招期金工股票策略环境监控周报（2025年12月22日-2025年12月26日）：本周宽基指数普升，可增仓复制指数T和不依赖小微盘的交易型Alpha策略-20251229

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - This week, broad - based indices generally rose, with most volatility declining. Market activity was at a medium - high level, and 77.4% of industries achieved positive returns. The current sentiment repair is relatively optimistic, component stock returns have strengthened, the profitability outside the index is poor, the basis has continuously converged to the growth level, and the intraday Alpha and trading - type Alpha environments have warmed up. Overall, the basis cost is favorable, the excess environment is weak, and the tail risk is moderately high. For long - only stock strategies, one can increase positions in trading - type Alpha or intraday Alpha, and strictly control the proportion of component stocks in long - only stock strategies with low exposure to small and micro - cap stocks. Neutral strategies can seize the window of low - cost position building and increase positions in replication T and strictly controlled exposure strategies that do not rely on the return contribution of small and micro - cap stocks [9]. 3. Summary by Relevant Catalogs 3.1 Equity Market Review - Broad - based Index Performance: As of December 26, 2025, this week, the CSI 500 index rose 4.03%, the CSI 1000 index rose 3.76%, the CSI 2000 index rose 3.06%, the CSI All - Share index rose 2.78%, the CSI A500 rose 2.75%, the SSE 50 index rose 1.95%, and the CSI Dividend index rose 0.55%. From the perspective of Barra style factors, the top three factors with the highest returns this week were BETA (1.16%), mid - cap (0.60%), and momentum (0.58%); the bottom three were leverage (0.03%), value (- 0.03%), and profitability (- 0.11%) [14]. - Industry Index Performance: This week, 77.4% of industries achieved positive returns, with the non - ferrous metals sector leading. The top three industries with the highest weekly returns were non - ferrous metals (6.43%), national defense and military industry (6.00%), and power equipment (5.37%); the bottom three were banks (- 1.01%), social services (- 1.05%), and beauty care (- 1.08%) [25]. - Style Factor Performance: The BETA, mid - cap, and momentum factors performed well, while the leverage, value, and profitability factors performed poorly. Among the Juchao stock style indices, the top three with the highest returns were small - cap growth (5.13%), mid - cap growth (3.28%), and large - cap growth (2.70%); the bottom three were mid - cap value (2.64%), small - cap value (2.19%), and large - cap value (- 0.02%) [27][32]. - Futures Market: The basis of IF, IC, and IM converged, and the basis volatility slightly increased, but the cost control pressure decreased. The estimated average returns of neutral products affected by each contract's hedging this week were - 0.38% for 300 neutral, - 0.50% for 500 neutral, and - 0.63% for 1000 neutral. Since the beginning of this year, the estimated average returns of neutral products affected by each contract's hedging were - 1.96% for 300 neutral, - 6.13% for 500 neutral, and - 7.71% for 1000 neutral [40]. - Options Market: This week, most implied volatilities declined, which is expected to be unfavorable for option - buying and arbitrage strategies [44]. 3.2 Strategy Environment Monitoring - Intraday Alpha Environment: Overall, it is conducive to intraday Alpha accumulation. The daily average trading volume of the stock market has slightly increased, the average intraday amplitude cross - sectional volatility is at a normal level, the proportion of high - volatility stocks is normal, and the short - term volatility of major indices is decreasing. Although the stock market has a daily net outflow, considering the market's upward trend, the actual capital inflow is beneficial for intraday Alpha accumulation [48][51][54]. - Trading - type Alpha Environment: The weekly average trading volume and turnover rate of the stock market are at a relatively high level, which is conducive to trading - type Alpha accumulation. The stock market shows a small - cap style, which is beneficial for trading - type Alpha accumulation, but the number of stocks that can beat the benchmark index has dropped to a low level, which is significantly unfavorable for trading - type Alpha accumulation [55][62]. - Holding - type Alpha Environment: It is generally conducive to holding - type Alpha accumulation and stability. The short - term returns of major broad - based indices are mostly positive, the trend smoothness of some factors is high, the style is small - cap, the number of daily limit and down - limit stocks is normal, the stock liquidity is normal, the volatility is high, the style return difference volatility is decreasing, the industry correlation coefficient is normal, and the factor rotation speed is at a high level [67][73][84]. - Neutral Strategy Hedging Environment: The basis of IF, IC, and IM converged, the basis volatility slightly increased, and the cost control pressure decreased [91]. 3.3 Future Strategy研判 - Return Performance: Based on the 20 - day rolling return, the relative returns of the CSI 1000, CSI 2000, and CSI 500 compared to the SSE 50 are in the normal or extremely high range, and the SSE 50 return is in the relatively high range [93]. - Derivatives Market Sentiment: In the options market, the sentiment towards the CSI 1000, SSE 50, and CSI 500 is generally cautious but shows structural differentiation. In the futures market, the basis of IF, IC, and IM converged, and market sentiment has recovered [97][102]. - Risk Preference: As of December 25, 2025, the margin trading balance was 2.53 trillion yuan, at the highest level in the past three years, indicating a high risk preference [105]. - Trading Heat: The trading heat of the SSE 50, CSI 500, CSI 1000, and CSI 2000 is at different levels, and the market trading volume is at an extremely high level [107]. - Style Attention Multiple: The CSI 1000 is in the relatively high range, the CSI 2000 is in the normal range, and the CSI 500 is in the extremely high range [110]. - Profit Spread and Dividend Spread: The profit spreads of the CSI 1000, CSI 500, CSI 2000, and SSE 50 are at different levels, mostly in the normal or extremely low range. The dividend spreads are all in the normal range [111][113]. - Trading Crowding: The trading heat of the TMT sector is in the low range, the trading heat of small - micro - cap sectors is in the high range, and the overall market trading volume is in the extremely high range [117].