证券研究报告/金融工程定期报告 2026 年 03 月 01 日 分析师：吴先兴 执业证书编号：S0740525110003 Email：wuxx02@zts.com.cn 分析师：王鹏飞 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 量化择时周报：两会来临，短期关注政策驱动 1、《净利润断层策略本周超额收益 1.31%》2026-02-23 2、《量化择时周报：缩量信号如期出 现，聚焦科技与周期》2026-02-23 3.44%》2026-02-08 报告摘要 两会来临，短期关注政策驱动 请务必阅读正文之后的重要声明部分 上周周报（20260223）提示：综合来看，市场整体在海外影响以及日历效应的影响下， 风险偏好有望抬升，同时成交金额也到达我们预期的阶段地量水平，市场有望延续节 前反弹节奏。最终 WIND 全 A 全周上涨 2.75%，并创出新高。市值维度上，本周代表 小市值股票的中证 1000 上涨 4.34%，中盘股中证 500 指数上涨 4.32%，沪深 300 上 涨 1.08%，上证 50 上涨 0.17%;本周中信一级行业中，涨幅靠前的行业包括钢铁 ...

量化择时周报：两会来临，短期关注政策驱动 证券研究报告/金融工程定期报告 2026 年 03 月 01 日 分析师：吴先兴 执业证书编号：S0740525110003 Email：wuxx02@zts.com.cn 分析师：王鹏飞 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 1、《净利润断层策略本周超额收益 1.31%》2026-02-23 2、《量化择时周报：缩量信号如期出 现，聚焦科技与周期》2026-02-23 3.44%》2026-02-08 报告摘要 | 中泰量化周观点:两会来临,短期关注政策驱动 | | --- | | 风险提示 . | | 市场环境变动风险,模型基于历史数据。 . | | 图表 | 1 | ： | | | --- | --- | --- | --- | | 图表 | 2 | ： | PB 估值水平 4 | 两会来临，短期关注政策驱动 请务必阅读正文之后的重要声明部分 上周周报（20260223）提示：综合来看，市场整体在海外影响以及日历效应的影响下， 风险偏好有望抬升，同时成交金额也到达我们预期的阶段地量水平，市场有望延续节 前反弹 ...

港A股宽基指数2月涨跌幅一览 | 序号 | 指数代码 | 指数名称 | 区间涨跌幅% | | --- | --- | --- | --- | | 1 | 8841431.WI | 万得微盘股 | 6.59 | | 2 | 932000.CSI | 中证2000 | 4.80 | | 3 | 000852.SH | 中证1000 | 3.71 | | 4 | 000905.SH | 中证500 | 3.44 | | 5 | 000922.CSI | 中证红利 | 2.22 | | 6 | 399001.SZ | 深证成指 | 2.04 | | 7 | 000510.SH | 中证A500 | 1.14 | | 8 | 000001.SH | 上证指数 十一 1 | 1.09 | | 9 | 000680.SH | 科创综指 | 0.94 | | 10 | 000698.SH | 科创100 | 0.34 | | 11 | 000300.SH | 沪深300 | 0.09 | | 12 | 930050.CSI | 中证A50 | -0.98 | | 13 | 399006.SZ | 创业板指 | -1.08 | ...

消息面上，巴斯夫TDI装置检修，TDI价格上行。万华化学TDI分销渠道3月上旬一口价15700元/吨，环 比上调1200元/吨，限量供应。据百川数据，最新TDI市场均价为14881元/吨，同比去年+16%。巴斯夫 韩国TDI装置将于2026年2月25日至3月15日期间进行计划检修，供方挺价心态明显，最新一周TDI行业 开工率/库存分位分别为 68%/60%。 化工ETF(159870)，场外联接(A：014942；C：014943；I：022792)。 最新一周MDI装置开工率约87%，开工率分位为历史81%，库存分位约为14%，兼具低库存+高开工率 特性。随着后续美国降息政策持续带动30年期房贷利率下降，美国成屋销量数据（自2024年1月以来月 均同比下滑16%）有望进入修复期，带动MDI需求上行。 截至2026年2月27日 10:54，中证细分化工产业主题指数(000813)成分股方面涨跌互现，航锦科技领涨 3.88%，中简科技上涨2.17%，万华化学上涨1.97%；圣泉集团领跌。化工ETF(159870)最新报价0.95元， 盘中净申购6750万份。 化工ETF紧密跟踪中证细分化工产业主题指数，中证细分 ...

Market Strategy - The market is expected to experience a slight upward trend amidst a sideways movement, with a focus on mid-cap stocks while maintaining operational rhythm [2] - The index showed a pattern of initial decline followed by recovery in February, aligning with the expectation of a "sideways trend with slight strengthening" [2] - The improvement in domestic risk assessment is seen as a long-term confidence restoration rather than a catalyst for a strong market rally [2] Style Strategy - Mid-cap blue chips are trending positively, while technology growth stocks are expected to experience rotation [3] - Chemical and non-ferrous metals mid-cap blue chips have continued to lead the market in February, consistent with previous assessments since November [3] Industry Strategy - The transportation sector is witnessing high passenger flow and diversified demand, with significant inter-regional mobility becoming the norm [4] - As of now, railway passenger volume has increased by 4.1% year-on-year, while road mobility has risen by 5.1%, both lower than the 5.3% increase in civil aviation passenger volume [4] - The preference for self-driving travel remains high, with 86% of road mobility attributed to non-commercial vehicles, reflecting consumer demand for comfort and in-depth travel experiences [4] Thematic Strategy - The commercial aerospace sector presents rebound opportunities, particularly in inflation-related leading companies [5] - Despite lower-than-expected launch numbers in February, the commercial aerospace sector is anticipated to rebound due to ongoing domestic and international industry development [5] - Key developments in the commercial aerospace sector, including the potential for intensive verification of reusable rocket tests from March to June, are expected to catalyze growth [5]

2月26日，磷化工概念反复活跃，澄星股份3连板，金正大6天4板，清水源、川金诺、新化股份跟涨。 消息面上，美国将磷元素及草甘膦除草剂提升至国家安全优先事项，指出这两种物资的短缺将对国家安 全构成直接威胁。 拓展阅读 化工ETF是目前年内最受资金青睐的主题ETF之一。 回顾2月25日，稀土、磷化工板块爆发，Wind稀土、磷化工概念指数分别上涨8.45%和6.74%。 当日在板块带动下，稀土主题ETF（交易型开放式指数基金）领涨股票型ETF，多只稀土主题ETF涨幅 超过5%。 从板块表现来看，化工相关板块近期有所异动。Wind数据显示，2月24日和25日，磷化工指数连续两日 大涨，涨幅分别为8.41%和6.74%；稀土、稀有金属等板块也在2月25日爆发。 周期板块频获关注 对于化工板块近期频频异动的原因，泰石投资董事总经理韩玮在接受《国际金融报》记者采访时表示， 国外磷化工产品管制政策、国内"反内卷"政策与行业复苏周期三重效应相叠加，导致化工板块受到投资 者追捧。 化工主题ETF虽未在当日大涨，但相关ETF已是今年以来最受资金青睐的品种。数据显示，截至2月24 日，1只细分化工ETF年内净流入额超165亿元，份额 ...

化工ETF是目前年内最受资金青睐的主题ETF之一。 2月25日，稀土、磷化工板块爆发，稀土、磷化工概念指数分别上涨8.45%和6.74%。 在板块带动下，稀土主题ETF（交易型开放式指数基金）领涨股票型ETF，多只稀土主题ETF涨幅超过 5%。 化工主题ETF虽未在当日大涨，但相关ETF已是今年以来最受资金青睐的品种。数据显示，截至2月24 日，1只细分化工ETF年内净流入额超165亿元，份额增长超185亿份，均位居ETF排行榜首位。 业内人士向《国际金融报》记者表示，化工板块目前处于行业复苏周期，在顺周期逻辑推动下，板块估 值水平有望得到改善。 年内净流入暂居第一 "资金持续流入反映出市场对化工板块估值修复预期、业绩提升预期的认可度较高，具备一定的配置性 价比。"独立财经评论员郭施亮向记者表示，目前化工行业处于景气周期，特别是龙头公司业绩持续回 暖；作为现阶段的顺周期行业，化工板块不断吸引资金流入，在基本面逐渐改善、产品顺周期涨价的推 动下，板块估值水平有望得到提升。 国泰基金最新观点指出，预期PPI（工业品出厂价格指数）同比修复仍会支持化工、电新板块的基本面 表现。 中欧基金表示，地缘环境对风险资产的挑战 ...

Core Insights - The report emphasizes a continued oscillating market pattern, suggesting that the index's upward movement driven by position recovery does not alter the overall oscillating trend [2] - It advocates for a strategic focus on mid-cap blue-chip stocks, particularly in the agricultural and chemical sectors, as they are expected to perform well in the current market environment [2][3] Market Strategy - The report notes that the index is currently at a midpoint of its oscillation range, recommending an active adjustment of portfolio structures to include mid-cap blue-chip stocks [2] - It highlights that the recovery of market positions post-holiday indicates a clear shift in fund allocation towards mid-cap blue-chip stocks, with cyclical manufacturing sectors showing stronger performance compared to technology growth sectors [2] Industry Strategy - In the agricultural sector, the report suggests that domestic companies must expand into international markets to overcome growth limitations, emphasizing the importance of product and technology exports, asset investments, and mergers/joint ventures [3] - Successful companies in this sector are characterized by strong core product advantages, comprehensive industry chain layouts, and effective local market integration [3] Thematic Strategy - The rare earth sector is projected to experience a dual boost in profitability and valuation, with expectations of rising rare earth prices due to sustained demand and supply-side improvements [4] - The report underscores the strategic value of rare earths in the context of increasing geopolitical uncertainties, suggesting that domestic rare earth companies may benefit from accelerated asset consolidation [4]

Market Overview - The first trading day of the Year of the Horse (February 24) saw A-shares open positively, with the ChiNext index rising by up to 2% and the Shanghai Composite Index closing up 0.87% [1][14] - Over 4,000 stocks in the market rose, with more than 100 stocks hitting the daily limit [1][14] - The total trading volume in the Shanghai, Shenzhen, and Beijing markets reached 2.2 trillion yuan, an increase of 219.3 billion yuan from the previous trading day [1][14] Sector Performance - The chemical sector continued to rise, with active performances in phosphate chemicals and fertilizers, leading to several stocks, including Hebang Biotechnology, hitting the daily limit [1][14] - The Chemical ETF (516020) surged by 3.42%, attracting 222 million yuan in the previous five trading days [1][14] Precious Metals and Commodities - Following the Spring Festival, the domestic market entered a peak working season, with the "golden March and silver April" period expected to see increased industrial production and infrastructure projects [3][16] - Precious metals prices surged due to rising risk aversion stemming from U.S. tariff policy disputes and geopolitical tensions, with the Precious Metals ETF (159876) rising by 3.18% and attracting a net subscription of 6 million units [3][16] - The outlook for gold demand is optimistic, with expectations of surpassing 5,000 tons globally by 2025, driven by strong investment flows and central bank purchases [7][19] Military and Aerospace Sector - The military sector showed strong performance, with the Military ETF (512810) rising by 1.16% and experiencing a premium at closing [9][21] - The domestic aviation sector is expected to accelerate, with the C919 aircraft averaging nearly 50 flights per day during the Spring Festival, a 52.6% increase year-on-year [11][24] - Geopolitical tensions, particularly between the U.S. and Iran, are expected to heighten the urgency of national defense construction in China [11][24] Investment Strategies - Analysts suggest maintaining a focus on cyclical price increases and the expansion of AI trends as the main market themes [4][17] - The investment strategy emphasizes a dual focus on technology and resource products, with technology centered on AI, new energy, and innovative pharmaceuticals, while resource products focus on precious metals and basic chemicals [4][17]

Market Strategy - The market is currently in a volatile yet upward trend, driven by position recovery, maintaining a cautious optimism for February. The index is expected to oscillate around the high and low points of January, with a focus on mid-cap blue chips for investment opportunities [2][6] - The strategy suggests actively adjusting portfolios towards mid-cap blue chips, particularly in the chemical and livestock sectors, which are seen as having strong cyclical performance post-holiday [2][6] Industry Strategy - The agricultural sector is encouraged to expand into international markets to overcome growth limitations faced by domestic agricultural enterprises. Successful international ventures typically involve product and technology exports, asset investments, and mergers or joint operations, emphasizing the importance of core product advantages and complete industry chain layouts [3][6] - Key investment targets in the agricultural sector include Muyuan Foods (002714, buy) and Haida Group (002311, buy), with relevant ETFs being Agricultural ETF (159825/159827) and Grain ETF (159698) [3][6] Thematic Strategy - The rare earth sector is poised for a dual boost in profitability and valuation, with expectations of rising rare earth prices in 2026 due to sustained demand and supply-side improvements. The geopolitical landscape enhances the strategic value of rare earths, making it a key area for investment [4][6] - Notable investment targets in the rare earth sector include China Northern Rare Earth Group (600111, buy) and China Rare Earth Group (600259, not rated), with relevant ETFs being Rare Earth ETF (159713/516150) [4][6]