金融工程日报 A 股单边下行，AI 应用逆势走强、锂电池产业链全线下挫 核心观点 金融工程日报 证券研究报告 | 2025年11月22日 市场表现：20251121 市场全线下跌，规模指数中上证 50 指数表现较好，板 块指数中上证综指表现较好，风格指数中沪深 300 价值指数表现较好。行业 指数全线下跌，家电、传媒、食品饮料、银行、农林牧渔行业表现较好，综 合、有色金属、基础化工、通信、电子行业表现较差。中船系、水产、小红 书平台、拼多多合作商、短剧游戏等概念表现较好，锂矿、锂电正极、锂电 隔膜、盐湖提锂、锂电电解液等概念表现较差。 市场情绪：20251121 收盘时有 33 只股票涨停，有 107 只股票跌停。昨日涨 停股票今日表现低迷，赚钱效应较弱，高开低走，收盘收益为-0.55%，昨日 跌停股票今日收盘收益为-5.58%。今日封板率 61%，较前日提升 10%，连板 率 24%，较前日下降 0%。 市场资金流向：截至 20251120 两融余额为 24917 亿元，其中融资余额 24744 亿元，融券余额 173 亿元。两融余额占流通市值比重为 2.6%，两融交易占市 场成交额比重为 10.1%。 折 ...

证券研究报告 | 2025年11月22日 优秀基金业绩增强组合： 主动量化策略周报 小盘成长大幅调整，成长稳健组合年内满仓上涨 48.45% 核心观点 金融工程周报 国信金工主动量化策略表现跟踪： 本周，优秀基金业绩增强组合绝对收益-5.06%，相对偏股混合型基金指数超 额收益-0.07%。本年，优秀基金业绩增强组合绝对收益 18.71%，相对偏股 混合型基金指数超额收益-6.33%。今年以来，优秀基金业绩增强组合在主动 股基中排名 59.18%分位点（2053/3469）。 本周，超预期精选组合绝对收益-5.67%，相对偏股混合型基金指数超额收益 -0.68%。本年，超预期精选组合绝对收益 33.39%，相对偏股混合型基金指 数超额收益 8.35%。今年以来，超预期精选组合在主动股基中排名 26.72% 分位点（927/3469）。 本周，券商金股业绩增强组合绝对收益-4.15%，相对偏股混合型基金指数超 额收益 0.85%。本年，券商金股业绩增强组合绝对收益 27.25%，相对偏股 混合型基金指数超额收益 2.21%。今年以来，券商金股业绩增强组合在主动 股基中排名 38.69%分位点（1342/3469 ...

证券研究报告 | 2025年11月22日 本周，券商金股业绩增强组合绝对收益-4.15%，相对偏股混合型基金指数超 额收益 0.85%。本年，券商金股业绩增强组合绝对收益 27.25%，相对偏股 混合型基金指数超额收益 2.21%。今年以来，券商金股业绩增强组合在主动 股基中排名 38.69%分位点（1342/3469）。 主动量化策略周报 小盘成长大幅调整，成长稳健组合年内满仓上涨 48.45% 核心观点 金融工程周报 国信金工主动量化策略表现跟踪： 本周，优秀基金业绩增强组合绝对收益-5.06%，相对偏股混合型基金指数超 额收益-0.07%。本年，优秀基金业绩增强组合绝对收益 18.71%，相对偏股 混合型基金指数超额收益-6.33%。今年以来，优秀基金业绩增强组合在主动 股基中排名 59.18%分位点（2053/3469）。 本周，超预期精选组合绝对收益-5.67%，相对偏股混合型基金指数超额收益 -0.68%。本年，超预期精选组合绝对收益 33.39%，相对偏股混合型基金指 数超额收益 8.35%。今年以来，超预期精选组合在主动股基中排名 26.72% 分位点（927/3469）。 本周，成长稳健组合 ...

核心观点 金融工程周报 港股精选组合绩效回顾 本周，港股精选组合绝对收益-7.53%，相对恒生指数超额收益-2.44%。 本年，港股精选组合绝对收益 56.87%，相对恒生指数超额收益 31.15%。 港股市场创新高热点板块跟踪 证券研究报告 | 2025年11月22日 港股投资周报 医药科技板块大跌，港股精选组合年内上涨 56.87% 我们根据分析师关注度、股价相对强弱、股价路径平稳性、创新高连续性等 角度在过去 20 个交易日创出过 250 日新高的股票池中筛选出平稳创新高股 票。 近期，中国东方航空股份等股票平稳创出新高。 按照板块来看，创新高股票数量最多的是周期板块，其次为消费、制造、医 药、大金融和科技板块，具体个股信息可参照正文。 港股市场一周回顾 宽基指数方面，本周港股通 50 指数收益最高，累计收益-4.80%；恒生科技 指数收益最低，累计收益-7.18%。 行业指数方面，本周电讯业行业收益最高，累计收益-1.58%；原材料业行业 收益最低，累计收益-8.65%。 概念板块方面，本周安防监控概念板块收益最高，累计收益 1.43%；钢铁概 念板块收益最低，累计收益-14.53%。 南向资金监控 ...

证券研究报告 | 2025年11月22日 金融工程日报 A 股单边下行，AI 应用逆势走强、锂电池产业链全线下挫 核心观点 金融工程日报 市场表现：20251121 市场全线下跌，规模指数中上证 50 指数表现较好，板 块指数中上证综指表现较好，风格指数中沪深 300 价值指数表现较好。行业 指数全线下跌，家电、传媒、食品饮料、银行、农林牧渔行业表现较好，综 合、有色金属、基础化工、通信、电子行业表现较差。中船系、水产、小红 书平台、拼多多合作商、短剧游戏等概念表现较好，锂矿、锂电正极、锂电 隔膜、盐湖提锂、锂电电解液等概念表现较差。 市场情绪：20251121 收盘时有 33 只股票涨停，有 107 只股票跌停。昨日涨 停股票今日表现低迷，赚钱效应较弱，高开低走，收盘收益为-0.55%，昨日 跌停股票今日收盘收益为-5.58%。今日封板率 61%，较前日提升 10%，连板 率 24%，较前日下降 0%。 市场资金流向：截至 20251120 两融余额为 24917 亿元，其中融资余额 24744 亿元，融券余额 173 亿元。两融余额占流通市值比重为 2.6%，两融交易占市 场成交额比重为 10.1%。 折 ...

证券研究报告 | 2025年11月22日 多因子选股周报 量价因子表现出色，沪深 300 增强组合年内超额 16.74% 核心观点 金融工程周报 国信金工指数增强组合表现跟踪 因子表现监控 以沪深 300 指数为选股空间。最近一周，一个月波动、一个月换手、三个月 波动等因子表现较好，而单季营利同比增速、三个月机构覆盖、一年动量等 因子表现较差。 以中证 500 指数为选股空间。最近一周，三个月机构覆盖、一个月反转、三 个月反转等因子表现较好，而标准化预期外盈利、DELTAROA、DELTAROE 等因子表现较差。 以中证 1000 指数为选股空间。最近一周，一个月换手、三个月机构覆盖、 单季 ROA 等因子表现较好，而单季 SP、预期 PEG、SPTTM 等因子表现 较差。 以中证 A500 指数为选股空间。最近一周，一个月换手、三个月换手、一个 月波动等因子表现较好，而预期净利润环比、单季净利同比增速、预期 PEG 等因子表现较差。 以公募重仓指数为选股空间。最近一周，一个月波动、一个月换手、三个月 换手等因子表现较好，而单季营收同比增速、单季营利同比增速、单季 ROE 等因子表现较差。 公募基金指数增强产 ...

- The report introduces a quantitative model named "250-day new high distance" to track market trends and identify hot spots. The model is based on momentum and trend-following strategies, emphasizing stocks that consistently hit new highs. The calculation formula is: $ 250\text{-day new high distance} = 1 - \frac{Close_{t}}{ts\_max(Close, 250)} $ where $ Close_{t} $ represents the latest closing price, and $ ts\_max(Close, 250) $ is the maximum closing price over the past 250 trading days. If the latest closing price reaches a new high, the distance equals 0; otherwise, it is a positive value indicating the degree of fallback [11][12][13] - The report evaluates the model positively, citing its ability to capture market leaders and trends effectively. It references studies by George (2004), William O'Neil, and Mark Minervini, which highlight the importance of tracking stocks near their 52-week highs for superior returns [11][18] - The report provides backtesting results for the "250-day new high distance" model across major indices as of November 21, 2025. The distances are: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45% [12][13][32] - The report introduces a factor named "Stable New High Stocks" to identify stocks with smooth price paths and sustained momentum. The factor construction involves: - Analyst attention: At least five buy or overweight ratings in the past three months - Relative strength: Top 20% in 250-day price change - Price stability: Ranking top 50% based on metrics like price displacement ratio and smoothness of 250-day new high distance over the past 120 days - Trend continuation: Ranking top 50 stocks based on the average 250-day new high distance over the past five days [24][27][28] - The report evaluates the "Stable New High Stocks" factor positively, citing research by Turan G Bali et al. (2011) and Da et al. (2012), which demonstrate the superior returns of stocks with smooth momentum paths compared to those with jumpy price movements [24][27] - Backtesting results for the "Stable New High Stocks" factor show 15 selected stocks, including Heertai, Sray New Materials, and Zangge Mining. These stocks are distributed across manufacturing and cyclical sectors, with manufacturing focusing on construction and cyclical sectors on non-ferrous metals [28][31][33]

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - **Model Construction Idea**: This model tracks the distance of stock prices or indices from their 250-day high to monitor market trends and identify potential market leaders. It is based on the momentum and trend-following strategy, which has been proven effective in various studies[11][18]. - **Model Construction Process**: The 250-day new high distance is calculated as follows: $ 250 \text{-day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ Where: - $\text{Close}_{t}$ represents the latest closing price - $\text{ts\_max(Close, 250)}$ represents the maximum closing price over the past 250 trading days If the latest closing price reaches a new high, the distance is 0. If the price has fallen from the high, the distance is a positive value, indicating the degree of decline[11]. - **Model Evaluation**: The model effectively identifies market trends and highlights stocks or indices that are leading the market, aligning with the principles of momentum and trend-following strategies[11][18]. 2. Model Name: Stable New High Stock Selection Model - **Model Construction Idea**: This model focuses on selecting stocks that exhibit stable price paths and consistent momentum, as smoother price trajectories are associated with stronger momentum effects[24][27]. - **Model Construction Process**: The selection process involves the following criteria: - **Analyst Attention**: At least 5 buy or overweight ratings in the past 3 months - **Relative Strength**: 250-day price change in the top 20% of the market - **Price Stability**: Stocks are ranked based on: - **Price Path Smoothness**: Ratio of price displacement to the total price path - **Sustainability of New Highs**: Average 250-day new high distance over the past 120 days - **Trend Continuity**: Average 250-day new high distance over the past 5 days The top 50 stocks based on these criteria are selected[24][27]. - **Model Evaluation**: The model emphasizes the importance of smooth price paths and consistent momentum, which are less likely to attract excessive attention and thus yield stronger returns[24][27]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45%[12][13][32] 2. Stable New High Stock Selection Model - **Selected Stocks**: 15 stocks were identified, including Heertai, Sray New Materials, and Zangge Mining. - **Sector Distribution**: - Manufacturing: 5 stocks (e.g., construction industry) - Cyclical: 5 stocks (e.g., non-ferrous metals industry)[28][33] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: This factor measures the relative distance of a stock's price from its 250-day high, serving as an indicator of momentum and trend strength[11]. - **Factor Construction Process**: The formula is: $ 250 \text{-day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ Where: - $\text{Close}_{t}$ is the latest closing price - $\text{ts\_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[11]. - **Factor Evaluation**: The factor effectively captures momentum and trend-following characteristics, making it a reliable indicator for identifying market leaders[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: This factor evaluates the smoothness of a stock's price trajectory, as smoother paths are associated with stronger momentum effects[24]. - **Factor Construction Process**: - Calculate the ratio of price displacement to the total price path over a specified period - Rank stocks based on this ratio and select the top performers[24]. - **Factor Evaluation**: The factor highlights stocks with stable momentum, which are less likely to attract excessive attention and thus yield stronger returns[24]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45%[12][13][32] 2. Price Path Smoothness Factor - **Selected Stocks**: 15 stocks were identified, including Heertai, Sray New Materials, and Zangge Mining. - **Sector Distribution**: - Manufacturing: 5 stocks (e.g., construction industry) - Cyclical: 5 stocks (e.g., non-ferrous metals industry)[28][33]

Core Insights - BNY Mellon's core strategy for expanding its investment research capabilities is centered on precise acquisitions to achieve capability integration and leapfrogging, rather than relying solely on internal development [3] - The group adopts a management philosophy of independent empowerment and collaborative complementarity, forming a distinctive diversified product matrix [3] - BNY Mellon's model provides key insights for Chinese asset management institutions, emphasizing that the extension of capability circles can be achieved through acquisitions while maintaining a balance between independence and integration [3] Group 1: Company Overview - BNY Mellon, formed from the merger of the first U.S. bank and Mellon Financial Corporation in 2007, is the world's largest custodian bank, with over 70% of its revenue derived from fees and commissions from 2020 to 2024 [5][6] - The company's strategic transformation has involved shedding traditional banking operations and focusing on core strengths, marking a significant shift towards a fee-driven financial services model [5] Group 2: Acquisition Strategy - BNY Mellon's asset management capabilities have been built through a series of strategic acquisitions rather than organic growth, leveraging its vast institutional client base to drive demand for asset management products [12] - Key acquisitions include the purchase of Dreyfus in 1994 for cash management expertise, Insight Investment in 2009 for fixed income, and ARX in 2008 to expand into the South American market [12][14] Group 3: Product Matrix and Strategies - BNY Mellon has established a vast product matrix through its asset management subsidiaries, focusing on niche markets and specialized strategies, such as Insight Investment's leadership in fixed income and Newton's tailored equity investment strategies [19][20] - The company offers a comprehensive range of products from active to passive investments, covering traditional equities and bonds to alternative investments [19] Group 4: Research and Investment Capability Development - BNY Mellon's investment research capability development can be divided into two acquisition waves, with the first focusing on foundational asset management capabilities and the second on global expansion and specialization [38] - The company emphasizes differentiated positioning among its subsidiaries, ensuring collaboration rather than overlap in multi-asset strategies [41][42] Group 5: Management Philosophy and Core Competencies - BNY Mellon respects the independence of its acquired asset management subsidiaries while empowering them with resources and distribution channels, optimizing asset management scale based on each subsidiary's expertise [44] - The BNY Investment Institute serves as a central hub for macroeconomic insights and investment strategy support, enhancing the overall research capabilities of the group [44]

Core Insights - The report highlights strong performance in the textile and apparel industry, particularly for Amer Sports, which reported a 26% year-on-year revenue increase for the first three quarters of 2025, reaching $4.465 billion, and a 153% increase in adjusted net profit to $369 million [5][6] - The report also notes the positive outlook for the media and internet sector, with Marble 3D's world model public beta launch and a focus on AI applications [7][8] - In the pharmaceutical sector, Eli Lilly's revenue surged by 52% in Q3 2025, driven by GLP-1 drugs, with Tirzepatide exceeding $10 billion in quarterly revenue [10][11] Textile and Apparel Industry - Amer Sports' Q3 2025 performance showed a 30% revenue increase, with adjusted net profit rising by 161% to $185 million [5][6] - The management has raised its full-year guidance for revenue growth to 23-24%, with an expected EPS of $0.88-$0.92 [6] - Key growth drivers include the Salomon brand, direct-to-consumer (DTC) channels, and strong performance in the Greater China and Asia-Pacific regions [6] Media and Internet Sector - The media industry experienced a decline of 2.31%, underperforming compared to the broader market indices [7] - Marble 3D's public beta launch is expected to enhance opportunities in the sector, with significant advancements in AI technology [8] - The report emphasizes the potential for growth in gaming and IP trends, recommending companies like Giant Network and Kuaishou [8] Pharmaceutical Industry - Eli Lilly's Q3 2025 revenue growth was significantly driven by its GLP-1 drug portfolio, with a notable increase in market coverage due to pricing agreements with the U.S. government [10][11] - Novo Nordisk faced challenges in the competitive landscape for weight loss drugs, leading to multiple downward revisions of its performance guidance [11][12] - The report indicates that 11 out of 16 multinational pharmaceutical companies raised their revenue and profit forecasts for the year, reflecting better-than-expected sales from new products [12]