国都香港研究部 电话：852-34180288 网址：www.guodu.com.hk 每日投资策略 · 2025 年 7 月 31 日 国都港股操作导航 | 海外市场重要指数 | 收市 | 幅度 | | --- | --- | --- | | 道琼斯工业指数 | 44,461.28 | -0.38% | | 标普 500 指数 | 6,362.9 | -0.12% | | 纳斯达克综合指数 | 21,129.67 | 0.15% | | 英国富时 100 指数 | 9,136.94 | 0.01% | | 德国 DAX 指数 | 24,262.22 | 0.19% | | 日经 225 指数 | 40,829.55 | 0.43% | | 台湾加权指数 | 23,461.72 | 1.12% | | 内地股市 | | | | 上证指数 | 3,615.72 | 0.17% | | 深证成指 | 11,203.03 | -0.77% | | 香港股市 | | | | 恒生指数 | 25,176.93 | -1.36% | | 国企指数 | 9,038.27 | -1.18% | | 红筹指数 | 4,349. ...

证券研究报告 | 宏观点评报告 2025 年 07 月 31 日 美股似乎开始计入 9 月不降息预期 —7 月美联储议息会议点评 频率：每月 事件：当地时间 2025 年 7 月 30 日，美联储召开议息会议，维持联邦基金目标 利率区 4.25%-4.50%不变，缩表节奏保持不变。 鲍威尔仍担忧滞胀风险，意味着只要通胀缺口高于就业缺口美联储就难以降 息。6 月美联储对滞胀风险给出前瞻判断，7 月延续这一基调，鲍威尔对 "胀"的担忧明显高于对"滞"的担忧，最重要的表述是"当前通胀高于目标 水平，就业处于目标水平，因此政策应保持适度限制性"。鲍威尔需要确认的 是关税通胀冲击完全反映。 那么，何时才能看到这一时刻？警惕关税通胀冲击"Slower for Longer"的风 险。截至 5 月，美国对外实际关税税率约 9.6%，略低于名义有效关税税率 11.0%，这与关税执行效率和在途运输有关。8 月 1 日美国对全球对等关税新 税率生效后美国对全球实际关税税率或升至约 15%~16%，若考虑铜、半导 体、药品等关税影响则实际关税税率或升至约 18%~19%。也就是说，实际有 效关税税率还有中性 5~6%、悲观 9~1 ...

Market Overview - The three major indices opened mixed, with the Shanghai Composite Index down 0.30%, the Shenzhen Component Index up 0.05%, and the ChiNext Index up 0.65% [1] - CPO and PCB sectors showed strong performance, while military and non-ferrous metals sectors faced declines [1] Index Performance - Shanghai Composite Index: 3604.70, down 0.30%, with 496 gainers and 1485 losers, trading volume of 61.38 billion [2] - Shenzhen Component Index: 11208.46, up 0.05%, with 576 gainers and 1931 losers, trading volume of 81.28 billion [2] - ChiNext Index: 2382.97, up 0.65%, with 303 gainers and 924 losers, trading volume of 39.09 billion [2] External Market Influences - U.S. Federal Reserve Chairman Jerome Powell's remarks dampened interest rate cut expectations, leading to mixed performance in U.S. markets [3] - Dow Jones Index fell 0.38% to 44,461.28 points, S&P 500 Index fell 0.12% to 6,362.90 points, while Nasdaq Index rose 0.15% to 21,129.67 points [3] - Notable declines in popular Chinese concept stocks, with the Nasdaq Golden Dragon China Index down 1.82% [3] Industry Insights - Citic Securities predicts a recovery in the photovoltaic industry chain, driven by market normalization and potential supply-side reforms [4] - Huatai Securities identifies a new phase for AI, with significant growth in server and robotics industries, emphasizing application opportunities in various sectors [5] - Tianfeng Securities highlights potential in the chemical sub-industry, focusing on sectors like soda ash and coal chemicals for "anti-involution" strategies [6] - Zhongxin Jian Investment notes that process industrial equipment may benefit from equipment updates and coal chemical construction, with a focus on market resilience [7][8]

人民财讯7月31日电，证券时报数据宝统计，近5个交易日（7月24日至7月30日）两市约173家公司被机 构调研，调研机构类型显示，证券公司共对151家公司进行调研，即87.28%的上市公司调研活动有证券 公司参与；基金公司调研126家，位列其后；阳光私募机构调研60家，排名第三。 机构调研榜单中，共有43家公司获20家以上机构扎堆调研。海大集团最受关注，参与调研的机构达到 123家；民士达被96家机构调研，榜单中排名第二；小商品城、飞龙股份等分别被84家、80家机构调 研。 转自：证券时报 ...

风险提示：文中提及的指数成份股仅作展示，个股描述不作为任何形式的投资建议。任何在本文出现的信息（包括但 不限于个股、评论、预测、图表、指标、理论、任何形式的表述等）均只作为参考，投资人须对任何自主决定的投资 行为负责。基金投资有风险，基金的过往业绩并不代表其未来表现，基金管理人管理的其他基金的业绩并不构成基金 业绩表现的保证，基金投资须谨慎。 来源：金融界 港股市场持续热捧红利策略！可月月分红的港股红利低波ETF(520550)近期表现亮眼，不仅实现连续21个交易日资金净 流入，拉长周期看，更创下规模连续22周增长的纪录。数据显示，该基金年内规模增长502.48%，创历史新高。 东吴证券表示，寿险保费恢复增长，险资预计持续增配红利股。国泰海通证券指出，在震荡背景下，红利资产更具韧 性！一方面，红利策略具备高股息安全垫，能增厚投资收益；另一方面，市场行情较弱，红利策略超额收益优势明 显，防御属性突出。场外投资者可借助联接基金(A类：024029/C类：024030)进行布局。 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The report recommends maintaining a high allocation to equity assets in August, with small-cap and growth styles expected to be dominant. It also suggests focusing on relatively stable "Fixed Income +" funds and short-duration bond funds [3][69]. Summary by Directory 7 - Month Review Stock Market - A - shares and U.S. stocks rose. The Shanghai Composite Index rose 4.33%, the Science and Technology Innovation 50 rose 5.06%, the Dow Jones Index rose 1.83%, and the Nasdaq Index rose 3.63%. Positive signals drove A - shares up, and the U.S. economy's resilience led to U.S. stock gains [9][11]. Bond Market - U.S. Treasury and Chinese government bond yields increased. The 1 - year U.S. Treasury yield rose to 4.09%, the 10 - year to 4.40%; the 1 - year Chinese government bond yield rose to 1.38%, and the 10 - year to 1.73% [9]. Commodity Market - Commodity prices increased. The CRB Commodity Index rose 1.67%, the Nanhua Commodity Index rose 6.22%, and COMEX gold rose 0.71%. Crude oil prices also slightly increased [9]. Foreign Exchange Market - The U.S. dollar index rose to 97.67, and the RMB exchange rate fluctuated slightly, remaining around 7.17 [9]. Fund Market - The fund market performed well in July, but the issuance scale decreased. As of July 25, the total fund issuance scale was 81.9 billion yuan, a 33% decrease from the previous month. Equity - type funds accounted for 38% of the issuance, with a 30% decline in scale compared to the previous month. Ordinary stock - type funds performed outstandingly. In addition, on - exchange funds had a net inflow, while equity - type ETFs and LOFs had net outflows [29][34]. - Active equity funds increased their positions in the prosperity, dividend, and quality styles, with median positions of 33%, 24%, and 30% respectively, up 12%, 10%, and 9% from the end of the previous month, and reduced their positions in the value - potential style, with the median position dropping 13% to 2% [35]. 8 - Month Outlook Asset Allocation Logic - The stock - bond rotation model indicates that the private - sector financing growth rate continued to rise in June, with growth and inflation factors increasing, suggesting significant fundamental improvement and continued bullishness on equity assets. The A - share market sentiment index shows that sentiment indicators are oscillating at a high level, and overall market sentiment remains optimistic [3][69]. Market Style - The growth - value style rotation model recommends the growth style, as market factors and U.S. Treasury yields are favorable for growth, although style momentum favors value [59]. - The small - and large - cap style rotation model suggests the small - cap style, as the current monetary environment and short - and long - term style momentum still recommend small - cap stocks [64]. Fund Allocation Strategy - It is recommended to maintain a high allocation to equity assets, focus on small - cap and growth styles, pay attention to relatively stable "Fixed Income +" funds, and short - duration bond funds. Specific funds recommended include Dongwu Mobile Internet (001323.OF, medium - high risk), Anxin Advantage Growth (001287.OF, medium - high risk), Huaxia Innovation Frontier (002980.OF, medium - high risk), Bank of China Steady Income (380009.OF, medium risk), and Penghua Stable Income Short - Term Bond (007515.OF) [3][69].

7月30日，和讯投顾蒲宇宁称，大盘突然跳水40个点，先明确观点这里是假摔，基于操盘手的直觉，下 午2点我在直播间直接呼吁大家拿货中证2000ETF，为什么我这么认为？呢首先现在的量能并没有明显 的放大，今天还是1.8万亿左右的量能，所以呢这个地方很难形成顶部。第二，今天的这波下杀是由于 港股的创新药板块突然之间从急涨跳到急跌，有很多止盈盘出来，并不是有空头主动的做空，而只是一 个止盈的行为，所以承接力度很强。那为什么我又让大家拿中证2000的ETF呢？只有一个原因，因为主 力想要拿货稳盘的话，往往他会从中证2000。 （责任编辑：崔晨 HX015） ...

Quantitative Models and Construction Methods 1. Model Name: General Risk Parity Model - **Model Construction Idea**: The risk parity model aims to equalize the risk contribution of each asset in the portfolio. When assets are uncorrelated, the risk parity allocation is equivalent to inverse volatility weighting, where higher volatility assets receive lower weights[18]. - **Model Construction Process**: - The risk contribution of each asset is calculated to ensure equal risk allocation. - Formula: $ w_i = \frac{1}{\sigma_i} $, where $ w_i $ is the weight of asset $ i $ and $ \sigma_i $ is the volatility of asset $ i $[18]. - **Model Evaluation**: This model is effective in balancing risk across assets, particularly when asset correlations are low[18]. 2. Model Name: Adjusted Risk Budget Model - **Model Construction Idea**: Adjust the risk budget based on the number of assets and their characteristics. The risk budget multiplier is proportional to the square root of the number of assets[29]. - **Model Construction Process**: - Static risk budgets are assigned to assets, with equity risk budget set at 25 and commodity/gold risk budgets at 36. - Dynamic adjustments are made using the Sharpe ratio over the past six months, with the maximum budget set at 1.5 times the static budget[36]. - **Model Evaluation**: The dynamic adjustment improves the model's responsiveness to market conditions, enhancing performance metrics like Sharpe ratio and reducing drawdowns[36]. 3. Model Name: Macro Risk Parity Model - **Model Construction Idea**: Incorporate macroeconomic factors into the risk parity framework to refine asset allocation based on macro factor correlations[38]. - **Model Construction Process**: - Decompose macro factor returns and calculate their correlations. - Formula: $ w_i = \frac{1}{\sigma_i} \times \text{Macro Factor Adjustment} $, where macro factor adjustment accounts for the correlation between macro factors and asset returns[38]. - **Model Evaluation**: This model enhances returns by aligning asset allocation with macroeconomic conditions, while maintaining risk parity principles[38]. 4. Model Name: Risk Budget Timing Model - **Model Construction Idea**: Adjust risk budgets dynamically based on asset timing signals, such as Sharpe ratios and macroeconomic states[59]. - **Model Construction Process**: - Fixed-income assets maintain a constant risk budget of 1. - Equity assets are adjusted based on a 1-month Sharpe ratio threshold of 0.5, with budgets increased to 64 if exceeded. - Convertible bonds are adjusted similarly with a threshold of 0.6 and a budget of 36. - Macro timing multiplies equity risk budgets by 4 during favorable conditions and reduces them by 4 during unfavorable conditions[59]. - **Model Evaluation**: This model significantly improves returns and reduces drawdowns by incorporating timing signals into risk budget adjustments[60]. --- Model Backtesting Results General Risk Parity Model - Annualized Return: 6.47% - Maximum Drawdown: -2.84% - Volatility: 2.79% - Sharpe Ratio: 2.25 - Monthly Win Rate: 74.76% - Monthly Profit-Loss Ratio: 6.14[55] Adjusted Risk Budget Model - Annualized Return: 7.99% - Maximum Drawdown: -4.01% - Volatility: 3.79% - Sharpe Ratio: 2.03 - Monthly Win Rate: 71.84% - Monthly Profit-Loss Ratio: 4.26[55] Risk Budget Timing Model - Annualized Return: 9.11% - Maximum Drawdown: -3.64% - Volatility: 3.62% - Sharpe Ratio: 2.41 - Monthly Win Rate: 71.84% - Monthly Profit-Loss Ratio: 5.50[61] --- Quantitative Factors and Construction Methods 1. Factor Name: Sharpe Ratio Adjustment - **Factor Construction Idea**: Use the Sharpe ratio as a timing signal to adjust risk budgets dynamically[59]. - **Factor Construction Process**: - Calculate the 1-month Sharpe ratio for each asset. - Compare the Sharpe ratio to predefined thresholds (e.g., 0.5 for equity, 0.6 for convertible bonds). - Adjust risk budgets based on whether the Sharpe ratio exceeds the threshold[59]. 2. Factor Name: Macro Timing Signal - **Factor Construction Idea**: Use macroeconomic states to determine equity allocation adjustments[59]. - **Factor Construction Process**: - Identify macroeconomic states using predefined signals. - Multiply equity risk budgets by 4 during favorable states and divide by 4 during unfavorable states[59]. --- Factor Backtesting Results Sharpe Ratio Adjustment Factor - Equity Risk Budget: Increased to 64 if Sharpe ratio exceeds 0.5[59] - Convertible Bond Risk Budget: Increased to 36 if Sharpe ratio exceeds 0.6[59] Macro Timing Signal Factor - Equity Risk Budget: Multiplied by 4 during favorable macro states, divided by 4 during unfavorable states[59]

Group 1: Economic Policy and Market Outlook - The Central Political Bureau of the Communist Party of China decided to hold the Fourth Plenary Session of the 20th Central Committee to analyze the current economic situation and work [1] - The meeting emphasized the need for macro policies to continue to exert force and to implement more proactive fiscal policies and moderately loose monetary policies [1] - The U.S. Federal Reserve maintained the federal funds rate target range at 4.25% to 4.5%, with Chairman Powell indicating it is too early to predict a rate cut in September [1] Group 2: Stock Market Insights - U.S. major indices showed mixed performance, with small-cap stocks weakening while steel and oil sectors led gains [2] - The financing balance increased by 15.318 billion yuan to 1.968421 trillion yuan, indicating a growing interest in the stock market [2] - A-share investment is considered to have high cost-effectiveness, with the CSI 500 and CSI 1000 benefiting from more supportive technology policies [2] Group 3: Commodity Market Trends - Gold prices continued to decline, influenced by a strong U.S. dollar and ongoing trade negotiations, with the market speculating on a potential rate cut in September [3][17] - International oil prices rose for three consecutive days, with the U.S. second-quarter GDP growth rate significantly exceeding expectations at 3% [4][11] - The copper market is experiencing fluctuations due to mixed demand signals and U.S. tariff developments, with domestic demand remaining stable [18][19] Group 4: Industry-Specific Developments - The China Nonferrous Metals Industry Association plans to strictly control new capacities in copper smelting and aluminum oxide, guiding reasonable layouts for new capacities in silicon, lithium, and magnesium [8] - The domestic methanol production capacity is showing signs of pressure, with inventory levels remaining high despite a slight increase in production [13] - The glass and soda ash markets are undergoing inventory digestion, with expectations of improved supply dynamics due to seasonal maintenance [15]

[Table_Title] 万联晨会 [Table_MeetReportDate] 2025 年 07 月 31 日 星期四 [Table_Summary] 概览 核心观点 【市场回顾】 周三 A 股三大指数涨跌不一，截止收盘，沪指收涨 0.17%，深成指收 跌 0.77%，创业板指收跌 1.62%。沪深两市成交额 18439.65 亿元。申 万行业方面，钢铁、石油石化、传媒领涨，电力设备、计算机、汽车 领跌；概念板块方面，可燃冰、青蒿素、乳业涨幅居前，电子身份证、 数字货币、移动支付跌幅居前。港股方面，恒生指数收跌 1.36%，恒 生科技指数收跌 2.72%；海外方面，美国三大指数涨跌不一，道指收 跌 0.38%，标普 500 收跌 0.12%，纳指收涨 0.15%。 【重要新闻】 【中共中央政治局召开会议，决定今年 10 月召开二十届四中全会， 研究关于制定国民经济和社会发展第十五个五年规划的建议】会议强 调，做好下半年经济工作，要保持政策连续性稳定性，增强灵活性预 见性。要落实落细更加积极的财政政策和适度宽松的货币政策。用好 各项结构性货币政策工具，加力支持科技创新、提振消费、小微企业、 稳定外贸等。在 ...