资源描述
|2023 02 11-5,5 1.90 DR007 SHIBOR M1 M1 PPI PMI 800PE PB 800 AIAE DCF RSI S0680518030007 S0680518100004 S0680518080001 S0680521120003 S0680521120005 S0680522070006 S0680121070008 1 2023-02-09 2 ETF 2023-02-09 3 2023-02-07 4 2023-02-06 5 2023-02-05 2023 02 11 P.2.4 1.5 1.1.5 1.2.6 2.8 2.1.8 2.2.10 3.11 4.14 4.1.14 4.2.14 4.3.15 5.15 5.1.15 5.2.16 5.3.17 5.4.17 5.5.18 6.19 6.1.19 6.2.20.22 1.4 2 DR007.5 3 SHIBOR:1W.5 4 M1:.6 5 M1-PPI.6 6 M2-GDP.7 7.7 8 PMI.8 9.8 10.9 11 A.9 12 CPI.10 13 PPI.10 14 800 PE_ttm.11 15 800.11 16 800 PB.12 17 800.12 18 800 DCF.13 2023 02 11 P.3 19 AIAE.13 20 A.14 21.14 22.15 23.15 24.16 25.16 26 RSI.17 27 250.17 28 250.18 29+.18 30.19 31.19 32.20 33 NLP.20 34.21 35 50ETF VIX.21 36 50ETF SKEW.22 2023 02 11 P.4-5,5 1.90 DR007 SHIBOR M1 M1 PPI PMI 800PE PB 800 AIAE DCF RSI 1 Wind-5-3-1135流 动性经 济面估 值面资 金面技 术面情 绪面当 前水 平 中 性水 平 上 期打 分 2023 02 11 P.5 1.1.1 DR007 DR007/7-1 DR007 5 11 10%MA 2 DR007 Wind SHIBOR 1W SHIBOR 1W SHIBOR 1W 4 10%SHIBOR 3 SHIBOR:1W Wind-80%-60%-40%-20%0%20%40%60%010002000300040005000600070002005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)偏 离度MA60 分 位数10%0%1%2%3%4%5%6%10002000300040005000600070002007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)SHIBOR:1W:MA60 分 位数10%2023 02 11 P.6 1.2 M1 M1 1 M1 4 M1:Wind M1-PPI M1 PPI 1 M1-PPI 5 M1-PPI Wind 0%5%10%15%20%25%30%35%40%010002000300040005000600070002006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023向 上趋势 向 下趋势 中证800(左轴)M1:同比:MA6 M1:同比:MA12-20%-10%0%10%20%30%40%010002000300040005000600070002006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023向 上趋势 向 下趋势 中证800(左轴)M1 同比-PPI 同比:MA6 M1同比-PPI 同比:MA12 2023 02 11 P.7 M2-GDP M2=M1+M2 GDP M2 GDP M2 GDP 6 M2-GDP Wind 5%1 0.04%5%7 Wind-30%-20%-10%0%10%20%30%010002000300040005000600070002006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023超 额流动性(M2:同比-GDP:现价:累计 同比)中证800(左轴)-10%-5%0%5%10%15%20%010002000300040005000600070002005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023社 融季调环 比增速 中证800(左轴)2023 02 11 P.8 2.2.1 PMI PMI 1 PMI PMI 8 PMI Wind 12 9 Wind 4446485052545658010002000300040005000600070002006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023向 上趋势 向 下趋势 中证800(左轴)PMI:MA6 PMI:MA12-10%-5%0%5%10%15%20%25%010002000300040005000600070002006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022向 上趋势 向 下趋势 中证800(左轴)发 电量:同比:MA6 发 电量:同比:MA12 2023 02 11 P.9+1)&2)3)10 Wind A Nowcasting A 1 11 A Wind 0123456782006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023被 动去 主 动补 被 动补 主 动去 中证800 净值 择 时净值-40-30-20-100102030405060010002000300040005000600070002005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)A 股景 气度 指 数 2023 02 11 P.10 2.2 CPI 90%10%1 CPI 12 CPI Wind PPI 90%10%1 PPI 13 PPI Wind-4%-2%0%2%4%6%8%10%010002000300040005000600070002006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)CPI:同比 分 位数10%分 位数90%-10%-5%0%5%10%15%010002000300040005000600070002006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)PPI:同比 分 位数10%分 位数90%2023 02 11 P.11 3.800 PE_ttm 800 PE_ttm PE=20 PE 22.18 14 800 PE_ttm Wind 800 2.5%1.5%2.47%2.5%15 800 Wind 10152025303540455055601000200030004000500060002007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)中证800 成 分股PE_TTM 中位数 底 部区域:PE=201.0%1.5%2.0%2.5%3.0%3.5%2000300040005000600070002010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)中证800 股 息率(过去12 个月)底 部区域：股息率 突破2.5%顶 部区域：股息率 跌破1.5%2023 02 11 P.12 800 PB 1.4 PB 1.47 16 800 PB Wind 800 1/PE_ttm 5 1.5-1.5 PE 0.63 17 800 Wind 1.001.502.002.503.003.502000300040005000600070002010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)中证800 pb 底 部区域:PB=1.4-3-2-101232000300040005000600070002010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800:股权 风险 溢价:标准化 中证800(左轴)2023 02 11 P.13 800 DCF 800 ROE DCF n2 25 PE 13.4 DCF 18 800 DCF Wind AIAE AIAE=/+15%12 AIAE 16.1%15%19 AIAE Wind 8101214161820222012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800:PE_TTM 明 显低估 低估 合 理估值:DCF Model 高估 明 显高估10%15%20%25%30%35%2000250030003500400045005000550060002014 2015 2016 2017 2018 2019 2020 2021 2022中证800(左轴)AIEA 底 部区域：15%2023 02 11 P.14 4.4.1 A 6 1 20 A Wind 4.2 120 1 120 1 10 1%2 9 120+10 21 Wind 0100200300400500600700800010002000300040005000600070002005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023A 股账 户新增 开户数(万)中证800(左轴)A 股账 户新增 开户数:过去6 个月最 大值(万)-200-1000100200300350040004500500055002022/1 2022/3 2022/5 2022/7 2022/9 2022/11 2023/1北 向资金净 流入(亿元)中证800(左轴)下限 上限 2023 02 11 P.15 4.3 1 22 Wind 5.5.1 23 Wind 050001000015000200002500020002500300035004000450050005500600065002014 2015 2016 2017 2018 2019 2020 2021 2022 2023上 行趋势 中证800(左轴)融 资融 券余 额(亿元)30003500400045005000550060002019/1 2019/7 2020/1 2020/7 2021/1 2021/7 2022/1 2022/7 2023/1多 头排列信 号 中证800 10日均线 30 日均线 60 日均线 2023 02 11 P.16 3%-3%1.5%4.05%24 Wind 5.2 1 1 16 1 17 1 25 Wind-30%-20%-10%0%10%20%30%40%2000300040005000600070002010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023长 短均线距 离 中证800(左轴)短 均线(左轴)长 均线(左轴)上 行趋势3%下 行趋势-3%36004000440048005200560060002021/1 2021/3 2021/5 2021/7 2021/9 2021/11 2022/1 2022/3 2022/5 2022/7 2022/9 2022/11 2023/1中证800 布 林带中轨 布 林带上轨 布 林带下轨 2023 02 11 P.17 5.3 RSI 20 80 20 80 1 RSI 2 1 80 2 3 1 26 RSI Wind 5.4 10%1 10%27 250 Wind 01020304050607080901003500400045005000550060002021/1 2021/3 2021/5 2021/7 2021/9 2021/11 2022/1 2022/3 2022/5 2022/7 2022/9 2022/11 2023/1中证800 RSI:6 天(快线)RSI:24 天(慢线)0%10%20%30%40%50%60%2000300040005000600070002014 2015 2016 2017 2018 2019 2020 2021 2022 2023250日新高 占比 中证800(左轴)2023 02 11 P.18 28 250 Wind 5.5+3 1 29+Wind 0%10%20%30%40%50%60%2000300040005000600070002014 2015 2016 2017 2018 2019 2020 2021 2022 2023250日新低 占比 中证800(左轴)0204060801001202000300040005000600070002014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)成 交额 指数 波 动率 指数 2023 02 11 P.19 6.6.1 300 30 Wind 100%-10 31 Wind 0200040006000800010000120002000300040005000600070002014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)成 交热度 情 绪过冷:-1 倍标准 差 情 绪过热:1 倍标 准差0%10%20%30%40%50%60%70%80%90%2000300040005000600070002014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)中 期行业分 歧 情 绪过冷:-1 倍标准 差 情 绪过热:1 倍标 准差 2023 02 11 P.20 32 Wind 6.2 NLP NLP NLP 33 NLP Wind 65%70%75%80%85%90%95%100%200025003000350040004500500055006000650070002014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)偏 股基金仓 位:MA5 情 绪过冷:-1 倍标准 差 情 绪过热:1 倍标 准差0.40.60.811.21.41.61.822.22.4200025003000350040004500500055006000650070002014 2015 2016 2017 2018 2019 2020 2021 2022 2023中证800(左轴)东 方财富NLP 情 绪过 冷:-1 倍标准 差 情 绪过热:1 倍标 准差 2023 02 11 P.21 CPR 34 Wind 50ETF VIX 50ETF VIX VIX VIX 35 50ETF VIX Wind 0.70.80.911.11.21.31.41.51.62500300035004000450050005500600065002018/1 2018/7 2019/1 2019/7 2020/1 2020/7 2021/1 2021/7 2022/1 2022/7 2023/1中证800(左轴)期 权认购认 沽比率:MA20 情 绪过冷:-1 倍标准 差 情 绪过热:1 倍标 准差10152025303540452500300035004000450050005500600065002018/1 2018/7 2019/1 2019/7 2020/1 2020/7 2021/1 2021/7 2022/1 2022/7 2023/1中证800(左轴)50ETF 期权VIX-1 倍标 准 差 1 倍标 准差 2023 02 11 P.22 50ETF SKEW 50ETF SKEW SKEW SKEW SKEW 36 50ETF SKEW Wind 808590951001051101151201251302500300035004000450050005500600065002018/1 2018/7 2019/1 2019/7 2020/1 2020/7 2021/1 2021/7 2022/1 2022/7 2023/1中证800(左轴)50ETF 期权SKEW 止跌:-1 倍 标准差 尾 部风险:1 倍标 准差 2023 02 11 P.23“”“”“”6 A 300 500 15%5%15%-5%+5%5%10%-10%+10%10%26 3 100032 010-57671718 868 One56 1 10 200120 021-38124100 1115 330038 0791-86281485 100 24 518033
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