证券研究报告 | 2026年01月11日 2026年01月10日 港股市场速览 优于大市 小盘风格与医药板块显著上涨 本周，恒生指数-0.4%，恒生综指+0.4%。风格方面，中盘（恒生中型股+3.7%） ＞小盘（恒生小型股+3.4%）＞大盘（恒生大型股-0.4%）。 主要概念指数表现分化。上涨的主要有恒生生物科技（+11.1%）；下跌的主 要有恒生汽车（-1.8%）。 国信海外选股策略分化。上涨的主要有 ROE 策略进攻型（+2.7%）；下跌的 主要有红利贵族 50（-1.4%）。 20 个行业上涨，9 个行业下跌，1 个基本持平。上涨的主要有：医药（+10.0%）、 计算机（+7.4%）、煤炭（+6.1%）、国防军工（+5.8%）、有色金属（+4.5%）； 下跌的主要有：石油石化（-3.6%）、电子（-2.5%）、通信（-2.3%）、银 行（-1.8%）、汽车（-1.7%）。 估值水平：风格与行业均呈分化状 本周，恒生指数估值（动态预期 12 个月正数市盈率，后同）-0.8%至 11.7x； 恒生综指估值+0.1%至 11.7x。 主要概念指数估值表现分化。上升幅度较大的是恒生生物科技（+14.0%至 29 ...

证券研究报告 | 2026年01月11日 2026年01月10日 美股市场速览 弱于大市 资金涌入科技巨头，小盘消费开始发力 价格走势：整体回升，小盘与消费发力 本周，标普 500 涨 1.6%，纳斯达克涨 1.9%。 风格：小盘成长（罗素 2000 成长+4.7%）＞小盘价值（罗素 2000 价值+4.5%） ＞大盘价值（罗素 1000 价值+2.5%）＞大盘成长（罗素 1000 成长+0.9%）。 21 个行业上涨，3 个行业下跌。上涨的主要有：零售业（+8.4%）、耐用消 费品与服装（+5.2%）、材料（+4.9%）、食品与主要用品零售（+4.1%）、 商业和专业服务（+3.7%）；下跌的主要有：技术硬件与设备（-3.2%）、公 用事业（-1.5%）、电信业务（-0.2%）。 资金流向：资金集中涌入科技巨头 本周，标普 500 成分股估算资金流（涨跌额 x 成交量）为+130.2（亿美元， 下同），上周为-30.2，近 4 周为+202.6，近 13 周为+201.8。 20 个行业资金流入，4 个行业资金流出。资金流入的主要有：半导体产品与 设备（+27.6）、技术硬件与设备（+17.2）、零售业（+ ...

证券研究报告 | 2026年01月10日 12 月非农数据点评 就业中性偏弱，政策取向谨慎 经济研究·宏观快评 | 证券分析师： | 邵兴宇 | 010-88005483 | shaoxingyu@guosen.com.cn | 执证编码：S0980523070001 | | --- | --- | --- | --- | --- | | 证券分析师： | 田地 | 0755-81982035 | tiandi2@guosen.com.cn | 执证编码：S0980524090003 | | 证券分析师： | 董德志 | 021-60933158 | dongdz@guosen.com.cn | 执证编码：S0980513100001 | 事项： 美东时间 1 月 9 日，美国劳工部（BLS）发布 2025 年 12 月非农就业报告。当月新增非农就业人数 5 万， 略低于预期的 6 万人，失业率下行至 4.4%。 评论： 图1：12 月非农数据总览 | 行业类别 | | 12月新增就业 | | 12月存量就业 | 12月平均薪资 | | | --- | --- | --- | --- | --- | --- ...

证券研究报告 | 2026年01月10日 炼油炼化点评 中国石化与中国航油重组，有望加速国内 SAF 应用 行业研究·行业快评 石油石化 投资评级：优于大市（维持） 证券分析师： 杨林 010-88005379 yanglin6@guosen.com.cn 执证编码：S0980520120002 证券分析师： 薛聪 010-88005107 xuecong@guosen.com.cn 执证编码：S0980520120001 证券分析师： 董丙旭 0755-81982570 dongbingxu@guosen.com.cn 执证编码：S0980524090002 事项： 2026 年 1 月 8 日，经国务院批准，中国石化集团公司与中国航油集团公司实施重组。 国信化工观点： 1）中国石化与中国航油重组，有利于保证我国航煤产业链韧性；2）中国石化与中国航油重组后，航空燃 料生产、销售、加注等环节可实现优势互补，增强我国航空燃料产业国际竞争力；3）中国石化与中国航 油重组后，有利于促进可持续航空燃料（SAF）在国内的推广应用。 4）投资建议：推荐在航空煤油生产领域具备优势的【中国石油】及布局生物柴油及可持续航空燃料 ...

Group 1: AIDC Power Equipment Industry - The AIDC power equipment sector is expected to benefit from the surge in data center construction driven by major tech companies, with significant investments planned by firms like Samsung SDS, Tesla, Amazon, and Oracle [1][28] - The demand for power equipment in the AI era is projected to experience explosive growth, with key companies to watch including Jinpan Technology, Xinte Electric, Igor, Hewei Electric, Shenghong Co., and Zhongheng Electric [1][28] Group 2: Lithium Battery Industry - The lithium battery industry is undergoing a transformation with the ongoing efforts to eliminate excess capacity and improve competitive dynamics, which is expected to enhance profitability for companies in the sector [2][68] - Solid-state battery technology is accelerating towards industrialization, with expectations for expanded production lines and increased testing in 2026, laying the groundwork for mass application from 2027 to 2030 [2][69] - Key companies to focus on in the lithium battery sector include CATL, EVE Energy, Zhongchuang航, Zhuhai Guanyu, Enjie, Dingsheng Technology, and Xiamen Tungsten [2][69] Group 3: Wind Power Industry - The domestic wind power sector is anticipated to see a 10%-20% increase in new installations in 2026, supported by saturated orders and stable pricing [3][53] - The profitability of wind turbine manufacturers is expected to recover gradually, with exports contributing positively to performance [3][54] - Key companies in the wind power sector include Goldwind Technology, Tiansheng Wind Energy, Sany Renewable Energy, and Dongfang Cable [3][54] Group 4: Energy Storage Industry - Global energy storage demand is projected to reach 404 GWh in 2026, representing a 38% year-on-year increase, driven by strong domestic market demand and supportive government policies in emerging markets [2][94][96] - The U.S. is expected to see significant growth in large-scale storage installations due to rising energy demands from data centers and ongoing power supply shortages [2][94][96] - Companies to watch in the energy storage space include CATL, EVE Energy, Deye Technology, Hewei Electric, Shenghong Co., and Kelu Electronics [2][94] Group 5: Power Grid Equipment Industry - The power grid equipment sector is expected to experience increased demand due to accelerated approvals and tenders for ultra-high voltage projects, with significant opportunities for companies involved in converter stations and related equipment [3][36] - The implementation of the 2025 version of the State Grid's smart meter standards is anticipated to lead to a price recovery in 2026, with head companies expected to see high growth in overseas revenues and orders [3][36] - Key companies in the power grid equipment sector include Sifang Co., Jinpan Technology, Siyuan Electric, and Huaming Equipment [3][36] Group 6: Photovoltaic Industry - The photovoltaic industry is expected to see improvements in supply-demand dynamics due to policies aimed at reducing excess capacity, with a focus on leading companies in the silicon material segment [83][84] - Innovations such as silver-free materials and perovskite solar cells are anticipated to drive cost reductions and technological advancements in the industry [83][84] - Companies to monitor in the photovoltaic sector include GCL-Poly Energy, Tongwei Co., and Juhua Materials [83][84]

基金投资价值分析 一键布局港股通+红利+低波——标普港股通低波红利指数投资价值 分析 一键布局港股通+红利+低波 经济增速下行，低利率时代，红利策略未来依然有效：随着经济增速的下行， 能够持续提供较高的成长性的公司越来越难找到，因此投资者更倾向于寻找 相对确定性更高的资产，有利于红利策略。红利策略具有"类债券"属性， 在低利率期间红利策略的性价比相对较高。当前利率水平保持较低水平，为 配置红利类策略好时机。 证券研究报告 | 2026年01月10日 政策推动红利资产吸引力提升：随着政策支持为红利资产注入长期估值重塑 动能，上市公司分红力度持续加大。近年来，上市公司分红金额逐年增长， 尤其是 2024 年以来，上市公司分红力度明显加大。后续随着分红制度的持 续完善，红利资产的股息吸引力将进一步提升。 红利资产内部，港股红利低波产品具备更好投资性价比：相比 A 股，港股红 利的股息率仍更具吸引力。对比其他红利类指数的估值和股息率，截至 2025 年 12 月 31 日，标普港股通低波红利指数（SPAHLVCP.SPI）的近 12 个月 股息率为 5.6%，PE（TTM）为 5.7 倍，在估值和股息率上具备比较优势 ...

证券研究报告 | 2026年01月10日 主动量化策略周报 新年开门红，四大主动量化组合本周均战胜股基指数 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 4.86%，相对偏股混合型基金指数超 额收益 0.06%。本年，优秀基金业绩增强组合绝对收益 4.86%，相对偏股混 合型基金指数超额收益 0.06%。今年以来，优秀基金业绩增强组合在主动股 基中排名 42.03%分位点（1564/3721）。 本周，超预期精选组合绝对收益 5.13%，相对偏股混合型基金指数超额收益 0.34%。本年，超预期精选组合绝对收益 5.13%，相对偏股混合型基金指数 超额收益 0.34%。今年以来，超预期精选组合在主动股基中排名 38.48%分 位点（1432/3721）。 本周，券商金股业绩增强组合绝对收益 5.39%，相对偏股混合型基金指数超 额收益 0.60%。本年，券商金股业绩增强组合绝对收益 5.39%，相对偏股混 合型基金指数超额收益 0.60%。今年以来，券商金股业绩增强组合在主动股 基中排名 35.18%分位点（1309/3721）。 本周，成长稳健组合绝对收益 5.9 ...

Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Selection Portfolio - **Model Construction Idea**: The model aims to select stocks with both fundamental support and technical resonance from an analyst-recommended stock pool[14][15] - **Model Construction Process**: - **Step 1**: Construct an analyst-recommended stock pool based on three types of analyst recommendation events: upward earnings forecast revisions, initial analyst coverage, and analyst report titles exceeding expectations[15] - **Step 2**: Perform dual-layer selection on the analyst-recommended stock pool using fundamental and technical dimensions to select stocks with both fundamental support and technical resonance[15] - **Step 3**: The backtest period for the Hong Kong Stock Selection Portfolio is from January 1, 2010, to December 31, 2025. Considering transaction costs in a fully invested state, the portfolio's annualized return is 19.08%, with an excess return of 18.06% relative to the Hang Seng Index[15] - **Model Evaluation**: The model demonstrates a strong performance with significant excess returns over the Hang Seng Index, indicating its effectiveness in stock selection[15] Model Backtest Results - **Hong Kong Stock Selection Portfolio**: - **Annualized Return**: 19.08%[15] - **Excess Return**: 18.06% relative to the Hang Seng Index[15] - **Information Ratio (IR)**: 1.19[20] - **Tracking Error**: 14.60%[20] - **Maximum Drawdown**: 23.73%[20] - **Return-to-Drawdown Ratio**: 0.76[20] Quantitative Factors and Construction Methods 1. Factor Name: Stable New High Stocks - **Factor Construction Idea**: The factor aims to identify stocks that have recently reached new highs and exhibit stable price paths, leveraging the momentum and trend-following strategies that are particularly effective in the Hong Kong market[21] - **Factor Construction Process**: - **Step 1**: Calculate the 250-day new high distance using the formula: $$ 250 \text{ day new high distance} = 1 - \frac{Close_t}{\text{ts\_max(Close, 250)}} $$ where $Close_t$ is the latest closing price, and $\text{ts\_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[23] - **Step 2**: Screen stocks that have reached a 250-day new high in the past 20 trading days based on analyst attention, relative stock strength, price path stability, and new high continuity[23] - **Step 3**: Select stocks with the following criteria: - Analyst attention: At least 5 buy or hold ratings in the past 6 months - Relative stock strength: Top 20% in terms of price change over the past 250 days - Price path stability: Top 50% based on price displacement ratio and 250-day new high distance over the past 120 days - Trend continuity: Top 50 stocks based on the 250-day new high distance over the past 5 days[24] - **Factor Evaluation**: The factor effectively captures stocks with strong momentum and stable price paths, which are likely to continue their upward trends[21][23] Factor Backtest Results - **Stable New High Stocks**: - **Example Stocks**: J&T Express-W, China Eastern Airlines, Youran Dairy, Hansoh Pharmaceutical, China XLX Fertilizer, etc.[23][29] - **Sector Distribution**: Most new high stocks are in the cyclical sector, followed by finance, technology, consumer, manufacturing, and healthcare sectors[23][29]

证券研究报告 | 2026年01月10日 因子表现监控 以沪深 300 指数为选股空间。最近一周，三个月机构覆盖、DELTAROA、 DELTAROE 等因子表现较好，而预期净利润环比、一年动量、特异度等因 子表现较差。 以中证 500 指数为选股空间。最近一周，单季净利同比增速、预期净利润环 比、特异度等因子表现较好，而一个月波动、EPTTM、单季 ROE 等因子表 现较差。 以中证 1000 指数为选股空间。最近一周，一年动量、单季营收同比增速、 标准化预期外收入等因子表现较好，而 EPTTM、股息率、预期 EPTTM 等 因子表现较差。 多因子选股周报 成长因子表现出色，中证 A500 增强组合本周超额 0.61% 核心观点 金融工程周报 国信金工指数增强组合表现跟踪 目前，公募基金沪深 300 指数增强产品共有 79 只（A、C 类算作一只，下 同），总规模合计 816 亿元。中证 500 指数增强产品共有 79 只，总规模合 计 534 亿元。中证 1000 指数增强产品共有 46 只，总规模合计 214 亿元。 中证 A500 指数增强产品共有 73 只，总规模合计 270 亿元。 沪深 300 ...

- The report introduces a quantitative model named "250-day new high distance" to track market trends and identify investment hotspots. The model is based on momentum and trend-following strategies, emphasizing the effectiveness of monitoring stocks near their 52-week high prices[11][19][20] - The construction process of the "250-day new high distance" model is as follows: Formula: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ Explanation: - $ Close_t $ represents the latest closing price - $ 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 equals 0; otherwise, it is a positive value indicating the degree of price fallback[11] - The report evaluates the model positively, highlighting its ability to capture market trends and identify leading stocks in various sectors. It references studies by George (2004), William O'Neil, and Mark Minervini, which support the effectiveness of tracking stocks near their high prices[11][19] - The model's testing results show that as of January 9, 2026, major indices such as the Shanghai Composite Index, Shenzhen Component Index, and CSI 500 have a "250-day new high distance" of 0.00%, indicating they are at their peak levels. Other indices like CSI 300 and ChiNext have distances of 0.66% and 0.06%, respectively[12][13][33] - A quantitative factor named "Stable New High Stocks" is constructed to identify stocks with smooth price paths and consistent momentum. The factor incorporates analyst attention, relative price strength, price path smoothness, and sustained new high performance[26][28] - The construction process of the "Stable New High Stocks" factor includes: - Analyst attention: At least five buy or overweight ratings in the past three months - Relative price strength: Top 20% in 250-day price change - Price path smoothness: Evaluated using metrics like price displacement ratio - Sustained new high performance: Average "250-day new high distance" over the past 120 days and the last five days[26][28] - The factor is positively evaluated for its ability to capture stocks with strong and consistent momentum, supported by studies on smooth price paths and investor underreaction to gradual price changes[26][28] - Testing results for the "Stable New High Stocks" factor show that 50 stocks were selected, with the highest representation in cyclical and technology sectors. Notable stocks include Yuanjie Technology, Yaxiang Integration, and Xinwei Communication[29][34]