点击注册小程序 查看完整报告 特别申明： 本订阅号中所涉及的证券研究信息由光大证券研究所编写，仅面向光大证券专业投资者客户，用作新媒体形势下研究 信息和研究观点的沟通交流。非光大证券专业投资者客户，请勿订阅、接收或使用本订阅号中的任何信息。本订阅号 难以设置访问权限，若给您造成不便，敬请谅解。光大证券研究所不会因关注、收到或阅读本订阅号推送内容而视相 关人员为光大证券的客户。 报告摘要 本周市场核心观点与市场复盘： 4月以来，市场在主题快速轮动特征下，呈现"红利+微盘"显著占优特征。本周"红利+微盘"在创出年内高 点之后出现短线快速调整的反转变化，短期需警惕"红利+微盘"持续调整带来的交易偏好下降。中长期角 度，流动性宽松叠加风险偏好上行仍将驱动A股震荡上涨；短线调整结束后，"红利+小盘"杠铃组合仍是配 置优选。 本周上证综指下跌0.57%，上证50下跌0.18%，沪深300下跌0.18%，中证500下跌1.10%，中证1000下跌 1.29%，创业板指下跌0.88%，北证50指数下跌3.68%。 截至2025年5月23日，宽基指数来看，创业板指处于估值分位数"安全"等级，其余各大宽基指数处于估值 分位数"适 ...

Investment Rating - The report indicates a cautious view on the market with a focus on small-cap stocks as a preferred investment style [1][12]. Core Insights - The A-share market continued to show volatility with a contraction in trading volume, leading to a cautious sentiment in the market. The liquidity remains loose, favoring small-cap stocks, and a "dividend + small-cap" strategy is suggested for relative returns [1][12]. - Major indices showed mixed performance, with the Shanghai Composite Index rising by 0.76% and the ChiNext Index increasing by 1.38%, while the CSI 500 and CSI 1000 experienced slight declines [1][13]. Summary by Sections Overall Market Performance - The report covers the performance of major indices from May 12 to May 16, 2025, highlighting a mixed outcome with the Shanghai Composite Index up by 0.76% and the ChiNext Index up by 1.38% [1][13]. - The report notes that the liquidity environment remains favorable for small-cap stocks, which are expected to continue outperforming [1][12]. Industry Valuation - As of May 16, 2025, the report categorizes the valuation of major indices as "moderate," while the ChiNext Index is classified as "safe." Specific industries such as non-bank financials, transportation, and utilities are also rated as "safe" [1][18][19]. Fund Flow Tracking - The report indicates that institutional interest was highest in stocks like Anji Technology and Hengda, with significant net outflows from ETFs, particularly in the stock-type ETFs [3][56]. - The report highlights that southbound capital saw a net outflow of 86.85 billion HKD during the tracking period [3][56]. Volatility Analysis - The report discusses the cross-sectional volatility of major indices, noting a decrease in the cross-sectional volatility of the CSI 300, CSI 500, and CSI 1000, indicating a deterioration in the short-term alpha environment [2][37]. - Time series volatility for the CSI 300 increased, suggesting an improvement in the alpha environment, while the CSI 500 and CSI 1000 saw declines [2][41].

Core Viewpoint - The A-share market continued to show a fluctuating performance with reduced trading volume, indicating a cautious sentiment among investors. The market is experiencing a "profit-taking" state, with net outflows from ETFs [2]. Market Performance Summary - The major indices showed mixed results: the Shanghai Composite Index rose by 0.76%, the SSE 50 increased by 1.22%, the CSI 300 gained 1.12%, while the CSI 500 and CSI 1000 fell by 0.10% and 0.23% respectively. The ChiNext Index rose by 1.38%, and the Northbound 50 Index increased by 3.13% [2]. - As of May 16, 2025, the valuation percentiles for major indices were categorized as "moderate" for the Shanghai Composite, SSE 50, CSI 300, CSI 500, and CSI 1000, while the ChiNext Index was rated as "safe" [2]. Sector Valuation Analysis - According to the CITIC industry classification, sectors such as non-ferrous metals, electric power and utilities, home appliances, food and beverage, agriculture, non-bank financials, and transportation are rated as "safe" in terms of valuation [2]. Volatility Analysis - The cross-sectional volatility of the CSI 300, CSI 500, and CSI 1000 indices decreased compared to the previous week, indicating a deterioration in the short-term Alpha environment. However, the time series volatility for the CSI 300 increased, suggesting an improvement in the Alpha environment, while the CSI 500 and CSI 1000 saw a decline [3]. Fund Flow Tracking - The top five stocks attracting institutional attention were Anji Technology (241 institutions), Hengerd (237), Naipu Mining Machine (122), Haimu Star (113), and Diaowei (94) [4]. - During the period from May 12 to May 16, 2025, southbound funds experienced a net outflow of 8.685 billion HKD, with net inflows of 4.910 billion HKD in the Shanghai Stock Connect and net outflows of 13.595 billion HKD in the Shenzhen Stock Connect [4]. ETF Performance - The median return for stock ETFs was 0.74% with a net outflow of 25.370 billion CNY. The median return for Hong Kong stock ETFs was 1.27% with a net outflow of 6.696 billion CNY. Cross-border ETFs had a median return of 3.80% with a net outflow of 1.081 billion CNY, while commodity ETFs had a median return of -4.71% with a net outflow of 4.308 billion CNY [6].

2025 年 5 月 11 日 总量研究 小市值或持续占优 ——金融工程市场跟踪周报 20250511 要点 本周市场核心观点与市场复盘： 本周（2025.05.06-2025.05.09，下同）A 股震荡上涨，成交量有所修复。资金 面方面，ETF 资金整体净流出，市场冲高伴随资金止盈行为。交易情绪方面，截 至周五（2025.05.09，下同）主要宽基指数量能择时指标均发出谨慎信号。 当前市场流动性延续宽松背景下，小市值或持续占优。确定性方面，红利优势仍 将维持。"红利+小盘"杠铃组合或为市场探寻方向背景下获取相对收益的最优 选择。 本周上证综指上涨 1.92%，上证 50 上涨 1.93%，沪深 300 上涨 2.00%，中证 500 上涨 1.60%，中证 1000 上涨 2.22%，创业板指上涨 3.27%，北证 50 指数 上涨 3.62%。 截至 2025 年 5 月 9 日，宽基指数来看，创业板指处于估值分位数"安全"等级， 其余各大宽基指数处于估值分位数"适中"等级。 中信一级行业分类来看，建材、轻工制造、电力设备及新能源、国防军工、纺织 服装、计算机、综合金融处于估值分位数"危险"等级；有色金 ...

2025 年 4 月 28 日 总量研究 市场波动温和提升，杠铃组合或占优 ——金融工程市场跟踪周报 20250428 要点 上周市场核心观点： 上周（2025.04.21-2025.04.25，下同）A 股窄幅震荡，市场整体表现不佳。主 要宽基指数量能维持近期低位，量能择时指标仍维持谨慎信号。资金面方面，ETF 资金周度净流出，大盘宽基 ETF 为净流出主要方向。市场波动方面，主要宽基 指数截面波动率、时序波动率环比上周皆有上升。 从市场大类因子表现来看，上周市场动量因子占优。结合上证 50 指数层面表现 的相对低迷来看，后市流动性延续宽松背景下，小市值或持续占优。确定性方面， 红利优势仍将维持。"红利+小盘"杠铃组合或为市场探寻方向背景下获取相对 收益的最优选择。 上周市场各指数涨跌不一，上证综指上涨 0.56%，上证 50 下跌 0.33%，沪深 300 上涨 0.38%，中证 500 上涨 1.20%，中证 1000 上涨 1.85%，创业板指上 涨 1.74%，北证 50 指数下跌 2.16%。 截至 2025 年 4 月 25 日，宽基指数来看，上证指数、上证 50、沪深 300、中证 500、中 ...