Core Viewpoint - The current market environment is characterized by a significant number of companies experiencing declines, with over 3,000 companies seeing substantial drops since October, despite the Shanghai Composite Index showing limited retreat [4][5]. Market Performance - Since October, more than 3,000 companies have faced significant declines, with 1,100 companies rising by over 10%. A total of 3,300 companies have retreated by more than 10%, 2,049 by over 15%, and 1,024 by over 20% [4]. - The Hang Seng Technology Index has seen a nearly 20% drop, with individual stocks experiencing declines of 20-30% [5]. Market Sentiment - The question of whether a bull market still exists is raised, with the current sentiment suggesting a struggle due to high valuations and weak fundamentals [6][7]. Reasons for Market Retreat - The recent market retreat is attributed to high valuations in sectors like innovative pharmaceuticals, semiconductors, and AI, which have not seen new developments to justify their prices [9]. - The consumer sector, particularly in areas like liquor, has also shown weakness, with companies like Moutai hitting new lows [11]. Economic Environment - The macroeconomic environment remains weak, with indicators such as PMI orders declining and consumer spending showing no signs of recovery [14]. - Predictions indicate that housing prices may continue to decline, impacting household wealth and consumer confidence [15][17]. Future Outlook - The government is expected to increase liquidity support, especially with the upcoming Federal Reserve meeting and domestic economic conferences [18][19]. - The technology sector is anticipated to remain a focal point, with potential opportunities for bottom-fishing in specific segments [20]. - The market may experience a difficult period for another half month, but the bull market is still considered to be intact, pending macroeconomic support [23].

网上又都是黄金5500，白银80，美元再跌10%之类的话题了，大家又要很兴奋的高喊要做多金银铜了，美国高盛的大卫所罗门、桥水的达利 欧、还有约翰·保尔森这几个老多头联合起来，通过这轮拔网线行动，打了一次现货供需差，赚了一大票，这种走势不洗，后面就要给散户和现 货商去送钱了！而这个市场，很多人都把现货和商品混为一谈，殊不知，一旦消费端通缩，上游的供需的关系立马就失去了核心预计，人类重 回金银本位就意味着下一代的持续通缩，对于大佬是好事，对于普通人而言，别谈自己的金银储备，因为这个市场，其实并不对普通人开放。 因此，我还是这个观点，美元会降息，但按当下的几个市场上的炒作热情和流动性冻结幅度，美元后面依然会紧张（证券化市场和银行市 场）！传统意义上，降息通常对于传统金融而言意味着货币宽松，但按美债这个规模，如果也要走日本模式，同时，我们也跟进的话，估计会 让全球掀起负利率竞赛或者加息大赛，引发金融巨震，因此，2026年对于世界金融的看法请改下观念，很多事情要从流动性和债务的角度去 看！ 而影响市场情绪的另一重要依据就是美国的制造业经济和就业的复苏！ 2025年11月美国ISM制造业PMI指数降至48.2，较上月下降 ...

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core View of the Report - On December 1st, most domestic commodity futures closed higher, with precious metals leading the gains, while agricultural products showed mixed performance. Industrial products mostly rose, and agricultural products had both gains and losses [1] - The focus of the steel futures market in December will shift from reality to macro - expectations, and short - term market sentiment is favorable [1] - The rising trend of basic metals is supported by multiple factors, and the fundamentals of aluminum are relatively stable [1] - The geopolitical situation and OPEC's production plan affect the energy - chemical products market, and the pressure on oil prices may increase if Russian oil returns to normal [1] - The short - term soybean market lacks new drivers, and palm oil prices may rise if the减产 logic is confirmed [1] Group 3: Summary by Relevant Catalog Black Series - All black series commodities rose. The recent demand for finished products improved, speculative demand rebounded significantly, and inventory continued to decline. Last week, the inventory of the five major steel products decreased by 2.25% to 1400.81 million tons, reaching a 3.5 - month low, while production increased by 0.68% to 85.71 million tons, and apparent demand slightly decreased by 0.69% to 88 million tons, still higher than the same period last year [1] Basic Metals - Most basic metals rose. The price of copper broke through the previous high, and the upward trend is supported by multiple factors in the medium term. The price of aluminum fluctuated upward, with low inventory and resilient demand [1] Energy - Chemical Products - Most energy - chemical products rose. International oil prices pulled up strongly in Asian electronic trading, and the domestic crude - oil series mostly rose. Geopolitical contradictions remain, and OPEC plans to maintain the current production plan. The pressure on oil prices will increase if Russian oil returns to normal [1] Oilseeds and Oils - Most oilseeds and oils rose. The price of US soybeans declined, and the domestic soybean meal market lacks new drivers. Palm oil prices are supported by seasonal production reduction expectations, and the price may rise if the reduction logic is confirmed [1] Index Changes - The comprehensive index of Guomao Commodities rose by 1.13% from 2200 to 2224.82 [1] - The daily consumption index rose by 0.85% from 1587.47 to 1601.03 [1] - The Guomao Black Commodity Index rose by 1.12% from 1700.99 to 1720.10 [1] - The Guomao Energy - Chemical Index decreased by 0.05% from 575.99 to 575.72 [1] - The Guomao Oilseeds and Oils Index rose by 0.03% from 2124.65 to 2125.19 [1]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The bond market fluctuates between stable growth and easing expectations, affected by the stock market, delayed Fed rate - cut expectations, and increased global trade uncertainties. It is recommended to pay attention to the policy signals at the end of the month in the short term [1][3] - For trading strategies, the 2603 contract of treasury bond futures is neutral for unilateral trading; pay attention to the decline of the 2603 basis for arbitrage; and short - side investors can use far - month contracts for appropriate hedging due to the medium - term adjustment pressure [4] 3. Summary by Relevant Catalogs 3.1 Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) has a month - on - month and year - on - year increase of 0.20%; China's PPI (monthly) has a month - on - month increase of 0.10% and a year - on - year decrease of 2.10% [9] - Economic indicators (monthly update): Social financing scale is 437.72 trillion yuan, with a month - on - month increase of 0.64 trillion yuan and a growth rate of 0.15%; M2 year - on - year is 8.20%, with a decrease of 0.20 percentage points and a decline rate of 2.38%; Manufacturing PMI is 49.20%, with an increase of 0.20 percentage points and a growth rate of 0.41% [10] - Economic indicators (daily update): The US dollar index is 99.42, with a decrease of 0.05 and a decline rate of 0.05%; The US dollar against the offshore RMB is 7.0710, with a change of 0.000 and a decline rate of 0.01%; SHIBOR 7 - day is 1.45, with an increase of 0.02 and a growth rate of 1.18%; DR007 is 1.46, with a decrease of 0.01 and a decline rate of 0.60%; R007 is 1.51, with a decrease of 0.02 and a decline rate of 1.24%; The 3 - month inter - bank certificate of deposit (AAA) is 1.59, with a change of 0.00 and a decline rate of 0.11%; The AA - AAA credit spread (1Y) is 0.10, with a change of 0.00 and a decline rate of 0.11% [10] 3.2 Overview of the Treasury Bond and Treasury Bond Futures Market - On December 1, 2025, the closing prices of TS, TF, T, and TL were 102.41 yuan, 105.84 yuan, 108.04 yuan, and 114.37 yuan respectively, with the corresponding price changes of 0.03%, 0.10%, 0.12%, and - 0.08% [3] - The average net basis of TS, TF, T, and TL was - 0.037 yuan, - 0.149 yuan, - 0.143 yuan, and - 0.139 yuan respectively [3] - There are multiple figures showing the closing price trends, price changes, capital flow, position ratios, etc. of treasury bond futures [7][12][15] 3.3 Overview of the Money Market Funding Situation - From January to October 2025, the general public budget revenue increased by 0.8% year - on - year, with tax revenue improving for eight consecutive months, but non - tax revenue dragging down the overall growth rate. The general public budget expenditure increased only by 2% year - on - year and slowed down for three consecutive months [2] - At the end of October, the social financing and credit maintained a low - level expansion, while government bond issuance remained strong, and the financing demand of enterprises and residents was weak. The M1 declined, and the M2 - M1 gap widened, indicating weak business vitality in the real economy [2] - On December 1, 2025, the central bank conducted 107.6 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2] - The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.307%, 1.454%, 1.477%, and 1.519% respectively, and the repurchase rates have rebounded recently [2] - There are multiple figures showing the Shibor rate trends, inter - bank certificate of deposit yields, bank - to - bank pledged repurchase transactions, and local government bond issuance [7][26][29] 3.4 Spread Overview - There are multiple figures showing the inter - term spread trends of treasury bond futures and the term spread between spot bonds and cross - variety spreads of futures [7][28][33] 3.5 Two - year Treasury Bond Futures - There are figures showing the implied interest rate and maturity yield of the two - year treasury bond futures main contract, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [7][36][46] 3.6 Five - year Treasury Bond Futures - There are figures showing the implied interest rate and maturity yield of the five - year treasury bond futures main contract, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [7][48][52] 3.7 Ten - year Treasury Bond Futures - There are figures showing the implied yield and maturity yield of the ten - year treasury bond futures main contract, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [7][54][56] 3.8 Thirty - year Treasury Bond Futures - There are figures showing the implied yield and maturity yield of the thirty - year treasury bond futures main contract, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [7][61][67]

Core Viewpoint - The cryptocurrency market is experiencing a significant downturn, with Bitcoin's price dropping below $87,000 and a cumulative decline of over 31% since its peak in October [1][2]. Market Performance - Bitcoin's price fell to $86,680, marking a 24-hour decline of 5.14% and a monthly drop of nearly 20% [1]. - Ethereum's price decreased to $2,839, with a 24-hour decline of 5.67% and a monthly drop of 25.37% [1]. - Ripple's price fell to $2.04, with a 24-hour drop of 6.9% [1]. - Binance Coin and DOGE also experienced declines of 6.03% and 7.98%, respectively [1]. Causes of the Downturn - The primary driver of the downturn is the marginal tightening of macro liquidity, with the U.S. Federal Reserve delaying interest rate cuts and the U.S. Treasury withdrawing approximately $200 billion from market liquidity due to government shutdowns [2]. - The market structure is fragile, with insufficient buying support and a recent trend of net outflows exceeding $1 billion from Bitcoin ETFs [2]. - Regulatory pressures and negative market sentiment have further exacerbated the situation, with recent statements from the People's Bank of China reiterating that cryptocurrency activities are illegal [2]. Leverage and Market Volatility - The use of leveraged contracts has amplified the volatility in the cryptocurrency market, with over 190,000 liquidations occurring in a single day, totaling approximately $553 million [3]. - High leverage can lead to significant losses, as even a 10% price drop can wipe out margin for leveraged positions [3]. - The cascading effect of liquidations can create a vicious cycle of selling and further price declines [3]. Future Outlook - The cryptocurrency market is expected to remain under pressure in the short term, with the medium to long-term outlook dependent on liquidity conditions [4]. - Regulatory trends are moving towards stricter oversight, particularly in China, where cryptocurrency activities are deemed illegal [4]. - Market participants are advised to treat high-leverage trading as a professional tool rather than a personal speculative strategy [4].

专家认为，12月流动性阶段性扰动主要来自三方面因素，包括政府债集中发行、中长期流动性回笼1.7 万亿元、个别时点存单单日到期规模较大等。 从政府债看，华西证券宏观联席首席分析师肖金川表示，12月政府债净发行规模或回落至年内低位。天 风证券固收首席分析师谭逸鸣表示，临近年末，财政支出往往对资金面形成支撑，今年政府债发行节奏 较去年同期相对前置，对应12月财政支出节奏或有提速。 "目前，央行中短期流动性的投放方式已经基本固定，即每月5日前后开展3个月期买断式逆回购、15日 前后开展6个月期买断式逆回购、25日开展MLF（中期借贷便利）操作。"招联首席研究员董希淼说，央 行通过MLF和买断式逆回购向银行体系注入中期流动性，有助于资金面保持较为稳定的充裕状态。 《2025年第三季度中国货币政策执行报告》提出，综合运用多种货币政策工具，保持流动性充裕。 中信证券首席经济学家明明表示，预计央行将进一步改善流动性环境，引导金融机构提升服务实体经济 的意愿。预计年末剩余时段央行大概率继续维持宽松的数量操作模式，资金面或维持相对稳健偏松态 势。 中国人民银行12月1日发布公告称，以固定利率、数量招标方式开展了1076亿元7天期 ...

财通证券认为，12 月财政支出增加而政府债发行减少对资金表现偏支持，但银行负债端扰动因素颇 多。其中，更加乐观的因素有：（1）由买断式逆回购和MLF组成的中长期流动性到期环比下降2000亿 元；（2）政府债发行进入尾声，政府债净融资大幅回落，12月政府债净融资或下降到5000亿元， 环比 11 月下降约7660亿元；（3）财政支出增加而政府债发行减少大月，对资金面有支持；（4）汇率压力 有所缓释，中央经济工作会议召开，叠加近期信用风险有所抬升，央行延续对于资金的呵护。其中扰动 更强的因素有：（1）12月缴税规模相较于11月或抬升2000亿元附近；（2）存单到期量环比抬升约8670 亿元，对银行负债端的扰动增强；（3）仍有高息定期存款到期，对负债端仍旧有影响；（4）季末月信 贷压力更大，信贷投放也对资金有影响。 华泰证券在研报中指出，跨月扰动已过，资金预计季节性净回笼，12月为税收小月、财政支出大月，叠 加政府债供给规模不高，预计资金面维持均衡偏松。 Wind数据显示，12月有3000亿元中期借贷便利（MLF）到期，同时将有4000亿元6个月期限和10000亿 元3个月期限的买断式逆回购到期。 在财政支出增加、 ...

2025 年 12 月 01 日 大股票池配置仍偏价值, PPI 关注 升至最高 -量化资产配置月报 202512 相关研究 证券分析师 沈思逸 A0230521070001 shensv@swsresearch.com 邓虎 A0230520070003 denqhu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 大股票池配置仍偏价值。按照定量指标的结果，目前经济出现回升、流动性略偏紧，信用 指标略好，微观映射中经济（盈利预期）继续向上但强度未触发修正，而流动性、信用都 修正为偏弱，因此宏观各维度的方向为经济好转、流动性偏弱和信用收缩。本期我们主要 按照对经济敏感、对信用不敏感来选择得分前三的因子，成长的宏观得分偏低，宏观部分 选择以价值、低波为主；沪深 300、中证 500 中价值都为共振因子，中证 500 中不再配 置成长，而中证 1000 成长得分仍靠前。 大类资产配置观点：黄金配置比例再次提高。目前经济上行、流动性偏紧、信用收缩，债 ● 券的观点偏弱，黄金由于动量回升重新配置到上 ...

2025 年 12 月 01 日 大股票池配置仍偏价值，PPI 关注度 升至最高 ——量化资产配置月报 202512 相关研究 - 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 量 化 策 略 ⚫ 大股票池配置仍偏价值。按照定量指标的结果，目前经济出现回升、流动性略偏紧，信用 指标略好，微观映射中经济（盈利预期）继续向上但强度未触发修正，而流动性、信用都 修正为偏弱，因此宏观各维度的方向为经济好转、流动性偏弱和信用收缩。本期我们主要 按照对经济敏感、对信用不敏感来选择得分前三的因子，成长的宏观得分偏低，宏观部分 选择以价值、低波为主；沪深 300、中证 500 中价值都为共振因子，中证 500 中不再配 置成长，而中证 1000 成长得分仍靠前。 ⚫ ...

Investment Rating - The report maintains an "Overweight" rating for the steel and non-ferrous metals sectors [6] Core Insights - The report highlights that the profitability of the steel sector is expected to recover to historical average levels due to government policies aimed at phasing out outdated production capacity [5] - The report notes that the liquidity environment for small and medium enterprises has improved slightly, with the BCI index at 52.50, indicating a positive trend [11] - The report indicates that the total inventory of five major steel varieties is at its highest level for the same period in four years, suggesting potential supply pressures [22] Summary by Relevant Sections Liquidity - The BCI index for small and medium enterprises in November 2025 is 52.50, up 0.17% month-on-month [11] - The M1 and M2 growth rate difference was -2.0 percentage points in October 2025, down 0.80 percentage points from the previous month [11] - The current price of London gold is $4,219 per ounce, reflecting a 3.80% increase from the previous week [11] Infrastructure and Real Estate Chain - The total inventory of five major steel varieties is at a four-year high [22] - The price changes for key materials include rebar up 0.93% and cement price index up 0.22% [22] - The national average capacity utilization rate for blast furnaces is 88%, down 0.6 percentage points [43] Industrial Products Chain - The operating rate for semi-steel tires is at a five-year median [3] - Major commodity price changes include cold-rolled steel down 0.25% and copper up 1.77% [3] - The operating rate for semi-steel tires is 69.19%, down 1.88 percentage points [3] Sub-sectors - The price of tungsten concentrate has reached a new high since 2012, at 339,000 yuan per ton, up 3.04% from last week [3] - The price of electrolytic aluminum is 21,430 yuan per ton, reflecting a 0.33% increase [3] - The price of electrolytic copper is 87,480 yuan per ton, up 1.77% [3] Price Ratio Relationships - The gold-silver price ratio has reached its lowest level since August 2024, at 78 times [4] - The price ratio of rebar to iron ore is 4.08 this week [4] - The price difference between hot-rolled and rebar steel is 40 yuan per ton [4] Export Chain - The new export orders PMI for China in October 2025 is 45.90%, down 1.9 percentage points [4] - The CCFI composite index for container shipping rates is 1,121.80 points, down 0.09% [4] - The capacity utilization rate for crude steel in the U.S. is 76.90%, up 0.70 percentage points [4] Valuation Percentiles - The CSI 300 index increased by 1.64%, with industrial metals performing best at +3.46% [5] - The PB ratio for the steel sector relative to the CSI 300 is currently at 0.53, with a historical high of 0.82 [5] - The report suggests that the profitability of the steel sector is likely to recover, leading to a potential PB ratio recovery [5]