2026 年 01 月 29 日 期权杠杆科普：期权的杠杆从哪里 来？ ——白话期权系列之一 相关研究 证券分析师 方思齐 A0230525090002 fangsq@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 方思齐 A0230525090002 fangsq@swsresearch.com 名义杠杆倍数：名义杠杆倍数 = 标的资产价格 ÷ 权利金 该指标直观反映了单位权利金所能控制的标的资产市值，但未考虑期权价格与标的资产 价格变动的实际关联性。 实际杠杆倍数：实际杠杆倍数 = Delta × 名义杠杆 此处的关键在于 Delta。Delta 可理解为期权价格相对于标的资产价格变动的敏感系数。 在名义杠杆的基础上引入 Delta，能够更真实地反映期权收益相对于标的资产价格变动的 实际放大倍数，即实际杠杆。 ⚫ 期权的杠杆变化： 期权虚实程度：虚值期权的名义杠杆通常较高，但由于其行权价与标的资产当前价格存在 较大差距，Delta 值较小，因此在计算实际杠杆（Delta × 名义杠杆）时，较低的 Delta 会部分抵消高名义杠杆的效 ...

1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report - The scale of passive index funds has exceeded 7 trillion yuan, with ETFs accounting for over 80%. The scale of domestic stock broad - based ETFs has further declined, while the scale of commodity ETFs has increased due to the rise in gold prices. The gap between the top two index fund managers has widened again. The number and scale of newly - issued products have decreased, and popular themes are concentrated in applications [4]. - In the fourth quarter of 2025, the number of approved index funds decreased compared to the previous quarter. Industry - themed index funds were the most approved type, and the application enthusiasm for relevant industry themes and broad - based indexes was high [4]. - In the fourth quarter, the well - performing broad - based products were the Science and Technology Innovation 100 and CSI 2000, the industry products were mainly satellite - related ETFs, and cash - flow products in Smart Beta performed well [4]. 3. Summary by Relevant Catalogs 3.1 2025 Q4 Index Fund Market Scale Changes - By the end of Q4 2025, the total asset scale of 2960 non - monetary index funds reached 7.24 trillion yuan, an increase of 0.52 trillion yuan from the previous quarter. ETFs grew by about 0.44 trillion yuan, and their proportion exceeded 80%. The proportion of LOF decreased, and the proportion of ordinary over - the - counter products was relatively stable [4][9]. - Among the 5.8 - trillion - yuan ETFs, the proportion of domestic stock broad - based ETFs further declined to 44%, the proportion of industry - themed products remained stable below 20%, and the scale of commodity ETFs increased by over 17 billion yuan compared to 2024 [4][13]. - The top ten target indexes with the largest index fund scale accounted for 42.68% of the total index fund scale, slightly up from the previous quarter. The proportion of CSI 300 decreased, while that of CSI A500 rebounded to over 4% [4][18]. - The top ten index fund managers managed 67.94% of the total index fund scale, with a slightly lower concentration than the previous quarter. Guotai surpassed Fuguo in the ranking, and the gap between Huaxia and E Fund widened to nearly 50 billion yuan [4][19]. - The top ten index funds in terms of scale were all ETFs, with gold ETFs entering the top ten, and the top four being CSI 300 ETFs [21][22]. - Among 2616 non - linked index products, less than half (1151) had positive scale growth. The top ten index funds with scale growth were mainly ETFs tracking AAA science and technology innovation bonds, gold, and CSI A500, while some Hong Kong - related technology products had outflows [24][25]. 3.2 Q4 Index Fund Raising and Application Situation - In Q4 2025, 195 index funds were newly established, raising a total of 108.001 billion yuan, a decrease in both the number and scale compared to the previous quarter. The main decline came from domestic stock index funds, while QDII passive index funds had a slight increase in the number but a decrease in scale. Bond index funds also had a significant decline in scale [30][34]. - From the perspective of product form, the number and scale of ETFs, ordinary index funds, and ETF linkages all decreased compared to the previous quarter. From the perspective of target index types, except for cross - border products, all other types of products had varying degrees of decline, with bonds having the largest decline in the number of issuances [35]. - In Q4 2025, 164 index funds were approved, a decrease from the previous quarter. Industry - themed index funds were the most approved type, with the main target indexes being non - ferrous metals, Hong Kong - stock - connected automobiles, science and technology innovation board artificial intelligence, etc. The application enthusiasm for relevant industry themes and broad - based indexes was high, and the application of strategy index products mainly focused on dividend - quality - related indexes [40]. 3.3 Q4 ETF Market Performance - In domestic stock ETFs, the top five products in terms of Q4 yield included three tracking the CSI 2000 index, and the highest - yielding product was Fuguo Shanghai Stock Exchange Science and Technology Innovation 100 ETF with a yield of 7.98% [41]. - In cross - border broad - based ETFs, E Fund Nikkei 225 ETF performed the best with a quarterly yield of 7.27%, and other top - ranked products also had yields above 6% [41]. - In industry - themed ETFs, the top five products in terms of Q4 yield mainly tracked the CSI Satellite Industry Index, with the highest - yielding product being GF CSI Satellite Industry ETF with a yield of 48.05% [41]. - In Smart Beta ETFs, the top five products in terms of Q4 yield were all cash - flow factor products, with the highest - yielding product being Penghua CSI 800 Free Cash Flow ETF with a yield of 10.20% [42]. - In terms of Q4 average daily trading volume, the top five domestic broad - based index funds were all CSI A500 ETFs. In cross - border broad - based ETFs, GF Nasdaq 100 ETF and Guotai Nasdaq 100 ETF had high trading volumes. In industry - themed ETFs, E Fund CSI Hong Kong Securities Investment Theme ETF had the largest trading volume. In Smart Beta ETFs, four of the top five products were dividend - strategy ETFs and one was a free - cash - flow ETF [43][44][46].

Core Insights - The report highlights the steady growth in the semiconductor industry, with companies like Anji Technology and Guanggang Gas benefiting from the ongoing expansion cycle [14][15] - Anji Technology anticipates a revenue of 2.505 billion yuan for 2025, representing a 37% year-on-year increase, and a net profit of 795 million yuan, up 49% [14] - Guanggang Gas projects a revenue of 2.424 billion yuan for 2025, also reflecting a 15% year-on-year growth, with a net profit of 286 million yuan [15] Semiconductor Industry Overview - The semiconductor sector is experiencing a robust upturn, driven by high demand for DRAM and NAND chips, leading to significant price increases [15] - The report notes that the global semiconductor industry is entering a new capital expansion phase, with major players planning substantial capacity increases [14][15] Company-Specific Insights - Anji Technology's CMP polishing liquid market share is steadily increasing, with functional wet chemicals seeing rapid growth, contributing to high annual performance [14] - Guanggang Gas is benefiting from the high demand in the semiconductor industry, with existing projects and new ones coming online, leading to consistent quarterly revenue growth [15] Future Outlook - The semiconductor industry is expected to maintain its growth trajectory, with Anji Technology poised to benefit from new capacity releases in downstream sectors [14] - Guanggang Gas is also well-positioned to capitalize on the ongoing expansion in the semiconductor market, with numerous potential projects on the horizon [15]

2026 年 01 月 28 日 华夏中证科创创业 50ETF 投资价值 分析 ——指数基金产品研究系列报告之二百六十七 相关研究 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 博时基金 博时基金管理有限公司(researchreport@bosera.com) 使用。1 ETP 研 究 - ⚫ 华夏中证科创创业 50ETF 于 2021 年 6 月 24 日成立，截至 2025 年末规模 50 亿元， 费率 0.15%，目前由徐猛和王欣薇两位基金经理共同管理。 ⚫ 当前，中国经济发展的核心驱动力正在发生深刻变革。推动产业转型升级、培育经济增长 新动能，关键在于以科技创新驱动新质生产力的发展。国家明确将统筹各方力量坚决打赢 关键核心技术攻坚战。特别是在面向未来的"十五五" ...

行 业 及 产 业 非银金融/ 证券Ⅱ 行 业 研 究 / 行 业 点 评 相关研究 《证券行业 2026 年投资策略：权益浪潮 下的券商机遇：财富扩容，国际增效》 2025/11/17 证 券 研 究 报 告 证券分析师 罗钻辉 A0230523090004 luozh@swsresearch.com 金黎丹 A0230525060004 jinld@swsresearch.com 联系人 2026 年 01 月 28 日 标杆案例业绩高增！看好行业并购 重组提质增效 看好 ——券商板块跟踪 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 博时基金 博时基金管理有限公司(researchreport@bosera.com) 使用。1 ⚫ 国泰海通发布 2025 年业绩预增公告，业绩符合预期。全年业绩预增：2026 年 1 月 27 日，国泰 海通发布 2025 年业绩预增公告，公司预计 2025 年实现归母净利润 275.33~280.06 亿元 /yoy+111%~115% （ VS 中 信 证 券 300.5 亿 元 /yoy+38% ） ；实现扣非归母净利润 210.53~21 ...

Investment Rating - The report maintains an "Overweight" rating for the brokerage sector, indicating a positive outlook compared to the overall market performance [5]. Core Insights - The brokerage sector is expected to achieve a 47% year-on-year increase in net profit for 2025, with projected revenues of 586.8 billion yuan and a main revenue of 570.4 billion yuan, reflecting a 37% increase [1][3]. - The report highlights a trend of asset rebalancing between light and heavy assets within the brokerage sector, which is crucial for future performance [1]. - The investment environment for Q4 2025 is anticipated to be less favorable compared to the first three quarters of 2025, with a projected decline in investment income [2]. Revenue and Profit Projections - For 2025, the brokerage sector is projected to generate total revenues of 586.8 billion yuan, with a main revenue of 570.4 billion yuan, marking a 37% increase year-on-year [1][3]. - The expected net profit for 2025 is 217.7 billion yuan, representing a 47% increase year-on-year [1][3]. - In Q4 2025, the sector is expected to achieve revenues of 167.2 billion yuan, with a main revenue of 158.9 billion yuan, reflecting a 21% year-on-year increase [3]. Brokerage Business Performance - The average daily trading volume in the stock market for Q4 2025 is projected to exceed 2 trillion yuan, with a year-on-year increase of 18% [2][6]. - The average daily margin trading balance is expected to reach 2.49 trillion yuan, showing a 40% year-on-year increase [2][6]. - New account openings on the Shanghai Stock Exchange in Q4 2025 are projected to be 7.288 million, a decrease of 37% year-on-year [2]. Investment Banking and Asset Management - The report indicates a recovery in equity business under low base conditions, with Q4 2025 IPO issuance expected to reach 54.9 billion yuan, a 165% increase year-on-year [2][6]. - The asset management business is projected to see a revenue increase of 25% year-on-year, with expected revenues of 14.5 billion yuan in Q4 2025 [2][6]. - The public fund market is expected to grow, with the non-money market fund size reaching 21.9 trillion yuan by the end of Q4 2025, a 16% increase year-on-year [2][6]. Investment Recommendations - The report recommends focusing on three investment themes: 1. Strong comprehensive capabilities of leading institutions such as Guotai Junan and GF Securities 2. Brokerages with significant earnings elasticity like Huatai Securities 3. Companies with strong international business capabilities, such as China Galaxy [5].

行 业 及 产 业 银行 2026 年 01 月 28 日 行 业 研 究 / 行 业 深 度 相关研究 证 券 研 究 报 告 证券分析师 郑庆明 A0230519090001 zhengqm@swsresearch.com 林颖颖 A0230522070004 linyy@swsresearch.com 冯思远 A0230522090005 fengsy@swsresearch.com 李禹昊 A0230525070004 liyh2@swsresearch.com 联系人 冯思远 A0230522090005 fengsy@swsresearch.com 2026 年银行业选股为先，α优于β 看好 ——上市银行春季调研反馈暨板块思考 前言：年初至今银行板块累计下跌近 7% ，在各板块表现最为靠后，这与我们判断 2026 年基本面稳 步改善存在背离。开年以来我们密集走访各银行，就信贷投放、存款搬家、息差趋势、金市业务、 资产质量等市场关注重点详细交流，结合对现阶段银行板块的思考，本篇报告作以下总结。 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 - ⚫ 总体看 ...

2026 年 01 月 28 日 特朗普引领下的美国战略方向在 哪？ ——2026 年美国《国家安全战略》解读 券 研 究 报 告 证券分析师 程翔 A0230518080007 chengxiang@swsresearch.com 傅静涛 A0230516110001 fujt@swsresearch.com 王胜 A0230511060001 wangsheng@swsresearch.com 联系人 程翔 A0230518080007 证 chengxiang@swsresearch.com 策 略 研 究 本研究报告仅通过邮件提供给 中庚基金 使用。1 请务必仔细阅读正文之后的各项信息披露与声明 A 股 策 略 相关研究 - ⚫ 2025 年年底白宫发布《国家安全战略》，以下我们简称为 NSS（National-Security- Strategy）。本次 NSS 报告主要涉及"美国核心诉求"、"优先事项"、"地区战略" 三部分： ⚫ 在开篇美国核心诉求部分，关键词包括"移民、安全、科技"。（1）移民部分，NSS 提 及"西半球保持适度稳定与良好治理，预防和遏制大规模移民潮涌入美国"；（2）安全 部分 ...

Investment Rating - The report maintains a "Buy" rating for the company, indicating a strong performance expectation relative to the market [8][4]. Core Insights - The company forecasts a revenue of 8.8 to 9.2 billion yuan for 2025, representing a year-over-year growth of 47% to 54%. The net profit attributable to the parent company is expected to be between 980 million to 1.03 billion yuan, reflecting a significant year-over-year increase of 149% to 162% [4][6]. - The company is experiencing substantial growth across three major downstream sectors: smartphones, automotive electronics, and smart security. The smartphone sector is seeing increased demand for high-end products, while automotive electronics are becoming a long-term growth driver [8][4]. - The company is expanding its product matrix with new high-end mobile camera sensors and automotive sensors, which are expected to drive future revenue growth [8][4]. Financial Data and Profit Forecast - The total revenue is projected to grow from 5.968 billion yuan in 2024 to 12.733 billion yuan by 2027, with a compound annual growth rate (CAGR) of approximately 25.4% from 2025 to 2027 [6][10]. - The net profit attributable to the parent company is expected to increase from 991 million yuan in 2025 to 1.632 billion yuan in 2027, indicating a robust growth trajectory [6][10]. - The earnings per share (EPS) is forecasted to rise from 2.47 yuan in 2025 to 4.06 yuan in 2027, reflecting strong profitability growth [6][10].

Investment Rating - The report maintains a "Buy" rating for Anta Sports [2][7]. Core Views - Anta Sports announced the acquisition of a 29.06% stake in PUMA from the Pinault family’s investment company Artémis, with a total transaction value of approximately €1.5 billion (around RMB 12.28 billion), reflecting a valuation of about 15 times PUMA's 2024 net profit [7]. - The acquisition is a strategic move to enhance Anta's multi-brand global strategy and is expected to strengthen its global presence [7]. - Anta will fund the acquisition entirely with its own resources, ensuring that dividend payments will not be affected [7]. - Anta's established consumer insights and operational capabilities in China are anticipated to aid PUMA in recovering growth in the Chinese market, where PUMA's revenue currently represents only about 7% of its global sales [7]. - PUMA's global brand strength and resources are expected to complement Anta's existing multi-brand strategy, facilitating Anta's global expansion [7]. - The report projects Anta's net profit for FY2025 to be RMB 132.0 billion, with a growth rate of 11% when excluding one-time gains from Amer Sports [7]. Financial Data and Profit Forecast - Revenue projections for Anta Sports are as follows: - FY2023: RMB 623.6 billion - FY2024: RMB 708.3 billion - FY2025E: RMB 799.8 billion - FY2026E: RMB 896.5 billion - FY2027E: RMB 970.0 billion - The corresponding year-on-year growth rates are 16%, 14%, 13%, 12%, and 8% respectively [6][17]. - Net profit forecasts are: - FY2023: RMB 102.4 billion - FY2024: RMB 156.0 billion - FY2025E: RMB 132.0 billion - FY2026E: RMB 140.0 billion - FY2027E: RMB 157.4 billion - The projected earnings per share (EPS) are: - FY2023: RMB 3.61 - FY2024: RMB 5.41 - FY2025E: RMB 4.60 - FY2026E: RMB 4.87 - FY2027E: RMB 5.48 [6][17].