中 泰 证 券 研 究 所 专 业 ｜ 领 先 ｜ 深 度 ｜ 诚 信 高维时空嵌入的视角—物理增强型 样本熵择时模型 ｜ 证 券 研 究 报 告 ｜ 吴先兴 中泰证券金融工程 证券分析师执业证书编号：S0740525110003 邮 箱：wuxx02@zts.com.cn 李倩云 证券分析师执业证书编号：S0740520050001 邮 箱：liqy02@zts.com.cn 张天伦 证券分析师执业证书编号：S0740525070005 邮 箱：zhangtl01@zts.com.cn 2025.12.05 • 本研究聚焦于ETF市场的量化择时策略构建,核心在于将非线性动力学的样本熵理论 与物理学的推重比概念深度融合,实现对市场复杂性与驱动力在风险平衡层面的一体 化刻画。 • 成功构建了一套物理增强型样本熵(Phys-Enhanced SampEn)择时策略,创新性地将 "推重比序列" 作为输入项进行熵计算,能够同时量化"价格波动的随机性"与 "驱动力-风险平衡的规律性" ，突破了传统单维度不确定性度量的局限。 • 引入流动性调整推重比,通过量价共振动量与流动性阻力因子修正,有效解决了理论 信号与实际可交易 ...

Core Insights - The report highlights the "Net Profit Discontinuity Strategy" which has achieved an absolute return of 63.03% this year, significantly outperforming the benchmark index by 39.07% [3][11] - The "Davis Double-Click Strategy" has shown a historical annualized return of 26.45% from 2010 to 2017, with consistent excess returns exceeding 11% each year during that period [3][7] - The "Enhanced CSI 300 Portfolio" has provided a relative excess return of 17.41% this year, indicating strong performance compared to the CSI 300 index [13][17] Group 1: Davis Double-Click Strategy - The Davis Double-Click Strategy involves buying stocks with low price-to-earnings (PE) ratios that have growth potential, aiming to sell once growth is realized and PE increases, thus achieving a "double-click" effect on earnings per share (EPS) and PE [3][6] - Historical backtesting from 2010 to 2017 shows the strategy's annualized excess return of 21.08% against the benchmark [7] - The strategy has generated a cumulative absolute return of 48.89% this year, outperforming the CSI 500 index by 24.92% [8] Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity Strategy focuses on stocks that show significant upward price gaps on the first trading day following earnings announcements, indicating market approval of earnings surprises [10][11] - This strategy has achieved an annualized return of 29.22% since 2010, with a cumulative absolute return of 63.03% this year, outperforming the benchmark by 39.07% [11][12] - The strategy's performance is based on selecting stocks that have exceeded earnings expectations over the past two months [10] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 Portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles [13][17] - The portfolio aims to identify undervalued stocks with strong profitability and growth potential, utilizing factors like PBROE and PEG [13] - This year, the portfolio has achieved a relative excess return of 17.41% compared to the CSI 300 index, demonstrating its effectiveness [17]

- Model Name: Industry Trend Allocation Model; Model Construction Idea: The model aims to identify industry trends and allocate investments accordingly; Model Construction Process: The model uses historical data and technical indicators to identify industry trends. It focuses on industries such as liquor and non-bank financials for mid-term reversal signals, and recommends technology sectors, commercial aerospace, and consumer electronics based on the TWO BETA model. The model also shows that the battery and industrial metals sectors continue to trend upwards[2][5][7]; Model Evaluation: The model is effective in identifying industry trends and making allocation recommendations based on historical data and technical indicators[2][5][7] - Model Name: TWO BETA Model; Model Construction Idea: The model aims to recommend sectors based on their beta values; Model Construction Process: The model uses beta values to identify sectors with high growth potential. It continues to recommend the technology sector, with a focus on commercial aerospace and consumer electronics[2][5][7]; Model Evaluation: The model is effective in identifying high-growth sectors based on beta values[2][5][7] - Model Name: Timing System; Model Construction Idea: The model aims to distinguish the overall market environment using long-term and short-term moving averages; Model Construction Process: The model calculates the distance between the 120-day and 20-day moving averages of the WIND All A index. The latest data shows the 20-day moving average at 6247 and the 120-day moving average at 5930, with a difference of 5.33%. The model also considers the 5-day moving average and the trend line to determine the market's oscillating pattern[2][5][7]; Model Evaluation: The model is effective in identifying market trends and oscillations based on moving averages[2][5][7] - Model Name: Position Management Model; Model Construction Idea: The model aims to manage stock positions based on valuation indicators and short-term trends; Model Construction Process: The model uses the PE and PB ratios of the WIND All A index to determine the stock position. The PE ratio is at the 80th percentile, indicating a moderate level, while the PB ratio is at the 50th percentile, indicating a lower level. Based on these indicators and short-term trends, the model suggests a 70% stock position for absolute return products[8]; Model Evaluation: The model is effective in managing stock positions based on valuation indicators and short-term trends[8] Model Backtesting Results - Industry Trend Allocation Model, Weekly Excess Return: 1.40%[1] - TWO BETA Model, Weekly Excess Return: 1.40%[1] - Timing System, Weekly Excess Return: 1.40%[1] - Position Management Model, Weekly Excess Return: 1.40%[1]

Core Insights - The packaging water industry is shifting from a price war to a value war, driven by increasing consumer demand for product quality and specific consumption scenarios [1][6] - The market size for China's packaging water (excluding large packages over 8L) is projected to reach 224.23 billion yuan by 2025, with a year-on-year growth of 3% [1] - Leading brands like Nongfu Spring hold a significant market share of 33%, while regional brands like Quan Yang Quan are also showing strong growth due to geographical advantages [1][6] Industry Trends - The competition in the packaging water industry is becoming more multifaceted, with a clear distinction in performance among leading brands and regional players [1] - The price index for packaging water has shown a slight decline, with manufacturers adopting "price for volume" strategies during peak seasons [2] - High-end water products are experiencing rapid growth, with the number of new products priced above 10 yuan expected to increase by 42% in 2025 [2] Channel Dynamics - The channel landscape for packaging water has changed significantly, with specialized channels showing a GMV growth of 13.8% from January to July 2025, while modern channels have seen a decline of 14.2% [3] - Brands are increasingly focusing on discount store channels and developing specialized products to capture market share [3] Future Outlook - The focus on product value and health trends is expected to continue, with consumers seeking functional enhancements in packaging water [4] - The competition is anticipated to shift towards resource-based factors, particularly water sources, as the core competitive advantage in the industry [5] Investment Recommendations - Companies are advised to pay attention to leading brands like Nongfu Spring, which are well-positioned to respond quickly to market demands [6] - Regional brands like Quan Yang Quan are also recommended for their potential to leverage local advantages in the competitive landscape [6]

中泰证券非银金融首席分析师葛玉翔对记者分析，2025年三季度末，保险资金投资股票期末余额为3.62 万亿元。假设其中沪深300和中证红利低波动100成分股、科创板股票投资占比分别为40%、5%，同时 符合《通知》要求的加权平均持仓时间标的为20%。据此测算，考虑风险分散效应前静态释放最低资本 为326亿元。若这部分资金全部增配沪深300股票，对应股市资金（除以风险因子0.3）为1086亿元。若 不增配股票，则改善行业偿付能力充足率幅度约1个百分点。此外，《通知》还将保险公司出口信用保 险业务和中国出口信用保险公司海外投资保险业务的保费风险因子从0.467下调至0.42，准备金风险因子 从0.605下调至0.545。龙格认为，这将引导保险公司加大对外贸企业支持力度、有效服务国家战略。 （上证报） ...

（责任编辑：贺翀 ） 【免责声明】本文仅代表作者本人观点，与和讯网无关。和讯网站对文中陈述、观点判断保持中立，不对所包含内容 的准确性、可靠性或完整性提供任何明示或暗示的保证。请读者仅作参考，并请自行承担全部责任。邮箱： news_center@staff.hexun.com 中金公司12月3日公告，鉴于本次重组相关事项存在重大不确定性，股票将继续停牌。同日，信达 证券也公告，筹划重大资产重组，A股股票将继续停牌。 | 代码 | 名称 | | 涨幅% ↓ | 总市值 | 年初至今涨幅% | | --- | --- | --- | --- | --- | --- | | 601696 | 中银证券 | 1 | 10.02 | 387亿 | 25.23 | | 601377 | 兴业证券 | 兼 | 8.65 | 640亿 | 20.13 | | 600095 | 湘刚股份 | 演 | 5.99 | 339亿 | 64.72 | | 000686 | 东北证券 | | 4.25 | 218亿 | 20.58 | | 601688 | 华泰证券 | 1 | 3.87 | 1989亿 | 27.40 | | 0007 ...

Core Viewpoint - Zhongtai Securities (Shanghai) Asset Management Co., Ltd. announced adjustments to the valuation method for certain funds' suspended stocks, specifically adopting the "index yield method" for the stock "Siyirpu" (stock code: 688536) starting from December 3, 2025 [1] Group 1 - The decision was made in accordance with the guidelines from the China Securities Regulatory Commission and the Asset Management Association of China [1] - The adjustment aims to better protect the interests of fund shareholders [1] - The valuation method will revert to using the closing price on the day of resumption of trading once the stock exhibits active market trading characteristics [1]

Market Overview - The market experienced a significant rebound, with major indices rising sharply in the afternoon, led by the financial sector, and the Shanghai Composite Index reclaiming the 3900-point level [1] - Total market turnover reached 1.7 trillion yuan, an increase of over 100 billion yuan compared to the previous trading day, with more than 4300 stocks rising [1] - The Shanghai Composite Index rose by 0.7% to close at 3902.81 points, while the Shenzhen Component Index increased by 1.08% to 13147.68 points [1] Financial Sector Performance - The financial sector showed strong performance, with insurance and brokerage stocks leading the gains; China Pacific Insurance rose over 5% and Zhongyin Securities hit the daily limit [1] - Morgan Stanley, known as the "whistleblower" of A-shares, added China Pacific Insurance to its focus list and raised its target price for A-shares from 70 yuan to 85 yuan, and for H-shares from 70 HKD to 89 HKD [1] Commercial Aerospace Sector - The commercial aerospace sector continued to perform well, with several stocks such as Aerospace Power and Superjet Co. hitting the daily limit [1] - Dongwu Securities indicated that the development of large-capacity, low-cost, and reliable reusable rockets is imminent, with new models expected to launch by the end of 2025, which could accelerate the deployment of low-orbit satellite constellations in China [1] Sector Fund Flows - Main funds focused on sectors such as communication equipment, power grid equipment, and optical electronics, with notable net inflows into stocks like Shida Group and Yongding Co. [2] Regional Economic Development - Fujian Province is planning significant initiatives for its marine economy as part of its 14th Five-Year Plan, aiming to strengthen its maritime development [3] - Wuhan aims to exceed a total economic output of 3 trillion yuan by 2030, with a focus on becoming a national economic center and enhancing its technological innovation capabilities [4] Solar Industry Update - The solar industry chain has seen a reduction in production plans for December across multiple segments, including silicon materials and modules, due to self-discipline measures and insufficient terminal demand [5] - Industry insiders believe that the continued production cuts are essential for resolving supply-demand imbalances and that prices in the solar sector are expected to gradually recover by 2026 [5] Market Outlook - Zhongtai Securities predicts that the index is likely to maintain a volatile pattern in the near term, with robotics and brokerage sectors expected to be key focuses leading up to the Spring Festival [6] - Dongfang Securities suggests that the market remains weak in the short term, advising investors to selectively accumulate technology stocks [7] - Everbright Securities anticipates a potential rebound in the index, particularly in the phosphate chemical sector, coinciding with the upcoming Phosphate-Lithium Industry High-Quality Development Conference [9]

午后，保险、证券、互联网金融等大金融板块持续拉升。瑞达期货直线拉升封板，中银证券涨停，兴业证券涨超7%，湘财股份、东方财富、东北证券、 华泰证券跟涨。 | | | 明细 ▲ ר | | --- | --- | --- | | | | 13:56 13.94 ୧୫ | | 证券 | | | | 1629.39 2.76% | | | | 基金 成分股 | 简况(F10) | 资金 分析 新闻 | | 毛部 龙头股 | 3日内有涨停 | 连板 连续3日主力净泥 | | 名称/代码 | 最新 ◆ | 涨幅 ◆ 5日涨幅 ◆ ▶ | | 中银证券 | 13.94 | +10.02% +7.89% | | 601696 融 | | | | 领涨龙头2 首板 最终涨停13:54 | | | | 兴业证券 | 7.35 | +7.77% +7.83% | | 601377 融 | | | | 领涨龙头1 | | | | 湘财股份 | 11.84 | +5.81% +4.97% | | 600095 融 | | | | 东方财富 | 23.46 | +4.78% +0.26% | | 创 300059 融 | | | | 人 ...

Group 1 - The securities sector showed strength at the beginning of trading, with Zhongtai Securities rising over 2% [1] - Other companies such as Xiangcai Co. and Industrial Securities also experienced gains [1]