证券研究报告 | 金融工程 2025 年 12 月 14 日 择时信号再度转弱，短期仍以防御为主 ——A 股趋势与风格定量观察 20251214 1. 当前市场观察 ❑ 择时上，从上周中性偏乐观的观点转向中性偏谨慎；风格上，仍维持大盘风 格占优观点。建议短期仍以防御策略为主： 1）内外部流动性风险暂缓，但利好落已落地，后续影响或走弱。外部流动 性上，美联储降息落地，虽后续降息路径仍存分歧，但重启 RMP 时间点超 预期，短期流动性压力缓解。且日本央行虽有概率于下周末加息，但在美元 普遍存在走弱预期的情况下，此次加息影响或弱于 2024 年。内部流动性 上，本周 A 股日均成交额有所回升，且保险公司相关风险因子调整、重要会 议结束以及债市初步企稳后，国内流动性压力略有缓释。不过，上述均为前 期市场交易重点，虽整体结果偏向乐观，但后续利好效应或边际减弱。 2）交易层面未明显改善，且 11 月基本面数据仍呈结构性改善，叠加年底日 历效应，目前风险偏好或难大幅提升。虽然本周 A 股日均成交额从前一周的 1.7 万亿回升至 1.9 万亿，但是从定量指标上来看，当前标准化交易量能指标 仍处于过去 5 年中位数水平之下，仍 ...

- The report constructs 10 style factors based on the BARRA model, including valuation factor, growth factor, profitability factor, size factor, Beta factor, momentum factor, liquidity factor, volatility factor, non-linear size factor, and leverage factor[16][17][19] - The construction process for style factors involves detailed formulas, such as the valuation factor (BP = Book to Price = Shareholder equity/Market capitalization), growth factor (SGRO = Sales growth rate derived from regression of past five fiscal years' revenue), profitability factor (ETOP = Earnings-to-price ratio = Net profit TTM/Market capitalization), and others[16][17] - The style factors are tested using weekly rebalancing on the CSI All Share Index (000985.SH) with no transaction fees considered[16][17] - Beta factor, momentum factor, and volatility factor showed strong performance recently, with weekly long-short returns of 4.54%, 4.34%, and 3.81%, respectively[19] - The report tracks 53 stock selection factors across valuation, growth, quality, size, reversal, momentum, liquidity, volatility, dividend, corporate governance, and technical categories[21][22] - Examples of stock selection factors include BP (Book to Price = Shareholder equity/Market capitalization), single-quarter EP (Net profit/Market capitalization), and 240-day momentum (cumulative return excluding the last 20 days)[22] - The construction of single-factor portfolios uses a neutral constraint method to maximize factor exposure while maintaining neutrality in industry and style exposures[62][64][65] - Single-quarter ROE, single-quarter ROA, and single-quarter net profit margin factors performed well across multiple stock pools, such as CSI 300, CSI 500, CSI 800, and CSI 1000[24][28][33][38] - The report evaluates index-enhanced portfolios for CSI 300, CSI 500, CSI 800, CSI 1000, and CSI 300 ESG stock pools using composite factors constructed via rolling 1-year Rank ICIR weighting[56][59][61] - CSI 300 enhanced portfolio achieved weekly excess returns of 0.33%, monthly excess returns of 1.05%, and annual excess returns of 13.02%[59][60] - CSI 1000 enhanced portfolio showed the highest annual excess returns of 15.68% among all portfolios[60] - The ESG-enhanced portfolio under CSI 300 stock pool achieved weekly excess returns of 0.59%, monthly excess returns of 1.09%, and annual excess returns of 7.35%[60] - The optimization model for portfolio construction maximizes exposure to target factors while maintaining neutrality in industry and style exposures, with constraints on stock weights, short selling, and full investment[62][64][65] - The model uses the following formula: $Max$$w^{\prime}$$X_{target}$ $s.t.$$(w-w_{b})^{\prime}X_{ind}=0$ $(w-w_{b})^{\prime}$$X_{Beta}=0$ $|w-w_{b}|\leq1\%$ $w\geq0$ $w^{\prime}B=1$ $w^{\prime}1=1$[62][63][64]

1. Report Industry Investment Rating - The document does not mention the industry investment rating. 2. Core Viewpoints of the Report - The report focuses on the performance and capital flow of the ETF fund market in the past week (December 08 - December 12, 2025), providing investors with a reference [1]. - During this period, the Shanghai Composite Index slightly declined, and most stock ETFs fell. A - share growth ETFs had the largest increase, with an average increase of 3.81% for funds above a certain scale, while Hong Kong - stock theme ETFs and Hong Kong - stock dividend ETFs had significant declines [2][5]. - Capital flowed into A - share large - cap ETFs, with a net inflow of 9.08 billion yuan for the whole week. In contrast, A - share TMT ETFs and A - share financial and real - estate ETFs experienced capital outflows, with net outflows of 7.139 billion yuan and 5.824 billion yuan respectively [3][5]. 3. Summary According to Related Catalogs 3.1 ETF Market Overall Performance - **Market Performance**: The Shanghai Composite Index slightly declined, and most stock ETFs fell. A - share growth ETFs had an average increase of 3.81% for funds above a certain scale, while Hong Kong - stock theme ETFs and Hong Kong - stock dividend ETFs had average declines of 3.03% and 2.82% respectively [2][5]. - **Capital Flow**: Capital flowed into A - share large - cap ETFs with a net inflow of 9.08 billion yuan, and A - share TMT ETFs and A - share financial and real - estate ETFs had net outflows of 7.139 billion yuan and 5.824 billion yuan respectively [3][5]. 3.2 Different Popular Sub - type ETF Fund Market Performance - **A - share ETFs**: Include various types such as broad - based index (full - market, large - cap/super - large - cap, mid - small - cap, science - innovation/growth enterprise board), industry (TMT, mid - stream manufacturing, consumption, pharmaceutical and biological, cycle, financial and real - estate), SmartBeta (value, growth, dividend, free cash flow), and theme. Each type has different performance in terms of weekly capital flow, weekly return, recent 1 - month return, and year - to - date return [13][14][15]. - **Hong Kong - stock ETFs**: Include broad - based index, industry (TMT, mid - stream manufacturing, consumption, pharmaceutical and biological, financial and real - estate), SmartBeta (dividend), and theme. Each type shows different performance in capital flow and return [28][29][30]. - **Shanghai - Hong Kong - Shenzhen ETFs**: Include industry and theme types, with different performance in capital flow and return [34][35][36]. - **US - stock ETFs**: Include broad - based index and industry types, with different performance in capital flow and return [37][38]. - **Other QDII - ETFs (excluding Hong Kong - stock/US - stock)**: Have different performance in capital flow and return [39]. - **Bond ETFs**: Have different performance in capital flow and return [40]. - **Commodity ETFs**: Have different performance in capital flow and return [41]. 3.3 Innovation Theme and Sub - industry ETF Fund Market Performance - **TMT Innovation Theme**: Indexes such as animation and games, cloud computing and big data, etc. have different weekly and year - to - date returns, and their representative funds also show corresponding performance [43]. - **Consumption Sub - industry**: Indexes such as liquor, food and beverage, etc. have different weekly and year - to - date returns, and their representative funds also show corresponding performance [44]. - **Pharmaceutical Sub - industry**: Indexes such as vaccine and biotechnology, innovative drugs, etc. have different weekly and year - to - date returns, and their representative funds also show corresponding performance [45]. - **New Energy Theme**: Indexes such as power utilities, photovoltaic industry, etc. have different weekly and year - to - date returns, and their representative funds also show corresponding performance [46]. - **Central and State - owned Enterprise Theme**: Indexes such as mainland state - owned enterprises, Hong Kong - stock central enterprise dividends, etc. have different weekly and year - to - date returns, and their representative funds also show corresponding performance [47][48]. - **Steady - growth Theme**: Indexes such as coal, real estate, etc. have different weekly and year - to - date returns, and their representative funds also show corresponding performance [49]. - **Shanghai - Hong Kong - Shenzhen/Hong Kong - Stock Connect Sub - industry**: Indexes such as Shanghai - Hong Kong - Shenzhen Internet, Hong Kong securities, etc. have different weekly and year - to - date returns, and their representative funds also show corresponding performance [50]. - **Dividend/Dividend Low - volatility Index Family**: Indexes such as CSI 300 Dividend, CSI Dividend Low - volatility, etc. have different weekly and year - to - date returns, and their representative funds also show corresponding performance [51]. - **Growth Enterprise Board Index Family**: Indexes such as science - innovation chips, growth enterprise board growth, etc. have different weekly and year - to - date returns, and their representative funds also show corresponding performance [52].

Group 1 - The report analyzes the investment strategy for the liquor industry in 2026, indicating that the sector is currently in a clearing process, with leading liquor companies' real profits corresponding to a valuation of around 20 times, suggesting limited upward space but a stable dividend yield providing a safety margin [1][6] - The liquor industry has entered a mid-stage of corporate endurance, with stock prices at a bottom range, as evidenced by a significant decline in revenue, net profit, and cash returns in Q3 2025, marking the largest quarterly revenue drop since 2012 [5][11] - The industry is experiencing a shift from entropy increase to decrease, with rising concentration and reduced leverage, as the number of large liquor enterprises has decreased significantly, and the proportion of loss-making companies reached a record high of 36.1% in H1 2025 [16][19] Group 2 - The report predicts that the impact of demographic changes on liquor consumption will be minimal over the next 5-10 years, with the decline in the eligible drinking population being offset by the expansion of younger and female consumer groups [27][32] - Price support for the Flying Fairy liquor is expected in 2026 due to a projected supply growth rate of only 1% over the next five years, alongside a historical high purchasing power among consumers [27][28] - Current valuations are deemed reasonable, with the liquor index corresponding to a PE ratio of 18.85, close to historical lows, and institutional holdings at a record low, indicating strong earnings authenticity post-adjustment [5][7][19] Group 3 - The report emphasizes the importance of focusing on leading companies in the sector, such as Guizhou Moutai and Shanxi Fenjiu, while also recommending companies like Wuliangye and Luzhou Laojiao that are actively clearing historical burdens [6][7] - The investment strategy suggests that the market will experience a shift in style, with key buying points identified around the Spring Festival, price index recovery, and improvements in seasonal sales [6][19] - The report highlights the ongoing challenges faced by distributors, with a significant reduction in their numbers and profitability, necessitating a transformation in their business models to adapt to the current market conditions [19][23]

——中央经济工作会议点评 周期/房地产 本次中央经济工作会议对房地产市场的定调从过去的"更大力度推动房地产市 场止跌回稳"变为"着力稳定房地产市场"。"高质量推进城市更新"、"深化 住房公积金制度改革"、"有序推动'好房子'建设"等表述值得关注，后续或 可关注专项债和专项借款等金融工具进一步支持城市更新，以及住房公积金贷 款利率进一步调降、额度进一步提高和住房公积金用途拓宽等可能性。 住房公积金贷款利率方面，今年 5 月 7 日，《中国人民银行关于下调个人 住房公积金贷款利率的通知》发布。根据《通知》，自 2025 年 5 月 8 日 起，下调个人住房公积金贷款利率 0.25 个百分点，5 年以下（含 5 年）和 证券研究报告 | 行业点评报告 2025 年 12 月 12 日 li 推荐（维持） 关注城市更新和住房公积金制度改革等的进一步变化 行业规模 | | | 占比% | | --- | --- | --- | | 股票家数（只） | 257 | 5.0 | | 总市值（十亿元） | 2943.0 | 2.8 | | 流通市值（十亿元） | 2800.2 | 2.9 | 行业指数 % 1m 6m 12m ...

证券研究报告 | 策略专题报告 2025 年 12 月 11 日 2025 年中央经济工作会议如何指引 A 股？ ——中央经济工作会议点评 中央经济工作会议 12 月 10 日至 11 日在北京举行。会议整体延续政治局会议 相对积极的表态。短期来看，过去 10 年间，会后 7 天大盘风格往往相对占优。 行业表现上，从平均超额收益水平来看，近 5 年，社会服务、公用事业、煤炭、 传媒这五个行业会后 7 天平均超额水平相对更高。中长期来看，建议重点关注 会议"推动投资止跌回稳"下，明年重大项目的安排。 专题报告 相关报告 1、《如何理解 12 月政治局会 议？对资本市场意味着什么？ ———政策专题》2025-12-08 2、《今年以来服务消费政策部 署梳理，美政府结束停摆——国 内外产业政策周报（1116）》 2、《黄金税收政策调整，美国 与亚洲多国达成合作——国内 外产业政策周报（1103）》 3、《发布会召开介绍和解读四 中全会精神，有哪些增量信息？ — — 国 内 外 产 业 政 策 周 报 （1025）》 4、《整治内卷聚焦价格治理， 特朗普威胁对华大幅加征关税 — — 国 内 外 产 业 政 策 周 报 ...

Investment Rating - The report maintains a strong recommendation for leading companies in the media and internet sectors, including Shenzhou Taiyue, Southern Media, and Tencent Holdings [1][2]. Core Insights - The media industry experienced a decline of 3.59% last week, ranking 30th among all sectors, but has risen 26.95% year-to-date, placing it 7th overall [1][10]. - The box office performance of "Zootopia 2" exceeded expectations, grossing over 2 billion CNY within 10 days, with projections reaching around 4 billion CNY, highlighting the potential for blockbuster films to drive industry growth [1]. - The enthusiasm of young audiences for IP-based entertainment consumption is significantly higher than anticipated, with "Zootopia 2" achieving a global box office of 981 million USD, including 448 million USD from the Chinese mainland [1]. - The report emphasizes the strong growth potential for companies embracing youth-oriented gaming and film IPs, particularly Century Huatong, Giant Network, and others [1]. Summary by Sections Market Performance Review - The media sector's index fell by 3.59% from December 1 to December 7, while the Shanghai Composite Index rose by 0.37% [10]. - Individual stock performances varied, with Lianjian Optoelectronics leading with a 28.62% increase, while Shengyibao saw a decline of 10.91% [13][14]. Film and Game Industry Key Data Film - The top films for the week included "Zootopia 2" with a weekly box office of 112,496.2 thousand CNY, contributing to a cumulative box office of 305,267.3 thousand CNY [17][18]. - Upcoming films are expected to attract significant audience interest, with "Mountain River's Past" leading in pre-release interest [19][20]. Game - Giant Network's game "Supernatural Action Group" has shown strong performance, with contract liabilities reaching 1.333 billion CNY, a 50.7% increase from the previous quarter [2]. - The game has successfully launched in Hong Kong, Macau, and Taiwan, with plans for expansion into Southeast Asia and Japan [2]. Television and Variety Shows - The top-rated TV dramas included "Dance City" and "Four Happiness," with ratings of 1.963% and 1.587%, respectively [22][23]. - In variety shows, "Running Man: Sky Road" topped the viewership rankings [28]. Book Sector - The best-selling fiction titles included "Red Rock" and "The Right Bank of the Erguna River," while non-fiction bestsellers featured "The Lazy Economy" [34][35].

证券研究报告 | 公司点评报告 2025 年 12 月 11 日 道恩股份（002838.SZ） 拟收购韩国 SK 集团旗下公司股权，产业链布局完善的 同时有望增厚业绩 公司发布公告，以自有资金 5.2 亿元收购爱思开致新投资香港有限公司（以下 简称"SK 香港"）持有的宁波爱思开合成橡胶有限公司（以下简称"宁波爱思 开"、"标的公司"）80%股权。本次收购完成后，宁波爱思开将成为公司控 股子公司，纳入公司合并报表范围内。此外，交易对手方 SK 香港的关联方 SK Geo Centric Co., Ltd.和/或 SK Innovation Co., Ltd.拟转让给上市公司其持 有的标的公司产品相关的专利、专有技术及商标，前述知识产权转让价格不超 过人民币 0.65 亿元。 ❑ 不超过 5.8 亿元收购 EPDM 厂商 80%股权及知识产权，完善产业链布局的同 时增厚业绩。宁波爱思开是一家三元乙丙橡胶生产工厂，由韩国第二大企业 集团——SK 集团旗下爱思开致新投资香港有限公司（香港 SK）投资设立。 三元乙丙橡胶为乙烯、丙烯和少量的非共轭二烯烃第三单体的共聚物，以 EPDM 表示。本次交易完成后宁波爱思开将 ...

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