一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.51%，本年超额收益21.85%。 中证500指数增强组合本周超额收益-0.73%，本年超额收益6.17%。 中证1000指数增强组合本周超额收益-1.12%，本年超额收益15.93%。 中证A500指数增强组合本周超额收益-0.28%，本年超额收益10.62%。 二、本周选股因子表现跟踪 沪深300成分股中一年动量、标准化预期外盈利、预期净利润环比等因子表 现较好。 中证500成分股中预期净利润环比、标准化预期外盈利、DELTAROE等因子 表现较好。 中证1000成分股中一个月反转、单季营收同比增速、标准化预期外收入等因 子表现较好。 中证A500指数成分股中预期净利润环比、一年动量、标准化预期外盈利等因 子表现较好。 公募基金重仓股中一年动量、预期净利润环比、单季净利同比增速等因子表 现较好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高1.61%，最低-0.73%，中位数 0.01%。 中证500指数增强产品本周超额收益最高0.79%，最低-2.23%，中位 数-0.49%。 中证1000指数增强产品本周超 ...

证券研究报告 | 2025年12月27日 多因子选股周报 动量因子表现出色，沪深 300 增强组合年内超额 21.85% 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，一年动量、标准化预期外盈利、预 期净利润环比等因子表现较好，而一个月波动、三个月波动、三个月换手等 因子表现较差。 以中证 500 指数为选股空间。最近一周，预期净利润环比、标准化预期外盈 利、DELTAROE 等因子表现较好，而三个月波动、一个月波动、三个月机 构覆盖等因子表现较差。 以中证 1000 指数为选股空间。最近一周，一个月反转、单季营收同比增速、 标准化预期外收入等因子表现较好，而一个月波动、三个月波动、BP 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，而三个月波动、一个月波动、EPTTM 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 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 799 亿元。中证 500 指数增强产品共有 76 只，总规模 ...

从12月24日至1月5日的"圣诞老人行情"历来为投资者带来丰厚回报，自1928年以来，标普500指数在此 期间平均上涨1.6%。在过去97年中，该指数在这七天内上涨的概率高达77%(75年)。Oppenheimer技术 分析主管Ari H.Wald指出，这一表现与任何典型的七天周期形成鲜明对比，后者平均涨幅仅为0.2%，上 涨概率为57%。而且，当"圣诞老人行情"未能出现时，接下来一到两个季度的表现往往低于平均水平。 Wald表示："自1928年以来，标普500指数在经历一次下跌的圣诞行情后，接下来的三个月平均下跌 1%，而经历一次上涨的圣诞行情后，接下来的三个月平均上涨2.6%。"他还引用了华尔街一句老 话："如果圣诞老人不来，熊市可能就要来了。" 即一种流行的理论认为，美国股市在1月份的涨幅往往高于其他月份。这种现象被称为"一月效应"，因 为研究表明，一月份的涨幅是其他月份均值的几倍。这种影响在1940年至1970年代中期的小型公司股票 中最为明显。但在2000年前后，这一涨幅似乎有所收缩，自那以后就不那么可靠了。 展望1月份，Oppenheimer分析师根据该指数相对于其200日移动平均线的位置，发现了 ...

Core Insights - The Federal Reserve's recent rate cut has led to a market rally, but the growth forecast for 2025 and 2026 remains concerning, with initial projections showing only 1.7% and 1.8% growth respectively, although a recent revision suggests a potential increase to 2.3% for 2026 [2][3] Economic Projections - The Fed's growth forecast for 2023 and 2024 appears strong, but the outlook for 2025 is weak, with a notable upward revision for 2026 [2][3] - Inflation expectations have significantly decreased, indicating a potential for a more favorable economic environment [3] Market Dynamics - There is a potential for a "Goldilocks" scenario with improved growth and reduced inflation, possibly driven by productivity gains from AI deployment [4] - The easing cycle may be sustained longer than anticipated, benefiting stock markets [5] Sector Performance - A rotation in the market is observed, with small-cap stocks and non-tech sectors performing better, although tech stocks are still expected to show strong earnings [6][8] - The gap between tech operating margins and the rest of the market needs to close to justify continued rotation into non-tech sectors [9] Investment Strategies - Current market conditions suggest a focus on value sectors such as industrials, healthcare, and financials, as earnings growth forecasts for 2026 are being revised positively [12][13] - The correlation between quality and value investing has shifted post-pandemic, with momentum being the only consistently performing factor [10][11]

Core Viewpoint - The article discusses the pitfalls of the "Buy the Dip" strategy in investing, emphasizing that it often underperforms compared to a passive buy-and-hold approach and trend-following strategies [3][6]. Group 1: The Reality of Buying the Dip - The article highlights that over the past five years, investors have adopted a linear thinking approach: buying more as prices drop, believing that the market will eventually recover [3][4]. - AQR Capital Management's report analyzed 60 years of S&P 500 data and found that various dip-buying strategies underperformed compared to simply holding investments [10][11]. - The average Sharpe ratio for dip-buying strategies was lower than that of a buy-and-hold strategy, indicating a 16% reduction in risk-adjusted returns [11][12]. Group 2: Lack of Alpha in Dip-Buying - The report indicates that the average annualized alpha for dip-buying strategies was only 0.5%, with less than 8% of strategies showing statistically significant alpha [15]. - Holding investments for longer periods often leads to returns that reflect overall market performance rather than the effectiveness of the dip-buying strategy [19][20]. Group 3: The Flaws in Timing the Market - The article explains that dip-buying is essentially a value trade executed during a momentum phase, which often leads to poor timing and losses [21][26]. - Data shows a negative correlation between dip-buying strategies and trend-following strategies, suggesting that dip-buying often goes against market momentum [28][30]. Group 4: The Superiority of Trend Following - The article advocates for trend-following strategies, which have shown higher average annualized alpha compared to dip-buying strategies [31]. - During market downturns, trend-following strategies have historically provided better protection and even positive returns, contrasting sharply with the losses incurred by dip-buying strategies [35][36]. Group 5: The Ultimate Strategy: Portable Alpha - AQR proposes a "Portable Alpha" strategy that combines a long position in equities with a trend-following strategy, resulting in higher annualized excess returns and better risk-adjusted performance [41][42]. - This approach allows investors to benefit from market growth while also having a protective mechanism during downturns, effectively hedging risks [44][45]. Group 6: Practical Advice for Investors - The article concludes with three key recommendations for investors: avoid the temptation to time the market with dip-buying, respect market trends by incorporating trend-following strategies, and adopt a long-term investment perspective [49][54].

Group 1 - The performance of the HuShen 300 index enhanced portfolio achieved an excess return of 0.64% this week and 17.85% year-to-date [5][17] - The performance of the Zhongzheng 500 index enhanced portfolio recorded an excess return of 0.00% this week and 7.07% year-to-date [5][17] - The Zhongzheng 1000 index enhanced portfolio had an excess return of 0.21% this week and 14.89% year-to-date [5][17] - The Zhongzheng A500 index enhanced portfolio achieved an excess return of 0.44% this week and 8.26% year-to-date [5][17] Group 2 - In the HuShen 300 constituent stocks, factors such as three-month institutional coverage, one-year momentum, and single-quarter ROE performed well [6][8] - In the Zhongzheng 500 constituent stocks, factors like one-year momentum, expected net profit month-on-month, and DELTAROE showed strong performance [6][8] - For Zhongzheng 1000 constituent stocks, factors such as single-quarter revenue year-on-year growth, DELTAROA, and standardized expected external income performed well [6][8] - In the Zhongzheng A500 index constituent stocks, one-year momentum, standardized expected external profit, and standardized expected external income were strong factors [6][8] Group 3 - The HuShen 300 index enhanced products had a maximum excess return of 2.01%, a minimum of -0.78%, and a median of 0.19% this week [21] - The Zhongzheng 500 index enhanced products recorded a maximum excess return of 0.93%, a minimum of -2.16%, and a median of 0.05% this week [22] - The Zhongzheng 1000 index enhanced products achieved a maximum excess return of 1.47%, a minimum of -0.59%, and a median of 0.39% this week [23] - The Zhongzheng A500 index enhanced products had a maximum excess return of 1.47%, a minimum of -0.59%, and a median of 0.39% this week [24]

Core Viewpoint - The U.S. stock market appears to be stabilizing after a recent sell-off, despite disruptions caused by the Chicago Mercantile Exchange outage [1] Group 1: Market Dynamics - Bloomberg macro strategist Simon White indicates that the upward momentum in the U.S. stock market is waning, and the likelihood of a strong year-end rebound is minimal due to significantly reduced buyback activity [2] - The market has shifted from a focus on "momentum" and "trading" factors to a resurgence of the "value" factor, which has taken the lead, while the previously dominant "trading" factor has plummeted to the bottom [3] Group 2: Corporate Buybacks - The corporate buyback trend, a key driver of the current bull market, is rapidly declining. Although November and December are typically strong months for buybacks, the ability of tech giants to continue large-scale buybacks is constrained due to aggressive capital expenditures throughout the year [4] - The "momentum factor" is currently underperforming compared to the S&P 500 index, indicating a potential risk for year-end market performance [5] Group 3: Market Conditions - An analysis of market conditions over the past 25 years shows that the current market is in a "headwind period" characterized by low returns [6] - When the momentum factor outperforms the market, rebounds tend to be healthy and strong. Conversely, when it underperforms, as seen recently, it often corresponds with flat or negative index returns [7] Group 4: Investor Sentiment - Despite the challenges, the overall liquidity in the market remains ample, providing a solid support base for U.S. stocks. However, this does not imply significant upward potential, as weak momentum and limited corporate buyback intentions suggest that expectations for a dramatic year-end rally may be unrealistic [8]

Core Insights - The conference emphasized the importance of multi-asset and multi-strategy investments for sustained profitability [1] - Valuation is crucial in investment decisions, with the A-share market showing structural performance and significant value gaps [1] - The PE ratio of the CSI 300 is at 12.5, compared to the S&P 500's PE of 23, indicating potential for growth [1] - Identifying performance and momentum factors is essential for investment success [1] - Risk allocation should be based on risk tolerance and the time available for disposable assets [1] Group 1 - The conference highlighted the need for diverse investment strategies to achieve consistent returns [1] - The speaker pointed out that all assets fluctuate around their value, making valuation a key consideration [1] - There are many undervalued opportunities in the Chinese market, particularly within the A-share market [1] Group 2 - The speaker suggested that patience is more important than intelligence in investing, as it allows for profit across various assets [2] - For short-term disposable assets (3 to 6 months), low-volatility investments with slow growth are recommended [1]

Core Points - The Momentum Factor R Index (480057) closed at 2822.78 points, down 0.48%, with a trading volume of 27.937 billion yuan and a turnover rate of 1.23% [1] - Among the index constituents, 17 stocks rose while 31 fell, with Dazhong Mining leading the gainers at 4.77% and Ruida Futures leading the decliners at 9.99% [1] Index Constituents Summary - The top ten constituents of the Momentum Factor R Index include: - Heertai (sz002402) with a weight of 5.84%, latest price at 51.09, down 1.28%, total market value of 47.243 billion yuan, in the electronics sector [1] - Dingtai High-Tech (sz301377) with a weight of 4.64%, latest price at 109.01, down 3.02%, total market value of 44.694 billion yuan, in the machinery equipment sector [1] - Shunluo Electronics (sz002138) with a weight of 3.96%, latest price at 35.30, down 2.05%, total market value of 28.463 billion yuan, in the electronics sector [1] - Zhongsheng Shengtai (sz000039) with a weight of 3.89%, latest price at 8.74, up 1.63%, total market value of 47.131 billion yuan, in the machinery equipment sector [1] - Ping An Bank (sz000001) with a weight of 3.80%, latest price at 11.80, up 1.81%, total market value of 228.990 billion yuan, in the banking sector [1] - Mengmai Technology (sz002595) with a weight of 3.59%, latest price at 67.22, up 1.57%, total market value of 53.776 billion yuan, in the machinery equipment sector [1] - Linggongquan (sz002884) with a weight of 3.41%, latest price at 17.17, down 0.29%, total market value of 6.141 billion yuan, in the machinery equipment sector [1] - Weichai Power (sz000338) with a weight of 3.17%, latest price at 17.20, down 1.26%, total market value of 149.874 billion yuan, in the automotive sector [1] - Huafeng Chemical (sz002064) with a weight of 3.00%, latest price at 9.67, down 0.41%, total market value of 47.988 billion yuan, in the chemical sector [1] - Tuxin Securities (sz002736) with a weight of 2.93%, latest price at 13.54, unchanged, total market value of 138.673 billion yuan, in the non-banking financial sector [1] Capital Flow Analysis - The Momentum Factor R Index constituents experienced a net outflow of 949 million yuan from main funds, a net outflow of 126 million yuan from speculative funds, and a net inflow of 1.075 billion yuan from retail investors on the same day [1]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - This week, the proportion of short positions in commodities has rebounded, mainly due to the decline in the factor strength of the precious metals and non - ferrous sectors, while the black sector has recovered. The black sector is relatively strong in cross - section, while the non - ferrous and agricultural sectors are relatively weak [3]. - The comprehensive signals of methanol, float glass, iron ore, and lead have different trends this week, with methanol and float glass showing long signals, iron ore showing a short signal, and lead maintaining a short signal [5][8][11]. 3. Summary by Related Content Commodity Market Overview - In the precious metals sector, the time - series momentum of gold has declined, and the trading volume of silver has decreased significantly, with an expanding divergence at both ends of the cross - section. In the non - ferrous sector, the position factor has decreased marginally, the cross - section momentum divergence has narrowed, and lead is relatively weak in the cross - section. In the black sector, the positions of iron ore and rebar have decreased slightly, but the short - term momentum time - series has recovered, and rebar is relatively strong in the cross - section. In the energy sector, the short - term momentum factor has declined, and the chemical sector is at the relatively strong end of the cross - section. In the agricultural products sector, the cross - section divergence of oil and meal has narrowed, and the overall long - term momentum has stabilized slightly [3]. Strategy Net Value and Fundamental Factors - **Methanol**: Last week, the supply factor increased by 0.57%, the demand factor decreased by 0.40%, the inventory factor strengthened by 0.58%, and the synthetic factor increased by 0.45%. This week, the comprehensive signal has turned long. In terms of fundamental factors, the supply side has turned neutral, the demand side has weakened from a long signal to neutral, the inventory side is long, and the spread side is slightly bearish [5]. - **Float Glass**: Last week, the profit factor increased by 0.05%, the spread factor weakened by 0.36%, and the synthetic factor decreased by 0.26%. This week, the comprehensive signal is long. The supply side is neutral, the demand side is slightly bearish, the inventory side is long, and the spread side has weakened significantly from a long signal to neutral [8]. - **Iron Ore**: Last week, the supply factor decreased by 0.2%, the inventory factor strengthened by 0.3%, and the comprehensive factor increased by 0.06%. This week, the comprehensive signal has turned short. The supply side remains bearish, the demand side has turned bearish, the inventory side has turned neutral, and the spread side remains neutral [11]. - **Lead**: Last week, the supply factor decreased by 0.18%, the demand factor weakened by 0.17%, the inventory factor decreased by 0.16%, the spread factor weakened by 0.07%, and the synthetic factor decreased by 0.14%. This week, the comprehensive signal remains short. The supply side has turned neutral, the inventory side remains bearish, and the spread side remains bearish [11].