A股量化擇時(shí)研究報(bào)告：金融工程底部特征逐漸明朗

金融工程：底部特征逐漸明朗金融工程：底部特征逐漸明朗A股量化擇時(shí)研究報(bào)告市場回顧(本期是指2023年8月21日—2023年8月25日)結(jié)構(gòu)表現(xiàn)30050080002000-3.40%-2.35%-3.89%-3.73%行業(yè)表現(xiàn)強(qiáng)度前五：環(huán)保、農(nóng)林牧漁、食品飲料、傳媒、煤炭。強(qiáng)度后五：建筑裝飾、電力設(shè)備、機(jī)械設(shè)備、交通運(yùn)輸、輕工制造。市場估值指數(shù)估值?：上證指數(shù)、深證指數(shù)。行業(yè)估值相對(duì)PE較低：煤炭、電力設(shè)備、有色金屬、銀行、石油石化。相對(duì)PE較高：房地產(chǎn)、社會(huì)服務(wù)、計(jì)算機(jī)、傳媒、商貿(mào)零售。市場情緒新高比例t：創(chuàng)近60日新高個(gè)股數(shù)占比從前一期的5.8%降至5.3%。新低比例t：創(chuàng)近60日新低個(gè)股數(shù)占比從前一期的20.2%升至44.6%。均線結(jié)構(gòu)?：多頭排列減空頭排列個(gè)股占比從前一期的-1.8%降至礦工論市市場展望自3月份以來，市場一直處于陰跌震蕩狀態(tài)，同時(shí)與其他主要權(quán)益市場出現(xiàn)一定背離，接下來三季度下半段，較大概率存在修復(fù)可能，市場進(jìn)入回升窗口。風(fēng)險(xiǎn)提示市場極端情況模型可能失效。日歷效應(yīng)和宏觀因子事件由歷史數(shù)據(jù)回測得到，PPI同比數(shù)據(jù)判斷市場走勢的結(jié)論是基于歷史數(shù)據(jù)得出的，市場結(jié)構(gòu)及交易行為的改變可能使得策略失效，注意控制風(fēng)險(xiǎn)。因?yàn)榱炕Ｐ偷牟煌緢?bào)告提出的觀點(diǎn)可能與其他量化模型得出的結(jié)論存在差異。數(shù)據(jù)來源：Wind，廣發(fā)證券發(fā)展研究中心數(shù)據(jù)來源：Wind，廣發(fā)證券發(fā)展研究中心SFCCENoBNW923948352gninggfcomcn03734zhangyudonggfcomcn請(qǐng)注意，張鈺東并非香港證券及期貨事務(wù)監(jiān)察委員會(huì)的注冊(cè)持牌人，不可在香港從事受監(jiān)管活動(dòng)。金融工程：關(guān)注市場超跌板A告金融工程：縮量靜待反轉(zhuǎn):A報(bào)告金融工程：上行修復(fù)季度窗口:A股量化擇時(shí)研究報(bào)告023-08-202023-08-13023-08-06報(bào)告 0 5 6 圖30：融資余額統(tǒng)計(jì)(億元) 22 報(bào)告%創(chuàng)業(yè)板指%%創(chuàng)業(yè)板指%科創(chuàng)50%40%一、市場表現(xiàn)回顧(一)市場漲跌之結(jié)構(gòu)表現(xiàn)察一0%%%%%%%%%%數(shù)上證50數(shù)上證50察二%%%%0%%%%%%%%%牧漁品飲料傳媒銀行石油石化有色金屬社會(huì)服務(wù)公用事業(yè)基礎(chǔ)化工料機(jī)牧漁品飲料傳媒銀行石油石化有色金屬社會(huì)服務(wù)公用事業(yè)基礎(chǔ)化工料機(jī)造機(jī)械設(shè)備飾%%%%%%%%%%%%%%%%%(二)市場漲跌之行業(yè)表現(xiàn)級(jí)行業(yè)表現(xiàn)1%0%報(bào)告0203060810090928081910609020306081009092808191060920209100905241204061612190617112505031012031708081220051009180211062591022022006161016020806110924010704250804111803030614(一)市場估值趨勢E.030.629.960%PE_TTM(倍)PE分位數(shù)(右軸).0.0.0.0.0.00.0.0報(bào)告0203062611111106101307200203062611111106101307200329120407190207081903100821020360720123006141031032108071226052209200122060100928012906080924011105050816120103210707.737.6.227.94.725.227.720.620.315.116.220.33.832.531.031.49.54.380.060.040.020.0(二)行業(yè)估值變動(dòng)跟蹤.0PE_TTM(倍)PE分位數(shù)(右軸).0%%報(bào)告.0.28.23.222.92.92.82.52.42.52.02.12.22.12.11.61.61.31.31.31.31.11.20.90.80.91.81.81.7銀行基礎(chǔ)化工牧漁有基礎(chǔ)化工牧漁有色金屬媒社會(huì)服務(wù)機(jī)械設(shè)備公用事業(yè)社會(huì)服務(wù)機(jī)械設(shè)備公用事業(yè)石油石化機(jī)品飲料0%02030814030202030814030202230302112908310528010208070318509170322091403220830013107111212052210090225070911240409081712150415208111208040708040203081403020223030211290831052801020807031850917032209140322083001310711121205221009022507091124040908171215041520811120804070804(一)新高新低比例指標(biāo)指標(biāo).0%.0%.0%0.0%.0%.0%.0%.0% 60日新低比例上證指數(shù)(右)000.0000.0%%%%%%% 60日新高比例上證指數(shù)(右)000.000050104081503030317032801041018071002251008052050104081503030317032801041018071002251008052051118052411280607110904200921031108071225052101012030107161117032107211122032307250517111905200531060203121214090204161124062912290704010407111211805221026040308290116060910280316073011300330072911290329072880.00%60.00%40.00%20.00%00%0%100.0% 0.0% % % % % %0%00均線強(qiáng)弱指標(biāo)上證指數(shù)(右)長期均線之上比例數(shù)據(jù)例滬深300指數(shù)(右例0000.0000報(bào)告0812072009110708081207200911070804151114061712280617120505237101203020720121004100808120904130805112003090624101201200427207281101020305080803(三)基金倉位置規(guī)模加權(quán)得到反映整體權(quán)益基金倉位的數(shù)據(jù)。截至20230825，估算倉位為.0%.0%.0%.0%.0%0.0%.0%基金倉位上證指數(shù)(右)000.0000報(bào)告?zhèn)}位跟蹤報(bào)告0330040604120418042404280509051505190525053106060612061606260630070607120718072407280803080908150821000003300406041204180424042805090515051905250531060606120616062606300706071207180724072808030809081508210000000ETF左右。圖15：主流ETF資金凈流入估計(jì)(單位:億元)0規(guī)模(億元)資金流(億元，右)0-100-150根據(jù)Wind，當(dāng)期權(quán)益類ETF合計(jì)規(guī)模為13854.71億元，相比于前一期減少了211.69億元。其中寬基ETF和主題ETF規(guī)模較大，分別為7097.09億元和3936.01億ETFETFETF億元。題ETF規(guī)?？s減較多。益ETF當(dāng)期規(guī)模變動(dòng)一(億元).0000規(guī)模(億元)規(guī)模(億元)報(bào)告(五)期權(quán)成交量看漲看跌比上證50ETF期權(quán)成交量看漲看跌比率(CPR)最近20個(gè)交易日高于60日布林通型認(rèn)為藍(lán)籌股短期存在超買風(fēng)險(xiǎn)。R 報(bào)告2023-08-252023-08-182023-08-112023-08-042023-07-282023-07-212023-07-132023-08-252023-08-182023-08-112023-08-042023-07-282023-07-212023-07-13(六)市場交易活躍度.0%.0%.0%.0%0.0%.0%.0%5010550105021710110328082801080509082812110315061709101204002240511072310121210021804220629083011031227022504252062208161012112801130309042606150804圖20：北向資金凈流入(億元)0.000000000000001040104080303060925042511200618010908050305092804281122062001150815031710130507511300627011808150314101005091129063001210818031810180515四、擇時(shí)模型(一)量化模型擇時(shí)結(jié)論表1：擇時(shí)結(jié)論稱業(yè)板指跌跌跌跌跌跌跌跌跌跌跌跌(二)擇時(shí)凈值0000 GFTDV2滬深300(右)000.000001040816033011080104081603301108062101240902041611230705021609190508121007260311101705261231080970323710310608011608260408111806290209091504270104061110281029092807150323112807164012908150306082002020719122906141031032108081226052309230123060209291020206090927011305090818120603230711.00.00.000.00.00.00.00.00 LLT滬深300(右)000.000000000報(bào)告五、多維視角看市場(一)宏觀因子事件變化趨勢與宏觀因子的變化趨勢密切相關(guān)。在宏觀因子的選擇上，我們從多個(gè)角度來我們嘗試?yán)煤暧^因子在最近一段時(shí)間內(nèi)的走勢作為未來資產(chǎn)趨勢判斷的依據(jù)，、連續(xù)上漲下跌、創(chuàng)歷史新高新低、因子走率影響較為顯著的因子事件。報(bào)告史上宏觀指標(biāo)趨勢對(duì)于資產(chǎn)未來一個(gè)月收益率的影響，篩選在宏觀指標(biāo)處于不同的變化趨勢下，平均收益存在顯著差異的資產(chǎn)。當(dāng)前宏觀因子趨勢對(duì)權(quán)益市場的影響所示。表2：宏觀因子趨勢對(duì)權(quán)益市場一個(gè)月影響勢指標(biāo)趨勢對(duì)于大類資產(chǎn)的觀點(diǎn)CPI同比存量同比01030110011701310207021402210228030703140321032804040412041901030110011701310207021402210228030703140321032804040412041904260508051505220529060506120619062807050712071907263080208090816(二)年初至今個(gè)股表現(xiàn)統(tǒng)計(jì)A于收益區(qū)間的占比分布統(tǒng)計(jì)%%%0%% A數(shù)統(tǒng)計(jì)8%6%4%2%010406111028102901040611102810290928071503231128071601290815030608200202071912290614103103210808122605230923012306020929020206090927011305090818120603230711(三)風(fēng)險(xiǎn)溢價(jià)00%%%%風(fēng)險(xiǎn)溢價(jià)avgavg+2*sigmaavg-2*sigma(四)指數(shù)超買超賣0.00.00.00.00.00.00.0指數(shù)指數(shù)全A剔除金融石化創(chuàng)業(yè)板指上證500NEW201812282007083120080331103120090531123120100731201102282011093004300131201408312015033120151031201707312018093020190430063020210131(六)債務(wù)通脹周期下的權(quán)益市場2007083120080331103120090531123120100731201102282011093004300131201408312015033120151031201707312018093020190430063020210131(六)債務(wù)通脹周期下的權(quán)益市場2013063020161231(五)融資余額合計(jì)減少約97億元。.008000.006000.004000.002000.00融資余額(億元)融資余額占流通市值(%，右)30.0%25.0%20.0%15.0%10.0% %%%增速PPI全A(右軸)0000.0000報(bào)告013170831033110310531123107310228093004301130063001310831033110310531123107310228093004301130063001310831203311031053101317083103311031053112310731022809300430113006300131083103311031053112310731022809300430113006300131083120331103105310%0%0%0% 0131013103311031053112310731022809300430113006300131083103311031TTM名義GDP增速053112310731022809300430113000630101310831033110310531全A(右)00025.00%20.00%15.00%10.00% 0%0%PPI(右)TTM名義GDP增速10報(bào)告0131073101310731013107310131073101311073101310731013107310131073101310731013107310131073101310731013107310131073101310731013107313013107310131083103311031053112310731022820121130063008312015033120151031013107310131073101310731013107310131107310131073101310731013107310131073101310731013107310131073101310731013107310131073