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]

- The report does not contain any quantitative models or factors, so there are no specific models or factors to summarize - The report primarily focuses on market performance, market sentiment, capital flows, premium and discount rates, institutional attention, and leaderboard data - Market performance: The CSI 500 index performed well among scale indices, while the STAR 100 index performed well among sector indices, and the CSI 500 Growth index performed well among style indices[2][6][7] - Market sentiment: On January 16, 2026, 66 stocks hit the daily limit up, and 61 stocks hit the daily limit down. The closing return of stocks that hit the daily limit yesterday was -0.35%, and the closing return of stocks that hit the daily limit down yesterday was -6.30%. The sealing rate was 56%, and the continuous board rate was 12%[2][13][14][17] - Capital flows: As of January 15, 2026, the balance of margin trading and securities lending was 2.7188 trillion yuan, accounting for 2.6% of the market's circulating market value, and the proportion of margin trading and securities lending transactions in the market's transaction volume was 10.8%[2][19][22] - Premium and discount rates: On January 15, 2026, the ETF with the highest premium was the Semiconductor Equipment ETF Huaxia, with a premium of 1.88%, and the ETF with the highest discount was the Satellite Industry ETF, with a discount of 2.31%. The median annualized discount rates of the main contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 stock index futures over the past year were 0.70%, 3.79%, 11.11%, and 13.61%, respectively[3][23][26][28] - Institutional attention and leaderboard: The stocks with the most institutional research in the past week were Haitian Ruisheng, Dikang Holdings, Leo Group, Kaisheng Technology, Boying Special Welding, SF Express, Yunnan Germanium Industry, and Shengda Resources. The top ten stocks with net inflows from institutional seats on the leaderboard were Xue Ren Group, Tongyu Communications, Hongxiang Holdings, Yongxi Electronics, Shaanxi Tourism, Taili Technology, Jintaiyang, Hualing Cable, Shenguang Group, and Hengkun New Materials[4][30][32][36][37][39][41]

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].

证券研究报告 | 2026年01月16日 科陆电子（002121.SZ） 国网"十五五"计划投资 4 万亿元，公司智能电网及储能业务有望受益 公司研究·公司快评 电力设备·电网设备 投资评级：优于大市（维持） 证券分析师： 王蔚祺 010-88005313 wangweiqi2@guosen.com.cn 执证编码：S0980520080003 事项： 国家电网宣布"十五五"期间固定资产投资预计达 4 万亿元，较"十四五"增长 40%，创历史新高，重点 投向新型电力系统建设。"十五五"期间，国家电网将初步建成主干电网、配电网和智能微电网协同的新 型电网平台；加快推进城市、农村、边远地区配网建设，探索末端保供型、离网型微电网模式；夯实数智 基础设施，实施"人工智能+"专项行动，强化电网数字赋能。此外，国家电网将提升系统调节能力，优 化抽蓄站点布局，支持新型储能规模化发展，提高新能源运行支撑和并网消纳水平。 国信电新观点：国家电网"十五五"期间 4 万亿投资是我国能源转型和新型电力系统建设的关键举措，重 点投资方向包括配电网智能化改造、新型储能与调节能力建设等。2023 年以来科陆电子聚焦智能电网与新 型电化学储 ...

Investment Rating - The report maintains an "Outperform" rating for the media industry [2] Core Insights - AI is reshaping user entry points and the distribution of internet traffic, leading to a revolution in the underlying flow distribution mechanisms [4] - The transition from "productivity" to "monetization" in AI applications is expected to accelerate, with 2026 being a critical turning point [5] - The trust level of Chinese consumers in AI applications is significantly higher than that of consumers in the US and Europe, reaching 80% [41][42] Summary by Sections AI Reshaping Entry Points - AI is transforming traditional search engines and user interaction methods, moving from keyword matching to natural language queries, which significantly shortens the interaction path [14][39] - The emergence of Generative Engine Optimization (GEO) is changing the flow distribution logic, compressing the value of traditional intermediaries while amplifying the value of high-quality content sources [4][39] Commercial Monetization Acceleration - By 2026, the global GEO market is projected to reach $24 billion, with the domestic market expected to reach 11.1 billion yuan, indicating exponential growth [5][52] - Marketing service providers are evolving from traditional traffic buying models to those that leverage MarTech capabilities, focusing on AI corpus construction and data cleaning [5][54] Content Industry Upgrade - AI-generated content (AIGC) is not only reducing costs but also creating new supply, particularly in the video sector where AI tools are enabling full-process production at a fraction of traditional costs [6][70] - The audience for AI-generated short dramas is predominantly male, aged 24-30, indicating a new demographic shift in content consumption [70] Investment Recommendations - The report suggests focusing on commercial pioneers in the GEO space, particularly in marketing services and high-quality content [7][54] - There is also potential for growth in lower-tier content sectors such as film IP, gaming, and publishing [7]

- The report tracks the market trend by monitoring stocks, industries, and sectors that have reached new highs, using a 250-day high distance metric[11] - The 250-day high distance is calculated as follows: $ 250 \text{ day high distance} = 1 - \frac{Closet}{ts\_max(Close, 250)} $ where Closet is the latest closing price and $ ts\_max(Close, 250) $ is the maximum closing price over the past 250 trading days[11] - As of January 16, 2026, the 250-day high distances for major indices are: Shanghai Composite Index 1.52%, Shenzhen Component Index 0.60%, CSI 300 1.23%, CSI 500 0.20%, CSI 1000 1.49%, CSI 2000 1.77%, ChiNext Index 0.81%, and STAR 50 Index 1.63%[12][13] - The report identifies 1204 stocks that reached a 250-day high in the past 20 trading days, with the highest numbers in the machinery, electronics, and basic chemicals industries[19] - The highest proportions of new high stocks are in the defense, non-ferrous metals, and petrochemical industries[19] - The report also tracks "stable new high stocks" based on analyst attention, relative strength, trend continuity, price path stability, and new high sustainability[23][26] - The screening criteria for stable new high stocks include: at least 5 buy or hold ratings in the past 3 months, top 20% in 250-day price change, and top 50% in price path smoothness and new high continuity metrics[26] - The report lists 50 stable new high stocks, with the highest numbers in the cyclical and technology sectors, particularly in non-ferrous metals and electronics industries[27]