Domestic Economic Indicators - High-frequency data indicates a significant rebound in November export growth, expected to be a key highlight for year-end economic performance[1] - The upcoming Central Political Bureau and Central Economic Work Conferences are unlikely to introduce further growth-stabilizing policies for the year[1] - The RMB has shown signs of accelerated appreciation, with both onshore and offshore rates surpassing 7.07, marking a new high in over a year[1] International Economic Context - The Japanese yen is approaching the 155-160 range, increasing the likelihood of a December interest rate hike by the Bank of Japan, which could impact global capital markets[1] - Ongoing tensions in the Russia-Ukraine conflict have not yielded substantial progress in negotiations, maintaining a stalemate[1] Asset Pricing Outlook - By 2026, China's asset pricing anchor is expected to return to a growth trajectory, with total factor productivity already on the rise this year[2] - The valuation center for equity assets is anticipated to shift upward significantly, indicating a return to growth-driven asset pricing[2] - December's late period may present a buying opportunity, although potential risk-off scenarios due to U.S.-Japan monetary discrepancies may necessitate a delay[2] Monetary Policy and Market Liquidity - The central bank's operations remain moderately tight, with a net injection of 663.8 billion yuan through reverse repos this week[6] - The average weekly rate for DR001 decreased by 1.228 basis points to 1.3005%, while DR007 fell by 1.93 basis points to 1.4431%[7] Government Debt and Market Performance - The net issuance of government bonds has slightly eased, with a planned issuance of 3904.55 billion yuan for the upcoming week, up from 3317.17 billion yuan[20] - The A-share market has shown a strong upward trend, with the Shanghai Composite Index rising by 0.37% this week and 16.44% year-to-date[37]

Financial Data Overview - In November 2025, new social financing (社融) is expected to reach approximately 2.1 trillion RMB, with a growth rate of 8.4%[1] - New credit (信贷) is projected to be around 2500 billion RMB, reflecting a growth rate of 6.4%[2] - M2 money supply is anticipated to grow by 8.0%, while M1 is expected to increase by 6.0%[6] Loan and Financing Insights - Residential loans are estimated to decrease by about 500 billion RMB, significantly lower than the previous year's 2700 billion RMB[2] - Corporate loans are expected to increase by approximately 3000 billion RMB, compared to 2500 billion RMB in the same month last year[2] - Government bond net financing is projected at around 12660 billion RMB, down from 18317 billion RMB year-on-year[5] Market Trends and Economic Indicators - The manufacturing PMI for November is reported at 49.2, indicating a slight recovery but still below the growth threshold[2] - The real estate market continues to face pressure, with new home sales in 30 major cities down by 33% year-on-year[2] - The corporate financing environment remains weak, with strategic emerging industries showing signs of decline in their purchasing manager index[2]

汽车行业周报 多家车企推购置税补贴方案，鸿蒙智行单月交付创新高 中游制造/汽车 11 月 30 日至 12 月 6 日，汽车行业整体上涨 1.3%。本周，部分新势力发布 11 月交付量。鸿蒙智行全系 11 月交付新车 81,864 台，同比增长 89.61%，创下单 月交付历史新高；零跑实现销量 70,327 台，持续刷新单月交付新纪录；小鹏汽 车 11 月交付新车 36,728 台，同比增长 19%；蔚来汽车 11 月交付新车 36,275 台，同比增长 76.3%；理想汽车 11 月交付新车 33,181 辆，环比有所提升。 ❑ 市场板块行情回顾 本周 CS 汽车+1.3%。本周（11 月 30 日至 12 月 6 日，下同）上证 A 指涨跌 幅为+0.4%，深证 A 指涨跌幅为+0.6%，创业板涨跌幅为+1.9%。本周各行业 板块多数上涨，涨幅较大的行业板块为 CS 有色金属（+5.1%）、CS 通信 （+3.7%）和 CS 国防军工（+3.5%），下跌的行业板块为 CS 传媒（-3.6%）、 CS 房地产（-2.1%）和 CS 食品饮料（-1.9%）。 汽车产业链各板块行情：本周，汽车行业二级板块全面 ...

Group 1: U.S. National Security Strategy - The 2025 U.S. National Security Strategy emphasizes prioritizing the Western Hemisphere and critiques Europe while downplaying terrorism threats[10] - The strategy reflects a shift from global free trade to a focus on maintaining U.S. hegemony amid rising competition, suggesting a reallocation of military resources from less critical areas like Europe[13] - Economic security is a major focus, with goals including balancing trade, securing critical materials, and maintaining energy and financial dominance[17] Group 2: U.S.-China Relations - Recent communications between U.S. and Chinese economic leaders indicate a move towards a more stable relationship, with ongoing discussions on trade and strategic cooperation[15] - The U.S. aims to reduce dependency on China in non-sensitive trade areas while enhancing military deterrence in the Asia-Pacific region[14] - The upcoming interactions between U.S. and Chinese leaders are expected to further influence bilateral relations[18] Group 3: Geopolitical Conflicts and Tariffs - Ongoing geopolitical tensions include the Russia-Ukraine conflict and Middle East negotiations, with a focus on U.S. involvement and potential impacts on oil prices[19] - U.S. tariffs remain a contentious issue, with ongoing legal discussions and negotiations with countries like India and Brazil, particularly in strategic industries[22] - The U.S. government is conducting investigations into tariffs on sectors such as semiconductors and critical minerals, reflecting a focus on national security[22] Group 4: Political Risks and Future Outlook - The potential for significant shifts in U.S. policy and international relations poses risks, particularly as the 2026 midterm elections approach[24] - The strategy indicates a desire to strengthen U.S. control in the Western Hemisphere, with increased political risks in the region[24] - The report highlights the importance of monitoring domestic political dynamics that could affect the implementation of the National Security Strategy[24]

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Timing Model for Domestic Interest Rates - **Model Construction Idea**: The model uses kernel regression algorithms to identify support and resistance lines of interest rate trends. It evaluates the breakthrough patterns of interest rate movements across different investment cycles to form multi-cycle composite timing signals[10][24]. - **Model Construction Process**: - **Data Input**: Yield-to-Maturity (YTM) data for 5-year, 10-year, and 30-year government bonds[6][10]. - **Cycle Classification**: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency[10][21]. - **Signal Generation**: - A signal is generated when at least two cycles show consistent directional breakthroughs (upward or downward). - For example, for the 5-year YTM, the current signal is "bearish" as both the long and medium cycles show upward breakthroughs, while the short cycle shows no signal[10]. - **Scoring Mechanism**: - Each cycle contributes one "vote" for upward or downward breakthroughs. - A composite score is calculated based on the total votes, and the final signal is determined[10][13][17]. - **Model Evaluation**: The model effectively captures interest rate trends and provides actionable timing signals for different bond maturities[10][24]. 2. Model Name: Multi-Cycle Timing Model for US Interest Rates - **Model Construction Idea**: The domestic timing model is applied to the US Treasury market to generate timing signals for 10-year US Treasury YTM[21]. - **Model Construction Process**: - **Data Input**: 10-year US Treasury YTM data[21]. - **Cycle Classification**: Same as the domestic model (long, medium, and short cycles)[21]. - **Signal Generation**: - The current signal is "neutral" as only the short cycle shows an upward breakthrough, while the long and medium cycles show no signal[21]. - **Model Evaluation**: The model demonstrates adaptability to international markets, providing consistent timing signals for US Treasuries[21]. --- Model Backtesting Results 1. Multi-Cycle Timing Model for Domestic Interest Rates - **5-Year YTM**: - Long-term annualized return: 5.48% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.91 - Short-term annualized return (since end-2024): 2.11% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.57 - Long-term excess return: 1.07% - Short-term excess return: 0.87%[6][28][29]. - **10-Year YTM**: - Long-term annualized return: 6.06% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.21 - Short-term annualized return (since end-2024): 2.39% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.14 - Long-term excess return: 1.65% - Short-term excess return: 1.36%[28][29]. - **30-Year YTM**: - Long-term annualized return: 7.34% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.72 - Short-term annualized return (since end-2024): 3.03% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.31 - Long-term excess return: 2.43% - Short-term excess return: 2.97%[28][29][33]. 2. Multi-Cycle Timing Model for US Interest Rates - The report does not provide specific backtesting results for the US model, but the current signal is "neutral" based on the latest data[21]. --- Quantitative Factors and Construction Methods 1. Factor Name: Interest Rate Structure Indicators (Level, Term, Convexity) - **Factor Construction Idea**: Transform YTM data into structural indicators (level, term, and convexity) to analyze the interest rate market from a mean-reversion perspective[7]. - **Factor Construction Process**: - **Level Structure**: Represents the average interest rate level. - Current value: 1.63% - Historical percentiles: 25% (3 years), 15% (5 years), 7% (10 years)[7]. - **Term Structure**: Represents the slope of the yield curve. - Current value: 0.45% - Historical percentiles: 34% (3 years), 21% (5 years), 23% (10 years)[7]. - **Convexity Structure**: Represents the curvature of the yield curve. - Current value: 0.01% - Historical percentiles: 26% (3 years), 16% (5 years), 13% (10 years)[7]. - **Factor Evaluation**: These indicators provide a comprehensive view of the interest rate market's structural characteristics, aiding in timing and allocation decisions[7]. --- Factor Backtesting Results - **Interest Rate Structure Indicators**: - The report does not provide specific backtesting results for these factors, but their historical percentiles indicate their relative positioning in the market[7].

Investment Rating - The report maintains a "Recommend" rating for the industry, indicating a positive outlook for the sector's fundamentals and expected performance relative to the benchmark index [3]. Core Insights - The report emphasizes the importance of AI applications, highlighting the competitive landscape for AI operating systems as companies like Alibaba and ByteDance launch new products [6][21]. - It suggests a strategic focus on the fintech sector, particularly in light of recent regulatory changes that may encourage insurance companies to increase market participation [27][28]. Summary by Sections Industry Overview - The industry comprises 286 stocks with a total market capitalization of 4220.9 billion and a circulating market value of 3742.6 billion [3]. - Recent performance metrics show a 1-month absolute performance of -4.3%, a 6-month performance of 17.2%, and a 12-month performance of 16.4% [5]. Recent Developments - ByteDance launched the "Doubao" mobile assistant, enhancing user interaction through AI capabilities [9][11]. - DeepSeek introduced two new models, DeepSeek-V3.2 and DeepSeek-V3.2-Speciale, which exhibit leading inference capabilities in the global market [16][20]. - Amazon unveiled its new AI training chip, Trainium 3, aimed at competing with Nvidia and Google in the AI chip market [21][22]. Market Performance Review - The computer sector experienced a decline of 1.73% in the first week of December 2025, with notable gainers including Hangtian Zhizhuang and Dineike [29][30].

Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Strategy - **Model Construction Idea**: The model is based on historical data and statistical rules to identify short-term market timing signals, combining macroeconomic, valuation, sentiment, and liquidity indicators to generate a comprehensive timing signal[16][17][19] - **Model Construction Process**: 1. **Macroeconomic Indicators**: - Manufacturing PMI: If PMI > 50, it gives a positive signal; otherwise, a cautious signal. - Credit Pulse: The YoY growth rate of medium- and long-term RMB loans is used, with a higher percentile indicating a positive signal. - M1 YoY Growth Rate: Filtered using HP filter; higher percentiles indicate a positive signal. 2. **Valuation Indicators**: - PE Median Percentile: A higher percentile indicates a cautious signal due to mean reversion. - PB Median Percentile: A higher percentile also indicates a cautious signal due to mean reversion. 3. **Sentiment Indicators**: - Beta Dispersion: Neutral signal if within a certain range. - Volume Sentiment Score: Lower percentiles indicate a cautious signal. - Volatility: Neutral signal if within a certain range. 4. **Liquidity Indicators**: - Money Market Rate: Lower percentiles indicate a positive signal. - Exchange Rate Expectation: A stronger RMB against the USD gives a positive signal. - 5-day average net financing amount: Lower percentiles indicate a positive signal. 5. Combine all signals to generate a comprehensive timing signal[16][17][19] - **Model Evaluation**: The model demonstrates significant improvement over the benchmark strategy, with higher annualized returns, lower maximum drawdown, and better Sharpe ratio[18][21] 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: The model uses a quantitative economic mid-cycle analysis framework, incorporating profitability, interest rate, and credit cycles to determine the relative attractiveness of growth versus value styles[26][27] - **Model Construction Process**: 1. **Macroeconomic Indicators**: - Profitability Cycle Slope: A steeper slope favors growth. - Interest Rate Cycle Level: Higher levels favor value. - Credit Cycle Strength: A stronger credit cycle favors growth. 2. **Valuation Indicators**: - Growth-Value PE Spread: A higher 5-year percentile indicates a preference for growth. - Growth-Value PB Spread: A higher 5-year percentile also indicates a preference for growth. 3. **Sentiment Indicators**: - Turnover Spread: A higher 5-year percentile indicates a preference for growth. - Volatility Spread: A higher 5-year percentile indicates a balanced preference for both growth and value. 4. Combine all signals to generate a comprehensive style rotation signal[26][27][28] - **Model Evaluation**: The strategy has shown significant improvement over the benchmark, with higher annualized returns, lower maximum drawdown, and better Sharpe ratio. However, in 2025, the strategy underperformed the benchmark slightly[27][29] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: The model is based on 11 effective rotation indicators, including liquidity, sentiment, and valuation metrics, to determine the relative attractiveness of small-cap versus large-cap styles[30] - **Model Construction Process**: 1. **Indicators Used**: - Indicators such as R007, financing balance changes, trading volume, and sentiment metrics are analyzed. - For each indicator, a signal is generated to favor either small-cap or large-cap styles. 2. **Comprehensive Signal**: - Combine all individual signals into a comprehensive small-cap or large-cap rotation signal. - The model currently favors large-cap due to weak small-cap indicators such as low trading volume and negative sentiment[30][32] - **Model Evaluation**: The strategy has consistently generated positive annual excess returns since 2014, with a significant improvement over the benchmark in terms of annualized returns and maximum drawdown[31][32] --- Model Backtesting Results 1. Short-term Timing Strategy - Annualized Return: 16.41% - Annualized Volatility: 14.81% - Maximum Drawdown: 14.07% - Sharpe Ratio: 0.9655 - Return-to-Drawdown Ratio: 1.1667 - Monthly Win Rate: 66.24% - Quarterly Win Rate: 60.38% - Annual Win Rate: 78.57%[18][21] 2. Growth-Value Style Rotation Model - Annualized Return: 12.74% - Annualized Volatility: 20.80% - Maximum Drawdown: 43.07% - Sharpe Ratio: 0.5853 - Return-to-Drawdown Ratio: 0.2958 - Monthly Win Rate: 58.33% - Quarterly Win Rate: 59.62%[29] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 19.73% - Annualized Excess Return: 12.67% - Maximum Drawdown: 40.70% - Average Turnover Interval: 20 trading days - Win Rate (per trade): 49.57%[32]

Group 1: Policy Changes Impacting A-Share Market - Recent policies focus on capital market and consumption, with adjustments in insurance capital risk factors and regulations for listed companies, emphasizing service consumption in cultural tourism and sports [2][5] - The upcoming Political Bureau meeting and Central Economic Work Conference in December are expected to address policies promoting domestic demand, new industry policies, and major project developments [5][20] - The adjustment of risk factors for insurance companies is anticipated to release significant capital into the market, potentially increasing investment in large-cap stocks and previously adjusted sectors [8][10][11] Group 2: Market Trends and Performance - The A-share market has shown an upward trend, driven by factors such as a decrease in U.S. ADP employment data, which raised expectations for a Fed rate cut, and improved foreign investment sentiment towards A-shares [5][6] - The manufacturing PMI rose in November, indicating improved economic conditions, with notable price increases in industrial metals, chemicals, and the semiconductor sector [5][6] - The overall valuation of A-shares has increased, with the Wind All A Index PE (TTM) rising to 66.4% historical percentile, reflecting a positive market sentiment [5][6] Group 3: Consumption Policies - Recent consumption policies emphasize service consumption, particularly in cultural tourism and sports, aligning with previous government strategies to enhance service supply [18][19] - The Ministry of Culture and Tourism and the Civil Aviation Administration have set goals to improve tourism services and expand domestic and international travel routes by 2027 [18][19] - The focus on service consumption is expected to continue, with potential fiscal subsidies linked to service consumption initiatives [18][19] Group 4: Future Economic Meetings - The Political Bureau and Central Economic Work Conference are expected to maintain a positive policy tone, focusing on domestic demand, industry policies, and infrastructure investments [20] - The meetings are likely to reinforce consumer support policies and enhance fiscal measures aimed at improving living standards and boosting service consumption [20] - Infrastructure projects are anticipated to commence, maintaining a high growth rate in construction investments [20]

Investment Rating - The report maintains a "Recommended" investment rating for the banking industry [2] Core Insights - The banking sector is experiencing a significant adjustment in long-term bonds, with a projected interest rate increase of 25-42 basis points, aligning with the "asset shortage" logic [14][15] - There is an ongoing demand for banks to realize floating profits from bond markets, particularly as the high base from the previous year's Q4 is expected to exert greater pressure on profit realization this year [14][15] - The report outlines three scenarios for revenue growth in 2025, indicating that banks may need to sell bonds worth approximately 0.20 trillion to 1.14 trillion yuan depending on the revenue growth target [15][19] Summary by Sections Section 1: Floating Profit Realization and EVE Indicator Impact - The report discusses the ongoing pressure for banks to realize floating profits in December, with expectations of significant bond sales to support stable performance [14][15] - It highlights the need for banks to manage duration risk effectively, as the current structure of liabilities is shortening, which may impact stability [16][17] Section 2: Loan and Bond Yield Comparison - The report provides insights into the yield comparison between loans and bonds, indicating a need for banks to adjust their strategies in response to changing market conditions [8] Section 3: Deposit Rate Tracking - The report tracks changes in deposit rates, noting adjustments made by specific banks to their deposit rates, which may influence overall funding costs [6] Section 4: Bill Discounting Volume and Price Tracking - The report analyzes the trends in bill discounting, indicating a significant drop in short-term bill rates while highlighting seasonal patterns in the market [24][25] Section 5: Central Bank Dynamics and Market Rate Tracking - The report details the central bank's operations, including reverse repos and liquidity management, which are crucial for maintaining market stability [25][26] Section 6: Government Debt Financing and Fiscal Strength Tracking - The report discusses the government's debt financing activities and their implications for fiscal policy, emphasizing the need for careful monitoring of future fiscal measures [26] Section 7: Interbank Certificate of Deposit Tracking - The report notes a positive net financing position for interbank certificates of deposit, indicating a shift in funding strategies among banks [28]

证券研究报告 | 宏观预测报告 2025 年 12 月 6 日 固定资产投资增速或仍偏弱 —2025 年 11 月宏观经济预测报告 频率：每月 点评报告 相关报告 1、《服务消费淡季回调明显— —11 月 PMI 数据点评》2025- 12-6 | 张静静 | S1090522050003 | | --- | --- | | zhangjingjing@cmschina.com.cn | | | 张岸天 | S1090522070002 | | zhangantian@cmschina.com.cn | | | 罗 丹 | S1090524070004 | | luodan7@cmschina.com.cn | | | 张玉书 | 研究助理 | | zhangyushu@cmschina.com.cn | | | 赵兴举 | 研究助理 | zhaoxingju@cmschina.com.cn 敬请阅读末页的重要说明 表 1：宏观经济指标实际值、预测值与未来方向 | 分类 | 预测指标 | 10 月实际 | 11 月预测 | | --- | --- | --- | --- | | | 制造业 PMI（%） | ...