Investment Rating - The steel industry is rated as "Positive" and the rating is maintained [5] Core Viewpoints - The upcoming peak season is anticipated to improve steel demand, supported by macro policies aimed at expanding domestic demand and optimizing supply [8] - The Ministry of Industry and Information Technology has released a list of companies that meet the new steel industry standards, indicating a shift towards high-quality development in the sector [12] - The successful operation of the Simandou iron ore project is expected to lower production costs for steel manufacturers and enhance their profitability [12] Supply - The average daily output of molten iron this week was 2.33 million tons, showing a slight week-on-week increase of 1.21%, while rebar production decreased by 2.40% to 1.65 million tons [13][15] - The capacity utilization rate for long-process rebar increased slightly by 0.26 percentage points, while short-process rebar utilization decreased by 5.31 percentage points [15] Inventory - Total social and steel mill inventories increased significantly by 27.96% week-on-week, with a total of 12.96 million tons [21] - Rebar inventory rose by 34.15% week-on-week, while the overall inventory level remains lower compared to the previous year [21] Demand - The apparent consumption of five major steel products totaled 5.65 million tons this week, reflecting a significant decrease of 18.06% [23][24] - Rebar consumption saw the largest decline, dropping by 67.08% week-on-week [24] Cost and Profitability - The cost of long-process rebar decreased slightly by 0.48% week-on-week, while short-process costs increased by 2.95% [30][31] - Long-process rebar profitability increased by 16 yuan, while short-process profitability decreased by 97 yuan [30] Steel Prices - The overall steel price index fell by 0.14% this week, with all steel product price indices showing a decline [35][36] - The price of hot-rolled steel decreased by 0.37% to 3,243 yuan per ton [35] Sector Performance - The steel sector saw a significant increase, with the Shanghai Composite Index rising by 1.98% and the Shenwan Steel Index increasing by 12.27% [40][41] - Among the steel stocks, Changbao Co. had the highest increase [46]

Domestic Market Overview - The Shanghai Composite Index reached a monthly closing high, achieving a three-week upward trend, with a weekly increase of 1.98%[26] - The resource sectors, including coal, steel, and chemicals, saw significant growth, with the steel sector leading at a weekly increase of 12.27%[26] - The bond market showed a "see-saw" effect, with the 10-year government bond yield rising after an initial decline[8] - The RMB appreciated against the USD by 0.80%, closing at 6.8559, supported by favorable macroeconomic factors[29] Global Market Insights - Brent crude oil prices surged above $73 per barrel due to escalating geopolitical tensions in Iran[10] - The US stock market experienced a downturn, with the Dow Jones, Nasdaq, and S&P 500 indices falling by 1.31%, 0.95%, and 0.44% respectively[27] - The AI sector shifted focus from software and hardware to infrastructure, with the TYG ETF rising by 2.5%[10] Economic Data and Policy Review - Industrial park resumption rates exceeded 60% post-holiday, indicating strong economic recovery[11] - The steel mill operating rate continued to improve, reflecting a robust industrial recovery trend[11] - The Chinese government is implementing supportive policies for the aging population and real estate market, including adjustments to housing regulations in Shanghai[19] Commodity Market Performance - Precious metals performed well, with COMEX silver rising by 13.30% and gold increasing by 3.29%[28] - Domestic black commodities faced pressure, with coking coal and coke prices dropping by 3.35% and 2.60% respectively[28] Risk Factors - Potential escalation of geopolitical conflicts could lead to increased volatility in commodity prices[46] - Domestic policy measures may not meet expectations, potentially slowing economic growth[46]

Group 1: A-Share Valuation - The overall valuation of A-shares as of February 27, 2026, shows the CSI All Share (excluding ST) with a PE of 22.8x and a PB of 1.9x, positioned at the historical 83rd and 53rd percentiles respectively [2][5] - The Shanghai Stock Exchange 50 Index has a PE of 11.5x and a PB of 1.3x, at the historical 58th and 37th percentiles [2][5] - The CSI 300 Index has a PE of 14.1x and a PB of 1.5x, at the historical 64th and 38th percentiles [2][5] - The CSI 500 Index shows a PE of 38.8x and a PB of 2.7x, at the historical 71st and 63rd percentiles [2][5] - The ChiNext Index has a PE of 43.3x and a PB of 5.7x, at the historical 43rd and 66th percentiles [2][5] Group 2: Industry Valuation Comparison - Industries with PE valuations above the historical 85th percentile include Real Estate, Automation Equipment, Retail, Electronics (Semiconductors), and IT Services [2] - Industries with PB valuations above the historical 85th percentile include Industrial Metals, Minor Metals, Defense, Electronics (Semiconductors), and Communications [2] - The White Goods industry has both PE and PB valuations below the historical 15th percentile [2] Group 3: Industry Midstream Sentiment Tracking - In the New Energy sector, the price of polysilicon futures dropped by 4.8%, and the spot price fell by 3.7%, indicating weak sentiment due to subdued demand [2][3] - In the Technology TMT sector, the Philadelphia Semiconductor Index decreased by 2.0%, while the Taiwan Semiconductor Index increased by 4.8% [3] - In the Real Estate chain, the price of rebar fell by 1.1%, while the price of cement decreased by 0.4% [3] - In the Consumer sector, the average price of live pigs dropped by 7.7%, and the wholesale price of pork fell by 3.6% [3] - In the Midstream Manufacturing sector, heavy truck sales increased by 46.0% year-on-year in January 2026, driven by favorable policies [3] Group 4: Commodity Prices and Trends - The price of Brent crude oil futures rose by 1.2% to $72.52 per barrel, influenced by geopolitical tensions in the Middle East [3] - The price of thermal coal increased by 4.0% to 751 RMB/ton, while coking coal prices fell by 2.0% to 1501 RMB/ton [3] - The price of gold increased by 3.2%, and silver prices rose by 11.6% [3]

Market Performance - The Sci-Tech 50 Index increased by 0.47% over the last five trading days, while the ChiNext Index decreased by 0.53%. The large-cap value index fell by 1.34%, and the large-cap growth index dropped by 0.93%. The Shanghai Stock Exchange 50 Index declined by 1.31%, whereas the small-cap index represented by the CSI 2000 rose by 3.08%. The steel and environmental sectors performed well, while media and non-bank financial sectors lagged behind [1]. Risk Premium and Valuation Levels - As of February 27, 2026, the risk premium, measured as the inverse of the static PE of the CSI All Share Index minus the yield of ten-year government bonds, stands at 2.43%. The two standard deviation boundary is 4.65% [1]. - The valuation levels indicate that the CSI All Share Index's PETTM is at the 84th percentile. The Shanghai 50 and CSI 300 are at 72% and 74%, respectively, while the ChiNext Index is close to 61%. The CSI 500 and CSI 1000 are at 70% and 69%, respectively, indicating that the ChiNext Index's valuation is relatively at the historical median level [1]. ETF Fund Flow - In the last five trading days, there was an outflow of 39.3 billion yuan from ETFs, while the margin trading balance increased by approximately 22.2 billion yuan. The average daily trading volume across the two markets was 23,348 billion yuan [2]. Industry Themes and Indices - The latest thematic allocation includes industries such as shipbuilding, electric power, steel, and robotics, specifically represented by indices like the CSI Selected Shipbuilding Industry Index, CSI Electric Power Equipment Theme Index, CSI Steel Index, and CSI Robotics Index [2][3].

Quantitative Models and Construction Methods 1. Model Name: Timing System Signal - **Model Construction Idea**: The model uses the distance between the short-term and long-term moving averages of the WIND All A Index to determine market trends and timing signals [2][7][13] - **Model Construction Process**: 1. Define the short-term moving average (20-day) and long-term moving average (120-day) of the WIND All A Index 2. Calculate the distance between the two moving averages: $ Distance = \frac{Short\text{-}term\ MA - Long\text{-}term\ MA}{Long\text{-}term\ MA} $ 3. If the absolute value of the distance is greater than 3%, it indicates a significant trend signal [2][7][13] - **Model Evaluation**: The model effectively identifies market trends and provides actionable timing signals [2][7][13] 2. Model Name: Industry Trend Allocation Model - **Model Construction Idea**: This model identifies industry allocation opportunities based on medium-term reversal expectations and performance trends [6][8][15] - **Model Construction Process**: 1. Monitor medium-term reversal signals for specific industries, such as the real estate chain 2. Use performance trend analysis to identify industries with strong growth potential, such as technology, semiconductors, and chemicals 3. Recommend ETF products corresponding to these industries for allocation [6][8][15] - **Model Evaluation**: The model provides clear industry allocation guidance and captures sectoral opportunities effectively [6][8][15] 3. Model Name: Position Management Model - **Model Construction Idea**: This model determines the recommended equity allocation ratio based on valuation levels and market trends [9] - **Model Construction Process**: 1. Assess the PE and PB valuation levels of the WIND All A Index 2. Combine valuation levels with short-term market trends to determine the recommended equity allocation ratio 3. For example, with the current PE at the 90th percentile and PB at the 50th percentile, the model suggests an 80% equity allocation [9] - **Model Evaluation**: The model provides a systematic approach to position management, balancing valuation and trend considerations [9] --- Model Backtesting Results 1. Timing System Signal - Moving average distance: 6.28% (absolute value > 3%) - Market trend line: 6812 points - Profitability effect: 1.91% (significantly > 0) [2][7][13] 2. Industry Trend Allocation Model - Recommended sectors: - Real estate chain (e.g., Building Materials ETF: 159745.SZ) - Technology (e.g., Satellite ETF: 563230.SH) - Semiconductors and communication (e.g., Semiconductor Equipment ETF: 159516.SZ, Communication ETF: 515880.SH) - Metals and chemicals (e.g., Industrial Metals ETF: 560860.SH, Rare Earth ETF: 516150.SH, Chemical ETF: 159870.SZ) [6][8][15] 3. Position Management Model - Recommended equity allocation: 80% [9] --- Quantitative Factors and Construction Methods 1. Factor Name: Profitability Effect - **Factor Construction Idea**: Measures the market's profitability to assess upward momentum [2][7][13] - **Factor Construction Process**: 1. Calculate the profitability effect as a percentage of profitable stocks in the market 2. A positive profitability effect indicates upward momentum [2][7][13] - **Factor Evaluation**: The factor effectively captures market sentiment and momentum [2][7][13] --- Factor Backtesting Results 1. Profitability Effect - Current value: 1.91% (significantly > 0) [2][7][13]

- The report does not contain any specific quantitative models or factors, nor does it provide detailed construction processes, formulas, or evaluations related to quantitative models or factors[1][2][3] - The report primarily focuses on market performance, style indices, valuation metrics, and fund flows, without delving into the construction or testing of quantitative models or factors[7][8][61] - Key metrics such as PE_TTM, ERP, and turnover rates are discussed in the context of market analysis, but these are not tied to specific quantitative models or factors[41][50][60] - Style performance and crowding metrics are analyzed, such as "Growth vs Dividend," "Small-cap vs Large-cap," and "Micro-cap vs CSI 800," but these are presented as market observations rather than derived from specific quantitative factors or models[61][73][76] - The report includes detailed data on market indices, fund flows, and sector performance, but does not attribute these to any specific quantitative methodologies or factor-based strategies[19][36][96]

1. Report Industry Investment Rating There is no information about the industry investment rating in the provided content. 2. Core Views - After the Spring Festival, the bond yield changed from a downward trend before the holiday to an upward trend, which is in line with the previous week's judgment that it is difficult for bond yields to decline smoothly. The reasons for the interest rate increase this week can be divided into exogenous and endogenous factors. The exogenous factor is the release of Shanghai's housing market "Seven Measures", and the endogenous factor is the profit - taking of trading positions after the holiday [16]. - The new housing policy in Shanghai is expected to be followed by other first - tier cities such as Beijing and Shenzhen, but the recovery of the real estate market still takes time, and the impact of this policy on the bond market has come to a temporary end [16]. - The central bank's decision to lower the foreign exchange risk reserve ratio for forward foreign exchange sales business can cool down the one - sided appreciation expectation of the RMB, and after the exchange rate stabilizes, the central bank will have more autonomy in formulating domestic monetary policies, which has a marginal positive effect on the bond market [17]. - In the later stage, the decline of bond yields requires further catalysts and is likely to remain volatile. New catalysts include the policy tone in the Two Sessions report, the implementation of the central bank's reserve requirement ratio and interest rate cut expectations, and the substantial change in price data [17]. - Due to the escalation of the US - Iran situation, the main oil shipping index has risen rapidly, and the capital market is gradually pricing the escalation of the situation. The safe - haven sentiment has increased significantly, and the market may shift to pricing stagflation in the short term, which is beneficial to gold and the short - end of US Treasury bonds [18]. - The US CPI shows that inflation stickiness still exists, and the Fed's policy decision needs to carefully balance between growth and inflation. The US steel industry is affected by the uncertainty of manufacturing demand and changes in global commodity prices. The US mortgage interest rate shows a downward trend, which helps to boost housing demand but also needs to be vigilant against its potential impact on inflation expectations. The resilience of the US labor market is gradually weakening. Fed officials have sent hawkish signals, and the market's expectation of the Fed's interest rate cut probability has changed [19][22][27][28]. 3. Summary According to the Catalog 3.1 One - Week View - **Bond Market Review**: From February 13 to February 27, 2026, the yield of the 10 - year Treasury bond active bond 250016 rose 2.2bp from 1.78% to 1.802%. During the week, factors such as Trump's new tariff policy, the release of LPR, the central bank's MLF operation, and the relaxation of Shanghai's housing market policy affected the bond market [11][12]. - **Analysis of Interest Rate Increase Reasons**: The interest rate increase after the Spring Festival is due to the release of Shanghai's housing market "Seven Measures" and the profit - taking of trading positions after the holiday. The new housing policy in Shanghai is expected to further activate the second - hand housing market, and other first - tier cities may follow, but the real estate market recovery still takes time [16]. - **Impact of Exchange Rate Policy**: The central bank's decision to lower the foreign exchange risk reserve ratio for forward foreign exchange sales business from 20% to 0 can balance the supply and demand relationship in the foreign exchange market, cool down the one - sided appreciation expectation of the RMB, and increase the possibility of the central bank supporting the real economy through reserve requirement ratio and interest rate cuts, which has a marginal positive effect on the bond market [17]. - **Outlook for the Bond Market**: Bond yields are likely to remain volatile, and new catalysts are needed for a decline, including policy tone in the Two Sessions report, implementation of reserve requirement ratio and interest rate cut expectations, and substantial changes in price data [17]. - **Analysis of US Economic Data and Bond Yields**: The escalation of the US - Iran situation has led to an increase in safe - haven sentiment. The US CPI shows inflation stickiness, the steel industry is volatile, mortgage interest rates are declining, the labor market's resilience is weakening, and Fed officials have sent hawkish signals. The market's expectation of the Fed's interest rate cut probability has changed [18][19][22][27][28]. 3.2 Domestic and Foreign Data Summary 3.2.1 Liquidity Tracking - **Open Market Operations**: From February 24 to February 27, 2026, the net investment in the open market was - 13264 billion yuan. The central bank carried out operations such as reverse repurchase and MLF [32]. - **Interest Rate Indicators**: The money market interest rate, interest rate bond issuance volume, and other indicators have changed. For example, the money market interest rate has increased compared with the previous week [33][34]. 3.2.2 Domestic and Foreign Macroeconomic Data Tracking - **Commodity Prices**: Steel prices have generally declined, while LME non - ferrous metal futures official prices have generally increased [48][49]. - **Other Indicators**: The prices of coal, vegetables, and crude oil, as well as various stock market and foreign exchange market indicators, have also changed [52][55][57]. 3.3 One - Week Review of Local Government Bonds 3.3.1 Primary Market Issuance Overview - **Issuance Scale**: A total of 27 local government bonds were issued in the primary market this week, with a total issuance amount of 256.42 billion yuan, including 116.68 billion yuan of refinancing bonds, 12.5 billion yuan of new general bonds, and 127.24 billion yuan of new special bonds. The repayment amount was 65.992 billion yuan, and the net financing amount was 190.429 billion yuan [70]. - **Regional Distribution**: 8 provinces and cities issued local government bonds this week. The top five provinces and cities in terms of issuance amount were Jiangsu, Hunan, Hebei, Liaoning, and Chongqing [75]. - **Special Refinancing Bonds**: 3 provinces and cities issued local special refinancing special bonds for replacing hidden debts, with a total issuance amount of 93.4 billion yuan. Since January 1, 2026, the total issuance amount of such bonds nationwide has been 683.342 billion yuan [78]. - **Early Redemption of Urban Investment Bonds**: The total scale of early redemption of urban investment bonds this week was 1 billion yuan, all from Chongqing [79]. 3.3.2 Secondary Market Overview - **Trading Volume and Turnover Rate**: The stock of local government bonds this week was 56.38 trillion yuan, the trading volume was 231.118 billion yuan, and the turnover rate was 0.41%. The top three provinces with active trading were Guangdong, Zhejiang, and Shandong, and the top three active trading maturities were 10Y, 30Y, and 20Y [88]. - **Yield Changes**: The maturity yields of local government bonds have generally declined [90]. 3.3.3 Local Government Bond Issuance Plan for This Month There is a local government bond issuance plan chart, but specific data is not described in detail in the text [92]. 3.4 One - Week Review of the Credit Bond Market 3.4.1 Primary Market Issuance Overview - **Overall Issuance**: A total of 122 credit bonds were issued in the primary market this week, with a total issuance amount of 94.315 billion yuan, a total repayment amount of 184.404 billion yuan, and a net financing amount of - 90.089 billion yuan, a decrease of 126.402 billion yuan compared with last week [92]. - **Sub - category Issuance**: Urban investment bonds had a net financing amount of - 48.078 billion yuan, and industrial bonds had a net financing amount of - 42.011 billion yuan. By bond type, short - term financing bonds had a net financing amount of 13.119 billion yuan, medium - term notes had a net financing amount of - 45.139 billion yuan, enterprise bonds had a net financing amount of - 2.885 billion yuan, corporate bonds had a net financing amount of - 49.002 billion yuan, and private placement notes had a net financing amount of - 6.183 billion yuan [97][99]. 3.4.2 Issuance Interest Rates The issuance interest rates of short - term financing bonds, medium - term notes, and corporate bonds have changed. For example, the issuance interest rate of short - term financing bonds decreased by 3.10bp, and the issuance interest rate of medium - term notes decreased by 17.25bp [108]. 3.4.3 Secondary Market Transaction Overview The total trading volume of credit bonds this week was 315.571 billion yuan, with different trading volumes for different bond types and ratings [109]. 3.4.4 Maturity Yields The maturity yields of national development bonds have generally increased, and the yields of short - term financing bonds, medium - term notes, enterprise bonds, and urban investment bonds have shown different trends [111][114][116]. 3.4.5 Credit Spreads The credit spreads of short - term financing bonds and medium - term notes have generally declined, while the credit spreads of enterprise bonds and urban investment bonds have generally increased [117][122][124]. 3.4.6 Grade Spreads The grade spreads of short - term financing bonds and medium - term notes have generally declined, while the grade spreads of enterprise bonds and urban investment bonds have shown a differentiated trend [128][135][137]. 3.4.7 Trading Activity The top five most actively traded bonds in each bond type are listed, and the industrial industry has the largest weekly trading volume of bonds [140][141]. 3.4.8 Subject Rating Changes There is no specific information about subject rating changes in the text, only a table is mentioned [142].

Valuation Summary - The overall valuation of A-shares as of February 27, 2026, shows the CSI All Share (excluding ST) PE at 22.8x and PB at 1.9x, positioned at the historical 83rd and 53rd percentiles respectively [2] - The Shanghai Stock Exchange 50 PE is at 11.5x and PB at 1.3x, at the historical 58th and 37th percentiles [2] - The CSI 300 PE is at 14.1x and PB at 1.5x, at the historical 64th and 38th percentiles [2] - The CSI 500 PE is at 38.8x and PB at 2.7x, at the historical 71st and 63rd percentiles [2] - The CSI 1000 PE is at 52.3x and PB at 2.8x, at the historical 75th and 63rd percentiles [2] - The National Index 2000 PE is at 64.8x and PB at 3.0x, at the historical 79th and 72nd percentiles [2] - The ChiNext Index PE is at 43.3x and PB at 5.7x, at the historical 43rd and 66th percentiles [2] - The Sci-Tech 50 PE is at 165.6x and PB at 6.5x, at the historical 95th and 72nd percentiles [2] - The ChiNext Index/CSI 300 PE ratio is 3.1 and PB ratio is 3.8, at the historical 29th and 62nd percentiles [2] Industry Valuation Comparison - Industries with PE valuations above the historical 85th percentile include Real Estate, Automation Equipment, Retail, Electronics (Semiconductors), and IT Services [2] - Industries with PB valuations above the historical 85th percentile include Industrial Metals, Minor Metals, Defense, Electronics (Semiconductors), and Communications [2] - The White Goods industry has both PE and PB valuations below the historical 15th percentile [2] Sector Insights New Energy - In the photovoltaic sector, upstream polysilicon futures prices fell by 4.8% and spot prices by 3.7%, with weak demand affecting sentiment [2] - In the battery materials sector, cobalt and nickel prices increased by 3.2% and 2.2% respectively, while lithium carbonate and hydroxide prices rose by 19.7% and 16.8% [2] Technology TMT - The Philadelphia Semiconductor Index decreased by 2.0%, while the Taiwan Semiconductor Index increased by 4.8% [3] - The DRAM output value index rose by 3.6%, with NAND prices increasing by 5.6% [3] Real Estate Chain - The price of rebar fell by 1.1%, while futures prices increased by 0.4% [3] - The national cement price index decreased by 0.4%, while glass prices rose by 1.0% [3] Consumer Sector - The average price of live pigs fell by 7.7%, and wholesale pork prices decreased by 3.6% [3] - The wholesale price index for liquor saw a slight increase of 0.03% [3] Midstream Manufacturing - Heavy truck sales increased by 46.0% year-on-year in January 2026, driven by tax incentives and subsidies [3] Cyclical Industries - The price of Brent crude oil futures rose by 1.2% to $72.52 per barrel, influenced by geopolitical tensions [3] - The price of thermal coal increased by 4.0% to 751 RMB/ton, while coking coal prices fell by 2.0% to 1501 RMB/ton [3]

陈 骁 投资咨询资格编号：S1060516070001 研究助理 靳旭媛 一般从业资格编号 ：S1060124070018 2026 年 3 月 1 日 请务必阅读正文后免责条款 证券研究报告 A股策略周报： 布局"两会"窗口 证券分析师 1 ※ 核心观点|布局"两会"窗口 2 • 上周亚太股市、贵金属表现较好。上周美国PPI超预期攀升、关税扰动、地缘冲突持续压降风险偏好，金银等贵金属继续领涨，美股三大 股指下跌0%-2%，日韩股市在AI产业带动下表现靠前，A股节后资金交投活跃度上行，多数股指收涨，小盘红利风格表现占优，结构上， 钢铁、有色金属、基础化工等周期板块领涨，培育钻石、稀有金属精选、锗镓锑墨、稀土等概念表现靠前。另外，节后人民币汇率持续走 强，在岸、离岸人民币对美元汇率均升破6.87，创近三年新高，在此之下央行下调远期售汇风险准备金率，释放外汇政策回归中性信号。 • 海外方面，美国PPI攀升强化高利率预期，关税扰动、地缘冲突继续压降风险偏好。一是美国PPI升幅超预期。美国1月PPI同比升2.9%， 环比升0.5%，核心PPI同比升3.6%，环比升0.8%，均高于预期值，强化美联储维持高利率预期。二是 ...

Investment Rating - The industry investment rating is optimistic [1] Core Viewpoints - The report indicates that the steel industry is expected to continue its positive trend, with a focus on price performance and inventory levels [1][4][6] Price Performance - The SW Steel Index has shown a year-to-date increase of 17.8%, while the SW General Steel Index and SW Special Steel Index have increased by 15.9% and 17.2% respectively [4] - The price of rebar (HRB400 20mm) is at 3,200 CNY/ton, reflecting a 3% increase week-on-week and a 3.6% increase year-to-date [4] - Hot-rolled coil prices are at 3,260 CNY/ton, with a 0% change week-on-week and a 0% change year-to-date [4] Inventory Levels - The total social inventory of the five major steel products is 1,294 million tons, with a week-on-week increase of 9.6% and a year-to-date increase of 48.4% [6] - The total inventory at steel mills is 550 million tons, showing a week-on-week increase of 3% and a year-to-date increase of 42.8% [6] - Port inventory of iron ore stands at 17,096 million tons, with a week-on-week increase of 0.9% and a year-to-date increase of 7.8% [6] Supply and Demand - The weekly output of the five major steel products is projected to continue increasing, with daily molten iron production expected to rise as well [10] - The report highlights the importance of monitoring the operating rates of blast furnaces and electric furnaces across the country to gauge supply dynamics [12][15]