绕交易、估值、资金、股权结构、量价五大维度选取 18 个基础 基于 GARCH-EVT-VaR 模型的动态风 指标，经滚动统计、偏离度构建、分位值转换、Z-score 标准化等特征工程加工， 通过 IC 有效性检验（P<0.05、IC 绝对值> 0.08）与 Gram-Schmidt 正交化去共线 性，最终提纯出 78 个具备显著预测能力的核心有效指标。 ◆ 回测结果：线性合成因子构建的周度调仓择时策略表现优异：年化收益率 29.50%，相对基准年化超额达 13.01%，贝塔 1.27、阿尔法 0.09；策略胜率提升至 中证创新药指数增强的构建 2025.09.05 54.8%，盈亏比从基准 1.2 ...

Core Insights - The article discusses the "crowding degree" indicator developed by the Xingsheng Strategy Team, which reflects the trading sentiment of popular sectors through four dimensions: volume, price, funds, and analyst forecasts. This indicator is used to quantitatively track market sentiment changes and has significant implications for short-term stock price movements [1][2][3]. Group 1: Market Sentiment Analysis - The crowding degree has shown a shift in major sectors, with some dividend and consumer sectors reaching high levels, while many popular themes have seen their crowding degree drop to moderate or even low levels [5][119]. - The TMT (Technology, Media, and Telecommunications) sector shows varying crowding levels, with specific components like optical fiber and cable at a high level, while servers and computing devices are at a lower level [10][13][21][31][38]. Group 2: Sector-Specific Crowding Levels - In the manufacturing sector, the crowding degree for passenger vehicles and lithium batteries is low, while hydrogen energy is at a moderate high level [50][51][172]. - The financial and real estate sectors show a high crowding degree in real estate, while banks and insurance are at moderate high levels [213][216][217]. - The cyclical sector indicates a high crowding degree in coal and petrochemicals, with steel at a moderate high level [55][56][60][229].

Core Insights - The article discusses the investment strategies for the year 2026, focusing on opportunities identified by top fund companies and managers in the market [1][124]. Group 1: Market Sentiment Indicator - The "Congestion Degree" is a unique indicator developed by the company to reflect trading sentiment in popular sectors, combining four dimensions: volume, price, funds, and analyst forecasts [3][126]. - This indicator quantitatively tracks changes in market sentiment and has strong implications for short-term stock price movements [3][126]. Group 2: TMT Sector Insights - The congestion levels for various TMT (Technology, Media, Telecommunications) segments are as follows: - Optical modules: congestion level is moderately low [10][131]. - Servers: congestion level is moderately high [8][133]. - Base stations: congestion level is moderate [10][135]. - Optical fiber and cables: congestion level is moderately high [10][136]. - IDC (Internet Data Center): congestion level is moderately high [10][136]. - Computer equipment: congestion level is high [10][139]. - Optical components: congestion level is high [10][140]. - RF components: congestion level is high [10][145]. - PCB (Printed Circuit Board): congestion level is moderate [10][146]. - IT services: congestion level is moderately high [10][147]. - Semiconductor materials: congestion level is high [10][157]. - Consumer electronics: congestion level is moderately low [10][172]. Group 3: Manufacturing Sector Insights - The congestion levels for various manufacturing segments are as follows: - Automotive parts: congestion level is high [10][181]. - Lithium batteries: congestion level is moderate [10][184]. - Wind power: congestion level is moderately low [10][187]. - Photovoltaic components: congestion level is high [10][197]. - Industrial robots: congestion level is high [10][199]. - Unmanned aerial vehicles: congestion level is high [10][200]. Group 4: Consumer and Pharmaceutical Sector Insights - The congestion levels for various consumer and pharmaceutical segments are as follows: - White goods: congestion level is low [10][207]. - Alcoholic beverages: congestion level is moderately low [10][209]. - Medical services: congestion level is moderately high [10][222]. Group 5: Financial and Real Estate Sector Insights - The congestion levels for various financial and real estate segments are as follows: - Real estate: congestion level is moderate [10][225]. - Insurance: congestion level is high [10][225]. - Banking: congestion level is low [10][226].

Core Viewpoint - The congestion index, developed by the Xingsheng Strategy Team, reflects the trading sentiment in popular sectors through four dimensions: volume, price, funds, and analyst forecasts, providing strong indications for short-term stock price movements [1] Market Overview - The market has shown an upward trend led by certain themes, with profit effects concentrated in a few sectors. While some theme-driven sectors have reached high congestion levels, most sectors remain at moderate or low levels, indicating that there are still many opportunities to explore [6] Sector Summaries - **Optical Modules**: Congestion level is moderately high [7] - **Servers**: Congestion level is moderately low [9] - **Optical Fiber and Cables**: Congestion level is relatively high [12] - **IDC**: Congestion level is moderate [15] - **Computer Equipment**: Congestion level is moderately high [17] - **Optical Components**: Congestion level is moderately high [20] - **RF Components**: Congestion level is relatively high [23] - **PCB**: Congestion level is moderate [26] - **State-owned Cloud**: Congestion level is moderately low [28] - **IT Services**: Congestion level is moderately low [30] - **Financial IT**: Congestion level is moderately high [32] - **Internet of Things**: Congestion level is moderate [34] - **Semiconductor Materials**: Congestion level is moderately high [36] - **Semiconductor Equipment**: Congestion level is moderately high [39] - **Semiconductor Testing**: Congestion level is moderate [41] - **Semiconductor Design**: Congestion level is moderate [44] - **Semiconductor Manufacturing**: Congestion level is moderately high [47] - **Semiconductor Discrete Devices**: Congestion level is moderately low [51] - **Memory**: Congestion level is moderate [53] - **Consumer Electronics**: Congestion level is moderate [56] - **Smart Driving**: Congestion level is moderately high [58] - **Gaming**: Congestion level is moderately low [61] - **Digital Media**: Congestion level is relatively low [64] - **Operators**: Congestion level is moderate [67] Manufacturing Sector - **Automotive Parts**: Congestion level is moderately high [69] - **Passenger Cars**: Congestion level is moderately low [72] - **Lithium Batteries**: Congestion level is moderate [74] - **Hydrogen Energy**: Congestion level is relatively low [76] - **Energy Storage**: Congestion level is moderate [78] - **Wind Power**: Congestion level is moderately low [80] - **Smart Grid**: Congestion level is moderately low [81] - **Photovoltaic Inverters**: Congestion level is moderately low [84] - **Photovoltaic Cells**: Congestion level is relatively high [86] - **Photovoltaic Modules**: Congestion level is moderately high [89] - **Silicon Materials and Wafers**: Congestion level is moderate [91] - **Industrial Robots**: Congestion level is relatively high [94] - **Shipbuilding**: Congestion level is moderately low [96] - **Drones**: Congestion level is relatively high [99] - **Aerospace Engines**: Congestion level is relatively high [101] Consumer and Pharmaceutical Sector - **White Goods**: Congestion level is relatively low [105] - **Baijiu**: Congestion level is relatively low [106] - **Textiles and Apparel**: Congestion level is moderate [107] - **Hotel and Catering**: Congestion level is moderate [110] - **Tourism and Scenic Areas**: Congestion level is moderately high [113] - **Air Transport**: Congestion level is relatively high [116] - **Pig Industry**: Congestion level is moderately low [119] - **Traditional Chinese Medicine**: Congestion level is relatively low [122] - **Innovative Drugs**: Congestion level is relatively low [123] - **Medical Services**: Congestion level is moderately low [125] Financial and Real Estate Sector - **Real Estate**: Congestion level is relatively low [128] - **Banking**: Congestion level is relatively low [130] - **Insurance**: Congestion level is relatively high [132] - **Securities**: Congestion level is moderately low [134] Cyclical Sector - **Coal**: Congestion level is relatively low [136] - **Oil and Petrochemicals**: Congestion level is moderately high [138] - **Steel**: Congestion level is moderate [139] - **Thermal Power**: Congestion level is relatively low [141] - **Industrial Metals**: Congestion level is moderately high [143] - **Chemical Raw Materials**: Congestion level is moderately low [146]

Group 1 - The report highlights that since October 2025, price increases have gained attention, particularly in the fields of new energy, AI, and certain black, non-ferrous, and chemical products, with many areas experiencing transaction congestion close to historically high levels [4][10][12] - Historical cases indicate that price increases driven solely by sentiment or expectations typically reach a peak when congestion levels hit 90-100%, leading to a phase of adjustment, and subsequent rebounds are unlikely to surpass previous highs without additional supporting logic [14][16] - For price increases to break previous highs after an adjustment, they usually require new incremental logic support, such as a shift from expectation to reality in economic verification or the emergence of new catalysts [14][16] Group 2 - The report identifies two main areas where price increases are likely to continue: industrial metals, driven by global economic recovery expectations and supply constraints, and the AI chain, which remains a direction with confirmed economic prospects and potential incremental catalysts [51][52] - Strong sectors often reach a stage of congestion bottom when sentiment (transaction share) declines to 50-70% of previous highs, presenting a good buying opportunity [52] - The report suggests monitoring the TMT sector's transaction share to determine when it returns to the 20-25% range, indicating a potential buying point, while the Hang Seng Technology sector should be observed for a return to the 30-35% range [60][66] Group 3 - The report discusses the historical adjustment patterns of major technology sectors, noting that the average adjustment period is around 40 trading days, with an average absolute decline of approximately 15% [71][72] - The current adjustment in major technology sectors has seen declines of 15-20%, nearing historical averages, but the adjustment duration has been shorter than the historical average, suggesting a need for patience [71][72] - The report recommends continuing to allocate resources according to calendar effects, particularly in banking and white goods, while observing potential shifts in growth styles as economic data is released [71][72]

Core Points - The CSI A500 Index experienced a decline of 4.27% this week, closing at 5325.99 points as of November 21 [6] - The average daily trading volume for the week was 6047.97 billion yuan, reflecting a decrease of 13.94% compared to the previous week [6] - All 40 CSI A500 funds saw a decline, with losses exceeding 3%, indicating a broad market downturn [6] Index Performance - The CSI A500 Index closed at 5325.99 points, down 4.27% for the week [2][6] - The total trading volume for the week was 30239.84 billion yuan, with an average daily trading volume of 6047.97 billion yuan [2][6] Top Performers - The top gainers for the week included: - Aerospace Development (000547.SZ) with a gain of 31.77% - BlueFocus Communication Group (300058.SZ) with a gain of 20.18% - Tongcheng New Materials (603650.SH) with a gain of 14.75% [4] Bottom Performers - The top losers for the week included: - Defang Nano (300769.SZ) with a loss of 19.27% - New Zhongbang (300037.SZ) with a loss of 17.98% - Goodwe (688390.SH) with a loss of 17.59% [4] Fund Performance - The total scale of CSI A500 funds has fallen below 200 billion yuan, currently at 1920.64 billion yuan [6] - The largest funds by scale include: - Huatai-PB A500 ETF with 256.97 billion yuan - E Fund A500 ETF with 226.45 billion yuan - Guotai Fund's CSI A500 ETF with 212.14 billion yuan [6] Market Analysis - According to Huaxin Securities, the A-share market is currently in a tug-of-war around the 4000-point mark, influenced by external factors such as the rising US dollar index and internal factors like profit-taking in technology stocks [7] - The report indicates that while there are signals for a short-term adjustment, the bull market is still in its mid-stage, awaiting further capital inflows from residents, public funds, and foreign investments [7]

Core Insights - The report highlights the acceleration of industry rotation in the A-share market, indicating a shift from sustained single-line trends to rapid sector changes, with the industry rotation index showing increased activity since 2023 [13][14] - It emphasizes the scarcity of fundamentally strong investment opportunities, suggesting that while growth investment remains relevant, the range of viable options has significantly narrowed compared to the past two decades [20][19] - The report identifies the importance of "crowding" and "calendar effects" as tools for navigating the current market dynamics, with a focus on how these metrics can guide investment strategies [37][38] Group 1: Industry Rotation Dynamics - The A-share market has experienced a notable increase in industry rotation speed, with the duration of dominant trends decreasing from 6-12 months in previous years to approximately 2 months in 2023 [13][14] - The report outlines that the current market environment is characterized by a blend of "extreme rotation" and "absolute low volatility," where thematic investments and stable fundamental assets coexist [4][5] - The report provides a comparative analysis of industry performance, indicating that sectors such as military, robotics, and software are expected to benefit from low crowding and catalysts in the near term [6] Group 2: Investment Strategies and Sector Focus - For active funds, the report suggests focusing on sectors with strong growth trends and catalysts, particularly in the context of the upcoming quarterly reports [6] - It recommends maintaining positions in sectors like computing power, innovative pharmaceuticals, and non-ferrous metals, while also noting the potential for increased allocations in dividend-paying sectors such as banks and home appliances as the year-end approaches [6] - The report highlights the significance of calendar effects, suggesting that both active and long-term investors may find opportunities for positioning in the market during specific periods [5][6]

Core Insights - The A-share market has shown a "big opening and big closing" characteristic in October, with significant structural differentiation, where technology growth sectors are under pressure while low valuation high dividend sectors and policy-driven themes are alternatingly active [1][2][3] Market Performance - Private equity institutions believe that the overall market performance in October aligns with expectations, indicating a specific environment where economic expectations are uncertain but market risk appetite is rising [2] - Despite adjustments in previously strong sectors like the Sci-Tech Innovation Board and the Growth Enterprise Market, daily trading volume remains high, and major indices show strong resilience [2] Structural Characteristics - The market is experiencing a notable divergence between technology growth and low valuation sectors, reflecting complex and changing market sentiment [2][3] - The shift in market style from growth to "value + policy dividend sectors" is evident, with main funds flowing out of certain tech stocks while benefiting low valuation and policy-driven sectors [3][6] Investment Strategies - Institutions emphasize the importance of maintaining flexibility and balance in investment strategies, especially in light of the significant market gains accumulated this year and the potentially complex macro environment [4][6] - The focus is on identifying structural opportunities while being cautious of high valuation sectors, with an emphasis on fundamental stock selection [4][6] Market Sentiment and Opportunities - The crowdedness of technology growth and small-cap stocks is a key concern, with accurate judgment on this crowdedness being crucial for risk control [5][6] - Despite high valuations, sectors like artificial intelligence, robotics, semiconductors, and new energy are expected to remain in a favorable cycle, presenting medium to long-term investment opportunities [7]

Core Insights - The article discusses the "crowding degree" as an important indicator reflecting trading sentiment in popular sectors, constructed by combining four dimensions: volume, price, funds, and analyst forecasts, which quantitatively track market sentiment changes and have strong indicative significance for short-term stock price trends [1]. TMT Sector - Optical modules: Crowding degree is moderately high [6] - Servers: Crowding degree is moderately high [9] - Base stations: Crowding degree is moderately high [11] - Optical fiber and cables: Crowding degree is moderately high [12] - IDC: Crowding degree is moderate [12] - Computer equipment: Crowding degree is moderately low [15] - Optical components: Crowding degree is moderately high [15] - RF components: Crowding degree is moderately high [19] - PCB: Crowding degree is moderate [20] - State-owned cloud: Crowding degree is moderately low [23] - IT services: Crowding degree is low [23] - Financial IT: Crowding degree is low [26] - Internet of Things: Crowding degree is moderate [26] - Semiconductor equipment: Crowding degree is high [30] - Semiconductor materials: Crowding degree is moderately high [31] - Semiconductor packaging and testing: Crowding degree is high [33] - Semiconductor design: Crowding degree is moderately high [33] - Semiconductor manufacturing: Crowding degree is moderately high [37] - Semiconductor discrete devices: Crowding degree is moderately high [37] - Memory: Crowding degree is high [42] - Consumer electronics: Crowding degree is moderately high [44] - Smart driving: Crowding degree is moderate [44] - Gaming: Crowding degree is moderately low [48] - Digital media: Crowding degree is moderately low [50] - Operators: Crowding degree is low [52] Manufacturing Sector - Auto parts: Crowding degree is moderately high [55] - Passenger cars: Crowding degree is moderately high [57] - Lithium batteries: Crowding degree is moderately high [59] - Hydrogen energy: Crowding degree is moderately high [59] - Energy storage: Crowding degree is moderately high [62] - Wind power: Crowding degree is moderately high [62] - Smart grid: Crowding degree is moderately high [65] - Photovoltaic inverters: Crowding degree is moderately high [65] - Photovoltaic cells: Crowding degree is moderately high [69] - Photovoltaic modules: Crowding degree is moderate [69] - Silicon materials and wafers: Crowding degree is moderately high [73] - Industrial robots: Crowding degree is moderately high [73] - Shipbuilding: Crowding degree is low [77] - Drones: Crowding degree is moderately low [77] - Aircraft engines: Crowding degree is low [82] Consumer and Pharmaceutical Sector - White goods: Crowding degree is moderately low [83] - Baijiu: Crowding degree is low [86] - Textiles and apparel: Crowding degree is moderate [88] - Hotel and catering: Crowding degree is moderate [90] - Tourism and scenic spots: Crowding degree is moderately high [90] - Air transport: Crowding degree is moderately high [94] - Pig industry: Crowding degree is moderate [94] - Innovative drugs: Crowding degree is low [97] - Traditional Chinese medicine: Crowding degree is low [99] - Medical services: Crowding degree is low [101] Financial and Real Estate Sector - Real estate: Crowding degree is moderately high [51] - Banking: Crowding degree is low [105] - Insurance: Crowding degree is low [105] - Securities: Crowding degree is moderately low [105] Cyclical Sector - Coal: Crowding degree is high [55] - Steel: Crowding degree is low [111] - Oil and petrochemicals: Crowding degree is moderately low [112] - Thermal power: Crowding degree is moderately low [113] - Industrial metals: Crowding degree is moderate [113] - Chemical raw materials: Crowding degree is moderately low [118]

Core Insights - The report highlights that a high level of crowding in sectors may indicate a peak in short-term sentiment, leading to potential downward adjustments in those sectors [2][6] - It emphasizes that sectors supported by industrial trends or strong policy backing are likely to recover and achieve excess returns after a period of emotional digestion [2][6] Market Review - The report notes that during the week of July 21-25, the overall A-share market rose by 2.65%, with significant performance from sectors like hydropower and rare earths [2][78] - The average daily trading volume reached 1.8398 trillion yuan, indicating increased market activity [2][78] - The report also mentions a notable increase in the number of stocks rising, with 2,941 stocks up compared to the previous week [2][78] Key Themes - **Childcare Subsidies**: The introduction of a national childcare subsidy policy is expected to stabilize birth rates and positively impact sectors such as maternal and infant products, early education, and assisted reproduction [3][95] - **Anti-Competition Policies**: The report discusses the government's efforts to eliminate excessive competition, which is anticipated to lead to an orderly exit of outdated production capacity and promote high-quality industry development [3][98] - **Innovative Pharmaceuticals**: The report highlights that business development (BD) transactions are opening up growth opportunities for innovative pharmaceutical companies, supported by favorable policies [3][101] Policy Dynamics - The report outlines several recent policy initiatives aimed at optimizing state-owned asset allocation and promoting high-quality urban development [3][104] - It mentions the emphasis on improving the quality of competition in various industries, particularly in sectors facing issues with low-price competition [3][98] Industry Trends - **Artificial Intelligence**: The report notes advancements in AI technology, including the launch of new AI products and participation in global AI governance discussions [3][104] - **Robotics**: The introduction of new robotic products is highlighted, indicating growth in the robotics sector [3][104] - **Biopharmaceuticals**: The report states that the approval of innovative drugs has significantly increased, with 43 new drugs approved in the first half of the year, marking a 59% year-on-year increase [3][104]