量化 | 宽基指数择时怎么做? the research and the research and the many of the may be the may be the see of the may be the see of the s ■ 证券研究报告 固收专题报告 / 2026.03.03 核心观点 请阅读最后一页的重要声明! 孙彬彬 分析师 SAC 证书编号: S0160525020001 sunbh@ctsec.com 分析师 [舊修고 SAC 证书编号: S0160525020003 suixp@ctsec.com 付耕阳 H 3 A fugy@ctsec.com 相关报告 1. 《２月机构行为,"钱多"体现在哪些方 2026-03-03 面? 》 2. 《转债 | 美伊冲突,哪些转债值得关 注？ 》 2026-03-02 3. 《转债│3 月,转债波动中做结构》 2026-03-02 择时框架能否应用于股指?前期我们发布了海内外债券、商品的择时框 * 架,为更好覆盖大类资产及组合构建,我们搭建万得全 A、中证红利全收益、 恒生科技、科创 50、万得微盘、国证 2000 指数六大权益指数的择 ...

. 2017 11:20 ■ 证券研究报告 分析师 [舊修고 SAC 证书编号: S0160525020003 suixp@ctsec.com 付耕阳 fugy@ctsec.com 相关报告 1. 《量化 | 宽基指数择时怎么做? 》 2026-03-03 2. 《２月机构行为,"钱多"体现在哪些方 面？》 2026-03-03 3. 《转债 | 美伊冲突,哪些转债值得关 注? 》 2026-03-02 核心观点 看多:10年国债、2年国债、万得全 A 指数、中证红利全收益指数、 or 万得微盘指数、国证 2000 指数、COMEX 黄金、IPE 布油; � 风险提示:模型失效风险,因子失效风险,数据质量风险 请阅读最后一页的重要声明! 量化日报 | 债券又有调整信号 固收定期报告 / 2026.03.04 孙彬彬 分析师 SAC 证书编号: S0160525020001 sunbh@ctsec.com 调整: 恒生科技指数、科创 50 指数; in ❖ 震荡:30年国债、3YAAA中短票; & 30 年国债原始信号 82.73%,MA5 为 44.57%,模型观点为【震荡】;信号 持续 [ 5 ] 个交易日 ...

Core Viewpoint - The article discusses the active performance of the Hong Kong Stock Connect Dividend ETF (Guangfa, 520900) as the Chinese New Year approaches, highlighting the debate between holding stocks versus cash during the holiday period [1] Group 1: Market Sentiment and Recommendations - CITIC Securities believes that external disturbances have not significantly impacted the fundamental aspects of the Chinese industry, and the concentrated cooling operations have ended, suggesting that market sentiment has been fully released and adjustments are adequate, with a potential continuation of the spring market rally after the holiday [1] - Guangfa Securities indicates that during a bull market, every time the Wind All A Index falls below the 20-day moving average, it typically presents a good opportunity to increase positions within about a week, encouraging investors to regain confidence and prepare for the first wave of the market's upward cycle in the Year of the Horse [1] - Galaxy Securities notes that pre-holiday market hotspots are experiencing phase rotation, with low volatility and high dividend sectors such as dividends, banks, and consumer stocks likely to continue attracting funds, suggesting a balanced allocation as the market may maintain a range-bound fluctuation [1] Group 2: Investment Products - The Hong Kong Stock Connect Dividend ETF (Guangfa, 520900) and its offshore links (022719/022720) provide investors with a convenient entry point to allocate to Hong Kong dividend assets, allowing for a combination of stable returns and long-term value [1]

Group 1 - The article discusses the performance of growth style in bull markets, indicating that it often ends up being the most profitable strategy [3] - It highlights the importance of understanding the rotation between large-cap and small-cap stocks during bull markets [3][4] - The article introduces two sets of indices, Huazheng Large Cap and Huazheng Small Cap, which are designed to better represent the A-share market's size dynamics [5][6] Group 2 - The article outlines the methodology for selecting stocks for different indices based on market capitalization percentages [6] - It provides a historical analysis of bull markets, noting that from 2005 to 2008, there was frequent rotation between large and small-cap stocks, indicating that size style was less significant during that period [8][9] - From 2008 to 2010, small-cap stocks outperformed, reflecting a strong preference among investors for small-cap stocks [11][12] Group 3 - The bull market from 2012 to 2015 was driven by small-cap stocks, particularly those in the ChiNext board, despite a brief period of large-cap stock performance [14] - The 2016 to 2018 bull market was characterized by large-cap stocks leading, although the relative performance did not exceed 20% compared to previous bull markets [16] - The most recent bull market, starting in 2024, resembles earlier small-cap driven markets, with small-cap stocks showing strength without significant rotation [20]

Core Insights - The report indicates an increase in trading activity, with the Shanghai Composite Index leading the gains, particularly the Shanghai 50 index, which saw a rise in valuation [1][4] - Valuation changes are mixed across broad indices, with the Shanghai 50 index leading with a PE-TTM increase of 3.7 percentage points and a PB-LF increase of 6.4 percentage points [4][5] - The report highlights that the food and beverage sector leads in PE valuation, while the oil and petrochemical sector leads in PB valuation [4][5] Index Valuation - The report notes that the Shanghai 50 index has a PE-TTM historical percentile of 80.1, with a 3.7 percentage point increase, and a PB-LF historical percentile of 54.1, with a 6.4 percentage point increase [5] - The overall valuation for the broad indices shows mixed results, with the Shanghai 50 index leading the gains [4][5] Sector Valuation - The food and beverage sector shows a PE increase of 2.4 percentage points, leading among industries, while the oil and petrochemical sector shows a PB increase of 6.4 percentage points [4][5] - The report identifies that the power equipment and new energy sectors offer good value in terms of PE-G comparison [4][5] Market Sentiment - Trading activity has increased, with turnover rates rising across indices, particularly the Shanghai 50 index, which saw a 3.7% increase in turnover rate [4][5] - The total trading volume across indices has risen, with the Shanghai 50 index leading with a 29.6% increase in trading volume [4][5] - The margin trading balance as of January 29, 2026, is reported at 2.70 trillion, reflecting a 0.58% increase compared to January 23, 2026 [4][5] Risk Premium - The report notes a slight increase in the equity risk premium (ERP), which stands at 3.98%, up by 0.06 percentage points from January 23, 2026 [4][5]

Market Overview - In August, the overall market risk appetite improved, with Chinese stocks leading the gains at a return of 7.2% [1] - The Shanghai Composite Index surpassed 3800 points, reaching a nearly ten-year high [1] - Daily trading volume in the Shanghai and Shenzhen markets significantly increased to 22,796 billion yuan [1] - The Federal Reserve's interest rate cut expectations rose, contributing to an increase in gold prices [1] - OPEC+ announced a substantial increase in production, leading to a decline in oil prices by 6.53% [1] Asset Performance - The ranking of asset returns for August is as follows: Chinese stocks > Gold > Global stocks > Global bonds > Agricultural products > Cash > Foreign exchange > Domestic bonds > Real estate > Industrial products > Oil [1] Chinese Stock Market - The Chinese stock market continued to perform well, with major indices rising: the Wind China 500R Index increased by 7.2%, the Wind All A Index rose by 10.9%, and the Hong Kong China Enterprises Index gained 3.3% [10] - The average daily trading volume in the Shanghai and Shenzhen markets reached 22,796 billion yuan, up from 16,101 billion yuan the previous month, indicating increased market activity [10] - The technology sector, particularly in AI, computing power, and semiconductors, showed strong performance with a monthly increase of 16.3% [11] Global Stock Market - The global stock market saw most indices rise, with emerging markets outperforming developed markets [5] - Vietnam and Brazil led the gains with returns of 12.0% and 8.9%, respectively, while Saudi Arabia and India lagged with returns of -2.9% and -2.2% [5] - Developed markets, particularly Japan, performed well with a return of 5.9%, while Germany and France had returns below 1% [5] Bond Market - The bond market faced pressure in August, with rising yield expectations due to inflation concerns [12] - Convertible bonds led the performance with a yield of 4.32%, while interest rate bonds showed the weakest performance with a decline of 0.44% [12] - The yield on 10-year government bonds rose by 13.35 basis points to 1.84% [12] Commodity Market - Gold prices reached new highs, closing at $3,516.0 per ounce, a 4.9% increase from the previous month [17] - Oil prices declined by 4% to $67 per barrel due to increased supply and weakened demand [17] - In the agricultural sector, soybeans showed the best performance with a 6.4% increase [18] Real Estate Market - The real estate market in first-tier cities continued to show a downward trend, with investment indices declining [20] - The transaction area of commercial housing in 30 major cities decreased by 1.6% to 1.786 million square meters [22] - The overall market remains under pressure, indicating that recovery in the industry requires further observation of subsequent data [22] Foreign Exchange Market - The US dollar index fell by 2.20% to 97.85, reflecting a weakening trend [24] - The decline in the dollar has put upward pressure on the renminbi exchange rate [24] Cash Market - The money market fund index rose to 1,706.44 points, a slight increase of 0.09% from the previous month [26] - The annualized yield of the Yu'ebao seven-day fund was 1.06%, showing a slight increase [26]

Quantitative Models and Construction Methods 1. Model Name: Multi-dimensional Timing Model (Version 1) - **Model Construction Idea**: The model integrates four dimensions—funding, technical, valuation, and sentiment—to provide directional views on the A-share market[1][2] - **Model Construction Process**: The model combines signals from the four dimensions to determine market timing decisions. Each dimension includes specific indicators, such as option PCR, implied volatility, and futures positions for sentiment, and Bollinger Bands and individual stock movements for technical analysis[30] - **Model Evaluation**: The model demonstrated strong performance in capturing upward trends while avoiding significant market volatility[2][10] 2. Model Name: Multi-dimensional Timing Model (Version 2) - **Model Construction Idea**: This version expands the original model by adding a fundamental dimension to capture bottom-buying opportunities and enriching the sentiment dimension with new indicators[1][84] - **Model Construction Process**: - The sentiment dimension was expanded to include futures basis and main funds indicators - The fundamental dimension was introduced to identify bottom signals based on macroeconomic indicators like CPI, PMI, and EPU - The model integrates five dimensions: funding, technical, valuation, sentiment, and fundamentals[84] - **Model Evaluation**: The expanded model achieved higher annualized returns and maintained similar levels of volatility and drawdown compared to the original version[85][88] --- Model Backtesting Results 1. Multi-dimensional Timing Model (Version 1) - **Annualized Return**: 24.57%[14] - **Annualized Volatility**: 21.54%[14] - **Maximum Drawdown**: -28.46%[14] - **Sharpe Ratio**: 1.14[14] 2. Multi-dimensional Timing Model (Version 2) - **Annualized Return**: 26.69%[85] - **Annualized Volatility**: 21.48%[85] - **Maximum Drawdown**: -28.46%[85] - **Sharpe Ratio**: 1.24[85] --- Quantitative Factors and Construction Methods 1. Factor Name: Futures Basis (Sentiment Dimension) - **Factor Construction Idea**: The futures basis reflects price information in the futures market and acts as a sentiment amplifier during extreme market conditions[3][32] - **Factor Construction Process**: - Basis = Futures Price - Spot Price - Annualized basis rate is calculated to reduce the impact of contract expiration - Weighted average of the four contracts (current month, next month, current quarter, next quarter) based on open interest[32] - **Factor Evaluation**: The factor is suitable for mean-reversion strategies, with signals generated during overbought or oversold conditions[40] 2. Factor Name: Main Funds (Sentiment Dimension) - **Factor Construction Idea**: This factor captures the flow of main funds in the stock market, reflecting high-selling and low-buying behavior[3][50] - **Factor Construction Process**: - Signals are derived from smoothed 20-day moving averages of net fund inflows and institutional active buying - Positive signals indicate buying opportunities, while negative signals suggest selling[51][54] - **Factor Evaluation**: The factor is effective for momentum strategies, with a high win rate but relatively low payoff ratio[57] 3. Factor Name: Fundamental Bottom Signal (Fundamental Dimension) - **Factor Construction Idea**: This factor identifies bottom-buying opportunities based on macroeconomic indicators, assuming that poor fundamentals often precede market recoveries[4][76] - **Factor Construction Process**: - Signals are triggered when CPI, PMI, and EPU simultaneously indicate weakening fundamentals - A one-quarter window after the bottom signal is used for long positions[76][83] - **Factor Evaluation**: The factor demonstrates high win rates and payoff ratios in bottom-buying scenarios, significantly outperforming the benchmark[83] --- Factor Backtesting Results 1. Futures Basis - **Annualized Return**: 19.06%[50] - **Annualized Volatility**: 20.85%[50] - **Maximum Drawdown**: -31.31%[50] - **Sharpe Ratio**: 0.91[50] 2. Main Funds - **Annualized Return**: 8.75%[60] - **Annualized Volatility**: 19.19%[60] - **Maximum Drawdown**: -30.57%[60] - **Sharpe Ratio**: 0.46[60] 3. Fundamental Bottom Signal - **Annualized Return**: 12.48%[83] - **Annualized Volatility**: 13.27%[83] - **Maximum Drawdown**: -22.62%[83] - **Sharpe Ratio**: 0.94[83]

Core Viewpoint - The China Securities Dividend ETF (515080) is set to distribute dividends for the third quarter, with a dividend of 0.15 yuan per ten shares, reflecting a distribution ratio of 0.95% [1][15]. Dividend Distribution - This marks the 14th dividend distribution since the ETF's inception, with a cumulative dividend amount of 3.65 yuan per ten shares [1][15]. - The annual dividend ratios for the past five years (2020-2024) were 4.53%, 4.14%, 4.19%, 4.78%, and 4.66% respectively [1][15]. Market Trends - Recent market conditions have seen a return of funds to high-dividend stocks, with the China Securities Dividend ETF experiencing a net subscription of 134 million yuan over four consecutive days [1]. - The 40-day return differential of the China Securities Dividend Index relative to the Wind All A Index was -12.25% as of September 12, indicating underperformance compared to the broader market [1][6]. Investment Insights - Long-term investment strategies are being bolstered by policies encouraging insurance companies to increase their equity holdings, potentially adding several hundred billion yuan to the A-share market annually [2][17]. - The current dividend yield of the China Securities Dividend Index is 4.86%, significantly higher than the 10-year government bond yield of 1.87%, enhancing the attractiveness of dividend-paying assets [9][12]. Performance Metrics - The latest price-to-earnings (PE) ratio for the China Securities Dividend Index is 8.18, with historical percentiles indicating a high valuation relative to the past five and ten years [12][19]. - The China Securities Dividend Index has shown varied performance over the last five years, with annual returns of 3.49% (2020), 13.37% (2021), -5.45% (2022), 0.89% (2023), and 12.31% (2024) [19].

Report Information - Report Title: Stock Market Adjustment, Bond Market Rebound - Report Date: September 5, 2025 - Researcher: Liu Yang - Contact: liuyang18036@greendh.com - Futures Practitioner Qualification Number: F3063825 - Futures Trading Consultation Number: Z0016580 [3] Industry Investment Rating - Not provided Core Viewpoints - The overall trend of the main contracts of Treasury bond futures this week was to rise first and then fall. There is an obvious seesaw effect between stocks and bonds. The yield curve of Treasury bond cash bonds has changed little. The manufacturing PMI in August continued to be below the boom - bust line, with production expanding and demand being slightly weak. The non - manufacturing business activity index increased slightly. The export of South Korea in August showed a certain growth. The wholesale price of agricultural products continued to rise, and the inflation pressure was limited in the short term. If the stock market continues to be strong, it may suppress the bond market; if the stock index adjusts, it will be beneficial to bond bulls [5][7][12] Summary by Directory Treasury Bond Futures Weekly Market Review - The main contracts of Treasury bond futures showed a trend of rising first and then falling this week. On Monday, they refused to fall and rebounded to close a medium - positive line. On Tuesday, there was a small - scale fluctuation adjustment. On Wednesday, they attacked again and closed a medium - positive line. On Thursday, they rose and then fell slightly. On Friday, they fell sharply. For the whole week, the 30 - year Treasury bond fell 0.18%, the 10 - year Treasury bond rose 0.12%, the 5 - year Treasury bond rose 0.07%, and the 2 - year Treasury bond fell 0.03% [5] Stock - Bond Seesaw - The Wind All - A Index hit a new high on Monday this week, then fell for three consecutive days from Tuesday to Thursday, and rebounded sharply on Friday. Although the Treasury bond futures showed independence on some single days, the overall stock - bond seesaw effect was obvious [7] Changes in the Yield Curve of Treasury Bond Cash Bonds at Maturity - As of September 5, compared with August 29, the 2 - year Treasury bond yield rose 1 BP to 1.41%, the 5 - year Treasury bond yield fell 2 BP to 1.61%, the 10 - year Treasury bond yield fell 1 BP to 1.83%, and the 30 - year Treasury bond yield fell 3 BP to 2.11% [9] Manufacturing PMI in August - The official manufacturing PMI in August was 49.4%, remaining below the boom - bust line for the fifth consecutive month. Large - scale enterprises continued to expand in the boom range, medium - sized enterprises' prosperity declined, and small - scale enterprises hovered at a low level. The PMI of the equipment manufacturing industry and high - tech manufacturing industry increased. The procurement volume index increased, indicating that corporate procurement activities accelerated [12] Production and Demand in the Manufacturing Industry in August - The production index in August was 50.8%, showing continuous expansion. The new order index was 49.5%, indicating that market demand was still slightly weak. Industries such as medicine and computer communication electronics had rapid production and demand release, while industries such as textile and clothing and chemical raw materials had insufficient production and demand [14] New Export Orders and Import Index in the Manufacturing Industry in August - The new export order index in August was 47.2%, and the import index was 48.0%. The new export order index changed little compared with July. After the Sino - US economic and trade talks in Stockholm, the two sides agreed to suspend the implementation of 24% tariffs for 90 days, and China's export growth in August might be acceptable [17] Price Indexes in the Manufacturing Industry in August - The purchase price index of major raw materials in August was 53.3%, and the ex - factory price index was 49.1%. The purchase price index of raw materials continued to be in the expansion range, and the expansion amplitude increased in August. The prices of some industries rose, while those of some industries were below the critical point. The average value of the Nanhua Industrial Products Index in August was basically the same as that in July [19] Inventory Indexes in the Manufacturing Industry in August - The raw material inventory index in August was 48.0%, and the finished - product inventory index was 46.8%. The finished - product inventory index fell to a relatively low level again. From January to July, the cumulative year - on - year growth of manufacturing profits was 4.8%, and the year - on - year growth of finished - product inventory was 2.3%. Manufacturing enterprises were cautious about increasing inventory [22] Business Expectation Indexes in the Manufacturing Industry in August - The employment index in August was 47.9%, hovering at a relatively low level. The business activity expectation index was 53.7%, showing a slight rebound in the expectation of future prosperity [24] Non - Manufacturing Business Activity Index in August - The non - manufacturing business activity index in August was 50.3%. The construction industry business activity index was 49.1%, and the service industry business activity index was 50.5%. Some industries such as capital market services and transportation were in a high - level boom range, while industries such as retail and real estate had weak prosperity [26] Construction Industry Indexes in August - The new order index in August was 40.6%, and the employment index was 43.6%. The business activity expectation index was 51.7%. Affected by weather conditions, the prosperity of the construction industry slowed down [29] Service Industry Indexes in August - The new order index in August was 47.7%, and the employment index was 45.9%. The business activity expectation index was 57.0%, showing a slight upward trend [31] South Korea's Exports in August - South Korea's exports increased by 1.3% year - on - year in August. The daily average export amount calculated by working days increased by 5.8% year - on - year. The semiconductor export amount reached a record high, and the automobile export also showed strong momentum [34] Agricultural Product Price Index - The Agricultural Product Wholesale Price 200 Index on September 5 was 117.93, higher than that on August 31 but significantly lower than the same period last year, indicating that the price continued to rise but was still lower than last year [37] Nanhua Industrial Products Index - The Nanhua Industrial Products Index continued to decline after hitting a closing high on July 25. It declined slightly in August and fluctuated narrowly this week, indicating limited short - term inflation pressure [39] Capital Interest Rates - After the end of the month, the capital interest rates fell to a low level this week. The weighted average of DR001 was between 1.31% - 1.32%, and the weighted average of DR007 was around 1.44%. The average issuance interest rate of one - year AAA inter - bank certificates of deposit was around 1.66%. The central bank carried out a 100 - billion - yuan 3 - month (91 - day) repurchase operation on Friday, which fully offset the due amount [41] Market Logic and Trading Strategies - The manufacturing PMI in August continued to be below the boom - bust line, with economic downward pressure still obvious. The service industry business activity index expanded moderately. The strong rebound of the Wind All - A Index on Friday corresponded to the unilateral decline of Treasury bond futures. If the stock market continues to be strong, it may suppress the bond market; if the stock index adjusts, it will be beneficial to bond bulls. The trading - type investment should conduct band operations [44][45]

Core Viewpoint - The article discusses the recent fluctuations in the Shanghai Composite Index, emphasizing the importance of maintaining investment discipline and focusing on long-term value rather than short-term market volatility [3][6][10]. Market Analysis - The Shanghai Composite Index has experienced increased volatility as it surpasses key levels such as 3500, 3600, 3700, and 3800 points, with average daily fluctuations rising significantly [4][5]. - Historical data shows that market corrections often occur around these integer levels, driven by profit-taking behaviors from investors [5][10]. Long-term Investment Perspective - Over the past 20 years, the Wind All A Index has shown a cumulative increase of 807.99% with an annualized return of 12.01%, outperforming other asset classes like gold and bonds [8][9]. - The sustained growth of quality listed companies in China is a key driver behind these returns, highlighting the importance of long-term holding strategies [10]. Investment Strategy - The article advocates for a core-satellite investment strategy, which combines stable broad-based indices with high-potential assets to capture structural opportunities while managing overall portfolio volatility [11][12]. - Investors are encouraged to focus on asset allocation that reflects their risk tolerance, including exposure to broad indices like CSI A500 and Shanghai-Shenzhen 300 [12].