证券研究报告 | 金融工程 gszqdatemark 2025 08 31 年 月 日 量化周报 市场波动开始加大 市场波动开始加大。本周（8.25-8.29），大盘震荡上行，上证指数全周收 涨 0.84%。在此背景下，双创板块继续大涨。市场的本轮上涨自 4 月 7 日 以来，日线级别反弹已经持续了 4 个多月，反弹幅度也基本在 20%以上， 各大指数和板块的上涨基本都轮动了一遍，上证指数、上证 50、非银、有 色、农林牧渔、消费者服务、商贸零售、纺织服装、计算机、建筑、交运 等板块更是走出了复杂的上涨结构，而银行也已经率先形成了日线级别下 跌，因此我们认为本轮日线级别上涨大概率已临近尾声。短期，市场的波 动开始加大，投资者后续可积极关注市场未来是否出现放量滞涨及放量大 跌迹象。中期来看，上证指数、上证 50、沪深 300、中证 500、深证成指、 创业板指、科创 50 纷纷确认周线级别上涨，而且在日线上只走出了 3 浪 结构，中期牛市刚刚开始；此外，已有 25 个行业处于周线级别上涨中， 且 17 个行业周线上涨走了 1-3 浪结构，因此我们认为本轮牛市是个普涨 分析师 梁思涵 A 股景气指数观察。截至 2 ...

Group 1 - The report recommends a focus on cyclical sectors for August 2025, including oil and petrochemicals, construction, banking, agriculture, building materials, automotive, media, textiles, and pharmaceuticals [2][26][54] - The multi-strategy approach has achieved an annualized relative return of 7.08% since July 2011, with a maximum drawdown of 13.03% [2][26][62] - The dynamic balance strategy has an annualized absolute return of 16.45% from 2015 to July 2025, with a relative maximum drawdown of 10.18% [3][20][50] Group 2 - The macro-driven strategy has an annualized excess return of 4.44% since early 2016, with a maximum drawdown of 9.51% [4][18][42] - The report highlights the performance of various sectors, with the top-performing sectors in July being steel, pharmaceuticals, communications, building materials, and construction [11][12][13] - The report indicates that the current economic diffusion is the most important macro-driven factor, with an importance score of 105.52% [34][39] Group 3 - The report identifies crowded trading conditions in sectors such as coal, non-bank financials, and pharmaceuticals, indicating potential risks in these areas [5][68] - The dynamic balance strategy's absolute return in July was 4.85%, underperforming the benchmark with an excess return of -0.14% [3][50] - The multi-strategy sector allocation for August includes a high weight on oil and petrochemicals, construction, and banking, with no adjustments from the previous period [54][58][62]