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 ...

Core Insights - The CSI 500 Quality Growth Index (930939) has shown a 0.75% increase as of September 1, 2025, with notable stocks such as Jinchuan Group (601958), Shanghai Electric (600021), and Baiyin Nonferrous Metals (601212) hitting the 10% daily limit up [1] - The CSI 500 Quality Growth ETF (560500) has also increased by 0.62%, with a trading volume of 4.1798 million yuan and a turnover rate of 0.83% [1] - Recent reports indicate that the short-term extension of tariff exemptions and expectations of interest rate cuts by the Federal Reserve may improve risk appetite, while the mid-term market may shift towards being driven by fundamentals [1] Market Performance - The CSI 500 Quality Growth Index has selected 100 companies with high profitability, sustainable earnings, and strong cash flow from the CSI 500 Index, providing diverse investment options [2] - As of August 29, 2025, the top ten weighted stocks in the CSI 500 Quality Growth Index account for 21.48% of the index, with Dongwu Securities (601555) and Huagong Technology (000988) being the top two [2] Stock Performance - The performance of key stocks within the index shows varied results, with Dongwu Securities down by 1.78% and Huagong Technology up by 8.59% [4] - The stocks listed are part of the index components and reflect the current market dynamics, indicating a mix of gains and losses among the top performers [4]

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%。 ◼ ...

Core Insights - The financing balance of the ChiNext board has reached 464.83 billion yuan, marking a continuous increase for 15 trading days, with a total increase of 64.59 billion yuan during this period [1][2]. Financing Balance Overview - As of August 29, 2025, the total margin balance of the ChiNext board is 466.35 billion yuan, with a day-on-day increase of 6.11 billion yuan. The financing balance is 464.83 billion yuan, increasing by 6.09 billion yuan from the previous day [1][2]. - The financing balance has increased for 15 consecutive trading days, with a cumulative increase of 64.59 billion yuan [1]. Individual Stock Performance - Among the stocks with increased financing balances, 615 stocks saw an increase, with 273 stocks experiencing an increase of over 20%. The stock with the highest increase is Meixin Technology, with a financing balance of 12.66 million yuan, reflecting a 334.26% increase [2][3]. - Conversely, 328 stocks experienced a decrease in financing balance, with 33 stocks seeing a decline of over 20%. The largest decrease was observed in Kailong High-Tech, with a financing balance of 3.58 million yuan, down 54.85% [2][3]. Sector Analysis - The stocks with financing balance increases of over 20% are primarily concentrated in the electronics, machinery equipment, and power equipment sectors, with 49, 36, and 34 stocks respectively [4]. - The average increase in stock prices for those with financing balance increases exceeding 20% is 16.37%, which is lower than the ChiNext index performance [5]. Notable Stocks - The stocks with the largest increases in financing balance include Shenghong Technology (11.92 billion yuan, up 6.03 billion yuan), New Yi Sheng (12.02 billion yuan, up 5.34 billion yuan), and Zhongji Xuchuang (10.92 billion yuan, up 4.45 billion yuan) [5][6]. - Stocks with significant decreases in financing balance include Guangxin Media (1.82 billion yuan, down 338 million yuan), Jingjiawei (2.09 billion yuan, down 210 million yuan), and Shuo Beid (808 million yuan, down 208 million yuan) [5][6].

Summary of Key Points Core Viewpoint - As of August 29, the total margin financing and securities lending balance on the Beijing Stock Exchange (BSE) was 7.372 billion yuan, showing a decrease of 13.6454 million yuan from the previous trading day, marking a continuous decline for two consecutive trading days [1]. Group 1: Margin Financing and Securities Lending - The margin financing balance was 7.371 billion yuan, down by 13.6872 million yuan from the previous trading day [1]. - The securities lending balance increased to 47.38 million yuan, up by 41,800 yuan from the previous trading day [1]. - The stocks with the highest margin financing balances included Jinbo Biological, Shuguang Digital Innovation, and Aifeng Software, with balances of 332 million yuan, 257 million yuan, and 182 million yuan respectively [1]. Group 2: Net Buying and Selling - On August 29, 95 stocks had net margin purchases, with 10 stocks having net purchases exceeding 5 million yuan [2]. - Shuguang Digital Innovation led with a net purchase of 35.7467 million yuan, followed by Better Energy and Keda Control with net purchases of 13.1971 million yuan and 9.8602 million yuan respectively [2]. - The stocks with the highest net margin sales included Minshida, Nuo Si Lan De, and Kang Bi Te, with net sales of 8.4796 million yuan, 7.9776 million yuan, and 6.9634 million yuan respectively [1]. Group 3: Industry Performance - The industries with the most stocks receiving net purchases over 5 million yuan were computer, electronics, and power equipment, with 3, 2, and 2 stocks respectively [2]. - The average increase for stocks with net purchases over 5 million yuan was 1.99%, with Keda Control, Better Energy, and Tianming Technology showing increases of 14.94%, 13.58%, and 3.08% respectively [2]. - The average turnover rate for these stocks was 5.34%, with Keda Control, Gebijia, and Yada Shares having turnover rates of 20.50%, 10.01%, and 8.23% respectively [2].