今年以来A股先抑后扬，年初和4月份出现一轮调整，此后逐步企稳上扬，"扶摇直上"甚至创10年新高。截至9月26日 上证指数上涨14.21%，沪深300上涨15.63%，而同期道琼斯工业平均指数上涨8.7%，标普500指数上涨12.96%。A股赚 钱效应更胜一筹。 剔除今年上市的新股后，5359只A股个股今年以来平均涨幅达33%，A股强势表现之下牛股辈出，有398只股票今年以 来股价已经翻倍，1276只股票涨幅超过50%。不过，也有1059只股票（占比约20%）下跌。 长假将至！相信今年很多人能过个开开心心的长假，因为理财市场还是很给力的，股市、基金理财都表现很不错，黄 金更不必多说，应该帮不少人挣到了足以在假期"挥霍"一笔的收入。 本期《21理财私房课》盘点一下今年以来不同理财方式的赚钱效应，看看你值得拥有一个怎样的假期？ A股人均赚2.22万，398只牛股翻倍 从翻倍牛股的行业发布来看，以机械设备行业牛股最多（46只），其次是在电子行业（31只），汽车行业也有28只个 股已翻倍。退市监管力度加大之下，部分ST股票跌幅较大，"紫天退"以及9只ST股票跌幅超过50%。 那么A股股民们今年以来收益如何呢？Wind数 ...

Core Insights - The report indicates that the market is in an upward trend, with the key observation variable being whether the market's profit effect can be sustained. As long as the profit effect remains positive, incremental funds are expected to continue entering the market [2][10][14] - The current WIND All A trend line is around 6184 points, with a profit effect of approximately 0.66%, still positive. It is advised to hold positions until the profit effect turns negative [2][10][14] - The industry allocation model suggests that the precious metals sector is still in an upward trend and should be monitored. Additionally, sectors benefiting from policy-driven initiatives, such as new energy and chemicals, are expected to perform well [2][10][14] Market Overview - The market is currently showing a profit effect of about 0.66%, indicating a positive environment for investment. The report suggests maintaining positions until the profit effect turns negative [2][10][14] - The valuation indicators for the WIND All A index show a PE at the 85th percentile and a PB at the 50th percentile, indicating a moderate valuation level [2][10][14] - The report recommends an 80% allocation to absolute return products based on the current market conditions and trends [2][10][14] Industry Focus - The report highlights the precious metals sector as a continuing upward trend, which should be closely monitored [2][10][14] - The technology sector, particularly chips and robotics, is recommended for continued focus based on the TWO BETA model [2][10][14] - Given the uncertainties surrounding the upcoming National Day holiday, there is a specific emphasis on focusing on dividend-paying sectors as a defensive strategy [2][10][14]

Group 1 - The core viewpoint suggests that the increase in non-bank deposits in August (1.18 trillion) compared to July (2.14 trillion) indicates a slowdown in the flow of resident deposits into the stock market, implying that A-shares still have potential for growth [1] - The article highlights that the current market sentiment is cautious, with many individuals in debt and a significant portion of wealth concentrated among the asset-holding class, which may lead to a lack of confidence in the stock market [2][3] - It is noted that the majority of small investors have only earned around 10-30% this year, indicating a general lack of strong market momentum [5] Group 2 - The article discusses the contrasting behaviors of depositors in different economic environments, suggesting that in times of economic uncertainty, individuals tend to save more rather than invest, as seen in Japan and Europe with their low or negative interest rates [10] - There is a mention of the structural issues within the market, where the reputation of the A-share market is perceived negatively, leading to a long recovery period for investor trust [2] - The commentary reflects a belief that the current market is more of a structural bull market rather than a broad-based one, with many investors still facing losses despite the overall market movements [7]

Core Insights - The report indicates that the market is in an upward trend, with the WIND All A index showing a significant distance of 12.15% between the short-term (20-day) and long-term (120-day) moving averages, suggesting a continued bullish environment [2][4][11] - The current market environment is characterized by a positive profit effect of 1%, and as long as this remains positive, there is potential for continued inflow of incremental funds [2][4][11] - The report highlights the importance of maintaining a balanced portfolio due to increased market volatility, recommending adjustments to holdings in favor of defensive sectors [3][4][11] Market Performance - The WIND All A index experienced a decline of 1.37% over the past week, with small-cap stocks (CSI 2000) down 1.72%, mid-cap stocks (CSI 500) down 1.85%, and large-cap stocks (CSI 300) down 0.81% [10] - Notable sector performance included a 5.91% increase in the electric equipment and new energy sector, while the defense and military sector saw a decline of 11.61% [10] Investment Strategy - The report recommends maintaining a high position in the market, suggesting an 80% allocation to absolute return products based on the current market conditions [3][11] - The industry allocation model suggests a focus on sectors that are likely to benefit from policy support, such as chemicals, non-ferrous metals, and innovative new energy, while also recommending investments in Hong Kong innovative pharmaceuticals and securities insurance [3][4][11] - The report advises against chasing high-flying stocks and instead suggests increasing exposure to previously lagging sectors to mitigate risks during market adjustments [3][4][11]

Group 1 - The core viewpoint of the article highlights a significant market rally driven by a "profit-making effect," with the Shanghai Composite Index rising nearly 8% in August, the ChiNext soaring 24%, and the Sci-Tech Innovation 50 Index increasing by 28% [2] - The decline in bank deposit rates, with many bank wealth management products yielding below 2%, has led to a shift of funds into the stock market, evidenced by a decrease of 1.1 trillion in resident deposits in July and a surge of 2.14 trillion in non-bank deposits [2] - The article warns that while the market is experiencing a surge, there is a growing divergence, with some technology stocks showing signs of overvaluation, such as Cambricon Technologies with a price-to-earnings ratio exceeding 400 times [2] Group 2 - The article emphasizes the importance of focusing on logical assets for new investors, particularly in sectors driven by policy such as semiconductors, AI computing power, and robotics, which are considered key areas for medium to long-term investment [2] - It is noted that while the market is likely to continue a trend of oscillating upward in September, there is a cautionary note regarding potential short-term pullback pressures, especially in high-valuation stocks [2]

Core Viewpoint - The article discusses the construction and performance of a "limited attention" factor in stock selection, highlighting how investor attention is a scarce resource that influences market behavior and stock performance [1][2]. Limited Attention Factor Construction - The traditional efficient market hypothesis assumes that investors can instantaneously process all new information, but in reality, investors have limited attention, leading to non-rational decision-making [2]. - The "limited attention" factor is constructed using four indicators: abnormal turnover rate, abnormal trading volume, extreme returns, and whether a stock appears on the "Dragon and Tiger List" [3][4]. - The construction methods include linear combination and random forest, with the latter showing better predictive power for returns [4][5]. Factor Performance - The performance of the limited attention factor indicates that stocks with higher attention levels attract more retail investor interest, leading to short-term price increases but often resulting in poor long-term performance [7][8]. - The factor's effectiveness is more pronounced in smaller stock pools, where retail investors' behavior can significantly impact stock prices [13][12]. Implications of Limited Attention Factor - The limited attention factor can signal "money-making effects" in the market, particularly during certain periods when retail investors chase high-attention stocks [14][17]. - The factor's IC (Information Coefficient) shows a correlation with market conditions, suggesting that it can be used for market timing and sector rotation strategies [19][22]. Application of Limited Attention Factor - The factor can be directly used in index enhancement strategies by either adding it to existing predictive models or excluding high-limited attention stocks from selection [25][30]. - Different methods of applying the factor yield varying results, with the addition of the factor generally enhancing performance in larger stock pools [30][41]. - The analysis of other factors within the limited attention domain reveals that growth and low volatility factors perform better, while profitability and value factors show decreased effectiveness [32][41].

Core Viewpoint - The A-share market is experiencing increased investor enthusiasm, with over 60% of large private equity firms nearing full investment positions, indicating a shift towards aggressive investment strategies [1][2]. Private Equity Fund Positioning - As of August 15, the average position of large private equity firms reached 82.29%, a significant increase of 8.16 percentage points from the previous week [1][2]. - The proportion of large private equity firms with positions above 80% rose to 61.97%, up 24.81 percentage points from the previous week [2]. - The shift towards aggressive investment strategies is attributed to a favorable market environment, optimistic investor sentiment, structural opportunities in sectors like AI, and the positive effects of previous market performance [2]. Investment Strategies - Private equity firms are focusing on technology growth sectors, particularly AI applications and high-end manufacturing, with some firms reporting significant increases in their positions in these areas [1][4]. - The current investment strategy emphasizes maintaining high positions rather than seeking perfect stock picks, reflecting a belief in the ongoing upward trend of the market [3][4]. Market Outlook - Private equity firms generally hold a positive outlook for the market, anticipating a long-term upward trend supported by macroeconomic policies and improving corporate earnings [5]. - The market is expected to enter a phase of sustained growth, with liquidity and investor sentiment playing crucial roles in driving stock performance [5][6].

Core Viewpoint - The article discusses the emerging trend of "deposit migration" among residents in China, which is contributing to increased activity in the A-share market, as evidenced by the recent rise in the Shanghai Composite Index and trading volumes [2][3]. Summary by Sections Deposit Migration Trends - Recent data indicates that from 2022 to 2024, residents' cumulative new deposits reached 48.7 trillion yuan, with a 47.6% increase in savings deposits, outpacing nominal GDP growth [2]. - In July, there was a year-on-year decrease of 0.8 trillion yuan in new resident deposits, while non-bank financial institutions saw an increase of 1.4 trillion yuan, reflecting a shift in deposit preferences [2]. - The growth rate of household demand deposits has rebounded to 6.8% as of July 2025, while time deposit growth has declined from 14.9% to 11.5% [2]. Reasons for Deposit Migration - The macro liquidity environment is relatively loose, with the 10-year government bond yield below 1.8% and the 1-year LPR at 3%, making traditional savings less attractive [3]. - The A-share market has become more appealing due to a lack of high-yield investment options, with the dividend yield of A-shares remaining significantly higher than that of 10-year government bonds [3]. - The market has shown signs of recovery, with the total return of the Wind All A Index exceeding various cost lines, indicating a positive earning effect that attracts new investors [3]. Historical Performance During Deposit Migration - Historically, periods of deposit migration have correlated with upward trends in the A-share market, as seen in 2009 and 2014-2015 [4]. - Specific sectors tend to outperform during these periods, such as technology and non-bank financials, driven by macroeconomic trends and policy support [4]. - The article notes that deposit migration often occurs after a market rally, highlighting the importance of earning effects in driving investor behavior [4]. Future Outlook - The trend of deposit migration is expected to continue, with potential funds available for market entry estimated between 5 to 7 trillion yuan [5]. - The article suggests focusing on sectors with high growth potential and performance validation, such as AI, innovative pharmaceuticals, and military industries, as well as financial services that benefit from increased market activity [5].

Core Viewpoint - The recent recovery in the market has led to an increase in fund issuance, with several funds announcing early closure of their fundraising periods, indicating a positive shift in investor sentiment towards the A-share market [1][5]. Fund Issuance - Multiple funds have announced early closure of their fundraising periods since August, including浦银安盛医疗创新混合, which closed on August 19 instead of August 21 [2]. - Other funds such as长城港股医疗保健精选混合,华富中证A500指数, and银华上证科创板综合增强策略ETF also ended their fundraising early in August [2]. - Smaller fund companies like百嘉基金 have also followed suit, with百嘉科技创新混合 closing early on August 15 [3]. Rapid Fund Deployment - New funds have been quick to deploy capital after establishment, with泰康资源精选股票型发起式 closing its fundraising on August 8 and starting to build positions shortly thereafter [4]. - Similarly,兴业科技创新混合型发起式 also closed early on August 7 and began trading shortly after [4]. - Other funds like汇丰晋信港股通核心资产股票发起式 and鹏扬研究精选混合 have also shown rapid deployment of capital post-establishment [4]. Market Outlook - The outlook for the second half of the year appears optimistic, with expectations of continued liquidity in the stock market due to a "moderately loose monetary policy" from the central bank [5]. - Increased investor risk appetite is anticipated, supported by improving corporate earnings and ongoing policy measures [5]. - The A-share market is expected to maintain an upward trend, with a focus on sectors such as AI, military, industrial metals, banking, insurance, and pharmaceuticals [5].

Core Viewpoint - The article discusses the construction and performance of a "limited attention" factor in stock selection, highlighting how investor attention is a scarce resource that influences market behavior and stock performance [1][2]. Limited Attention Factor Construction - The traditional efficient market hypothesis assumes that investors can instantaneously process all new information, but in reality, investors have limited attention, leading them to focus on high-attention stocks [1]. - The article constructs the limited attention factor using four indicators: abnormal turnover rate, abnormal trading volume, extreme returns, and whether a stock has appeared on the "Dragon and Tiger List" [2][3]. - The abnormal turnover rate is calculated by comparing a stock's daily turnover to its average turnover over the past 252 trading days [2]. - The abnormal trading volume is similarly calculated by comparing a stock's daily volume to its average volume over the past 252 trading days [2]. - Extreme returns are determined by measuring the deviation of a stock's daily return from the average return of all stocks on that day [2]. - The final limited attention factor is constructed using both linear combination and random forest methods, with the latter providing better predictive power for returns [3][4]. Factor Performance - The performance of the limited attention factor is evaluated based on its ability to capture retail investor interest, with higher attention stocks showing a significant increase in shareholder accounts [5][7]. - The random forest method shows higher information coefficient (IC) and win rate compared to the linear combination method, indicating better performance in distinguishing between high and low attention stocks [8][12]. - The factor performs best in smaller stock pools, where retail investors' trading behavior can significantly impact stock prices [13]. Implications of Limited Attention Factor - The limited attention factor can indicate "money-making effects" in the market, with its performance varying across different market conditions [14][17]. - The factor's IC showed a notable decline from 2019 to mid-2021, suggesting that high attention stocks were profitable during that period, while subsequent periods indicated poor performance for these stocks [17][19]. - The article explores the use of the limited attention factor for market timing and size rotation strategies, achieving a monthly win rate exceeding 70% [19][22]. Application of Limited Attention Factor - The limited attention factor can be directly used in index enhancement strategies, either by adding it to existing predictive factors or by excluding high attention stocks from the selection process [25][29]. - The results indicate that directly adding the limited attention factor improves performance in the CSI 300 and CSI 500 indices, while excluding high attention stocks does not yield better results [30][31]. - The article also examines the performance of other factors within different limited attention domains, finding that growth and low volatility factors perform better in high attention stocks, while profitability and value factors show decreased effectiveness [32][33]. Conclusion - The limited attention factor effectively represents the degree of retail investor interest in stocks, with its average IC being negative, indicating that high attention stocks may face greater pullbacks due to lack of long-term support [41][42]. - The factor's performance can reflect market "money-making effects," and its application in stock selection can enhance portfolio performance, particularly in simpler selection methods [41][42].