证券研究报告 2025.12.14 量化策略 量化策略周报（461）：稳中求进 全周回顾：市场维持上涨，通信与国防军工强势，成长强于价值，贴水低位震荡 1）市场维持上涨：A 股市场在本周维持上涨，表征市场走势的宽基指数有所上涨，最终沪深 300、 中证 500、创业板指在本周涨跌幅分别为-0.08%、1.01%、2.74%。 2）通信与国防军工强势：本周通信与国防军工行业表现出色，涨幅在所有行业中排在前两位，其它 表现较好的行业还包括电子、电力设备及新能源、机械等。而煤炭与石油石化行业在本周表现不佳， 跌幅在所有行业中排名前两位，其它表现偏弱的行业还包括纺织服装、房地产、钢铁等。 3）成长强于价值：本周成长风格的收益强于价值风格，对应国证成长指数全周上涨 1.01%，而国证 价值指数全周下跌 1.37%。根据中金量化风格因子体系，本周动量、规模、综合质量、盈利能力等。 4）贴水低位震荡：本周小盘股期指当季合约周均年化贴水震荡收窄。本周五 IH、IF、IC 和 IM 当季 年化基差率分别为-2.0%、-4.3%、-9.5%和-13.5%。 后市展望：展望未来市场方向，首先，反映经济预期差对股市影响方向的宏观预期 ...

Core Insights - The report highlights the shifting dynamics among the US, A-share, and Hong Kong markets, indicating a "seesaw" effect where one market's performance impacts the others. The first quarter saw a revaluation of Chinese assets led by DeepSeek, while the second quarter was characterized by strong performance in US stocks driven by AI leaders and capital expenditure growth [1][2] - Since late November, Hong Kong stocks have underperformed compared to US and A-shares, with the Hang Seng Index and Hang Seng Tech Index showing declines of 2.2% and 0.7% respectively, while the Shanghai Composite and US indices posted gains [2][3] - The report attributes the recent weakness of Hong Kong stocks to their sensitivity to liquidity changes and structural differences, with a notable slowdown in southbound capital inflows and external liquidity support [3][4] Market Dynamics - Southbound capital inflows have decreased significantly, with a 10-day moving average dropping from an average of 7 billion HKD to below 1 billion HKD, leading to concerns about potential fund outflows due to regulatory changes [3][4] - External liquidity has also been a concern, with active foreign capital flowing out of Hong Kong while inflows into A-shares have continued. The report notes that recent hawkish signals from the Federal Reserve have contributed to a lack of external liquidity support for Hong Kong stocks [3][4] - Despite the short-term liquidity disturbances, the report suggests that the fundamental weakness in the market has amplified negative sentiment, particularly in the context of the unique industry structure of Hong Kong stocks [4][5] Sector Analysis - The technology sector, primarily focused on internet applications in Hong Kong, faces concerns over an AI bubble, while A-shares benefit from a higher proportion of hardware-related stocks, providing stronger support [5][6] - The consumer sector in Hong Kong, particularly discretionary spending, is struggling due to weak domestic consumption recovery and a declining credit cycle, which limits its potential as a market driver [5][6] - The cyclical sector has shown some strength, particularly in metals, but its overall weight in the Hong Kong market is low, limiting its ability to provide substantial support [5][6] Future Outlook - The report anticipates that Hong Kong stocks will be more sensitive to liquidity and fundamental changes, with potential for stronger performance if the credit cycle improves and risk appetite increases [5][6] - Historical patterns indicate that Hong Kong stocks tend to outperform during periods of fundamental recovery and ample liquidity, but recent trends suggest a need to consider structural differences among the markets [6][7] - For 2026, the report emphasizes the importance of liquidity, fundamental conditions, and structural opportunities in determining market performance, with a focus on the potential for recovery in the US credit cycle and the challenges facing the Chinese credit cycle [9][10]

Investment Rating - The report rates the industry as "Outperform" based on the expected performance of key companies exceeding the industry index over the next 6 to 12 months [20][23]. Core Insights - The establishment of the "polysilicon capacity integration acquisition platform" marks a significant step in the photovoltaic supply-side reform, indicating a move towards reducing internal competition within the industry [4][5]. - The polysilicon sector is expected to undergo a deep adjustment and clearing process over the next six months to a year, with current production levels remaining stable but facing weak downstream demand [5]. - Leading polysilicon companies are anticipated to strengthen their advantages in the long term due to their financial resources, cost management, and product quality [5][6]. Summary by Sections Industry Dynamics - The report highlights the recent establishment of a polysilicon capacity integration acquisition platform, which aims to improve the competitive landscape of the photovoltaic industry through market-oriented and legal mechanisms [4][5]. - The current polysilicon production is around 120,000 tons, with limited marginal reductions, and prices have remained stable due to cost support [5]. Valuation and Recommendations - The report suggests focusing on leading companies in the polysilicon sector, specifically Tongwei Co., Ltd. and Daqo New Energy, while also monitoring trends in granular silicon technology [6]. - The target prices for the recommended companies are set at CNY 28.20 for Tongwei and CNY 35.50 for Daqo, with expected P/E ratios of 38.8 and 39.6 for 2026, respectively [3][6].

宏观经济研究 2025.12.14 图说中国宏观周报 企业与居民融资分化，M1 增速继续下 行——11 月金融数据点评 SAC 执证编号：S0080521070001 SFC CE Ref：BSI036 peng3.zhou@cicc.com.cn 周彭 分析员 张文朗 分析员 周奕江 联系人 SAC 执证编号：S0080520080009 SFC CE Ref：BFE988 wenlang.zhang@cicc.com.cn 特别关注 11 月金融总量数据整体仍处在下行轨道当中，政府、居民部门净融资额同比均减少，企业部门净融资 同比多增，是支撑社融的主力，企业融资的改善以短贷和表内外票据融资等短期需求为主，企业债券 融资的主力是央国企。本月边际变化最大的数据是 M1 ，其同比增速下行除了基数走高的影响以外，环 比走势趋弱也是重要原因，我们预计年内 M1 同比增速可能继续回落。 11 月金融总量数据整体仍处在下行轨道当中。11 月社融存量同比增速 8.5%，较 10 月持平，我们预 计年内仍会小幅回落。考虑到明年一季度面临较高的基数，以及财政力度可能相对温和，我们预计社 融增速的下行仍将持续。另外，11 月M ...

宏观经济研究 2025.12.14 传统思维易误估汇率 近期市场比较关注人民币汇率走势，有研究基于传统汇率模型（新古典思维）来评估人民币汇率与其 所谓的均衡值的差距，得出人民币汇率与其所谓的"均衡值"明显偏离的结论。评估汇率高估或者低 估本身就非常不容易，而且其结论与所采用的框架紧密相关。 简而言之，常用的新古典汇率框架强调实体而轻视金融对汇率的影响。常用的汇率模型，比如购买力 平价、巴拉萨-萨缪尔森模型等就是如此。即使一些模型也加入了利率与货币等变量，但在新古典框架 中，资本流动和外汇交易更多被视为对实体基本面的反应，而不是决定长期汇率水平的独立、持续因 素。当今，每年全球外汇市场的交易量是实体贸易量的几十倍，聚焦经常项目而忽视资本流动，聚焦 实体而轻视金融对汇率的影响与现实差距很大。与此不同，（后）凯恩斯主义并不否认实体经济和经 常项目的重要性，但认为在现代金融体系下，资本流动和预期变化构成汇率波动的核心机制。资金流 动既影响短期汇率，也在长期内影响汇率走势，购买力平价所决定的汇率水平可能一直达不到、甚至 在方向上也可能发生持续偏离。 我们不必将新古典汇率框架与（后）凯恩斯汇率框架完全对立，但在金融高度发 ...

A 股策略 李求索 分析员 张歆瑜 联系人 黄凯松 分析员 SAC 执证编号：S0080124070034 SAC 执证编号：S0080521070010 SFC CE Ref：BRQ876 kaisong.huang@cicc.com.cn 2025 年下半年A股跑赢港股 我们在 2025 年 8 月 17 日发布的《AH比较系列（3）：买A还是买港？》中认为，在AH比较新范式下， 考虑到A股增量资金入市、国际货币秩序重构带动人民币资产重估、"反内卷"等政策更利好相关板块占 比较高的A股，A股弹性将优于港股。报告发布至今，A股和港股市场表现基本符合预期（图表 1）：1） 从整体和成长风格表现上，A股均跑赢港股。8 月 18 日至 12 月 12 日，A股市场，上证指数涨 5.2%， 沪深 300 涨 9.0%，代表科技成长风格的创业板指和科创 50 分别涨 26.0%、22.5%；港股市场，恒生指 数涨 2.8%，恒生科技指数涨 1.7%。2）分行业看，A股和港股的领涨行业相似，有色金属、半导体、电 气设备均涨幅居前（图表 2、图表 3）。 证券研究报告 2025.12.14 AH 比较系列（4）：A 股优 ...

宏观经济研究 2025.12.14 图说中国宏观周报 企业与居民融资分化，M1 增速继续下 行——11 月金融数据点评 SAC 执证编号：S0080521070001 SFC CE Ref：BSI036 peng3.zhou@cicc.com.cn 边际变化最大的数据是M1，无论是同比还是环比增速均走弱。M1 同比增速的回落不仅是因为基数的 走高，而是其环比走势出现了明显的变化。我们按照新口径还原M1 历史数据，并计算了历年 11 月 M1 的环比增速。今年 11 月M1 的环比增速为 0.8%，是 2020 年以来同月第二低的水平。如果我们使 用一些技术方法去除掉季节性因素的影响，我们发现 11 月M1 的环比增速（季节性调整之后）可能进 入负区间。11 月M1 增速、PPI同比、非制造业PMI等数据都走弱，互相之间也形成印证。考虑到这一 现状，M1 同比增速有可能在年内继续回落。 ⚫⚫⚫⚫ 更多作者及其他信息请见文末披露页 请仔细阅读在本报告尾部的重要法律声明 1 周彭 分析员 张文朗 分析员 周奕江 联系人 SAC 执证编号：S0080520080009 SFC CE Ref：BFE988 wenlan ...

证券研究报告 2025.12.14 农业周报：宠食新消费品牌发力大促 王思洋 分析员 陈泰屹 分析员 龙友琪 分析员 SAC 执证编号：S0080523070004 SFC CE Ref：BTG198 siyang5.wang@cicc.com.cn SAC 执证编号：S0080524020011 taiyi.chen@cicc.com.cn SAC 执证编号：S0080524010004 youqi.long@cicc.com.cn 行业动态 行业近况 本周（12.8-12.12）农林牧渔涨幅+0.3%，跑赢大盘 0.4ppt。涨 幅前三个股为正邦/生物股份/罗牛山，分别+19%/+17%/+14%。 评论 畜禽产业链：11 月样本上市猪企出栏环比下降。1）生猪养殖： 商品猪/二元母猪/7kg仔猪价格周环比+2.1%/-0.5%/+1.2%；11 月样本上市猪企出栏量环比减少 5.5%；涌益 17 省育肥栏舍利用 率环比-6.5ppt；本周商品猪出栏均重周环比-0.2%，关注北方动 物疫病情况；德康"百村百万"家庭农场基地投运。2）禽养 殖：鸡苗/毛鸡/鸡产品价格周环比+1.4%/+0.8%/+0.6%；哈 ...

Investment Rating - The report maintains an "Outperform" rating for the media and internet industry, with specific stock recommendations across various segments [5][8]. Core Insights - The media sector experienced a slight rebound in November, with the advertising segment gaining traction due to AI applications, while other segments showed minor fluctuations. The demand for entertainment is expected to rise towards the end of the year, suggesting potential opportunities in niche segments [3][4]. - Key trends for 2026 include a supportive policy environment fostering resilient growth, with a focus on AI applications, overseas expansion of Chinese content, and the revaluation of IP value driven by upgraded demand [3][4]. - The report highlights strong Q3 performance in Hong Kong and US stocks, particularly in gaming and social media sectors, with notable revenue growth from Tencent and Kuaishou [3][4][18]. Summary by Sections Industry Dynamics - The media index rose by 1.69% in November, contrasting with a decline in the Shanghai Composite Index by 1.67%. Sub-sectors showed varied performance, with digital media up by 1.76% and advertising marketing up by 9.68% [2][11]. - The gaming sector saw a record high in the issuance of domestic game licenses in November, with 178 games approved, indicating a robust supply side [20]. Company Performance - Tencent Music reported a revenue of 8,463 million, exceeding expectations, while iQIYI's performance was in line with forecasts at 6,682 million [18]. - Kuaishou's revenue reached 35,554 million, meeting expectations, driven by advancements in AI technology [18]. Valuation and Recommendations - The report maintains target prices and ratings for covered companies, recommending stocks such as Century Huatong, Mango Excellent Media, and Kuaishou for A-shares, and Tencent Music and iQIYI for Hong Kong and US stocks [5][8]. - Specific stock recommendations include Century Huatong (target price 26.50), Kuaishou (target price 89.00), and iQIYI (target price 2.50), all rated as "Outperform" [5][8].

Investment Rating - The report maintains an "Outperform" rating for the company with a target price of RMB 28.00, compared to the latest closing price of RMB 21.62, indicating a potential upside of 29.5% [1][7]. Core Insights - The company is facing ongoing pressure in its overseas business while exploring new growth opportunities in magnesium alloy applications. The domestic operations are relatively stable, supported by a solid order backlog from key clients [5][6]. - The third quarter of 2025 saw a significant decline in performance, with revenue of RMB 1.54 billion, down 5.6% year-on-year, and a net profit loss of RMB 0.11 billion, reflecting a 170% decrease compared to the previous quarter [4][5]. - The company has successfully entered the magnesium alloy market, which is expected to provide new growth avenues, particularly in the automotive and robotics sectors [6]. Financial Summary - Revenue projections for the company are as follows: RMB 6.76 billion in 2025, with an 8.2% growth rate, and RMB 7.37 billion in 2026, with an 8.9% growth rate [3][20]. - The net profit for 2025 is forecasted to be RMB 0.5 billion, a significant reduction of 68.9% from previous estimates, while the 2026 profit is projected at RMB 3.5 billion [7][20]. - Key financial ratios include a P/E ratio of 150.5 for 2025 and 19.2 for 2026, indicating a substantial valuation adjustment due to the anticipated profit decline [3][7]. Performance Review - The company's gross margin for Q3 2025 was reported at 11.2%, down 3.3 percentage points year-on-year, while the net margin fell to -0.7% [5][12]. - The domestic operations were impacted by a fire at the Tianjin factory, causing delays in product deliveries, while the overseas subsidiary faced losses due to market fluctuations in Europe and North America [5][6]. Growth Prospects - The company is focusing on expanding its magnesium alloy product line, having already secured its first customer for a magnesium alloy project, which is expected to enhance its competitive position in the market [6][11]. - The integration of new orders in North America and organizational restructuring in Europe are anticipated to improve performance in the upcoming quarters [5][6].