证券研究报告 | A 股策略周报 | 中国策略 A 股策略周报 报告日期：2025 年 10 月 08 日 偏多震荡相互拉扯，战略认慢牛、战术细操作 ——A 股市场运行周报第 61 期 核心观点 国庆节前两个交易日，主要宽基指数多数收涨。从国庆期间外盘表现看，欧美、日韩 整体上涨，港股、A50 指数小幅下跌（截止 10 月 8 日 10:00），预计 A 股节后开盘大 概率是震荡格局。展望后市，我们推测上证指数有两种运行路径：一是直接突破前高， 形成日线 5 浪结构；二是先进行区间震荡，此后再行突破。基于"战略看多 A 股走势， 战术执行细化操作"的判断，我们建议：若遇到上证指数回踩震荡区间下沿，则以逢 低增配为主，依旧中线看多做多。行业配置方面，建议绝对收益资金重点关注有补涨 需求的券商板块（尤其是年线附近品种），同时盯紧近期走势稳健、利好频出的地产板 块（后续可延伸至基建工程）；考虑双创指数目前高风险、高收益特征，建议相对收益 资金采取"三项对策"：一是采取上升趋势线或相关均线作为操作依据；二是区分中、 短仓位，短线仓缩短操作周期；三是在科技板块内"高切低"，不断发掘年线附近的补 涨品种。 ❑ 上周（20 ...

一、ETF行业快讯 1.指数走势 今日，三大指数涨跌互现，上证综指上涨0.52%，深证成指上涨0.35%，创业板指较前日不变。多只有 色金属板块ETF上涨，其中，稀有金属ETF基金（561800.SH）上涨4.99%，稀有金属ETF（159608.SZ） 上涨4.38%，稀有金属ETF基金（159671.SZ）上涨4.35%。非银金融板块多只ETF下跌，证券ETF龙头 （159993.SZ）下跌1.53%，券商ETF（159842.SZ）下跌1.40%，证券保险ETF（512070.SH）下跌 1.36%。 据第一财经，赛迪顾问发布报告显示，随着科技的不断进步，有色金属产业将更加注重高性能、特种合 金及复合材料的研发与应用。这些新材料将在航空航天、新能源汽车、电子信息、高端装备制造等战略 性新兴产业中发挥关键作用，推动产业升级。随着制造业对有色金属材料和制品的需求持续增长，有色 金属材料产业预计将保持稳定增长的态势。 2.科创债ETF扩容提速 债券市场迎来"科技时刻" 据上海证券报，科创债ETF市场再度扩容。9月24日，第二批14只科创债ETF集体上市，首日即有5只产 品规模突破百亿元。叠加首批10只产品12 ...

- The report does not contain any quantitative models or factors for analysis[1][2][3]

9月17日，国新办举行"高质量完成'十四五'规划"系列主题新闻发布会。 国务院国资委主任张玉卓在发布会上介绍，"十四五"以来，中央企业资产总额从不到70万亿元增长到超过90万亿元，利润总额从1.9万亿元增 长到2.6万亿元，年均增速分别达到7.3%和8.3%。 在科技创新方面，中央企业发挥着重大作用。研发经费连续三年超过万亿元，参与了全部国家科技重大专项攻关，打造了97个原创技术策源 地，组建了23个创新联合体，加快打造国家战略科技力量。 2025年是国有企业改革深化提升行动的收官之年。"十四五"期间，6组10家企业实施战略性重组，9家新的中央企业组建成立，邮轮运营等领域 的专业化整合，有效提高了国有资本的配置和运行效率。 中国企业联合会、中国企业家协会副秘书长郝玉峰向21世纪经济报道记者表示，"加大专业化重组力度，成立新的央企，这些举措有助于更好 发挥央企科技创新、产业控制、安全支撑的重要作用，中央企业要聚焦布局结构优化调整，持之以恒提高资源配置效率，塑造一批核心功能突 出、竞争优势显著的现代新国企。" 图片来源：新华社 质量更优，"家底"更厚 从各项数据来看，中央企业"稳"的基础不断夯实，"进"的态势持续 ...

Group 1: Central Enterprises' Development - During the "14th Five-Year Plan" period, central enterprises' total assets increased from less than 70 trillion yuan to over 90 trillion yuan, with total profits rising from 1.9 trillion yuan to 2.6 trillion yuan, achieving annual growth rates of 7.3% and 8.3% respectively [2] - The operating income profit margin improved from 6.2% to 6.7%, and labor productivity per employee increased from 594,000 yuan to 817,000 yuan, indicating significant enhancements in quality and efficiency [2] - Central enterprises have played a crucial role in national economic growth and technological innovation, successfully tackling key technologies in fields such as integrated circuits and industrial software [2] Group 2: Contribution to National Goals - Central enterprises contributed over 10 trillion yuan in taxes and transferred 1.2 trillion yuan of state-owned equity to social security funds during the "14th Five-Year Plan" [3] - They are responsible for approximately 80% of crude oil, 70% of natural gas, and 60% of electricity supply, playing an irreplaceable role in energy security and logistics [3] - Central enterprises have engaged in over 6,000 overseas investment cooperation projects related to the Belt and Road Initiative, supporting major national strategies [3] Group 3: Expansion of Service Consumption - The Ministry of Commerce and other departments introduced 19 measures to boost service consumption, highlighting the importance of service consumption in driving economic growth [4] - Service consumption accounted for 46.1% of per capita consumption expenditure last year, contributing 63% to overall consumption growth [4][5] - There is a notable shift in consumer spending towards services such as dining and tourism, indicating a transition to a service-oriented consumption structure [5]

21世纪经济报道见习记者张旭 北京报道 国务院国资委主任张玉卓在发布会上介绍，"十四五"以来，中央企业资产总额从不到70万亿元增长到超 过90万亿元，利润总额从1.9万亿元增长到2.6万亿元，年均增速分别达到7.3%和8.3%。 在科技创新方面，中央企业发挥着重大作用。研发经费连续三年超过万亿元，参与了全部国家科技重大 专项攻关，打造了97个原创技术策源地，组建了23个创新联合体，加快打造国家战略科技力量。 2025年是国有企业改革深化提升行动的收官之年。"十四五"期间，6组10家企业实施战略性重组，9家新 的中央企业组建成立，邮轮运营等领域的专业化整合，有效提高了国有资本的配置和运行效率。 中国企业联合会、中国企业家协会副秘书长郝玉峰向21世纪经济报道记者表示，"加大专业化重组力 度，成立新的央企，这些举措有助于更好发挥央企科技创新、产业控制、安全支撑的重要作用，中央企 业要聚焦布局结构优化调整，持之以恒提高资源配置效率，塑造一批核心功能突出、竞争优势显著的现 代新国企。" 质量更优，"家底"更厚 从各项数据来看，中央企业"稳"的基础不断夯实，"进"的态势持续巩固。 "十四五"以来，中央企业资产总额从不到7 ...

Quantitative Models and Construction 1. Model Name: Three-Dimensional Timing Framework - **Model Construction Idea**: The model integrates three dimensions—divergence, liquidity, and prosperity—to assess market timing and provide investment recommendations[7][13] - **Model Construction Process**: 1. **Divergence**: Measures the degree of disagreement among market participants, reflecting the balance between bullish and bearish sentiments 2. **Liquidity**: Tracks the overall market liquidity trend, indicating the availability of funds in the market 3. **Prosperity**: Evaluates the economic and market growth momentum 4. The model combines these three indicators to generate a composite signal for market timing decisions, such as reducing positions during a "divergence up, liquidity down" scenario[7][13] - **Model Evaluation**: The model provides a systematic and multi-dimensional approach to market timing, offering insights into market trends and potential risks[7][13] --- Quantitative Factors and Construction 1. Factor Name: Size Factor - **Factor Construction Idea**: Captures the performance difference between large-cap and small-cap stocks[39] - **Factor Construction Process**: 1. Define the market capitalization of stocks 2. Construct portfolios based on size rankings 3. Measure the return spread between large-cap and small-cap portfolios[39] - **Factor Evaluation**: The size factor recorded a positive return of 1.57% in the past week, indicating that large-cap stocks outperformed small-cap stocks during this period[39][43] 2. Factor Name: Beta Factor - **Factor Construction Idea**: Measures the sensitivity of a stock's returns to market movements[40] - **Factor Construction Process**: 1. Calculate the beta of individual stocks using historical return data 2. Construct portfolios based on beta rankings 3. Measure the return spread between high-beta and low-beta portfolios[40] - **Factor Evaluation**: The beta factor achieved a return of 1.08% in the past week, suggesting that high-beta stocks outperformed low-beta stocks[40][43] 3. Factor Name: Growth Factor - **Factor Construction Idea**: Identifies stocks with high growth potential based on financial metrics[40] - **Factor Construction Process**: 1. Use metrics such as revenue growth, earnings growth, and other growth-related indicators 2. Construct portfolios based on growth rankings 3. Measure the return spread between high-growth and low-growth portfolios[40] - **Factor Evaluation**: The growth factor recorded a return of 0.42% in the past week, indicating that high-growth stocks slightly outperformed their low-growth counterparts[40][43] 4. Factor Name: Single-Quarter ROE YoY Difference (ROE_Q_Delta) - **Factor Construction Idea**: Measures the year-over-year change in return on equity (ROE) for a single quarter, reflecting profitability trends[46][47] - **Factor Construction Process**: 1. Calculate the ROE for the current quarter and the same quarter in the previous year 2. Compute the difference between the two values 3. Construct portfolios based on the ROE YoY difference rankings[46][47] - **Factor Evaluation**: This factor performed well across various indices, with a multi-week excess return of 8.23% in the CSI 300 index and 9.38% in the CSI 1000 index[46][47] 5. Factor Name: Revenue Growth YoY (YOY_OR) - **Factor Construction Idea**: Tracks the year-over-year growth in revenue, highlighting companies with strong top-line growth[42][44] - **Factor Construction Process**: 1. Calculate the revenue growth rate for the current period compared to the same period in the previous year 2. Construct portfolios based on revenue growth rankings 3. Measure the return spread between high-growth and low-growth portfolios[42][44] - **Factor Evaluation**: The factor achieved a weekly excess return of 2.14% and a monthly excess return of 6.48%, demonstrating strong performance in identifying growth opportunities[42][44] --- Backtesting Results of Models and Factors 1. Three-Dimensional Timing Framework - **Annualized Excess Return**: 13.5% since 2018 - **IR**: 1.7 - **Weekly Absolute Return**: 0.9% - **Weekly Excess Return**: -1% relative to equal-weighted industry benchmarks[35][38] 2. Size Factor - **Weekly Return**: 1.57% - **Monthly Return**: 4.70% - **Year-to-Date Return**: -29.21%[43] 3. Beta Factor - **Weekly Return**: 1.08% - **Monthly Return**: 2.99% - **Year-to-Date Return**: 27.49%[43] 4. Growth Factor - **Weekly Return**: 0.42% - **Monthly Return**: 4.11% - **Year-to-Date Return**: -3.28%[43] 5. Single-Quarter ROE YoY Difference (ROE_Q_Delta) - **Weekly Excess Return**: 8.23% (CSI 300), 9.38% (CSI 1000) - **Monthly Excess Return**: 10.17% (CSI 1000)[46][47] 6. Revenue Growth YoY (YOY_OR) - **Weekly Excess Return**: 2.14% - **Monthly Excess Return**: 6.48%[42][44]

Core Viewpoint - The National Development and Reform Commission (NDRC) has issued a notice to enhance the regular application and recommendation process for Real Estate Investment Trusts (REITs) in the infrastructure sector, emphasizing the importance of high-quality projects that align with national strategies and policies [1] Group 1: Project Application and Quality Control - The notice calls for accelerating the regular application of mature asset type projects, prioritizing high-quality infrastructure projects that contribute to major national strategies and policies [1] - There is a focus on selecting projects that are significant for expanding the REITs market, particularly those with larger fund sizes [1] Group 2: Encouraged Asset Types - The NDRC encourages the application of mature asset types such as toll roads, clean energy, warehousing and logistics, and affordable rental housing [1] - There is an emphasis on increasing the organization of potential asset types like heating, water conservancy, and data centers, which have significant issuance potential [1] Group 3: New Asset Types Exploration - The notice promotes the exploration of new asset types for issuance, including railways, ports, ultra-high voltage transmission, communication towers, market-oriented rental housing, cultural tourism, specialized markets, and elderly care facilities [1] - Efforts will be made to address challenges and expedite the fulfillment of issuance conditions for these new asset types [1]

Quantitative Models and Construction 1. Model Name: Timing Model for Nonferrous Metals - **Model Construction Idea**: This model uses macroeconomic scoring to time the allocation between the CSI SW Nonferrous Metals Index and the Wind All A Index, leveraging the dominant role of copper and other industrial metals in the nonferrous metals sector[19][20] - **Model Construction Process**: - The macroeconomic score for copper is calculated based on global economic and inflationary factors - Allocation Rule: - If the macro score > 0, allocate to the CSI SW Nonferrous Metals Index - Otherwise, allocate to the Wind All A Index - Backtesting Period: March 2009 to September 2025 - Formula: Not explicitly provided, but the scoring system is based on historical macroeconomic data[19][20] - **Model Evaluation**: The model demonstrates strong timing ability, capturing the upward trends in the nonferrous metals sector, except during 2012-2013 when the sector underperformed despite a bullish signal[20] 2. Model Name: Comprehensive Allocation Strategy - **Model Construction Idea**: This strategy dynamically allocates weights to industries based on their economic cycle signals (upward, flat, or downward) and crowding levels, with flat-cycle industries receiving half the weight of upward-cycle industries[35] - **Model Construction Process**: - Identify industries with upward or flat economic cycle signals - Exclude industries with high crowding levels - Assign weights: - Upward-cycle industries: Full weight - Flat-cycle industries: Half weight - Monthly updates based on the latest signals[35] - **Model Evaluation**: The strategy underperformed its benchmarks in the most recent month, suggesting potential limitations in capturing short-term market dynamics[35] --- Model Backtesting Results 1. Timing Model for Nonferrous Metals - **Excess Return**: 245% relative to the Wind All A Index during the backtesting period (March 2009 - September 2025)[20] 2. Comprehensive Allocation Strategy - **1-Month Return**: 4.6% - **Excess Return vs. Equal-Weighted Index**: -5.7% - **Excess Return vs. CSI 800**: -3.9%[35][39] --- Quantitative Factors and Construction 1. Factor Name: Macroeconomic Score for Copper - **Factor Construction Idea**: This factor evaluates the economic and inflationary environment to assess the attractiveness of copper as a leading indicator for the nonferrous metals sector[19][21] - **Factor Construction Process**: - Historical macroeconomic data is used to calculate a score for copper - The score ranges from negative to positive, reflecting unfavorable to favorable conditions[21] - Formula: Not explicitly provided, but the scoring system is derived from macroeconomic indicators[21] 2. Factor Name: Sector Crowding Indicator - **Factor Construction Idea**: This factor measures the crowding level in various sectors to identify potential risks of over-concentration[32][34] - **Factor Construction Process**: - Calculate the crowding level for each sector based on historical trading data - Identify sectors exceeding the 95% warning threshold[32][34] --- Factor Backtesting Results 1. Macroeconomic Score for Copper - **Latest Score**: 4, indicating a historically high level of attractiveness for the nonferrous metals sector[19][21] 2. Sector Crowding Indicator - **Sectors Above 95% Threshold**: Nonferrous Metals, Electronics, Communication, Machinery, Comprehensive, Beauty & Personal Care, Defense, and Pharmaceuticals[32][34]

Group 1 - The China Central Enterprises Innovation-Driven Index decreased by 1.64% as of September 4, 2025, with mixed performance among constituent stocks [3] - Nanjing South Network Technology led the gains with an increase of 3.18%, while Changfei Optical Fiber experienced the largest decline at 10.00% [3] - The Central Enterprises Innovation-Driven ETF (515900) fell by 1.42%, with the latest price at 1.52 yuan, but showed a 2.18% increase over the past month [3] Group 2 - The Central Enterprises Innovation-Driven ETF saw a significant scale increase of 42.68 million yuan over the past month, ranking in the top quarter among comparable funds [4] - The index tracks 100 representative listed companies from state-owned enterprises, reflecting the overall performance of innovative and profitable central enterprises [4] - As of August 29, 2025, the top ten weighted stocks in the index accounted for 33.39% of the total, including Hikvision, Guodian NARI, and Chang'an Automobile [4] Group 3 - Guodian NARI reported a revenue of 24.243 billion yuan for the first half of 2025, marking a year-on-year growth of 19.54%, with significant contributions from its smart grid and low-carbon energy segments [3] - The company's overseas revenue surged by 139.18% to 1.987 billion yuan, indicating strong international performance [3] - Guotai Junan Securities highlighted the company's strengthening position in the industry and robust growth potential driven by the construction of new power systems and energy frameworks [3]