1 证券研究报告 跟踪经济、掘金市场 战略层面：紧扣"十五五"规划六大方向：一是新兴产业（新能源、 新材料、低空经济、航空航天）；二是未来产业（量子科技、脑机接口、 具身智能、核聚变能）；三是传统产业升级（有色、机械、化工）；四是 关键核心技术突破（集成电路、工业母机、基础软件、生物制造）；五是 政策支持型成长领域（国防军工、创新药、高端医疗器械、文旅消费）； 六是区域战略高地（成渝、海南、福建）。 战术层面：重点配置宽基、大类资产、科技创新、先进制造、上游周 期、医药消费、红利低估六大方向 19 个 ETF 品种，详见前期推荐。 市场研判：当前市场运行面临多重因素的博弈与对冲：一方面，中高 估值水位、监管降温信号及海外地缘风险共同抑制市场过热倾向；另一方 面，科技创新与内需扩张的双轮驱动正在强化，政策端持续发力催生结构 性投资机遇，高质量政策主线表现活跃，轮动出圈。1 月 15 日，国家电 网宣布"十五五"期间投资 4 万亿元，较"十四五"增长 40%，直接提振 电网设备板块景气度。 本月无新增推荐：建议继续关注黄金股 ETF、军工 ETF 和旅游 ETF。 2026 年初，特朗普政府宣布退出 66 个国际 ...

Market Review - The A-share market is expected to maintain resilience in the long term, but potential mid-term risks may increase due to factors such as valuation shifts, institutional settlement cycles, and high market sentiment indices [2] - In November, the market experienced a mid-term adjustment after reaching new highs in the first half of the month, with major indices declining in the latter half [2][10] Economic Environment - In October, several economic indicators, including fixed asset investment and retail sales, showed slower growth than expected, with CPI rising and PPI continuing to decline [3][29] - The manufacturing PMI remained below the prosperity range, indicating that the economy requires sustained efforts for improvement [3] Policy Environment - The government is focusing on boosting consumption and effective investment, with plans to develop three trillion-level consumption sectors by 2027 [4] - The overall stability of major country relations is maintained, with a tactical easing in China-US economic relations, although geopolitical tensions persist [4] Investment Strategy - The market is currently in a phase of valuation consolidation, with a dynamic balance between profit-taking and short-selling sentiment [7] - Investors are advised to focus on fundamental research and gradually position themselves for the upcoming year, maintaining a "barbell" strategy that emphasizes dividend assets and technological innovation [7] Industry Performance - As of November 28, 90.3% of the 28 Shenwan first-level industries have seen year-to-date increases, with non-ferrous metals and communications industries rising over 50% [15] - In November, the comprehensive and banking sectors outperformed, while sectors like computers and automobiles faced declines [15][19] Fund Flow - As of November 28, southbound funds recorded a cumulative net inflow of 50,797 million HKD, with a monthly net inflow of 1,218.9 million HKD [25] - Margin financing balances have decreased, indicating a potential cooling in market sentiment after reaching historical highs [27] Economic Indicators - The GDP growth forecast for Q4 is 4.5%, with various economic indicators showing signs of slowing down, including fixed asset investment and manufacturing PMI [30][29] - The CPI rose by 0.2% in October, while PPI continued to decline, reflecting ongoing challenges in the industrial sector [33][36]

Group 1: Market Overview - The risk premium percentile for the CSI All Share Index is 45.07%, indicating that the market is generally in a normal return area [1][5] - The current risk premium value for the CSI 300 is 5.17%, suggesting a high return level that warrants attention [1][6] - The price-to-book ratio percentile for the CSI All Share Index is 41.77%, indicating a normal valuation state for the market [1][10] - The price-to-book ratio percentile for the Shanghai Composite Index is 22.68%, reflecting a relatively low valuation level that deserves focus [1][11] - The deviation rate for the CSI All Share Index is 18.59%, suggesting that the overall price level of the market is in a normal strong area [1][15] - The Sci-Tech 50 and ChiNext 50 are in an overbought state, indicating a need for caution regarding short-term risks [1][16] Group 2: Market Style Rotation - The growth style has significantly outperformed over the past six months, suggesting a focus on growth-style targets moving forward [1][22] - The high valuation style has also shown notable outperformance in the last six months, recommending attention to high valuation style targets [1][25] - Small-cap style has continued to record negative excess returns, while large-cap style has gradually outperformed over the past three months, indicating a focus on large-cap style targets [1][27] Group 3: ETF Rotation - The report tracks the performance of a dual momentum rotation strategy for ETFs, which selects securities that show strong time-series and cross-sectional momentum [1][31] - Reference targets for the dual momentum rotation strategy include various ETFs such as the Gold Stocks ETF and Green Energy ETF [1][33] Group 4: Convertible Bond Strategy - Convertible bonds, which combine debt and equity characteristics, are highlighted as a valuable investment option, particularly for risk-averse investors [1][35] - The report focuses on the performance enhancement of equity-oriented convertible bonds, providing a list of specific convertible bonds to consider [1][38]

Market Review - The report highlights a "deposit migration" phenomenon in July, indicating that residents are increasing their allocation to risk assets, which should be considered when interpreting capital market statistics [1] - In September, despite technical indicators showing signs of divergence, major indices did not experience significant adjustments but instead consolidated at high levels, with residents buying risk assets on dips, effectively limiting the downside of indices [1] - The market exhibited structural differentiation, with strong performance in technology innovation sectors, particularly semiconductors and photovoltaics, while low valuation and dividend styles underperformed, and the financial sector saw a significant decline [1] Economic Environment - In August, investment, consumption, and export growth rates showed a downward trend, but monetary data remained positive; PPI year-on-year growth continued to decline but narrowed significantly compared to July [2] - From January to August, industrial enterprise profits turned positive year-on-year, with a slight recovery in operating income profit margins [2] - By the end of August, the year-on-year growth rate of non-financial enterprises' RMB demand deposits increased by 6.7%, up 2.3 percentage points from the previous month, aligning with the stabilization of M1 growth [2] Policy Environment - The policy focus in the third quarter continued to emphasize technological innovation while significantly strengthening the directions of "anti-involution" and "promoting consumption," with supply-side optimization combined with demand-side guidance [3] - An important article published in "Qiushi" magazine emphasized the need to build a unified national market, which is crucial for constructing a new development pattern and gaining international competitive advantages [3] Investment Strategy - Over the past year, policies have gradually advanced various reform and innovation measures, with effects being released and results becoming evident [4] - The report suggests that investors who believe in policies have already experienced the transition of the securities market from bearish to bullish; the market is now entering a new phase driven by performance recovery and deposit activation [6] - The report recommends maintaining a "barbell" allocation strategy focusing on dividend assets and technological innovation, while avoiding chasing highs and lows during the index consolidation period [6] Market Performance - As of September 26, major indices such as the London Gold and Ho Chi Minh Index led the performance among major asset classes, with London Gold reaching a historical high of $3758.78 per ounce, up 43.2% year-to-date [10] - The A-share market saw significant gains, with the total return of the entire A-share market at 24.0% year-to-date, and the ChiNext Index and Sci-Tech 50 leading with gains of 47.2% and 46.7%, respectively [11] - The report notes that 87.1% of the 27 Shenwan first-level industries have risen year-to-date, with the communication sector leading with a cumulative increase of 63.6% [17] Fund Flow - Southbound capital inflows reached a new high, with a cumulative net inflow of 48,514.8 billion HKD as of September 26, marking a monthly net inflow of 1,746.9 billion HKD in September [25] - The margin financing balance reached a historical high of 24,273.7 billion CNY, with a significant increase compared to the previous month and year-end [27]

Core Insights - The "All-Industry Selection (Comprehensive Evaluation) Investment Strategy" is an extension of the comprehensive evaluation investment strategy applied to industry investments [1][3] - The sample space consists of stocks from the CSI All Share Index that meet the following criteria: 1) Non-recurring net profit > 0; 2) Net assets > 0; 3) Operating net cash flow > 0; 4) Year-on-year net profit growth rate > 0 [4] - The selection method involves calculating the comprehensive evaluation score of sample stocks and selecting the stock with the lowest score in each industry category to construct a portfolio, with three stocks selected from the manufacturing sector [4] - Backtesting data over 18.67 years shows that the strategy has an annual compound return of 23.21%, a Sharpe ratio of 0.70, and an expected value of 9.60, indicating excellent performance [1][17] - Rolling 3-year and 5-year backtesting results indicate that as the strategy is applied over a longer period, both the probability of profit and the level of profit significantly increase, enhancing the overall experience of the strategy [1][37] Sample Construction - The sample space includes stocks from the CSI All Share Index that meet specific financial criteria [4] - The selection method involves calculating a comprehensive evaluation score and selecting the lowest-scoring stock from each industry [4] - The number of samples is uncertain [5] Trading Design - The strategy defines three operational periods within a year: May 1 to August 31, September 1 to October 31, and November 1 to April 30 of the following year, with a "buy-and-hold" approach during each period [7] - A stop-loss threshold of -10% is set for the portfolio's net value, triggering a stop-loss operation if the net value falls below 0.90 [8] - Transactions are conducted during the auction phase, regardless of whether buying or selling [9] Performance Evaluation - The performance benchmark for the strategy is the CSI All Share Index [11] - The strategy has shown a total increase of 4819.34% over 18.67 years, compared to a 246.51% increase in the benchmark [17] - The strategy achieved positive excess returns in 43 out of 56 trading periods, resulting in a success rate of 76.79% [21] - The strategy's net value reached 49.1934, with an annual compound return of 23.2077% and a cumulative excess return of 4573.3561% [22] - The strategy has a maximum drawdown of -27.52% and a volatility of 28.9925% [22] Annual Performance Comparison - The strategy outperformed the benchmark in multiple annual periods, with notable excess returns [24] - Over the 18.67 years, the strategy recorded positive excess returns in 16 years, indicating a high success rate of 84.21% [26] Rolling Period Evaluations - In rolling 3-year evaluations, the strategy achieved positive excess returns in 16 out of 17 periods, with a success rate of 94.12% [32] - In rolling 5-year evaluations, all 15 periods recorded positive excess returns, with an average excess return rate of 136.79% [37]

Group 1: Market Overview - The risk premium percentile of the CSI All Index is 47.17%, indicating that the market is generally in a normal return area [5] - The price-to-book ratio percentile of the CSI All Index is 40.32%, suggesting that the market is in a normal valuation state [9] - The deviation rate of the CSI All Index is 10.52%, indicating that the overall price level of the market is in a normal range [13] Group 2: Market Style Rotation - Growth style has significantly outperformed in the past six months, with a recommendation to focus on growth style targets [17] - High valuation style has also shown strong performance in the past six months, suggesting a focus on high valuation style targets [21] - Small-cap style has outperformed in the past six months but recorded a slight negative excess return in August, indicating a potential shift in focus between small and large-cap styles [23] Group 3: ETF Rotation - The report tracks the performance of various ETFs under a dual momentum rotation strategy, which aims to capitalize on the differing rhythms and cycles of various indices [26][28] Group 4: Convertible Bond Strategy - The report emphasizes the performance of equity-oriented convertible bonds, which provide a unique investment option with lower volatility compared to the CSI All Index [31][33]

Market Review - The market is expected to shift focus upwards, with excess returns coming from early recognition of the "DeepSeek moment" in innovative fields such as artificial intelligence, semiconductors, humanoid robots, innovative pharmaceuticals, and national defense [1] - In July, the market exhibited a strong upward trend, with broad industry gains led by technological innovation and key mineral resources. The ChiNext Index rose by 8.1%, the CITIC TMT Index increased by 16.2%, and the innovative pharmaceutical ETF gained 16.7% [1] Economic Environment - In the first half of 2025, liquidity remained ample, supported by loose monetary and proactive fiscal policies, helping the economy maintain resilience and stable operation. The cumulative GDP growth was 5.3%, exceeding the expected 5.2% [2][30] - The profit margin of industrial enterprises showed slight improvement, with the total profit of large-scale industrial enterprises declining by 1.8% year-on-year in the first half of 2025 [30][53] Policy Environment - The Central Economic Commission emphasized the need to govern low-price disorderly competition and promote the orderly exit of backward production capacity, targeting "anti-involution" [3] - The macro policy is expected to continue to exert force, with more proactive fiscal policies and moderately loose monetary policies being implemented to fully release policy effects [3] Investment Strategy - Long-term strategies should recognize the unwavering commitment to advancing technological innovation and creating a more favorable institutional environment for innovation, guiding social resources towards achieving the "DeepSeek moment" [4] - Short-term strategies should be cautious of market volatility risks following high market sentiment, as the Shanghai Composite Index's price-to-book ratio has risen significantly, indicating potential structural risk release [6] Industry Performance - As of July 31, 2025, 23 of the 28 Shenwan first-level industries had increased, with a 74.2% industry increase ratio. Notably, non-ferrous metals, pharmaceuticals, and communications saw growth exceeding 20% [16] - The cumulative increase in recommended industries from January to July 2025 was positive for 22 out of 24 sectors, with a success rate of 91.7% [20] Fund Flow - As of July 31, 2025, southbound capital inflow into Hong Kong stocks remained strong, with a cumulative net inflow of 45,646.3 billion HKD [26] - The financing balance reached a new high for the year, indicating heightened financing sentiment, with a financing balance of 19,705.7 billion CNY as of July 30, 2025 [28]

Group 1 - The core viewpoint of the report emphasizes that an effective method to judge trends is to observe the trajectories of the highest and lowest prices, where continuously rising lowest prices indicate an upward trend and continuously falling highest prices indicate a downward trend [1][5] - The high-low track reversal strategy is based on calculating the simple moving average (SMA) of daily high and low points, recorded as HSMA(N) and LSMA(N) [1][6] - The strategy has shown strong profitability, with a backtest over 20 years indicating an expected value of 1.2594 and an annual compound return approximately 2-3 times that of the benchmark index [1][11] Group 2 - The strategy evaluation shows that the net value of the strategy significantly outperforms the benchmark index, with a strategy net value of 19.3717 compared to the benchmark's 4.826 [1][11] - The strategy has a total of 317 trades with an average holding period of 15.9 days, and it has achieved an annualized alpha of 11.3391% [1][11] - Performance statistics across various indices indicate that the strategy consistently outperforms the benchmarks, with the highest annual compound return of 27.1586% for the CSI 1000 index [1][13]

Core Insights - The report emphasizes the importance of volume and price in trading, indicating that volume reflects the market participants' activity and sentiment, which can signal whether a trend will continue or reverse [4][5][6] - The PVMA (Price-Volume Moving Average) strategy has shown a 20-year backtested annual compound return of 14.7196%, with an alpha of 6.5315% and a maximum drawdown of 13.36%, indicating strong performance [1][10] - The REV (Price-Volume Indicator) strategy, which combines price and volume into a new indicator, has demonstrated a similar annual compound return of 14.7208% over the same period, but with a higher maximum drawdown of 31.67% [1][20] Summary of PVMA Strategy - The PVMA strategy focuses on the relationship between price and volume, identifying two key scenarios for generating buy signals: when volume increases alongside price, and when volume spikes during a downtrend, indicating potential reversals [5][7] - The strategy's trading rules include conditions for opening and closing positions based on moving averages of price and volume, without stop-loss settings [8][9] - Performance metrics for the PVMA strategy show a net value of 15.5866, with a cumulative excess return of 1076.0601% compared to the benchmark [10] Summary of REV Strategy - The REV strategy integrates price and volume into a single indicator, with the REV value calculated as the product of daily price change and turnover rate [15][16] - Trading rules for the REV strategy involve using dual exponential moving averages of the REV value to determine entry and exit points, also without stop-loss settings [19] - The REV strategy has a net value of 15.59 and a cumulative excess return of 1076.4019%, with a maximum drawdown of 31.67% [20] Comparative Analysis - The PVMA strategy generally has a lower maximum drawdown around 15% and a win rate exceeding 50%, making it more user-friendly, while the REV strategy offers higher returns, particularly in more volatile indices, with annual compound returns exceeding 40% in some cases [2][25]

Group 1 - The risk premium percentile of the CSI All Share Index is 71.95%, indicating that the market has returned from a high return area to a normal return area [1][8] - The price-to-book ratio percentile of the CSI All Share Index is 21.54%, suggesting that the market has returned from an undervalued state to a normal but slightly undervalued state [12] - The Shanghai Composite Index and CSI 800 are still in an undervalued state, warranting close attention [13] Group 2 - The CSI All Share Index's deviation rate is -0.03%, indicating that the overall price level of the market is in a normal range [16] - The ChiNext 50 has returned to a basic normal range after two months of recovery from an oversold state [19] - Over the past six months, the performance of value and growth styles has varied, and the value vs. growth style has yet to be defined, with future trends still to be observed [23] Group 3 - The performance of low valuation styles has generally been superior over the past six months, but high valuation styles have shown strong performance in the past month, suggesting investors should closely monitor the potential transition between high and low valuation styles [27] - Small-cap styles have significantly outperformed over the past six months, indicating a need for future focus on small-cap style targets [29] Group 4 - There has been a certain degree of excess return for convertible bonds relative to the CSI All Share Index over the past six months, suggesting that investors should consider convertible bond varieties from an asset allocation perspective [2][44] - Different types of convertible bonds have shown varying performance over the past six months, with a recommendation to focus on equity-oriented targets [48] Group 5 - The report emphasizes the importance of market style rotation, highlighting the differences in performance between value vs. growth, low vs. high valuation, and large vs. small capitalization stocks [20][21] - The report identifies that the performance of small-cap stocks has been notably superior, suggesting a focus on small-cap style targets moving forward [29] Group 6 - The report discusses industry/theme index rotation, focusing on low valuation rotation and dual momentum rotation strategies [33][34] - A selection of reference targets based on valuation factors or momentum factors is provided for investors to consider [37]