Market Overview - On February 9, the Shanghai Composite Index rose by 1.41%, the Shenzhen Component Index increased by 2.17%, the ChiNext Index climbed by 2.98%, and the CSI 300 Index gained 1.63% [1] - Among the tradable A-shares, 4,612 stocks rose, accounting for 84.39%, while 759 stocks declined [1] Capital Flow - The net inflow of main funds reached 33.038 billion yuan for the day [1] - The ChiNext saw a net inflow of 12.730 billion yuan, while the STAR Market had a net inflow of 1.496 billion yuan, and the CSI 300 constituents experienced a net inflow of 17.303 billion yuan [1] Industry Performance - Out of the 31 first-level industries classified by Shenwan, 31 industries rose, with the top performers being Communication and Comprehensive, which increased by 5.17% and 4.70%, respectively [1] - The Electronics industry led the net inflow of funds with 8.051 billion yuan and a daily increase of 2.97%, followed by the Computer industry with a net inflow of 6.785 billion yuan and a daily increase of 2.88% [1] Individual Stock Performance - A total of 2,310 stocks experienced net inflows, with 941 stocks having net inflows exceeding 10 million yuan, and 172 stocks with net inflows over 100 million yuan [2] - The stock with the highest net inflow was Sungrow Power Supply, which rose by 6.10% with a net inflow of 1.471 billion yuan, followed by 360 Security Technology and Newyeason with net inflows of 1.435 billion yuan and 1.307 billion yuan, respectively [2] - Conversely, 73 stocks had net outflows exceeding 100 million yuan, with Data Harbor, Hunan Gold, and CATL leading the outflows at 889 million yuan, 844 million yuan, and 769 million yuan, respectively [2]

Group 1 - Public fund research enthusiasm remains high as 113 public institutions participated in A-share research activities from February 2 to February 8, 2026, covering 100 stocks across 24 primary industries with a total of 535 research instances [1][3] - The computer industry led the research activity with Ruiming Technology being the most researched stock at 34 times, focusing on its AI hardware development for commercial vehicles and the progress of its Robobus project [1][2] - The electronics sector also received significant attention, with Huanxian Electronics, Zhongwei Semiconductor, and Aobi Zhongguang being among the top researched stocks, with 31, 20, and 15 instances respectively [1][3] Group 2 - The electronics industry was the most focused area for public fund research, with 18 stocks being researched a total of 115 times, significantly outpacing other industries [3] - The machinery and power equipment sectors followed, with 79 and 76 research instances respectively, highlighting the interest in stocks like Nairu Mining and Dajin Heavy Industry [3] - The current focus remains on sectors benefiting from AI computing power, with recommendations to invest in growth areas such as AI applications and semiconductors, as well as sectors benefiting from domestic demand expansion [3][4]

Core Viewpoint - The market is experiencing a shift from a "style betting" approach to a "structural competition" approach, indicating a more nuanced investment landscape where various asset classes coexist simultaneously [6][26]. Group 1: Market Dynamics - Since the beginning of 2026, the market has shown significant volatility with rapid shifts in sentiment, leading to a perception of a lack of clear direction [1]. - Observing ETF-level capital flows reveals that the market is accommodating multiple directions rather than lacking direction [2]. - A notable change is occurring in the aesthetic of capital, suggesting a stratification in investment preferences [3][4]. Group 2: Technology Sector Insights - The A+H technology sector is emerging as a focal point in the current structural layering of the market [8]. - Historically, technology assets were viewed as temporary trading tools rather than structural assets, with narratives shifting between growth potential and risk concerns [9][10]. - As of 2025, the understanding of technology is evolving to focus on its role within the industrial structure rather than just valuation [12][13]. Group 3: Hong Kong Stock Market Developments - The narrative surrounding Hong Kong technology stocks is shifting from "repair" to "technological transformation," reflecting a more balanced understanding of their role in the global market [14][15]. - The Guozhen Hong Kong Stock Connect Technology Index emphasizes a balanced approach, focusing on companies with stable growth and R&D investment across various sectors [16][19]. Group 4: Artificial Intelligence and Future Trends - The market's perception of artificial intelligence is evolving from a conceptual level to a more structured understanding of its industry chain positioning [20]. - The Zhongzheng Innovation and Entrepreneurship AI Index represents a comprehensive view of the AI industry, covering various layers from infrastructure to applications [23][24]. Group 5: Stability and Structural Evolution - The market is forming a multi-layered structure where technology assets represent high growth potential, while stable cash flow assets serve as stabilizers [25]. - The Zhongzheng Hong Kong Stock Connect High Dividend Select Index introduces a quality screening mechanism, focusing on companies with strong dividend attributes and structural integrity [25]. - The overall trend indicates a shift towards a more structured investment approach, reflecting the maturation of capital and the integration of the Chinese capital market into the global system [26][27].

Quantitative Models and Construction Methods 1. Model Name: Industry Mainline Model (Relative Strength Index, RSI) - **Model Construction Idea**: This model identifies leading industries by calculating their relative strength (RS) based on historical price performance. Industries with RS > 90% are considered potential market leaders [13] - **Model Construction Process**: 1. Use 31 first-level industry indices as the configuration targets [13] 2. Calculate the price change percentages over the past 20, 40, and 60 trading days for each industry [13] 3. Rank the industries based on their price changes for each period and normalize the rankings to obtain RS_20, RS_40, and RS_60 [13] 4. Compute the average of the three rankings to derive the final RS index: $ RS = (RS_{20} + RS_{40} + RS_{60}) / 3 $ [13] 5. Industries with RS > 90% before the end of April are identified as potential leaders for the year [13] - **Model Evaluation**: The model effectively identified leading industries in 2024, such as coal, utilities, home appliances, banks, oil and gas, telecommunications, non-ferrous metals, agriculture, and automobiles. These industries aligned with the market's main themes, including high dividends, resources, exports, and AI [13] 2. Model Name: Industry Sentiment-Trend-Crowding Framework - **Model Construction Idea**: This framework provides two right-side industry rotation strategies based on market sentiment, trend, and crowding levels [17] 1. High Sentiment + Strong Trend, avoiding high crowding (aggressive and synchronized with the market) [17] 2. Strong Trend + Low Crowding, avoiding low sentiment (trend-following and user-friendly) [17] - **Model Construction Process**: 1. Use sentiment as the core metric, combined with trend and crowding levels, to identify industries with strong potential [17] 2. Historical backtesting results show the model's annualized return and risk metrics [17] - **Model Evaluation**: The model demonstrates strong performance, with an annualized return of 22.0%, an annualized excess return of 13.4%, an IR of 1.5, and a maximum drawdown of -8.0%. The monthly win rate is 67% [17] 3. Model Name: Left-Side Inventory Reversal Model - **Model Construction Idea**: This model identifies industries in a recovery phase from distress or inventory pressure, aiming to capture turnaround opportunities during restocking cycles [27] - **Model Construction Process**: 1. Focus on industries with current or past distress but showing signs of recovery [27] 2. Evaluate long-term analyst sentiment and inventory pressure to identify industries with restocking potential [27] 3. Historical backtesting results show the model's performance metrics [27] - **Model Evaluation**: The model has shown strong historical performance, with absolute returns of 13.4% in 2023, 26.5% in 2024, and 28.7% in 2025. The excess returns relative to equal-weighted industry benchmarks were 17.0%, 15.4%, and 5.6%, respectively [27] --- Model Backtesting Results 1. Industry Mainline Model (RSI) - **2024**: Industries with RS > 90% included coal, utilities, home appliances, banks, oil and gas, telecommunications, non-ferrous metals, agriculture, and automobiles. These industries aligned with the year's main themes [13] - **2025**: 17 industries showed RS > 90%, including TMT, banks, manufacturing, and some consumer sectors [13] - **2026 (up to February 6)**: 7 industries showed RS > 90%, including media, building materials, oil and gas, non-ferrous metals, basic chemicals, defense, and telecommunications [14] 2. Industry Sentiment-Trend-Crowding Framework - **Annualized Return**: 22.0% [17] - **Annualized Excess Return**: 13.4% [17] - **IR**: 1.5 [17] - **Maximum Drawdown**: -8.0% [17] - **Monthly Win Rate**: 67% [17] - **January 2026 Performance**: Absolute return of 6.5%, excess return of 0.7% [17] 3. Left-Side Inventory Reversal Model - **2023**: Absolute return of 13.4%, excess return of 17.0% [27] - **2024**: Absolute return of 26.5%, excess return of 15.4% [27] - **2025**: Absolute return of 28.7%, excess return of 5.6% [27] - **January 2026**: Absolute return of 10.4%, excess return of 4.8% [27]

Macro Liquidity - The US dollar index has rebounded, and the degree of "inversion" in the China-US interest rate spread has narrowed. The nominal and real yields of 10Y US Treasuries have both declined, indicating a decrease in inflation expectations [1][15] - Offshore US dollar liquidity has marginally loosened, while the domestic interbank funding environment remains balanced and slightly loose. The term spread (10Y-1Y) has narrowed [1][22] Market Trading Activity - Market trading activity has decreased, with most indices experiencing an increase in volatility. Sectors such as media, communication, retail, military, and building materials have trading heat above the 90th percentile [2][30] - The volatility of most indices has increased, with military, petrochemical, and non-ferrous metal sectors reaching above the 80th percentile [2][32] Institutional Research - The banking, electronics, new energy, military, and computer sectors have seen high research activity. The research intensity in new energy, military, media, food and beverage, and utilities sectors has continued to rise [3][42] Analyst Forecasts - Analysts have continued to raise net profit forecasts for the entire A-share market for 2026/2027. The proportion of stocks with upward revisions in net profit forecasts has increased [4][50] - Specific sectors such as non-ferrous metals, retail, communication, pharmaceuticals, and machinery have also seen upward adjustments in their 2026/2027 net profit forecasts [4][21] - The net profit forecasts for the ChiNext Index and the SSE 50 have been raised for 2026/2027, while the forecasts for the CSI 500 and CSI 300 have been adjusted differently [4][23] Northbound Trading Activity - Northbound trading activity has decreased, continuing to net sell A-shares, but the magnitude of selling has slowed. In the top 10 active stocks, the buy-sell ratio in sectors like communication, food and beverage, and machinery has increased [5][31] - For stocks with northbound holdings of less than 30 million shares, there has been a net buying in sectors such as chemicals, non-ferrous metals, and petrochemicals, while net selling has occurred in TMT, pharmaceuticals, and military sectors [5][33] Margin Financing Activity - Margin financing activity has continued to decline, reaching the lowest point since July 2025. Last week, there was a net sell of 51.596 billion yuan across various sectors, with electronics, non-ferrous metals, communication, and chemicals being sold off the most [6][35] - Only the communication and non-bank financial sectors saw an increase in the proportion of financing purchases [6][38] Active Equity Funds and ETFs - Active equity funds have continued to increase their positions, particularly in non-ferrous metals, media, and steel sectors, while reducing positions in finance, food and beverage, and new energy sectors [8][45] - The correlation of active equity funds with large/mid/small-cap value has increased, while the correlation with growth has decreased [8][48] - New equity fund establishment has decreased, with both active and passive funds seeing a decline in scale. ETFs have seen renewed net subscriptions, primarily driven by individual investors [8][50]

剩余流动性趋缓背景下，大盘股将跑赢小盘股；全年维度看，科技+顺周期仍是配置主线。对投资者而言，当前时点应把握中长线配置机会，重新审视"成 长"的定义边界。 调整到位信号明确，微观流动性冲击快速出清 市场经历了一轮猛烈但短暂的调整。据华创数据，宽基ETF今年以来累计净流出1.02万亿元，杠杆资金过去5个交易日净流出582亿元，创下去年4月以来新 高。贵金属价格暴跌引发有色金属板块回吐涨幅，叠加监管层上调融资保证金比例释放降温信号，市场风险偏好受到明显抑制。 市场短期剧烈调整后，配置窗口已经打开。在牛市背景下，微观流动性冲击已出清，关注顺周期与地产链的困境反转。 据追风交易台，华创证券2月8日发布的策略周报显示，本轮回撤或已到位——2月2日跌停公司达130家创新高，杠杆资金5日净流出582亿元，市场温度回落 至去年11月水平。 更关键的是投资风格正在发生深刻变化：成长股将优于价值股，但成长机会不再局限于科创板块，顺周期和地产链的困境反转同样值得关注； 但多个指标显示调整已经充分。从投资者情绪看，上证指数在4000点附近的市场温度已接近去年11月的3800点水平；2月2日跌停公司达130家，超过去年11 月21日的 ...

境内宏观：尽管新旧经济景气分化的结构延续，但2025Q4新经济景气中枢明显上移，并由AI向出海、资源品、服务消费等更多领域扩散。新兴科技产业 链呈现出供需两旺的特征，内部细分涨价赛道明显增多。 政策风向：各地2026年经济增长目标稳中有降，政策聚焦扩内需与强科技。15省将GDP目标下调0.5个百分点，12省GDP目标较去年基本不变。 境外宏观：1月美联储按兵不动符合预期，预计2026年或仍有2-3次降息。1月FOMC会议美联储对经济、就业和通胀都表现出了更乐观的态度，这为重启 降息增加了不确定性。 债券市场：债市方面，市场分歧加剧但难有单边行情。往后看，债券市场短期或将继续进行方向试探，但中期受当前宏观环境制约，预计难以走出单边趋 势行情。 摘要 6、投资策略 正文 1、政策风向： 权益市场：上周市场在周一大跌后维持震荡，价值股整体表现偏强。食品饮料、银行、建材行业继续上行，有色、通信、石化行业转跌，电子、计算机、 化工行业继续下跌。 投资策略：可关注：1）内需价值：春节后内需板块超额概率更高，叠加扩内需成为重要增长抓手，而市场预期与持仓均处于底部；2）新兴科技：中美的 竞争不再只是贸易的竞争，更是生产效率的 ...

Market Overview - The A-share market indices all experienced gains today, with the Shanghai Composite Index rising by 1.41% to close at 4123.09 points, the Shenzhen Component Index increasing by 2.17% to 14208.44 points, the Sci-Tech 50 up by 2.51% to 1458.16 points, and the ChiNext Index climbing by 2.98% to 3332.77 points [1][10] - Overall, 4609 stocks rose while 756 stocks fell, with a total trading volume of 22495 billion yuan, an increase of 1038 billion yuan compared to the previous trading day [1] Industry Performance - All primary industries in the Shenwan classification saw gains today, with notable increases in the telecommunications, comprehensive, media, electronics, and computer sectors, which rose by 5.17%, 4.70%, 3.50%, 2.97%, and 2.88% respectively [1][10] - Conversely, the oil and petrochemical, banking, and food and beverage sectors had lower gains, with increases of only 0.21%, 0.36%, and 0.37% respectively [1][10] Concept Sector Performance - The leading concept sectors today included optical modules (CPO), perovskite batteries, optical communications, short drama games, cultivated diamonds, optical chips, Kimi, virtual humans, BC batteries, rare earths, photovoltaic glass, Chinese corpus, multimodal models, AIGC, and WEB3.0 [2]

Market Overview - The A-share and stock index futures market are exhibiting distinct "pre-holiday characteristics" as the Spring Festival approaches, aligning with historical patterns of risk aversion and market sentiment contraction [1] - Trading volume has significantly shrunk, with the average daily trading volume in the Shanghai and Shenzhen markets dropping to around 2.5 trillion yuan in February, down from 3 trillion yuan in January [1] - The market is experiencing a cautious sentiment, with traders preferring short-term speculative trades rather than long-term holdings, reflecting increased uncertainty [1] Trading Behavior - The last week before the holiday is expected to see a continued decline in average daily trading volume due to traders' inclination to secure profits and a lack of willingness for new capital to enter the market [2] - The margin financing scale has also decreased, indicating a decline in risk appetite and cautious trading sentiment ahead of the holiday [2] - The current margin financing balance accounts for only 2.62% of the A-share market's circulating market value, suggesting a healthy market structure [2] Industry Performance - In the first week of February, there was a notable divergence in industry performance, with food and beverage, beauty care, transportation, and banking sectors showing gains, while sectors like non-ferrous metals, telecommunications, electronics, and petrochemicals faced declines [3] - Defensive sectors such as food and beverage and banking are performing better, aligning with the trend of risk-averse capital seeking stable returns [3] - The market sentiment has shifted from previous exuberance to a more rational phase, with long-term investors focusing on valuation and earnings certainty [3] Futures Market Dynamics - The significant divergence in performance among stock index futures is attributed to the varying styles in the spot market, with the price spread between IC and IH narrowing after reaching a historical high [4] - The price spread is expected to continue contracting in February, aligning with the mean reversion logic of stock index futures [4] - Post-holiday, there is a strong likelihood of a "New Year rally," driven by the return of previously withdrawn funds and positive market sentiment [4]

专题研究 2025 年 1 月 1 日—1 2 月 3 1 日 隐性债务监管高压态势不变强调防范"处置风险的风险" 债券市场研究系列 作者： 中诚信国际 研究院 姚姝冰 shbyao@ccxi.com.cn 谭 畅 chtan@ccxi.com.cn 中诚信国际研究院院长 袁海霞 hxyuan@ccxi.com.cn 2025 年债市政策复盘：创新性与规范化并 举，债市开放再谱新篇，2026-2-4 "十五五"开局下的信用债图景：2026 年 趋势与策略，2025-12-25 违约与展期"双降"下的债市评级调整新 动向，2025-9-9 多空博弈之下，债市风险知多少？—一季 度债市信用风险新特征与关注点，2025-5-6 潜流暗动，聚焦局部——当前债券市场信 用风险表现、特征及展望，2024-11-11 转债风波与地产困局下的信用风险关注— —三大视角透视信用风险半年报，2024-7- 25 融资温和回暖、趋势行情难现，关注长债 供给增加带来的结构性机会-2024 年一季度 信用债市场运行回顾与展望，2024-4-30 如需订阅研究报告，敬请联系 中诚信国际品牌与投资人服务部 赵 耿 010-66428731 ...