证券研究报告 | 金融工程 2026 年 2 月 1 日 维持整体看多与大盘成长偏强观点 ——A 股趋势与风格定量观察 20260201 1. 当前市场观察 2. 市场最新观点 王武蕾 S1090519080001 wangwulei@cmschina.com.cn 王禹哲 S1090525080001 wangyuzhe@cmschina.com.cn 风险提示：择时和风格轮动模型结论基于合理假设前提下结合历史数据统计规 律推导而出，市场环境变化下可能导致出现模型失效风险。 定期报告 敬请阅读末页的重要说明 ❑ 本周市场震荡回调，大盘风格回升。具体来看，万得全 A 指数下跌约 1.59%，上证 50、沪深 300 分别上涨约 1.13%、0.09%，中证 1000 下跌约 2.55%。国证成长下跌约 0.59%，国证价值上涨约 1.01%，创业板指下跌约 0.09%，科创 50 下跌约 2.85%。 ❑ 本周维持整体乐观的观点。基本面上，1 月制造业 PMI 录得 49.30，处于历 史中性水平，虽然结构上仍呈现"上游强于下游"的局面，但与前期并无明显 变化，叠加节前备货效应趋于尾声，市场对此类信号或趋于钝 ...

上证50指数，连续两个交易日的上涨之后，指数站上了日线级别的四条中长期均线上方，这四条中长期均线高度粘合，意味着指数到了临界点。目前的排 列来看，有助于大盘指数上涨。但是，最终还需要指数上涨才能确认中期调整最终结束。 周一早盘，沪深A股主要的大盘指数涨跌互现，盘面上看，多数个股下跌，人气低迷。周二午后，A股还有上行。 一、大盘指数分析 中午时间有限，重点分析上证50指数和创业板指数，下午收盘之后，再重点分析上证指数和科创50指数。 先分析上证50指数。 创业板指数，昨天上涨，高开高走，成交量放大，只是力度不够。不过，昨天的中阳线站上了日线级别的四条中短期均线，这几条均线粘合，释放了积极 信号。只要今天该指数继续上涨，走出不错的上涨幅度，成交量继续放大，就基本确认了波段上涨开始。 六十分钟级别的走势来看，走了昨天下午第二个小时，本段上涨走到了第九个有效周期，到了变盘节点，也走出了企稳K线。所以，今天早盘两个小时， 创业板指数继续上涨。午后，创业板指数有望继续上涨。 不荐股，只客观记录本人的分析，不作为买卖依据！ 六十分钟级别的走势来看，本段上涨，到早盘第二个小时为止，走到了第九个有效的周期，回踩了十单位均线，到 ...

Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Model - **Model Construction Idea**: The model aims to provide short-term market timing signals based on various market indicators. - **Model Construction Process**: - **Fundamental Indicators**: - Manufacturing PMI: Current value is 49.70, at the 44.92% percentile over the past 5 years, giving a neutral signal[17] - RMB medium and long-term loan balance growth rate: Current value is 6.78%, at the 0.00% percentile over the past 5 years, giving a cautious signal[17] - M1 growth rate: Current value is 2.30%, at the 77.97% percentile over the past 5 years, giving an optimistic signal[17] - **Valuation Indicators**: - PE median: Current value is 40.16, at the 92.80% percentile over the past 5 years, giving a neutral signal[18] - PB median: Current value is 2.68, at the 71.05% percentile over the past 5 years, giving a neutral signal[18] - **Sentiment Indicators**: - Beta dispersion: Current value is -0.59%, at the 40.68% percentile over the past 5 years, giving a neutral signal[20] - Volume sentiment score: Current value is 0.30, at the 72.70% percentile over the past 5 years, giving an optimistic signal[20] - Volatility: Current value is 11.57% (annualized), at the 12.99% percentile over the past 5 years, giving a neutral signal[20] - **Liquidity Indicators**: - Monetary rate indicator: Current value is -0.10, at the 33.90% percentile over the past 5 years, giving an optimistic signal[20] - Exchange rate expectation indicator: Current value is -0.09%, at the 40.68% percentile over the past 5 years, giving a neutral signal[20] - Average new financing amount over 5 days: Current value is 23.20 billion, at the 80.81% percentile over the past 5 years, giving a neutral signal[20] - **Model Evaluation**: The model provides a comprehensive view of short-term market conditions by integrating fundamental, valuation, sentiment, and liquidity indicators. 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: The model aims to rotate between growth and value styles based on economic cycles and market conditions. - **Model Construction Process**: - **Fundamental Indicators**: - Profit cycle slope: High, favoring growth[32] - Interest rate cycle level: High, favoring value[32] - Credit cycle trend: Weak, favoring value[32] - **Valuation Indicators**: - PE valuation difference: 5-year percentile is 15.19%, favoring growth[32] - PB valuation difference: 5-year percentile is 34.08%, favoring growth[32] - **Sentiment Indicators**: - Turnover difference: 5-year percentile is 21.01%, favoring value[32] - Volatility difference: 5-year percentile is 20.58%, favoring balanced allocation[32] - **Model Evaluation**: The model effectively captures the rotation between growth and value styles by considering fundamental, valuation, and sentiment factors. 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: The model aims to rotate between small-cap and large-cap styles based on economic cycles and market conditions. - **Model Construction Process**: - **Fundamental Indicators**: - Profit cycle slope: High, favoring small-cap[36] - Interest rate cycle level: High, favoring large-cap[36] - Credit cycle trend: Weak, favoring large-cap[36] - **Valuation Indicators**: - PE valuation difference: 5-year percentile is 80.60%, favoring large-cap[36] - PB valuation difference: 5-year percentile is 99.59%, favoring large-cap[36] - **Sentiment Indicators**: - Turnover difference: 5-year percentile is 54.26%, neutral[36] - Volatility difference: 5-year percentile is 83.71%, favoring large-cap[36] - **Model Evaluation**: The model provides a balanced approach to rotating between small-cap and large-cap styles by integrating fundamental, valuation, and sentiment indicators. 4. Model Name: Four-Style Rotation Model - **Model Construction Idea**: The model combines the growth-value and small-cap vs. large-cap rotation models to provide a comprehensive allocation across four styles. - **Model Construction Process**: - **Allocation Recommendation**: - Small-cap growth: 12.5%[41] - Small-cap value: 37.5%[41] - Large-cap growth: 12.5%[41] - Large-cap value: 37.5%[41] - **Model Evaluation**: The model offers a diversified approach to style rotation, leveraging insights from both growth-value and small-cap vs. large-cap models. Model Backtest Results Short-term Timing Model - Annualized Return: 16.58%[26] - Annualized Volatility: 14.57%[26] - Maximum Drawdown: 27.70%[26] - Sharpe Ratio: 0.9889[26] - Monthly Win Rate: 69.74%[26] - Quarterly Win Rate: 69.23%[26] - Annual Win Rate: 85.71%[26] Growth-Value Style Rotation Model - Annualized Return: 11.67%[35] - Annualized Volatility: 20.84%[35] - Maximum Drawdown: 43.07%[35] - Sharpe Ratio: 0.5387[35] - Monthly Win Rate: 58.28%[35] - Quarterly Win Rate: 60.78%[35] Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 12.21%[40] - Annualized Volatility: 22.73%[40] - Maximum Drawdown: 50.65%[40] - Sharpe Ratio: 0.5336[40] - Monthly Win Rate: 60.93%[40] - Quarterly Win Rate: 58.82%[40] Four-Style Rotation Model - Annualized Return: 13.17%[43] - Annualized Volatility: 21.58%[43] - Maximum Drawdown: 47.91%[43] - Sharpe Ratio: 0.5895[43] - Monthly Win Rate: 59.60%[43] - Quarterly Win Rate: 62.75%[43] - Annual Win Rate: 69.23%[43]