1. Report Industry Investment Rating The report does not explicitly mention the overall industry investment rating. 2. Core Viewpoints - The analysts are optimistic about the equity market in February with a balanced style, while the bond market has an increased risk of adjustment [2][7]. - The marginal expansion of the real - sector balance sheet in February is highly certain, and the probability of a significant tightening of the capital market is low [2]. - In the context of the marginal convergence of the national balance sheet, the top - down subjective allocation strategy focusing on position selection and style analysis will gain more attention and favor from the market [22]. 3. Summary by Directory 3.1 National Asset - Liability Sheet Analysis - **Liability Side**: In December 2025, the real - sector liability growth rate was 8.4% (previous value 8.6%). It is expected to drop to around 8.3% in January 2026, rebound slightly in February, and decline in March. The capital market tightened marginally last week. There is a risk of significant tightening in February, but the probability is not high [2][17]. - **Fiscal Policy**: The net increase of government bonds last week was 235.3 billion yuan (higher than the planned 141.3 billion yuan), and the planned net increase next week is 721.4 billion yuan. The government liability growth rate at the end of December 2025 was 12.4% (previous value 13.1%), expected to rebound to around 12.6% in January 2026 and likely decline in February [3][18]. - **Monetary Policy**: Last week, the average weekly trading volume of funds decreased, the price increased, and the term spread narrowed. The one - year Treasury bond yield ended at 1.30% on the weekend. It is estimated that the lower limit of the one - year Treasury bond yield is about 1.3%, with a central value around 1.4%, and there may be a 10 - basis - point interest rate cut in 2026. The term spread between the ten - year and one - year Treasury bonds narrowed to 51 basis points [3][18]. - **Asset Side**: The physical quantity data in December 2025 continued to run smoothly compared to November. The full - year real economic growth target in 2025 was around 5%, and the nominal economic growth target was around 4.9%. It needs further observation whether 5% will be the central target for China's nominal economic growth in the next 1 - 2 years [4][19]. 3.2 Stock - Bond Cost - effectiveness and Stock - Bond Style - Since 2011, China has been in a downward cycle of potential economic growth, which may have ended in Q4 2024, followed by a low - level narrow - range oscillation in the profit cycle. The government put forward three policy goals in 2016: stabilizing the macro - leverage ratio, financial institutions benefiting the real economy, and "housing is for living in, not for speculation." Currently, the convergence of the liability side has not ended, but the space is limited [6][20]. - Last week, the capital market tightened marginally, the overall equity market declined, but value stocks strengthened. The long - end bond yield decreased slightly, and the short - end increased. The stock - bond cost - effectiveness slightly favored bonds. The ten - year Treasury bond yield decreased by 2 basis points to 1.81%, the one - year increased by 2 basis points to 1.30%, and the 30 - year remained stable at 2.29% [7][21]. - In February, the analysts are optimistic about the equity market with a balanced style and believe that the bond market has little investment value. They recommend a 50% position in the Shanghai Composite 50 Index and a 50% position in the China Securities 1000 Index [7][22]. 3.3 Industry Recommendation 3.3.1 Industry Performance Review - This week, the A - share market declined with increased trading volume. The Shanghai Composite Index fell 0.44%, the Shenzhen Component Index fell 1.62%, and the ChiNext Index fell 0.09%. Among the Shenwan primary industries, petroleum and petrochemicals, communication, coal, non - ferrous metals, and agriculture, forestry, animal husbandry, and fishery had the largest increases, while national defense and military industry, power equipment, automobiles, computers, and comprehensive industries had the largest declines [30]. 3.3.2 Industry Crowding - out and Trading Volume - As of January 30, the top five crowded industries were electronics, non - ferrous metals, power equipment, machinery, and communication, with crowding - out degrees of 15.9%, 10.3%, 9%, 6.4%, and 6.2% respectively. The bottom five were comprehensive, beauty care, social services, environmental protection, and steel, with 0.1%, 0.2%, 0.7%, 0.8%, and 0.9% respectively [31]. - This week, the top five industries with increased crowding - out were non - ferrous metals, agriculture, forestry, animal husbandry, and fishery, food and beverage, media, and communication. The top five with decreased crowding - out were power equipment, national defense and military industry, electronics, automobiles, and machinery [31]. - As of January 30, non - ferrous metals, petroleum and petrochemicals, communication, national defense and military industry, and electronics had relatively high crowding - out quantiles since 2018, while pharmaceutical biology, transportation, light industry manufacturing, beauty care, and non - bank finance had relatively low quantiles [31]. - The average daily trading volume of the entire A - share market this week was 3.06 trillion yuan, up from 2.8 trillion yuan last week. Petroleum and petrochemicals, agriculture, forestry, animal husbandry, and fishery, coal, non - ferrous metals, and non - bank finance had the highest year - on - year growth rates in trading volume, while national defense and military industry, automobiles, household appliances, commercial retail, and power equipment had the largest declines [33]. 3.3.3 Industry Valuation and Earnings - This week, among the Shenwan primary industries, the PE(TTM) of petroleum and petrochemicals, communication, coal, non - ferrous metals, and food and beverage had the largest increases, while national defense and military industry, power equipment, computers, automobiles, and comprehensive industries had the largest declines [37]. - As of January 30, 2026, industries with high full - year 2024 earnings forecasts and relatively low current valuations compared to history include banks, insurance, power, public utilities, transportation, pharmaceutical biology, beauty care, new energy, and consumer electronics [38]. 3.3.4 Industry Prosperity - **External Demand**: It showed mixed trends. The global manufacturing PMI dropped from 50.5 in December to 50.4, and most of the disclosed PMI data of economies in January increased. The CCFI index fell 2.74% week - on - week. Port cargo throughput declined. South Korea's export growth rate rose to 13.4% in December and 33.9% in January. Vietnam's export growth rate rose from 15.8% in November to 23.9% in December [42]. - **Domestic Demand**: The second - hand housing price increased last week, and quantity indicators showed mixed trends. Highway truck traffic declined. The capacity utilization rate of ten industries declined from September to October 2025, increased from November to December, and slightly declined in January. Automobile sales were weaker than the historical seasonality, new - home sales remained at the historical low, and second - hand home sales were stronger than the historical seasonality [42]. 3.3.5 Public Fund Market Review - In the fourth week of January (January 26 - 30), most active public equity funds underperformed the CSI 300. The 10%, 20%, 30%, and 50% quantiles of weekly returns were 2.3%, 1.1%, 0.4%, and - 0.6% respectively, while the CSI 300 rose 0.08% [59]. - As of January 30, the net asset value of active public equity funds was estimated to be 4.04 trillion yuan, up from 3.66 trillion yuan in Q4 2024 [59]. 3.3.6 Industry Recommendation - In the de - leveraging cycle, the stock - bond cost - effectiveness favors equities to a limited extent, and value stocks are more likely to be dominant. The recommended A + H dividend portfolio includes 13 stocks, and the A - share portfolio includes 20 stocks, mainly in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [62].

Report Industry Investment Rating - The investment rating for stock index futures is "oscillation" [1] Core Viewpoint of the Report - The A-share market is expected to experience a short - term correction, while the mid - term performance depends on economic and policy efforts. A long - term and stable bull market also requires fundamental support [2][10] Summary by Directory 1. One - week View and Overview of Macro Key Events - **Next - week View**: The stock market faces short - term adjustment pressure. The recent sharp correction will calm the market, and the weakening PMI in January indicates that the domestic economic recovery is still full of twists and turns [10] - **This - week Key Events**: - On January 26, Premier Li Qiang held a symposium to listen to opinions on the "Government Work Report" [11] - On January 27, it was announced that the industrial enterprise profits in December 2025 increased by 5.3% year - on - year [12] - On January 29, Chinese leaders met with the British Prime Minister, and both sides agreed to develop a long - term and stable comprehensive strategic partnership [13][14] - On January 29, the State Council issued a plan to cultivate new growth points in service consumption [15] - On January 30, it was reported that in December 2025, China had a goods trade surplus of 853.3 billion yuan and a service trade deficit of 96.6 billion yuan [16] 2. One - week Market Quotes Overview - **Global Stock Market Weekly Overview**: From January 26 to January 30, the global stock market denominated in US dollars rose. The MSCI Global Index rose 0.65%, with emerging markets (+1.80%) > developed markets (+0.50%) > frontier markets (-0.13%). The South Korean stock market rose 8.0%, while the Canadian stock market fell 2.03% [17] - **Chinese Stock Market Weekly Overview**: From January 26 to January 30, Chinese equities declined. In terms of different markets, Hong Kong stocks > A - shares > Chinese concept stocks. The average daily trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 3.0636 trillion yuan, a decrease of 264.4 billion yuan compared with last week. Most of the A - share broad - based indexes fell, with the Shanghai 50 Index rising 1.13% and the Beijing Stock Exchange 50 Index falling 3.59% [20] - **Weekly Overview of GICS Primary Industries in Chinese and Foreign Stock Markets**: Most of the global GICS primary industries rose this week, with the energy industry leading (+4.16%) and the optional consumption industry having the largest decline (-1.33%). In the Chinese market, the energy industry had the largest increase (+6.42%), and the optional consumption industry lagged (-4.21%) [23] - **Weekly Overview of China A - share CITIC Primary Industries**: Among the A - share CITIC primary industries, 10 rose (20 last week) and 20 fell (10 last week). The petroleum and petrochemical industry had the largest increase (+6.92%), and the national defense and military industry had the largest decline (-7.60%) [24] - **Weekly Overview of China A - share Styles**: The large - cap value style outperformed this week [29] - **Overview of Index Futures Basis**: Information about the basis of IH, IF, IC, and IM in the past 6 months is provided [30][33] 3. Overview of Index Valuation and Earnings Forecast - **Broad - based Index Valuation**: The report provides the PE and PB of various broad - based indexes this week, their eight - year percentile, and the changes compared with the beginning of the year [40] - **Primary Industry Valuation**: The report provides the PE and PB of various primary industries this week, their eight - year percentile, and the changes compared with the beginning of the year [41] - **Broad - based Index Equity Risk Premium**: The ERP of the CSI 300 decreased slightly this week, while the ERP of the CSI 500 and CSI 1000 increased slightly [42][47] - **Consensus Earnings Growth Rate of Broad - based Indexes**: The expected earnings growth rate of the CSI 300 in 2025 was raised to 8.35%, and in 2026 to 9.63%; the expected earnings growth rate of the CSI 500 in 2025 was lowered to 25.66%, and in 2026 was raised to 23.00%; the expected earnings growth rate of the CSI 1000 in 2025 was lowered to 27.37%, and in 2026 was raised to 24.03% [48] 4. Liquidity and Capital Flow Tracking - **Interest Rates and Exchange Rates**: This week, the 10 - year Treasury yield declined, the 1 - year yield rose, and the spread narrowed. The US dollar index was 97.1, and the offshore RMB exchange rate was 6.96 [57] - **Trading - type Capital Tracking**: The average daily trading volume of northbound funds increased by 50.6 billion yuan compared with last week, and the margin trading balance increased by 14.7 billion yuan [56] - **Tracking of Funds Flowing in through ETFs**: The share of ETFs tracking the CSI 300 decreased by 51.8 billion shares, the share of ETFs tracking the CSI 500 decreased by 51.8 billion shares, the share of ETFs tracking the CSI 1000 decreased by 13.2 billion shares, and the share of ETFs tracking the CSI A500 decreased by 3.2 billion shares [61][65] 5. Tracking of Domestic Macro High - frequency Data - **Supply Side**: The tire operating rate recovered after the Spring Festival [67] - **Consumption Side**: The second - hand housing transactions increased seasonally [73] - **Inflation Observation**: The prices of production materials declined, while the prices of agricultural products rebounded [83]

Investment Rating - The industry rating is "Overweight," indicating an expected increase of over 10% relative to the benchmark index in the next 6 to 12 months [16]. Core Insights - The market is currently in an upward trend, with the core observation being whether the profit-making effect is positive. The market trend line is near 6800 points, and the profit-making effect is at the zero value edge, suggesting the potential for a halt in the upward trend [5][8]. - The short-term outlook indicates continued outflows from broad-based ETFs, particularly the CSI 300 ETF, which is exerting pressure on the index. A significant drop in non-ferrous metals has also dampened short-term risk appetite [7][8]. - The industry trend configuration model suggests waiting for reversal signals in the liquor and real estate sectors, while the TWO BETA model continues to recommend the technology sector, focusing on rebound opportunities in commercial aerospace [6][8]. Summary by Sections Market Overview - The WIND All A index is in an upward trend, with a significant distance of 6.77% between the short-term (20-day) and long-term (120-day) moving averages, indicating a continued upward trend [5][9]. - The market experienced a decline of 1.59% last week, with small-cap stocks (CSI 1000) down 2.55% and mid-cap stocks (CSI 500) down 2.56%. The CSI 300 saw a slight increase of 0.08%, while the SSE 50 rose by 1.13% [2][7]. Valuation Metrics - The PE ratio of the WIND All A index is at the 90th percentile, indicating a high valuation level, while the PB ratio is at the 50th percentile, suggesting a moderate valuation level [9][11]. Positioning Recommendations - The report recommends a 70% allocation to absolute return products based on the WIND All A index, reflecting a cautious but optimistic stance on market conditions [9][10]. - The performance trend model highlights the importance of focusing on the computing power-related industry chain and suggests waiting for significant volume reductions in high-performing cyclical sectors such as industrial non-ferrous metals and chemicals [6][14].

（3）具体方向上，一方面，资金长期聚焦的科技方向或依然是重点，对于算力 AI、 机器人、商业航天等具备事件持续迭代催化且长期发展空间巨大的新质生产力主题 产业链，持续保持关注并积极寻找具备业绩支撑的标的，适度配合高低切；另一方 面，对于人气阶段性关注但近期表现较为平抑的主题行业，或可把握节奏适度轮动 布局，包括创新药、新消费、新型能源等。 （4）本周可能即将上市的新股：世盟股份、北芯生命等。 上周新股表现： （1）新股发行表现：上周，共有 3 只新股网上申购；其中，2 只为科创板、1 只为 主板。从上周网上申购的新股情况来看，平均发行市盈率为 37.7X。 （2）上周上市新股表现：假设将上周上市的沪深新股收益表现拆解为打新收益和 二级市场开板后的上涨收益，1）首先，打新收益来看，上周沪深新股上市首日平 均涨幅约 212.2%，比较本月此前交易周沪深新股首日涨幅，总体基本维持在 200% 左右相对活跃区间，可能新股首日交投情绪较为稳定。具体来看，科创板上市公司 恒运昌首日涨幅超过 300%，首日表现明显更为活跃；预计或与其发行市值相对较 低且所属行业主题为人气热度更高的半导体设备有关。2）其次，从二级市场投资 ...

证券研究报告/金融工程定期报告 2026 年 02 月 01 日 分析师：吴先兴 执业证书编号：S0740525110003 Email：wuxx02@zts.com.cn 量化择时周报：趋势指标进入边缘位置，由重仓位到重结构 分析师：王鹏飞 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 1、《量化择时周报：牛市格局仍在延 续，主题投资重回主线》2026-01-25 2、《沪深 300 增强策略本周超额收益 3.90%》2026-01-25 3、《净利润断层策略本周绝对收益 1.99%》2026-01-18 报告摘要 趋势指标进入边缘位置，由重仓位到重结构 请务必阅读正文之后的重要声明部分 相关报告 上周周报（20260125）认为：尽管 ETF 份额的持续下降，对市场有短线压力，但在 每日近 3 万亿金额的成交下，预计影响也较为有限，市场上行趋势仍将延续。最终 WIND 全 A 在 ETF 份额持续下降的影响和周五周期股大幅回调的影响下，全周下跌 1.59%。市值维度上，上周代表小市值股票的中证 1000 下跌 2.55%，中盘股中证 500 指数下跌 2.56 ...

转自：新华财经 本周回顾 • 股票市场 本周（1月26日至1月30日）A股市场主要宽基指数悉数下跌。其中，上证指数周度下跌0.44%，深证成指周度下跌1.62%，创业板指周度下跌0.09%，新华500 指数周度下跌0.57%。新华500指数本周波动加大，开盘报5354.57点，至1月30日收盘报5306.68点，全周振幅3.01%，成交额为5.11万亿元。 大宗商品方面，在1月的最后一个交易周，贵金属市场走出罕见极端行情，黄金一路突破数道整百关口逼近5600美元／盎司，白银一度将历史新高刷新至120 美元／盎司上方，但随后双双迎来大反转。 现货黄金盘中一度跌破每盎司4700美元，收盘下跌9.6%，回到4860美元附近。现货白银价格盘中更是一度大跌超过30%，收盘则回到每盎司85美元附近。尽 管如此，COMEX黄金期货主力合约1月仍录得13%的涨幅，COMEX白银月度涨幅则超过20%。 国际油价连续四个交易日上涨，创下2022年以来的最大单月涨幅，布伦特原油本周一度重回70美元／桶。WTI原油全周累计上涨7.65%，1月累计涨幅达 14.49%；ICE布油累计涨幅为7.32%，1月累计涨幅为14.76%。 | ...

[Table_Title] 政策保驾护航，中长线资金入市仍是大趋势 证券研究报告|投资策略周报 [Table_Date] 2026 年 02 月 01 日 ·行业配置上，建议关注：1）高景气科技主线：如 AI 算力链、机器人、存储、储能等；2）逢低布局涨价相关周 期品种，如化工、有色等；3）受益于 AI 应用产业趋势方向，如港股互联网。 风险提示：全球经济超预期波动、政策效果不及预期、海外流动性风险，地缘政治风险等。 | 分析师：李立峰 | 分析师：张海燕 | | --- | --- | | 邮箱：lilf@hx168.com.cn | 邮箱：zhanghy5@hx168.com.cn | | SAC NO：S1120520090003 | SAC NO：S1120521040002 | 请仔细阅读在本报告尾部的重要法律声明 [Table_Title2] 投资策略周报 [Table_Summary] ·市场回顾：本周 A 股主要指数分化，红利指数和上证 50 涨幅居前，北证 50、中证 2000 和科创 50 指领跌。资金 面上，市场日均成交额维持在 3 万亿元附近，显示投资者风险偏好高位运行。一级行业中，石 ...

证券研究报告 | 固定收益 gszqdatemark 2026 01 31 年 月 日 固定收益点评 固收+继续扩张，增配科技化工——25Q4 基金转债持仓分析 2025Q4 公募基金持有转债规模占转债总市值的 57.74%，环比下降 4.08pcts，仓位小幅下降 0.05pcts。截止 2025Q4，转债市场存量余额 5338.90 亿元，环比 25Q3 增加 4.30%。权益势强背景下，固收+配置需 求仍在，转债存量规模略有增加，但机构持有转债比重略有下降。2025Q4 公募基金持有转债市值 3082.51 亿元，占转债总市值的 57.74%，较三季 度减少 4.08pcts；公募基金持有转债仓位为 0.76%，环比下降 0.05pcts。 二级债基、一级债基加仓转债。从结构上看，持有转债较多的基金类型为 债券型基金中的二级债基（ 36.41%）、可转债基金 36.29%）和债券型基 金中的一级债基 21.90%）、偏债混合型基金（ 3.30%）、灵活配置型基金 2.10%）。受基金产品定位与市场策略分化影响，环比 25Q3，二级债基 转债市值增加 39.63 亿元 3.72%，表示转债持有比重增加 3 ...

Quantitative Models and Construction Methods 1. Model Name: Convolutional Neural Network (CNN) for Price-Volume Data Modeling - **Model Construction Idea**: The model leverages convolutional neural networks to analyze standardized graphical representations of price-volume data, aiming to predict future price trends and map learned features to industry thematic indices[79][81] - **Model Construction Process**: - Standardize price-volume data into graphical formats for each stock within a specific time window[79] - Apply convolutional neural networks to extract features from these graphical representations[79] - Map the extracted features to thematic industry indices, such as the CSI Petrochemical Industry Index, CSI Subdivision Chemical Industry Theme Index, and others[81] - **Model Evaluation**: The model effectively identifies industry themes based on price-volume data and provides actionable insights for sector allocation[79][81] --- Model Backtesting Results 1. CNN Model - **Thematic Indices Configured**: - CSI Petrochemical Industry Index (h11057.CSI)[81] - CSI Subdivision Chemical Industry Theme Index (000813.CSI)[81] - CNI Oil & Gas Index (399439.SZ)[81] - CSI Oil & Gas Resources Index (931248.CSI)[81] - CNI Nonferrous Metals Index (399395.SZ)[81]

Group 1 - The underlying logic of the non-ferrous metals, liquor, and large refining sectors is interconnected, driven by the anticipated liquidity from the Federal Reserve's QE in 2026, which is expected to enhance the super cycle of commodities [1][10] - The current investment in the large refining sector is likened to the investment in non-ferrous metals last year, with expectations of a significant price increase in oil and chemical products by 2026, following the patterns observed in the non-ferrous sector [2][14] - The "anti-involution" trend in China is contributing to the upward momentum in the large refining sector, as capital expenditure is being restrained, leading to a significant slowdown in new capacity additions and a clearing of inventories, which supports future price elasticity [3][16] Group 2 - The large refining sector is still at a low valuation level, with significant room for valuation recovery compared to the non-ferrous sector, which has already experienced a systematic valuation increase [4][21] - Recent inflows from public funds, foreign investments, and ETFs into the large refining sector indicate a timely opportunity for investment, as the sector is positioned for a major upward trend [6][27] - The upcoming Federal Reserve QE in 2026 is expected to create a favorable environment for the large refining sector, alongside the anticipated recovery in consumer demand and high-end manufacturing sectors [7][37]