点击小程序查看报告原文 居民存款搬家趋势初显 近期A股市场持续活跃，上证指数突破3800点，创10年新高，近一周（8月18-22日）A股市场日均成交额达2.6万亿元，以自由流通市值计算的日均换手率 近5%。 市场活跃度提升、增量资金入市的来源之一是居民存款搬家的初步显现。 近年来我国居民储蓄增长较快，2022年-2024年居民累计新增存款48.7万 亿元，储蓄存款余额累计增长47.6%，增速高于名义GDP增长。但近期随着市场和宏观环境变化，出现了一定的居民"存款搬家"现象，具体包括： 1）非 银金融存款提升。 7月新增居民存款同比减少了0.8万亿元，余额同比增长10.3%，而非银金融机构存款同比多增1.4万亿元，余额同比增长15.2%。 2）活 期存款增速有所回升。 住户活期存款同比增速从2024年初接近0的水平修复至2025年7月的6.8%，与此同时定期存款增速从14.9%下行至11.5%，企业活期 存款同比增速也转正。 3）A股市场个人投资者活跃度提升。 截至8月22日两融余额超过2.1万亿元，接近2015年的历史高点；7月上交所A股新增开户数达 196万，相比6月多增31.7万户。原本存入居民存款的一部 ...

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].

Summary of Key Points from Conference Call Records Industry Overview - The records primarily discuss the economic performance and outlook for the Chinese economy, focusing on consumption, investment, and market sentiment in 2025 [1][3][4]. Core Insights and Arguments - **July Economic Performance**: In July, consumption growth slowed to 3.7% year-on-year, below expectations, indicating a significant deceleration in recovery momentum from the first half of the year. The "old-for-new" policy's effects are becoming apparent, with low restaurant consumption growth attributed to high temperatures [1][3]. - **Investment Trends**: Fixed asset investment fell by 5.2% year-on-year in July, with real estate investment down 17%, infrastructure down 5%, and manufacturing down 0.2%. The slowdown is linked to price fluctuations, weather conditions, and external factors, with expectations for infrastructure investment to rebound in the second half of the year [1][3][4]. - **Economic Uncertainty**: The third quarter faces uncertainties, and if downward pressure persists, monetary and real estate policies may be intensified to stabilize the economy and market expectations [4]. - **Market Optimism**: Despite challenges, the market remains optimistic due to improved economic data, enhanced profit expectations from anti-involution policies, and increased risk appetite leading to significant inflows of margin trading funds [5][6]. - **Trading Activity**: Current trading activity in margin financing, retail, and quantitative trading is at historical highs, suggesting potential for further upward movement in the market [5][6]. - **Long-term Investment Appeal**: The stock market is expected to attract continued inflows due to the profit-making effect and the relative yield advantage of equity markets over other assets [7]. - **Corporate Profit Expectations**: Corporate profits are likely to improve in 2025, supported by stable economic growth and policy backing, with a gradual upward trend anticipated over the next quarter [8]. - **Industry Focus**: Short-term attention should be on industries like building materials and media, while mid-term focus should include consumer sectors and technology sectors such as AI, semiconductors, and military industries [2][9]. Additional Important Insights - **Market Dynamics**: The strong inverse relationship between stock and bond markets has been noted, with a correlation coefficient of 0.92 between the CSI 300 index and 10-year government bond yields since July 1, indicating a shift in investor preference towards risk assets [10]. - **Market Style Characteristics**: Recent market characteristics show positive returns from beta and size factors, with notable performance in total asset gross margin and quarterly ROE among large-cap stocks [11]. - **Market Performance**: The overall market has shown a strong upward trend, with indices reaching new highs since September 2024, particularly in the ChiNext index [12][13]. - **Sector Performance**: The brokerage sector has led the market as a bullish indicator, with new energy sectors also contributing to index gains [14]. - **Market Sentiment and Fund Flows**: Market sentiment has improved with increased trading volumes, although there is a divergence in fund flows, with stock ETFs experiencing net outflows despite rising risk appetite [15]. - **Future Market Expectations**: The market is expected to continue its upward trend, with a focus on previously hot sectors like brokerages and potential opportunities in undervalued sectors during periods of increased risk appetite [16].

Group 1 - The core viewpoint of the articles indicates a significant shift of funds from low-risk assets like deposits and bonds to high-risk equity assets, driven by the "momentum effect" and "profit-making effect" in the stock market [2][5][6] - There is a notable increase in the number of equity funds being launched, with over 110 equity funds currently in the process of being issued, reflecting strong market interest [2][5] - Bond funds are experiencing substantial redemptions, with over 40 bond funds facing large-scale withdrawals since July, primarily affecting pure bond funds [3][4] Group 2 - The performance of bond funds has been poor, with less than 60% of pure bond funds showing positive returns since July, leading to a decline in investor interest [4] - Several bond funds have reduced their management fees to attract investors, with examples including a reduction from 0.5% to 0.3% for certain funds [4] - The stock market's rebound has resulted in significant net redemptions of money market ETFs, totaling 59.19 billion yuan from August 11 to 13 [4][5] Group 3 - The issuance of equity funds has been robust, with several funds exceeding 20 billion yuan in subscriptions, indicating strong demand [5] - The market sentiment is optimistic, with increased willingness for funds to enter the market, suggesting a potential for further market growth [6] - The focus is shifting towards sectors with upward economic momentum, particularly in technology and dividend-paying stocks [6]

Market Trends - The Shanghai Composite Index has established a bullish trend, breaking the 3700-point mark, indicating a strengthening market [1] - Trading volume in the Shanghai and Shenzhen markets exceeded 2 trillion yuan, marking a significant increase in investor activity [1] - The margin trading balance has returned to 2 trillion yuan, reflecting rising investor enthusiasm [1] Investor Sentiment - Nearly 2 million new accounts were opened in July, showing an increased willingness of retail investors to enter the equity market [1] - The issuance of equity funds has seen a resurgence, with many new funds surpassing 1 billion yuan in initial scale, indicating growing investor confidence [1] Economic Indicators - China's GDP grew by 5.3% in the first half of the year, with expectations for nominal GDP to rise as CPI is projected to recover [2] - The government aims for a CPI growth target of around 2%, with current figures close to zero, suggesting further policy support [2] Capital Market Dynamics - Over the past five years, household savings have increased by nearly 60 trillion yuan, reaching 160 trillion yuan, with declining deposit rates prompting a shift towards capital markets [2] - The current low performance of the real estate market has increased investment risks, making capital markets a more attractive option for investors [2] Global Market Context - Global capital markets are witnessing a rebalancing, with A-shares and Hong Kong stocks remaining at relatively low valuation levels compared to US markets [3] - The expectation of a Federal Reserve rate cut is influencing global markets, potentially benefiting China's economic recovery and supporting the continuation of the A-share bull market [3]

Core Insights - The report constructs a "limited attention" factor that represents the degree of retail investor attention on individual stocks, using indicators such as abnormal turnover, abnormal trading volume, extreme returns, and whether the stock has appeared on the "Dragon and Tiger List" [3][6][56] - The limited attention factor can indicate a "money-making effect," showing a high success rate for timing signals, with an overall monthly success rate exceeding 70% when applied to the CSI 300 index [3][25][56] - The factor performs better in smaller stock pools, indicating that retail investors' "herding behavior" can lead to significant price fluctuations in these stocks [3][56] Limited Attention Factor Construction - The construction of the limited attention factor is based on the premise that retail investors prioritize stocks that attract their attention, leading to a focus on high turnover, high trading volume, and extreme returns [6][8] - The factor is constructed using both linear combination and random forest methods, with the latter showing better predictive power for returns [13][14][19] Performance of the Limited Attention Factor - The performance of the limited attention factor is evaluated through its information coefficient (IC) and the average change in shareholder accounts, indicating a clear relationship between higher attention levels and increased retail investor interest [18][19] - The factor's IC and monthly long-short returns are notably higher in the CSI 1000 index, aligning with the logic that smaller stocks are more susceptible to retail investor behavior [22][24] Money-Making Effect Indication - The report highlights that the limited attention factor's IC can reflect the strength of the market's "money-making effect," particularly during the period from 2019 to mid-2021 when retail investors showed strong interest in high attention stocks [25][27][32] - The correlation between the limited attention factor's IC and industry trend consistency indicates that higher IC values suggest better market performance [29][30] Application of the Limited Attention Factor - The factor can be directly used in index enhancement strategies, either by adding it to existing models or by excluding stocks with high limited attention [35][37] - The report finds that directly adding the limited attention factor improves performance in the CSI 300 and CSI 500 indices, while both methods fail to enhance returns in the CSI 1000 index [40][57] Performance of Other Factors in Limited Attention Domains - The report identifies that price-volume factors, particularly low volatility, low liquidity, and long-term momentum, perform significantly better in the limited attention domain, while profitability, valuation, and dividend factors show decreased effectiveness [41][42][43] - The analysis of different stock pools reveals that the performance of factors varies significantly between limited attention and non-limited attention stocks, with growth and price-volume factors being more effective in the former [41][44]

Core Viewpoint - The A-share market experienced a high volatility session on August 14, with the Shanghai Composite Index reaching a new high since 2022 at 3704.77 points before closing at 3666.44 points, indicating a "one-day tour" above the 3700-point mark [3][4][5]. Market Performance - The market saw over 4600 stocks decline, yet the trading volume surged to 2.3 trillion yuan, marking a new high for daily trading volume this year, with an increase of approximately 130 billion yuan from the previous trading day [3][4]. - The non-bank financial sector showed resilience, with brokerage stocks leading the gains, while other sectors faced declines [4]. Investor Behavior - Retail investors have become a significant source of incremental capital, with new A-share accounts reaching 1.9636 million in July, a 71% increase year-on-year, and a total of 14.5614 million new accounts opened in the year, up 36.9% [5]. - Small order net inflows have risen, reflecting increased short-term speculative trading sentiment, with net inflows exceeding 489.3 billion yuan in July and nearly 224.5 billion yuan in August so far [5][6]. Fund Performance - The performance of equity funds has improved significantly, with 12 funds achieving over 100% net growth this year, including notable funds in the innovative pharmaceutical sector [7]. - New fund issuance has rebounded, with over 670 billion yuan in new fund shares issued this year, and active equity products seeing a 30% increase in issuance compared to the previous year [7][8]. Market Dynamics - The current market is characterized as a non-typical bull market, driven by low-risk yields and rising risk appetite, despite no significant improvement in corporate earnings [3][6]. - Analysts suggest that the market's upward momentum is supported by favorable policies and the influx of high-risk capital, creating a positive feedback loop for the market [6][9]. Future Outlook - The market is expected to continue its upward trajectory, with a focus on sectors like pharmaceuticals and technology, particularly in AI and advanced semiconductor processes, as government policies support these areas [8][9]. - The shift from a bear market mentality to a bull market perspective is noted, with a potential reduction in the trend of redeeming active equity funds as investor sentiment improves [7][8].

2025.08. 14 本文字数：2393，阅读时长大约4分钟 作者 | 第一财 经 曹璐 在气势如虹的"八连阳"后，A股市场再次上演冲高回落行情。 8月14日，上证指数盘中猛攻至3704.77点，创2022年以来新高，但午后空方反扑致指数回落，最终 失守3700点整数关口。尽管两市超4600只个股下跌，但市场却逆势放量，单日成交额达2.3万亿 元。其中小单净流入近来持续攀升，短线炒作情绪有所升温。 与此同时，权益基金也显现强劲赚钱效应：全市场12只基金年内收益翻倍，创新药ETF集体领涨。 新基发行同步回暖，主动权益产品的募资额同比增三成。值得注意的是，随着市场对于当前市场牛市 共识的逐步形成，主动权益产品的"赎回魔咒"似乎有所松动。 "本轮A股市场持续上行是在经济弱复苏下的非典型牛市，即无风险收益率维持低位、风险偏好持续 上升，而企业盈利尚无显著改善。"金鹰基金权益研究部金达莱对第一财经表示，此情形下，各类主 题活跃、轮动速度极快，建议可以通过均衡配置来应对。 3700点"一日游" 8月14日，A股市场冲高回落，上证指数盘中一度上冲至3704.77点，不仅越过去年"924"行情高点 （3674.4点），还刷 ...

Group 1 - The core viewpoint of the articles highlights the strong performance of the A-share market, with the Shanghai Composite Index reaching a new high since December 2021, driven by positive sentiment and the proliferation of profitable fund products [1][2][5] - As of August 12, 2025, five actively managed A-share equity funds have doubled their performance year-to-date, with over 60 funds achieving returns exceeding 60%, indicating a broad-based profit effect across various thematic funds [2][3] - The surge in stock market performance has led to a significant increase in the issuance of equity funds, with 26 out of 31 newly launched funds being equity-related, reflecting a shift in focus towards stock-based products [3][4] Group 2 - The positive market conditions and improved fund performance are expected to attract more incremental capital, with fund companies optimistic about future market movements [5][6] - The current market environment is characterized by a strong risk appetite for equities, supported by favorable domestic policies and limited external uncertainties, which has created a positive feedback loop for market performance and capital inflows [6] - Analysts suggest that the upcoming earnings reports may provide further guidance for the market, with a focus on technology growth sectors and dividend-yielding stocks as potential investment opportunities [6]