机构调研： 银行、电子、计算机、电新、医药等板块调研热度居前，家电、有色、消费者服务、食品饮料、商贸零售等板块的调 研热度环比仍在上升。 分析师预测： 全 A 的 26/27 年净利润预测重新同时被下调。行业上，石油石化、有色、电子、钢铁、军工、房地产、轻工等 26/27 年净利润预测均被上调。指数上，中证 500 的 26/27 年净利润预测均被上调，上证 50、沪深 300、创业板指则均被下 调。风格上，大盘/中盘成长、中盘价值的 26/27 年的净利润预测均被上调，大盘/小盘价值的 26/27 年的净利润预测 均被下调，小盘成长的 26/27 年的净利润预测分别被下调/上调。 宏观流动性： 上周美元指数有所回升，中美利差"倒挂"程度继续加深。10Y 美债名义/实际利率均继续回升，通胀预期回落。离岸 美元流动性边际继续收紧，国内银行间资金面均衡，期限利差(10Y-1Y)收窄。 交易热度、波动与流动性： 市场交易热度继续回落，多数指数的波动率均回落。公用事业、轻工、石油石化、建筑、电新、化工等板块的交易热 度均处于 90%分位数以上。有色、钢铁、石油石化、军工板块的波动率处于 90%历史分位数以上。 北上活 ...

证券研究报告 | 策略专题研究 | 中国策略 策略专题研究 报告日期：2026 年 03 月 29 日 四月：中大市值，能源安全，通胀友好，估值偏低，业绩确定 ——板块轮动月报（2026 年 4 月） 核心观点 4 月风格配置方面，预计市值风格偏大盘，估值风格偏均衡，行业风格偏传统。行业 配置方面，寻找不受损于能源价格上行且（或）相对低估值/低位置的板块，例如交通 运输、电力设备及新能源、煤炭、电力及公用事业、银行、医药、基础化工、农林牧 渔等。此外，个别业绩确定性强的科技行业仍可提供一定的安全性。 ❑ 风格轮动：市值风格偏大盘，估值风格偏均衡，行业风格偏传统产业。 1）市值（规模）风格：根据风格比较表，巨潮大盘＞巨潮中盘＞巨潮小盘，市值 风格或偏向大盘；2）估值风格：成长和价值风格无显著差异，估值风格或偏向均 衡，大盘价值和大盘成长都有机会；3）中信行业风格：稳定＞金融＞消费＞周期 ＞成长。综合而言，4 月聚焦大市值均衡风格，重点关注稳定性和顺周期两个特 征。 核心逻辑：（1）PPI 回暖势头向好支撑业绩增速，传统行业相对受益。（2）进入业 绩密集披露期，历史上 4 月是股价与业绩相关性较强的时段。（3）油 ...

证券研究报告 | 2026年03月27日 热点追踪周报 由创新高个股看市场投资热点（第 236 期） 乘势而起：市场新高趋势追踪：截至 2026 年 3 月 27 日，上证指数、深证 成指、沪深 300、中证 500、中证 1000、中证 2000、创业板指、科创 50 指数 250 日新高距离分别为 6.43%、5.13%、6.01%、10.64%、9.51%、9.52%、 2.73%、16.40%。中信一级行业指数中电力及公用事业、电力设备及新 能源、煤炭、通信、石油石化行业指数距离 250 日新高较近，食品饮料、 商贸零售、综合金融、非银行金融、房地产行业指数距离 250 日新高较 远。概念指数中，锂矿、钠离子电池、电力公用事业、储能、光伏逆变 器、电气部件与设备、锂电池等概念指数距离 250 日新高较近。 见微知著：利用创新高个股进行市场监测：截至 2026 年 3 月 27 日，共 961 只股票在过去 20 个交易日间创出 250 日新高。其中创新高个股数量最多的 是电力设备及新能源、基础化工、机械行业，创新高个股数量占比最高的是 石油石化、煤炭、电力及公用事业行业。按照板块分布来看，本周周期、科 ...

报 告 摘 要 乘势而起：市场新高趋势追踪 触及新高的个股、行业和板块可被视为市场的风向标。越来越多的研究表明动量、趋势跟踪策略的有效性。本报告旨在定期跟踪市场中创新高的个股及其 分布，以追踪市场趋势、把握市场热点。 截至2026年3月27日，上证指数、深证成指、沪深300、中证500、中证1000、中证2000、创业板指、科创50指数250日新高距离分别为6.43%、 5.13%、6.01%、10.64%、9.51%、9.52%、2.73%、16.40%。中信一级行业指数中电力及公用事业、电力设备及新能源、煤炭、通信、石油石化行 业指数距离250日新高较近，食品饮料、商贸零售、综合金融、非银行金融、房地产行业指数距离250日新高较远。概念指数中，锂矿、钠离子电池、电力 公用事业、储能、光伏逆变器、电气部件与设备、锂电池等概念指数距离250日新高较近。 见微知著：利用创新高个股进行市场监测 截至2026年3月27日，共961只股票在过去20个交易日间创出250日新高。其中创新高个股数量最多的是电力设备及新能源、基础化工、机械行业，创新 高个股数量占比最高的是石油石化、煤炭、电力及公用事业行业。按照板块分布来看 ...

登记编码：S0730511010001 zhanggang@ccnew.com 021-50586990 有色电力行业领涨 A 股震荡上行 ——市场分析 分析师：张刚 相关报告 《市场分析：汽车能源行业领涨 A 股宽幅震 荡》 2026-03-23 《市场分析：光伏电池行业领涨 A 股震荡整 固》 2026-03-22 《市场分析：能源电力行业领涨 A 股宽幅震 荡》 2026-03-19 联系人： 李智 电话： 0371-65585629 地址： 郑州郑东新区商务外环路10号18楼 地址： 上海浦东新区世纪大道 1788 号 T1 座 22 楼 证券研究报告-市场分析 发布日期：2026 年 03 月 24 日 投资要点： ◼ A 股市场综述 周二（03 月 24 日）A 股市场先抑后扬、震荡上行，早盘股指高开后 震荡回落，盘中沪指在 3807 点附近获得支撑，随后股指企稳回升， 盘中有色金属、通信设备、电力以及电网设备等行业表现较好；稀 土、保险、石油石化以及煤炭等行业表现较弱，沪指全天基本呈现 震荡上行的运行特征。创业板市场周二震荡上扬，创业板成分指数 全天表现弱于主板市场。 ◼ 后市研判及投资建议 周 ...

宏观流动性： 上周美元指数震荡回落，中美利差"倒挂"程度继续加深。10Y 美债名义/实际利率均继续回升，通胀预期同样延续回 升。离岸美元流动性边际继续小幅收紧，国内银行间资金面均衡，期限利差(10Y-1Y)延续走阔。 交易热度、波动与流动性： 市场交易热度继续回落，主要指数的波动率均延续回升。公用事业、化工、石油石化、建筑、轻工等板块的交易热度 均处于 90%分位数以上。有色、钢铁、军工、石油石化板块的波动率处于 90%历史分位数以上。 机构调研： 银行、电子、计算机、电新、医药等板块调研热度居前，轻工、计算机、建材等板块的调研热度环比仍在上升。 分析师预测： 全 A 的 26/27 年净利润预测同时被继续上调。行业上，建材、钢铁、电子、房地产、计算机等 26/27 年净利润预测均 被上调。指数上，沪深 300、上证 50 的 26/27 年净利润预测均被上调，创业板指、中证 500 则均被下调。风格上，中 盘成长/价值的 26/27 年的净利润预测均被上调，小盘成长则均被下调，大盘成长、大盘价值的 26/27 年的净利润预 测分别被上调/下调，小盘价值的 26/27 年的净利润预测分别被下调/上调。 北上活 ...

Core Viewpoint - The long-term stabilization and recovery of corporate profit margins is a necessary prerequisite for the sustained improvement of the A-share market [1] Group 1: A-share Market Dynamics - The next phase of A-share development needs to focus on the global market, with attention on how Chinese companies can capture larger market shares and enhance pricing power [1] - The overseas revenue share of the top 30 manufacturing companies has increased to 45%, indicating the rising global competitiveness of Chinese manufacturing [2] Group 2: Industry Opportunities - The energy and chemical sectors are identified as key areas where industry narratives can translate into actual performance, with the next quarter being a critical verification period for profit margins [2][3] - Emerging sectors in chemicals, non-ferrous metallurgy, new energy, and lithium batteries also show long-term growth potential, although performance validation in these areas requires a longer observation period [3] Group 3: Investment Strategies - Aggressive investors are advised to focus on sectors with significant expected differences to seize elastic opportunities, while conservative investors may find the stability and certainty of the AI infrastructure chain more appealing [4] - The core trends in the Chinese market include the continuous enhancement of pricing power in advantageous manufacturing, accelerated disruptive innovation in AI, and increased disturbances in the global energy and chemical supply chain [4] Group 4: Long-term Investment Focus - The investment strategy should center around the revaluation of pricing power in Chinese advantageous manufacturing, focusing on sectors with global share advantages and high barriers to capacity reset, such as chemicals, non-ferrous metals, power equipment, and new energy [4]

本周，恒生指数-0.7%（上周-1.1%），恒生综指-1.7%（上周-1.0%）。风格 方面，大盘（恒生大型股-1.5%）＞中盘（恒生中型股-2.3%）＞小盘（恒生 小型股-3.0%）。 主要概念指数多数下跌。上涨幅度较大的主要有恒生生物科技（+0.5%）； 下跌幅度较大的主要有恒生互联网（-3.0%）。 证券研究报告 | 2026年03月22日 港股市场速览 优于大市 汽车与电新行业逆势发力 股价表现：市场全风格回撤，新能源板块较优 主要概念指数 EPS 预期分化。上修幅度较大的主要有恒生生物科技（+1.3%）； 下修幅度较大的主要有恒生互联网（-2.0%）。 国信海外选股策略组合 EPS 预期分化。上修的主要有 ROE 策略防御型 （+0.7%）；下修幅度较大的主要有 ROE 策略进攻型（-5.8%）。 国信海外选股策略组合多数下跌。上涨的主要有自由现金流 30（+2.7%）； 下跌的主要有红利贵族 50（-1.8%）。 9 个行业上涨，21 个行业下跌。上涨的主要有：汽车（+2.1%）、电力设备 及新能源（+1.9%）、银行（+1.8%）、非银行金融（+1.6%）、石油石化（+1.4%）； 下跌的主要有 ...

Quantitative Models and Factors Summary Quantitative Models and Construction Methods - **Model Name**: Rotation Model **Model Construction Idea**: The model aims to allocate between micro-cap stocks and the "Mao Index" based on relative performance and timing indicators[19][27] **Model Construction Process**: 1. **Rotation Indicators**: - Use the relative net value of micro-cap stocks to the Mao Index. If the value is above the 243-day moving average, the preference is for micro-cap stocks; otherwise, the Mao Index is preferred. - Incorporate the 20-day closing price slope of both indices. When the slopes diverge and one is positive, allocate to the index with a positive slope[19][27] 2. **Timing Indicators**: - Use the 10-year government bond yield (threshold: 0.3) and micro-cap stock volatility crowding degree (threshold: 0.55). If either indicator reaches its threshold, a liquidation signal is triggered[19][27] **Model Evaluation**: The model currently signals a balanced allocation between micro-cap stocks and the Mao Index, with no systemic risk detected in the medium term[19][20][27] Quantitative Factors and Construction Methods - **Factor Name**: Value Factor **Factor Construction Idea**: Focuses on stocks with low valuation metrics, such as price-to-book and price-to-earnings ratios, to identify undervalued opportunities[55][67][70] **Factor Construction Process**: - Key metrics include: - **BP_LR**: Book value per share divided by market price - **EP_FTTM**: Forward 12-month earnings divided by market price - **SP_TTM**: Trailing 12-month sales divided by market price[67][70] **Factor Evaluation**: The value factor performed strongly in the past week, driven by market preference for cyclical and high-dividend assets amid geopolitical and inflationary concerns[55][56] - **Factor Name**: Volatility Factor **Factor Construction Idea**: Measures stock price stability and identifies opportunities in low-volatility stocks[55][67][70] **Factor Construction Process**: - Key metrics include: - **IV_CAPM**: Residual volatility from the CAPM model - **IV_FF**: Residual volatility from the Fama-French three-factor model - **Volatility_60D**: Standard deviation of 60-day returns[67][70] **Factor Evaluation**: The volatility factor showed excellent performance, reflecting market demand for stability during periods of heightened uncertainty[55][56] - **Factor Name**: Technical Factor **Factor Construction Idea**: Utilizes historical price and volume patterns to predict future stock movements[55][67][70] **Factor Construction Process**: - Key metrics include: - **Turnover_Mean_20D**: 20-day average turnover rate - **Price_Chg20D**: 20-day price change - **Skewness_240D**: Skewness of 240-day returns[67][70] **Factor Evaluation**: The technical factor also performed well, benefiting from short-term trading opportunities in a volatile market[55][56] - **Factor Name**: Growth Factor **Factor Construction Idea**: Identifies companies with strong earnings and revenue growth potential[55][67][70] **Factor Construction Process**: - Key metrics include: - **NetIncome_SQ_Chg1Y**: Year-over-year growth in quarterly net income - **OperatingIncome_SQ_Chg1Y**: Year-over-year growth in quarterly operating income - **Revenues_SQ_Chg1Y**: Year-over-year growth in quarterly revenues[67][70] **Factor Evaluation**: The growth factor underperformed due to market rotation into value and defensive sectors[55][56] - **Factor Name**: Convertible Bond Factors **Factor Construction Idea**: Combines equity and bond characteristics to identify attractive convertible bond opportunities[64][67] **Factor Construction Process**: - Key metrics include: - **Parity Premium**: Difference between the convertible bond price and its parity value - **Underlying Stock Metrics**: Factors such as growth, valuation, and quality of the underlying stock[64][67] **Factor Evaluation**: Convertible bond factors, particularly valuation and underlying stock value, achieved high IC averages last week[64][65] Backtesting Results of Models and Factors - **Rotation Model**: - Relative net value of micro-cap stocks to Mao Index: 2.49 (above the 243-day moving average of 1.97)[19][27] - 20-day closing price slope: Micro-cap stocks at 0.2%, Mao Index at -0.29%[19][27] - Volatility crowding degree: 3.37% (below the risk threshold of 55%)[19][22] - 10-year government bond yield: -2.27% (below the risk threshold of 0.3%)[19][22] - **Quantitative Factors**: - **Value Factor**: IC mean of 20.98%[55][56] - **Volatility Factor**: IC mean of 22.08%[55][56] - **Technical Factor**: IC mean of 10.07%[55][56] - **Growth Factor**: IC mean of -6.32%[55][56] - **Convertible Bond Factors**: High IC averages for valuation and underlying stock value[64][65]

Group 1: Macroeconomic Liquidity - The US dollar index continued to rise, and the degree of inversion in the China-US interest rate spread deepened, with inflation expectations also increasing [2][16] - Offshore US dollar liquidity has marginally tightened, while the domestic interbank funding situation remains balanced [2][23] Group 2: Market Trading Activity and Volatility - Market trading activity has decreased, with major indices experiencing increased volatility; sectors such as oil and petrochemicals, electric new energy, public utilities, and construction are above the 90th percentile in trading activity [3][28] - The volatility of major indices, including the CSI 300 and ChiNext, has continued to rise, with steel and military sectors also showing volatility above the 90th historical percentile [3][35] Group 3: Institutional Research - The banking, electronics, electric new energy, computing, and automotive sectors are leading in research activity, with banking and automotive sectors showing a month-on-month increase in research heat [4][46] Group 4: Analyst Forecasts - Analysts have simultaneously raised net profit forecasts for the entire A-share market for 2026/2027, with increases noted in sectors such as electric new energy, non-ferrous metals, construction, machinery, and pharmaceuticals [5][19] - The proportion of stocks with upward revisions in net profit forecasts for 2026/2027 has increased across the A-share market [5][17] Group 5: Northbound Trading Activity - Northbound trading activity has decreased, continuing to net sell A-shares, with a notable increase in the buy/sell ratio for electric new energy, electronics, and automotive sectors [6][32] - Northbound trading primarily net bought coal and oil and petrochemical sectors, while net selling occurred in electronics, computing, and chemicals [6][33] Group 6: Margin Financing Activity - Margin financing activity has slightly increased but remains at a low level, with net buying primarily in electric new energy, chemicals, and computing sectors [7][35] - The proportion of financing purchases has increased across most sectors, with net buying focused on mid-cap growth and mid/small-cap value stocks [7][38] Group 7: Active Equity Funds and ETFs - Active equity funds have increased their positions, particularly in military, machinery, and automotive sectors, while reducing positions in non-ferrous metals, oil and petrochemicals, and steel [9][45] - ETFs have continued to experience net redemptions, particularly in broad-based indices like CSI 500, CSI 300, and ChiNext, while sectors such as electric power and public utilities saw net inflows [9][52]