Market Performance - The S&P 500 decreased by 0.4% this week, while the Nasdaq fell by 0.7%[1] - Small-cap value (Russell 2000 Value) outperformed with a gain of 2.2%, followed by small-cap growth (Russell 2000 Growth) at 1.9%[1] - Among 10 sectors, 6 sectors saw gains, with Food & Staples Retailing up 4.6% and Capital Goods up 4.4%[1] Fund Flows - Estimated fund flow for S&P 500 components was -$1.7 billion this week, down from +$130.2 million last week[2] - Semiconductor products and equipment saw a significant inflow of $37.6 million, while Software & Services experienced an outflow of $32.7 million[2] Earnings Forecast - The 12-month forward EPS estimate for S&P 500 components was revised up by 0.3% this week, consistent with last week[3] - The automotive sector led with an EPS increase of 1.3%, while the energy sector saw a decrease of 2.1%[3] Risk Factors - Key risks include uncertainties in economic fundamentals, international political situations, U.S. fiscal policies, and Federal Reserve monetary policies[3]

Market Overview - The Hang Seng Index increased by 2.3% this week, while the Hang Seng Composite Index rose by 2.6%. Large-cap stocks outperformed small-cap and mid-cap stocks, with the Hang Seng Large Cap Index up by 2.8% and the Hang Seng Mid Cap Index only increasing by 1.0% [1] - The internet sector led the market rally, with the Hang Seng Internet Index rising by 3.7%. Overall, 22 industries saw gains, while 7 experienced declines, with notable increases in the comprehensive sector (+16.3%) and retail trade (+8.8%) [1] Valuation Levels - The valuation of the Hang Seng Index increased by 2.3% to 11.9x, with the Hang Seng Composite Index also at 11.9x after a 2.0% rise. The Hang Seng Internet Index saw a significant increase of 4.6% to 18.6x [2] - Among various strategies, the ROE defensive strategy's valuation rose by 2.5% to 9.0x, while the ROE offensive strategy decreased by 1.2% to 13.9x. Overall, 22 industries experienced valuation increases, with retail trade (+10.7%) and computers (+6.3%) leading the way [2] Earnings Expectations - The earnings per share (EPS) for the Hang Seng Index increased by 0.3% week-on-week, while the Hang Seng Composite Index saw a 0.4% rise. The Hang Seng High Dividend Index's EPS was revised up by 2.2%, contrasting with a slight decrease of 0.2% for the Hang Seng Internet Index [3] - A total of 15 industries had upward revisions in EPS, with the comprehensive sector seeing a notable increase of 13.7%. Conversely, 12 industries had downward revisions, with the construction materials sector experiencing a significant decrease of 4.6% [3]

Monetary Policy - The central bank has lowered the interest rates of various structural monetary policy tools by 25 basis points to 1.25%, below the short-term policy rate of 1.4%[1] - The central bank indicated that there is still room for further rate cuts in 2026, but these are likely to be used as a reserve tool rather than a routine operation[1][11] - Current monetary policy focuses on structural rate cuts rather than comprehensive rate cuts, reflecting internal constraints such as low net interest margins for commercial banks[1][11] Economic Indicators - Fixed asset investment has decreased by 2.6% year-on-year[3] - Retail sales have increased by 1.3% year-on-year[3] - Exports have risen by 6.6% year-on-year[3] Fiscal Policy - Fiscal spending is expected to increase in Q1 2026, supported by a significant carryover of surplus funds from 2025[2][12] - The combination of structural monetary easing and fiscal policy aims to effectively expand domestic demand and solidify economic recovery[12] Market Trends - Production remains strong, with high demand in sectors like machinery and textiles, while real estate transactions continue to decline[13][14] - Port cargo throughput has increased by 4.82% year-on-year, indicating robust foreign trade momentum[22] Risks - There are uncertainties in overseas markets that could impact economic stability[2][51]

Core Conclusions - Since mid-December last year, broad-based ETFs, flexible foreign capital, and leveraged funds have successively propelled the spring market rally [1] - Currently, there is net redemption in ETFs, a slowdown in the inflow of flexible foreign capital, and the inflow rate of leveraged funds has been too fast, which may put pressure on the short-term stock market liquidity [2] - The spring market rally is not over, and short-term fluctuations may present layout opportunities, with a balanced allocation structure, focusing on technology applications and upstream cycles, while paying attention to real estate and other traditional assets [1][3] Market Liquidity Changes - Since December 17, 2025, the A-share broad index has continued to rise, with the spring market gradually unfolding. The micro-funding environment has seen broad-based ETFs, flexible foreign capital, and leveraged funds play a supportive role [12] - In December, broad-based ETFs saw significant inflows, with a total net inflow exceeding 100 billion yuan, significantly higher than the -14.2 billion yuan in November. The ETF linked to the CSI A500 index contributed the majority of the subscription scale [12] - The strengthening of the RMB has catalyzed the inflow of flexible foreign capital into A-shares, with an estimated net inflow of at least 13.5 billion yuan in December, despite overall foreign capital being net outflow [12] Recent Changes in Micro-Funding - Recent weeks have seen new changes in the micro-funding environment, with net redemptions in ETFs and a slowdown in the inflow rate of flexible foreign capital. As of mid-January, broad-based ETFs have seen a cumulative net redemption of about 200 billion yuan [22] - The inflow rate of short-term leveraged funds has been too fast, with the financing balance exceeding 2.7 trillion yuan, creating historical highs. The average daily net buying amount since January 15 has reached 19.7 billion yuan, significantly higher than the 2.9 billion yuan in December [13][23] Spring Market Outlook - The current spring market rally is characterized by a significant upward trend rather than a minor rebound, with further potential for development. The market sentiment has not yet reached its peak, and the current policy environment remains accommodative [33] - The AI wave continues to drive technology growth as the main industry line for this bull market, with recommendations to focus on sectors where AI applications are being implemented [36] - There are also opportunities in value sectors such as undervalued real estate, non-bank financials, traditional consumer sectors benefiting from domestic demand policies, and upstream resource products [40]

Group 1 - The core conclusion indicates that there may be a slight net outflow of northbound funds in the recent week, while flexible foreign capital might see a small net inflow [1] - In the Hong Kong stock market, stable foreign capital experienced an outflow of 1 million HKD, while flexible foreign capital saw an inflow of 7.9 billion HKD, and the Hong Kong Stock Connect recorded an inflow of 15.5 billion HKD [1][2] - In the Asia-Pacific market, foreign capital flowed into Japan during the week, while there was an outflow from India in December [2][17] Group 2 - In the A-share market, the estimated net outflow of northbound funds was 4.3 billion CNY during the week of January 12-16, 2026, compared to a net inflow of 9.6 billion CNY in the previous week [10] - The top active stocks in the northbound trading during the week included Ningde Times with a total transaction amount of 21.9 billion CNY, accounting for 17% of the stock's weekly trading amount [10] - In the Hong Kong stock market, a total of 24 billion HKD flowed into the market, with significant inflows into ETFs, non-ferrous metals, and semiconductors [12] Group 3 - In the US market, global mutual fund inflows into the US equity market amounted to 9.2 billion USD in November, an increase from 3.8 billion USD in the previous month [19] - In the European market, mutual fund inflows in November included 0.55 billion USD in the UK, 1.17 billion USD in Germany, and 1.4 billion USD in France, contrasting with outflows in the previous month [21]

Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Selection Portfolio - **Model Construction Idea**: The model is based on a dual-layer selection process combining fundamental and technical analysis to identify outperforming stocks from an analyst-recommended stock pool[14][15] - **Model Construction Process**: 1. **Analyst Recommendation Pool**: Constructed using the following events: - Analyst upward earnings revisions - Analyst initial coverage - Analyst report titles indicating unexpected positive events[15] 2. **Dual-Layer Selection**: - **Fundamental Analysis**: Stocks with strong fundamental support are selected - **Technical Analysis**: Stocks with technical resonance are chosen 3. **Backtesting**: - Backtesting period: 2010-01-01 to 2025-12-31 - Full-investment strategy considering transaction costs[15] - **Formula**: Not explicitly provided in the report - **Model Evaluation**: The model demonstrates strong performance with significant annualized returns and excess returns over the Hang Seng Index[15] 2. Model Name: Stable New High Stock Screening - **Model Construction Idea**: The model leverages momentum and trend-following strategies, focusing on stocks that have recently reached 250-day highs and exhibit stable price paths[20][22] - **Model Construction Process**: 1. **250-Day High Distance Calculation**: - Formula: $ 250 \text{ Day High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ - $\text{Close}_{t}$: Latest closing price - $\text{ts\_max(Close, 250)}$: Maximum closing price over the past 250 trading days - If the latest closing price reaches a new high, the distance is 0; otherwise, it is a positive value indicating the fallback percentage[22] 2. **Screening Criteria**: - Stocks must meet the following conditions: - Analyst attention: At least 5 "Buy" or "Overweight" ratings in the past 6 months - Relative strength: Top 20% in 250-day price change within the sample pool - Price stability: Evaluated using metrics like price path smoothness and 250-day high distance averages over the past 120 days - Trend continuation: Top 50 stocks based on the 5-day average of 250-day high distance[23] - **Model Evaluation**: The model effectively identifies stocks with strong momentum and stable trends, aligning with established momentum theories[20][22] --- Model Backtesting Results 1. Hong Kong Stock Selection Portfolio - **Annualized Return**: 19.08% - **Excess Return over Hang Seng Index**: 18.06% - **Maximum Drawdown**: 23.73% - **Information Ratio (IR)**: 1.19 - **Tracking Error**: 14.60% - **Return-to-Drawdown Ratio**: 0.76[19] 2. Stable New High Stock Screening - **Sector Distribution**: - Cyclical: 13 stocks - Technology: 10 stocks - Financials: 5 stocks - Manufacturing: 4 stocks - Consumer: 4 stocks[22][23] - **Example Stocks**: - **China Eastern Airlines**: 250-day high distance: 6.6%, 250-day return: 116.6% - **Baidu Group-SW**: 250-day high distance: 0.4%, 250-day return: 87.4% - **China Gold International**: 250-day high distance: 0.0%, 250-day return: 304.4%[28] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day High Distance - **Factor Construction Idea**: Measures the relative distance of the latest closing price from the 250-day high to capture momentum and trend-following signals[22] - **Factor Construction Process**: - Formula: $ 250 \text{ Day High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ - $\text{Close}_{t}$: Latest closing price - $\text{ts\_max(Close, 250)}$: Maximum closing price over the past 250 trading days - Interpretation: - A value of 0 indicates the stock is at its 250-day high - Positive values indicate the percentage fallback from the high[22] - **Factor Evaluation**: The factor effectively captures momentum and is supported by academic research and practical applications in trend-following strategies[20][22] --- Factor Backtesting Results 1. 250-Day High Distance Factor - **Example Stocks**: - **China Eastern Airlines**: 250-day high distance: 6.6%, 250-day return: 116.6% - **Baidu Group-SW**: 250-day high distance: 0.4%, 250-day return: 87.4% - **China Gold International**: 250-day high distance: 0.0%, 250-day return: 304.4%[28]

Core Insights - The report highlights the performance of various active quantitative strategies, indicating that the "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 2.41% this week and 7.39% year-to-date, outperforming the mixed equity fund index by 0.89% and 1.01% respectively [1][22][15] - The "Super Expected Selection Portfolio" recorded an absolute return of 3.13% this week and 8.42% year-to-date, with a relative outperformance of 1.61% and 2.04% against the mixed equity fund index [1][32][15] - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 1.40% this week and 6.87% year-to-date, underperforming the mixed equity fund index by 0.12% but outperforming it by 0.49% year-to-date [1][40][15] - The "Growth Steady Portfolio" achieved an absolute return of 2.83% this week and 8.98% year-to-date, with a relative outperformance of 1.31% and 2.60% against the mixed equity fund index [1][48][15] Excellent Fund Performance Enhancement Portfolio - This portfolio aims to benchmark against the median return of active equity funds, utilizing a quantitative approach to enhance performance based on the holdings of top-performing funds [3][16] - The portfolio has shown a year-to-date ranking in the 35.10 percentile among active equity funds, indicating a strong competitive position [22][18] Super Expected Selection Portfolio - The strategy involves selecting stocks based on exceeding expectations and analyst upgrades, focusing on both fundamental and technical criteria to build a robust portfolio [4][59] - The portfolio has consistently ranked in the 26.74 percentile among active equity funds year-to-date, reflecting its effectiveness in stock selection [32][27] Brokerage Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using a selection of stocks identified by brokerage firms, aiming to optimize performance while maintaining alignment with the brokerage stock pool [5][64] - It has achieved a year-to-date ranking in the 40.34 percentile among active equity funds, demonstrating its potential for stable returns [40][35] Growth Steady Portfolio - The strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those closer to their earnings announcement dates to capture potential excess returns [6][69] - The portfolio has achieved a year-to-date ranking in the 23.27 percentile among active equity funds, indicating a solid performance relative to peers [48][46]

证券研究报告 | 2026年01月17日 金融工程日报 A 股高开低走，AI 应用题材全线回落、存储器概念股爆发 核心观点 金融工程日报 市场表现：20260116 规模指数中中证 500 指数表现较好，板块指数中科创 100 指数表现较好，风格指数中中证 500 成长指数表现较好。电子、汽车、 机械、家电、电新行业表现较好，传媒、综合金融、消费者服务、计算机、 石油石化行业表现较差。先进封装、半导体设备、HBM、存储器、磁电存储 等概念表现较好，虚拟人、秘塔 AI 搜索、量子材料、中文语料库、小红书 平台等概念表现较差。 市场情绪：20260116 收盘时有 66 只股票涨停，有 61 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-0.35%，昨日 跌停股票今日收盘收益为-6.30%。今日封板率 56%，较前日下降 14%，连 板率 12%，较前日下降 3%，连板率创近一个月新低。 市场资金流向：截至 20260115 两融余额为 27188 亿元，其中融资余额 27012 亿元，融券余额 175 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 10.8 ...

证券研究报告 | 2026年01月17日 多因子选股周报 景气类因子表现出色，四大指增组合本周均跑赢基准 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，标准化预期外盈利、单季超预期幅 度、DELTAROE 等因子表现较好，而股息率、一个月反转、一个月换手等 因子表现较差。 以中证 500 指数为选股空间。最近一周，单季营收同比增速、特异度、预期 净利润环比等因子表现较好，而三个月换手、一个月换手、三个月波动等因 子表现较差。 以中证 1000 指数为选股空间。最近一周，非流动性冲击、一个月换手、三 个月换手等因子表现较好，而单季营利同比增速、SPTTM、BP 等因子表现 较差。 以中证 A500 指数为选股空间。最近一周，3 个月盈利上下调、标准化预期 外收入、特异度等因子表现较好，而非流动性冲击、一个月换手、一个月反 转等因子表现较差。 以公募重仓指数为选股空间。最近一周，一年动量、DELTAROA、3 个月盈 利上下调等因子表现较好，而三个月换手、一个月换手、股息率等因子表现 较差。 公募基金指数增强产品表现跟踪 目前，公募基金沪深 300 ...

Investment Rating - The investment rating for the company is "Outperform the Market" (maintained) [2][6]. Core Views - The National Grid's planned fixed asset investment of 4 trillion yuan during the "14th Five-Year Plan" period represents a 40% increase compared to the previous plan, marking a historical high. This investment will focus on the construction of a new power system, including smart grid and energy storage, which is expected to benefit the company significantly [3][4][9]. - The company is expected to focus on smart grid and new electrochemical energy storage businesses, which are projected to thrive due to the high demand in these sectors. Profit forecasts for the company from 2025 to 2027 are 260 million, 640 million, and 830 million yuan, respectively, indicating a turnaround from losses and growth rates of +149% and +30% year-on-year [3][9]. Summary by Relevant Sections Investment Overview - The National Grid's investment will primarily target the intelligent transformation of distribution networks and the construction of new energy storage and regulation capabilities [3][9]. - The company is well-positioned to benefit from the high growth potential in the smart grid and energy storage sectors, with a focus on these areas since 2023 [3][9]. Financial Forecasts - The company's profit forecasts for 2025, 2026, and 2027 are 260 million, 640 million, and 830 million yuan, respectively, with corresponding price-to-earnings ratios of 52.1, 20.9, and 16.1 times [3][9]. - The company is expected to achieve a turnaround in profitability, with significant year-on-year growth anticipated [3][9].