以下文章来源于牛基投资社 ，作者基长 牛基投资社 . 教你从0开始成为基金投资达人，不保证赚的多，但一定保证坑踩的少。 自4月关税冲击以来，A股已经开启了一轮趋势性行情。 近期市场热度进一步上升，上个月末，沪指 刚突破3600点，大家可能还没缓过神来，如今沪指已站上3800点。而上一次3800点，已是10年前。 市市场场估估值值到到了了什什么么位位置置？？ 伴随沪指突破近10年高位，A股市值也突破100万亿元大关，同时一起攀升的还有A股的估值。 目前上证指数的估值 （PE-TTM） 为16.13倍，大约处于近15年的87%分位，触及了+1倍标准差的位 置，看上去估值确实不低。但如果我们从更长区间来看，比如 自上证指数基日 （1990年12月19日） 以 来，估值分位数大约是39%，还处在中位数以下 。 另外，作为本轮行情领涨宽基之一的 创业板指，虽然估值有所抬升，但仍处于近15年的27%估值分 位， 距离估值高位还有相当的距离。 资料来源：Choice，数据自2010年8月20日至2025年8月20日，指数过往表现不代表未来，也不构成基金业绩表现的保证，投资须谨慎 回顾2010年以来的几轮市场行情，不可否认每 ...

Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Model - **Model Construction Idea**: The model is based on the principle of price momentum, aiming to capture upward trends in industry performance[26][39] - **Model Construction Process**: The diffusion index is calculated for each industry, reflecting the proportion of stocks within the industry that exhibit positive momentum. The index ranges from 0 to 1, where higher values indicate stronger momentum. The model selects industries with the highest diffusion indices for allocation. For example, as of August 1, 2025, the top-ranked industries included Steel (1.0), Comprehensive Finance (1.0), and Non-Banking Finance (0.999)[27][28] - **Model Evaluation**: The model has shown mixed performance over the years. While it achieved significant excess returns in 2021 (up to 25% before September), it experienced notable drawdowns in 2023 (-4.58%) and 2024 (-5.82%) due to its inability to adjust to market reversals[26] 2. Model Name: GRU Factor Model - **Model Construction Idea**: This model leverages GRU (Gated Recurrent Unit) deep learning networks to process high-frequency volume and price data, aiming to identify industry rotation opportunities[40] - **Model Construction Process**: The GRU network is trained on historical minute-level data to predict industry factor rankings. The model then allocates to industries with the highest predicted rankings. As of August 1, 2025, the top-ranked industries included Non-Banking Finance (-1.15), Steel (0.7), and Base Metals (0.5)[34][38] - **Model Evaluation**: The model has demonstrated strong adaptability in short-term scenarios but struggles in long-term or extreme market conditions. Its performance in 2025 has been hindered by concentrated market themes, resulting in difficulty capturing inter-industry excess returns[33][40] --- Backtesting Results of Models 1. Diffusion Index Model - **Weekly Average Return**: -1.67%[30] - **Excess Return (August)**: -0.44%[30] - **Excess Return (2025 YTD)**: -0.40%[25][30] 2. GRU Factor Model - **Weekly Average Return**: 0.00%[38] - **Excess Return (August)**: 0.16%[38] - **Excess Return (2025 YTD)**: -2.35%[33][38] --- Quantitative Factors and Construction Methods 1. Factor Name: Diffusion Index - **Factor Construction Idea**: Measures the breadth of positive momentum within an industry[27] - **Factor Construction Process**: The diffusion index is calculated as the proportion of stocks in an industry with positive momentum. For example, as of August 1, 2025, the diffusion index for Steel was 1.0, while for Coal it was 0.23[27][28] - **Factor Evaluation**: The factor effectively identifies industries with strong upward trends but may underperform during market reversals[26] 2. Factor Name: GRU Industry Factor - **Factor Construction Idea**: Utilizes GRU deep learning to rank industries based on high-frequency trading data[40] - **Factor Construction Process**: The GRU network processes minute-level volume and price data to generate factor rankings. For instance, as of August 1, 2025, the GRU factor for Non-Banking Finance was -1.15, while for Steel it was 0.7[34][38] - **Factor Evaluation**: The factor is effective in capturing short-term trends but struggles in long-term or highly volatile markets[33][40] --- Backtesting Results of Factors 1. Diffusion Index Factor - **Top Industries (August 1, 2025)**: Steel (1.0), Comprehensive Finance (1.0), Non-Banking Finance (0.999)[27][28] - **Weekly Average Return**: -1.67%[30] - **Excess Return (August)**: -0.44%[30] - **Excess Return (2025 YTD)**: -0.40%[25][30] 2. GRU Industry Factor - **Top Industries (August 1, 2025)**: Non-Banking Finance (-1.15), Steel (0.7), Base Metals (0.5)[34][38] - **Weekly Average Return**: 0.00%[38] - **Excess Return (August)**: 0.16%[38] - **Excess Return (2025 YTD)**: -2.35%[33][38]

Core Viewpoint - The market sentiment score has increased, indicating a bullish outlook for the market as of July 25, with a score of 1.8, up from 0.65 the previous week [1]. Group 1: Market Sentiment Indicators - The sentiment structure indicator is calculated using a scoring method based on the direction of each sub-indicator and its position within the Bollinger Bands, resulting in a 20-day moving average score [1]. - The trading volatility between industries has shown a positive signal, suggesting increased capital activity and reduced uncertainty in short-term sentiment [4][14]. - The financing ratio has decreased, indicating a decline in the heat of margin trading, which requires further observation [4]. Group 2: Trading Activity and Volume - The overall trading volume in the A-share market has maintained an upward trend, with a peak daily trading volume of 19,286.45 billion RMB on July 25 [9]. - The consistency of price and volume remains high, indicating active participation and capital engagement in the market [6]. Group 3: Industry Performance - Industries such as basic chemicals, non-ferrous metals, and electric equipment have shown strong performance, while sectors like public utilities, media, and banking have lagged behind [16]. - The short-term trend scores for industries like coal, food and beverage, and beauty care have significantly increased, with coal showing a remarkable rise of 109.09% [19][20]. Group 4: Style and Trend Analysis - The small-cap growth style is currently favored, with the relative strength index (RSI) indicating a strong preference for growth stocks over value stocks [21][22]. - The trend scoring model shows that industries like coal, food and beverage, and construction materials have strong short-term trend scores, suggesting potential investment opportunities [19][20].

Core Viewpoint - The strategic importance of resource commodities is gaining consensus in the market amid rising de-globalization trends, with a significant commodity market rally since 2020, covering various resources from coal to gold, copper, silver, and rare earths [1] Group 1: Investment Strategy - The new fund manager of Western Lide Fund, Guan Haoyang, emphasizes that supply is more critical than demand at this investment juncture, and beta is more important than individual stocks [1][6] - Guan believes that the ongoing commodity market rally, which has been active for five years, still presents opportunities as resource commodities transition from "cyclical goods" to "strategic assets" [1][6] Group 2: Research Background - Guan has focused on cyclical stock research since entering the industry in 2016, expanding his expertise from steel to various sectors including construction, materials, non-ferrous metals, chemicals, and coal over nine years [2] - He has developed a comprehensive research framework for cyclical commodities, recognizing the high barriers between different sub-industries [2] Group 3: Resource Classification - Guan categorizes resource stocks into four types: 1. **Cyclical Assets**: Assets with explosive performance during uptrends, such as gold and silver, where price tracking is crucial [4] 2. **Thematic Assets**: Assets like rare earths that are rising in price but have not yet shown performance, focusing on price trends and market sentiment [4] 3. **Value Assets**: Stable price assets with low valuations, such as copper, where company growth and valuation matching are key [5] 4. **Dividend Assets**: Stable price assets with high dividend yields, like oil and coal, where finding assets with potential dividend recovery is essential [5] Group 4: Market Outlook - Guan assesses that the current commodity cycle, which began in 2020, still holds potential due to rigid supply constraints [6] - He identifies three main supply constraints: insufficient capital expenditure, a decrease in quality mines, and the elevation of resource commodities to strategic assets through administrative measures by various countries [6][7] - The restructuring of supply chains driven by de-globalization is expected to create long-term benefits for industrial metals like copper [7]

Core Insights - The current industry allocation of the Bank of China multi-strategy system includes Computer (9.6%), Steel (9.2%), Non-ferrous Metals (7.8%), Consumer Services (7.2%), and Banking (6.8) among others, indicating a diversified investment approach across various sectors [1] - The average weekly return of the CITIC primary industries is 3.5%, with the best-performing sectors being Coal (10.5%), Steel (10.2%), and Non-ferrous Metals (9.6%), while the worst performers are Banking (-2.1%), Communication (-0.6%), and Comprehensive Finance (-0.1%) [3][11] - The composite strategy achieved a cumulative return of 3.4% this week, with an annual cumulative return of 16.4%, outperforming the CITIC primary industry equal-weight benchmark by 1.9% [3] - The highest weight strategy currently is the medium to long-term reversal strategy (S4) at 21.4%, while the lowest is the macro style rotation strategy (S3) at 8.0% [3] - Recent adjustments in positions indicate an increase in upstream cyclical sectors and a decrease in TMT sectors [3] Industry Performance Review - The top three industries in terms of weekly performance are Coal (10.5%), Steel (10.2%), and Non-ferrous Metals (9.6%), while the bottom three are Banking (-2.1%), Communication (-0.6%), and Comprehensive Finance (-0.1%) [11] - The average monthly return over the past month is 7.3%, indicating a positive trend across the industries [11] Valuation Risk Warning - The current PB valuation for the Retail, Automotive, Defense, and Media industries exceeds the 95th percentile of their historical valuations, triggering a high valuation warning [14][15] Strategy Performance - The S1 strategy focusing on high profitability industries shows a weekly excess return of -0.4%, while the S2 strategy tracking unverified sentiment has an excess return of 3.0% [3] - The S4 medium to long-term reversal strategy has the highest weight and has shown significant performance, indicating its effectiveness in the current market environment [3][16] Sector Rankings - The current top three sectors based on profitability expectations are Computer, Non-ferrous Metals, and Steel [17] - The S2 strategy ranks Mechanical, Computer, and Comprehensive as the top sectors based on implied sentiment [20] Macro Style Rotation - The macro style rotation strategy indicates a bullish outlook for Comprehensive Finance, Computer, Media, Defense, Electronics, and Comprehensive sectors based on current macro indicators [24][25]

Market Overview - The Shanghai Composite Index increased by 0.25% as of 10:28 AM, with a trading volume of 719.64 million shares and a transaction amount of 851.33 billion yuan, representing a decrease of 4.39% compared to the previous trading day [1]. Industry Performance - The top-performing industries included: - Steel: Increased by 0.86% with a transaction amount of 158.33 billion yuan, up by 85.57% from the previous day, led by Shengde Xintai with a rise of 15.68% [1]. - Pharmaceutical and Biological: Increased by 0.84% with a transaction amount of 709.46 billion yuan, down by 9.15%, led by Hite Bio with a rise of 15.41% [1]. - Comprehensive: Increased by 0.79% with a transaction amount of 12.55 billion yuan, down by 13.25%, led by Nanjing Xinbai with a rise of 10.06% [1]. - The worst-performing industries included: - National Defense and Military Industry: Decreased by 1.16% with a transaction amount of 300.68 billion yuan, down by 29.35%, led by Guolian Aviation with a drop of 13.35% [2]. - Building Materials: Decreased by 0.79% with a transaction amount of 205.27 billion yuan, up by 0.84%, led by Fujian Cement with a drop of 6.63% [2]. - Coal: Decreased by 0.58% with a transaction amount of 162.42 billion yuan, up by 275.67%, led by Yunmei Energy with a drop of 3.68% [2].

Market Overview - The A-share market showed a positive trend today, with major indices mostly rising. The Shanghai Composite Index increased by 0.72% to close at 3559.72 points, while the Shenzhen Component rose by 0.86% to 11007.49 points. The ChiNext Index saw a slight increase of 0.87%, closing at 2296.88 points. Overall, 4002 stocks rose, 1291 fell, and 121 remained unchanged, with a total trading volume of 17000 billion yuan, an increase of 1289.37 billion yuan compared to the previous trading day [1][2]. Industry Performance - Among the Shenwan first-level industries, all sectors except for banking, comprehensive, computer, and home appliances experienced gains today. The leading sectors included construction materials, construction decoration, steel, non-ferrous metals, basic chemicals, and coal [1]. - The top-performing concept sectors included cement manufacturing, water conservancy and hydropower construction, major infrastructure projects in the west, excavators, robotics, rare earths, and various infrastructure-related sectors [2].

Core Viewpoint - The "anti-involution" research trend in the A-share market is gaining momentum due to policy support and rapid responses from various industries [1][5]. Group 1: Research and Market Response - In the past week, financial institutions published 176 research reports on the "anti-involution" theme, covering various sectors including steel, energy, and chemicals [2]. - There were 79 roadshows related to "anti-involution" in the past week, indicating its prominence in analyst discussions [3]. - Analysts believe this round of "anti-involution" has a higher standing, broader coverage, and stronger synergy, potentially becoming the main market theme in the next phase [4][6]. Group 2: Policy Implications - The Central Financial Committee emphasized the need to promote a unified national market and regulate low-price competition, which has led to increased attention on "anti-involution" in the capital market [5]. - Analysts expect further policy deployments related to "anti-involution," with potential measures including industry self-discipline and price monitoring [5]. Group 3: Beneficial Sectors - Key sectors expected to benefit from the "anti-involution" policies include lithium batteries, photovoltaics, coal, steel, chemicals, and construction materials [8]. - The manufacturing sector, particularly in lithium, photovoltaics, and automotive, along with service industries like food processing and logistics, are highlighted as potential beneficiaries [8]. - The steel industry is noted for its potential bottom reversal, with supply-side reforms and improved profitability expected [11][12]. Group 4: Industry-Specific Insights - The photovoltaic sector has seen significant stock performance, with a 5.5% increase in the photovoltaic index over a week, driven by price recovery and regulatory support [13]. - Analysts suggest that the focus on supply-side reforms in the photovoltaic industry will be crucial for long-term competitiveness and market stability [13][14].

Core Insights - The communication industry saw the highest net inflow of funds today, amounting to 2.472 billion, with a price change of 0.77% and a turnover rate of 2.10% [1][2] - The non-banking financial sector experienced the largest net outflow of funds, totaling -5.831 billion, with a price change of -1.20% and a turnover rate of 2.45% [1][2] Industry Summary - **Communication**: - Net inflow: 2.472 billion - Price change: 0.77% - Turnover rate: 2.10% - Volume change: +3.72% [1] - **Non-banking Financial**: - Net outflow: -5.831 billion - Price change: -1.20% - Turnover rate: 2.45% - Volume change: -14.38% [1] - **Real Estate**: - Net outflow: -0.441 billion - Price change: -0.43% - Turnover rate: 1.20% - Volume change: -8.36% [2] - **Machinery Equipment**: - Net outflow: -1.740 billion - Price change: -0.53% - Turnover rate: 2.74% - Volume change: +1.31% [2] - **Pharmaceuticals**: - Net outflow: -2.819 billion - Price change: -1.05% - Turnover rate: 1.72% - Volume change: -4.71% [2] - **Computers**: - Net outflow: -3.272 billion - Price change: -0.23% - Turnover rate: 5.83% - Volume change: +9.33% [2] - **Electric Equipment**: - Net outflow: -4.443 billion - Price change: -0.75% - Turnover rate: 3.40% - Volume change: +3.09% [2]

Group 1: Industry Investment Rating - There is no information about the industry investment rating in the provided reports. Group 2: Core Views - Domestic economic maintains a stable pattern, with domestic assets presenting mainly structural opportunities. The policy - driven logic will be strengthened in the second half of the year. Overseas geopolitical risks may increase short - term market volatility, while in the long run, the weak US dollar pattern continues. Attention should be paid to non - US dollar assets and strategic allocation of resources such as gold [6]. - The domestic and overseas macro situations show different trends. Overseas, inflation trading cools down, and the long - and short - term allocation ideas diverge. In the domestic market, there are expectations of moderate reserve requirement ratio cuts and interest rate cuts, and the fiscal end implements established policies [7]. - The investment sentiment in the financial, precious metals, shipping, black building materials, energy - chemical, and agricultural sectors is mainly in a state of shock, with different influencing factors and short - term outlooks for each sector [7][9]. Group 3: Summary by Directory 1. Macro Essentials - **Overseas Macro**: The Fed maintained the federal funds rate target range at 4.25% - 4.50% in June, with a more cautious expectation of rate cuts in the second half of the year. US economic data such as retail sales, industrial output, and the manufacturing index showed weakness, and the economic recovery is restricted by geopolitical risks and trade uncertainties. Rising oil prices may prompt the Fed to issue hawkish signals [6]. - **Domestic Macro**: The Lujiazui Financial Forum announced multiple financial support policies, increasing policy expectations for the second half of the year. The "national subsidy" funds are being gradually allocated. In May, fixed - asset investment expanded, the service industry grew faster, and industrial and consumer data showed positive growth [6]. - **Asset Views**: Domestic assets have structural opportunities, and overseas geopolitical risks may cause short - term market fluctuations. In the long run, a weak US dollar pattern persists, and attention should be paid to non - US dollar assets and gold [6]. 2. Viewpoint Highlights **Macro** - Domestic: Moderate reserve requirement ratio cuts and interest rate cuts are expected, and fiscal policies are being implemented [7]. - Overseas: Inflation trading cools down, and the economic growth expectation improves [7]. **Finance** - Stock index futures, index options, and treasury bond futures are all in a state of shock, with different influencing factors such as capital flow, option liquidity, and policy changes [7]. **Precious Metals** - Gold and silver are in short - term adjustment due to the progress of Sino - US negotiations, and are affected by Trump's tariff policy and the Fed's monetary policy [7]. **Shipping** - The shipping market sentiment has declined, and the focus is on the recovery of the loading rate in June. The container shipping to Europe route is in a state of shock, affected by factors such as tariff policies and shipping company pricing strategies [7]. **Black Building Materials** - Most products in the black building materials sector, including steel, iron ore, coke, and others, are in a state of shock, affected by factors such as supply - demand, cost, and policy [7]. **Non - ferrous Metals and New Materials** - Non - ferrous metals continue to be in a state of shock, with different trends for each metal. For example, copper prices are high, while zinc prices may decline [7]. **Energy - Chemical** - Different energy - chemical products have different trends. Crude oil, urea, and some other products may be in a state of shock or shock - decline, while ethylene glycol and short - fiber may show shock - rise trends [9]. **Agriculture** - Agricultural products such as livestock, rubber, and cotton are in a state of shock, affected by factors such as supply - demand, policy, and weather [9].