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]

Group 1: Macro 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][22]. Group 2: Market Trading Activity - 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 trading at above the 90th percentile [3][27]. - The volatility of the steel and military industries is also 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 banks and automotive sectors seeing a month-on-month increase in research intensity [4][46]. Group 4: Analyst Forecasts - Analysts have simultaneously raised the 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 compared to previous periods [5][54][55]. - Specific sectors such as electric new energy, non-ferrous metals, construction, machinery, and pharmaceuticals have also seen upward adjustments in their 2026/2027 net profit forecasts [5][54]. Group 5: Northbound Trading Activity - Northbound trading activity has decreased, continuing to net sell A-shares. The ratio of buy/sell amounts in sectors like electric new energy, electronics, and automotive has increased, while it has decreased in food and beverage, communications, and non-ferrous metals [6][31]. - Northbound trading primarily net bought coal and oil and petrochemical sectors, while net selling occurred in electronics, computing, chemicals, and other sectors [6][33]. Group 6: Margin Financing Activity - Margin financing activity has slightly rebounded but remains at a low level. The net buying was primarily in electric new energy, chemicals, and computing sectors, while net selling occurred in non-ferrous metals, communications, and military sectors [7][35]. - The financing buy-in ratio has increased across most sectors, indicating a slight recovery in margin financing activity [7][38]. Group 7: Fund Activity - 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 sectors [9][45]. - The correlation of active equity funds with large/mid/small-cap growth has increased, while the correlation with value stocks has decreased [9][48].

- The report tracks the market performance of various indices and sectors for the week of March 9, 2026, to March 13, 2026, highlighting the divergence in performance among different indices and sectors[1][12][13] - The report includes a quantitative sentiment tracking section, which discusses volume-based timing signals for various indices, indicating a bullish view for indices like the Shanghai Composite Index, SSE 50, CSI 300, and CSI 500, while maintaining a cautious view for others like CSI 1000 and the ChiNext Index[24][25] - The report introduces the "Number of Rising Stocks in CSI 300" sentiment indicator, which calculates the proportion of CSI 300 constituent stocks with positive returns over a given period to gauge market sentiment[26] - The report also discusses the "Moving Average Sentiment Indicator," which uses the eight moving averages of the CSI 300 closing price to determine market trends and sentiment[33][34] - The report evaluates market profitability through cross-sectional and time-series volatility, noting that the short-term Alpha environment has deteriorated for indices like CSI 300, CSI 500, and CSI 1000[38][39][42] - The report tracks institutional research activities, highlighting the most researched stocks and sectors, and provides data on the number of research activities conducted by different types of institutions[43][45][53][55] - The report includes a section on stock index futures tracking, providing weekly statistics for various futures contracts like IF, IH, IC, and IM, and discussing the changes in basis and annualized returns[58][59][60][61] - The report tracks southbound capital flows, noting a net inflow of HKD 524.40 billion for the week, with specific inflows from the Shanghai and Shenzhen Stock Connects[72][74] - The report provides data on changes in financing scale, noting an increase in financing balance by CNY 182.78 billion as of March 12, 2026[74][75] - The report tracks the ETF market, providing data on weekly returns and net inflows/outflows for different types of ETFs, including stock, cross-border, Hong Kong, and commodity ETFs[76][77][78] - The report discusses the tracking of fund clustering degree, using the degree of separation indicator to monitor the clustering degree of funds, noting a slight decline in the clustering degree as of March 13, 2026[84][86][87]

证券研究报告 | 2026年03月15日 港股市场速览 优于大市 整体业绩下修反转，能源板块上涨强势 股价表现：整体回撤放缓，能源板块强势 本周，恒生指数-1.1%（上周-3.3%），恒生综指-1.0%（上周-3.8%）。风格 方面，小盘（恒生小型股+1.5%）＞大盘（恒生大型股-1.0%）＞中盘（恒生 中型股-2.2%）。 主要概念指数多数下跌。上涨幅度较大的主要有恒生科技（+0.6%）；下跌 幅度较大的主要有恒生生物科技（-4.0%）。 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（+1.6%）； 下跌的主要有 ROE 策略进攻型（-4.9%）。 11 个行业上涨，19 个行业下跌。上涨的主要有：煤炭（+11.5%）、石油石 化（+8.5%）、电力设备及新能源（+7.0%）、传媒（+3.8%）、汽车（+2.4%）； 下跌的主要有：国防军工（-8.2%）、纺织服装（-4.8%）、机械（-4.0%）、 房地产（-3.9%）、银行（-3.6%）。 估值水平：整体略有回落，行业分化显著 本周，恒生指数估值（动态预期 12 个月正数市盈率，后同）-0.2%至 11.2x； 恒生综指估值-0.6%至 1 ...

Core Insights - The report highlights the current allocation of the Bank of China’s multi-strategy industry rotation system, with significant positions in basic chemicals (15.3%), agriculture, forestry, animal husbandry, and fishery (14.1%), and power equipment and new energy (13.9) [1] - The average weekly return for the CITIC primary industries is 1.3%, with the best-performing sectors being coal (6.4%), power equipment and new energy (6.1%), and agriculture, forestry, animal husbandry, and fishery (5.7%) [3][10] - The composite strategy achieved a cumulative return of 2.4% this week, outperforming the CITIC primary industry equal-weight benchmark by 1.1% [3][10] Industry Performance Review - The report indicates that the best-performing sectors for the week include coal (6.4%), power equipment and new energy (6.1%), and agriculture, forestry, animal husbandry, and fishery (5.7%), while the worst performers are petroleum and petrochemicals (-4.8%), defense and military (-3.0%), and non-ferrous metals (-2.7%) [3][10] - The average weekly return across 30 CITIC primary industries is 1.3%, with a similar average return over the past month [10] Valuation Risk Warning - The report employs a valuation warning system based on the past six years' PB ratios, indicating that sectors such as non-ferrous metals, defense and military, petroleum and petrochemicals, machinery, coal, and power and utilities are currently above the 95% percentile of historical PB valuations, triggering a high valuation warning [12][13] Single Strategy Rankings and Recent Performance - The top three industries based on the high prosperity industry rotation strategy (S1) are agriculture, forestry, animal husbandry, and fishery, non-bank financials, and power equipment and new energy [14][15] - The report outlines that the S2 implied sentiment momentum strategy ranks the top three industries as power equipment and new energy, communication, and basic chemicals [19] Composite Strategy Allocation and Performance Review - The composite strategy continues to increase positions in midstream non-cyclical sectors while reducing exposure to real estate and midstream cyclical sectors [3][10] - The report details that the composite strategy's current industry allocation includes significant weights in basic chemicals, agriculture, forestry, animal husbandry, and fishery, and power equipment and new energy [1] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries based on current macro indicators as banking, home appliances, power and utilities, construction, transportation, and agriculture, forestry, animal husbandry, and fishery [24][25]

Market Performance Review - The equity market has shown strong performance this year, with the CSI 2000, CSI 1000, and CSI Dividend indices performing relatively well. The cyclical style leads the market, followed by growth and stability styles. Strong sectors include coal, oil and petrochemicals, non-ferrous metals, building materials, electric equipment, and new energy [3][8] - In the commodity market, the South China crude oil index has performed relatively well this year [11] - The commodity fund index has also shown strong performance, benefiting from the rise in oil and gold prices [11] ETF Fund Capital Tracking - As of now, the cyclical sector (real estate, oil, coal, non-ferrous metals, steel, building materials, chemicals) has a relatively high capital heat. The top 5 ETFs by capital heat are: Huaan Gold ETF, Haifutong CSI Short Bond ETF, Fortune CSI Hong Kong Stock Connect Internet ETF, Huaxia CSI Electric Grid Equipment Theme ETF, and Hang Seng Technology [15][17] - The capital heat is assessed based on net inflows over various time frames, with the cyclical sector showing a capital heat score of 100 [15][16] Future Strategy Outlook - The year 2026 marks the beginning of the "14th Five-Year Plan." Key tasks outlined in the government work report include building a strong domestic market, fostering new growth drivers, and enhancing technological self-reliance [18][19] - The economic recovery transmission chain indicates that in a context of interest rate cuts and weakened dollar credit, financial assets (gold, silver) perform strongly first, followed by industrial metals (copper), and then energy and chemical sectors due to supply constraints and demand recovery [22] - The current market cycle can be compared to the 2014 cycle, which was divided into three phases. The current cycle is characterized by growth leading, followed by a potential catch-up phase for cyclical and consumer styles [24][25]