2025 年 11 月 30 日 证券研究报告 | 策略周报 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 分析师：郝一凡 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 021-20515355 1、《沪指 4000 点拉锯，把握红利与小 微盘—策略周报》2025-11-16 2、《市场热情仍高，风格或有所切换 — 策略周报》2025-11-02 3、《债市波段机会显现，股市风格切换 渐近—策略周报》2025-10-26 4、《关注重磅会议信号，风格切换或持 续 —策略周报》2025-10-19 5、《A 股震荡慢牛中延续，布局成长把 握轮动—策略周报》2025-09-14 缩量修复之后，市场如何布局？ 策略周报 分析师：刘芳 投资要点 【债市方面】债市渐入配置区间，静候东风。12 月，债市仍可能受年底政 策预期差、资金面保持宽松、机构"抢跑"配置等因素支撑，不过在当前市场 环境下，机构止盈意愿较强，2025 年末的国债配置行情力度可能弱于往年， ...

New Stock Issuance - The new stock issued by Bai'ao Saitou (证券代码: 787796) is priced at 26.68 RMB per share[1] - Tianpu Co., Ltd. (证券代码: 605255) is undergoing a tender offer from November 20, 2025, to December 19, 2025[1] Market Alerts - Jianglong Shipbuilding (证券代码: 300589) has reported severe abnormal fluctuations in its stock price[1] - A total of 20 companies have been flagged for abnormal trading activities, indicating potential volatility in the market[2] Trading Information - The trading date for Bai'ao Saitou's new stock issuance is set for November 28, 2025[1] - Multiple companies, including Xinjing Road (证券代码: 000510) and Green Island Wind (证券代码: 301043), have recent announcements regarding their stock performance[1]

New Stock Listings - Nant Technology (920124) listed at an issue price of 8.66 on November 27, 2025[1] - Tianpu Co., Ltd. (605255) is in the offer period from November 20 to December 19, 2025[1] - Jianglong Shipbuilding (300589) and Huasheng Lithium Battery (688353) reported significant abnormal fluctuations[1] Abnormal Fluctuations - Multiple companies including ST Wanfang (000638) and ST Dongyi (002713) have reported abnormal trading activities[2] - Companies such as ST Suwu (600200) and ST Yanshan (000608) are also under scrutiny for unusual market behavior[3]

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The industry is experiencing a shift in the main holders of amortized cost bond funds from banks to wealth management companies, which are increasingly viewing these funds as tools for reducing volatility in a low-interest and high-volatility environment [3][11][12] - The application of AI in the industry has progressed from initial human-machine interaction to a collaborative phase, with AI becoming a core component of business operations [3][17] - The report highlights the launch of a global commodity integration strategy index by a wealth management company, aiming to capture diverse returns through systematic allocation across various commodity strategies [4][18][19] Summary by Sections Regulatory and Industry Dynamics - The concentrated opening period for amortized cost bond funds is expected in Q4 2025 to Q1 2026, with a total opening scale exceeding 480 billion [11][10] - The transition of holders from banks to wealth management companies is driven by market changes and regulatory policies, leading to a shift in the underlying assets of these funds from government bonds to credit bonds [12][13] Peer Innovation Dynamics - A wealth management company has introduced a global commodity integration strategy index, which utilizes quantitative models for dynamic rebalancing to capture diverse risk factors in different market environments [18][19] - A partnership between a regional equity trading center and a wealth management company has successfully completed the first fund share transfer, marking a significant step for wealth management funds to enter the private equity investment field [20] Yield Performance - Cash management products recorded a 7-day annualized yield of 1.27%, a decrease of 2 basis points, while money market funds remained stable at 1.17% [21][23] - The bond market is currently experiencing a narrow fluctuation pattern, influenced by various factors including Federal Reserve interest rate expectations and market concerns regarding AI [24][25] Net Value Tracking - The net value ratio of bank wealth management products increased to 1.16%, up 0.43 percentage points, indicating a potential upward pressure on the net value ratio if credit spreads continue to widen [28][30]

Group 1: New Stock Offerings - Tianpu Co., Ltd. (605255) is undergoing a tender offer from November 20, 2025, to December 19, 2025[1] - Pingao Co., Ltd. (688227) has announced its latest updates on November 26, 2025[1] - Jianglong Shipbuilding (300589) released an announcement on November 24, 2025[1] Group 2: Significant Market Fluctuations - Huasheng Lithium Battery (688353) reported severe abnormal fluctuations on November 15, 2025[1] - HeFu China (603122) experienced significant market activity on November 13, 2025[1] - ST Keli Da (603828) had notable trading changes on November 12, 2025[1] Group 3: Recent Announcements - Guosheng Technology (603778) issued a notice on November 26, 2025[1] - ST Dongyi (002713) provided updates on November 26, 2025[1] - Jinfu Technology (003018) announced its latest developments on November 26, 2025[1]

2025 年 11 月 25 日 证券研究报告 | 财富生态周报 ETF 及指数产品网格策略周报 2025/11/25 分析师：卫以诺 分析师登记编码：S0890518120001 电话：021-20321014 邮箱：weiyinuo@cnhbstock.com 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 分析师：薛婧怡 分析师登记编码：S0890525070001 电话：021-20321092 邮箱：xuejingyi@cnhbstock.com 021-20515355 1、《ETF 及指数产品网格策略周报— 2025/11/18》2025-11-18 2、《ETF 及指数产品网格策略周报— 2025/11/11》2025-11-11 3、《ETF 及指数产品网格策略周报— 2025/11/5》2025-11-05 4、《ETF 及指数产品网格策略周报— 2025/10/28》2025-10-28 5、《ETF 及指数产品网格策略周报— 2025/10/21》2025-10-21 投资要点 分析师：程秉哲 ◆ ...

New Stock Listings - Hai'an Group (Stock Code: 001233) listed at an issue price of 48.00 on November 25, 2025[1] Rights Offerings - Tianpu Co., Ltd. (Stock Code: 605255) has a tender offer period from November 20 to December 19, 2025[1] - Hangzhou Automobile Group (Stock Code: 200771) has a cash option declaration period from November 19 to November 25, 2025[1] Abnormal Fluctuations - Huasheng Lithium Battery (Stock Code: 688353) reported severe abnormal fluctuations on November 21, 2025[1] - Multiple companies including ST Keli Da (Stock Code: 603828) and ST Yanzhong (Stock Code: 000609) have reported abnormal fluctuations on November 21, 2025[2][3] Recent Announcements - A total of 41 announcements related to various companies were made on November 20, 2025, indicating significant market activity[3] - Companies such as Moen Electric (Stock Code: 002451) and Rongji Software (Stock Code: 002474) also made announcements on November 21, 2025[3]

Report Summary 1. Report Industry Investment Rating No information provided regarding the report industry investment rating. 2. Core Viewpoints of the Report - Last week, the bond market remained volatile. The 1-year Treasury yield dropped 0.96BP to 1.40%, the 10-year yield slightly rose to 1.82%, and the 30-year yield increased 0.95BP to 2.16%. The short - end was stronger than the long - end, and there was no expected stock - bond "see - saw effect" [3][10]. - The short - term 10 - year Treasury yield may fluctuate between 1.75% - 1.85%. Investors can wait for the yield to reach the upper limit for potential increasing allocation opportunities [3][10]. - U.S. Treasury yields declined last week. The market's expectation of a December Fed rate cut has risen to about 70% after Fed official Williams' speech, but Fed officials' internal differences on further rate cuts are intensifying [11]. - The REITs market had a phased correction last week, with the data center, affordable housing, and warehousing logistics sectors leading the decline. There were also new developments in the primary market [11]. - E Fund's Ruyi Ying'an FOF raised over 5.8 billion yuan, and China Merchants Bank's "TREE Changying Plan" has helped expand the scale of medium - and low - risk FOFs [3][12]. 3. Summary by Relevant Catalogs 3.1 Weekly Market Observation 3.1.1 Pan - Fixed - Income Market Review and Observation - **Domestic Bond Market**: The domestic bond market was volatile last week. The short - end was stronger than the long - end, and there was no stock - bond "see - saw effect". The 10 - year Treasury yield may stay in the 1.75% - 1.85% range in the short term [10]. - **U.S. Bond Market**: U.S. Treasury yields declined last week. Fed officials' different views on rate cuts reflect internal differences, and the debate on further rate cuts continues [11]. - **REITs Market**: The REITs market had a phased correction last week. There were new developments in the primary market, with 3 new public REITs making progress [11]. 3.1.2 Public Fund Market Dynamics E Fund's Ruyi Ying'an 6 - month holding hybrid initiated (FOF) was established on November 19, 2025, with a fundraising scale of over 5.8 billion yuan. China Merchants Bank's "TREE Changying Plan" has contributed to the expansion of medium - and low - risk FOFs [12]. 3.2 Pan - Fixed - Income Fund Index Performance Tracking 3.2.1 Currency Enhancement Index Tracking - **Currency Enhancement Strategy Index**: Aims for liquidity management, targeting a curve that surpasses money market funds. It mainly invests in money market funds and inter - bank certificate of deposit index funds. The performance benchmark is the China Securities Money Fund Index [14]. 3.2.2 Pure Bond Index Tracking - **Short - Term Bond Fund Preferred Index**: Focuses on liquidity management, aiming for a smooth curve while controlling drawdowns. It selects 5 funds with stable long - term returns, strict drawdown control, and strong absolute return capabilities. The benchmark is 50% Short - Term Pure Bond Fund Index + 50% General Money Fund Index [18]. - **Medium - and Long - Term Bond Fund Preferred Index**: Seeks stable returns by investing in medium - and long - term pure bond funds. It aims for excess returns compared to the medium - and long - term bond fund index and a stable net value curve. It selects 5 funds, balancing coupon strategies and band operations, and adjusts duration and bond types according to market conditions [20]. 3.2.3 Fixed - Income + Index Tracking - **Low - Volatility Fixed - Income + Preferred Index**: The equity center is set at 10%. It selects 10 fixed - income + funds with an equity position (considering convertible bonds and stocks) within 15% in the past three years and recently. The benchmark is 10% CSI 800 Index + 90% ChinaBond New Composite Full - Price Index [22]. - **Medium - Volatility Fixed - Income + Preferred Index**: The equity center is 20%. It selects 5 fixed - income + funds with an equity position between 15% - 25% in the past three years and recently. The benchmark is 20% CSI 800 Index + 80% ChinaBond New Composite Full - Price Index [23]. - **High - Volatility Fixed - Income + Preferred Index**: The equity center is 30%. It selects 5 fixed - income + funds with an equity position between 25% - 35% in the past three years and recently. It focuses on funds with strong stock - picking ability in the equity part and no credit downgrading in the bond part. The benchmark is 30% CSI 800 Index + 70% ChinaBond New Composite Full - Price Index [26]. 3.2.4 Convertible Bond Fund Preferred Index It selects 5 convertible bond funds from a sample space of bond funds with a convertible bond investment ratio of at least 60% in the latest period and at least 80% on average in the past four quarters. It evaluates funds from multiple dimensions and selects the best - performing ones based on market conditions [30][31]. 3.2.5 QDII Bond Fund Preferred Index Tracking It selects 6 QDII bond funds with stable returns and good risk control, investing in overseas bonds in regions like the global market, Asia, and emerging markets, including investment - grade and high - yield products [31]. 3.2.6 REITs Fund Preferred Index Tracking It selects 10 REITs funds with stable operations, reasonable valuations, and some elasticity, based on the underlying assets of mature and high - quality infrastructure projects with relatively clear cash - flow expectations [35].

Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints - Global market resonance led to collective adjustments in mainstream capital markets last week (2025.11.17 - 2025.11.21). Concerns about over - investment in AI and changes in monetary policy expectations triggered the market adjustment. The expectation of a Fed rate cut in December cooled significantly, reversing the previous trading logic based on a loose monetary environment and AI industry trends [2][12]. - In the AI field, before it forms a wide - spread commercial application that can generate stable cash flow, its infrastructure spending depends on the operating cash flow and debt financing of technology giants, which are closely related to pro - cyclical variables. The technology sector remains highly sensitive to the real economy and monetary policy [4][14]. - There is a significant divergence within the Fed regarding a December rate cut. Conflicting data has made the Fed's decision - making difficult, and the probability of a 25 - basis - point rate cut in December has fluctuated, causing the US Treasury yield to rise first and then fall [4][15]. 3. Summary by Directory 3.1 Weekly Market Observation 3.1.1 Equity Market Review and Observation - Last week, the Shanghai Composite Index fell 3.90%, the CSI 300 fell 3.77%, the CSI 500 fell 5.78%, and the ChiNext Index fell 6.15%. The daily average trading volume of the entire A - share market was 1859.7 billion, a decrease from the previous week [12]. - The market's concern about over - investment in AI and the change in monetary policy expectations triggered the market adjustment. Despite positive news from NVIDIA and Google, concerns about over - investment in AI persisted. The cooling expectation of a Fed rate cut in December reversed the previous trading logic [12]. - When the market focuses too much on the micro - details of growth stocks' immediate financial reports, it often indicates a stock price adjustment. The North American AI sector has fully priced in the high growth in 2026, but the growth prospect in 2027 is unclear [13]. - Google's new models verified the effectiveness of the Scaling Law, but the computing power suppliers still hold an irreplaceable position in the computing power market. Before AI forms a stable commercial model, its infrastructure spending is closely related to pro - cyclical variables [14]. - There is a divergence within the Fed on a December rate cut. Conflicting data has made the decision - making difficult, and the probability of a rate cut has fluctuated, causing the US Treasury yield to rise first and then fall [15]. 3.1.2 Public Fund Market Dynamics - The CSRC will optimize the ETF registration and listing review process, cancel the requirement to submit a letter of no objection from the stock exchange during the ETF registration process, and the Shanghai and Shenzhen Stock Exchanges have also modified their self - regulatory rules accordingly [5][16]. - For ETF products tracking mature indices, fund managers can directly apply to the CSRC for registration. For products with innovative elements, the exchange will evaluate whether to develop relevant ETF products. Fund managers should design products carefully to avoid problems such as unsuccessful fundraising [17]. 3.2 Active Equity Fund Index Performance Tracking | Index Classification | Last Week | Last Month | YTD | Since Inception | | --- | --- | --- | --- | --- | | Active Stock Fund Preferred | - 4.85% | - 2.96% | 32.19% | 33.26% | | Value Stock Fund Preferred | - 3.44% | - 0.16% | 16.91% | 17.00% | | Balanced Stock Fund Preferred | - 4.52% | - 2.67% | 26.11% | 23.35% | | Growth Stock Fund Preferred | - 6.08% | - 3.24% | 44.81% | 31.79% | | Pharmaceutical Stock Fund Preferred | - 6.07% | - 4.10% | 34.28% | 16.33% | | Consumption Stock Fund Preferred | - 3.51% | - 5.11% | 8.95% | 1.93% | | Technology Stock Fund Preferred | - 5.86% | - 5.09% | 37.94% | 40.10% | | High - end Manufacturing Stock Fund Preferred | - 8.53% | - 4.47% | 24.68% | 18.66% | | Cyclical Stock Fund Preferred | - 4.57% | - 3.41% | 21.36% | 12.79% | 3.2.1 Active Stock Fund Preferred - Index positioning: 15 funds are selected in each period, with equal - weight allocation. Core positions are selected according to performance competitiveness and style stability in value, balanced, and growth styles, and the style distribution is roughly balanced according to the CSI Active Stock Fund Index [19]. - Performance benchmark: Active Stock Fund (930980.CSI) [20] 3.2.2 Value Stock Fund Preferred - Index positioning: The value style includes deep - value and quality - value styles. 10 funds of deep - value, quality - value, and balanced - value styles are selected to form the index [23]. - Performance benchmark: CSI 800 Value Index (H30356.CSI) [24] 3.2.3 Balanced Stock Fund Preferred - Index positioning: Balanced - style fund managers balance the valuation and growth of individual stocks and switch to stocks with higher cost - performance. 10 relatively balanced and value - growth style funds are selected to form the index [26][27]. - Performance benchmark: CSI 800 (000906.SH) [27] 3.2.4 Growth Stock Fund Preferred - Index positioning: Growth - style funds aim to capture the performance and valuation double - click opportunities of high - growth companies and挖掘 "dark - horse" companies. 10 active - growth, quality - growth, and balanced - growth style funds are selected to form the index [28]. - Performance benchmark: 800 Growth (H30355.CSI) [28] 3.2.5 Pharmaceutical Stock Fund Preferred - Index positioning: Funds are divided into industry themes based on the intersection market value of their equity holdings and the constituent stocks of the CITIC Pharmaceutical Index. 15 funds are selected to form the index after evaluation [31]. - Performance benchmark: Pharmaceutical Theme Fund Index (fitted by Huabao Fund Research and Investment Platform) [31] 3.2.6 Consumption Stock Fund Preferred - Index positioning: Funds are divided into industry themes based on the intersection market value of their equity holdings and the constituent stocks of relevant CITIC indices. 10 funds are selected to form the index after evaluation [31]. - Performance benchmark: Consumption Theme Fund Index (fitted by Huabao Fund Research and Investment Platform) [32] 3.2.7 Technology Stock Fund Preferred - Index positioning: Funds are divided into industry themes based on the intersection market value of their equity holdings and the constituent stocks of relevant CITIC indices. 10 funds are selected to form the index after evaluation [37]. - Performance benchmark: Technology Theme Fund Index (fitted by Huabao Fund Research and Investment Platform) [37] 3.2.8 High - end Manufacturing Stock Fund Preferred - Index positioning: Funds are divided into industry themes based on the intersection market value of their equity holdings and the constituent stocks of relevant CITIC indices. 10 funds are selected to form the index after evaluation [39]. - Performance benchmark: High - end Manufacturing Theme Fund Index (fitted by Huabao Fund Research and Investment Platform) [39] 3.2.9 Cyclical Stock Fund Preferred - Index positioning: Funds are divided into industry themes based on the intersection market value of their equity holdings and the constituent stocks of relevant CITIC indices. 5 funds are selected to form the index after evaluation [39]. - Performance benchmark: Cyclical Theme Fund Index (fitted by Huabao Fund Research and Investment Platform) [40]

Report Overview - The report is a weekly tracking report on public - offering funds' ETF strategy indices, dated November 24, 2025 [1] Report Core View - By leveraging ETFs, it is convenient to transform quantitative models or subjective views into practical investment strategies. The report presents several ETF - based strategy indices and tracks their performance and positions on a weekly basis [12] Summary by Relevant Catalog 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week index return of - 3.74%, a benchmark of CSI 800 with a return of - 4.31%, and an excess return of 0.57%. The data is as of November 21, 2025, and the last - week return calculation period is from November 14 to November 21, 2025 [13] 1.1. Huabao Research Small - Large Cap Rotation ETF Strategy Index - **Strategy Principle**: It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. The model outputs weekly signals to predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns relative to the market [4][14] - **Performance**: As of November 21, 2025, the excess return since 2024 was 20.10%, the excess return in the recent month was 0.51%, and the excess return in the recent week was 0.57% [4][14] - **Position**: As of November 21, 2025, it held 100% of the CSI 300 ETF [18] 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on the exposure of ETFs to 9 major Barra factors to achieve returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4] - **Performance**: As of November 21, 2025, the excess return since 2024 was 19.67%, the excess return in the recent month was 4.56%, and the excess return in the recent week was 1.02% [4] - **Position**: As of November 21, 2025, it held 25.19% of the Dividend Low - Volatility ETF, 25.06% of the Dividend ETF, 24.92% of the CSI Dividend ETF, and 24.83% of the High - Dividend ETF [22] 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behaviors of various market participants. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally excavates potential sectors to obtain excess returns relative to the market [5][22] - **Performance**: As of November 21, 2025, the excess return since 2024 was 35.64%, the excess return in the recent month was 4.56%, and the excess return in the recent week was 0.09% [5][22] - **Position**: As of November 21, 2025, it held 20.69% of the Oil and Gas ETF, 20.60% of the Bank ETF, 19.80% of the New Energy ETF, 19.54% of the Securities and Insurance ETF, and 19.37% of the Power ETF [26] 1.4. Huabao Research Quantitative Balance ETF Strategy Index - **Strategy Principle**: It adopts a multi - factor system including four major categories of factors: economic fundamentals, liquidity, technical aspects, and investor behavior. It constructs a quantitative timing system to judge the trend of the equity market, establishes a prediction model for the market's small - and large - cap styles, and adjusts the position distribution in the equity market. It comprehensively uses timing and rotation to obtain excess returns relative to the market [5][26] - **Performance**: As of November 21, 2025, the excess return since 2024 was - 8.44%, the excess return in the recent month was 2.51%, and the excess return in the recent week was 1.83% [5][26] - **Position**: As of November 21, 2025, it held 9.35% of the 10 - Year Treasury Bond ETF, 5.96% of the 500ETF Enhanced, 5.86% of the CSI 1000ETF, 32.40% of the Enhanced 300 ETF, 23.27% of the Policy Financial Bond ETF, and 23.15% of the Short - Term Financing ETF [29] 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and excavates hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional views, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot - spots in a timely manner, providing investors with references for short - term market trends and helping them make more informed investment decisions [6][29] - **Performance**: As of November 21, 2025, the excess return in the recent month was 3.13%, and the excess return in the recent week was 0.17% [6][29] - **Position**: As of November 21, 2025, it held 36.17% of the Non - Ferrous Metals 50ETF, 24.13% of the Bosera Hong Kong Stock Dividend ETF, 21.12% of the Hong Kong Stock Connect Pharmaceutical ETF, and 18.57% of the Short - Term Financing ETF [33] 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is lower than a certain threshold, it reduces the position of long - duration bonds in the bond investment portfolio to improve the portfolio's long - term returns and drawdown control ability [6][33] - **Performance**: As of November 21, 2025, the excess return in the recent month was 0.00%, and the excess return in the recent week was 0.11% [6][33] - **Position**: As of November 21, 2025, it held 49.99% of the 10 - Year Treasury Bond ETF, 25.02% of the Policy Financial Bond ETF, and 24.99% of the 5 - to 10 - Year Treasury Bond ETF [36]