策略周报 A 股估值扩张，钢铁行业领涨 A 股 TTM&全动态估值全景扫描（20260228） 核心结论 本周 A 股总体估值扩张，钢铁行业领涨。今年钢铁冬储累库力度较弱，后续 库存压力较小，节后开工钢铁需求季节性提升，叠加 PPI 回升带来的价格回 升预期较强，而黑色板块位置相对较低，钢铁行业迎来补涨。从估值角度， 当前钢铁行业全动态估值处于历史 45.3%分位数，后续仍存在估值提升空 间。 主板和创业板 PE 扩张，科创板 PE 收缩。算力基建剔除运营商/资源类的相 对估值收缩。算力基建剔除运营商/资源类的相对 PE（TTM）从上周的 3.89 倍降至本周的 3.58 倍，相对 PB（LF）从上周的 4.12 倍降至本周的 3.97 倍。 观察行业绝对估值与相对估值的历史分位数—— （1）从静态的 PE（TTM）角度，大类行业中，可选消费、中游制造、周期 类、大消费、中游材料绝对估值和相对估值均高于历史中位数，其中可选消 费、中游制造绝对估值和相对估值均高于历史 90 分位数，必需消费、服务 业、金融服务相对估值低于历史 10 分位数。 （2）从 PB（LF）角度，大类行业中，大类行业中，资源类、周期类、 ...

2026 年 02 月 27 日 宏观策略图表分析百宝箱：实战应用指南 宏观策略分析常面临指标繁杂、逻辑难以验证、复盘效率低下的困 境。为此，我们金融工程团队历时三年，自主打造了"宏观策略图表 百宝箱"系统，旨在为投研人员提供一套集数据清洗、逻辑检验、情 景复盘与策略跟踪于一体的高效图表分析工具。 本报告主要通过 13 个贴近实战的图表分析案例，系统展示该系统 如何应对三类核心问题：如何检验一个宏观逻辑是否可靠？如何从历 史行情中挖掘有效规律？如何构建动态有效的策略跟踪体系？ 报告中详细讨论的 13 个实战分析案例如下： 每个案例不仅简要展示了对应图表模板的搭建过程，更结合分析结 果对背后的逻辑框架进行深度反思，提炼出若干重要洞察。例如：经 典逻辑（如美债收益率与大小盘风格）需要实证检验而非盲目相信； 历史规律（如春节效应、大跌反弹）需结合市场阶段与微观结构方能 有效应用。 在信息过载的时代，真正的优势不在于拥有更多信息，而在于更系 统的处理框架和更深刻的思考路径。工具的高级价值在于拓展认知边 界，本系统希望助力投研人员穿透数据表象，直达问题本质，成为投 研路上的得力助手。 附录：系统核心功能简介 本系统具备 ...

Market Overview - The Shanghai Composite Index closed slightly down by 0.01%, with a notable intraday fluctuation, reaching a low of 0.82% [1] - The primary reason for the intraday low was a centralized cooling effect, which led to some funds following suit, indicating signs of a sell-off [3] Market Sentiment and Financing - Fortunately, the cooling effect began to ease, and financial heavyweight stocks such as banks and brokerages started to rise, helping the market recover significantly [5] - The market sentiment has reached a threshold due to the cooling, with a net sell-off in financing balances recorded at 8.5 billion on January 19, indicating a shift from net buying to high-level fluctuations [5] Sector Adjustments - The commercial aerospace and AI applications have also seen adjustments from their highs, reflecting a decrease in speculative market sentiment, which signifies the effectiveness of the cooling measures [7] Arbitrage Opportunities - The silver LOF has been sold off, achieving a return of approximately 39%, with a cumulative return of 817% for a single account, translating to around 1,671 yuan [9] - The premium rate for silver LOF has approached 40%, indicating a bubble as the market price is 40% higher than the actual net value [12] - The exchange has listed the silver LOF as a key focus, warning of trading risks and potential self-regulatory measures for abnormal trading behaviors [12] Trading Strategies - The grid trading strategy triggered transactions in eight varieties, while no transactions were triggered in the grid combination [14] - Current trends in selected broad-based indices such as the Sci-Tech Innovation and AI indices indicate positive momentum [16] - The stock-bond yield spread stands at 5.23%, suggesting that the overall market's cost-effectiveness is higher than 53.5% of the time [16]

Summary of Key Points from Conference Call Industry Overview - **U.S. Stock Market**: Expected to experience volatility and differentiation, with a focus on technology stocks following Nvidia's earnings report, small-cap tech, healthcare, financial sectors, and low-end consumer staples [1][3] - **A-Share Market**: Currently in a phase of fluctuation, with attention on price increase diffusion, low-level rebounds, and sentiment-driven themes [1][5] Economic Indicators - **Domestic Macro Data**: Weak performance noted in October, with social financing and credit weakening, exports turning negative, and declines in fixed and real estate investments [1][5] - **Liquidity Trends**: Marginal contraction in macro liquidity, with a projected decline in the growth rate of liabilities in the real sector [1][6][7] Investment Recommendations - **Fixed Income Strategy**: Maintain flexibility in asset allocation due to changing liquidity conditions, with a recommendation for a combination of long-term bonds and value equity assets [1][7] - **Healthcare Sector**: Recent rebound in the innovative drug sector, with increasing competitiveness in Chinese drug licensing and a rationalization of valuations [1][8] - **Agriculture Sector**: Opportunities identified in agricultural modernization, disease prevention in livestock, and environmental technology in aquaculture [1][11] Geopolitical Impact - **Military Sector**: Rising geopolitical tensions, particularly related to Japan's statements on Taiwan, may boost sentiment in the military sector [1][9][10] Specific Company Insights - **Yuehai Feed**: Notable recovery in performance with a projected compound growth rate of 20% to 30% over the next three years, driven by internal adjustments and market expansion [1][16][18] Consumer Trends - **Pet Industry**: Strong performance of brands under Guobao and Zhongchong during the Double Eleven shopping festival, indicating robust market positioning [1][12][14] Conclusion - **Market Outlook**: Cautious approach recommended in light of weak domestic fundamentals, with a focus on sectors showing potential for price increases and low-level rebounds, alongside monitoring geopolitical developments [1][19]

Core Viewpoint - The article presents insights from Li Bei, founder of Banxia Investment, emphasizing the importance of self-awareness and maintaining a balanced investment strategy in the face of market fluctuations. The focus is on achieving investment success through a clear understanding of one's capabilities and the market environment, rather than chasing every opportunity [2][20]. Group 1: Market Performance and Investment Strategy - Li Bei expressed satisfaction with the performance of low-volatility funds, which outperformed the CSI 300 index, achieving returns exceeding 14% as of August 31 [5]. - The investment strategy involves a cautious approach, focusing on areas of expertise and avoiding sectors like technology and small-cap stocks where the firm lacks deep research [6][9]. - The use of the CSI 500 index futures (IC) allows for safer participation in the technology sector, providing enhanced returns while managing risk through lower volatility [9][47]. Group 2: Market Trends and Economic Indicators - The article discusses the ongoing bullish trend in the stock market, suggesting that the current phase is driven by liquidity and risk appetite, with the stock-bond yield spread remaining favorable for equities [26][29]. - Li Bei believes that the stock market's upward trend is still in its early stages, with significant potential for growth as liquidity conditions improve and investor confidence returns [29][36]. - The real estate sector is identified as having a once-in-a-decade opportunity, driven by supply-demand dynamics and improved competitive landscape among surviving firms [38][44]. Group 3: Communication and Investor Relations - Effective communication with investors is crucial, emphasizing the need for transparency and setting realistic expectations to avoid disappointment during performance fluctuations [17][18]. - The approach involves allowing investors to make their own decisions while providing them with a stable framework and honest assessments of market conditions [18][21]. Group 4: Personal Growth and Market Philosophy - Li Bei highlights the importance of self-love and understanding in navigating the investment landscape, advocating for a balanced perspective towards market dynamics and personal well-being [20][24]. - The philosophy of "loving the world while loving oneself" is presented as a guiding principle for maintaining a positive mindset amidst market challenges [21][24].

Core Conclusions - The overall valuation of A-shares has contracted this week, with the banking sector leading the gains. The previous dominance of the technology growth sector led to a continuous outflow of funds from the banking sector, resulting in a significant correction. Currently, the banking sector, which has defensive attributes, is experiencing a recovery phase. The overall PB (LF) of the banking industry is at the historical 22.8 percentile, indicating substantial room for recovery [1][8]. Valuation Overview - The overall PE (TTM) of A-shares decreased from 22.47 times last week to 22.00 times this week, while the PB (LF) fell from 1.81 times to 1.77 times [10]. - The overall dynamic PE of key A-share companies dropped from 15.19 times to 14.93 times [14]. A-Share Valuation Details - The PE (TTM) of the main board decreased from 17.90 times to 17.71 times, and the PB (LF) fell from 1.51 times to 1.49 times [17][18]. - The PE (TTM) of the ChiNext board decreased from 97.70 times to 75.51 times, and the PB (LF) dropped from 4.38 times to 4.15 times [19][20]. - The PE (TTM) of the Sci-Tech Innovation board decreased from 258.35 times to 246.87 times, and the PB (LF) fell from 5.46 times to 5.14 times [21][22]. Relative Valuation Expansion - The relative PE (TTM) of computing power infrastructure, excluding operators/resources, decreased from 5.41 times to 5.09 times, and the relative PB (LF) fell from 5.04 times to 4.74 times [23][25]. Industry Valuation Levels - From a static PE (TTM) perspective, industries such as consumer discretionary, midstream manufacturing, consumer staples, cyclical, and midstream materials have absolute and relative valuations above the historical median, with consumer discretionary and midstream manufacturing exceeding the historical 90th percentile. Conversely, resource and essential consumer sectors have absolute and relative valuations below the historical median, with services and essential consumer sectors below the historical 10th percentile [27][28]. - In terms of PB (LF), resource, TMT, and cyclical industries have absolute and relative valuations above the historical median, while midstream materials, financial services, services, consumer staples, and essential consumer sectors have absolute and relative valuations below the historical median, with essential consumer sectors below the historical 10th percentile [28]. Dynamic Valuation Analysis - From a dynamic PE perspective, industries such as consumer discretionary, midstream manufacturing, and cyclical sectors have absolute and relative valuations above the historical median, with consumer discretionary exceeding the historical 90th percentile. Essential consumer sectors have both absolute and relative valuations below the historical median, with essential consumer relative valuations below the historical 10th percentile [36]. Comparative Analysis of Odds and Winning Rates - Industries such as oil and petrochemicals, agriculture, forestry, animal husbandry, fishery, telecommunications, and public utilities exhibit characteristics of low valuation and high profitability [58]. - Industries like building materials, electrical equipment, basic chemicals, and media show both low valuations and high performance growth [62]. ERP and Equity-Debt Yield Spread - The non-financial ERP of A-shares increased from 0.81% last week to 0.92% this week, while the equity-debt yield spread improved from -0.21% to -0.06% [63]. - The dynamic ERP of key non-financial A-share companies rose from 2.77% to 2.96% [68].

Core Viewpoint - The A-share market indices opened lower but turned positive, with the National Free Cash Flow Index experiencing slight declines, indicating market volatility and potential investment opportunities in specific sectors [1] Group 1: Market Performance - On October 16, A-share indices collectively opened lower before rebounding, with the National Free Cash Flow Index showing a small decline of approximately 0.25% [1] - Leading stocks included Silver Nonferrous, Dazhong Pharmacy, and Jinjiang Shipping, indicating sector-specific strength [1] Group 2: Investment Insights - According to Guangfa Securities, there is an estimated potential of 12 trillion yuan for residents to shift their deposits by the end of 2026, with 0.7 to 1.9 trillion yuan still available in demand deposits [1] - The current yield spread between stocks and bonds has room for decline, and there is a strong willingness among residents to enter the market, suggesting a favorable holding experience [1] - The Free Cash Flow ETF (159201) focuses on industry leaders with abundant free cash flow, covering sectors such as non-ferrous metals, automotive, oil and petrochemicals, and power equipment, which helps mitigate risks associated with single industry volatility [1] Group 3: Fund Management - The Free Cash Flow ETF (159201) has a management fee rate of 0.15% and a custody fee rate of 0.05%, both of which are the lowest in the market, making it an attractive option for investors [1]

Core Viewpoint - Federal Reserve Chairman Powell indicated a potential end to the balance sheet reduction process in the coming months to prevent liquidity tightening in short-term funding markets [1][3]. Group 1: Federal Reserve Actions - The Federal Reserve expanded its balance sheet during the pandemic and began raising interest rates in March 2022, followed by balance sheet reduction starting in June 2022 [2]. - The first interest rate cut is expected in September 2024, while the balance sheet reduction has continued until now [2]. Group 2: Market Reactions - The expectation of interest rate cuts and the cessation of balance sheet reduction are likely to lead to increased liquidity, which historically correlates with better market performance in A-shares and Hong Kong stocks [5]. - Following Powell's remarks, the Hang Seng Index rose by 1.84%, and the Hang Seng Tech Index increased by 2.57%, indicating signs of stabilization [5]. - Despite the positive market reaction, there has been a net outflow of 5.4 billion from southbound funds, suggesting that foreign capital is not necessarily buying into the perceived benefits of rate cuts [5]. Group 3: A-share Market Dynamics - The A-share market showed weakness in early trading, primarily due to the previous day's decline [6]. - However, the surge in shares of Sanhua Intelligent Control led to a recovery in the broader technology sector, improving market sentiment [7]. Group 4: Investment Strategies - The current market environment is characterized by volatility, with frequent changes in trend signals, particularly in sectors like AI and chips [12]. - Investors are advised to be patient and wait for clear signals, as the market's oscillating nature can lead to increased trading frequency and potential losses [12].

- The report highlights the "industry rotation model" which suggests focusing on sectors such as dividend low volatility, building materials, Hong Kong Stock Connect consumer, medical, non-ferrous metals, brokerage, and media[2][8][15] - The industry rotation model is constructed based on signals derived from sector performance, crowding metrics, and market trends. It identifies sectors with potential trading opportunities by analyzing ETF benchmark indices and their performance in terms of volume, price movement, and technical indicators[15] - Specific signals from the industry rotation model include opportunities in sectors like CSI Red Dividend Low Volatility 100, CSI Red Dividend, Shanghai Composite Index, and others. These signals are based on factors such as strong oscillation trends, volume increase, and crossing multiple moving averages[15]

Core Conclusions - The overall valuation of A-shares has expanded this week, with the non-ferrous metals industry continuing to lead the market [1] - During the National Day holiday, favorable factors for the non-ferrous industry have emerged, contributing to its ongoing leadership [1] - The current overall PB (LF) of the non-ferrous metals industry is at the historical 87.8 percentile, with specific sectors like copper, aluminum, lithium, and gold at 92.1%, 96.3%, 40.7%, and 83.6% percentiles respectively, indicating greater valuation upside potential for lithium [1] A-share Valuation Overview - The overall PE (TTM) of A-shares increased from 22.36 times last week to 22.78 times this week, while PB (LF) rose from 2.17 times to 2.21 times [10] - The PE (TTM) of the ChiNext board increased from 81.61 times to 82.22 times, while its PB (LF) remained stable at 4.88 times [19] - The PE (TTM) of the Sci-Tech Innovation Board rose from 272.77 times to 276.66 times, with PB (LF) increasing from 6.72 times to 6.81 times [21] Industry Valuation Levels - From a static PE (TTM) perspective, major industries such as consumer discretionary, midstream manufacturing, and cyclical sectors have absolute and relative valuations above historical medians, with consumer discretionary and midstream manufacturing exceeding the 90th percentile [27] - In terms of PB (LF), TMT, midstream manufacturing, and consumer discretionary also show absolute and relative valuations above historical medians, while financial services and consumer staples are below historical medians [29] - The overall valuation of key companies in A-shares based on dynamic PE increased from 15.17 times to 15.19 times this week [14] Relative Valuation Expansion - The relative PE (TTM) for computing infrastructure, excluding operators and resource categories, decreased from 5.80 times to 5.66 times, while relative PB (LF) fell from 5.69 times to 5.54 times [23] - The current comparison of odds (PB historical percentiles) and win rates (ROE historical percentiles) indicates that industries like oil and petrochemicals, as well as agriculture, forestry, animal husbandry, and fishery, exhibit characteristics of low valuation and high profitability [2] ERP and Equity-Debt Yield Spread - The non-financial ERP of A-shares decreased from 0.80% to 0.76%, while the equity-debt yield spread fell from -0.19% to -0.24% [60] - The dynamic ERP of key non-financial companies in A-shares increased from 2.76% to 2.77% this week [64]