CITIC Securities: The signal on the left is initially appeared, and the timing on the right still needs to wait

Source: CITIC Securities Research

Text ｜ Qin Peijing Qiu Xiang Yang Fanqiang Li Shihao

Yang Jiaji Contact: Xu Guanghong

Macro factors suppress market emotions, regulate the large market fluctuations, and enhance market toughness in low valuations. The left signals such as market transactions, private equity positions, and equity valuations have begun to appear; The haze is difficult to disperse, the domestic policy is still in the observation period, the economic recovery is relatively slow, the timing on the right still needs to wait, the most secure time for admission is expected to be in October. On the one hand, the market has weak confidence in the near future, the game transactions have begun to ebb, and the market transactions have reached the steps again; the institutions have concentrated on the positioning and liquidation, and the crowded defense transactions have enlarged market fluctuations. The level around December 2018 and March 2020 is equivalent, and the value of long -term configuration is highlighted: signals on the left side of the market have initially appeared. On the other hand, the end of the Federal Reserve's interest rate hike is raised, the actual recession in Europe and the United States is getting closer, and overseas factors are still large. The passive depreciation RMB has deviated from the actual supply and demand. The US economy is expected to slowly recover the domestic economic advantage will become increasingly obvious; domestic policies are in a period of effect observation, high -frequency data shows that economic recovery is still relatively slow, and the timing of the right side needs to be waited. Recent market adjustment is neither the result of leverage stop loss and product redemption, and the result of perseverance, nor the directional changes in fundamentals and policy factors, but under the environment where the market lacks funds and consensus, investors are crowded. Defense transactions have enlarged market fluctuations under the downturn. It is currently recommended to keep positions and wait patiently for the right time.

Macro factors suppress market emotions, and the warehouse is crowded

Enriching market fluctuations, low valuations to enhance market toughness

1) The market has weak confidence in the near future, the game -type transactions are ebb, and the market transactions are down again. At the macro -level Europe and the United States, the decline of interest rate hikes and the lack of domestic economy is the main reason for the weak market confidence and the wait -and -see of off -site funds. In the past few weeks, whether it is based on the logic of "decoupling" of trade friction transactions, or the logic of comprehensive stimulation of transactions based on real estate policies, or the logic of relaxation of transaction control and control of transactions and control of epidemic transactions at home and abroad. Market participants may follow. The time window of game transactions has gradually compressed, and the market transaction is cold and increasing the cost of game transactions, which leads to the expected game ebb and further cool the market. The average daily turnover of A -shares this week has dropped from a platform of 7500 to 790 billion yuan in the first three weeks to a low of 615 billion yuan. The financing balance that is more sensitive to risk preferences has fallen from 1506.8 billion yuan in early September to 1484.5 billion yuan. Although the current two -financing guarantee ratio is 261%, at a relatively stable level, the proportion of the transactions of Liang Rong has fallen to 7.0%. Near historical lows.

2) The institutional concentrated adjustment of positions and liquidation, and the crowded defense transactions enlarged market fluctuations. First of all, public offering and private equity reduction are still underway. As of the 23rd in September, active rights and interest public offering products were only 18.8 billion yuan, which is still relatively deserted. According to the research data on the channels of Xinxin Securities, the net reinning rate of the existing public offering products this week is -0.2%, which is not significantly enlarged. Active private equity average positions have gradually declined since 80%of August. At present, it has been at a historical average of 74%, and there is still room for adjustment. Secondly, overseas Chinese funds have continued to face net redemption. So far, it has maintained a state of net redemption for 8 consecutive weeks. The net outflow of trading foreign capital in the past two weeks is relatively obvious. Finally, the change of the main index ETF share also shows that the risk appetite in the scene has declined. Since August 5th, the total share of the CSI 1000ETF, which is newly issued at the end of July, and the newly issued CSI at the end of July, respectively 12.6%, 20.2%and- 10.2%. At the level of transaction, the market still lacks funds and consensus. The blue chips with better liquidity are relatively popular, and the liquidity of small -cap stocks has shrunk. Market risk preferences are suppressed by macro factors, and the choice of varieties of relative income -type capital adjustment defense are limited. The profit -based or stop loss cost of absolute income funds is not low. The daily volatility of most indexes is still at a high level.

3) The valuation adjustment has been sufficient, the market toughness is strong, and the value of the long -term configuration is prominent. First of all, under the centralized adjustment of positions and liquidation, as of September 23, the valuation of the weight shares of the institution has been lower than the market low level on April 26 this year. Based on the weighted market value of the positioning, the dynamic PC stock of the public fund's 100 major heavy positions P. /E is 16.8x (April lows 18.1X), and the valuation of the top 100 heavy warehouses in the northbound funds is 13.3X (April low 13.5X). Secondly, the dynamic P/E valuation of CSI 300, CSI 500, and GEM Index is in the lower historical divisions of 28%, 4%, and 10%since 2010; The industry's valuation is less than 30%, and only 4 industries with more than 50%. Third, the current P/E of the Shanghai and Shenzhen 300 9.2X has been equivalent to the level around February 2016, December 2018 and March 2020. According to the retrospective of historical data in the past 20 years, similar valuations The annualized income of 300 in the next 2 to 3 years is expected to be around 10%, and the value of the long -term configuration is obvious. Finally, after comprehensive comparative A -share valuation and national debt yields, the relative valuation indicators show that the cost performance of stocks in the current stock bond allocation is already very high, and the relative advantages of stock allocation are close to the optimal level since 2016. It is difficult to spread rapid interest rate hikes and economic recession in Europe and the United States

Domestic policies are still observing, and economic recovery is slow

1) The end of the Federal Reserve's interest rate hike is raised. The actual recession in Europe and the United States is getting closer, and overseas factors are still large. After the Fed raised 75bps as scheduled on September 22, Powell tried to stabilize market emotions by speaking, but actually stated that the eagle was partial. First of all, the dot matrix diagram indicates that the Fed's tightening position is very firm, and the short -term is difficult to see. CME shows that the highest probability of interest rate hikes in November and December is 75bps (probability of 73%), 50bps (probability of 71%), and the policy interest rate at the end of the year may or At more than 4%, the end point of this round of interest rate hikes may be at 4.5%~ 4.75%. We judge the final interest rate hike at about 5%. Secondly, Europe is currently facing high inflation, tightening currency, weakening foreign demand, and multiple impacts of energy crisis. It is expected to fall into the United States in the fourth quarter of this year. The United States may fall into a substantial recession around the middle of next year. In the end, the short -term US dollar is expected to be strong. U.S. stocks are still in the passage of recession transactions. The 10 -year US debt yield is short -term shock, medium and long -term or economic recession. In addition, the US midterm elections are getting closer, and the disturbance incidents of China and the United States are expected to be at a high window.

2) The passive depreciation of the RMB deviates from the actual supply and demand. The relative trend of the Sino -US economy is the core variable that determines the RMB exchange rate. In the context of the slowdown in domestic economic restoration, the Federal Reserve ’s increasingly eagle, and the intensified European energy crisis, the US dollar index has been significantly up, especially the euro and the yen have obviously weakened, and the yuan has also been passively weakened. The bank exchange rate has fallen below 7.1. First of all, under the leadership of currency factors such as the tightening of European and American currencies and rising interest rates, it is expected that the short -term RMB will still have passive depreciation pressure. The influence of currency and capital flow has continued to weaken, and the exchange rate index of RMB on a basket of currencies has remained stable. In the long run, the relative trend of the Sino -US economy is the core variable that determines the RMB exchange rate. At present, the domestic economy is slowly recovered, and the trade surplus is still obvious. It is expected that the relatively decline is close to the US economy. my country's advantages will become increasingly obvious. The fundamentals and actual supply and demand will return to the return. After the main driver, it is expected that the yuan will gradually appreciate and return to a reasonable range.

3) Domestic policies are more important, in terms of effect observation, high -frequency data shows that economic recovery is relatively slow. In terms of policies, recently, domestic more attention to the implementation of stable growth measures and supervision of local policy implementation, the policy effect is still in the observation period, and the market is still concerned about the main risk of real estate. The high -frequency data of the National Bureau of Statistics has shown that the domestic economy has run smoothly in the past few weeks, and the recovery is relatively slow: ① The scattered split -point epidemic has eased, and the number of new cases has declined in September for two consecutive weeks. ② Logistics and personnel flow slowed down. The vehicle freight traffic index decreased by 22.3%year -on -year in September. Tracking data such as logistics, railways, airports, etc. showed that the flow data of personnel in the city and cities fell. ③ The sales of commercial housing sales and land transactions are still slow. Since September, the number of commercial housing transactions of 30 major and medium -sized cities has decreased by 33.4%year -on -year, and the land area of ​​100 large and medium -sized cities has decreased by 5.4%year -on -year. ④ Infrastructure investment has begun to make efforts. The operating rate of the oil asphalt device continues to rise in September. The volume of cement companies' outlook for the exit increases by 5.4%month -on -month. The overall demand has continued to increase, reaching the highest point in the past two months. ⑤ Foreign demand has fallen. In the third week of September, the China Export Container freight index (CCFI) changed -4.2%month-on-month. Since September, the Chinese export container index has changed by -10.3%compared with August.

The signal on the left is initially appeared, and the timing on the right still needs to wait

Macro factors at home and abroad are the main factor of market emotional downturn. Short -term market adjustment is neither leverage stop loss and product redemption result. In an environment that lacks funds and consensus, investors' crowded defensive transactions have enlarged market fluctuations under the sluggish transactions. Signals on the left side of market transactions, private equity positions, and stock bond valuation have been initially emerged; at the same time, the haze of rapid interest rate hikes and economic recessions in Europe and the United States are difficult to disperse. The domestic policy is still in the observation period. Still waiting. It is recommended to keep the position and wait patiently for the right time. In terms of specific varieties, it is recommended to pay attention to: ① The semiconductor and military leader in the field of growth and manufacturing pay attention to continuous adjustment and the valuation switching space next year. New materials with high cost performance. ② The pharmaceutical industry focuses on Chinese medicine with high cost performance, as well as medical devices that fully digest valuations and worry about policies. ③ The unpopular industry focuses on high -quality real estate developers, breeding industry chains, power, oil transportation and oil and gas machinery. In addition, under the environment of sanctions in the field of external technology, pay attention to the configuration opportunities in autonomous and controllable areas such as chips, Xinchuang. Risk

Domestic epidemic situations have repeatedly exceeded expectations; domestic policies and economic recovery are less than expected; frictions in the fields of Sino -US science and technology trade and financial fields have intensified; macro -liquidity at home and abroad is expected to be tightened;

Editor -in -chief: Wang Lulu

School pair: Wang Jinsheng

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