Market Overview - The textile and apparel sector in A-shares has underperformed the broader market since December, with textile manufacturing showing better performance than branded apparel, declining by -3.3% and -4.4% respectively [1][13] - The Hong Kong textile and apparel index rose by 2.9% in November but has since turned negative in December [1] Brand Apparel Insights - Retail sales of clothing in October grew by 6.3% year-on-year, with a stable growth rate compared to the previous month, increasing by 1.6 percentage points [2] - E-commerce performance varied significantly between categories from October to November, with outdoor leisure leading, while home textiles and personal care faced declines. Year-on-year growth rates for various categories were: outdoor (+20%), sportswear (0%), leisurewear (+8%), home textiles (-9%), and personal care (-2%) [2] - Notable brands with strong growth included Descente (74%), Lululemon (69%), and Asics (8%) in sportswear; and brands like Atour Planet (43%) and Luolai Home Textile (26%) in home textiles [2] Textile Manufacturing Insights - In November, Vietnam's textile and footwear exports faced a high base effect from the previous year, resulting in a decline of -2.6% and -3.8% respectively. China's textile exports showed a slight recovery at +1.0%, while apparel and footwear exports fell by -10.9% and -17.2% respectively [3] - The macroeconomic environment remains challenging, with fluctuations in cotton prices and a slight increase in wool prices by +4.8% month-on-month and +32.0% year-on-year in November [3] - Taiwanese manufacturers reported improved revenue in November, driven by World Cup-related orders and a return to normalcy in brand ordering rhythms [3] Investment Recommendations - The report suggests focusing on the recovery of consumer spending and the rebound in textile manufacturing. It highlights the potential for high-end consumer recovery and the strong outlook for the light luxury outdoor segment [5][6] - Key brands recommended for investment include Anta Sports, Li Ning, and Xtep International, which are expected to benefit from the ongoing trends in high-end consumption and outdoor sports [6] - In textile manufacturing, companies like Shenzhou International and Huayi Group are highlighted as beneficiaries of tariff reductions and Nike's recovery, while New Australia and Weixing Holdings are noted for their potential gains from rising wool prices and improved order visibility [7]

Investment Rating - The report maintains an "Outperform" rating for the agricultural sector, particularly focusing on livestock and feed companies [7]. Core Insights - The USDA's December supply and demand report indicates a tightening supply-demand balance for corn, with prices expected to maintain a moderate upward trend [15][18]. - For soybeans, the report suggests a recovery in U.S. imports, which is likely to support price recovery [33][35]. - The beef market is projected to see a price increase in 2026, driven by reduced production and strong domestic demand [3][6]. - The dairy sector is expected to experience a price reversal due to a combination of reduced supply and increased demand for both meat and milk [4][6]. - The pork market is anticipated to face a decline in prices in the latter half of 2026, despite a positive outlook for the first half [6][7]. Summary by Sections Corn - The USDA report predicts a reduction in global corn production by 3.27 million tons, leading to a decrease in global ending stocks and a tightening supply-demand ratio [15][16]. - Domestic corn prices are currently at a historical low, with expectations for a gradual recovery supported by low trader inventories [18][19]. Soybeans - The global soybean ending stocks are expected to increase slightly, with a projected rise in U.S. imports and a positive outlook for domestic soybean meal prices [33][35]. - The report highlights the importance of monitoring U.S.-China trade relations and South American weather conditions for future price movements [38]. Wheat - The global wheat supply remains ample, with an increase in production forecasts from major exporting countries, leading to a slight rise in the global ending stocks ratio [2][45]. - Domestic wheat prices are expected to stabilize, influenced by the overall supply situation and potential government storage interventions [48][52]. Beef - The USDA forecasts a decrease in U.S. beef production, with prices expected to rise due to strong domestic demand and reduced imports [3][6]. - The report anticipates a turning point in the domestic beef cycle by 2025, with prices likely to trend upwards [3][6]. Dairy - The report indicates a potential reversal in the dairy market, driven by reduced cow inventories and a tightening supply-demand balance [4][6]. - Domestic raw milk prices are expected to rise as a result of these factors [4][6]. Pork - The U.S. pork market is projected to see a decline in prices in the latter half of 2026, despite a positive outlook for the first half of the year [6][7]. - Domestic breeding sow inventories are stabilizing, which may help support industry profitability [6][7]. Poultry - The U.S. poultry market is expected to recover, with increased production and consumption anticipated as avian influenza impacts diminish [6][7]. - Domestic chicken supply is projected to stabilize, with a focus on internal demand recovery [6][7].

本周，成长稳健组合绝对收益 0.09%，相对偏股混合型基金指数超额收益 -0.62%。本年，成长稳健组合绝对收益 49.78%，相对偏股混合型基金指数 超额收益 18.45%。今年以来，成长稳健组合在主动股基中排名 17.50%分位 点（607/3469）。 证券研究报告 | 2025年12月13日 主动量化策略周报 基金强股票弱，优基增强组合本周相对股基指数超额 1.44% 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 2.14%，相对偏股混合型基金指数超 额收益 1.44%。本年，优秀基金业绩增强组合绝对收益 28.34%，相对偏股 混合型基金指数超额收益-3.00%。今年以来，优秀基金业绩增强组合在主动 股基中排名 49.90%分位点（1731/3469）。 本周，超预期精选组合绝对收益 0.72%，相对偏股混合型基金指数超额收益 0.01%。本年，超预期精选组合绝对收益 41.78%，相对偏股混合型基金指 数超额收益 10.44%。今年以来，超预期精选组合在主动股基中排名 26.58% 分位点（922/3469）。 本周，券商金股业绩增强组合绝对收益 1. ...

证券研究报告 | 2025年12月13日 港股市场创新高热点板块跟踪 我们根据分析师关注度、股价相对强弱、股价路径平稳性、创新高连续性等 角度在过去 20 个交易日创出过 250 日新高的股票池中筛选出平稳创新高股 票。 近期，绿源集团控股等股票平稳创出新高。 按照板块来看，创新高股票数量最多的是周期板块，其次为消费、科技、制 造、大金融和医药板块，具体个股信息可参照正文。 港股市场一周回顾 本年，港股精选组合绝对收益 59.33%，相对恒生指数超额收益 29.83%。 港股精选组合绩效回顾 本周，港股精选组合绝对收益-1.94%，相对恒生指数超额收益-1.53%。 港股投资周报 能源板块领跌，港股精选组合年内上涨 59.33% 概念板块方面，本周电力设备概念板块收益最高，累计收益 9.19%；婴童概 念板块收益最低，累计收益-7.14%。 南向资金监控 南向资金整体方面，本周港股通累计净流出 34 亿港元，近一个月以来港股 通累计净流入 757 亿港元，今年以来港股通累计净流入 13898 亿港元，总 体来看近期南向资金呈现出整体流入的走势。 本周港股通资金中，小米集团-W、招商银行和零跑汽车流入金额最多， ...

- The report does not contain any quantitative models or factors for analysis[1][2][3]

证券研究报告 | 2025年12月13日 多因子选股周报 质量因子表现出色，沪深 300 增强组合年内超额 19.95% 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，3 个月盈利上下调、标准化预期外 盈利、单季净利同比增速等因子表现较好，而高管薪酬、股息率、预期 BP 等因子表现较差。 以中证 500 指数为选股空间。最近一周，单季 ROA、单季 ROE、非流动性 冲击等因子表现较好，而 SPTTM、单季 SP、预期 BP 等因子表现较差。 以中证 1000 指数为选股空间。最近一周，单季 ROA、单季营利同比增速、 单季 ROE 等因子表现较好，而 BP、预期 BP、一个月波动等因子表现较差。 以中证 A500 指数为选股空间。最近一周，3 个月盈利上下调、一年动量、 标准化预期外盈利等因子表现较好，而单季 SP、股息率、SPTTM 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、预期净利润环比、单季 净利同比增速等因子表现较好，而股息率、SPTTM、BP 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 ...

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - **Model Construction Idea**: The model tracks the distance of stock prices or indices from their 250-day high to identify market trends and hotspots. It is based on the momentum and trend-following strategy, which has been proven effective in various studies[11][18]. - **Model Construction Process**: The 250-day new high distance is calculated as follows: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{\text{ts\_max}(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ \text{ts\_max}(Close, 250) $ is the maximum closing price over the past 250 trading days If the latest closing price reaches a new high, the distance is 0. If the price has fallen from the high, the distance is a positive value, indicating the degree of decline[11]. - **Model Evaluation**: The model effectively identifies stocks and indices that are leading the market, providing insights into market trends and potential investment opportunities[11][18]. 2. Model Name: Stable New High Stock Selection Model - **Model Construction Idea**: This model focuses on selecting stocks that exhibit stable momentum characteristics, avoiding extreme price jumps. It incorporates factors such as analyst attention, price stability, and trend continuation to identify stocks with strong and consistent performance[26][28]. - **Model Construction Process**: The selection process involves the following steps: 1. **Analyst Attention**: Stocks must have at least five "Buy" or "Overweight" ratings in the past three months. 2. **Relative Strength**: Stocks must rank in the top 20% of the market in terms of 250-day price performance. 3. **Price Stability**: Stocks are scored based on: - **Price Path Smoothness**: Measured by the ratio of price displacement to the total price path. - **Momentum Continuity**: The average 250-day new high distance over the past 120 days. 4. **Trend Continuation**: The average 250-day new high distance over the past five days is calculated, and the top 50 stocks are selected based on these criteria[26][28]. - **Model Evaluation**: The model emphasizes stable momentum and avoids stocks with erratic price movements, making it suitable for identifying consistent performers[26][28]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 3.48% - Shenzhen Component Index: 3.40% - CSI 300: 3.52% - CSI 500: 5.02% - CSI 1000: 3.62% - CSI 2000: 2.46% - ChiNext Index: 3.91% - STAR 50 Index: 12.36%[12][13][33] 2. Stable New High Stock Selection Model - **Selected Stocks**: 44 stocks were identified as stable new high performers, including Zhongji Xuchuang, Guangku Technology, and Yuanjie Technology. - **Sector Distribution**: - Cyclical and technology sectors had the highest number of selected stocks, with 16 stocks each. - Within the cyclical sector, the non-ferrous metals industry had the most stocks. - Within the technology sector, the electronics industry had the most stocks[29][34]. --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: Measures the relative position of a stock's or index's price compared to its 250-day high, serving as a momentum indicator[11]. - **Factor Construction Process**: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{\text{ts\_max}(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ \text{ts\_max}(Close, 250) $ is the maximum closing price over the past 250 trading days[11]. - **Factor Evaluation**: The factor is effective in identifying leading stocks and indices, providing a clear signal of market momentum[11][18]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Evaluates the stability of a stock's price movement over time, favoring stocks with smoother price paths[26]. - **Factor Construction Process**: - Calculate the ratio of price displacement to the total price path over a specified period. - Higher scores indicate smoother price paths, which are preferred for stable momentum strategies[26]. - **Factor Evaluation**: This factor helps avoid stocks with erratic price movements, improving the reliability of momentum-based strategies[26]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 3.48% - Shenzhen Component Index: 3.40% - CSI 300: 3.52% - CSI 500: 5.02% - CSI 1000: 3.62% - CSI 2000: 2.46% - ChiNext Index: 3.91% - STAR 50 Index: 12.36%[12][13][33] 2. Price Path Smoothness Factor - **Selected Stocks**: 44 stocks were identified as stable new high performers, including Zhongji Xuchuang, Guangku Technology, and Yuanjie Technology. - **Sector Distribution**: - Cyclical and technology sectors had the highest number of selected stocks, with 16 stocks each. - Within the cyclical sector, the non-ferrous metals industry had the most stocks. - Within the technology sector, the electronics industry had the most stocks[29][34].

证券研究报告 | 2025年12月12日 （3）越临近交割日，转换期权的选择权价值越低，正套操作越依赖 CTD 券 的 IRR 对整体收益的贡献。 固收+系列报告之七 国债期货套利：正向套利实证研究 国债期货的套利策略可以为"固收+"产品提供一层"安全垫"。因为其收 益来源是锁定的期现价差，与债券市场的涨跌关联度较低，更依赖于市场定 价的短期失灵。这为组合贡献了与股市、债市相关性都较低的确定收益来源。 本文通过实证研究分析我国国债期货的正向套利收益。 国债期货无风险套利简介：国债期货无风险套利的核心是期现套利，即利用 国债期货和国债现货之间的定价偏差来获利，其最终是通过交割来锁定收 益。IRR（隐含回购利率）是指通过正向套利（买入现货、同时卖出期货， 并持有到期进行交割）所能获得的年化收益率。 国债期货正套操作原理：理论上来说，当国债期货 CTD 券的 IRR 大于融资成 本时，即存在正向套利机会。其套利逻辑为，融资买入 CTD 现券，并卖空对 应份数的期货合约从而锁定持有期收益，并在交割日完成交割，最终收益率 即为 IRR 与资金成本之差。 实际正向套利过程中往往会遇到三种情形：一是建仓至交割 CTD 券不 ...

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