具体来说，"266策略"(中证A500-沪深300)相当于对中证A500这个资产配置的大模型进行蒸馏提纯，更 加聚焦战略新兴领域，包括电力设备、医药生物、国防军工等行业，更聚焦弹性较大的中小龙头公司。 当中证A500相对沪深300展现超额收益时，"266策略"凭借"倍增效应"，将这种优势进一步放大。 杨衡认为："在经济高质量发展的主线之下，聚焦新质生产力的投资逻辑不会改变。我们不仅看好中证 A500指数的长期价值，更坚信中证A500之'266策略'能在结构转型中持续创造超额收益。对于投资者而 言，把握这一顺应趋势的工具，或许能更高效地分享中国经济转型的红利。" 据介绍，沪深300指数主要由"金融+消费"双轮驱动。而中证A500指数通过行业再平衡，降低了金融和 消费股的权重，纳入更多高端制造、战略新兴产业标的，形成"大盘稳健+中盘成长+细分隐形冠军"三 层结构，因此弹性更大、行业轮动捕捉能力更强。同时，中证A500指数的全部成分股均在互联互通名 单，且已嵌入ESG负面筛选，国际资金可无障碍配置，减少被动调仓成本。 "鉴于此，我们通过综合中证A500指数、沪深300指数编制的两类审美标尺相互校验，将两个指数叠 加 ...

证 券 研 究 报 告 【资产配置快评】 —Charles A Jaffe 多资产配置研究 资产配置快评 2025 年 09 月 30 日 华创证券研究所 证券分析师：牛播坤 Riders on the Charts: 每周大类资产配置图 表精粹 ❖ 投资摘要： It's not your salary that makes you rich; it's your spending habits. 邮箱：niubokun@hcyjs.com 执业编号：S0360514030002 证券分析师：郭忠良 邮箱：guozhongliang@hcyjs.com 执业编号：S0360520090002 相关研究报告 《"9·24"一周年——总量"创"辩第 112 期》 2025-09-29 《资产配置快评 2025 年第 43 期：Riders on the Charts：每周大类资产配置图表精粹》 2025-09-23 《资产配置快评 2025 年第 42 期：兑现降息预期， 否认降息周期——9 月美联储议息会议点评 2025 年第 6 期》 2025-09-18 《资产配置快评 2025 年第 41 期：Rider ...

Group 1 - The recent strong performance of the A-share market has led private equity institutions to maintain an optimistic outlook for the market after the holiday, with 65.38% of surveyed institutions indicating they will keep over 70% of their positions [1] - The technology growth sector remains the mainstream choice for private equity institutions, with nearly 60% expressing confidence in sectors such as AI, semiconductors, humanoid robots, smart driving, and innovative pharmaceuticals [1] Group 2 - The influx of diversified capital has improved market sentiment, contributing to a rapid rise in the A-share market and attracting more investors [2] - Goldman Sachs reports that China was the largest market for net purchases by hedge funds in August, with hedge funds buying A-shares at the fastest pace in nearly two months [2] - Goldman Sachs has raised its target price for the CSI 300 index, suggesting a potential 10% upside over the next year, while also noting that the valuation of the Chinese stock market remains attractive [2] - Morgan Stanley has warned of isolated signs of overheating in the A-share market, emphasizing the need for improvements in corporate fundamentals and stronger policy support to sustain the upward trend [2] - The China Securities Regulatory Commission has been guiding long-term funds such as insurance, social security, and pension funds into the market since last year, aiming to reduce market volatility and create a "slow bull" market similar to that of the U.S. [2]

丨证券研究报告丨 战略数据研究丨专题报告 [Table_Title] 低估值、红利风格交易活跃度继续回升—— W127 市场观察 报告要点 [Table_Summary] 当周市场成交量小幅缩量，上证周度微涨，创业板指周度涨幅接近 2%。当周成长风格继续修 复领涨，尤其是中盘成长、高波、高贝塔类，表现普遍较佳。从成交活跃度来看，基础风格中 红利、低估值当周成交活跃度继续回升，成长风格前期小幅回落后再度上行，微盘股拥挤度继 续下滑。一级行业中油气、食品饮料、保险等板块周度拥挤度分位仍位于底部；基金重仓 50 领 涨基金重仓系列指数，2025 年年初至今大幅跑赢沪深 300 指数；行业板块内信息技术与硬件 领涨。主题行情中，新型烟草、专精特新精选指数领涨。 分析师及联系人 [Table_Author] 陈洁敏 SAC：S0490518120005 SFC：BUT348 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 低估值、红利风格交易活跃度继续回升 2] —— W127 市场观察 丨证券研究报告丨 cjzqdt11111 2025-09- ...

1. Index Trends - On September 25th, the Shanghai Composite Index had a change of -0.01%, closing at 3853.3 points with a trading volume of 1001.211 billion yuan; the Shenzhen Component Index had a change of 0.67%, closing at 13445.9 points with a trading volume of 1369.879 billion yuan [1]. - The CSI 1000 Index had a change of -0.37% and a trading volume of 464.745 billion yuan, with an opening price of 7521.32, a closing price of 7506.51, a daily high of 7563.08, and a low of 7487.12 [1]. - The CSI 500 Index had a change of 0.24% and a trading volume of 493.047 billion yuan, with an opening price of 7325.66, a closing price of 7341.32, a daily high of 7379.61, and a low of 7312.35 [1]. - The SSE 300 Index had a change of 0.6% and a trading volume of 669.867 billion yuan, with an opening price of 4563.98, a closing price of 4593.49, a daily high of 4613.95, and a low of 4558.84 [1]. - The SSE 50 Index had a change of 0.45% and a trading volume of 158.667 billion yuan, with an opening price of 2944.73, a closing price of 2952.74, a daily high of 2962.18, and a low of 2941.87 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index rose -27.71 points from the previous closing price. Media and communication sectors significantly pulled the index up, while basic chemicals, machinery, and electronics sectors pulled it down [3]. - The CSI 500 Index rose 17.61 points from the previous closing price. Computer, machinery, and electronics sectors significantly pulled the index up, while the non - banking financial sector pulled it down [3]. - The SSE 300 Index rose 27.42 points from the previous closing price. Power equipment, non - ferrous metals, and communication sectors significantly pulled the index up, while the banking sector pulled it down [3]. - The SSE 50 Index rose 13.23 points from the previous closing price. Non - ferrous metals, pharmaceutical biology, and electronics sectors significantly pulled the index up, while food and beverage and banking sectors pulled it down [3]. 3. Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of -69.91, IM01 of -156.48, IM02 of -236.36, and IM03 of -449.96 [13]. - IC00 had an average daily basis of -51.53, IC01 of -122.3, IC02 of -177.77, and IC03 of -356.12 [13]. - IF00 had an average daily basis of -8.53, IF01 of -24.0, IF02 of -33.81, and IF03 of -65.69 [13]. - IH00 had an average daily basis of 2.04, IH01 of -0.05, IH02 of 1.44, and IH03 of -0.53 [13]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IM00 - 01, IM00 - 02, etc.) [21]. - For IC, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IC00 - 01, IC00 - 02, etc.) [23]. - For IF, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IF00 - 01, IF00 - 02, etc.) [24]. - For IH, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IH00 - 01, IH00 - 02, etc.) [26].

Core Viewpoint - The market is experiencing style rotation, with growth styles currently performing strongly while value styles are lagging behind. The recent rise in the ChiNext index indicates a shift in market dynamics, suggesting potential investment opportunities in growth sectors [4][10][11]. Market Performance - The market saw a rise during the day, reaching a peak of 4.1 stars, but closed at 4.2 stars, indicating a slight pullback [1][2]. - Large-cap stocks showed minor gains, while small-cap stocks experienced slight declines [3]. - The growth style overall is on the rise, with significant increases in the ChiNext index recently, which had been undervalued for a long time [4][7][8]. Valuation Insights - The ChiNext index is approaching a price-to-earnings (P/E) ratio of approximately 45 times, indicating it is nearing overvaluation [9]. - Value styles, such as free cash flow and Hong Kong-Shanghai dividend stocks, have seen increases, with the latter rising 7-8% this year, marking the fifth consecutive year of growth [12][13]. - The average turnover rate in A-shares is significantly high, suggesting that many retail investors hold stocks for less than a month, which may not be sufficient to weather market corrections [42][43]. Investment Behavior - Historical data shows that during bull markets, it is common to experience pullbacks, and the market often exhibits a pattern of sharp rises followed by corrections [18][24]. - Attempting to time the market by selling before a correction and buying back at lower prices is challenging and often leads to missed opportunities [27][28]. - Frequent trading and chasing market trends can significantly reduce investor returns, with studies indicating that high turnover rates correlate with lower average profits [52]. Long-term Investment Strategy - Long-term stock and fund investments are closely tied to valuation and earnings growth, with valuation primarily affecting short-term returns and earnings growth driving long-term performance [44][46]. - Investors are encouraged to focus on controlling costs and enhancing revenue, akin to running a business, to achieve better investment outcomes [49][50]. Dividend and Cash Flow Indices - The article includes a valuation table for various dividend and free cash flow indices, providing insights into their earnings yields, P/E ratios, and other financial metrics for reference [51][65].

Core Viewpoint - The article emphasizes the importance of having a personal investment system to navigate market fluctuations and make informed decisions, rather than relying on external advice or luck [6][10][14]. Group 1: Investment Strategies - Warren Buffett began reducing his holdings in Apple from Q4 2023, while George Soros increased his investment in the same stock during Q2 and Q3 of 2024, showcasing contrasting investment strategies [4][5]. - The differing decisions of Buffett and Soros stem from their unique investment philosophies: Buffett focuses on value investing and long-term holding, while Soros capitalizes on market momentum and the reflexivity principle [6][7][8]. Group 2: Importance of a Personal Investment System - A user’s experience illustrates the pitfalls of not having a personal investment system, as they missed out on gains during a bull market due to a lack of confidence and understanding of their investment decisions [10][12][14]. - Successful investors maintain a consistent investment system that aligns with their personal values and risk tolerance, which is crucial for long-term success [14]. Group 3: Asset Allocation as an Investment System - The article advocates for asset allocation as the most suitable investment system for ordinary investors, emphasizing the need for understanding the underlying investment philosophy and decision-making process [15][16]. - The "three-part method" of asset allocation is introduced, which includes determining what to buy, how much to invest based on risk tolerance, and when to buy and sell [17][18][20]. Group 4: Practical Application of Asset Allocation - The three-part method encourages diversification across various asset classes to mitigate risks and enhance overall returns, with a focus on long-term investment rather than timing the market [17][20]. - The method also includes a rebalancing feature, allowing investors to adjust their portfolio based on performance, which promotes disciplined investment practices [21].

Core Viewpoint - The current stock market rally is primarily driven by capital inflow and valuation enhancement due to declining interest rates, with a notable increase in retail investor participation [3][4][5] Group 1: Market Dynamics - The recent stock market increase has seen a rise of over 1000 points, yet the overall market valuation remains reasonable without signs of a bubble [3][4] - A-shares financing balance has surpassed the peak levels of 2015, but the proportion of financing balance to circulating market value is significantly lower than in 2015, indicating a more stable market environment [8][9] - The average price-to-earnings (P/E) ratio for major indices like the Shanghai Composite and CSI 300 remains within a rational range, with the CSI 300's P/E at approximately 14 times compared to 29 times for the S&P 500 [13][14] Group 2: Growth and Earnings - Sustained market growth relies on continuous corporate earnings growth, with A-share companies' net profit growth averaging only 2.5% for the first half of 2025, raising concerns about future market momentum [21][17] - The net profit of A-share companies reached 2.99 trillion yuan in the first half of 2025, marking a 2.5% increase from the previous year, with significant growth in sectors like advanced manufacturing and digital economy [20][21] Group 3: Policy and Future Outlook - The Chinese government is expected to continue implementing supportive macroeconomic policies in the fourth quarter and into 2025 to bolster market confidence [4][39] - The market is currently in a more rational state compared to previous years, with a focus on structural opportunities rather than speculative bubbles [23][12] Group 4: Investment Strategy - The ongoing trend of declining interest rates is likely to continue, making equities with high dividend yields and low volatility attractive to investors [9][28] - Diversification across various asset classes, including A-shares, Hong Kong stocks, bonds, and commodities, is recommended to mitigate risks associated with market volatility [31][28]

Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints of the Report - The study explores the effectiveness of the NASDAQ Golden Dragon China Index in predicting the short - term trends of domestic stock indices. The quantitative timing strategy based on the previous night's performance of the NASDAQ Golden Dragon China Index can significantly outperform the corresponding benchmark indices, with a smoother net - value curve, enhancing returns and reducing the maximum historical drawdown, especially for the CSI 500 and CSI 1000 indices [4][37]. - This research expands investors' strategy toolkits and helps futures and options intraday traders optimize trading decisions and improve trading win - rates [4][37]. Summary by Relevant Catalogs 1. NASDAQ Golden Dragon China Index Introduction - It is a stock index compiled by the NASDAQ to track the stock price performance of Chinese companies listed in the US, regarded as a "barometer" of Chinese new - economy enterprises in US stocks. As of September 23, 2025, it has 73 constituent stocks, including Alibaba and Baidu, covering new - economy sectors such as the Internet, new energy, and consumer services. In terms of the number of constituent stocks, the optional consumer and information technology sectors have relatively large shares [9]. 2. Correlation Analysis between NASDAQ Golden Dragon China Index and Domestic Stock Indices - There is a significant positive correlation (correlation coefficients above 0.65) between the NASDAQ Golden Dragon China Index and the Shanghai 50, SSE 300, CSI 500, and CSI 1000 indices in the past three years, indicating that the previous night's movement of the NASDAQ Golden Dragon China Index affects the next - day movement of domestic stock indices [12][13]. - The Granger causality test on the NASDAQ Golden Dragon China Index and the SSE 300 and CSI 1000 indices shows that the lagged first - order NASDAQ Golden Dragon China Index has a certain predictive effect on domestic stock indices, and it can be used to predict the next - day movement of domestic stock indices statistically [16]. 3. Quantitative Timing Strategy Based on NASDAQ Golden Dragon China Index 3.1 Strategy Basic Logic - When (closing price - opening price)/opening price of the NASDAQ Golden Dragon China Index on the previous day is greater than X%, indicating that the K - line entity is at least a medium - sized positive line, go long on domestic stock indices at the opening price the next day and hold until closing [17]. 3.2 Historical Back - test Performance - **Shanghai 50 Index Timing Strategy**: Since 2018, the strategy has significantly outperformed the Shanghai 50 Index, with a compound annualized return of 7.63% (compared to 0.22% of the Shanghai 50 Index), and the maximum drawdown has decreased from - 44.43% to - 13.21% [19][22]. - **SSE 300 Index Timing Strategy**: The compound annualized return of the strategy is 8.42% (compared to 1.28% of the SSE 300 Index), and the maximum drawdown has decreased from - 45.6% to - 10.07% [23][24]. - **CSI 500 Index Timing Strategy**: The compound annualized return of the strategy can reach 11.05% (compared to 1.65% of the CSI 500 Index), and the maximum drawdown has decreased from - 41.68% to - 9.44% [28][29]. - **CSI 1000 Index Timing Strategy**: The compound annualized return of the strategy can reach 12.74% (compared to 0.63% of the CSI 1000 Index), and the maximum drawdown has decreased from - 45.38% to - 10.51% [33][36]. 4. Conclusion - The strategy based on the NASDAQ Golden Dragon China Index can significantly outperform the corresponding benchmark indices in the past seven - plus years, with a smoother net - value curve, enhancing returns and reducing the maximum historical drawdown, especially effective for the CSI 500 and CSI 1000 indices [37]. - The research expands investors' strategy toolkits and helps futures and options intraday traders optimize trading decisions and improve trading win - rates [37].

Group 1: Market Trends - Extreme short positions in the dollar suggest a potential short squeeze in the future, with speculative net short positions rising to 13,000 contracts, accounting for 33.5% of total positions, the highest since February 2021[4] - Japan's core CPI, excluding food and energy, has remained at 1.6% year-on-year for six consecutive months, indicating a cooling inflation pressure that may limit the Bank of Japan's rate hike space[7] - The 10-year Japanese government bond yield may trend down towards 1% as inflation levels continue to decline, flattening the yield curve[11] Group 2: Central Bank Actions - The Bank of Japan plans to gradually sell its ETF and real estate trust holdings, with an annual target of 330 billion yen for ETFs and 5 billion yen for real estate trusts, suggesting a selling timeline of over 100 years at the current pace[9] - The current equity risk premium (ERP) for the CSI 300 index is 4.5%, which is one standard deviation below the 16-year average, indicating potential for valuation uplift[17] Group 3: Economic Indicators - Since the beginning of the year, the U.S. labor supply has increasingly favored domestically born individuals, with 139 million domestic-born workers compared to 32.24 million foreign-born workers[15] - The forward arbitrage return on China's 10-year government bonds is currently at 23 basis points, which is 53 basis points higher than the level in December 2016[20] - The total return ratio of domestic stocks to bonds is 27.8, above the 16-year average, suggesting enhanced attractiveness of equity assets relative to fixed income[27]