中国A股 W&W指标 - 月度：W&W指标进一步发出A股市场“非常看涨”信号

Bullish" sign for A-share marketEquityStrategy Indicatorreiterates"verybullish”signforA-share China with weekly average also at 29 - firmly in the bullish zone. Daily reading hit 13 ("verybullish") on May 11"h, the strongest level since Sep-2024, following another "very bullish" BofA signal on Apr 16th. Earnings revision is positive, liquidity is ample, fund flow is supportive,albeit with elevated leverage and positioning and rich valuation. Global markets deliveredmixed returns in the past one month amid lingering geopolitical tensions yet still-strong Altrades. Within China, Star 50, ChiNext and CSI1000 outperformed while NASDAQ GoldenDragon, MSCI China and HSCEI lagged. Sentiment is bullish, with strong interest in China'stech and industrials. Market is trading in an "A share style": thematic-driven, fast rotation,and favoring mid/small caps. Reiterate our view that A-share's outperformance over H maycontinue (see China Conference feedback).Leverage: 75%, high.Margin trading as a % of A-share daily turnover edged lower to9.9% in May-26, but still higher than its long-term average of 9.0%. +85235083058winnie.wu@bofa.comGina Wu >>StrategistMerill Lynch (Hong Kong) Valuation:84%,high.P/E at 24.3x is above its long-term average of 21.2x. +85235088008gina.wu@bofa.com Positioning:64%, high.86.9% of stock mutual funds'position is currently invested,higher than its long-term average of 84.7%. Liquidity: 21%, loose. The 10-year government bond yield has risen to 1.76% in May-26 from its record lows of 1.6% in Jan-25. Fund flow: 34%, supportive. Turnover/market cap stands at 2.8% in May-26, well above its long-term average of 1.1% since 2007.Earnings:26%,positive.CSI300 earnings revisionhas recoveredfrom-12%YoY in Sep-24 to 10.1% YoY in May-26.Exhibit 1: BofA China A-share W&W Indicator in May 2026 The latest daily reading at 37 is "marginally bullish. The monthly average at 29 is bullish BofA China A-share Wax & Wane Indicator Trading ideas and investment strategies discussed herein may give rise to significant risk and arenot suitable for all investors. Investors should have experience in relevant markets and the financialresources to absorb any losses arising from applying these ideas or strategies.>> Employed by a non-US affiliate of BofAS and is not registered/qualified as a research analyst under the FINRA rules.Refer to'Other Important Disclosures' for information on certain BofA Securities entities that take responsibility for the information herein in particular jurisdictions.BofA Securities does and seeks to do business with issuers covered in its research reports. As a result, investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision.Refer to important disclosures on page 8 to 10.12975840 W&W Indicator vs CSI300 performanceThe exhibits below show the historical correlation between the W&W Indicator and the CS1300 Index forward performance for the following 1/2/3 month(s) since 2015.Exhibit 2: W&W Indicator vs percentage change in CSI300 in the following 1mth (Back-tested) since Jan-2015 W&W Indicator has been fairly good in predicting the CSI300 3mth performance Exhibit 5: Global markets delivered mixed returns amid lingering geopolitical tensions yet still-strong Al momentum. Within China, Star 50, ChiNext Performance of key input factorsLeverage:75%,high Margin trading as a % of A-share daily turnover edged lower to 9.9% in May-26, but still higher than its long-term average of 9.0%. Exhibit 6: Margin financing as % of daily turnover since May 2015The current margin financing as % of A-share daily turnover is above its long- term average Currently, A-share P/E valuation is at 24.3x, higher than its long-term average of 21.2x since 2007.Exhibit 8: A-share P/E valuation since Jan-2007Exhibit 9: A-share P/E valuation since 2025 The current 24.3x P/E of A-share is above its long-term average A-share P/E rose further from 23.7x to 24.3x in the past one month 26.0x 60x Flow:34%,supportiveTurnover/market cap stands at 2.8% in May-26, well above its long-term average of 1.1% since 2007. A-share main funds continued to be net sellers in the past month Exhibit 10: A-share turnover/market cap sinceJan-2007The current A-share turnover/market cap is wellabove its long-term average 86.9% of stock mutual funds' position is invested currently, higher than its long-term average of 84.7%.Exhibit 12: % of position invested by stock mutual funds since May-Exhibit 13: % of position invested by stock mutual funds since 2025 2007Stock fund positioning is at 86.9%, higher than its long-term average 95% Liquidity:21%,looseThe 10-year government bond yield has risen to 1.76% in May-26 from its record lows of 1.6% in Jan-25. CSI 300 earnings revision has recovered to 10.1% YoY in May-26 amid an uptrend since Sep-24.Exhibit 16: