证券研究报告|金融工程研究报告 [Table_Date] 2025 年 8 月 24 日 [Table_Title] 一周市场数据复盘 20250822 [Table_Summary] ► 宽基指数表现 上周市场普遍上涨，科创 50、创业板指和沪深 300 指数 涨幅较大，分别上涨 13.31%、5.85%和 4.18%。 今年以来小盘风格延续强势，中证 2000、科创 50 指数 涨跌幅居前，分别为 33.13%、26.18%。 ► 行业指数表现 上周涨幅最大的行业是通信、电子和计算机，分别上涨 10.84%、8.95%和 7.93%。 今年以来通信、有色金属行业表现最好，分别上涨 44.91%、38.6%。 PE 分位数达 100%的行业包括国防军工、计算机、机械 设备、电子、商贸零售、建筑材料；PE 分位数最低的三个行 业是食品饮料、农林牧渔、公用事业，分别为 15%、16%、 40%。 ► 行业拥挤度 我们使用行业指数最近一周价格和成交金额变动的马氏 距离衡量拥挤度。 上周家用电器和有色金属行业出现短期显著拥挤。 评级及分析师信息 [Table_Author] 分析师：丁睿雯 邮箱：dingrw@hx ...

Market Activity - The trading activity in the A-share market has increased, with the average daily trading volume rising to CNY 2.1 trillion, and the turnover rate for the Shanghai Composite Index reaching 93%[4] - The number of stocks hitting the daily limit up has increased to 74.4, with a maximum consecutive limit up of 5 stocks[4] - The proportion of stocks that rose has decreased to 54.4%, with the median weekly return for all A-shares dropping to 0.4%[4] Fund Flows - Foreign capital has turned to inflow, with a net inflow of USD 2.7 million as of August 13, while the northbound trading volume accounted for 11.0%[4] - Public funds saw a decrease in new issuance to CNY 5.947 billion, while overall stock positions increased[4] - Private equity confidence index slightly rebounded, with positions decreasing marginally[4] Sector Performance - Significant inflows were observed in the electronics sector (+CNY 13.27 billion) and machinery equipment (+CNY 4.01 billion), while outflows were noted in coal (-CNY 0.23 billion) and textiles (-CNY 0.01 billion)[4] - The ETF market experienced a net outflow of CNY 27.93 billion, with passive trading volume increasing to 5.4%[4] Global Market Trends - Southbound capital inflows increased to CNY 38.12 billion, marking the 92nd percentile since 2022[4] - Global foreign capital saw a net inflow of USD 68.5 billion into developed markets, with the US and UK leading the inflows[4] - The Hang Seng Index rose by 1.7%, reflecting a broader global market uptrend, with Indonesia's index leading at +4.8%[4]

Quantitative Models and Construction Methods 1. Model Name: Industry Crowding Monitoring Model - **Model Construction Idea**: This model is designed to monitor the crowding levels of Shenwan First-Level Industry Indices on a daily basis, identifying industries with high or low crowding levels and tracking changes in crowding over time[3] - **Model Construction Process**: The report does not provide specific details on the mathematical or algorithmic process used to construct the crowding monitoring model. However, it is implied that the model uses historical data and metrics to assess crowding levels across industries[3] - **Model Evaluation**: The model effectively highlights industries with significant crowding changes, such as the notable increases in crowding for the non-ferrous metals and beauty care sectors, providing actionable insights for investors[3] 2. Model Name: Premium Rate Z-Score Model - **Model Construction Idea**: This model is used to identify potential arbitrage opportunities in ETF products by calculating the Z-score of premium rates over a rolling window[4] - **Model Construction Process**: - The Z-score is calculated as: $ Z = \frac{(X - \mu)}{\sigma} $ - Where $ X $ is the current premium rate, $ \mu $ is the mean premium rate over the rolling window, and $ \sigma $ is the standard deviation of the premium rate over the same period - The model identifies ETFs with extreme Z-scores, signaling potential arbitrage opportunities or risks of price corrections[4] - **Model Evaluation**: The model provides a systematic approach to ETF selection, helping investors identify mispriced ETFs while cautioning against potential downside risks[4] --- Model Backtesting Results 1. Industry Crowding Monitoring Model - No specific numerical backtesting results or metrics are provided for this model in the report[3] 2. Premium Rate Z-Score Model - No specific numerical backtesting results or metrics are provided for this model in the report[4] --- Quantitative Factors and Construction Methods The report does not explicitly mention any standalone quantitative factors or their construction processes. It focuses on the models described above. --- Factor Backtesting Results No standalone factor backtesting results are provided in the report. The focus remains on the models and their applications.

Industry Overview - A total of 8 industries experienced net inflows of main funds, while 23 industries saw net outflows [1] - The electronic industry had the largest net inflow of main funds at 3.12 billion, with a price change of 0.45% and a turnover rate of 3.49% [1] - The mechanical equipment industry recorded the largest net outflow of main funds at -6.32 billion, with a price change of -0.07% and a turnover rate of 3.64% [1] Detailed Fund Flow Analysis - **Electronic Industry**: - Trading volume: 9.68 billion - Change in trading volume: +21.77% - Net inflow: 3.12 billion [1] - **Non-ferrous Metals**: - Trading volume: 6.63 billion - Change in trading volume: +23.38% - Net inflow: 0.65 billion [1] - **Textiles and Apparel**: - Trading volume: 2.13 billion - Change in trading volume: +13.48% - Net inflow: 0.465 billion [1] - **Transportation**: - Trading volume: 3.23 billion - Change in trading volume: +13.05% - Net inflow: 0.46 billion [1] - **Food and Beverage**: - Trading volume: 1.62 billion - Change in trading volume: +31.77% - Net inflow: 0.447 billion [1] Industries with Significant Outflows - **Mechanical Equipment**: - Trading volume: 9.86 billion - Change in trading volume: -5.69% - Net outflow: -6.32 billion [2] - **Pharmaceuticals**: - Trading volume: 8.50 billion - Change in trading volume: -7.92% - Net outflow: -5.239 billion [2] - **Automotive**: - Trading volume: 5.54 billion - Change in trading volume: -10.66% - Net outflow: -3.752 billion [2] - **Electric Equipment**: - Trading volume: 6.65 billion - Change in trading volume: -1.57% - Net outflow: -4.813 billion [2]

Market Overview - The A-share market saw all major indices rise today, with the Shanghai Composite Index up by 0.66% closing at 3583.31 points, the Shenzhen Component Index up by 0.46% at 11041.56 points, the ChiNext Index up by 0.50% at 2334.32 points, and the Sci-Tech 50 Index rising by 1.22% to 1049.41 points [1][14] - Overall, there were 3875 stocks that increased in value while 1310 stocks declined, with 230 stocks remaining unchanged. The total trading volume in the Shanghai and Shenzhen markets was 14986 billion, a decrease of 998 billion compared to the previous trading day [1] Industry Performance - Among the Shenwan first-level industries, the leading sectors included defense and military, machinery and equipment, non-ferrous metals, textile and apparel, and media, with respective increases of 3.06%, 1.93%, 1.87%, 1.37%, and 1.28%. The sectors that experienced declines were commerce and retail, petroleum and petrochemicals, social services, comprehensive, and building materials, with decreases of 0.46%, 0.36%, 0.21%, 0.13%, and 0.06% respectively [1][14] Concept Sectors - The top-performing concept sectors today included continuous boards, military-civilian integration, large aircraft, aircraft carriers, and gold and jewelry, among others. Notable sectors that saw declines included film and television, dairy, and photovoltaic rooftops [2][11]

- The report does not contain any quantitative models or factors for analysis[1][2][3]

资金面上，本周主力资金合计净流出2118.64亿元，各交易日资金均为净流出状态。其中，创业板主力 资金净流出533.46亿元；科创板主力资金净流出170.76亿元；沪深300成份股主力资金净流出533.83亿 元。 沪指本周下跌0.94%，深成指下跌1.58%，创业板指下跌0.74%，沪深300指数下跌1.75%。可交易A股 中，上涨的有1725只，占比31.84%，下跌的3642只。 注：本文系新闻报道，不构成投资建议，股市有风险，投资需谨慎。 （文章来源：证券时报网） 本周主力资金流向概况（单位：亿元） | 日期 | 深沪两市 | 创业板 | 科创板 | 沪深300 | | --- | --- | --- | --- | --- | | 一周合计 | -2118.64 | -533.46 | -170.76 | -533.83 | | 8月1日 | -340.62 | -104.07 | -41.84 | -100.54 | | 7月31日 | -569.34 | -131.65 | -46.68 | -245.32 | | 7月30日 | -666.55 | -190.67 | -67.81 | -12 ...

转债估值上升,挖掘结构性机会 2024年07月 31 日 债券研究 可转债研究 湘财证券股份有限公司 XIANGCAI SECURITIES CO.,LTD 证券研究报告 核心要点: □ 7月权益市场大幅上涨,转债表现弱于正股 根据 Wind 数据、7月(7.1-7.30)中证转债指数上涨 3.83%,中证全指上涨 5.8%;年初至今,中证转债指数、中证全指分别上涨 11.11%、10.33%。由 于7月权益市场交投活跃,核心指数均明显上涨,转债整体表现弱于正股, 尤其是跑输中证 500 指数 2.92pct。 相关研究: 2025.06.30 按价格分类看,7 月万得高价转债指数涨幅(+5.84%)大幅领先于低价 (+4.27%)和中价指数(+2.72%),主要得益于正股的持续上涨,高价转 债股性较强,具备更强的跟涨能力。年初至今,低价转债(+11.78%)与高 价转债(+11.76%) 累计涨幅基本持平,均高于中价转债(+9.07%)。 分析师:张智珑 证书编号:S0500521120002 Tel: (8621) 50295363 Email: zzl6599@xcsc.com 地址:上海市浦东新区银城 ...

4.强弱分析： 近两周全部A股强弱分析得分为6.35，沪深300强弱分析得分6.37，创业板强 弱分析得分6.65，科创板强弱分析得分7.06，处于中性偏强区间。 测量结果：健康 数据速看： 1.主力资金： 近两周主力资金合计净流出-2078.70亿元，有两个行业实现主力资金净流入， 分别为银行和综合，主力资金净流出额前三的行业为计算机、电子和机械设备。 2.融资融券数据： 当前市场融资融券余额为19419.92亿元，较上期上升3.64%，其中融资余 额19283.69亿元，融券余额136.23亿元。本期两融日均交易额为1685.81亿元，较上期上升 25.98%，其中融资日均净买入1680.68亿元，较两周前上升26.13%，融券日均净卖出5.13 亿元，较上期下降8.94%。近两周融资净买入前三的行业分别为有色金属、机械设备和非银 金融；融券净卖出前三的行业分别为有色金属、电力设备和建筑装饰。 3.涨跌情况： 近两周全市场上涨家数高于下跌家数，近两周涨幅前三的行业为有色金属、钢 铁和建筑材料，下跌的行业为银行、公用事业和传媒。 以下文章来源于申万宏源证券上海分公司 ，作者李金玲 申万宏源证券上海分公司 . ...

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - This week, boosted by the "anti - involution" concept and the positive news of Yaxia Hydropower Station, the pro - cyclical sectors collectively soared, and the index continued to rise. The Shanghai Composite Index achieved four consecutive weekly gains. The daily average trading volume of the two markets increased by 19.56% compared with last week, and the margin trading balance continued to rise above 1.9 trillion. Domestic hot money accelerated its inflow, showing signs of over - heating market sentiment in the short term. The commodity futures market mostly rose, and the bond market corrected significantly due to the impact of the equity market [1][10]. - As August approaches, a series of major events, such as the Politburo meeting's tone - setting, the results of the third round of Sino - US economic and trade negotiations, and the monetary policy decisions of the Federal Reserve and the Bank of Japan, may trigger market fluctuations. Investors are advised to be cautious in the short term, control their positions, and avoid blind operations in the face of uncertainties. They can appropriately focus on growth sectors with relatively reasonable valuations, such as AI applications, cloud computing, and science and technology innovation chips. From a medium - term allocation perspective, high - dividend assets are still the preferred bottom - position assets, and hedging assets such as gold and treasury bonds can be combined to build a diversified portfolio to smooth out volatility risks and seize structural opportunities [15]. 3. Summary According to the Directory 3.1 This Week's Market Review 3.1.1 Industry Index - Coal, steel, non - ferrous metals, building materials, and construction sectors led the gains this week. The trading volume proportions of coal, building materials, construction, steel, and transportation sectors increased significantly compared with last week, while the trading activity of the comprehensive financial sector decreased significantly. The coal sector soared 8.00%, and its trading volume proportion reached a new high in the past four weeks at 1.16%. The pro - cyclical sectors strongly led the rise, while the trading activities of technology sectors such as electronics, computer, media, and communication cooled down, and their trading volume proportions reached new lows in the past four weeks. The bank sector, which was strong in early July, led the decline this week, and its trading volume proportion was at a new low in the past four weeks at 2.00% [10]. - The leverage factor and book - to - market ratio factor had the highest gains this week, while the residual volatility factor had a large decline. The IH contract remained at a premium, indicating that investors were more optimistic about large - cap stocks, and the discount of the IM contract continued to narrow. The average and median returns of neutral hedge funds this week were 0.10% and 0.17% respectively [10]. 3.1.2 Market Style - Affected by the "anti - involution" concept and the positive news of Yaxia Hydropower Station, all five CITIC style indices rose this week, with the cyclical style leading the gains. The growth sector rose 2.54% this week, and its trading volume proportion decreased to a new low in the past four weeks at 47.94%. The consumer style index rose 1.59%, and its trading volume proportion was basically the same as last week. The financial style index performed weakly, only rising slightly by 0.36%, and its trading volume proportion increased to 8.09%. The stable style index rose 1.74%, and its trading volume proportion increased significantly to a new high in the past four weeks at 5.43%. The cyclical style index rose 3.51%, and its trading volume proportion increased to a new high in the past four weeks at 25.81% [14]. - All major broad - based indices rose this week. The mid - cap stocks represented by the CSI 500 showed an obvious catch - up effect. Based on the CSI A - share index, the Shanghai - Shenzhen 300 and CSI 2000 indices only rose 1.69% and 1.81% respectively, while the CSI 500 index rose 3.28% this week, and the trading volume proportions of the Shanghai - Shenzhen 300 and CSI 500 indices both increased to new highs in the past four weeks [14]. 3.2 Active Equity Funds 3.2.1 Top - Performing Funds in Different Theme Tracks This Week - The report divides active equity funds into single - track and double - track funds based on six sectors: TMT, financial real estate, consumption, medicine, manufacturing, and cyclical sectors. Single - track funds are those with a position in a certain sector greater than 70% for multiple consecutive periods, and double - track funds are those with positions in two sectors both greater than 30% for multiple consecutive periods [19]. 3.2.2 Top - Performing Funds in Different Strategy Categories - The report classifies funds into deep - undervalued, high - growth, high - quality, quality - growth, quality - undervalued, GARP, and balanced - cost - effective types based on investment styles and strategies, and lists the top - performing funds in each type this week [20]. 3.3 Index - Enhanced Funds 3.3.1 This Week's Excess Return Distribution of Index - Enhanced Funds - The average and median excess returns of CSI 300 index - enhanced funds were 0.05% and 0.03% respectively; those of CSI 500 index - enhanced funds were - 0.11% and - 0.13% respectively; those of CSI 1000 index - enhanced funds were 0.05% and 0.03% respectively; those of CSI 2000 index - enhanced funds were 0.24% and 0.36% respectively; those of CSI A500 index - enhanced funds were - 0.02% and - 0.07% respectively; those of ChiNext index - enhanced funds were - 0.29% and - 0.13% respectively; and those of STAR Market - ChiNext 50 index - enhanced funds were - 0.22% and - 0.05% respectively [24]. - The average and median absolute returns of neutral hedge funds were 0.10% and 0.17% respectively; those of quantitative long - only funds were 2.07% and 2.05% respectively [25]. 3.4 This Week's Bond Fund Selections - The report comprehensively screened the medium - and long - term bond - type fund pool and short - term bond - type fund pool based on indicators such as fund size, return - risk indicators, the latest fund size, Wind Fund secondary classification, three - year rolling return, and three - year maximum drawdown [41]. 3.5 This Week's Fund High - Frequency Position Detection - Active equity funds significantly increased their positions in the electronics (0.41%) and computer (0.27%) industries this week; they significantly reduced their positions in the power equipment and new energy (0.23%), basic chemicals (0.11%), and agriculture, forestry, animal husbandry, and fishery (0.10%) industries. From a one - month perspective, the positions in the electronics (1.77%) and computer (1.06%) industries increased significantly, while the positions in the food and beverage (0.55%) and power equipment and new energy (0.62%) industries decreased significantly [3]. 3.6 This Week's US Dollar Bond Fund Weekly Tracking - Not provided in the content