金融工程 | 金工定期报告 配置方向上，我们的行业配置模型显示，中期角度行业配置继续推荐困境 反转型板块，推荐港股创新药和证券保险，上行趋势仍在延续，此外受益 政策驱动板块方面，光伏以及化工有望保持上行；TWO BETA 模型继续推 荐科技板块，继续关注军工算力以及电池。短期信号显示，黄金股有望在 调整后迎来反弹。 从估值指标来看，wind 全 A 指数整体 PE 位于 85 分位点附近，属于中等水 平，PB 位于 50 分位点附近，属于较低水平，结合短期趋势判断，根据我 们的仓位管理模型，当前以 wind 全 A 为股票配置主体的绝对收益产品建 议仓位至 80%。 金融工程 证券研究报告 量化择时周报：牛市思维，行业如何配置？ 牛市思维，行业如何配置？ 上周周报(20250817)认为：短期而言，上周市场放量加速上攻，短期日线 或有震荡，但仍建议逢低加仓；当前 WIND 全 A 趋势线位于 5625 点附近， 赚钱效应值为 3.73%，显著为正，在赚钱效应转负之前，建议耐心持有，保 持高仓位。最终 wind 全 A 继续大涨，全周上涨 3.87%。市值维度上，上周 代表小市值股票的中证 2000 上涨 3. ...

Core Viewpoint - The core of investment lies in valuation and cost-effectiveness, rather than merely identifying good companies or stocks [1] Market Comparison - Compared to the bull market ten years ago, the current A-share market shows significant differences, with the index currently around 3700 points, while it peaked at 5178.19 points a decade ago [2] - The overall economic and market fundamentals have improved significantly over the past ten years, suggesting that if valuation levels remained constant, the index should be much higher [2] - Regulatory environments have changed, with stricter controls on credit funds entering the market, leading to a more stable and sustainable "slow bull" market rather than a "crazy bull" [2] Valuation Levels - The overall valuation of the A-share market is not considered expensive, with major indices like CSI 300 and SSE 50 having dynamic P/E ratios around ten times, which is relatively low compared to global markets [3] - There is significant divergence in individual stock valuations, with some stocks having P/E ratios in the tens or even hundreds, while others, especially in the Hong Kong market, have P/E ratios as low as six or seven times [3][6] Influencing Factors - Various factors such as U.S.-China relations, real estate trends, and financial risk management will influence market fluctuations, and the current macroeconomic context is markedly different from ten years ago [4] - Investors often base their decisions on qualitative assessments of a bull market, which may lack rigorous logic, leading to potential misjudgments [4] Investment Strategy - The focus should be on large-cap companies due to their better transparency, lower risk of "black swan" events, and more favorable valuations compared to small-cap stocks [5][6] - The investment strategy should prioritize valuation and cost-effectiveness, rather than following popular trends or sectors that may be overvalued [9] Recommendations for Investors - Investors should adopt a mindset focused on calculating real returns from their investments, rather than speculating on short-term market movements [10] - A comprehensive view of all assets as a single entity can help in assessing overall profitability and health, leading to clearer investment decisions [10]

Core Viewpoint - The A-share market has shown a strong rebound, with the Shanghai Composite Index reaching a nearly ten-year high around 3720 points, driven primarily by growth-oriented sectors [1] Market Performance - As of August 19, the North Exchange 50 Index and the Sci-Tech Innovation 200 Index have both seen year-to-date gains exceeding 50%, while the CSI 2000 Index has risen over 30% [1] - The performance of technology growth-style broad-based indices has significantly outpaced that of the broader market indices, with over a hundred equity funds achieving net value increases of over 100% in the past year [1][3] - The leading funds in the past year include those focused on themes such as financial technology, humanoid robots, and pharmaceuticals, with actively managed funds dominating the top performers [1][3] Fund Performance - Three funds from the North Exchange have reported net value increases exceeding 200% in the past year, highlighting the strong performance of thematic funds [3] - A total of 137 funds have seen net value increases over 100% in the past year, with 103 of these being actively managed equity funds [3] - The Wind Mixed Equity Fund Index has shown a net value increase of over 40% in the past year, benefiting from several market rallies [4] Market Trends and Future Outlook - The current market rally is attributed to a bullish sentiment, with continuous inflow of new capital and easing of US-China tariffs [6] - Institutions like Morgan Stanley and Guotai Fund express optimism about the sustainability of the market rally, citing strong liquidity and upcoming positive events as potential support for market sentiment [6][8] - The technology sector, particularly in AI applications and semiconductor materials, is expected to continue leading the market, with other sectors also presenting investment opportunities [7][8]

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]

Group 1 - The market is gradually shifting towards a bullish mindset, with higher risk tolerance funds showing significant net inflows in July, while lower risk tolerance funds are actively seeking structural opportunities in underpriced segments [1] - In July, higher risk tolerance funds' net inflows were primarily from leveraged funds and private equity, while ETFs experienced net outflows, particularly in broad market ETFs, with thematic ETFs contributing positively [1] - Insurance funds continue to increase their allocation to equity assets, expanding from narrow dividend assets to a broader range of dividend assets [1] Group 2 - The issuance and redemption of actively managed equity funds showed marginal improvement in July, indicating a potential exit from the low point of the funding cycle [2][5] - The net inflow of leveraged funds accelerated in July, with a notable increase in margin trading balances, surpassing 2 trillion yuan for the first time since 2015 [23] - Insurance capital has become a significant incremental funding source in the capital market, with stock holdings reaching the highest proportion recorded [27][28] Group 3 - Foreign capital turned net inflow in July, with overseas funds investing 20 billion yuan in A-shares, primarily through passive funds [36] - Private equity fund management scale and stock long positions have both increased significantly, indicating a bullish sentiment among private equity investors [41] - The number of new A-share accounts increased in July, but the growth rate was relatively slow compared to earlier in the year, suggesting that individual investors are not the main incremental funding source in the current market [44] Group 4 - The IPO and refinancing scale of listed companies showed a noticeable increase in July, although the overall financing level remains low compared to previous bull markets [47] - Industrial capital net reduction increased in July, indicating a trend of selling pressure from corporate insiders [52]

Market Overview - The Shanghai Composite Index rose by 0.2% on Thursday, while the CSI 300 remained flat compared to Wednesday. The STAR Market 50 index fell by 0.2%, the CSI 1000 was unchanged, and the ChiNext index decreased by 0.7%. The Hang Seng Index increased by 0.7% [3][4] - The best-performing sectors on Thursday included non-ferrous metals (+1.2%), beauty and personal care (+1.0%), real estate (+0.8%), textiles and apparel (+0.8%), and transportation (+0.7%). The worst-performing sectors were pharmaceuticals and biology (-0.9%), electric power equipment (-0.7%), telecommunications (-0.5%), defense and military industry (-0.4%), and home appliances (-0.3%) [3][4] - The total trading volume in the Shanghai and Shenzhen markets was 18,255 billion, with a net inflow of 661 million Hong Kong dollars from southbound funds [3][4] Key Insights on White Goods Industry - The valuation of leading companies in the white goods sector is currently at a low level not seen since 2010. While the valuation of the CSI 300 has increased this year, the valuation of white goods has decreased [5] - Despite a marginal decline in short-term industry prosperity, the long-term growth potential remains intact. An increase in dividend rates and a potential decline in government bond yields may support a phase-wise recovery in white goods valuations [5] - Historical data shows that during the bull market from March 12, 2024, to June 12, 2015, the cumulative growth of the three leading white goods companies lagged behind the CSI 300 and the Shanghai Composite Index. However, during rapid index growth phases, these companies outperformed. The valuation rebound began in November 2014, driven by capital market factors rather than fundamental signals [5][6] - The current PE-TTM of Midea Group has started to fall below the valuation of the CSI 300, indicating a potential investment opportunity [5]

Core Viewpoint - The current A-share market is characterized as a "slowly rising oscillating market" with a long-term optimistic outlook for index breakthroughs despite existing divergences [1] Market Analysis - The market has broken through key levels, indicating a potential for long-term growth [1] - There is a recommendation to adopt a "bull market mindset" while maintaining a cautious approach typical of a "slowly rising oscillating market" [1] Investment Strategy - It is advised not to blindly chase high prices in trading and allocation [1] - The focus is on growth sectors, which are expected to outperform when market risk appetite is high [1] Sector Preferences - Recommended sectors for allocation include technology, military industry, finance, DeltaG consumption, stable dividend stocks, and gold [1]

Group 1 - The report maintains an optimistic long-term outlook for the index, suggesting a "slowly rising oscillating market" pattern, with short-term risks of adjustment as the index approaches key levels [2][11][19] - There are two main doubts regarding the market breakthrough: "the fundamentals have not yet bottomed" and "the fiscal support for anti-involution is weak" [12][30] - The central Huijin is identified as a core driving force behind the current market breakthrough, providing stability and support through sustained long-term capital inflows [13][19] Group 2 - The trading heat is currently high, with a significant number of industries showing increased trading activity, particularly in anti-involution sectors [20][21] - The report highlights that the trading volume in several anti-involution industries has surpassed warning thresholds, indicating heightened market activity [23][28] - The report notes that while the overall trading heat is elevated, it does not necessarily indicate the end of the market rally, as seen in previous years [21][30] Group 3 - The anti-involution market phase is characterized by skepticism regarding the strength of fiscal support, despite recent policy changes that may extend the definition of anti-involution [30][31] - Future prospects for the anti-involution market depend on the strength of demand-side policies; insufficient support may lead to a temporary rebound rather than a sustained reversal [34][35] - The report outlines three advantages driving the anti-involution trend: high-level policy attention, clean chip distribution in industries, and increased market risk appetite [31][32] Group 4 - The report recommends a diversified investment strategy focusing on technology, military, finance, and stable dividend stocks, alongside gold [35][36] - Specific sectors highlighted for investment include AI, robotics, semiconductors, and consumer goods, with an emphasis on areas showing marginal improvement in profit growth [36][37] - The report suggests that the current market environment requires a "bull market mindset" while maintaining a cautious approach to avoid blind chasing of highs [35][36]

Core Viewpoint - The market is at a critical point to test the validity of "bull market thinking" as it approaches the third quarter, with expectations for increased capital inflow and sector performance [1][11][13]. Group 1: Sector Performance - In Q2, the sectors with the highest increase in active equity fund allocations, excluding stock price factors, were communication, military industry, and non-bank financials, while the sectors with the most significant reductions were food and beverage, automotive, and electrical equipment [2][4]. - The AI computing power chain (including optical modules and PCBs) has once again become a consensus direction for institutional accumulation, marking the sixth time the TMT sector has been the top area for public fund accumulation in a single quarter since the AI wave began in 2023 [1][11]. - The non-bank sector (insurance and brokerage) also ranked among the top three for public fund accumulation in Q2, reflecting expectations for increased market participation despite no significant improvement in the economic fundamentals [1][13]. Group 2: Fund Allocation Insights - The report indicates a significant increase in the allocation to Hong Kong stocks, reaching a record high of 19.7%, with a focus on innovative drugs and a reduction in automotive sector investments [16]. - The technology chain primarily focused on increasing positions in computing power, particularly in sectors with high confidence in immediate fundamentals, such as optical modules and PCBs [17]. - The report highlights a shift in institutional preferences towards "new consumption" core stocks, indicating a change in aesthetic appreciation between new and old consumption sectors [17]. Group 3: Historical Context and Trends - Since Q4 2021, sectors with the highest single-quarter increases in holdings often see their stock price performance rank in the middle to lower tier in the following quarter, suggesting a potential overextension of market expectations [5][9]. - The report suggests that if the relevant sectors can continue to perform well in Q3 and Q4, it would indicate that the current "bull market thinking" is gradually solidifying [11][13].

Core Viewpoint - The article discusses the transition from a bear market mentality to a bull market mentality in the A-share market, emphasizing the importance of adapting to new market conditions and the potential for sustained growth [4][9][22]. Market Performance - The A-share market has shown a continuous upward trend, with a 0.43% increase on Friday, marking four consecutive weeks of gains and approaching the high point from the "9·24" market [3]. - The 14-day RSI index has recently reached 77.25, breaking through the critical 70-point level, indicating a shift towards a bull market [4][8]. Market Sentiment - Historically, the A-share market has been characterized by a bear market mentality, with the 14-day RSI often remaining below 70, reflecting a cautious investor sentiment [7][12]. - The current market shows signs of a changing sentiment, as investors appear to be overcoming their "fear of heights," which is a sign of emerging bull market thinking [14][16]. Bull Market Characteristics - A true bull market mentality involves not only accepting new highs but also managing pullbacks effectively, with the ideal scenario being a maximum decline of 10-15% [17][19]. - The article highlights that the depth and duration of any upcoming pullbacks will be crucial in determining whether the current market trend is a sustainable bull market or just a temporary spike [21][23]. Investment Strategy - Investors are encouraged to gradually adapt to the bull market rhythm, fostering patience and confidence while maintaining a respectful awareness of market dynamics [22]. - The article suggests using observable indicators, such as the RSI and drawdown levels, to objectively assess market strength rather than relying on subjective optimism [22].