证券研究报告 | 2025年12月01日 主动量化策略周报 CANSLIM 行业轮动策略 12 月配置建议： 关注钢铁、银行、建筑、公用事业、电新等行业 核心观点 金融工程周报 本报告对 CANSLIM 行业轮动策略的样本外表现进行跟踪，从多个维度解析 行业景气度情况并最终给出月度行业配置建议，以供投资者参考。 行业轮动因子表现 上月以来（20251103-20251128），超大单资金净流入金额占比和券商金股 行业变动因子表现较好，SUE、PB 和单季度 ROE 增速因子表现较差； 今年以来（20250102-20251128），公募重仓股动量、SUE 和分析师认可 度和因子表现较好，而成交量调节动量、公募基金持仓行业变动和超大单资 金净流入金额占比因子表现较差。 上月组合绩效回顾 上月以来（20251103-20251128），行业轮动组合收益率-1.09%，同期中 信一级行业等权指数收益率-1.16%，组合超额收益率 0.08%。 今年以来（20250102-20251031），行业轮动组合收益率 20.48%，同期中 信一级行业等权指数收益率 20.20%，组合超额收益率 0.28%。 本月组合推荐情 ...

Investment Rating - The investment rating for the company is "Outperform the Market" (maintained) [1][4]. Core Viewpoints - The company is focusing on core business growth and adhering to a new product-driven strategy, with a stable operating status and positive expectations for the restaurant sector and downstream channel expansion [2][3]. - The company is expected to benefit from improved restaurant expectations and channel expansion, with a good performance anticipated in the fourth quarter due to a low base in the restaurant channel and normal shipment rhythm in the third quarter [2][8]. Summary by Relevant Sections Business Strategy - The company is shifting from a past channel expansion strategy to a new product-driven growth path, optimizing product combinations while expanding the market [3]. - The "Lock Fresh" series has maintained good growth momentum and profit levels even in a weak market environment, with expectations for the upgraded 6.0 series to drive revenue growth and profit improvement in prepared foods [3]. Channel Management - The company is enhancing its channel management, focusing on customized strategies for supermarkets and new retail channels, and is actively collaborating with major retail systems like Walmart and Metro [8]. - The company aims to improve its supply chain responsiveness and flexible production capabilities through differentiated operations tailored to the characteristics of various channels [8]. Financial Forecasts - The company is projected to achieve total revenue of 15.76 billion, 17.01 billion, and 18.25 billion yuan for 2025-2027, with year-on-year growth rates of 4.2%, 7.9%, and 7.3% respectively [2][8]. - The expected net profit attributable to the parent company is 1.42 billion, 1.54 billion, and 1.66 billion yuan for the same period, with year-on-year changes of -4.4%, 8.8%, and 7.2% respectively [2][8].

Quantitative Models and Construction Methods - **Model Name**: Securities Firm Golden Stock Performance Enhancement Portfolio **Model Construction Idea**: The model aims to optimize the selection of stocks from the securities firm golden stock pool, using a multi-factor approach to achieve stable outperformance relative to the benchmark index (Active Equity Hybrid Fund Index) [37][42] **Model Construction Process**: 1. The securities firm golden stock pool is used as the stock selection space and constraint benchmark [42] 2. The portfolio optimization method is applied to control deviations in individual stocks and styles between the portfolio and the golden stock pool [42] 3. The industry allocation is based on the distribution of all public funds [42] 4. The portfolio's benchmark is the Active Equity Hybrid Fund Index, and the portfolio's position last month was 90.48% [37] **Model Evaluation**: The model demonstrates strong alpha generation potential and stable performance, consistently outperforming the benchmark index over multiple years [42][43] Model Backtesting Results - **Securities Firm Golden Stock Performance Enhancement Portfolio**: - **Absolute Return (Monthly)**: -1.06% [41] - **Excess Return (Monthly)**: 1.39% relative to the Active Equity Hybrid Fund Index [41] - **Absolute Return (Year-to-Date)**: 33.65% [41] - **Excess Return (Year-to-Date)**: 4.42% relative to the Active Equity Hybrid Fund Index [41] - **Ranking in Active Equity Funds (Year-to-Date)**: 35.37% percentile (1227/3469) [41] - **Annualized Return (2018-2025)**: 19.34% [43] - **Annualized Excess Return (2018-2025)**: 14.38% relative to the Active Equity Hybrid Fund Index [43] - **Performance Ranking (2018-2025)**: Top 30% of active equity funds every year [43] Quantitative Factors and Construction Methods - **Factor Name**: Total Market Capitalization **Factor Construction Idea**: Reflects the size of a company, often used to capture size-related effects in stock returns [26][27] **Factor Evaluation**: Demonstrated strong performance both in the past month and year-to-date [26][27] - **Factor Name**: Single-Quarter Surprise (SUR) **Factor Construction Idea**: Measures the degree of earnings surprise in a single quarter, capturing the market's reaction to unexpected earnings [26][27] **Factor Evaluation**: Performed well in both the past month and year-to-date [26][27] - **Factor Name**: Single-Quarter Revenue Growth **Factor Construction Idea**: Tracks the growth rate of revenue in a single quarter, reflecting a company's operational growth [26][27] **Factor Evaluation**: Strong performance year-to-date [26][27] - **Factor Name**: EPTTM (Earnings to Price Trailing Twelve Months) **Factor Construction Idea**: A valuation factor that measures earnings relative to price over the trailing twelve months [26][27] **Factor Evaluation**: Underperformed year-to-date [26][27] - **Factor Name**: Expected Dividend Yield **Factor Construction Idea**: Captures the expected dividend income relative to the stock price, often used as an income-focused valuation metric [26][27] **Factor Evaluation**: Underperformed year-to-date [26][27] - **Factor Name**: BP (Book-to-Price Ratio) **Factor Construction Idea**: A valuation factor that measures the book value of equity relative to the stock price [26][27] **Factor Evaluation**: Underperformed year-to-date [26][27] Factor Backtesting Results - **Total Market Capitalization**: Strong performance in both the past month and year-to-date [26][27] - **Single-Quarter Surprise (SUR)**: Strong performance in both the past month and year-to-date [26][27] - **Single-Quarter Revenue Growth**: Strong performance year-to-date [26][27] - **EPTTM**: Weak performance year-to-date [26][27] - **Expected Dividend Yield**: Weak performance year-to-date [26][27] - **BP (Book-to-Price Ratio)**: Weak performance year-to-date [26][27]

证券研究报告 | 2025年12月01日 金融工程月报 券商金股 2025 年 12 月投资月报 券商金股股票池中选股因子表现 最近一个月，总市值、单季度超预期幅度、SUR 表现较好，日内收益率、 分析师净上调幅度、分析师净上调比例表现较差； 今年以来，总市值、单季度营收增速、SUR 表现较好，EPTTM、预期股息 率、BP 表现较差。 券商金股股票池本月特征 截至 2025 年 12 月 1 日，共有 41 家券商发布本月金股。在对券商金股股票 池进行去重后，总共有 264 只 A 股。 从绝对占比来看，本期券商金股在电子(15.38%)、基础化工(7.96%)、机械 (7.43%)、有色金属(6.90%)、电力设备及新能源(6.10%)行业配置较高。 核心观点 金融工程月报 券商金股股票池上月回顾 2025 年 11 月，蓝色光标、延江股份、苏州天脉等券商金股股票的月度上涨 幅度靠前。 2025 年 11 月，国联民生证券、国元证券、华鑫证券收益排名前三，月度收 益分别为 4.48%、3.40%、0.64%，同期偏股混合型基金指数收益-2.45%， 沪深 300 指数收益-2.46%。 2025 年以来， ...

证券研究报告 | 2025年12月01日 主动量化策略周报 CANSLIM 行业轮动策略 12 月配置建议： 关注钢铁、银行、建筑、公用事业、电新等行业 本报告对 CANSLIM 行业轮动策略的样本外表现进行跟踪，从多个维度解析 行业景气度情况并最终给出月度行业配置建议，以供投资者参考。 行业轮动因子表现 上月以来（20251103-20251128），超大单资金净流入金额占比和券商金股 行业变动因子表现较好，SUE、PB 和单季度 ROE 增速因子表现较差； 今年以来（20250102-20251128），公募重仓股动量、SUE 和分析师认可 度和因子表现较好，而成交量调节动量、公募基金持仓行业变动和超大单资 金净流入金额占比因子表现较差。 上月组合绩效回顾 上月以来（20251103-20251128），行业轮动组合收益率-1.09%，同期中 信一级行业等权指数收益率-1.16%，组合超额收益率 0.08%。 今年以来（20250102-20251031），行业轮动组合收益率 20.48%，同期中 信一级行业等权指数收益率 20.20%，组合超额收益率 0.28%。 本月组合推荐情况 我们借鉴 CANSL ...

- The report does not contain any specific quantitative models or factors for analysis[1][2][3] - The content primarily focuses on market performance, fund issuance, and fund performance, without detailing any quantitative models or factor construction methodologies[1][2][3]

- The report does not contain any quantitative models or factors related to quantitative investment analysis[6][12][58]

1. Report Industry Investment Rating No relevant information provided in the content. 2. Core View of the Report - Last week (from November 24, 2025, to November 28, 2025), the median weekly return of equity ETFs was 2.41%. Among broad - based ETFs, the median return of Science and Technology Innovation Board ETFs was the highest at 5.33%. Among sector - based ETFs, the median return of technology ETFs was the highest at 4.59%. Among thematic ETFs, the median return of AI ETFs was the highest at 5.90% [1][12][15]. - Last week, equity ETFs had a net redemption of 40.51 billion yuan, but the total scale increased by 41.354 billion yuan. Among broad - based ETFs, SSE 50 ETF had the largest net subscription of 2.559 billion yuan; among sector - based ETFs, consumer ETFs had the smallest net redemption of 734 million yuan; among thematic ETFs, dividend ETFs had the largest net subscription of 1.236 billion yuan [2][26]. - As of last Friday, the top three fund companies in terms of the total scale of listed, non - monetary ETFs were Huaxia, E Fund, and HuaTai - Berry. This week, four ETFs will be issued, namely Huabao CSI 300 Enhanced Strategy ETF, Bank of Communications CSI Smart - Selected Shanghai - Hong Kong - Shenzhen Technology 50 ETF, Fullgoal Hang Seng Biotechnology ETF, and Ping An SSE Science and Technology Innovation Board 50 Component ETF [5][55]. 3. Summary of Each Section ETF Performance - The median weekly return of equity ETFs was 2.41%. Among broad - based ETFs, Science and Technology Innovation Board, ChiNext, CSI 1000, CSI 500, A500, SSE 50, and SSE 300 ETFs had median returns of 5.33%, 4.61%, 3.76%, 3.11%, 2.15%, 0.46%, and 1.64% respectively. Among cross - border, commodity, monetary, and bond ETFs, the median returns were 3.19%, 2.55%, 0.02%, and - 0.17% respectively [12]. - By sector, the median returns of technology, cyclical, consumer, and large - finance sector ETFs were 4.59%, 2.44%, 1.30%, and 0.56% respectively. By thematic classification, the median returns of AI, chip, and photovoltaic ETFs were 5.90%, 4.94%, and 3.20% respectively, showing relatively strong performance, while the median returns of bank, liquor, and dividend ETFs were - 0.53%, - 0.15%, and - 0.15% respectively, showing relatively weak performance [15]. ETF Scale Change and Net Subscription/Redeem - As of last Friday, the scales of equity, cross - border, and bond ETFs were 3.5943 trillion yuan, 956.8 billion yuan, and 716.6 billion yuan respectively. The scales of commodity and monetary ETFs were relatively small, at 238.4 billion yuan and 180.5 billion yuan respectively. Among broad - based ETFs, SSE 300 and Science and Technology Innovation Board ETFs had relatively large scales [17]. - Last week, equity ETFs had a net redemption of 40.51 billion yuan and a total scale increase of 41.354 billion yuan; monetary ETFs had a net subscription of 3.777 billion yuan and a total scale increase of 3.792 billion yuan. Among broad - based ETFs, SSE 50 ETF had the largest net subscription of 2.559 billion yuan, and ChiNext - type ETFs had the largest net redemption of 7.152 billion yuan. By sector, consumer ETFs had the smallest net redemption of 734 million yuan, and technology ETFs had the largest net redemption of 16.179 billion yuan. By thematic classification, dividend ETFs had the largest net subscription of 1.236 billion yuan, and chip ETFs had the largest net redemption of 6.78 billion yuan [26][31]. ETF Benchmark Index Valuation - As of last Friday, in broad - based ETFs, ChiNext - type ETFs had relatively low valuation quantiles; by sector, consumer and large - finance ETFs had relatively moderate valuation quantiles; by thematic classification, liquor ETFs had relatively low valuation quantiles [3][43]. ETF Margin Trading and Short Selling - Overall, the short - selling volume of equity ETFs has generally shown an upward trend in the past year. As of last Thursday, the margin trading balance of equity ETFs decreased from 50.223 billion yuan in the previous week to 46.959 billion yuan, and the short - selling volume increased from 2.466 billion shares in the previous week to 2.605 billion shares. Among the top 10 ETFs in terms of average daily margin trading purchase volume and short - selling volume, Science and Technology Innovation Board ETFs and chip ETFs had relatively high average daily margin trading purchase volumes, and CSI 1000 ETFs and A500 ETFs had relatively high average daily short - selling volumes [44][50][51]. ETF Managers - As of last Friday, Huaxia Fund ranked first in the total scale of listed non - monetary ETFs, and had a relatively high management scale in multiple sub - fields such as scale - index ETFs, thematic, style, and strategy - index ETFs, and cross - border ETFs; E Fund ranked second, with a relatively high management scale in scale - index ETFs and cross - border ETFs; HuaTai - Berry Fund ranked third, with a relatively high management scale in scale - index ETFs and thematic, style, and strategy - index ETFs [52]. - Last week, two new ETFs were established: Bosera CSI Bank ETF and GF CSI Hong Kong - Stock Connect Internet ETF. This week, four ETFs will be issued: Huabao CSI 300 Enhanced Strategy ETF, Bank of Communications CSI Smart - Selected Shanghai - Hong Kong - Shenzhen Technology 50 ETF, Fullgoal Hang Seng Biotechnology ETF, and Ping An SSE Science and Technology Innovation Board 50 Component ETF [55].

证券研究报告 | 2025年12月01日 | 晨会纪要 | | --- | | 数据日期:2025-11-28 | 上证综指 | 深证成指沪深 | 300 指数 | 中小板综指 | 创业板综指 | 科创 50 | | --- | --- | --- | --- | --- | --- | --- | | 收盘指数（点） | 3888.59 | 12984.08 | 4526.66 | 13995.49 | 3781.37 | 1327.14 | | 涨跌幅度（%） | 0.34 | 0.84 | 0.24 | 1.02 | 0.95 | 1.25 | | 成交金额（亿元） | 6457.55 | 9400.40 | 3418.32 | 3098.26 | 4567.20 | 495.77 | $\frac{\pi\times0}{\pi\times0}$. (4) [ (4) 384938 1 宏观与策略 宏观专题:服务主导新周期 宏观专题:2026 年财政政策展望——"开门红"下的积极续力 宏观周报:宏观经济周报-服务业与制造业的共赢逻辑 宏观周报:多资产周报-回调后的债市 固 定 收 益 快 评 : 可 ...

Investment Rating - The investment rating for Meituan-W (03690.HK) is "Outperform the Market" [5] Core Views - The report indicates that the impact of the fierce competition in the food delivery sector on the company's revenue and profit is expected to gradually diminish. The company achieved a revenue of 95.5 billion yuan, with a year-on-year growth of 2%, primarily affected by intensified competition in its core local business. Adjusted losses reached 16 billion yuan, with a net profit margin of -17%, indicating a shift from profit to loss [1][8] - The company maintains its long-term goal of achieving a high daily order volume of 100 million and believes that as the industry returns to rationality, the profitability of the food delivery business will return to reasonable levels [1][8] Summary by Sections Overview - The report highlights that the competition in the food delivery market has significantly impacted the company's revenue and profit, with a revenue of 95.5 billion yuan for the quarter. Revenue breakdown shows a year-on-year decline of 17% in instant delivery services, a 1% increase in transaction commissions, and a 6% increase in marketing services [1][8] - The gross margin, sales expense ratio, and R&D expense ratio have all weakened, leading to an adjusted loss of 16 billion yuan, with a continued increase in losses quarter-on-quarter [1][8] Core Local Business - The core local business revenue decreased by 3% year-on-year, resulting in an operating loss of 14.1 billion yuan and an operating profit margin of -21.0%, a decline of 42 percentage points year-on-year. The company plans to continue significant investments in membership and promotional budgets in Q4 2025 [2][23] - Instant delivery saw a total order volume growth of 17%, with average losses per order of 2.6 yuan for food delivery and 1.1 yuan for flash purchase. The restaurant delivery order volume grew by approximately 15% [2][24] - The in-store travel and accommodation segment experienced a revenue growth of 13% year-on-year, but the operating profit margin decreased to 29% due to increased advertising costs and subsidies [2][28] New Business - New business revenue grew by 16% year-on-year to 28 billion yuan, with an operating loss of 1.3 billion yuan. The management noted that the user experience in Hong Kong's Keeta turned positive in October, leading to improved user retention and higher average prices [3][30] - The company plans to expand its overseas business by opening three new locations in Gulf countries and piloting in Brazil, although significant losses are expected to increase [3][34] Financial Forecasts - Revenue projections for 2025-2027 are adjusted to 360.5 billion yuan, 427 billion yuan, and 509.2 billion yuan, reflecting a slight decrease in growth expectations. Adjusted net profit forecasts for the same period are -16 billion yuan, 12.4 billion yuan, and 33.2 billion yuan, indicating a significant downward adjustment [3][35] - The report also provides detailed financial metrics, including adjusted EPS and profit margins, indicating a challenging outlook for the core local business due to competitive pressures [4][38]