证券研究报告：金融工程报告 研究所 分析师:肖承志 SAC 登记编号:S1340524090001 Email:xiaochengzhi@cnpsec.com 近期研究报告 《大盘资金流出，中小盘资金回流— —微盘股指数周报 20250810》 - 2025.08.11 《微盘股将再次迎来高胜率区间—— 微盘股指数周报 20250803》 - 2025.08.04 《微盘股持续创新高背后的历史意义 有何不同？——微盘股指数周报 20250727》 - 2025.07.28 《微盘股的流动性风险在哪？——微 盘股指数周报 20250720》 - 2025.07.21 《上证站上 3500 点，后续关注小盘+ 科技成长——微盘股指数周报 20250713》 - 2025.07.14 《"量化新规"或将平稳落地，双均线 法再现买点——微盘股指数周报 20250706》 - 2025.07.07 《现阶段主要矛盾是交易范式之争— —微盘股指数周报 20250629》 - 2025.06.30 《调整仍不充分——微盘股指数周报 20250622》 - 2025.06.23 《短期上涨动能枯竭，控制仓位做好 防御——微盘 ...

- The macro timing strategy model recommended an equity position of 50% for July, with a signal strength of 100% for economic growth and 0% for monetary liquidity[4][27][28] - The macro timing strategy's year-to-date return as of the end of June 2025 was 1.34%, compared to the Wind All A Index return of 1.04%[4][27] - The micro-cap/large-cap index relative net value rose to 2.00 times, above its 243-day moving average of 1.48 times, indicating strong short-term momentum for micro-cap stocks[5][31] - The volatility congestion ratio was -13.56% year-on-year, well below the 55% risk threshold, indicating that the risk warning has been completely lifted[5][31] - The 10-year government bond yield was -21.85% year-on-year, also below the 30% interest rate risk control line, indicating that medium-term risks are under control[5][31] - Value factor in the CSI 300 pool had an IC of 12.36%, while the growth factor in the CSI 500 pool had an IC of -14.01%[37] - Quality factor in the CSI 500 and CSI 1000 pools had ICs of -18.32% and -2.99%, respectively[37] - Market capitalization factor in the All A-share pool had an IC of -7.07%[37] - Value factor in the CSI 300 pool recorded a weekly return of approximately 3.05%, while the consensus expectation factor in the CSI 500 pool had a drawdown of approximately -1.23%[37] - Market capitalization factor in the All A-share pool had a drawdown of approximately -0.56%, while the reversal factor in the CSI 300 pool recorded a return of approximately 2.09%[37] - Quality factor in the All A-share pool recorded a return of approximately 0.40%[37] - The quantifiable bond selection factors for convertible bonds showed significant differentiation in performance, with the stock growth factor leading with a weekly return of approximately 1.25%[41] - The stock consensus expectation factor followed closely with a weekly return of approximately 1.14%, while the stock quality factor recorded a return of approximately -0.13%[41] - The stock value factor had a drawdown of approximately -0.30%, and the convertible bond valuation factor had the deepest decline with a weekly return of -0.68%[41]

Quantitative Factors and Construction Methods 1. Factor Name: BP (Book-to-Price Ratio) - **Factor Construction Idea**: Measures the valuation of a stock by comparing its book value to its market value [13] - **Factor Construction Process**: - Formula: $ BP = \frac{\text{Current Net Asset}}{\text{Current Total Market Value}} $ [13] 2. Factor Name: BP Three-Year Percentile - **Factor Construction Idea**: Evaluates the relative valuation of a stock over the past three years [13] - **Factor Construction Process**: - Formula: $ \text{BP Three-Year Percentile} = \text{Percentile of Current BP in the Last Three Years} $ [13] 3. Factor Name: Quarterly EP (Earnings-to-Price Ratio) - **Factor Construction Idea**: Measures profitability relative to market value on a quarterly basis [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly EP} = \frac{\text{Quarterly Net Profit}}{\text{Net Asset}} $ [13] 4. Factor Name: Quarterly EP One-Year Percentile - **Factor Construction Idea**: Tracks the relative profitability of a stock over the past year [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly EP One-Year Percentile} = \text{Percentile of Current Quarterly EP in the Last Year} $ [13] 5. Factor Name: Quarterly SP (Sales-to-Price Ratio) - **Factor Construction Idea**: Measures revenue generation relative to market value on a quarterly basis [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly SP} = \frac{\text{Quarterly Operating Revenue}}{\text{Net Asset}} $ [13] 6. Factor Name: Quarterly SP One-Year Percentile - **Factor Construction Idea**: Tracks the relative revenue generation of a stock over the past year [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly SP One-Year Percentile} = \text{Percentile of Current Quarterly SP in the Last Year} $ [13] 7. Factor Name: Quarterly Gross Margin - **Factor Construction Idea**: Measures profitability efficiency by comparing gross profit to sales revenue [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly Gross Margin} = \frac{\text{Quarterly Gross Profit}}{\text{Quarterly Sales Revenue}} $ [13] 8. Factor Name: Standardized Unexpected Earnings (SUE) - **Factor Construction Idea**: Quantifies earnings surprises relative to historical growth trends [13] - **Factor Construction Process**: - Formula: $ \text{SUE} = \frac{\text{Current Quarterly Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] 9. Factor Name: Standardized Unexpected Revenue (SUR) - **Factor Construction Idea**: Quantifies revenue surprises relative to historical growth trends [13] - **Factor Construction Process**: - Formula: $ \text{SUR} = \frac{\text{Current Quarterly Revenue} - (\text{Last Year Same Quarter Revenue} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] 10. Factor Name: 1-Month Turnover Rate and Price Correlation - **Factor Construction Idea**: Measures the relationship between turnover rate and price over the past month [13] - **Factor Construction Process**: - Formula: $ \text{Correlation} = \text{Correlation Coefficient of Turnover Rate and Price over the Last 20 Trading Days} $ [13] --- Factor Backtesting Results IC Performance - **BP**: Weekly IC: -7.07%, Monthly IC: 0.84%, Yearly IC: 1.37%, Historical IC: 2.35% [9] - **BP Three-Year Percentile**: Weekly IC: -4.35%, Monthly IC: -0.95%, Yearly IC: 2.26%, Historical IC: 1.73% [9] - **Quarterly EP**: Weekly IC: 4.35%, Monthly IC: 0.50%, Yearly IC: -0.03%, Historical IC: 1.07% [9] - **Quarterly EP One-Year Percentile**: Weekly IC: -0.91%, Monthly IC: 2.98%, Yearly IC: 1.21%, Historical IC: 1.72% [9] - **Quarterly SP**: Weekly IC: -1.33%, Monthly IC: 0.50%, Yearly IC: 0.45%, Historical IC: 0.70% [9] - **Quarterly SP One-Year Percentile**: Weekly IC: 1.57%, Monthly IC: 1.02%, Yearly IC: 2.99%, Historical IC: 1.87% [9] - **Quarterly Gross Margin**: Weekly IC: 7.04%, Monthly IC: 0.06%, Yearly IC: 0.49%, Historical IC: 0.50% [9] - **SUE**: Weekly IC: 4.59%, Monthly IC: 4.44%, Yearly IC: 0.87%, Historical IC: 0.97% [9] - **SUR**: Weekly IC: 3.53%, Monthly IC: 2.05%, Yearly IC: 0.98%, Historical IC: 0.86% [9] - **1-Month Turnover Rate and Price Correlation**: Weekly IC: 10.17%, Monthly IC: 2.65%, Yearly IC: 2.75%, Historical IC: 1.69% [9] Excess Return of Long-Only Portfolios - **BP**: Weekly: -0.90%, Monthly: 0.06%, Yearly: -0.30%, Historical: 33.52% [11] - **BP Three-Year Percentile**: Weekly: -0.60%, Monthly: -2.29%, Yearly: -0.76%, Historical: -1.67% [11] - **Quarterly EP**: Weekly: -0.16%, Monthly: 0.58%, Yearly: 2.84%, Historical: 29.38% [11] - **Quarterly EP One-Year Percentile**: Weekly: -0.61%, Monthly: 0.55%, Yearly: 3.45%, Historical: 31.87% [11] - **Quarterly SP**: Weekly: -0.39%, Monthly: 0.15%, Yearly: 0.93%, Historical: -3.80% [11] - **Quarterly SP One-Year Percentile**: Weekly: -0.30%, Monthly: -0.19%, Yearly: 10.46%, Historical: -0.86% [11] - **Quarterly Gross Margin**: Weekly: -0.09%, Monthly: -0.15%, Yearly: 5.26%, Historical: 15.26% [11] - **SUE**: Weekly: 0.92%, Monthly: 2.09%, Yearly: -0.37%, Historical: 6.59% [11] - **SUR**: Weekly: 0.83%, Monthly: 1.29%, Yearly: 1.23%, Historical: 13.76% [11] - **1-Month Turnover Rate and Price Correlation**: Weekly: 0.13%, Monthly: 1.11%, Yearly: 7.31%, Historical: 20.14% [11]

- The macro timing strategy model suggests a recommended equity position of 45% for June, with signal strengths of 50% for economic growth and 40% for monetary liquidity[3][26][27] - The micro-cap stock rotation and timing signals remain strong, with the micro-cap/Chow index relative net value rising to 1.93 times, above its 243-day moving average of 1.41 times[4][29] - The micro-cap stock's 20-day price slope is 0.00257, indicating stronger upward momentum compared to the Chow index's -0.00019[4][29] - The risk warning has been lifted, with volatility congestion at -0.415%, well below the warning threshold of 0.55%, and the 10-year government bond yield at -0.27%, below the risk control line of 0.30%[4][29] - The market's recent rise has favored small-cap growth styles, leading to strong performance in market cap, consensus expectations, and growth factors, while technical and low-volatility factors have underperformed[4][40] - The market cap factor had the highest IC in the CSI 300 pool at 0.2241, while the growth factor had a weak signal in the CSI 500 pool with an IC of -0.0305[39] - The market cap factor also performed well in the entire A-share pool with an IC of 0.2347[39] - The weekly performance of multi-factor strategies showed the market cap factor leading with a gain of approximately +2.21% in the CSI 300 pool, while the growth factor rose by about +0.17%[39] - The consensus expectations factor and growth factor are expected to continue performing well, while technical and low-volatility factors may see a rebound as market sentiment slows down[40] - The convertible bond selection factors showed the stock growth factor leading with a gain of about 0.72%, followed by the stock consensus expectations factor with a return of about 0.63%[45] - The stock quality factor fell by about 0.26%, the stock value factor retreated by about 0.66%, and the convertible bond valuation factor had the largest decline of about 1.70%[45] Model Backtest Results - Macro timing strategy model, equity position: 45%[3][26][27] - Micro-cap stock/Chow index relative net value: 1.93 times[4][29] - Micro-cap stock 20-day price slope: 0.00257[4][29] - Volatility congestion: -0.415%[4][29] - 10-year government bond yield: -0.27%[4][29] - Market cap factor IC in CSI 300 pool: 0.2241[39] - Growth factor IC in CSI 500 pool: -0.0305[39] - Market cap factor IC in entire A-share pool: 0.2347[39] - Market cap factor weekly gain in CSI 300 pool: +2.21%[39] - Growth factor weekly gain in CSI 300 pool: +0.17%[39] - Stock growth factor weekly gain: 0.72%[45] - Stock consensus expectations factor weekly return: 0.63%[45] - Stock quality factor weekly decline: -0.26%[45] - Stock value factor weekly decline: -0.66%[45] - Convertible bond valuation factor weekly decline: -1.70%[45]

- The report discusses the performance of major market indices in China over the past week, highlighting that the SSE 50, CSI 300, CSI 500, and CSI 1000 indices all experienced gains, with respective increases of 1.93%, 2%, 1.6%, and 2.22%[2][12] - The report mentions the release of April inflation data in China, noting that the PPI was -0.27% year-on-year, down 0.2% from the previous month, and the CPI was -0.1% year-on-year, unchanged from the previous month[3][20] - The People's Bank of China announced ten specific measures, including a 0.5% reserve requirement ratio cut and a 0.1% interest rate cut, which positively impacted the banking sector[3][20] - The report highlights the implementation of the "Action Plan to Promote High-Quality Development of Public Funds" by the China Securities Regulatory Commission, which aims to ensure that fund managers' performance compensation is significantly reduced if their products underperform the benchmark by more than 10% over three years[3][20] - The report suggests that fund managers will focus more on closely tracking performance benchmarks and allocating funds to large-cap stocks to reduce market volatility and avoid significant style deviations[3][20] - The report recommends maintaining core positions in large-cap value stocks and tactically switching to financial and domestic consumption sectors for the upcoming week[4][21] - The report discusses the micro-cap stock index timing and rotation indicators, noting that the micro-cap stock index relative net value crossed above the annual line on October 14, 2024, and the trend has continued since then[5][30] - The micro-cap timing model uses two mid-term risk warning indicators: the ten-year government bond yield year-on-year indicator and the volatility congestion degree year-on-year indicator. As of October 15, 2024, the volatility congestion degree indicator fell below the threshold, and the ten-year government bond yield indicator was -20.45%, not triggering the risk control threshold of 0.3[5][30] - The report tracks the performance of eight major stock selection factors across different stock pools (all A-shares, CSI 300, CSI 500, and CSI 1000). The market capitalization factor performed best in the CSI 300 stock pool, while the reversal factor performed well in the CSI 500 and CSI 1000 stock pools[39][40] - The report notes that due to continued market volatility, volume-price factors maintained good performance, and small-cap stocks performed well, driving the market capitalization factor upward. The value factor also performed well due to the positive impact of the reserve requirement ratio cut on low-valuation sectors like banking[40] - The report provides the IC mean and long-short returns for the major factors, showing that the volatility factor achieved positive returns in the all A-shares stock pool, indicating some stability[41] - The report discusses the construction of quantitative bond selection factors for convertible bonds, tracking the performance of five bond selection factors. The equity growth factor achieved positive long-short returns last week[45][46] - The report includes detailed definitions and classifications of major factors, such as market capitalization, value, growth, quality, consensus expectations, technical, volatility, and reversal factors[51]

- The micro-cap stock index rotation signal indicates that the micro-cap stock index relative net value crossed above the annual line on October 14, 2024, and this trend has continued since then[29] - The 20-day closing price slopes of both the micro-cap stock index and the Moutai index are positive, suggesting a favorable outlook for the micro-cap index's relative performance[29] - In the micro-cap timing model, the volatility congestion indicator, which reflects market trading sentiment, fell below the threshold on October 15, 2024, lifting the risk warning signal[29] - The interest rate year-on-year indicator, which is more fundamental, was -20.45%, not triggering the interest rate risk control threshold of 0.3[29] - The micro-cap timing model has not triggered any risk controls, so investors who prefer to hold micro-cap stocks long-term are advised to continue holding[29] Quantitative Factors and Construction Methods 1. Factor Name: Size Factor; Construction Idea: Measures the impact of company size on stock returns; Construction Process: Calculated as the logarithm of the market capitalization (LN_MktCap)[40][51] 2. Factor Name: Value Factor; Construction Idea: Evaluates the stock's valuation; Construction Process: Includes metrics like book-to-price ratio (BP_LR), earnings-to-price ratio (EP_FTTM), and sales-to-enterprise value ratio (Sales2EV)[40][51] 3. Factor Name: Growth Factor; Construction Idea: Assesses the company's growth potential; Construction Process: Includes metrics like single-quarter operating income growth (OperatingIncome_SQ_Chg1Y) and single-quarter revenue growth (Revenues_SQ_Chg1Y)[40][51] 4. Factor Name: Quality Factor; Construction Idea: Measures the company's financial health; Construction Process: Includes metrics like operating cash flow to current debt (OCF2CurrentDebt) and gross margin (GrossMargin_TTM)[40][51] 5. Factor Name: Consensus Expectation Factor; Construction Idea: Reflects market expectations; Construction Process: Includes metrics like expected return on equity change over three months (ROE_FTTM_Chg3M) and target return over 180 days (TargetReturn_180D)[40][51] 6. Factor Name: Technical Factor; Construction Idea: Based on stock price and volume trends; Construction Process: Includes metrics like 20-day turnover mean (Turnover_Mean_20D) and 60-day return volatility (Volatility_60D)[40][51] 7. Factor Name: Volatility Factor; Construction Idea: Measures stock price volatility; Construction Process: Includes metrics like CAPM model residual volatility (IV_CAPM) and Fama-French three-factor model residual volatility (IV_FF)[40][51] 8. Factor Name: Reversal Factor; Construction Idea: Captures the tendency of stock prices to revert to the mean; Construction Process: Includes metrics like 40-day return (Price_Chg40D) and 60-day return (Price_Chg60D)[40][51] Factor Backtesting Results 1. Size Factor, IC Mean: 35.37% (All A-shares), -9.73% (CSI 300), 13.63% (CSI 500), 17.13% (CSI 1000); Long-Short Return: 8.09% (All A-shares), -3.21% (CSI 300), 3.16% (CSI 500), 4.01% (CSI 1000)[42][43] 2. Value Factor, IC Mean: 2.40% (All A-shares), 14.21% (CSI 300), 15.32% (CSI 500), 8.40% (CSI 1000); Long-Short Return: 3.53% (All A-shares), 1.74% (CSI 300), 3.00% (CSI 500), 3.33% (CSI 1000)[42][44] 3. Growth Factor, IC Mean: -4.85% (All A-shares), 0.05% (CSI 300), -5.97% (CSI 500), -17.08% (CSI 1000); Long-Short Return: 2.23% (All A-shares), 4.13% (CSI 300), 1.21% (CSI 500), 0.56% (CSI 1000)[42][43] 4. Quality Factor, IC Mean: -8.43% (All A-shares), -10.63% (CSI 300), -8.60% (CSI 500), -11.51% (CSI 1000); Long-Short Return: 2.07% (All A-shares), 1.47% (CSI 300), 2.50% (CSI 500), 0.71% (CSI 1000)[42][44] 5. Consensus Expectation Factor, IC Mean: -0.33% (All A-shares), 12.78% (CSI 300), -4.34% (CSI 500), 0.08% (CSI 1000); Long-Short Return: 2.76% (All A-shares), 4.51% (CSI 300), 4.52% (CSI 500), 3.72% (CSI 1000)[42][43] 6. Technical Factor, IC Mean: 4.13% (All A-shares), 2.37% (CSI 300), 3.13% (CSI 500), 11.63% (CSI 1000); Long-Short Return: 8.36% (All A-shares), 4.02% (CSI 300), 6.42% (CSI 500), 8.53% (CSI 1000)[42][44] 7. Volatility Factor, IC Mean: 2.14% (All A-shares), 5.04% (CSI 300), 16.85% (CSI 500), 15.33% (CSI 1000); Long-Short Return: 8.14% (All A-shares), 3.35% (CSI 300), 6.02% (CSI 500), 8.12% (CSI 1000)[42][44] 8. Reversal Factor, IC Mean: 11.17% (All A-shares), 17.06% (CSI 300), 30.80% (CSI 500), 31.65% (CSI 1000); Long-Short Return: 6.60% (All A-shares), 2.81% (CSI 300), 6.37% (CSI 500), 7.58% (CSI 1000)[42][43]

另外海外方面，克利夫兰联邦储备银行行长 Beth Hammack,在 4 月 24 日发言时表明如果有明确经济走弱方面的证据， 美联储最早可能在 6 月采取降息的行动。受此消息的推动，海外市场定价降息预期的程度提升，10 年期美债利率有所 回落。若短期贸易冲突舆情不继续加剧，我们预期海外资金风险偏好会有所回升。所以对于未来一周，在国内外政策 端和情绪面的支持下，我们战术性仓位推荐切换至人工智能和电子等板块。 本周央行通过 7 天逆回购投放了 8820 亿元，到期 8080 亿元，整体通过公开市场操作净投放 740 亿元。短端 1 周 SHIBOR 和 DR007，分别报 1.638%和 1.6587%，较上周分别下降 1.6 BP 和 5.29 BP。1 个月 SHIBOR 和 3 个月 SHIBOR 分别报 1.747%和 1.75%，较上周分别下降 1.6 BP 和 1.1 BP。 结合经济面和流动性来看，对于未来一周，我们建议核心仓位维持在大盘价值，而战术性仓位推荐切换至人工智能和 电子等板块。从中期来看，根据我们构建的宏观择时策略给出的信号，4 月份权益推荐仓位为 25%。拆分来看，模型 对 4 月份 ...