量化日报 | 近期择时模型波动加大 a Peter Land Time Time of Street States of the States of the States of the States of the States of the states of the states of the states of the state of the state of the s ■ 证券研究报告 固收定期报告 / 2026.03.05 核心观点 � 风险提示: 模型失效风险,因子失效风险,数据质量风险 孙彬彬 分析师 SAC 证书编号: S0160525020001 sunhh@ctsec.com [舊修고 分析师 SAC 证书编号: S0160525020003 suixp@ctsec.com 付耕阳 fuav@ctsec.com 相关报告 1. 《量化日报 | 债券又有调整信号》 2026-03-04 2. 《 量化 | 宽基指数择时怎么做？ 》 2026-03-03 3. 《２月机构行为,"钱多"体现在哪些方 2026-03-03 面? 》 请阅读最后一页的重要声明! 看多: 3 年 AAA 中短票、1 ...

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 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report analyzes the performance of various asset classes in the week from February 24th to February 27th, 2026. The equity market showed overall recovery, the convertible bond market declined, the bond market mostly weakened, and commodity futures mostly strengthened. Different market segments were affected by various factors such as policy changes, external trade environment, and geopolitical risks [9][10]. 3. Summary by Directory 3.1 This Week's Performance of Major Asset Classes - The equity market showed overall recovery. The Shanghai Composite Index rose 1.98% to 4162.88 points, the Shenzhen Component Index rose 2.8% to 14495.09 points, and the ChiNext Index rose 1.05% to 3310.3 points. The trading volume of the Shanghai and Shenzhen stock exchanges totaled 9.69 trillion yuan. The Hang Seng Index rose 0.82% to 26630.54 points, while the Hang Seng Tech Index fell 1.41% to 5137.84 points [9]. - The convertible bond market declined. The CSI Convertible Bond Index fell 0.24% in the past week, and the Shanghai Stock Exchange Convertible Bond Index fell 0.34%. In the past month, the CSI Convertible Bond Index rose 0.9%, and the Shanghai Stock Exchange Convertible Bond Index rose 0.26% [9]. - The bond market mostly weakened. The yields of 1-year, 3-year, 5-year, 7-year, and 30-year China Bond Treasury bonds increased by 0.71bp, 0.84bp, 1.33bp, 2.36bp, and 4.36bp respectively, while the 10-year yield decreased by 0.22bp [9]. - Commodity futures mostly strengthened, with silver performing strongly. COMEX gold rose 3.24%, COMEX silver rose 11.61%, LME copper rose 2.28%, LME aluminum rose 1.16%, WTI crude oil rose 0.81%, SHFE rebar rose 0.98%, CBOT soybeans rose 1.41%, and CBOT corn rose 1.88% [10]. 3.2 Performance of the Equity Market - Stocks - The equity market rose this week, with small and medium-cap stocks outperforming. Most industries rose, with cyclical sectors such as steel and non-ferrous metals leading the gains. The media, consumer services, and non-bank financial sectors led the declines. The media sector fell 5.21%, consumer services fell 4.14%, and non-bank financials fell 3.21%. The steel sector rose 9.52%, and the comprehensive financial sector rose 2.17% [14]. - Market rotation was still active this week. The market style switched again. Benefiting from post-holiday resumption of work and production, cyclical and resource sectors led the gains, while the consumer sector was relatively weak. In addition, technology growth sectors such as semiconductors and chips also performed well [14]. - The reasons for the market performance are that the trading volume increased in the first week after the holiday, and the trading activity improved. Since the beginning of this year, the prices of many commodities have continued to rise. On the one hand, driven by the expansion of AI-related demand, the prosperity of sub - sectors such as chips and electronic cloth has increased, and prices have strengthened. On the other hand, the prices of resources such as gold and silver have also risen to varying degrees. Under the combined effect of rising product prices and improved profit expectations, relevant fields have strengthened synchronously. In the steel sector, many steel enterprises announced a "good start" in production in the first month of this year, and the production and sales indicators of some steel enterprises performed well, enhancing the investment confidence in the sector [14]. 3.3 Performance of the Equity Market - Convertible Bonds - The equity market rose this week, while the convertible bond market fell. As of February 27, 2026, the CSI Convertible Bond Index fell 0.24%, and the Shanghai Stock Exchange Convertible Bond Index fell 0.34%. In the past month, the CSI Convertible Bond Index rose 0.9%, and the Shanghai Stock Exchange Convertible Bond Index rose 0.26%. The trading volumes of convertible bonds and underlying stocks this week were 2945.06 billion yuan and 5968.85 billion yuan respectively, and the trading activity of both underlying stocks and convertible bonds declined compared with before the holiday [16]. - The convertible bond market was weak this week, lagging behind the overall stock market performance. The resource and pro - cyclical sectors of A - shares showed obvious upward trends, while some high - valuation technology and growth stocks were under pressure. At the same time, the trading volume of convertible bonds decreased, which may have had a certain impact on the convertible bond market [16]. 3.4 Performance of the Fixed - Income Market - The bond market yields generally increased this week, with the 10 - year Treasury bond yield slightly decreasing. The yields of 1 - year, 3 - year, 5 - year, 7 - year, and 30 - year China Bond Treasury bonds increased by 0.71bp, 0.84bp, 1.33bp, 2.36bp, and 4.36bp respectively, while the 10 - year yield decreased by 0.22bp [18]. - During the Spring Festival, the US tariff policy fluctuated again, increasing the uncertainty of the external trade environment and affecting the market risk appetite, which had a certain impact on the short - term bond market. On February 25th, Shanghai issued the "Seven Measures for Shanghai" real estate optimization policy, which adjusted the purchase restrictions, housing provident fund use, and property tax, etc. The policy was aimed at stabilizing the real estate market and expectations. Affected by the policy's boost to the real estate chain sentiment, the risk appetite for equities was marginally repaired, and the bond market was under pressure [18]. - In terms of the capital side, on February 25th, the central bank conducted 600 billion yuan of MLF operations. From the perspective of the operation intensity and reverse repurchase scale, the monetary policy continued to be relatively loose, and the attitude of maintaining liquidity was stable. Especially before the Two Sessions, the policy orientation of stabilizing the capital side is expected to continue, and the capital price is likely to remain in a reasonable range and be generally stable. In the future, although the bond market sentiment has improved compared with before, there are not enough incremental factors to drive the yield to break through the oscillation range effectively. Before there is a new dominant variable, the market's long and short forces are still relatively balanced, and the bond market is expected to continue the range - bound pattern in the short term [19]. 3.5 Performance of the Commodity Market - The Nanhua Commodity Index strengthened overall this week, with precious metals performing strongly. The index rose 3.56% in total. Precious metals led the gains, rising 8.55% compared with the week before the Spring Festival. Metals rose 3.06%, industrial products rose 2.47%, energy and chemicals rose 2.14%, and agricultural products rose 1.19% [27]. - The gold price continued to rise this week and remained at a high level. The uncertainty of the US - Iran situation and the variable policy orientation of the Trump administration have increased the external geopolitical risk premium. At the same time, the short - term rebound of international oil prices and the creation of a new stage high have strengthened the market's re - pricing expectations for inflation and the energy supply - demand pattern, driving the precious metal and energy sectors to strengthen synchronously. In the future, the evolution of the geopolitical situation is still uncertain, and there are also significant differences in the Fed's policy path. It is expected that gold will maintain a high - level oscillation pattern in the short term [28][30].

1.中金公司：积极布局"两会"行情 中金公司李求索指出，从2000年以来的情况来看，两会前后A股市场大多呈现较积极的表现，上 证指数在两会前后20个交易日的平均涨幅分别为2.6%/3.6%。展望此次两会，受益于积极政策及 改革预期、中外流动性宽松周期共振、AI技术革命与能源革命支撑部分产业需求，带动上市公司 业绩改善，市场"稳进"趋势有望延续。 2.兴业证券：交易"涨价" 【 摘要 】中金公司李求索指出，从2000年以来的情况来看，两会前后A股市场大多呈现较积极的 表现。中信证券陈俊云表示，Anthropic发布会显示AI与软件厂商是融合关系，"AI侵蚀软件"缺乏 逻辑。 一、焦点锐评 1.中东局势剑拔弩张，黄金、原油拉升 2月27日，中国驻伊朗使领馆提醒中国公民暂勿前往伊朗，在当地中国公民加强安全防范，尽快 撤离。美军完成双航母等数十年来最大规模中东部署，伊朗进入最高战备并以封锁霍尔木兹海峡 威慑；双方日内瓦谈判未破局，约定下周续谈。当日，现货黄金涨超1%，站上5278美元/盎司； WTI原油涨3.19%报67.29美元/桶。28日，美以发动对伊朗打击，伊朗还击美以。 【解读】中东局势紧张对资本市场形成明显 ...

以下文章来源于做配置的小雪 ，作者做配置的小雪 曾经幻想暴富，现实变成暴负，投资只能慢慢变富～ ↑点击上面图片 加雪球核心交流群 ↑ 风险提示：本文所提到的观点仅代表个人的意见，所涉及标的不作推荐，据此买卖，风险自负。 作者： 做配置的小雪 从去年10月到昨天，恒生科技指数跌近24%。 我们收到很多朋友的咨询：快要拿不住了，现在要不要割肉？和大家分享下我的想法～ 一、面对 基金 亏损，首先要控制负面情绪 随着指数下跌，利空不断，很多朋友陷入恐慌：还要跌多少？什么时候能回本？现在要不要割肉？ 人性贪婪的本能，决定了我们总是希望买入的每一个标的都在上涨，甚至恨不得全仓那个涨得最多的。 但这根本不可能。 回想前两年的市场：2024年9月之前，A股持续回调，悲观情绪蔓延；2025年DeepSeek横空出世之前，港股也经历了漫长的磨底。 但是回过头来看，彼时的亏损，反而为后期的暴力反弹埋下了伏笔。 在投资中，一定都会经历亏损，但是面对亏损，情绪是没有用的，我们要做的是回归投资的本质。 来源：雪球 恒生科技这轮下跌，核心有三个原因： 1、企业内卷： 外卖补贴、AI红包等巨额开支，让市场对相关公司的利润空间有所担忧。 2、 ...

沪深300、A50等大盘股下跌。 中小盘股微涨。 红利等价值风格比较坚挺，略微上涨。 创业板今天下跌多一些。 创业板前几天上涨后刚达到高估，最近在正常和高估的位置上上下下。 文 | 银行螺丝钉 （转载请注明出处） 今天大盘微涨微跌，截止到收盘，还在3.7星。 港股科技股也上涨。 螺丝钉也汇总了港股指数的估值，供参考，见文章下方图片。 1. 有朋友问螺丝钉，如果刚开始定投指数基金，选什么入手会比较容易呢？ 虽然都是指数基金，但指数基金的波动风险会有区别。 港股低开高走，整体上涨。 （1）沪深300、中证500等，是市场公认的宽基指数。 它们代表了市场风险本身。 波动就是大盘的平均波动。 沪深300、中证500的年波动率，大约在20-25%上下。 （2）有的品种，波动率会比大盘更小。 例如价值风格。 代表是，红利、低波动、价值、自由现金流等。 例如红利低波动，波动风险大约是大盘宽基的60-70%上下。 大盘如果下跌30%，红利低波动可能会有20%上下的波动。 红利等指数并不是不会下跌，只是波动小一些。 其波动风险仍然比债券基金、理财等要大不少的。 另外一些进入生命周期后期、成熟阶段的行业，波动也比大盘更小。 例如 ...

Group 1 - The Hang Seng Technology Index rebounded, reaching 5156.06 points, up 0.91% from the previous trading day, with a trading volume of 11.73 billion shares and a turnover of 32.5 billion HKD, indicating a moderate increase in trading activity [1] - The current PE-TTM of the Hang Seng Technology Index is 21.35 times, which is at a historical low of 26.0% over the past year, providing a significant valuation advantage compared to the STAR 50 Index (165 times) and the NASDAQ 100 Index (34 times) [1] - The market sentiment is gradually improving, as evidenced by the Hang Seng Index rising 0.96%, reflecting a recovery in overall market sentiment [1] Group 2 - The moderate rise in the Hang Seng Technology Index reflects a gradual repair of market sentiment, supported by the AI partnership emphasis from Anthropic, alleviating concerns about traditional software companies being replaced by AI [2] - The Hang Seng Technology ETF (520570) closely tracks the Hang Seng Technology Index and includes 30 large-cap, liquid tech companies listed in Hong Kong, making it a key tool for capturing trends in the Hong Kong tech sector [2] - The combination of low historical valuations, continued inflow of southbound funds, and the acceleration of AI commercialization suggests that the index may continue to experience structural upward movement in the short term, with a sustained recovery logic in the medium term [2]

近期的恒生科技简直是太逆势了，A股上涨的时候恒生科技跌，A股跌的时候，恒生科技反弹力度依然很弱，今天A股三大指数集体调整，而恒生科技指数 仅仅微幅反弹了0.28%，要知道昨天一度大跌了2.87%，这说明即便是重挫之后，资金抄底恒生科技的力量依然不足。 目前恒生科技无论是日线还是周线，都呈现了典型的空头走势，这种情形下即便再有勇气的资金也是不敢随意抄底的。 为啥恒生科技指数今天走势如此的不堪呢？ 从目前的恒生科技指数的走势看，依然处在一个标准的空头排列，比较好的一点是恒生科技指数在5000点之上徘徊，如果是我自身持有恒生科技指数的话， 如果维持在5000点之上，我会坚定的持有为主，如果恒生科技指数失守5000点，意味着一个重要的整数关口没了，那么对之后的投资就要谨慎应对了，这个 时候不仅仅不能加仓，反而应该适当的减仓回避短期风险了。 免责声明：文中内容仅供参考，不构成任何操作建议或提示，股市有风险，投资请谨慎！ 那么，什么情况下才能改变这种现状呢？ 我觉得两点很关键： 其一，外卖大战停止，市场预期会逐步转好，这对大型互联网平台的业绩稳定有积极作用； 其二，大型互联网公司在AI领域出现突破，形成自身的人工智能应用 ...

Group 1 - The core viewpoint of the news is that the Hang Seng Technology Index experienced significant volatility, with over 5.9 billion yuan flowing into it before the Spring Festival, despite a net outflow of 19.5 billion yuan from the A-share market on the last trading day before the holiday [1][2] - The Hang Seng Technology Index saw a net inflow of over 5.9 billion yuan in the last five trading days leading up to February 13, while the overall stock ETF market faced a net outflow of 194.75 billion yuan during the same period [2] - During the Spring Festival holiday, the Hang Seng Technology Index initially fell but later rose, achieving a 0.47% increase, followed by a significant rise of 3.34% on the last trading day before the holiday [2][5] Group 2 - On February 13, the top-performing ETFs included the China Concept Internet ETF from E Fund, which had a net inflow of 9.41 billion yuan, and the Hang Seng Technology ETF from E Fund, which saw a net inflow of 3.63 billion yuan [4][5] - The wide-based ETFs experienced a net outflow of 258.07 billion yuan, with the China A500 Index ETF leading the outflows at 66.13 billion yuan [6][8] - Despite the short-term net outflows from some broad-based indices, there is optimism regarding the A-share market's future performance, with expectations of a rebound in February [9]