宏观流动性： 上周美元指数回升，中美利差"倒挂"程度有所收敛。10Y 美债名义/实际利率均回落，通胀预期回落。离岸美元流动 性有所收紧，国内银行间资金面均衡，期限利差(10Y-1Y)走阔。 交易热度、波动与流动性： 市场交易热度有所回落，除科创 50 外，其余主要指数的波动率回升。行业上，化工、纺服、房地产、消费者服务、商 贸零售、轻工等板块交易热度在 80%分位数以上，电新、电子的波动率处于 80%历史分位数以上。 机构调研： 电子、医药、电新、机械、有色等板块调研热度居前，石油石化、房地产、非银等板块的调研热度环比仍在上升。 分析师预测： 全 A 的 25/26 年净利润预测同时被上调。行业上，金融地产、机械、军工、农林牧渔、钢铁等板块 25/26 年净利润预 测均被上调。指数上，中证 500、沪深 300 的 25/26 年净利润预测均被上调，创业板指、上证 50 则分别被下调/上调。 风格上，小盘成长、中盘价值的 25/26 年的净利润预测均被上调，小盘价值均被下调，中盘成长分别被上调/下调， 大盘成长/价值则分别被下调/上调。 北上活跃度回落，整体继续大幅净卖出 A 股 基于前 10 大活跃股口径， ...

| 研究所： | | | | --- | --- | --- | | 证券分析师： | | 赵阳 S0350525100003 | | | | zhaoy05@ghzq.com.cn | | 联系人 | ： | 郭可凡 S0350124070038 | | | | guokf@ghzq.com.cn | 2025 年 11 月 24 日 策略周报 [Table_Title] 基金发行端回暖，杠杆资金有所放缓 ——流动性周报 11 月第 1 期 最近一年走势 投资要点: 相关报告 《存款搬家如何演绎——牛市资金面专题研究 (一)*袁稻雨，胡国鹏》——2025-08-10 ETF 系列报告（一）*袁稻雨，胡国鹏》—— 2025-05-30 《业绩基准如何选择*袁稻雨，胡国鹏》—— 2025-05-29 《如何看待近期涨价领域拥挤度偏高的情况*赵 阳》——2025-11-23 《美股 AI 泡沫度量与互联网周期定位*袁野，赵阳》 ——2025-11-16 国海证券研究所 请务必阅读正文后免责条款部分 1. 宏观流动性保持宽松，央行通过公开市场操作开展 7 天逆回购 净投放 5540 亿元，连续两周实现净投放。同时， ...

北京商报讯（记者 刘四红）币圈仍在持续跌势。11月23日，北京商报记者注意到，近两日，加密资产龙头比特币持续下探，一度跌至 8万美元整数关口，较10月初12.6万美元历史峰值跌幅超30%，创近七个月以来新低，年内涨幅已悉数回吐，截至11月23日18时30分， 比特币最新报价86161美元，当日涨幅2.91%，7日内跌幅8.32%。 "加密资产波动性远超传统资产，目前短期需重点关注8万美元支撑位的有效性。如果8万美元支撑位能够有效守住，市场可能会出现 一定程度的反弹，但反弹的力度和持续性仍存在不确定性，因为目前市场面临的多重不利因素尚未完全消除。若8万美元支撑位被有 效跌破，那么比特币价格可能会进一步下探，寻找新的支撑区域。"高泽龙说道。 新智派新质生产力会客厅联合创始发起人袁帅认为，中长期而言，比特币价格仍受宏观流动性、机构参与度与监管政策三重因素驱 动，建议投资者严格控制仓位，避免使用高杠杆，防止极端行情下爆仓风险；要关注宏观与政策信号，保持理性心态，避免因短期波 动盲目追涨杀跌。 高泽龙则建议，投资者一定要理性评估风险，充分认识到加密资产市场的高风险特征，不要盲目跟风投资。在市场行情不稳定的情况 下，谨慎 ...

股市黑色星期五蔓延，加密货币抛售潮仍在继续。 11月21日，加密货币市场集体大跌，截至13:52，比特币跌逾7%，自4月以来首次跌破87000美 元，报86097.4美元。其他知名加密货币同步下跌，以太币跌近8%，索尔币跌8.37%，狗狗币 跌7.28%。 | 排名 | 而神 | 价格 | 价格(24h%) | | --- | --- | --- | --- | | 1 | R BTC | $86097.4 | -7.09% | | 2 | + ETH | $2802.56 | -7.81% | | 3 | S SOL | $131.91 | -8.37% | | 4 | X XRP | $1.9793 | -7.46% | | 5 | HYPE | $36.7 | -7.24% | | 6 | DOGE | $0.14636 | -7.28% | | 7 | BNB | $861.72 | -5.26% | | 8 | Z ZEC | $659.27 | -3.96% | 记者丨吴斌 见习记者张嘉钰 编辑丨曾静娇 OKX研究院高级研究员赵伟对21世纪经济报道记者表示，近期，比特币连续下跌。短期来 看，这主要 ...

Core Viewpoint - The recent government shutdown in the U.S. was expected to boost the cryptocurrency market, but Bitcoin and the overall crypto market have failed to recover, with Bitcoin dropping below $100,000 and nearing $90,000, erasing all gains made in 2025 [2] Market Performance - Bitcoin reached a historical high of $126,000 on October 6, 2025, but has since fallen over 28%, currently trading around $90,000 [2] - The recent decline is characterized by a "death cross" pattern, with Bitcoin breaking below the critical 50-week moving average, historically indicating the end of bull markets [2] Macro Environment - Investor expectations for a Federal Reserve rate cut in December have diminished, with only a 48.6% probability remaining for a 25 basis point cut [3] - The macroeconomic environment has worsened, leading to significant sell-offs and concentrated liquidations of leveraged positions, exacerbating the downward trend [3] Market Sentiment - The current market conditions are attributed to a combination of short-term liquidity issues, persistent selling pressure, and weak investor sentiment rather than a single triggering factor [4] - Despite easing tensions in U.S.-China relations, Bitcoin struggles to find support, with liquidity remaining thin since the market crash on October 10 [4] Institutional Involvement - Unlike previous bear markets, Bitcoin has seen increased institutional participation, with major financial institutions accepting Bitcoin as collateral, indicating a maturation of the asset class [5] - Recent data shows that most investors selling Bitcoin are still in profit, suggesting a lack of panic selling or large-scale margin calls [5] Investment Strategies - Analysts recommend that retail investors avoid trying to time the market and instead adopt a dollar-cost averaging approach for long-term investments [6] - Long-term investors should focus on macro signals rather than solely technical trends, as Bitcoin's potential for recovery is tied to global liquidity conditions [6]

每日研选 2025年，中国股市在AI科技浪潮的主导下于震荡中前行，黄金也成为令人瞩目的资产。时间即将步入2026年，未来中国股市与黄金的上涨势头能否延 续？美股、中债等其他大类资产该如何配置？ 中金公司认为，相较美股而言，中国股市上行与下行周期切换相对频繁，因此判断市场顶部的重要性更高。中金公司通过经济、政策、宏观流动性、盈利 与估值水平五个维度总结中国股票的顶部规律，发现经济与政策信号较为准确；而流动性、盈利与估值信号指引效果有限。当经济进入类滞胀或放缓阶 段，或宏观、监管、产业政策收紧时，往往预示市场顶部。 11.18 2025 星期二 解 锁 市 场 最 强 音 , 把 握 投 资 机 会 ! 2025年,中国股市在AI科技浪 潮的主导下于震荡中前行,黄 金也成为令人瞩目的资产。时 间即将步入2026年,未来中国 股市与黄金的上涨势头能否延 续?美股、中债等其他大类资 产该如何配置? 育时会出现几个主要因素,例 的大量流动性活入和抽离,在 一定程度上掩盖了传统估值指 称对价格设定的作用，这种情 对于本轮行情，中金公司基于上述5个维度信号作出以下判断：我国经济仍处在复苏阶段，通胀偏低，增长平稳，暂时看不到 ...

Summary of Conference Call Records Industry Overview - The conference call discusses the macroeconomic environment in China, focusing on the performance of the stock and bond markets, as well as the implications of macro liquidity and risk preferences on investment strategies [1][2][3]. Key Points and Arguments 1. **Macroeconomic Liquidity Trends** - In October, there was a slight easing of liquidity, but the probability of macro liquidity convergence is increasing, favoring bonds over equities [1][4]. - The current profit cycle has been declining since 2011, with expectations of low-level fluctuations entering Q4 2024 [1][11]. 2. **Private Sector Debt Growth** - The growth rate of private sector debt fell to 3.9% in September 2025, indicating a low-level fluctuation in profitability, with limited further decline expected [1][15][16]. - This trend reflects a continuous decline in profitability since 2011, with the current state being a low-level narrow fluctuation [15][17]. 3. **Investment Strategy Recommendations** - It is advised to construct a portfolio consisting of long-term bonds and value-oriented equity assets, with a focus on dividend indices and the Shanghai Composite Index [1][5]. - The highest proportion in the dividend index is currently from the banking sector [5]. 4. **Impact of International Capital Flows** - International capital flows significantly influence Chinese asset prices and the RMB exchange rate, with appreciation dependent on the performance of the real economy relative to the U.S. [1][18]. - The Chinese government has maintained a stable macro leverage ratio and other policy goals since 2016 [18][19]. 5. **Risk Preference Dynamics** - Risk preference is an endogenous variable that stabilizes when profitability does not decline further. Since August 29, there has been no significant increase in risk preference, indicating limited upward potential [1][8][24]. - The overall risk preference has shown a slight decline, necessitating a focus on value styles rather than growth styles in the current environment [24]. 6. **Policy Implications** - Domestic policies play a crucial role in economic and market dynamics, with the effectiveness of easing policies dependent on their ability to stimulate economic growth [10][20]. - In a deflationary context, there is a conflict between expansionary policies and debt reduction goals, requiring careful management of asset positions [21][22]. 7. **Future Economic Outlook** - The expectation is for macro liquidity to exhibit a converging trend towards the end of the year, with a focus on value styles unless there are signs of improvement in macro liquidity or risk preference [26]. - Continuous monitoring of data changes is essential for timely adjustments to investment strategies [26]. Other Important Insights - The relationship between the profit cycle and demographic structure suggests that significant improvements in the profit cycle are unlikely without substantial demographic changes [17]. - The analysis of private sector debt growth serves as a critical indicator for observing profitability trends, reflecting broader economic expectations [14][15]. - The distinction between "volume-price" relationships in market conditions highlights the importance of understanding market dynamics for investment strategies [22]. This summary encapsulates the key insights from the conference call, providing a comprehensive overview of the current economic landscape and investment strategies in the context of China's market.

Group 1: Macro Liquidity - The US dollar index has declined, and the degree of "inversion" in the China-US interest rate spread has narrowed. Inflation expectations have decreased [1][12]. - Offshore dollar liquidity has generally loosened, while domestic interbank liquidity remains balanced and slightly loose [1][18]. Group 2: Market Trading Activity - Overall market trading activity has decreased, with major indices also showing a decline in volatility. However, over half of the sectors still maintain trading activity above the 80th percentile [2][28]. - The volatility of major indices has decreased, while the volatility of the communication and electronics sectors remains above the 80th historical percentile [2][30]. Group 3: Institutional Research - The electronic, pharmaceutical, non-ferrous metals, electric new energy, and food and beverage sectors have seen high research activity, with steel, electric new energy, media, textile and apparel, and construction sectors experiencing a rise in research activity [3][41]. Group 4: Analyst Forecasts - The net profit forecasts for the entire A-share market for 2025 and 2026 have been adjusted, with increases in the transportation, construction, non-bank financials, military, computer, and banking sectors [4][21]. - The net profit forecasts for the Shanghai Stock Exchange 50 index for 2025 and 2026 have been raised, while the forecasts for the CSI 500 and ChiNext indices have been lowered [4][23]. Group 5: Northbound Trading Activity - Northbound trading activity has decreased, with a slight net sell-off in A-shares. The trading volume ratio in sectors like electric new energy, home appliances, and computers has increased [5][32]. - Northbound trading has shown net buying in sectors such as electronics, machinery, and chemicals, while net selling has occurred in pharmaceuticals, food and beverages, and non-bank financials [5][33]. Group 6: Margin Financing Activity - Margin financing activity has significantly decreased to the lowest level since mid-August 2025, with a slight net buying of 6.736 billion yuan last week, primarily in electric new energy, chemicals, and pharmaceuticals [6][35]. - The proportion of financing purchases in sectors like steel, agriculture, forestry, animal husbandry, and petrochemicals has increased [6][38]. Group 7: Fund Activity - The positions of actively managed equity funds have decreased, with net redemptions in ETFs, particularly among institutional ETFs. Active equity funds have mainly increased positions in non-ferrous metals, automobiles, and home appliances [8][45]. - The correlation of actively managed equity funds with large-cap growth and mid/small-cap value has increased, while the correlation with mid/small-cap growth and large-cap value has decreased [8][48].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the past 4 weeks, the domestic stock and bond markets both rose slightly, mainly due to the marginal relaxation of the capital market in October, with a slight decline in risk appetite and no unexpected overall trend [2]. - Looking ahead to November, profits will continue to run smoothly. After a slight improvement in the capital market at the beginning of the month, the risk of marginal convergence of macro - liquidity is increasing, and risk appetite is likely to continue to decline. The trend of bond - equity ratio favoring bonds and equity style favoring value remains unchanged. A combination of long - term bonds and value stocks is recommended [2][14][41]. - China's profit cycle may have entered a low - level narrow - range oscillation stage since the fourth quarter of last year. The private sector debt growth rate is introduced as a supplementary variable to proxy for profit, and currently, the further downward space of this data is limited [3]. - The domestic part of macro - liquidity corresponds to policies. In the long run, policies are endogenous and should conform to the economic cycle. China's policy goals of stabilizing the macro - leverage ratio and financial institutions benefiting the real economy have remained stable [3]. 3. Summary by Relevant Catalogs 3.1全社会债务情况 - As of the end of September, China's total social debt balance was 500.1 trillion yuan, with a year - on - year growth of 8.4%, down from the previous value of 8.8% [16]. - At the end of September, the debt balance of financial institutions (inter - bank) was 91.5 trillion yuan, with a year - on - year growth of 6.4%, down from the previous value of 8.0% [18]. - At the end of September, the debt balance of the real sector was 408.6 trillion yuan, with a year - on - year growth of 8.8%, down from the previous value of 8.9%. Among them, the household debt balance was 81.9 trillion yuan, with a year - on - year growth of 2.2%; the government debt balance was 117.1 trillion yuan, with a year - on - year growth of 14.5%; the non - financial enterprise debt balance was 209.7 trillion yuan, with a year - on - year growth of 8.5% [21][23]. - In September, the profit of industrial enterprises increased by 21.6% year - on - year, and the profit of state - owned enterprises increased by 7.5% year - on - year [26]. 3.2金融机构资产负债详解 - As of the end of September, the debt balance of broad financial institutions was 164.9 trillion yuan, with a year - on - year growth of 5.9%, down from the previous value of 6.1%. Among them, the bank debt balance was 135.5 trillion yuan, with a year - on - year growth of 7.1%; the non - bank financial institution debt balance was 29.4 trillion yuan, with a year - on - year growth of 0.8% [29]. - In September, the three quantitative indicators of monetary policy (base money balance growth rate, financial institution debt growth rate, and excess reserve ratio) showed two declines and one increase. Monetary policy continued to converge marginally in September, slightly relaxed in October, and the probability of further convergence remains high [7][14][31]. - The newly constructed NM2 has a similar trend to M2 but a lower absolute level since 2017. The recent situation indicates that the probability of further marginal convergence of monetary policy is still large [38]. 3.3资产配置 - In the past 4 weeks, the domestic stock and bond markets both rose slightly. Looking ahead to November, a combination of long - term bonds and value stocks is recommended [2][41]. - In September, the year - on - year growth rate of bank bond investment balance was 18.8%, lower than the previous value of 19.6%. The growth rate of the central bank and banks' total foreign asset balance was 3.6%, higher than the previous value of 3.4% [41][42]. - It is expected that the real economic growth rate of the United States will decline this year, inflation will remain high, and the nominal economic growth rate will decrease. The debt growth rate of the US real sector is expected to remain stable at around 3.4%. If the valuation of the US technology field is re - evaluated, global funds may flow from the US to China [15][42].

Report Overview - Report Date: November 7, 2025 [3] - Author: Zheng Yuting from the Macro - Financial Research Center of Guomao Futures Research Institute [3] Market Interest Rates - DROO1 closed at 1.32 with a 0.15 bp increase; DR007 closed at 1.43 with a 1.24 bp decrease [4] - GC001 closed at 1.32 with an 11.00 bp decrease; GC007 closed at 1.47 with no change [4] - SHBOR 3M closed at 1.59 with a 0.15 bp decrease; LPR 5 - year remained at 3.50 [4] - 1 - year treasury bond yield was 1.40 with a 0.23 bp decrease; 5 - year treasury bond yield was 1.58 with a 0.52 bp increase [4] - 10 - year treasury bond yield was 1.81 with a 1.06 bp increase; 10 - year US treasury bond yield was 4.09 with a 2.33 bp decrease [4] Central Bank Operations - The central bank conducted 92.8 billion yuan of 7 - day reverse repurchase operations yesterday, with 342.6 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 249.8 billion yuan [4] - This week, 2.068 trillion yuan of reverse repurchases will mature in the central bank's open market, and 70 billion yuan of 91 - day repurchase - style reverse repurchases will mature on Friday [5] Stock Indexes and Futures Stock Indexes - CSI 300 rose 1.43% to 4693.4; SSE 50 rose 1.22% to 3044.7; CSI 500 rose 1.61% to 7345.7; CSI 1000 rose 1.17% to 7551.8 [6] - The trading volume of the Shanghai and Shenzhen stock markets was 2.0552 trillion yuan, an increase of 182.9 billion yuan from the previous day [6] Stock Index Futures - IF当月 rose 1.6%; IH当月 rose 1.3%; IC当月 rose 1.9%; IM当月 rose 1.3% [6] - IF trading volume decreased 4.5%, and its position decreased 2.0%; IH trading volume decreased 3.1%, and its position decreased 0.8% [6] - IC trading volume decreased 9.3%, and its position decreased 2.7%; IM trading volume decreased 14.8%, and its position decreased 4.6% [6] Market Analysis and Strategy - Yesterday, the stock index continued to rebound, and the technology sector recovered. Rumors of support for domestic chips and a 50% price increase in HBM4 supply between SK Hynix and NVIDIA boosted relevant sectors [7] - In the short term, in November, the stock index enters a macro - relatively vacuum period. Liquidity factors may dominate market strength, and the stock index is expected to fluctuate strongly under the background of abundant macro - liquidity [7] - In the long - term, the stock index still has room to rise, but the upward pace will not be rapid. The strategy suggests seizing opportunities to go long and using the discount structure of stock index futures to enhance the advantage of long - term long strategies [7] Futures Contract Premium and Discount - IF升贴水: 4.98% (current month), 4.09% (next month), 3.22% (current quarter), 3.27% (next quarter) [8] - IH升贴水: 1.39% (current month), 0.93% (next month), 0.60% (current quarter), 0.64% (next quarter) [8] - IC升贴水: 13.62% (current month), 11.48% (next month), 9.93% (current quarter), 10.00% (next quarter) [8] - IM升贴水: 20.63% (current month), 16.50% (next month), 13.17% (current quarter), 12.40% (next quarter) [8]