报 告 摘 要 乘势而起：市场新高趋势追踪 触及新高的个股、行业和板块可被视为市场的风向标。越来越多的研究表明动量、趋势跟踪策略的有效性。本报告旨在定期跟踪市场中创新高的个股及其 分布，以追踪市场趋势、把握市场热点。 截至2025年12月19日，上证指数、深证成指、沪深300、中证500、中证1000、中证2000、创业板指、科创50指数250日新高距离分别为3.45%、 4.26%、3.78%、5.03%、4.16%、2.16%、6.08%、14.98%。中信一级行业指数中轻工制造、有色金属、通信、国防军工、消费者服务行业指数距离 250日新高较近，食品饮料、综合金融、房地产、医药、建筑行业指数距离250日新高较远。概念指数中，十大军工集团、卫星导航、家居用品、卫星互联 网、金属非金属、航天军工、林木等概念指数距离250日新高较近。 见微知著：利用创新高个股进行市场监测 截至2025年12月19日，共620只股票在过去20个交易日间创出250日新高。其中创新高个股数量最多的是机械、电子、基础化工行业，创新高个股数量占 比最高的是国防军工、有色金属、轻工制造行业。按照板块分布来看，本周制造、科技板块创新高股票 ...

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of December 17, 2025, highlighting that no companies in the Shanghai 50, CSI 500, and CSI 1000 indices have declared or implemented dividends, while only one company in the CSI 300 is in the proposal stage [1][3] - The article provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][4] - The realized and remaining dividend yields for various indices are reported, with the Shanghai 50 index having a realized yield of 2.54% and a remaining yield of 0.27%, while the CSI 1000 index has a realized yield of 0.97% and a remaining yield of 0.01% [1][8] - The article tracks the premium and discount of stock index futures, indicating annualized discounts for various contracts, with the IM contract showing a discount of 9.94% [1][4] Dividend Progress of Constituent Stocks - As of December 17, 2025, the Shanghai 50 index has 0 companies in the proposal, decision, or implementation stages, and 4 companies that do not pay dividends [1][3] - The CSI 300 index has 1 company in the proposal stage, 0 in decision or implementation stages, and 21 companies that do not pay dividends [1][3] - The CSI 500 and CSI 1000 indices show similar trends with no companies in the proposal, decision, or implementation stages, and 54 and 149 companies not paying dividends, respectively [1][3] Industry Dividend Yield Comparison - The article highlights that the coal, banking, and steel industries rank highest in terms of dividend yields among the disclosed dividend proposals [2][4] Realized and Remaining Dividend Yields - The realized dividend yields as of December 17, 2025, are as follows: - Shanghai 50: 2.54% realized, 0.27% remaining - CSI 300: 2.11% realized, 0.16% remaining - CSI 500: 1.22% realized, 0.02% remaining - CSI 1000: 0.97% realized, 0.01% remaining [1][8] Stock Index Futures Premium and Discount Tracking - The article tracks the annualized discounts for stock index futures as of December 17, 2025: - IH contract: 0.29% - IF contract: 3.74% - IC contract: 4.69% - IM contract: 9.94% [1][4]

一、上周市场回顾 上周 A 股市场主要宽基 指数走势出现分化 ，创业板指、科创 50 、中证 500 收益靠 前 ，收益分别为 2.74% 、 1.72% 、 1.01% ， 上证综指、 沪深 300 、中证 1000 收益靠 后 ，收益分别为 -0.34% 、 -0.08% 、 0.39% 。 从成交额来看， 上周 主要宽基指数成交额均有所 上升 。行业方面，上周 通 信 、 国 防 军 工 、 电 子 收 益 靠 前 ， 收 益 分 别 为 5.92% 、 3.57% 、 2.51% ，煤炭、石油石化、纺织服装收益靠后，收益分别为 -3.80% 、 -3.43% 、 -2.68% 。 截至上周五，央行逆回购净 投放 资金 47 亿元，逆回购到期 6638 亿元， 净公开市场投放 6685 亿元 。不同期限的国债利率均有所下行，利差扩大 0.53BP 。 上周共上报 61 只基金， 较 上上周申报数量 有所增加。 申报的产品包括 1 只 REITs ， 2 只 QDII ， 5 只 FOF ，中证有色金属矿业主题 ETF 、 中证工业有色金属主题 ETF 、中证工程机械主题 ETF 、中证全指公用事 业 E ...

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 0.73% this week and 19.95% year-to-date [1][7] - The CSI 500 index enhanced portfolio recorded an excess return of -0.02% this week and 7.36% year-to-date [1][7] - The CSI 1000 index enhanced portfolio had an excess return of -0.31% this week and 15.60% year-to-date [1][7] - The CSI A500 index enhanced portfolio saw an excess return of 0.09% this week and 9.62% year-to-date [1][7] Group 2: Factor Performance Tracking - In the CSI 300 component stocks, factors such as three-month earnings adjustments, standardized unexpected earnings, and quarterly net profit year-on-year growth performed well [1][8] - In the CSI 500 component stocks, factors like quarterly ROA, quarterly ROE, and non-liquidity shocks showed strong performance [1][8] - For the CSI 1000 component stocks, factors including quarterly ROA, quarterly revenue year-on-year growth, and quarterly ROE performed well [1][8] - In the CSI A500 index component stocks, factors such as three-month earnings adjustments, one-year momentum, and standardized unexpected earnings performed well [1][8] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 1.75%, a minimum of -0.80%, and a median of 0.21% this week [1][21] - The CSI 500 index enhanced products recorded a maximum excess return of 0.44%, a minimum of -1.50%, and a median of -0.29% this week [1][23] - The CSI 1000 index enhanced products had a maximum excess return of 0.83%, a minimum of -1.22%, and a median of -0.27% this week [1][27] - The CSI A500 index enhanced products achieved a maximum excess return of 1.02%, a minimum of -0.67%, and a median of 0.01% this week [1][28]

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin Securities, which aim to outperform the median returns of actively managed equity funds [2][3][5] - The report includes four main strategies: Excellent Fund Performance Enhancement Portfolio, Super Expectation Selection Portfolio, Broker Golden Stock Performance Enhancement Portfolio, and Growth Stability Portfolio [2][3][5] Group 2 Excellent Fund Performance Enhancement Portfolio - This portfolio aims to benchmark against the median returns of actively managed equity funds, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [6][32] - As of this week, the portfolio achieved an absolute return of 2.14% and a relative excess return of 1.44% against the mixed equity fund index [11][19] - Year-to-date, the portfolio has an absolute return of 28.34%, with a relative excess return of -3.00%, ranking in the 49.90th percentile among 3,469 active equity funds [11][19] Super Expectation Selection Portfolio - This portfolio selects stocks based on super expectation events and analyst upgrades, focusing on both fundamental and technical criteria to identify stocks with strong support [13][39] - For the week, the portfolio recorded an absolute return of 0.72% and a relative excess return of 0.01% against the mixed equity fund index [19][40] - Year-to-date, it has achieved an absolute return of 41.78% and a relative excess return of 10.44%, ranking in the 26.58th percentile among active equity funds [19][40] Broker Golden Stock Performance Enhancement Portfolio - This strategy utilizes a stock pool from broker recommendations, optimizing the portfolio to minimize deviations from the stock pool while aiming to outperform the ordinary equity fund index [16][41] - This week, the portfolio achieved an absolute return of 1.62% and a relative excess return of 0.91% against the mixed equity fund index [20][44] - Year-to-date, it has an absolute return of 36.74% and a relative excess return of 5.40%, ranking in the 34.33rd percentile among active equity funds [20][44] Growth Stability Portfolio - This portfolio employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings report dates to capture potential excess returns [25][45] - For the week, it recorded an absolute return of 0.09% and a relative excess return of -0.62% against the mixed equity fund index [28][46] - Year-to-date, the portfolio has achieved an absolute return of 49.78% and a relative excess return of 18.45%, ranking in the 17.50th percentile among active equity funds [28][46]

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of December 12, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 3.48%, Shenzhen Component Index 3.40%, CSI 300 3.52%, CSI 500 5.02%, CSI 1000 3.62%, CSI 2000 2.46%, ChiNext Index 3.91%, and STAR Market 12.36% [6][26] - Among the CITIC first-level industry indices, the sectors closest to their 250-day new highs include telecommunications, non-ferrous metals, defense and military industry, home appliances, and light industry manufacturing [9][26] Group 2 - A total of 746 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the basic chemicals, machinery, and electronics sectors [2][14] - The sectors with the highest proportion of new high stocks are non-ferrous metals (27.42%), textiles and apparel (25.25%), and agriculture, forestry, animal husbandry, and fishery (24.30%) [14][26] - The manufacturing and cyclical sectors had the most new high stocks this week, with respective counts of 228 and 202 [17] Group 3 - The report identifies 44 stocks that have shown stable new highs, with the most from the cyclical and technology sectors, each contributing 16 stocks [3][22] - The non-ferrous metals industry had the highest number of new highs within the cyclical sector, while the electronics industry led in the technology sector [22][27] - The selection criteria for stable new high stocks include analyst attention, relative strength of stock prices, price path stability, and continuity of new highs [20][21]

Group 1 - The core viewpoint of the article highlights the dividend progress of constituent stocks in major indices as of December 10, 2025, indicating that many companies are not currently in the dividend distribution phase [1][3]. - In the Shanghai Stock Exchange 50 Index, there are no companies in the proposal, decision, or implementation stages, with three companies not distributing dividends [1][3]. - The Shanghai and Shenzhen 300 Index has one company in the proposal stage, while 20 companies are not distributing dividends [1][3]. - The dividend yield statistics show that the coal, banking, and steel industries rank the highest in terms of dividend yield among disclosed dividend proposals [1][4]. Group 2 - As of December 10, 2025, the realized dividend yields for major indices are as follows: Shanghai Stock Exchange 50 Index at 2.52% with a remaining yield of 0.42%, Shanghai and Shenzhen 300 Index at 2.04% with a remaining yield of 0.24%, and the China Securities 500 Index at 1.25% with a remaining yield of 0.03% [1][8]. - The China Securities 1000 Index has a realized dividend yield of 0.96% and a remaining yield of 0.01% [1][8]. - The article emphasizes the importance of tracking the annualized premium and discount of stock index futures, which reflects institutional investors' market sentiment and risk preferences [2][3]. Group 3 - The article provides a detailed methodology for estimating dividend points in stock indices, which is crucial for accurately assessing the premium and discount of stock index futures [30][32]. - It discusses the significance of considering dividend distributions in the calculation of index futures, as they can lead to a natural decline in index points [30][32]. - The methodology includes estimating individual stock weights, dividend amounts, and the timing of dividend distributions based on historical data [30][32][39].

Market Performance - Most indices showed an upward trend on December 8, 2025, with the CSI 2000 index performing well, and the CSI 300 Growth Index also showing strong performance [1][2] - The communication, electronics, computer, non-bank financials, and defense industries performed well, while coal, oil and petrochemicals, food and beverage, steel, and electric utilities showed poor performance [1][5] - Concept stocks such as optical modules (CPO), optical chips, optical communications, and base stations performed well, while central enterprise coal, Guizhou state-owned assets, and gold selections performed poorly [1][9] Market Sentiment - At the close on December 8, 2025, there were 78 stocks hitting the daily limit up and 8 stocks hitting the limit down, with limit-up stocks showing a closing gain of 5.10% and limit-down stocks showing a closing loss of -1.87% [11][15] - The sealing rate was 69%, down 7% from the previous day, while the consecutive limit-up rate was 34%, up 6% from the previous day [18] Market Capital Flow - As of December 5, 2025, the margin trading balance was 24,817 billion yuan, with a financing balance of 24,641 billion yuan and a margin balance of 176 billion yuan, representing 2.6% of the circulating market value [21][22][25] Premium and Discount - On December 5, 2025, the satellite ETF had the highest premium at 0.62%, while the Hong Kong-Shenzhen 300 ETF had the highest discount at -0.72% [28] - The average discount rate for block trades over the past six months was 6.47%, with a discount rate of 8.08% on December 5, 2025 [30] Institutional Attention and Rankings - The stocks with the most institutional research in the past week included Canxin Co., Zhaochi Co., and Xinyuan Zhuomei, with Canxin Co. being researched by 63 institutions [36] - On December 8, 2025, the top ten stocks with net inflows from institutional special seats included Xue Ren Group, Ruikang Pharmaceutical, and Changguang Huaxin, while the top ten with net outflows included Guangdong Hongda and Taiyang Cable [40][41]

Market Review - The A-share market showed a mixed performance among major indices, with the ChiNext Index, CSI 300, and Shenzhen Component Index yielding returns of 1.86%, 1.28%, and 1.26% respectively, while the STAR 50, CSI 1000, and Shanghai Composite Index had lower returns of -0.08%, 0.11%, and 0.37% respectively [5][15] - The trading volume of major indices decreased last week, with the average daily trading volume for the past month also showing a decline [18][19] - The People's Bank of China (PBOC) conducted a net withdrawal of 848 billion yuan through reverse repos, with a total of 15,118 billion yuan maturing [24] Fund Performance - A total of 39 new funds were established last week, with a combined issuance scale of 36.589 billion yuan, an increase from the previous week [3] - The median returns for active equity, flexible allocation, and balanced mixed funds were 0.97%, 0.71%, and 0.69% respectively last week [33] - Alternative funds have shown the best performance this year, with a median return of 49.94%, while active equity, flexible allocation, and balanced mixed funds had median returns of 27.65%, 20.98%, and 14.90% respectively [35] Fund Issuance - Last week, 59 funds were reported for issuance, a decrease from the previous week, including products like the Industrial Bank of China CSI All Share Power Utility ETF and the Guotai Junan Shanghai Stock Exchange STAR Market Semiconductor Materials Equipment Theme ETF [4][5] - The total number of open-end public funds includes 269 ordinary FOF funds, 117 target date funds, and 152 target risk funds [38] Industry Insights - The non-ferrous metals, communication, and defense industries performed well last week, with returns of 5.07%, 3.69%, and 3.47% respectively, while media, real estate, and food and beverage sectors lagged with returns of -3.59%, -2.13%, and -1.88% [21][23] - Year-to-date, the non-ferrous metals, communication, and electronics sectors have shown high cumulative returns of 83.05%, 73.04%, and 39.48% respectively, while food and beverage and transportation sectors have the lowest returns [21][23] Fund Manager Changes - Last week, 40 fund companies experienced changes in fund managers across 114 fund products, with Huian Fund (11 funds), China Asset Management (9 funds), and E Fund (7 funds) being the most affected [42]

Group 1: Performance of Index Enhancement Portfolios - The CSI 300 index enhancement portfolio achieved an excess return of 0.68% this week and 18.98% year-to-date [8] - The CSI 500 index enhancement portfolio recorded an excess return of 0.13% this week and 7.30% year-to-date [8] - The CSI 1000 index enhancement portfolio had an excess return of 0.77% this week and 15.97% year-to-date [8] - The CSI A500 index enhancement portfolio reported an excess return of 0.87% this week and 9.47% year-to-date [8] Group 2: Factor Performance Tracking - In the CSI 300 component stocks, factors such as quarterly ROE, three-month institutional coverage, and EPTTM performed well [9] - In the CSI 500 component stocks, factors like BP, three-month turnover, and expected BP showed strong performance [12] - For the CSI 1000 component stocks, factors including quarterly EP, expected EPTTM, and EPTTM were notable [15] - In the CSI A500 index component stocks, factors such as quarterly ROE, three-month institutional coverage, and quarterly ROA performed well [18] Group 3: Public Fund Index Enhancement Products Performance - The CSI 300 index enhancement products had a maximum excess return of 1.01%, a minimum of -0.79%, and a median of 0.18% this week [24] - The CSI 500 index enhancement products achieved a maximum excess return of 1.26%, a minimum of -0.76%, and a median of 0.38% this week [27] - The CSI 1000 index enhancement products recorded a maximum excess return of 1.20%, a minimum of -0.85%, and a median of 0.54% this week [29] - The CSI A500 index enhancement products had a maximum excess return of 0.98%, a minimum of -1.14%, and a median of 0.16% this week [33] Group 4: Factor Performance in Public Fund Heavyweight Index - In the public fund heavyweight index, factors such as quarterly ROE, three-month institutional coverage, and quarterly ROA performed well recently [20] - Over the past month, three-month institutional coverage, three-month turnover, and one-month turnover showed strong performance [20] - Year-to-date, factors like quarterly ROE, DELTAROE, and quarterly revenue growth performed well [20]