Core Viewpoint - The market is experiencing significant volatility, and the pressure in investment comes from the continuous tracking, dynamic assessment, and evaluation of portfolio status rather than the relative performance of net asset value [2][3]. Group 1: Market Dynamics and Investment Pressure - The pressure faced by the company is primarily due to the downward pressure on fundamentals in cyclical industries, which has been a consistent challenge over the past two to three years [3]. - The company emphasizes that the performance of net asset value is not the main source of pressure; rather, it is the ongoing need to dynamically assess new fundamental facts, including changes in demand and supply [3][4]. - The company does not focus on how much others are earning compared to them; the key is whether they can earn money themselves, which is the main source of investment pressure [4]. Group 2: Value Investment Philosophy - Value investment is not merely a strategy but a philosophy that addresses the source of returns, focusing on long-term value creation rather than short-term market performance [5][6]. - The company argues that the performance of the CSI 300 index does not necessarily reflect the effectiveness of value strategies, as the index's style can shift due to periodic adjustments [5][6]. - The company believes that the current weakness in the value strategy does not imply its failure; rather, it is a reflection of market dynamics and should not deter long-term value investment [7][8]. Group 3: Long-term Value Assessment - The company highlights the importance of assessing whether a company's long-term competitive advantage and governance can sustain good dividend returns, which is a core source of pressure [11][12]. - It is noted that identifying companies with sustainable competitive advantages is challenging, leading to a concentrated investment strategy due to the scarcity of such opportunities [12]. - The company emphasizes that the assessment of long-term value is complex and cannot be simplified into a one-size-fits-all approach, especially in a market with over 5,000 stocks [12][13]. Group 4: Industry Trends vs. Market Performance - The company distinguishes between market style performance and actual industry trends, asserting that the two are not synonymous [15][16]. - It is stated that while certain industries may show strong performance, this does not necessarily correlate with sustainable investment opportunities [15][16]. - The company advocates for a focus on genuine industry trends and competitive landscapes rather than being swayed by short-term market fluctuations [16]. Group 5: Investment Strategy and Risk Management - The company discusses the concept of a "barbell strategy," which depends on the investor's ability circle and the clarity of investment goals [20][21]. - It is acknowledged that while short-term performance may be slow, the focus should remain on avoiding permanent capital loss and aligning with investor expectations [21]. - The company emphasizes that the ability to assess long-term value is crucial, and the risk of "value traps" must be carefully managed [13][21]. Group 6: Valuation Models and Cash Flow - The company asserts that valuation models are fundamentally based on cash flow discounting, with current cash returns holding more weight in valuations [26][27]. - It is noted that while growth companies may have high valuations, their long-term value assessment remains complex and requires careful consideration of future cash flows [23][24]. - The company stresses that reasonable valuation levels are determined by long-term value rather than short-term profit performance or market style [27]. Group 7: Knowledge and Information Sources - The company advocates for a balanced approach to learning, emphasizing the importance of both reading financial reports for information and engaging with broader literature to build analytical skills [29][30]. - It is highlighted that understanding financial reports is essential for making informed investment decisions, but this should be complemented by a well-rounded knowledge base [29][30].

- The report tracks quantitative factors in the equity market, highlighting that the market style remains tilted towards small-cap and growth-oriented stocks, with increased volatility in style performance and widened return differences between styles[10][11] - In terms of market structure, the dispersion of excess returns across industries has risen, while industry rotation speed has decreased. The proportion of rising constituent stocks in indices like CSI 300 and CSI 500 has declined. Additionally, the concentration of trading in the top 100 stocks remained stable, while the top 5 industries saw a slight increase in trading concentration[10][11] - Market activity indicators show a decline in market volatility across most indices except CSI 1000, while turnover rates have continued to rise[10][11] - In the commodity market, the trend strength of precious metals and energy chemicals has increased, while other sectors have seen a decline. Basis momentum for precious metals and agricultural products has risen, whereas other sectors have declined. Volatility remains high for precious metals and base metals, with slight decreases in energy chemicals and black metals. Liquidity has decreased for precious metals and energy chemicals but increased for other sectors[23][28] - In the options market, implied volatility for SSE 50 and CSI 1000 has decreased from previous highs. The skewness of call options has declined, while that of put options has increased. Despite this, the skewness of CSI 1000 put options remains negative, indicating that market participants perceive a low risk of significant declines in small-cap stocks in the short term[31][32] - In the convertible bond market, the market experienced wide fluctuations. The premium rate for bonds convertible at par value has stabilized with slight adjustments, while the pure bond premium rate for debt-oriented groups has continued to rise. The proportion of low-conversion-premium bonds has also increased. However, trading volume in the market remains high and has not weakened[33][39]

- The report focuses on the performance of Smart beta portfolios, specifically Value, Growth, and Small-cap styles, constructed based on high beta elasticity and long-term stable excess returns objectives[6][7][9] - Value Smart beta portfolios include Value 50 and Value Balanced 50 portfolios, with weekly returns of -1.15% and 0.38%, respectively, and annual returns of -1.47% and 3.52%[4][7][9] - Growth Smart beta portfolios include Growth 50 and Growth Balanced 50 portfolios, with weekly returns of 2.02% and 2.28%, respectively, and annual returns of 5.52% and 6.00%[4][7][16] - Small-cap Smart beta portfolios include Small-cap 50 and Small-cap Balanced 50 portfolios, with weekly returns of 3.24% and 1.70%, respectively, and annual returns of 7.58% and 8.26%[4][7][22] - The report highlights the relative performance of these portfolios against their respective benchmarks, such as the CSI Value Index, CSI Growth Index, and CSI 2000 Index, showcasing excess returns and maximum relative drawdowns[7][9][16]

Macroeconomic Insights - US inflation remains moderate, with December CPI year-on-year growth at 2.7%, unchanged from November, and month-on-month growth at 0.3%, also stable since September. Core CPI year-on-year growth is at 2.6%, slightly below the expected 2.7% [1] - The structure of inflation shows weakness in goods and strength in services. Core goods month-on-month growth is 0%, primarily dragged down by used cars. Even excluding used cars, core goods growth remains low, while core services show a general month-on-month rebound [1] Short-term Inflation Outlook - Despite lower-than-expected inflation data, the market does not anticipate an early rate cut by the Federal Reserve, with expectations for the first rate cut still set for June 2026. Food inflation is expected to cool gradually, while used car prices may see marginal rebounds, and rent remains stable [2] Financial Engineering Strategies - The quantitative model signals a recommendation to overweight small-cap stocks in January, with a model signal of 0.17 indicating a preference for small caps. The model's return as of the end of December is 27.56%, outperforming the equal-weight benchmark by 0.71% [4] - For value and growth styles, the model signal is neutral, suggesting an equal-weight allocation between the two styles. The model's return is 22.72%, with an excess return of 1.93% over the benchmark [4] Fixed Income Insights - Concerns about long-term bond supply do not necessarily imply a tightening of interbank liquidity. The central bank's support is expected to keep liquidity stable, with funding rates likely remaining low in the first quarter of 2026 [10] - The central bank's ability to smooth out funding fluctuations has improved, with a flexible approach to liquidity management anticipated. If necessary, measures such as large-scale MLF injections or reserve requirement ratio cuts may be employed [12]

证券研究报告 | 2026年01月11日 2026年01月10日 港股市场速览 优于大市 小盘风格与医药板块显著上涨 本周，恒生指数-0.4%，恒生综指+0.4%。风格方面，中盘（恒生中型股+3.7%） ＞小盘（恒生小型股+3.4%）＞大盘（恒生大型股-0.4%）。 主要概念指数表现分化。上涨的主要有恒生生物科技（+11.1%）；下跌的主 要有恒生汽车（-1.8%）。 国信海外选股策略分化。上涨的主要有 ROE 策略进攻型（+2.7%）；下跌的 主要有红利贵族 50（-1.4%）。 20 个行业上涨，9 个行业下跌，1 个基本持平。上涨的主要有：医药（+10.0%）、 计算机（+7.4%）、煤炭（+6.1%）、国防军工（+5.8%）、有色金属（+4.5%）； 下跌的主要有：石油石化（-3.6%）、电子（-2.5%）、通信（-2.3%）、银 行（-1.8%）、汽车（-1.7%）。 估值水平：风格与行业均呈分化状 本周，恒生指数估值（动态预期 12 个月正数市盈率，后同）-0.8%至 11.7x； 恒生综指估值+0.1%至 11.7x。 主要概念指数估值表现分化。上升幅度较大的是恒生生物科技（+14.0%至 29 ...

Group 1 - Market sentiment is gradually recovering, with the sentiment index reaching 1.35 as of December 31, up from 1.1 the previous week, indicating a bullish outlook [2][7] - The overall trading activity in the market has shown signs of reversal, with a notable increase in trading volume, which rose by 8.30% week-on-week, averaging 21,283.35 billion yuan in daily trading volume [13] - The price-volume consistency indicator has improved significantly, reflecting a recovery in market sentiment and a stronger correlation between capital attention and stock price increases [10][11] Group 2 - The short-term scores for industries such as machinery, media, computers, beauty care, and automobiles have shown upward trends, with defense and non-ferrous metals leading with scores of 88.14 [34] - The model indicates a preference for small-cap and growth styles, with the 5-day RSI relative to the 20-day RSI continuing to rise, suggesting potential strengthening of these signals [44] - The industry crowding indicator shows a positive correlation with weekly price changes, particularly in sectors like defense and petrochemicals, which have seen significant inflows and price increases [40][42]

Group 1: Market Sentiment Model Insights - Market sentiment is gradually recovering, with the sentiment indicator reaching 1.35 as of December 31, up from 1.1 the previous week, indicating a bullish outlook [8][11] - The price-volume consistency indicator has shown a rapid increase this week, suggesting improved market price-volume matching and a rebound in trading activity [11][12] - The total trading volume for the entire A-share market increased by 8.30% week-on-week, with an average daily trading volume of 21,283.35 billion yuan, indicating heightened market activity [15] Group 2: Sector Performance Insights - As of December 31, 2025, sectors such as machinery, media, computers, beauty care, and automobiles have shown a strong upward trend in short-term scores, with defense and non-ferrous metals leading at a score of 88.14 [40][41] - The industry trading volatility has continued to decline, indicating a slowdown in capital switching between sectors, with a decrease in cross-industry rotation willingness [22][24] - The financing balance ratio has been on the rise, reaching a new high, reflecting an increase in leveraged capital sentiment and a recovery in risk appetite [28][30] Group 3: Investment Style Insights - The current model indicates a preference for small-cap and growth styles, with the 5-day RSI relative to the 20-day RSI continuing to rise, suggesting potential strengthening of these signals [49][50] - The model maintains a bullish signal for growth style, although the rapid increase in the 5-day RSI relative to the 20-day RSI may indicate a potential weakening of this signal [49][50]

- The Growth 50 portfolio achieved the best performance last week with a weekly return of 3.71%, generating an excess return of 0.47% relative to the China Securities Growth Index[1][5] - The Value 50 portfolio and the Value Balanced 50 portfolio had weekly returns of 1.79% and 0.36%, respectively[5] - The Small Cap 50 portfolio and the Small Cap Balanced 50 portfolio had weekly returns of 1.13% and 3.53%, respectively[5] - The annual returns for the Value 50 portfolio and the Value Balanced 50 portfolio were 19.70% and 24.05%, respectively[5] - The annual returns for the Growth 50 portfolio and the Growth Balanced 50 portfolio were 28.75% and 33.90%, respectively[5] - The annual returns for the Small Cap 50 portfolio and the Small Cap Balanced 50 portfolio were 49.75% and 45.36%, respectively[5] - The maximum relative drawdown for the Value 50 portfolio was 5.19%, and for the Value Balanced 50 portfolio, it was 4.91%[8] - The maximum relative drawdown for the Growth 50 portfolio was 11.66%, and for the Growth Balanced 50 portfolio, it was 13.35%[8] - The maximum relative drawdown for the Small Cap 50 portfolio was 10.89%, and for the Small Cap Balanced 50 portfolio, it was 4.56%[8] - The Smart beta portfolios were constructed based on high beta elasticity and long-term stable excess returns, selecting historically low-correlated styles such as value, growth, and small cap[7]

Group 1 - Market sentiment score has stabilized at 1.1 as of December 26, indicating a neutral outlook, with signs of improvement in trading activity [7][11][14] - The overall trading volume for the week increased by 11.63% compared to the previous week, with an average daily trading volume of 19,651.66 billion RMB, peaking at 21,811.04 billion RMB on December 26 [14][16] - The financing balance ratio continues to rise, reaching a new high, indicating an increase in leveraged funds and a recovery in risk appetite [25][27] Group 2 - The short-term scores for industries such as computers, real estate, pharmaceuticals, automobiles, and machinery have shown upward trends, with non-ferrous metals, light industry manufacturing, and communications having the highest short-term scores of 88.14 [35][36] - The industry trading volatility has decreased, indicating a slowdown in capital switching between sectors, with liquidity marginally tightening [20][22] - The correlation between industry congestion and weekly price changes is positive at 0.16, suggesting that sectors with high congestion, like defense and construction materials, have seen significant gains [39][41] Group 3 - The RSI indicator has shown significant improvement, indicating a reduction in selling pressure and a recovery in upward momentum [28][30] - The model indicates a preference for small-cap and growth styles, with the 5-day RSI relative to the 20-day RSI continuing to rise, suggesting potential strengthening of these signals [44][45] - The model's findings highlight that high congestion in sectors can lead to strong price movements but also increases the risk of rapid corrections if market expectations change [38][39]

Group 1: Market Sentiment Model Insights - The market sentiment score has stabilized at 1.1 as of December 26, indicating a neutral outlook, with signs of improvement in trading activity [8][12] - The price-volume consistency indicator showed a rebound in the latter part of the week, suggesting a recovery in market sentiment, although risk appetite remains insufficient [12][19] - The total trading volume for the week increased by 11.63% compared to the previous week, with an average daily trading volume of 19,651.66 billion RMB, indicating heightened market activity [16][18] Group 2: Sector Performance and Trends - The short-term scores for sectors such as computer, real estate, pharmaceutical, automotive, and machinery have shown upward trends, with non-ferrous metals, light industry manufacturing, and communication leading with the highest short-term scores of 88.14 [41][42] - The industry trading volatility has decreased, indicating a slowdown in capital switching between sectors, with a notable decline in the participation of high-elasticity sectors [23][25] - The financing balance ratio continues to rise, reaching a new high, reflecting an increase in leveraged capital sentiment and a recovery in risk appetite [29][31] Group 3: Investment Style and Sector Crowding - The model indicates a preference for small-cap and growth styles, with the 5-day RSI relative to the 20-day RSI showing potential for strengthening signals [50][51] - The correlation between sector crowding and weekly price changes is positive, with sectors like defense and construction materials showing significant gains due to rapid capital inflows [44][46] - High crowding sectors such as food and beverage, and retail have shown lower price increases, while low crowding sectors like beauty care and coal have lagged behind [46][47]