证券研究报告 | 金融工程 gszqdatemark 2025 12 14 年 月 日 量化周报 市场的震荡调整态势不改 市场的震荡调整态势不改。本周（ 12.8-12.12），大盘震荡下行，上证指数 全周收跌 0.34%。在此背景下，煤炭、钢铁、农林牧渔确认日线级别下跌， 军工迎来日线级别上涨。市场的本轮上涨自 4 月 7 日以来，日线级别反弹 已经持续了 7 个多月，反弹幅度也基本在 30%左右，各大指数和板块的 上涨基本都轮动了一遍，超半数的行业日线级别上涨处于超涨状态，几乎 所有的规模指数及一半以上的行业更是走出了复杂的 9-17浪的上涨结构， 科创 50、中小 100 更是在所有宽基里面率先形成了日线级别下跌，地产、 食品饮料、医药、商贸零售、汽车、电子、计算机、非银、机械、煤炭、 钢铁、农林牧渔也相继形成了日线级别下跌，中证 500、中证 1000、创业 板指、沪深 300、传媒、建筑、建材也有较大概率将确认日线级别下跌。 因此我们认为本轮日线级别上涨大概率已经结束。未来市场大概率会是震 荡调整的态势，当下的反弹大概率只是一波 30 分钟级别反弹，不改市场 的震荡调整态势。中期来看，上证指数、上证 ...

- Model Name: Timing Radar Six-Factor Model; Model Construction Idea: The model attempts to capture the performance of the equity market through multiple dimensions, including liquidity, economic conditions, valuation, capital flows, technical indicators, and crowding; Model Construction Process: The model selects 21 indicators from the aforementioned dimensions and categorizes them into four major categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal." These indicators are then used to generate a comprehensive timing score ranging from [-1,1]; Model Evaluation: The model provides a comprehensive view of market conditions from multiple perspectives, making it a useful tool for market timing[1][6][9] - Factor Name: Liquidity Direction Factor; Factor Construction Idea: This factor aims to determine the direction of current monetary policy; Factor Construction Process: The factor is calculated using the average change in central bank policy rates and short-term market rates over the past 90 days. If the factor is greater than 0, it indicates a loose monetary policy, and if less than 0, it indicates a tight monetary policy; Current View: This week, the liquidity direction factor is greater than 0, signaling a bullish outlook, with a score of 1[11][13] - Factor Name: Liquidity Strength Factor; Factor Construction Idea: This factor is based on the "interest rate corridor" concept to measure the deviation of short-term market rates from policy rates; Factor Construction Process: The factor is calculated as the deviation = DR007/7-year reverse repo rate - 1, smoothed and z-scored. If the factor is less than -1.5 standard deviations, it indicates a loose environment for the next 120 trading days, with a score of 1. Conversely, if greater than 1.5 standard deviations, the score is -1; Current View: This week, the liquidity strength factor score is 0, indicating a neutral signal[14][15] - Factor Name: Credit Direction Factor; Factor Construction Idea: This factor measures the tightness of credit transmission from commercial banks to the real economy; Factor Construction Process: The factor is calculated using the monthly value of medium- and long-term loans, the incremental value over the past 12 months, and the year-over-year change. If the factor is rising compared to three months ago, it is bullish, with a score of 1. Conversely, if falling, the score is -1; Current View: This week, the credit direction factor is identified as an upward trend, signaling a bullish outlook, with a score of 1[17][19] - Factor Name: Credit Strength Factor; Factor Construction Idea: This factor captures whether credit indicators significantly exceed or fall short of expectations; Factor Construction Process: The factor is calculated as (new RMB loans for the month - median forecast) / forecast standard deviation. If the factor is greater than 1.5 standard deviations, it indicates a significantly above-expectation credit environment for the next 60 trading days, with a score of 1. Conversely, if less than -1.5 standard deviations, the score is -1; Current View: This week, the credit strength factor score is -1[20][22] - Factor Name: Growth Direction Factor; Factor Construction Idea: This factor is based on PMI data to measure economic growth direction; Factor Construction Process: The factor is calculated using the 12-month average of PMI values and their year-over-year change. If the factor is rising compared to three months ago, it is bullish, with a score of 1. Conversely, if falling, the score is -1; Current View: This week, the growth direction factor is identified as an upward trend, signaling a bullish outlook, with a score of 1[22][24] - Factor Name: Growth Strength Factor; Factor Construction Idea: This factor captures whether economic growth indicators significantly exceed or fall short of expectations; Factor Construction Process: The factor is calculated as (PMI - median forecast) / forecast standard deviation. If the factor is greater than 1.5 standard deviations, it indicates a significantly above-expectation growth environment for the next 60 trading days, with a score of 1. Conversely, if less than -1.5 standard deviations, the score is -1; Current View: This week, the growth strength factor score is -1, signaling a bearish outlook[25][26] - Factor Name: Inflation Direction Factor; Factor Construction Idea: This factor measures the current inflation level's impact on monetary policy; Factor Construction Process: The factor is calculated as 0.5 × smoothed CPI year-over-year value + 0.5 × raw PPI year-over-year value. If the factor is lower compared to three months ago, it indicates a downward inflation environment, with a score of 1. Conversely, if higher, the score is -1; Current View: This week, the inflation direction factor is identified as an upward trend, signaling a bearish outlook, with a score of -1[27][28] - Factor Name: Inflation Strength Factor; Factor Construction Idea: This factor captures whether inflation indicators significantly exceed or fall short of expectations; Factor Construction Process: The factor is calculated as the average of CPI and PPI forecast deviations, where forecast deviation = (reported value - median forecast) / forecast standard deviation. If the factor is less than -1.5, it indicates a significantly below-expectation inflation environment for the next 60 trading days, with a score of 1. Conversely, if greater than 1.5 standard deviations, the score is -1; Current View: This week, the inflation strength factor score is -1, signaling a bearish outlook[29][33] - Factor Name: Shiller ERP; Factor Construction Idea: This factor adjusts for economic cycle fluctuations in corporate earnings to assess current market valuation levels; Factor Construction Process: The factor is calculated as Shiller ERP = 1 / Shiller PE - 10-year government bond yield, with the past 6 years' z-score used as the score; Current View: This week, the Shiller ERP has risen, with the score increasing to 0.06[30][31] - Factor Name: PB; Factor Construction Idea: This factor adjusts the PB indicator similarly to ERP; Factor Construction Process: The factor is calculated as PB × (-1) and z-scored over the past 6 years, standardized to ±1 after 1.5 standard deviation truncation; Current View: This week, the PB has declined, with the score rising to -0.38[34][35] - Factor Name: AIAE; Factor Construction Idea: This factor reflects the overall market risk preference based on the aggregate investor allocation to equities; Factor Construction Process: The factor is calculated as AIAE = total market cap of CSI All Share Index / (total market cap of CSI All Share Index + total debt of the real economy), with the past 6 years' z-score used as the score; Current View: This week, the AIAE has declined, with the score rising to -0.72[36][37] - Factor Name: Margin Trading Increment; Factor Construction Idea: This factor measures market sentiment based on the source of leveraged funds; Factor Construction Process: The factor is calculated as the difference between the 120-day average increment and the 240-day average increment of margin trading balance. If the 120-day average increment is greater than the 240-day average increment, it is bullish, with a score of 1. Conversely, if less, the score is -1; Current View: This week, the short-term increment of margin trading is greater than the long-term increment, signaling a bullish outlook, with a score of 1[38][39] - Factor Name: Trading Volume Trend; Factor Construction Idea: This factor measures market activity and sentiment based on trading volume; Factor Construction Process: The factor is calculated as the moving average distance of log trading volume = ma120 / ma240 - 1. If the maximum of the moving average distance over 10, 30, and 60 days is positive, it is bullish, with a score of 1. Conversely, if the minimum is negative, the score is -1; Current View: This week, the trading volume trend signals a bullish outlook, with a score of 1[41][42] - Factor Name: China Sovereign CDS Spread; Factor Construction Idea: This factor represents the pricing level of China's economic and sovereign credit risk by overseas investors; Factor Construction Process: The factor is calculated as the 20-day difference of the smoothed CDS spread. If the difference is less than 0, it indicates a bullish outlook, with a score of 1. Conversely, if greater than 0, the score is -1; Current View: This week, the 20-day difference of the CDS spread is greater than 0, signaling a bearish outlook, with a score of -1[45][46] - Factor Name: Overseas Risk Aversion Index; Factor Construction Idea: This factor captures overseas market risk preference based on the Citi RAI Index; Factor Construction Process: The factor is calculated as the 20-day difference of the smoothed risk aversion index. If the difference is less than 0, it indicates a bullish outlook, with a score of 1. Conversely, if greater than 0, the score is -1; Current View: This week, the 20-day difference of the risk aversion index is less than 0, signaling a bullish outlook, with a score of 1[47][48] - Factor Name: Price Trend; Factor Construction Idea: This factor measures the market trend and strength based on moving average distance; Factor Construction Process: The factor is calculated as the moving average distance = ma120 / ma240 - 1. If the distance is greater than 0, the trend direction score is 1, otherwise -1. If the maximum of the distance over

1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core View of the Report - The financing situation shows a slow - down pressure, while the supply of funds increases, and the bond market is expected to gradually recover. The positive stance of the Central Economic Work Conference on macro - policies helps ease market adjustment pressure. The future interest rate trend depends on whether fiscal policies can drive the recovery of social financing growth. If the fiscal strength is limited and the social financing growth rate continues to decline, the interest rate will fall. The slowdown in real - estate sales leads to more residents' savings flowing into fixed - income assets, which is beneficial for the bond market [5][20]. 3. Summary by Related Content Credit Situation - In November, the loan growth rate continued to slow down, with obvious bill - padding characteristics. New credit was 39 billion yuan, 19 billion yuan less than the same period last year, and the new credit scale has been lower than the same period last year for 5 consecutive months. Corporate credit increased by 61 billion yuan, mainly due to the increase in short - term loans. Corporate medium - and long - term loans increased by 17 billion yuan, 4 billion yuan less than the same period last year, while bill financing increased by 33.42 billion yuan, 21.19 billion yuan more than the same period last year. Resident loans decreased by 20.63 billion yuan, 47.63 billion yuan more than the same period last year, which is consistent with the slowdown in real - estate sales [1][8]. Social Financing Situation - In November, new social financing was 2.49 trillion yuan, 159.7 billion yuan more than the same period last year, and the year - on - year growth rate of social financing stock was 8.5%, the same as last month. Corporate bonds contributed significantly to the year - on - year increase in social financing, with a net financing of 41.69 billion yuan, 17.88 billion yuan more than the same period last year. Government bond issuance was stable, with a new scale of 1.2041 trillion yuan, a slight year - on - year decrease of 104.8 billion yuan under a high base [2][10]. - Looking ahead, the social financing growth rate may face pressure. The increase in social financing growth rate in the first half of this year was mainly driven by the year - on - year increase in government bonds. However, the fiscal increment scale next year may not reach this year's level. It is expected that the social financing growth rate may slow down from the current 8.5% to about 7.5% by June next year [3][11]. M1 and M2 Situation - In November, the year - on - year growth rate of M2 was 8.0%, 0.2 percentage points lower than last month, which was consistent with the slowdown in deposit growth. The year - on - year growth rate of M1 also declined, dropping from 6.2% to 4.9%, and its two - year compound growth rate was stable at about 2%, indicating that the fluctuations were mainly due to the base effect [3][13]. Deposit Situation - In November, new deposits were 1.4 trillion yuan, 760 billion yuan less than the same period last year. Fiscal deposits decreased by 5 billion yuan, 19 billion yuan more than the same period last year. Resident deposits increased by 67 billion yuan, 12 billion yuan less than the same period last year, and corporate deposits increased by 64.53 billion yuan, 9.47 billion yuan less than the same period last year. Non - bank deposits increased by 8 billion yuan, 10 billion yuan less than the same period last year. The slowdown in deposit growth may be due to the central bank's increased capital injection [4][15].

Investment Rating - The report maintains an "Overweight" rating for the industry, indicating a positive outlook for investment opportunities [6]. Core Insights - The global top AI models are in a phase of rapid iteration, with continuous advancements in technology and capabilities [1]. - Google's Gemini 3 Pro excels in multimodal understanding and long-term planning, showcasing superior performance in various data types [1][13]. - OpenAI's GPT-5.2 is designed for professional knowledge work, demonstrating significant improvements in complex document handling and project management [1][14]. - The DeepSeek V3.2 series from domestic developers shows innovation through sparse attention mechanisms and extensive post-training, although it acknowledges limitations in pre-training [1][16][19]. - The transition from NVIDIA's Hopper architecture to Blackwell represents a generational leap in AI computing power, enhancing performance and efficiency [2][20]. - ByteDance's Doubao mobile assistant marks a significant breakthrough in user interaction, initiating a new era of edge-side agents [4][26]. Summary by Sections AI Model Development - The report highlights the ongoing evolution of AI models, with significant advancements in multimodal capabilities and planning skills, particularly with models like Gemini 3 Pro and GPT-5.2 [1][14][16]. - DeepSeek V3.2's innovations include sparse attention mechanisms and aggressive post-training strategies, which enhance its performance in reasoning tasks [17][19]. Computing Power Transition - The shift to Blackwell architecture is characterized by substantial improvements in computational performance across various precision levels, memory capacity, and interconnect bandwidth [2][21][23]. - Blackwell's enhancements allow for larger batch sizes in training, improving gradient stability and convergence quality, which are crucial for developing more complex models [3][24][25]. User Interaction Innovations - The Doubao mobile assistant integrates advanced AI capabilities into mobile operating systems, allowing users to perform tasks with simple voice commands, thus transforming mobile interaction paradigms [4][26][28]. - Despite initial resistance from certain applications, the assistant's potential to streamline user interactions signifies a major advancement in AI application deployment [4][27][28]. Investment Focus Areas - The report suggests focusing on companies involved in computing power, such as Cambrian, Haiguang Information, and others, as well as those developing AI agents like ByteDance and Google [5][29].

Investment Rating - The report maintains an "Overweight" rating for the power equipment sector [5] Core Insights - The establishment of a polysilicon capacity integration acquisition platform is seen as a key measure to address the "involution" competition in the photovoltaic industry, aiming to enhance market efficiency through a dual-track model of "debt acquisition + flexible capacity utilization" [1][14] - The report highlights three main investment directions: 1) Opportunities for price increases in the supply chain under supply-side reforms, focusing on companies like Tongwei Co., Xiexin Technology, Longi Green Energy, and others; 2) Long-term growth opportunities driven by new technologies, with a focus on Maiwei Co., Aiko Solar, and others; 3) Industrialization opportunities from perovskite GW-level layouts, focusing on companies like Jinjing Technology and others [1][15] Summary by Sections 1. New Energy Generation 1.1 Photovoltaics - The polysilicon capacity integration acquisition platform has officially launched, aimed at resolving severe competition within the industry [1][14] - Longi Green Energy has announced an employee stock ownership plan, indicating expectations for industry recovery by 2026 [15] 1.2 Wind Power & Grid - The Zhejiang UHV AC ring network project has been approved, with a total investment of 29.3 billion yuan, marking it as the largest UHV AC project in China [2][17] - Goldwind Technology won the "China IDC Industry Green Solution Award," showcasing the integration of green power solutions in data centers [2][16] 1.3 Hydrogen & Energy Storage - A milestone was reached with the delivery of 500 hydrogen fuel trucks, marking significant progress in the hydrogen corridor construction in Northwest China [3][19] - The report suggests focusing on high-growth energy storage companies, with average bidding prices for energy storage systems ranging from 0.5397 to 0.5854 yuan/Wh [3][20][28] 2. New Energy Vehicles - Samsung SDI signed a nearly 10 billion yuan order for lithium iron phosphate energy storage batteries, indicating a shift in production lines to meet local demand in the U.S. [4][29] - The report recommends focusing on leading battery manufacturers such as CATL and others, as well as material and equipment manufacturers [30]

Investment Rating - The investment rating for the steel industry is "Buy" for several key companies including Hualing Steel, Nanjing Steel, Baosteel, and New Steel [8]. Core Insights - The market remains in a state of fluctuation, with non-ferrous metals outperforming ferrous metals. The focus is on the financial attributes of metals, particularly gold, silver, and copper [2]. - The Federal Reserve has lowered interest rates by 25 basis points to a range of 3.50%-3.75%, marking the third consecutive rate cut this year. This is expected to influence domestic policies towards a more proactive fiscal stance [2]. - The steel industry is expected to see a shift towards structural adjustments, with a focus on optimizing consumption patterns and enhancing service consumption [2]. - The report highlights a significant recovery in the valuation of the steel sector, moving from absolute undervaluation to a moderately low position, indicating potential for absolute returns [2]. Supply and Demand Analysis - Daily molten iron production has decreased by 32,000 tons to 2.291 million tons, with steel production continuing to decline, particularly in rebar [14]. - Total inventory of five major steel products has decreased by 3.8% week-on-week, while steel mill inventories have slightly increased by 0.9% [27]. - Apparent consumption of five major steel products has weakened, with a week-on-week decline of 2.8% [53]. - The average weekly transaction volume for construction steel has decreased by 0.8% [43]. Price and Profitability - The comprehensive steel price index has weakened, with a week-on-week decline of 1.1% [72]. - The current spot price for rebar in Beijing is 3,110 CNY/ton, down 2.2% week-on-week [72]. - The profit margins for long-process rebar and hot-rolled coils are negative, indicating a challenging profitability environment [74]. Industry News - The introduction of export license management for certain steel products is seen as a significant step towards promoting high-quality development in the steel industry [96]. - The Ministry of Industry and Information Technology has released a draft for the implementation of capacity replacement in the steel industry, which is expected to enhance supply-side adjustments [15].

证券研究报告 | 固定收益 gszqdatemark 2025 12 13 年 月 日 固定收益定期 资金平稳，存单政府债均显著净偿还——流动性和机构行为跟踪 资金整体平稳，价格小幅波动。本周资金价格小幅下降，本周 R001 收于 1.35%（前值 1.37%），DR001 收于 1.27%（前值 1.30%）。R007 收于 1.51%前值 1.50%），DR007 收于 1.47%前值 1.44%）。DR007 与 7 天 OMO 利差收于 6.91bp。6M 国股银票转贴利率收于 0.90%前值 0.81%）。 央行公开市场净投放资金，MLF 持续超额续作。本周央行逆回购投放 6685 亿元，逆回购到期 6638 亿元，合计净投放 47 亿元。此外，下周将开展 6000 亿元 MLF 操作，净投放 2000 亿元，为连续七个月加量续做。 本周重要会议落地，国债收益率先下后上，市场情绪仍不稳定。本周债市 收益率先下后上，政治局会议、中央经济工作会议相继落地，货币政策转 向的担忧解除，利率震荡修复，但中央经济工作会议公告隔日，止盈情绪 发酵，长端回吐值一日涨幅，债市情绪仍偏谨慎。整体看，本周 1 年国债 收 ...

Group 1: Credit and Financing Overview - In November 2025, new RMB loans amounted to 390 billion, significantly lower than the expected 504.3 billion and the previous value of 220 billion, indicating a decrease of 190 billion year-on-year[1][3] - New social financing (社融) reached 2.49 trillion, exceeding expectations and seasonal trends, with a year-on-year increase of 159.7 billion[2][9] - The growth rate of outstanding social financing remained stable at 8.5%, unchanged from the previous month[2][9] Group 2: Structural Insights - The household sector has been reducing leverage for two consecutive months, with both short-term and medium-to-long-term loans showing a year-on-year decline, reflecting weak consumption and real estate performance[3][7] - Corporate short-term loans increased by 110 billion year-on-year, while medium-to-long-term loans continued to decline, indicating ongoing pressure on corporate cash flow[8][9] - Government bond issuance decreased by 1.2 trillion year-on-year, but the decline has narrowed, suggesting some improvement in local government debt management[9] Group 3: Future Outlook and Policy Directions - The policy direction for 2026 is set to be proactive and expansionary, with expectations for potential interest rate cuts and reserve requirement ratio reductions in the first quarter[4][5] - The central bank is expected to maintain a stance of "appropriate easing," utilizing various policy tools flexibly to support economic stability[4][5] - Key areas of focus include the impact of cross-year liquidity, the Federal Reserve's actions, and the effectiveness of short-term policy measures in the fourth quarter[5][6]

Group 1 - The A-share market experienced a significant upward trend after hitting a low in April 2025, driven by improved domestic fundamentals and low interest rates, which attracted incremental capital into the market [3][8][17] - The narrative shift towards AI development and geopolitical factors, particularly the US-China relations, played a crucial role in market dynamics, leading to increased investments in technology and resource sectors [3][8][17] - The report anticipates that while valuation may continue to drive the market in 2026, the intensity of this drive may weaken, with uncertainties surrounding macroeconomic visibility and policy impacts [3][21][22] Group 2 - The report projects a modest increase in profit-driven contributions to investment returns, with an expected growth rate of 7-9% for non-financial A-share earnings in 2026, primarily influenced by base effects [3][21][18] - Key sectors to focus on include global technology cycles, inventory cycles, and domestic consumption cycles, which are expected to show upward trends [3][21][22] - The investment strategy for 2026 suggests maintaining an 80% neutral position, with a focus on AI technology and safe investments, while also considering cyclical opportunities and flexible trading positions [3][6][21]

Group 1: Industry Overview - The overall economic environment is expected to remain stable in 2026, supported by policies aimed at counter-cyclical and cross-cyclical adjustments, with a projected growth rate of fixed asset investment (FAI) at 3% for the year [1][12][17] - Infrastructure investment is anticipated to grow by approximately 5% in 2026, driven by key projects and policy support, while real estate investment is expected to decline by 10% after a significant drop in 2025 [1][17][25] - Manufacturing investment is projected to recover slightly, with a growth rate of 6% in 2026, benefiting from domestic demand and supportive policies [1][18] Group 2: Overseas Expansion - There is a strong demand for overseas investment, particularly in regions like Southeast Asia, Africa, and the Middle East, which are experiencing rapid economic growth and urbanization [2][4] - Chinese engineering firms have competitive advantages such as shorter construction periods, higher efficiency, and lower costs, positioning them well for overseas projects [2][4] - The share of overseas income for leading companies is expected to increase, driving improvements in profitability and business models [2][4] Group 3: Regional Opportunities - The "Five Five Five" strategy is expected to create abundant investment opportunities in the western regions of China, particularly in Sichuan and Xinjiang, which are set to benefit from national strategic support [2][4][3] - Sichuan is identified as a core area for national strategic development, with significant investments anticipated in transportation infrastructure, manufacturing, and technology [2][4][3] - Xinjiang's development is crucial for national energy security and unity, with expected increases in investment in infrastructure and coal chemical industries [2][4][3] Group 4: Cleanroom Investment - The demand for cleanroom facilities is projected to grow due to the increasing need for computing power driven by AI applications, with global semiconductor cleanroom investment expected to reach approximately 168 billion yuan in 2025 [3][4] - The semiconductor industry is forecasted to see a capital expenditure of around 160 billion USD in 2025, reflecting a 3% year-on-year increase [3][4] - Leading companies in the cleanroom sector are expected to maintain high levels of capital expenditure, driven by the demand for AI and data center infrastructure [3][4] Group 5: Investment Recommendations - The report recommends focusing on companies with strong overseas expansion capabilities, such as China Chemical, Precision Steel Structure, Jianghe Group, China National Materials, and China Steel International [4][8] - In the context of regional development, companies like Sichuan Road and Bridge, Xinjiang Communications Construction, and China Chemical are highlighted as key players [4][8] - For cleanroom investments, leading firms such as Yaxin Integration, Shenghui Integration, and Bocheng Co. are recommended for their growth potential [4][8]