Core Viewpoint - The report tracks the performance of a long-term stock selection strategy focused on profitability and growth, which was initially published on August 26, 2020, by the GF Financial Engineering team [2][29]. Empirical Analysis Data Description - The empirical analysis covers a backtesting period from January 1, 2009, to August 29, 2025, with three portfolio adjustments each year on April 30, August 31, and October 31 [3]. Portfolio Construction - The stock selection process emphasizes high ROE, improving gross profit margins, and strong cash flow, while excluding stocks with poor cash flow and high debt ratios [4]. Equal-Weighted Portfolio Performance - The equal-weighted portfolio achieved a cumulative return of 3281.94% and an annualized return of 23.43% during the backtesting period, outperforming the CSI 800 index, which had a cumulative return of 169.89% [5][30]. - The equal-weighted strategy had an annualized volatility of 13.67% and an information ratio of 1.19 [13]. Market Capitalization-Weighted Portfolio Performance - The market capitalization-weighted portfolio recorded a cumulative return of 2330.56% and an annualized return of 21.02%, also outperforming the CSI 800 index [15]. - The market capitalization-weighted strategy had an annualized volatility of 13.86% and an information ratio of 1.00 [22]. Portfolio Holding Characteristics - On average, each portfolio iteration consisted of approximately 55 stocks, with an average market capitalization of around 14 billion [26][30]. - The most frequently selected sectors included pharmaceuticals, chemicals, electronics, machinery, and food and beverage, while sectors like leisure services and defense had fewer selections [26][30].

Core Insights - The A-share IPO market has shown signs of recovery in the first eight months of this year, with the number of IPOs and the total financing amount increasing significantly compared to the same period last year [1][3]. Group 1: IPO Quantity and Financing - A total of 67 new IPOs were recorded in the A-share market from January to August, an increase of 8 compared to the same period last year [1]. - The total amount raised through IPOs reached 656.13 billion yuan, representing a year-on-year growth of 55.30% [1]. - The financing amounts from different boards include 342.33 billion yuan from the Shanghai main board, 148.87 billion yuan from the ChiNext, and 81.17 billion yuan from the Sci-Tech Innovation Board [2]. Group 2: Industry Distribution - The majority of IPOs in the first eight months came from industries such as new energy, electronics, automotive, and power equipment, with emerging industries accounting for 90% of the total [1]. - The top three industries in terms of fundraising were new energy (181.71 billion yuan), electronics (114.65 billion yuan), and automotive (112.88 billion yuan) [1]. Group 3: Regional Distribution - Jiangsu province led with 17 new listings, followed by Guangdong with 13 and Zhejiang with 12 [1]. - Suzhou city had the highest number of IPOs at 6, while Shenzhen and Hangzhou each had 4 [1]. Group 4: Notable IPOs - 40 companies raised over 500 million yuan through their IPOs, with 21 raising over 700 million yuan and 11 exceeding 1 billion yuan [2]. - The top three IPOs by fundraising were Huadian New Energy (181.71 billion yuan), Zhongce Rubber (40.66 billion yuan), and Tianyouwei (37.40 billion yuan) [2][3]. Group 5: North Exchange Trends - The North Exchange saw a significant increase in both the number of IPOs (12) and the total financing amount (39.98 billion yuan) [4]. - Many companies that initially aimed for the Shanghai and Shenzhen exchanges are now opting for the North Exchange, indicating a preference for greater listing certainty [4][6]. - The quality of projects being reviewed at the North Exchange has improved, with many companies meeting or exceeding the profit thresholds required for the ChiNext and main boards [4][5].

8月18日，上证指数在盘中越过3745点，突破2021年9月13日的高点，刷新近十年以来新高。A股市值总和突破100万亿元，创历史新高，这也是A股历史上 首次突破100万亿元大关。 8月22日，沪指站上3800点。截至收盘，上证指数上涨1.45%、收于3825.76点，创业板指涨3.36%。全市场超2800只个股上涨，沪深两市成交额超2.55万亿 元。 实际上，进入2025年，上证指数的表现可以说得上是"可圈可点"。从年初至今（8月22日）上涨了14.14%，叠加2024年12.67%的涨幅，一举突破2021年"牛 市"的高点。但是，对于相当一部分投资者来说，"指数涨但很多股票不涨"，上证指数又回到了3800点以上，但是他们的股票账户却还没有回到2021年9 月。 自上一轮高点至本轮上证指数重返3800点，主要是少数权重蓝筹板块支撑，市场并没有形成普涨行情。在银行保险、高股息板块等少数权重股上涨的同 时，大量题材股和成长股却在下跌，而很多投资者持有的是题材股和成长股，从而导致"指数涨了，但账户没赚钱"的现象。 一、为什么"指数涨但很多股票不涨"？ | 证券简称 | 2025-1-1 == | 2024-1-1 ...

数据显示，截至2025年8月29日，中证500质量成长指数(930939)前十大权重股分别为东吴证券(601555)、华工科技(000988)、恺英网络(002517)、水晶光电 (002273)、恒玄科技(688608)、春风动力(603129)、天山铝业(002532)、长江证券(000783)、顺络电子(002138)、金诚信(603979)，前十大权重股合计占比 21.48%。 | 股票代码 | 股票简称 | 涨跌幅 | 权重 | | --- | --- | --- | --- | | 601552 | 东吴证券 | -1.78% | 2.70% | | 002517 | 恺英网络 | -5.46% | 2.46% | | 688608 | 恒玄科技 | -2.15% | 2.12% | | 000988 | 华工科技 | 8.59% | 2.11% | | 688617 | 惠泰医疗 | 6.93% | 1.99% | | 603129 | 春风动力 | 1.77% | 1.88% | | 002273 | 水晶光电 | -2.59% | 1.87% | | 002532 | 天山铝业 | -1.0 ...

Core Insights - The social security fund has invested in 525 stocks by the end of Q2, with 46 stocks held for over 20 consecutive quarters, indicating a long-term investment strategy [1][2] Group 1: Investment Holdings - The longest-held stock by the social security fund is Hualu Hengsheng, held for 51 quarters since Q4 2012, with a total holding of 133 million shares, accounting for 6.26% of the circulating shares [1][3] - Among the 46 stocks held for over 5 years, the top holdings by quantity are Changshu Bank (206 million shares), Nanshan Aluminum (160 million shares), and Sun Paper (151 million shares) [2][3] - The stocks with the highest holding ratios include Keri International (6.30%), Hualu Hengsheng (6.26%), and Changshu Bank (6.23%) [2] Group 2: Changes in Holdings - In Q2, 15 of the 46 stocks saw an increase in holdings, with significant increases for Three Squirrels (283.29%), Hongfa Co. (76.77%), and Hangyang Co. (42.03%) [2][3] - Conversely, 17 stocks experienced a decrease in holdings, with the largest reductions for Zhongqi Co. (-50.14%), Lingxiao Pump Industry (-46.47%), and Zhongyuan Media (-44.50%) [2][3] Group 3: Industry Performance - Among the 46 stocks, 29 reported a year-on-year increase in net profit, with notable growth from Zhongsheng Pharmaceutical (114.96%), China Jushi (75.51%), and Jieput (73.84%) [3][4] - 16 stocks reported a decline in net profit, with the largest decreases from Zhongqi Co. (-240.99%), Sanyou Chemical (-77.64%), and Three Squirrels (-52.22%) [3][4] Group 4: Sector Distribution - The 46 stocks are concentrated in the basic chemical, electronics, and automotive sectors, with 8, 4, and 4 stocks respectively [2][3] - The majority of these stocks are listed on the main board (30 stocks), followed by the ChiNext board (14 stocks) and the Sci-Tech Innovation board (2 stocks) [2]

Group 1 - Alibaba-W shares surged over 17% on September 1, with other Hong Kong stocks in the pharmaceutical, internet, and chip sectors also rising, including WuXi AppTec and BYD Electronics [1] - The Hong Kong Technology 50 ETF (159750) increased by 1.83%, with a real-time transaction volume of 71.52 million CNY and a net subscription of 11 million units during the morning session [2][10] - The top three weighted stocks in the Hong Kong Technology 50 ETF are Tencent Holdings, Alibaba-W, and Xiaomi Group, accounting for over 30% of the index [2][3] Group 2 - Alibaba is developing a new AI chip that is currently in the testing phase, aimed at broader AI inference tasks and compatible with NVIDIA's architecture [4] - Alibaba's Q1 FY2026 financial report showed revenue of 247.65 billion CNY, a 10% year-on-year increase after excluding sold businesses, and a net profit of 42.38 billion CNY, up 76% year-on-year [5] - The company invested 38.6 billion CNY in AI and cloud infrastructure during the quarter, a 220% increase year-on-year, with AI applications driving a 26% increase in Alibaba Cloud revenue, the highest growth in three years [5] Group 3 - Southbound funds have significantly increased, with a net purchase of 112.16 billion HKD in August, bringing the total net inflow for the year to 978.998 billion HKD, surpassing last year's total [6] - Foreign capital is also entering the Chinese market rapidly, with hedge funds buying Chinese stocks at the fastest pace since June [6] - Several institutions are optimistic about the Hong Kong stock market's future performance, expecting a rebound driven by domestic growth policies and the AI industry [7] Group 4 - The CSI Hong Kong Technology Index has increased nearly 33% year-to-date, while the Hang Seng Technology Index has risen by 27% [8] - The CSI Hong Kong Technology Index focuses on large-cap technology companies with high R&D investment and revenue growth, providing a balanced industry distribution [9]

- The report discusses the "Volume Timing Signal" model, which is used to gauge market sentiment based on trading volume. The model's construction involves analyzing the volume of trades to determine whether the market sentiment is optimistic or cautious. As of August 29, 2025, the volume timing signals for the CSI 1000, ChiNext Index, and Beijing 50 Index are cautious, while other major broad-based indices show optimistic signals[26][27] - The "Number of Rising Stocks in CSI 300" sentiment indicator is another model mentioned in the report. This model calculates the proportion of stocks in the CSI 300 index that have positive returns over a given period. The formula is: $$ \text{Proportion of Rising Stocks in CSI 300 over N days} = \frac{\text{Number of CSI 300 stocks with positive returns over N days}}{\text{Total number of CSI 300 stocks}} $$ This indicator helps capture market sentiment by identifying periods when a majority of stocks are performing well, which often indicates market optimism. The recent value of this indicator is around 94%[27][28][30] - The "Moving Average Sentiment Indicator" is also discussed. This model uses the eight moving averages of the CSI 300 index to determine market trends. The moving averages used are 8, 13, 21, 34, 55, 89, 144, and 233 days. The model assigns values based on the number of moving averages that the current price exceeds. If the current price exceeds more than five moving averages, the market sentiment is considered optimistic. The formula for the moving average sentiment indicator is: $$ \text{Number of Moving Averages Exceeded by Current Price} $$ The recent analysis shows that the CSI 300 index is in an optimistic sentiment zone[35][36][37] - The "Cross-sectional Volatility" factor is used to measure the dispersion of stock returns within an index. Higher cross-sectional volatility indicates a better environment for alpha generation. The recent values for cross-sectional volatility are: - CSI 300: 1.76% - CSI 500: 1.91% - CSI 1000: 2.23% These values suggest that the short-term alpha environment is improving[41][43] - The "Time-series Volatility" factor measures the volatility of individual stock returns over time. Higher time-series volatility also indicates a better environment for alpha generation. The recent values for time-series volatility are: - CSI 300: 0.53% - CSI 500: 0.38% - CSI 1000: 0.22% These values suggest that the short-term alpha environment is improving[44][46] Model and Factor Performance Metrics - Volume Timing Signal: - CSI 1000: Cautious - ChiNext Index: Cautious - Beijing 50 Index: Cautious - Other major indices: Optimistic[26][27] - Number of Rising Stocks in CSI 300: - Recent value: 94%[27][28][30] - Moving Average Sentiment Indicator: - Recent sentiment: Optimistic[35][36][37] - Cross-sectional Volatility: - CSI 300: 1.76% - CSI 500: 1.91% - CSI 1000: 2.23%[41][43] - Time-series Volatility: - CSI 300: 0.53% - CSI 500: 0.38% - CSI 1000: 0.22%[44][46]

Market Overview - The Shanghai Composite Index rose by 0.84% to close at 3857.93 points, with a peak of 3888.6 points during the week from August 25 to August 29 [1] - The Shenzhen Component Index increased by 4.36% to 12696.15 points, reaching a high of 12791.18 points [1] - The ChiNext Index saw a significant rise of 7.74%, closing at 2890.13 points, with a maximum of 2933.99 points [1] - In contrast, major global indices experienced declines, with the Nasdaq Composite down by 0.19%, the Dow Jones Industrial Average down by 0.19%, and the S&P 500 down by 0.1% [1] - In the Asia-Pacific region, the Hang Seng Index fell by 1.03%, while the Nikkei 225 Index increased by 0.2% [1] New Stock Issuance - Two new stocks were issued last week: Huaxin Jingke (603370.SH) on August 25 and Sanxie Electric (920100.BJ) on August 26 [2] Margin Trading - The total margin trading balance in the Shanghai and Shenzhen markets reached 22539.77 billion yuan, with a financing balance of 22381.01 billion yuan and a securities lending balance of 158.77 billion yuan [3] - This represents an increase of 1062.47 billion yuan compared to the previous week [3] - The Shanghai market's margin trading balance was 11519.36 billion yuan, up by 570.99 billion yuan, while the Shenzhen market's balance was 11020.41 billion yuan, increasing by 491.48 billion yuan [3] - A total of 3445 stocks had margin buying, with 331 stocks having buying amounts exceeding 1 billion yuan, led by Dongfang Caifu, Shenghong Technology, and Hanwujing with buying amounts of 226.77 billion yuan, 197.72 billion yuan, and 175.57 billion yuan respectively [3][4] Fund Issuance - Eleven new funds were launched last week, including Huashang Advantage Industry Mixed C, Jingshun Longcheng Jiyi Yuli Bond F, and Nuoan Preferred Return Mixed C among others [5] Share Buybacks - A total of 23 companies announced share buybacks last week, with the highest amounts executed by Dahua Intelligent (97.33 million yuan), Aofei Entertainment (80.80 million yuan), and Luxi Chemical (37.78 million yuan) [6][7] - The industries with the highest buyback amounts were computer, media, and basic chemicals [7]

Group 1 - The core viewpoint of the report emphasizes that the revenue growth of the A-share market has turned positive, while profit growth has slowed down in the first half of 2025 compared to Q1 [2][12] - The revenue growth rate for the entire A-share market in H1 2025 is 0.04%, an improvement from -0.15% in Q1, while the net profit growth rate has decreased to 2.40% from 4.02% in Q1 [2][12] - The report identifies a "dual-driven" market structure, highlighting strong resilience in growth categories under global technological collaboration and a cyclical recovery in PPI under the "anti-involution" trend [3][12] Group 2 - The report categorizes industries based on profit growth levels, identifying high-growth sectors primarily in technology manufacturing, with consumer and cyclical sectors showing divergence [19] - Expanding high-growth industries include technology manufacturing (electronics, machinery), consumer (home appliances), cyclical (non-ferrous metals), and large financials (non-bank financials) [19][20] - Industries that have shown significant improvement from negative profit growth in Q1 to H1 include electric equipment, defense, and biomedicine [20] Group 3 - The competitive landscape indicates that profit distribution in the A-share market is increasingly concentrated among leading companies, with a notable positive correlation between profit growth and market capitalization [21][22] - The median net profit growth rates for companies with market caps above 200 billion, 100-200 billion, 50-100 billion, and below 50 billion are 9.2%, 5.5%, 1.7%, and -3.4% respectively, showing a clear decreasing trend [21][22] - Industries with high growth and relatively balanced growth rates include non-bank financials, basic chemicals, and steel, while industries like electronics and agriculture show significant growth divergence [22][23]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250901 从微观出发的五维行业轮动月度跟踪 202509 2025 年 09 月 01 日 [Table_Tag] [Table_Summary] 报告要点 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 《从微观出发的五维行业轮动 月度跟踪 202508 2025-08-01 东吴证券研究所 1 / 9 请务必阅读正文之后的免责声明部分 ◼ 模型多空对冲绩效：以 2015/01/01-2025/08/31 为回测区间，五维行业轮 动模型在申万一级行业中，六分组多空对冲的年化收益率为 21.44%，年 化波动率为 10.84%，信息比率为 1.98，月度胜率为 71.95%，历史最大 回撤为 13.30%；多头对冲全市场行业等权组合的年化收益率为 10.52%， 年化波动率为 6.58%，信息比率为 1.60，月度胜率 70.49%，历史最大回 撤为 9.36%。 ◼ ...