利率型 ETF 资金净流出 ——债券 ETF 跟踪 分析师：吕品 执业证书编号：S0740525070002 Email：suem@zts.com.cn 证券研究报告/固收事件点评报告 2025 年 12 月 08 日 报告摘要 上周中债新综合指数全周下跌 0.21%；短期纯债、中长期纯债基金分别持平、下跌 0.05%；中证 AAA 科创债指数、上证基准做市公司债指数分别下跌 0.10%、0.10%。 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 分析师：苏恩民 资金流向 相关报告 截至 2025 年 12 月 5 日，债券型 ETF 近一周合计净流入 6.12 亿元，利率型、信用型、 可转债型 ETF 分别净流出 16.47 亿元、净流入 25.29 亿元、净流出 2.69 亿元。具体 拆分来看，信用型 ETF 中，短融、公司债、城投债分别净流出 1.21 亿元、净流入 8.56 亿元、持平，做市信用债净流出 15.21 亿元，科创债净流入 33.13 亿元。截至 2025 年 12 月 5 日，利率型、信用型、可转债 ETF 年内累计净流入分别为 723.04 ...

大行买短，农商接长 ——流动性与机构行为跟踪 证券研究报告/固收定期报告 2025 年 12 月 08 日 分析师：吕品 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 执业证书编号：S0740525070001 Email：suht@zts.com.cn 1、《基金、券商共振抛券》2025-12-01 2、《资金波动，大行融出下行》 2025-11-24 3、《债基久期再回落》2025-11-20 分析师：严伶怡 本周（12.1-12.5）关注要点：本周资金利率下行，大行融出日均环比增加，基金降杠 杆；存单到期减少，存单到期收益率曲线上移；现券成交来看，买盘主力来自农商， 增持 7-10Y 利率债为主，基金延续抛盘，主要卖出 7-10Y 和 20-30Y 利率债并增持短 端信用，大行增持 3Y 以内利率债，保险继续增配 20-30Y 超长利率债。 货币资金面 机构行为跟踪 请务必阅读正文之后的重要声明部分 报告摘要 联系人：苏鸿婷 相关报告 本周（12.1-12.5，下同）共有 15118 亿元逆回购到期。周一至周五央行分别投放逆 回购 1076、1563、793、 ...

Investment Rating - The report maintains an "Overweight" rating for the industry [5] Core Insights - The report highlights the ongoing transformation in cancer treatment, moving from broad-spectrum therapies to precision medicine, with a focus on innovative technologies such as bispecific antibodies, antibody-drug conjugates (ADC), and CAR-T therapies [7][14] - It emphasizes the importance of companies with cutting-edge technology platforms and differentiated research strategies, particularly in the context of blood cancers becoming manageable chronic diseases [11][14] - The report suggests that the recent ESMO Asia and ASH conferences have positively influenced market sentiment, revealing clear directions for future cancer treatments [11][14] Summary by Sections Industry Overview - The pharmaceutical sector is experiencing significant internal differentiation, with some sub-sectors like pharmaceutical commerce and traditional Chinese medicine performing well, while others like medical devices and chemical pharmaceuticals are facing declines [7][11] - The total market capitalization of the industry is approximately 72,066.76 billion [2] Key Investment Directions - Focus on biotech companies with innovative technology platforms, particularly those developing new delivery systems and ADCs targeting specific cancer markers [11][14] - Look for companies implementing differentiated research strategies, especially in rare target areas and combination therapies [11][14] - Recognize the long-term investment value in blood cancers as they transition into manageable chronic conditions, expanding the market for existing and new therapies [11][14] Market Dynamics - The report notes that the pharmaceutical sector's performance has been mixed, with a year-to-date return of 15.86%, slightly lagging behind the broader market [11] - The report identifies key companies to watch, including 康方生物, 药明合联, and others, which are expected to perform well based on their innovative approaches and market positioning [8][11][14]

中泰证券研究所 证券研究报告 信用业务周报 如何看待近期市场轮动加速？ 2025年12月8日 分析师：徐驰 执业证书编号：S0740519080003 分析师：张文宇 执业证书编号：S0740520120003 请务必阅读正文之后的信息披露和重要声明 【市场回顾】 图表：市场表现回顾 数据来源：Wind，中泰证券研究所 2 【市场观察】如何看待上周市场缩量轮动行情 ➢ 一、如何看待上周市场缩量轮动行情 3 ➢ 上周市场交易额进一步下降，交易热点集中在有色金属、科技与非银金融板块，行业轮动明显。 上周A股市场整体呈震荡走势，交易额进一步下降。上周轮动行情主要由市场短期利好事件带动 。有色金属板块在铜、银、锡等资源品价格突破性上涨带动下周度涨幅较大（5.35%）。半导体 与国产算力板块走势也较强，摩尔线程于上周五在科创板上市，上市首日开盘暴涨468%，收盘涨 幅仍超400%，市值一度突破3000亿。其强大的赚钱效应彻底激活了半导体产业链，带动了寒武纪 、海光信息等算力龙头的估值重塑，同时也引爆了光刻机、先进封装等上下游板块。周五金融监 管总局发布利好，下调险资投资相关股票风险因子。这意味着险资（长线资金）入市的资 ...

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 ...

Investment Rating - The industry investment rating is maintained at "Overweight" [4][101]. Core Insights - The report highlights the opening of Li Ning's first outdoor store, indicating a strategic shift towards the light outdoor mass market, focusing on hiking, urban commuting, and suburban camping [6]. - The export chain is showing signs of recovery, particularly for companies like Henglin and Yongyi, with a notable increase in non-wood furniture exports to the U.S. from Vietnam [6]. - The report suggests that the upcoming Olympic cycle and improved management and inventory at Li Ning could lead to a positive turning point for the company [6]. Summary by Relevant Sections Market Performance - The light industry manufacturing index increased by 1.86%, ranking 6th among 28 industries, while the textile and apparel index decreased by 1.6%, ranking 24th [11]. - Sub-sectors within light industry manufacturing showed varied performance, with packaging printing up by 3.96% and home goods up by 0.5% [11]. Export Chain - The report emphasizes the recovery of U.S. orders post-tariff adjustments, predicting a boost in durable goods exports due to stable tariff policies and low downstream inventory levels [6]. - Companies like Henglin and Yongyi are recommended for their low valuations and potential for revenue recovery [6]. Brand Apparel - Li Ning's new outdoor store is seen as a significant step in brand image enhancement, with expectations for improved profitability in the second half of the year [6]. - Other recommended companies include Anta Sports, 361 Degrees, and Bosideng, focusing on functional footwear and apparel [6]. Manufacturing and Supply Chain - The report discusses the potential for investment opportunities in the outbound manufacturing sector, particularly in non-woven fabric and packaging industries [7]. - It highlights the need for attention on companies like Yanjing and Meiyingsen, which are positioned well for overseas expansion [7]. Textile Manufacturing - The report notes a shift in the caprolactam industry towards reducing over-competition, with a recommendation for Taihua New Materials [7]. - Companies like Crystal International and Huayi Group are highlighted for their potential growth due to improved customer structures and production capacity [7]. Home Furnishings - Recommendations include low-valuation leaders in the soft furniture sector such as Xilinmen and Kuka Home, as well as custom furniture companies like Sophia and Oppein [7]. Pet Products - The report suggests monitoring Yuanfei Pet for its growth potential in both OEM and OBM segments, particularly in Southeast Asia [7].

Investment Rating - The report maintains an "Overweight" rating for the industry [3] Core Insights - The wind power equipment sector is experiencing positive fundamentals, with price increases for LFP (Lithium Iron Phosphate) and separators [1] - The report highlights a strong demand for energy storage and the upward trend in lithium battery material prices [5] - The report emphasizes the strategic partnerships and expansions among key players in the lithium battery and energy storage sectors [5] Summary by Sections Lithium Battery Sector - LFP prices have increased by over 3000 yuan per ton, with long-term contracts covering over 1 million tons signed by major companies [12] - The price of lithium battery separators has been raised, with wet separators increasing by 30% [13] - Notable contracts include Nord's agreement to supply over 373,000 tons of copper foil to a major client over three years [14] and Enjie’s acquisition of a company to expand separator production capacity by 4 billion square meters [16] Energy Storage Sector - The National Development and Reform Commission has included energy storage facilities in the 2025 REITs project scope, indicating a growing recognition of energy storage's importance [22] - A significant upgrade project in Henan aims to enhance coal-fired power plants' flexibility and efficiency, with 33 projects totaling 4.8GW planned [23] Power Equipment Sector - Starting in 2026, the proportion of fixed costs recovered through capacity pricing will increase to no less than 50%, up from 30% in previous years, marking a significant shift in the power market [26] Photovoltaic Sector - The report notes a stable price for silicon materials, with the average price for polysilicon remaining at 52 yuan per kilogram [33] - Silicon wafer prices have decreased, with expectations of further reductions due to high inventory levels and weak demand [33] Wind Power Sector - The report indicates ongoing progress in offshore wind projects, with several major projects in China and Europe moving forward [5] - Key companies benefiting from this trend include leading cable manufacturers and turbine producers [5]

【中泰金工】净利润断层策略本年绝对收益 63.03% 证券研究报告/金融工程定期报告 2025 年 12 月 07 日 分析师：吴先兴 执业证书编号：S0740525110003 Email：wuxx02@zts.com.cn 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 1、《【中泰金工】净利润断层策略 本周超额收益 1.40%》2025-11-30 信号》2025-11-23 本年绝对收益 55%》2025-11-23 报告摘要 戴维斯双击策略 净利润断层策略 请务必阅读正文之后的重要声明部分 分析师：王鹏飞 戴维斯双击即指以较低的市盈率买入具有成长潜力的股票，待成长性显现、市盈率相 应提高后卖出，获得乘数效应的收益，即 EPS 和 PE 的"双击"。策略在 2010-2017 年回测期内实现了 26.45%的年化收益，超额基准 21.08%。 策略在 2010-2017 回测期内实现了 26.45%的年化收益，超额基准 21.08%，且在回 测期内的 7 个完整年度里，每个年度的超额收益均超过了 11%，具有非常好的稳定性。 相关报告 今年以来，策略累计绝对 ...

Group 1: Report Industry Investment Rating - The industry rating is not explicitly mentioned in the report regarding the specific investment rating for the bond market [17] Group 2: Core View of the Report - The supply - demand contradiction of ultra - long bonds next year is prominent, and there is a need for the spread to widen. The market is currently trading this trend in advance, and the focus has shifted from short - term factors to long - term supply - demand issues, which is a long - term negative for the market. However, there may be short - term over - selling [3][15] Group 3: Summary by Related Catalogs Bond Market Performance This Week - Ultra - long bonds had a deep decline this week. The 30 - year active bond yield rose from 2.18% last week to 2.28% (up 10BP). The 10 - year bond was relatively stable, with a maximum decline of about 3BP this week and has fluctuated between 1.8% - 1.85% since October. Ultra - long bonds deviated from the stock - bond seesaw, with multiple days of simultaneous decline in stocks and bonds [3][5] New Factors This Week - The Ministry of Finance's positive stance on future fiscal policy has led to market expectations for next year's deficit rate. There are concerns about fund dividends at the end of the year, increasing the pressure on bond fund redemptions. The market's focus is shifting from short - term redemption issues to long - term bond market supply - demand issues, and the supply - demand of ultra - long bonds/local bonds is evolving from point - like to "framework - like" problems, with the spread of ultra - long bonds being re - evaluated [3][5] Demand Side Analysis - **Insurance**: Due to slower liability expansion, asset allocation changes, lower premium income growth (the cumulative year - on - year growth rate of premium income in October 2025 dropped to 7.99%) due to falling predetermined interest rates, more marginal incremental funds flowing to the equity market, and the promotion of dividend - type insurance (with premiums exceeding 700 billion by the end of Q3 2025, up over 10% year - on - year), the demand for ultra - long bonds has significantly weakened. Currently, insurance mainly buys ultra - long bonds from a trading perspective, and local bonds have higher cost - effectiveness than national bonds [3][6] - **Banks**: Constrained by interest rate indicators, banks are difficult to take on a large amount of ultra - long bonds. Due to the large issuance of ultra - long - term government bonds in the past two years, the duration gap of banks' assets and liabilities has been magnified. Under the IRRBB regulatory framework, the interest rate risk of bank books is relatively large. As of the end of 2024, the average economic value sensitivity of state - owned banks (ΔEVE/primary capital) was 12.34%, and some banks' indicators were close to the regulatory attention level of 15%. Banks may mainly buy short - term bonds in secondary bond allocation [3][8] - **Trading Desk (Funds)**: The large redemption pressure of funds and the end of the unilateral bond market have weakened the trading enthusiasm for ultra - long bonds. Since the second half of this year, bond funds have continuously sold ultra - long bonds. When the bull - bond trend ends, a large amount of funds will withdraw from such assets [3][9] Supply Side Analysis - **Policy Tone**: In early December, the Minister of Finance mentioned in a signed article that "beyond - expected" policy measures would be introduced, which may increase the supply of ultra - long bonds [3][13] - **Supply Scale**: If the deficit rate is further raised from this year's 4.0% level, the supply of government bonds may increase by nearly one trillion yuan [3][13] - **Supply Maturity**: Since 2024, the issuance scale of long - term and ultra - long - term government bonds has increased significantly, and the proportion of government bonds with a maturity of over 10 years has risen from 20% in 2021 to 26% in 2025. If this trend continues next year, the supply pressure of ultra - long bonds will increase. However, if the demand for ultra - long - term bonds in the secondary market weakens, it may affect primary issuance, and the maturity structure of local bonds may be adjusted first [3][13]

【中泰金工】量化择时周报：关键时间窗口期，有望延续反弹 证券研究报告/金融工程定期报告 2025 年 12 月 07 日 分析师：吴先兴 执业证书编号：S0740525110003 Email：wuxx02@zts.com.cn 分析师：王鹏飞 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 周超额收益 1.40%》2025-11-30 号》2025-11-23 年绝对收益 55%》2025-11-23 报告摘要 请务必阅读正文之后的重要声明部分 关键时间窗口期，有望延续反弹 前期我们周报（20251123）提示：预计 WIND 全 A 成交金额缩量至 1.6 万亿以下有 望迎来布局机会，缩量信号出现后建议调仓至证券保险以及工业金属的配置机会。周 四成交跌破 1.6 万亿，市场周五出现普涨，最终 WIND 全 A 单周上涨 0.72%。市值维 度上，上周代表小市值股票的中证 1000 上涨 0.11%，中盘股中证 500 上涨 0.94%， 沪深 300 上涨 1.28%，上证 50 上涨 1.09%;上周中信一级行业中，涨幅靠前的行业包 括有色金属、通信，有色金属 ...