宏观 证券研究报告 |点评报告 2025/12/11 出口保持韧性，进口同比增速小幅提升 ——11月贸易数据点评 | 证券分析师： | 徐超 | | --- | --- | | 分析师登记编号： | S1190521050001 | | 证券分析师： | 戴梓涵 | | 分析师登记编号： | S1190524110003 | 报告摘要 事件：12月8日，海关总署发布数据显示，11月中国以美元计价出口3303.5亿美元，同比增长5.9%，前值下降1.1%。 进口2186.7亿美元，同比增长1.9%，前值增长1%。中国11月贸易顺差1116.8亿美元，前值为900.7亿美元。 一、低基数叠加市场多元化发展，出口同比超预期增长。 11月我国出口3303.5亿美元，同比增长5.9%，而上月同比下降1.1%，增速由负转正，11月出口环比增长8.2%，高于 2021-2023年均值4.7%。本月出口同比增速表现超出市场预期，可能受以下因素影响：一是受到去年低基数效应的影 响，2024年11月出口同比增速为6.6%，显著低于前期水平，环比增速为1%，明显弱于季节性，二是我国继续拓展出 口市场多元化发展，如欧盟、日韩、拉丁美 ...

Quantitative Models and Construction Methods 1. Model Name: Industry Crowding Monitoring Model - **Model Construction Idea**: This model is designed to monitor the crowding levels of Shenwan First-Level Industry Indices on a daily basis, identifying industries with high or low crowding levels and significant changes in crowding dynamics[3] - **Model Construction Process**: The model calculates the crowding levels of various industries based on daily data. It identifies industries with the highest and lowest crowding levels and highlights industries with significant changes in crowding dynamics. Specific calculation methods or formulas are not provided in the report[3] - **Model Evaluation**: The model provides actionable insights into industry crowding trends, helping investors identify potential opportunities or risks in crowded or undercrowded sectors[3] 2. Model Name: Premium Rate Z-Score Model - **Model Construction Idea**: This model is used to screen ETF products for potential arbitrage opportunities by calculating the Z-score of premium rates on a rolling basis[4] - **Model Construction Process**: The Z-score of the premium rate is calculated for each ETF product over a rolling window. The Z-score helps identify ETFs with significant deviations from their historical premium rates, signaling potential arbitrage opportunities. Specific formulas or parameters are not detailed in the report[4] - **Model Evaluation**: The model effectively identifies ETFs with potential arbitrage opportunities, but it also warns of potential risks of price corrections in the identified ETFs[4] --- Model Backtesting Results 1. Industry Crowding Monitoring Model - No specific backtesting results or quantitative metrics are provided for this model in the report[3] 2. Premium Rate Z-Score Model - No specific backtesting results or quantitative metrics are provided for this model in the report[4] --- Quantitative Factors and Construction Methods No specific quantitative factors are mentioned or constructed in the report --- Factor Backtesting Results No specific backtesting results for factors are mentioned in the report

策 略 研 究 太 平 2025 年 12 月 11 日 投资策略 策略日报（2025.12.11）：支撑与压力 相关研究报告 洋 证 券 股 份 有 限 公 司 证 券 研 究 报 告 升>>--2025-12-10 强>>--2025-12-09 <<策略日报（2025.12.08）：等新 高>>--2025-12-08 来！>>--2025-12-05 重回低位>>--2025-12-04 来>>--2025-12-03 发>>--2025-12-02 势异也>>--2025-12-01 电话： E-MAIL：zhangdd@tpyzq.com 分析师登记编号：S1190522040001 证券分析师：徐梓铭 电话： E-MAIL：xuzm@tpyzq.com 分析师登记编号：S1190525050001 大类资产跟踪 <<策略日报（2025.12.10）：探底回 <<策略日报（2025.12.09）：强者恒 债市：利率债整体反弹，日线接近压力，目前尚未见反转迹象，大 趋势下跌未结束。长端利率债今日破位后加速下行，符合我们一直以来 的判断。我们维持此前的判断：往后看，股市和商品有共振走强的迹象， 债市在 ...

Investment Rating - The report does not provide specific investment ratings for the sub-industries within the power equipment and new energy sector [2]. Core Insights - The industry is entering a critical layout period, with Longi's announcement indicating a reversal opportunity [3]. - The lithium battery supply chain's price negotiations and the progress of new energy combined with AI are key investment focuses, suggesting that lowered expectations present new layout opportunities [3]. - The new energy vehicle supply chain has entered a new upward cycle, with significant production levels expected [3][4]. Summary by Sections Industry Chain Prices - Recent price increases in lithium battery materials, including a 5% rise in cobalt and electrolyte prices [11][24]. - The overall industry supply-demand balance remains stable, with some products entering a destocking phase [25]. Industry News Tracking - The report highlights the ongoing developments in the new energy and AI sectors, including Tesla's advancements in humanoid robots and Longi's employee stock ownership plan [24][31]. - The report notes that the National Development and Reform Commission has revised pricing mechanisms for new energy storage, promoting market competition [27]. Recommended Companies and Ratings - Longi Green Energy, GCL-Poly Energy, and Aiko Solar are highlighted as companies to watch due to their technological leadership and potential for growth [5][6]. - The report emphasizes the importance of leading companies with pricing power, such as CATL and BYD, in the lithium battery market [3][4].

债 债券周报 券 。 2025-12-08 [ T [Table_Title] 公募 REITs 市场小幅下跌，国家发改委拓展 REITs 行业范围清单 公募 REITs 周报（2025.12.1-2025.12.7） 相关研究报告： [Table_ReportInfo] 《公募 REITs 市场小幅下跌，中航 中核集团能源公募 REITs 正式申 报》--2025-11-23 《公募 REITs 市场小幅上涨，交通 基础设施类 REITs 表现亮眼》-- 2025-11-16 《公募 REITs 市场小幅下跌，中信 建投沈阳国际软件园 REIT 上市》- -2025-11-10 证券分析师： [Table_Author] 徐超 电话：18311057693 E-MAIL：xuchao @tpyzq.com 分析师登记编号：S1190521050001 证券分析师：戴梓涵 电话：18217681683 E-MAIL：daizh@tpyzq.com 分析师登记编号：S1190524110003 [Table 报告摘要_Summary] 一、二级市场：本周公募 REITs 市场小幅下跌 本周公募 REITs 市场 ...

金融工程 证券研究报告 |深度研究报告 2025/12/7 金融工程指数量化系列—— 局部分档止损偏离修复模型 证券分析师: 刘晓锋 分析师登记编号: S1190522090001 证券分析师: 孙弋轩 执业资格证书编码: S1190525080001 P2 目录 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 1、局部分档止损偏离修复模型 2、二次入场策略 3、后续展望 4、风险提示 1、局部分档止损偏离修复模型 局部分档止损策略： 1、计算单个行业指数相对沪深300收盘价cl，以及cl对应的回撤曲线W。 2、使用迭代法计算cl的有效回撤V，若无法得到V，则直接判定该行业不适合此策略。 5、买入后，当收盘价cl首次高于b0+n*s0时，止损被激活，止损点st0初始化为b0+（n-1）*s0。 6、止损被激活后，若cl不小于前高则平仓；若cl低于止损位置则触发止损。 3、选取V的最大值的80%作为阈值T（T为正数），当W值大于T时，信号值s为1（看多），当W值 为0时，信号值s为0（平仓），当W为其他值时，信号值s等于前值。 4、将每次买入点b0与前高h0之间的空间化为10等分，则每一等分的空间为s ...

Investment Rating - The industry investment rating is "Positive" indicating an expected overall return exceeding 5% above the CSI 300 index in the next six months [51]. Core Insights - Netflix's acquisition of Warner Bros. aims to enhance content production capabilities and expand IP assets, with a transaction value of approximately $82.7 billion, expected to complete within 12-18 months. This acquisition is anticipated to drive user growth for Netflix and enhance Warner Bros.' content distribution through Netflix's streaming channels [3][5]. - Kuaishou has launched the Keling AI Video O1 model, the world's first unified multimodal video model, which integrates various video generation and editing functionalities, potentially transforming applications in e-commerce, advertising, and film [4][5]. - The report emphasizes the importance of monitoring the progress of Netflix and Warner Bros.' acquisition and business synergy, as well as the potential benefits for core suppliers like Holovis from Netflix's theme park business [5]. Summary by Sections 1. Industry Performance Overview - The Shanghai Composite Index and the media index experienced fluctuations, with the media index declining by 3.59% last week [10]. 2. Sub-industry Ratings - The film sector is rated as "Positive" [3]. 3. Key Company Announcements - Notable announcements include G-bits' shareholder return plan, Century Huatong's share buyback, and New Media's cash dividend distribution [38]. 4. Industry News - Significant developments in AI include the release of new video models by Runaway and Mistral AI, and Kuaishou's introduction of the Keling AI Video O1 model [40][41][43].

[Table_Message]2025-12-07 金融工程周报 大类资产与基金周报（20251201-20251205）—— 贵金属上涨，商品基金涨幅录得 1.03% [Table_Author] 证券分析师：刘晓锋 电话：13401163428 E-MAIL：liuxf@tpyzq.com 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 [Table_Title] [Table_Summary] 执业资格证书编码：S1190522090001 . 证券分析师：孙弋轩 电话：18910596766 E-MAIL：sunyixuan@tpyzq.com 内容摘要 太 平 洋 证 券 股 份 有 限 公 司 证 券 研 究 报 告 执业资格证书编码：S1190525080001 金 融 工 程 周 报 ◼ 大类资产市场概况：1）权益：本周 A 股市场中上证指数收盘 3902.81，涨跌幅 0.37%， 深证成指、中小板指数、创业板指、上证 50、沪深 300、中证 500、中证 1000、中证 2000、 北证 50 涨跌幅分别为 1.26%、0.76%、1.86%、1.09%、1.28%、0.94% ...

Investment Rating - The industry is rated positively, with expectations of overall returns exceeding the CSI 300 Index by more than 5% in the next six months [42]. Core Insights - The U.S. Department of Defense plans to invest $1 billion to procure over 300,000 suicide drones over the next two years, marking a significant shift towards low-cost unmanned systems for modern warfare [3][15]. - China's defense budget has consistently increased by around 7%, with defense spending as a percentage of GDP remaining below 1.5%, indicating substantial growth potential in the future [4][9]. - The structure of China's defense spending is expected to shift towards new domains and qualities, with military trade exports likely to open up larger market opportunities [4][9]. Summary by Sections Industry Insights - China's defense spending is projected to grow at a rate approximately 2 percentage points higher than GDP growth in the long term, driven by the evolution of modern warfare towards information and intelligence [4][9]. - The industry is anticipated to enter a rapid development phase driven by both domestic demand and foreign trade, with a focus on next-generation fighter jets, low-cost munitions, unmanned equipment, commercial aerospace, low-altitude economy, and deep-sea technology [4][9]. Market Performance - The Aerospace and Defense Index increased by 5.01% this week, while the CSI 300 Index rose by 1.53%. For the month, the Aerospace and Defense Index saw a 2.26% increase, contrasting with a 1.48% decline in the CSI 300 Index [10]. Industry News - The U.S. Navy is expanding its mine warfare training range in Hawaii, modernizing facilities to align with future conflicts and the latest weaponry [17]. - Germany's Bundestag passed a bill to modernize its conscription system, aiming to expand the military's size in response to European security challenges [18]. - The Iranian Revolutionary Guard conducted military exercises in the Persian Gulf, showcasing new defense and offensive capabilities [19]. - Blue Arrow Aerospace successfully launched the Zhuque-3 rocket, marking a significant milestone in China's reusable rocket technology [20]. Company Tracking - Huawu Co., Ltd. reported a reduction in shareholding by its controlling shareholder, impacting the overall ownership structure [22]. - Chaojie Co., Ltd. also experienced a reduction in shareholding by its major shareholder, indicating ongoing changes in ownership dynamics [24]. - North Industries Group announced a plan to reduce its shareholding by up to 3% due to funding needs [25].

- The report constructs an industry crowding monitoring model to monitor the crowding levels of Shenwan First-Level Industry Indexes on a daily basis[3] - The ETF product screening signal model is built using the premium rate Z-score model, which provides potential arbitrage opportunities through rolling calculations[4] - The industry crowding monitoring model indicates that the crowding levels of the communication and military industries were high on the previous trading day, while the crowding levels of the computer and non-bank industries were relatively low[3] - The premium rate Z-score model is used to identify potential arbitrage opportunities in ETF products, but it also warns of potential pullback risks[4] Model Backtesting Results - The industry crowding monitoring model shows significant changes in the crowding levels of home appliances, machinery, and media industries[3] - The premium rate Z-score model identifies ETF products with potential arbitrage opportunities, such as the top three ETFs with the highest net inflows and outflows on a single day[5]