Market performance this week:
This week (2022.01.17-2022.01.21, the same below) the market showed polarization in size, with large declines in small cap stocks and strong reversals in large cap stocks. Shanghai Composite Index rose 0.04%, Shanghai 50 rose 2.54%, Shanghai and Shenzhen 300 rose 1.11%, China Securities 500 fell 1.48%, China Securities 1000 fell 3.73% and gem index fell 2.72%. The quantitative timing signals of SSE 50 are bullish, and the other broad-based index quantitative timing signals are bearish.
In terms of broad-based index, CSI 500 and CSI 1000 are at the “safe” level of valuation quantile, and the other broad-based indexes are at the “moderate” level of valuation quantile.
In terms of CITIC’s primary industry classification, power and public utilities, automobile, commerce and retail, consumer services, food and beverage, agriculture, forestry, animal husbandry and fishery, computer and media are at the “dangerous” level of valuation quantile; Petrochemicals, non-ferrous metals, iron and steel, basic chemicals, light industry manufacturing, banking, non banking finance, electronics and communications are at the “security” level of the valuation quantile.
Quantitative market tracking:
In the past week, the cross-sectional volatility of constituent stocks of CSI 300 index, CSI 500 index and CSI 1000 index rebounded slightly, and the short-term alpha environment improved. All indexes have been in the rising range in the past month. In the past quarter, the cross-sectional volatility of CSI 300 index is at the middle quantile in recent half a year, the CSI 500 and CSI 1000 index are at the middle and lower quantile, and the alpha environment is still in the low range.
In terms of time series, the volatility of time series of constituent stocks of CSI 300 index and CSI 500 index decreased in the last week, and the alpha environment became worse compared with last week, but the CSI 300 index is still in the rising channel. The time series volatility of component stocks of CSI 1000 index fluctuated at a low level, and the change was not obvious this week. The time series volatility of CSI 500 and CSI 1000 indexes are at recent low levels.
This week, if contract rose 0.9% to close at 4775.6, with closing basis of – 0.08%; IH’s contract rose 2.17% to close at 3214.2, with a closing basis of – 0.14%; IC contracts fell 1.53% to close at 6982.2, closing at a basis of 0.08%.
The net capital inflow from the north is 29.197 billion yuan, including 19.735 billion yuan from the Shanghai Stock connect and 9.462 billion yuan from the Shenzhen Stock connect. The net inflow of southbound funds was 10.472 billion yuan, including 3.866 billion yuan from Shanghai Hong Kong stock connect and 6.606 billion yuan from Shenzhen Hong Kong stock connect.
The industries with higher ranking of net capital inflow in the north this week are banking, non banking finance and basic chemical industry; The industries with higher net outflow are consumer services, household appliances and media. The industries in which the proportion of northbound funds in the total market value of the industry has decreased more include medicine, power equipment and new energy; Banks, food and beverage industries have increased more.
As of January 21, 2022, the separation degree of funds in the last week was in a volatile situation. Compared with last week, the change was not obvious, and the views of funds in the last week remained the same. Compared with the performance of Baotuan fund, Baotuan stocks retreated and expanded last week.
Risk analysis: the report results are based on historical data, which may not be verified repeatedly.
