2025/09/23 金融工程指数量化系列—— 高值偏离修复模型（止损版） 证券分析师: 刘晓锋 执业资格证书编码: S1190522090001 证券分析师: 孙弋轩 执业资格证书编码: S1190525080001 P2 目录 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 金融工程 证券研究报告 |深度研究报告 1、基础偏离修复模型回顾 2、止损策略 3、后续展望 4、风险提示 P3 1、基础偏离修复模型回顾 偏离修复策略（多空）： 1、计算单个行业指数相对沪深300收盘价cl。 2、计算cl对应的回撤曲线W。 3、使用迭代法计算cl的有效回撤V，若无法得到V，则直接判定该行业不适合此策略。 4、选取V的最大值的80%作为阈值T（T为正数），当W值大于T时，信号值s为1（看多），当W值 为0时，信号值s为0（平仓），当W为其他值时，信号值s等于前值。 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 P4 1、基础偏离修复模型回顾 图表1：净值 0 0.5 1 1.5 2 2.5 3 3.5 4 农 林 牧 渔 ( 申 万 ) 基 础 化 工 ( 申 万 ) 钢 铁 ( 申 万 ) 有 ...

Group 1 - Deutsche Bank analysts indicate that the recent surge in gold prices to historical highs suggests underlying panic in the stock market, as gold is typically viewed as a safe-haven asset during economic uncertainty [1] - The market is increasingly concerned about potential government shutdowns in the U.S. and slowing job growth, which are contributing to the fear reflected in rising gold prices [1] - Credit Suisse notes that comments from Fed Governor Milan regarding a potential 150 basis point rate cut have had minimal impact on market expectations, as evidenced by the continued rise in two-year Treasury yields [1] Group 2 - ING maintains a neutral stance on U.S. Treasuries in the short term, while looking for opportunities to short 10-year Treasuries, anticipating a rise in yields to 4.5% by 2026 [2] - Morgan Stanley suggests that the likelihood of the Bank of England cutting rates in December is low, despite potential economic weakness, with expected rate cuts in February and April [2] - CICC reports a continued trend of deposit migration, primarily driven by a shift towards equity markets, although the pace of this migration has slowed [2] Group 3 - Huatai Securities predicts an acceleration of the "East rises, West declines" trend in the semiconductor equipment market in China, with global equipment company revenues expected to grow by 24% year-on-year by Q2 2025 [3] - CITIC Securities highlights that the Democratic Republic of Congo's new cobalt export quotas may lead to a significant increase in cobalt prices due to supply constraints [4] - CITIC JianTou expresses optimism about the robotics sector, driven by advancements in Tesla's Optimus and other companies, indicating a return to technology growth as a key investment theme [5] Group 4 - CITIC Securities notes that solid-state battery trials are beginning, with a focus on improving interface and pressure conditions to address key challenges [6] - CITIC JianTou forecasts that global investment in power grids will exceed $400 billion by 2025, driven by rising electricity demand and increased capital expenditures from major companies [7] - Galaxy Securities reports that positive factors for banks are accumulating, suggesting a potential turning point for mid-term performance improvements [8] Group 5 - Galaxy Securities continues to favor sectors related to computing power, including PCB, domestic computing, IP licensing, and chip inductors, anticipating a recovery in the foldable screen market by 2026 [9] - Everbright Securities indicates that domestic engineering machinery sales are performing well despite seasonal trends, with significant growth in non-excavator categories [10]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report focuses on the ETF market liquidity dynamics from September 15 to September 21, 2025, covering the market行情, ETF market概况, and the flow of funds in different types of ETFs [1][2]. 3. Summary by Relevant Catalogs 3.1 Market Conditions - China's 10 - year Treasury yield remained flat at 1.87% last week, while the US 10 - year Treasury yield rose slightly to 4.14% [1]. - Shanghai Composite Index decreased by 1.30%, Shenzhen Component Index decreased by 1.98%, CSI 300 decreased by 0.44%, CSI 500 increased by 0.32%, CSI 1000 increased by 0.21%, CSI 2000 decreased by 0.02%, ChiNext Index increased by 2.34%, and STAR 50 increased by 1.84% [1]. - In the Shenwan primary industries, coal (+3.51%) and power equipment (+3.07%) led the gains, while banking (-4.21%) and non - ferrous metals (-4.02%) had significant declines [1]. - The average daily trading volume of the Shanghai and Shenzhen stock markets was 2.4906 trillion yuan, an increase of about 8.55% from the previous week. The margin trading balance reached about 2.3816 trillion yuan, a new high [1]. 3.2 ETF Market Overview - The overall ETF market had a net inflow of about 13.6 billion yuan in subscriptions and redemptions. Cross - border ETFs had a net inflow of about 16.1 billion yuan, and equity ETFs had a net inflow of about 4.9 billion yuan [2]. - Among equity ETFs, broad - based ETFs had a net outflow of about 16.9 billion yuan, industry ETFs had a net inflow of about 14 billion yuan, and thematic ETFs had a net inflow of about 7.1 billion yuan [2]. - In broad - based ETFs, STAR 50ETF had a significant net outflow. In industry and thematic ETFs, brokerage and robot concept ETFs continued to have net inflows, and Hong Kong Internet concept ETFs also had continuous net inflows [2]. - Last week, 8 ETF funds were listed for trading, with a total share of about 6.3 billion. There were 23 ETFs that had completed fundraising and were waiting to be listed, with a total share of about 44 billion, mostly being CSI AAA Science and Technology Innovation Corporate Bond ETFs [2]. 3.3 Stock - related ETFs - **Stock Broad - based ETFs**: Continued net outflows, while brokerage and robot concept ETFs had net inflows [2]. - **STAR 50ETF**: Had a net outflow of funds last week [2]. - **Newly - listed and To - be - listed ETFs**: 8 ETFs were listed last week with a total share of about 6.3 billion. 23 ETFs were waiting to be listed with a total share of about 44 billion, mainly CSI AAA Science and Technology Innovation Corporate Bond ETFs [2].

- The report discusses the construction of forward and reverse arbitrage strategies in stock index futures markets. Forward arbitrage involves selling futures contracts and buying spot when the spot is undervalued and futures are overvalued, while reverse arbitrage involves buying futures contracts and selling spot when the spot is overvalued and futures are undervalued[45][46] - The formulas for calculating the arbitrage returns are provided. For forward arbitrage, the formula is: $$ P = \frac{(F_t - S_t) - (S_t + F_t M_t)(1 + r_t)^{\frac{T-t}{360}} - S_t C_s - F_t C_f}{S_t + F_t M_t} $$ For reverse arbitrage, the formula is: $$ P = \frac{(S_t - F_t) - (S_t M_l + F_t M_f)(1 + r_f)^{\frac{T-t}{360}} - S_t C_s - F_t C_f - S_t r^{\frac{T-t}{360}}}{S_t M_l + F_t M_f} $$[46] - The report evaluates the risks associated with the arbitrage process, including margin call risk, basis non-convergence risk, dividend risk, tracking error risk, and liquidity risk[46] - The report also discusses the method for predicting dividend points, which can affect the basis rate. The prediction is based on historical dividend patterns and uses the formula: $$ \text{Dividend Points} = \sum \left( \frac{\text{Per Share Dividend} \times \text{Index Closing Price} \times \text{Component Stock Weight}}{\text{Component Stock Closing Price}} \right) $$[47][50] - The report provides specific values for the annualized basis rates of the main contracts for IF, IC, IM, and IH, which are -4.66%, -12.51%, -14.77%, and -0.06% respectively[11] - The cross-period spread rates for the main contracts of IF, IC, IM, and IH are at the 78.30%, 73.30%, 84.20%, and 63.90% percentiles respectively since 2019[11] - The report includes a summary of market and industry investment consensus and differences from sell-side strategy teams, highlighting that 8 brokerages believe in enhanced policy easing expectations, 7 believe in active market liquidity, and 6 believe in a significant increase in market risk appetite[38][40]

智通财经APP获悉，香港联交所最新资料显示，9月18日，易方达基金管理有限公司增持华泰证券 (06886)427.06万股，每股均价18.8667港元，总金额约为8057.21万港元。增持后最新持股数目约为1.72 亿股，最持股比例为10.02%。 ...

香港联交所最新资料显示，9月18日，易方达基金管理有限公司增持华泰证券(06886)427.06万股，每股 均价18.8667港元，总金额约为8057.21万港元。增持后最新持股数目约为1.72亿股，最持股比例为 10.02%。 ...

Group 1 - The report highlights that the financial sector's role as a "ballast" is further solidified, with structural opportunities emerging from the recent press conference held by the State Council [2][7]. - The market is expected to experience a shift towards "value creation and technological innovation," with a stable environment conducive to a "slow bull" market anticipated [9]. - The total assets of the banking and insurance sectors have exceeded 500 trillion yuan, with an average annual growth of 9% over the past five years, reinforcing China's position as the largest global credit market and the second-largest insurance market [9][11]. Group 2 - The report indicates that the market's short-term sentiment may stabilize, with structural trends likely to persist, as the recent press conference focused on medium to long-term perspectives without immediate policy adjustments [9][11]. - The report notes that various types of long-term funds held approximately 21.4 trillion yuan of A-share circulating market value by the end of August 2025, reflecting a 32% increase compared to the end of the 13th Five-Year Plan [9]. - The financing in the exchange market for stocks and bonds reached 57.5 trillion yuan over the past five years, indicating improved efficiency in capital market services for the real economy [9].

Market Overview - Global financial markets exhibit complex and divergent trends, with the US market continuing to reach new highs driven by strong performance in technology and small-cap stocks [1] - The S&P 500 and Russell 2000 indices show notable gains, while the Dow Jones index experiences a slight increase, supported by robust corporate earnings and positive developments in the AI sector [1][3] - In contrast, European markets show weakness, with the UK FTSE 100 index slightly up, while the German DAX and French CAC 40 indices both decline, reflecting concerns over economic growth and policy uncertainty in the region [1][3] Commodity Performance - Gold prices have significantly risen, indicating strong demand, while WTI crude oil prices are under pressure due to expectations of increased supply [1][4] - The reopening of a major pipeline in Iraq has heightened supply concerns, contributing to a decline in oil prices [4] Key Indices and Movements - The S&P 500 index increased by 0.44% to 6,693.75, while the Dow Jones rose by 0.14% to 46,381.54 [4] - The Nasdaq 100 index saw a rise of 0.55% to 22,788.98, and the Russell 2000 index increased by 0.60% to 2,463.34 [4] - European indices such as the DAX and CAC 40 experienced declines of 0.48% and 0.30%, respectively, indicating a bearish sentiment in the region [4] Investor Sentiment - Overall, investors maintain a defensive stance with limited risk appetite, as evidenced by the mixed performance across global markets [3] - The focus for upcoming trading days will be on signals from the Federal Reserve regarding monetary policy and key inflation data [3]

以下文章来源于36氪财经 ，作者王晗玉 张帆 云锋金融沉寂近3年后， 股价涨超115%。 36氪财经 . 36氪旗下官方账号。洞见市场，比99%的投资者更聪明。 文 ｜ 王晗玉 编辑 ｜ 张帆 来源｜ 36氪财经（ID：krfinance） 封面来源 ｜ IC photo 云锋金融在Web3生态内的动作节奏越来越快。 9月17日，其全资子公司发行一单RWA（Real-World Asset Tokenization，实物资产代币化），实物资产为FOF（基金中的基金）份额。值得注意的是，这是 在其区块链技术团队支持下， 云锋金融独立完成的首个RWA项目。 如果说此前投资Pharos公链、升级证券交易牌照、"囤币"等动作还仅被视为战略储备的信号，此番云锋金融亲自下场操盘RWA，则明确体现出其Web3布局 与传统业务融合的趋势。 今年7月15日， 停更接近3年的云锋金融官方公众号再度发声 。首份公告即宣布，将在现有保险与金融科技业务的基础上，战略布局Web3、RWA、数字货 币、ESG零碳资产领域及AI等领域，并探索上述领域与其保险公司各项应用场景相连的创新。 其后该公司在Web3领域动作不断。与此同时，云锋金融在 ...

以下文章来源于指数智投 ，作者指数打工人 指数智投 . 平平无奇的指数科普小天才，闪闪发光的指数打工人，家里没有矿的指数爱好者交流基地 9月 23 日，市场显著回调，上证指数跌破 3800 ，有股市风向标之称的券商板块同步下跌，证券 ETF 东财（ 159692 ）场内价格跌 2.3% ， 30 只成份股悉数下跌，东方财富、信达证券跌超 4% ，长城证券、长江证券跌超 3% ，西部证券、中信建投、东吴证券、华安证券、华泰证券、中 金公司等跌超 2% 。 牛回头，还是牛跑了？ 分享 高盛 9 月的最新观点：终结中国股市牛市的通常并非高估值，而是突发性的政策冲击 ，除非 出现明显的投机泡沫，否则政策主动打压市场的可能性较低。 由流动性推动、估值驱动的股市繁荣并非中国独有，而是一种全球现象 。全球 90% 市值的主要市 场里，有八个正处于或接近历史高位，其估值也接近各自区间的顶部，而中国股市（港股和 A 股） 还比 2021 年的高点低 36% 和 22% 。且中国上市公司盈利也在涨， 2025 年上半年港股、 A 股 公司利润分别上涨 3% 和 6% ，未来几年增速也不错，有基本面的支撑。 这次是"慢牛"吗？ 当 ...