证券研究报告 | 2025年11月15日 宏观经济专题研究 年度展望之三： "促转型"下的产业格局 产业结构转型走向何方？ 不妨从出口比较优势和产业生命周期观察我国未来产业转型方向。 从出口比较优势看，通过 2020-2024 年出口比较优势指数分析，"低水平+ 高上升"领域潜力较大，如光学器具，正凭借核心零部件竞争力的快速提升， 成为全球价值链中难以替代的环节；又如芯片制造，是我国科技自立自强和 破除"卡脖子"的关键领域，体现国家战略意志，二者均具备明确的成长动 能。 当前我国正处于经济动能迭代的关键期，新旧动能切换是突破增长瓶颈、实 现高质量发展的必然选择。 我国新旧动能转换行至何处？ 从产业增加值、金融资源和劳动力就业三个视角透视我国新旧动能转换： 产业增加值视角看，窄口径下，预计 2027 年新兴产业规模将对旧有产业实 现赶超；宽口径下，预计 2031 年新旧产业增加值交汇，"十五五"末新兴 产业有望跃升为增长新引擎。 金融资源视角看，产业转型伴随金融重构，上一轮 1998-2002 年动能切换期 间，乡镇企业贷款大幅缩减，四大行账面不良率超 25%；本轮转型中，政策 提前介入且直接融资体系对创新的支 ...

证券研究报告 | 2025年11月15日 宏观经济专题研究 年度展望之一： "十五五"增长新范式 作为"十五五"开局之年，对明年的展望既需要考虑短期发展目标，又需要 置于"十五五"计划甚至 2035 远景目标的中长期框架下加以思考。 通过剖析 2035 年远景目标，可以推导出"十五五"时期经济增长的核心任 务与实现路径。我们认为，为了人均 GDP 迈入"中等发达国家"行列的宏伟 目标，新征程下我国必须转向"动能迭代+温和通胀+汇率升值"共同驱动的 新增长范式。 这一宏观格局的转变，将从根本上改变各类资产的收益特征与风险溢价，推 动权益类资产系统性跑赢固收类资产，并引导居民资产配置结构发生趋势性 转折，从房地产主导，固收类过渡，最终迈向以权益类资产为核心的新时代。 新增长范式将重塑资产格局 "十五五"经济运行逻辑的演化对我国资产格局的影响是根本性的。 "十五五"时期量化目标与增长框架 尽管"十五五"规划《建议》相对"抽象"，但其中仍不难挖掘出一个相对 自洽的量化目标体系。其中关键是 2035 年我国人均 GDP 要达到"中等发达 国家水平"。 国务院对应制定发展《纲要》时，可能包含"底线"与"合意"双重目标。 ...

- The report tracks the performance of Guosen Financial Engineering's index enhancement portfolios, which are constructed based on multi-factor stock selection models targeting benchmarks such as CSI 300, CSI 500, CSI 1000, and CSI A500 indices[10][11][13] - The construction process of the index enhancement portfolios includes three main components: return prediction, risk control, and portfolio optimization[11] - The report monitors the performance of single-factor Maximized Factor Exposure (MFE) portfolios across different stock selection spaces, including CSI 300, CSI 500, CSI 1000, CSI A500 indices, and public fund heavy positions index[10][14][39] - The MFE portfolio construction process involves optimizing the portfolio to maximize single-factor exposure while controlling for constraints such as style exposure, industry exposure, individual stock weight deviation, and turnover rate[39][40][41] - The optimization model for MFE portfolios is defined as follows: $\begin{array}{ll}max&f^{T}\ w\\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\\ &h_{l}\leq H(w-w_{b})\leq h_{h}\\ &w_{l}\leq w-w_{b}\leq w_{h}\\ &b_{l}\leq B_{b}w\leq b_{h}\\ &\mathbf{0}\leq w\leq l\\ &\mathbf{1}^{T}\ w=1\end{array}$ where `f` represents factor values, `w` is the stock weight vector, and constraints include style factor deviation, industry deviation, individual stock weight deviation, and component stock weight limits[39][40] - The report highlights the weekly, monthly, and yearly performance of various factors in different stock selection spaces, such as CSI 300, CSI 500, CSI 1000, CSI A500 indices, and public fund heavy positions index[17][19][21][23][25] - Factors such as three-month volatility, one-month volatility, and three-month turnover performed well in the CSI 300 space recently, while factors like one-year momentum and single-quarter profit growth rate performed poorly[17][18] - In the CSI 500 space, factors like one-month turnover and BP showed strong performance recently, while one-year momentum and standardized unexpected earnings performed poorly[19][20] - In the CSI 1000 space, factors such as illiquidity shock and expected net profit growth performed well recently, while standardized unexpected revenue and one-year momentum showed weak performance[21][22] - In the CSI A500 space, factors like three-month volatility and one-month turnover performed well recently, while one-year momentum and standardized unexpected earnings performed poorly[23][24] - In the public fund heavy positions index space, factors such as one-month volatility and three-month turnover performed well recently, while standardized unexpected revenue and one-year momentum showed weak performance[25][26] - The report tracks the performance of public fund index enhancement products, including CSI 300, CSI 500, CSI 1000, and CSI A500 index enhancement funds, with detailed statistics on excess returns across different time periods[27][28][31][33][35][38]

证券研究报告 | 2025年11月15日 主动量化策略周报 微盘红利领航，成长稳健组合年内相对股基指数超额 22.76% 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-1.80%，相对偏股混合型基金指数超 额收益-1.09%。本年，优秀基金业绩增强组合绝对收益 25.03%，相对偏股 混合型基金指数超额收益-6.58%。今年以来，优秀基金业绩增强组合在主动 股基中排名 58.46%分位点（2028/3469）。 本周，超预期精选组合绝对收益-2.36%，相对偏股混合型基金指数超额收益 -1.64%。本年，超预期精选组合绝对收益 41.40%，相对偏股混合型基金指 数超额收益 9.79%。今年以来，超预期精选组合在主动股基中排名 27.15% 分位点（942/3469）。 以研报标题超预期与分析师全线上调净利润为条件筛选超预期事件股票池， 接着对超预期股票池进行基本面和技术面两个维度的精选，挑选出同时具备 基本面支撑和技术面共振的超预期股票，构建超预期精选股票组合。 券商金股业绩增强组合： 以券商金股股票池为选股空间和约束基准，采用组合优化的方式控制组合与 券商金股 ...

证券研究报告 | 2025年11月15日 京东集团-SW（09618.HK） 优于大市 2025Q3 点评：日百品类和平台业务快速增长，京东外卖亏损 环比小幅减少 本季度收入增长亮眼：本季度公司实现营业收入 2991 亿元，同比+15%， 分拆看，1）本季度京东零售收入 2506 亿元，同比+11%，收入强劲增长 主要受益于日百和市场营销收入加速增长，我们测算自营收入同比 11%， 其中带电品类收入增速 5%，商超品类收入增速 19%；自营增速环比 Q2 23% 的增速显著降低，主要由于国补高基数影响，且 Q3 多地国补额度用完 对带电品类销售带动减弱。本季度平台活跃用户数以及购物频次均实现 40%以上增长，年度活跃用户在 10 月突破 7 亿；2）京东物流收入 521 亿元，同比+15%；3）新业务收入同比+214%，主要由于京东外卖快速增 长导致。 公司利润：non-GAAP 净利润 58 亿元，non-GAAP 净利率 1.9%，与去年同 期相比下降 3.2pct。其中经调 EBITDA 利润率从 5.8%降至 0.8%。分业务 看，零售经营利润率从去年同期 5.2%提升至 5.9%，我们推测主要由于 ...

Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Selection Portfolio - **Model Construction Idea**: The model aims to select stocks from the analyst-recommended stock pool based on both fundamental and technical aspects, focusing on stocks with fundamental support and technical resonance[13][15]. - **Model Construction Process**: - **Step 1**: Construct an analyst-recommended stock pool based on events such as analyst earnings forecast upgrades, initial analyst coverage, and analyst report titles exceeding expectations[15]. - **Step 2**: Perform dual-layer selection on the stocks in the analyst-recommended stock pool from both fundamental and technical dimensions[15]. - **Step 3**: Select stocks that exhibit both fundamental support and technical resonance to construct the Hong Kong Stock Selection Portfolio[15]. - **Backtesting Period**: 2010-01-01 to 2025-06-30, with an annualized return of 19.11% and an excess return of 18.48% relative to the Hang Seng Index after considering transaction costs in a fully invested state[15]. - **Model Evaluation**: The model effectively combines fundamental and technical analysis to select outperforming stocks, demonstrating significant excess returns over the benchmark index[15]. Model Backtesting Results - **Hong Kong Stock Selection Portfolio**: - **Absolute Return**: 69.65% (2025 YTD)[17] - **Excess Return Relative to Hang Seng Index**: 37.18% (2025 YTD)[17] - **Annualized Return**: 19.11%[15] - **Excess Return Relative to Hang Seng Index**: 18.48%[15] - **Information Ratio (IR)**: 1.22[19] - **Tracking Error**: 14.55%[19] - **Maximum Drawdown**: 23.73%[19] - **Return-to-Drawdown Ratio**: 0.78[19] Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: The factor measures the distance of the latest closing price from the highest closing price in the past 250 trading days, indicating the stock's momentum and trend-following potential[22]. - **Factor Construction Process**: - **Formula**: $$ \text{250-Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $$ where $\text{Close}_{t}$ is the latest closing price, and $\text{ts\_max(Close, 250)}$ is the maximum closing price in the past 250 trading days[22]. - **Interpretation**: If the latest closing price sets a new high, the 250-Day New High Distance is 0; if the latest closing price falls from the new high, the distance is positive, indicating the extent of the decline[22]. - **Screening Criteria**: Stocks that have set a 250-day new high in the past 20 trading days are filtered based on analyst attention, relative stock strength, price path stability, and new high continuity[22][23]. - **Factor Evaluation**: The factor effectively captures momentum and trend-following characteristics, which are significant in the Hong Kong stock market[20]. Factor Backtesting Results - **250-Day New High Distance Factor**: - **Absolute Return**: 69.65% (2025 YTD)[17] - **Excess Return Relative to Hang Seng Index**: 37.18% (2025 YTD)[17] - **Annualized Return**: 19.11%[15] - **Excess Return Relative to Hang Seng Index**: 18.48%[15] - **Information Ratio (IR)**: 1.22[19] - **Tracking Error**: 14.55%[19] - **Maximum Drawdown**: 23.73%[19] - **Return-to-Drawdown Ratio**: 0.78[19]

证券研究报告 | 2025年11月14日 金融工程日报 沪指冲高回落，算力、半导体产业链领跌 市场表现：今日(20251114) 市场全线下跌，规模指数中中证 2000 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。银行、房地产、纺织服装、医药、综合行业表现较好，电子、通信、计 算机、传媒、电新行业表现较差。两岸融合、新冠特效药、SPD、海南自贸 港、福建省国资等概念表现较好，磁电存储、存储器、HBM、先进封装、光 模块(CPO)等概念表现较差。 市场情绪：今日市场情绪较为高涨，收盘时有 90 只股票涨停，有 9 只股票 跌停。昨日涨停股票今日收盘收益为 1.82%，昨日跌停股票今日收盘收益为 -4.77%。今日封板率 66%，较前日下降 3%，连板率 29%，较前日下降 10%。 市场资金流向：截至 20251113 两融余额为 25065 亿元，其中融资余额 24882 亿元，融券余额 184 亿元。两融余额占流通市值比重为 2.5%，两融交易占市 场成交额比重为 11.1%。 折溢价：20251113 当日 ETF 溢价较多的是互联网 ETF 沪港深，ETF 折 ...

证券研究报告 | 2025年11月14日 热点追踪周报 由创新高个股看市场投资热点（第 219 期） 乘势而起：市场新高趋势追踪：截至 2025 年 11 月 14 日，上证指数、深 证成指、沪深 300、中证 500、中证 1000、中证 2000、创业板指、科创 50 指数 250 日新高距离分别为 0.97%、3.71%、2.52%、4.15%、1.90%、 0.66%、6.40%、11.56%。中信一级行业指数中纺织服装、轻工制造、综 合、交通运输、钢铁行业指数距离 250 日新高较近，食品饮料、综合金 融、国防军工、汽车、计算机行业指数距离 250 日新高较远。概念指数 中，HJT 电池、家居用品、林木、万得微盘股日频等权、储能、石油天 然气、锂矿等概念指数距离 250 日新高较近。 见微知著：利用创新高个股进行市场监测：截至 2025 年 11 月 14 日，共 1080 只股票在过去 20 个交易日间创出 250 日新高。其中创新高个股数量最多的 是基础化工、机械、电力设备及新能源行业，创新高个股数量占比最高的是 煤炭、钢铁、有色金属行业。按照板块分布来看，本周周期、制造板块创新 高股票数量最多 ...

Investment Rating - The investment rating for the organic silicon industry is "Outperform the Market" (maintained) [1][5] Core Viewpoints - The domestic demand for organic silicon continues to grow significantly, while overseas exports have slowed down due to a high base from the previous year. In the first three quarters of 2025, the domestic consumption of organic silicon intermediates reached 1.5128 million tons, a year-on-year increase of 19.66% [3][6] - The peak of capacity expansion has passed, leading to an improved supply structure. The production capacity of organic silicon intermediates in China increased from 1.675 million tons per year in 2020 to 3.44 million tons per year in 2024, with a compound annual growth rate of 19.71% [3][8] - Product prices are at historically low levels and are expected to rise due to coordinated production cuts. As of November 13, 2025, the average price of DMC was 12,500 yuan per ton, up 1,000 yuan from the previous working day [4][13] Summary by Sections Demand Side - Domestic demand for organic silicon intermediates has been consistently high, with a projected apparent consumption of 1.8164 million tons in 2024, reflecting a year-on-year growth of 20.9%. The export volume for organic silicon intermediates in 2024 is expected to recover to 545,700 tons, with a year-on-year growth rate of 34.21% [3][6] Supply Side - The supply side is showing signs of improvement as the peak of capacity expansion has passed. The industry capacity concentration is high, with major players holding significant market shares. As of January 2025, the industry operating rate was 80.69%, which later stabilized around 70% [3][8][9] Price and Profit - The organic silicon industry has faced a significant deterioration in supply-demand dynamics, leading to negative profits. However, with the planned 30% production cut by manufacturers, there is potential for price recovery and positive profit margins in the future [4][13] Investment Recommendations - The report recommends investing in companies such as Xingfa Group, Dongyue Group, and Luxi Chemical, highlighting their competitive advantages and ongoing projects that are expected to enhance their market positions [15][18]

Economic Performance - In October, China's GDP growth rate slowed to 4.2% year-on-year, down 1.1 percentage points from September, significantly below the annual growth target[1] - Industrial added value dropped to 4.9% year-on-year, while the service production index fell to 4.6%, marking a new low for the year[1] - Fixed asset investment saw a sharp decline of 11.0% year-on-year, with real estate, infrastructure, and manufacturing investments continuing to decrease[1] Consumer Market Insights - Total retail sales of consumer goods slightly decreased to 2.9% year-on-year, but excluding automobiles, the growth rate rebounded to 4.0%[1] - Restaurant consumption growth significantly increased to 3.8%, indicating a recovery in the service sector[1] - The unemployment rate remained stable at 5.1%, reflecting a seasonal decline of 0.1 percentage points[1] Future Outlook - Positive factors are accumulating, with signs of structural recovery in consumption and a steady decline in the unemployment rate, suggesting sustained consumer demand[2] - Fiscal space remains ample, with fiscal deposits exceeding the average of the past three years by approximately 1.2 trillion yuan, providing strong support for counter-cyclical adjustments[2] - The implementation of 500 billion yuan in policy financial tools has been completed, focusing on new economic sectors such as digital economy and artificial intelligence[2] Risks and Challenges - There are risks associated with potential weakening of policy stimulus and uncertainties in overseas economic policies[2]