中国股票策略 - 重启 MSASI 指标：A 股市场情绪与技术信号新解读-China Equity Strategy-Relaunching MSASI A New Take on A-share Market Sentiment and Technical Signals

Summary of Morgan Stanley A-share Sentiment Indicator (MSASI) Relaunch Industry Overview - The report focuses on the A-share market in China, specifically the sentiment and technical signals related to the CSI 300 index. Key Points and Arguments Relaunch of MSASI - The Morgan Stanley A-share Sentiment Indicator (MSASI) was originally launched in March 2019 to track weekly shifts in A-share market sentiment. The relaunch is prompted by the evolution of data availability and market structure, which rendered some original inputs outdated [3][17]. New Design and Metrics - The updated MSASI features a broader scope and sharper signals, now incorporating 12 metrics instead of the previous nine. These metrics cover turnover, market sentiment, short-selling activity, fund flows, and fundamentals [4][19]. - New metrics added include: - New SSE account registrations - CSI 300 futures backwardation - CSI 300 call-put ratio - Foreign passive fund flows to the CSI 300 [4][26]. Methodology Enhancements - The new methodology employs a 100-day moving min-max normalization to smooth out noise and highlight medium-term sentiment shifts. This results in two versions of the index: - MSASI (Weighted): A real-time composite on a 0-100 scale - MSASI (Weighted 1MMA): A one-month moving average to highlight broader trends [5][33]. Tactical Framework - The MSASI helps identify sentiment extremes, with specific trading strategies suggested: - Short the CSI 300 when the index reaches ≥78% and close after 70 trading days, historically yielding a cumulative return of 31% [6][43]. - Long the CSI 300 when it falls to ≤22% and exit after 70 trading days, historically yielding a cumulative return of 91% [6][43]. Current Market Sentiment - As of late September 2025, MSASI surged but has since cooled due to US-China uncertainties, weak consumption, and reduced expectations for fiscal stimulus. The indicator remains elevated but has normalized from overheated levels [15]. Importance of Tracking Sentiment - The relaunch aims to provide a sharper gauge of market sentiment, crucial for identifying early inflection points and navigating shifts in investor behavior. The focus on China's A-share market is improving, particularly following government calls for a "slow bull" market [18]. Historical Performance - Historical data shows that readings above 78% typically indicate strong optimism, often preceding market pullbacks, while readings below 22% signal excessive pessimism, often leading to meaningful rallies [43]. Additional Important Content - The report emphasizes the importance of understanding sentiment as a crucial component of A-share market dynamics, especially in light of recent market developments and investor behavior [16][18]. - The methodology and metrics used in the MSASI are designed to adapt to changes in market conditions and data availability, ensuring the indicator remains relevant [19][28]. This comprehensive overview of the MSASI relaunch highlights its significance in tracking A-share market sentiment and provides actionable insights for investors navigating the evolving landscape.