Core Viewpoint - The report from China Merchants Securities indicates that incremental capital is expected to maintain a stable net inflow in December, with foreign capital activity likely to continue to rebound [1][4]. Group 1: Market Style Outlook - The market style is expected to focus on large-cap stocks, with a potential shift from growth to value [2]. - Historical data shows that large-cap styles have outperformed in December, influenced by policy expectations from key domestic meetings and the upcoming annual report preview window [2]. - The central bank's recent monetary policy report suggests a "cross-cycle" approach, indicating that policy support may be more pronounced next year [2]. Group 2: External Factors - The likelihood of a hawkish rate cut by the Federal Reserve in December is high, which may lead to a peak in the US dollar index, reducing external liquidity's impact on the market compared to November [2]. - The demand for foreign capital is expected to increase due to the anticipated strength of the RMB, driven by year-end settlement needs and a peak in the dollar index [2]. Group 3: Fund Flows and Liquidity - December is projected to see stable net inflows of incremental capital, with foreign capital activity expected to rise [4]. - The monetary market's liquidity remained stable in November, supported by the central bank, and is likely to continue being reasonably ample in December [4]. - New equity fund issuance is expected to provide additional capital for sectors like AI and chips, with significant fundraising occurring in early December [2][4]. Group 4: Market Sentiment and Preferences - Market risk appetite has fluctuated, with a shift towards defensive trading characteristics, favoring low-volatility sectors such as banking and textiles [5]. - Defensive sectors have performed well, while previously high-performing sectors like technology and automotive have seen declines [5].

Market Outlook - The report emphasizes a preference for large-cap stocks in December, suggesting a potential shift from growth to value investing as the market focuses on the Federal Reserve's interest rate meeting and significant domestic meetings at year-end [1][11] - Historical data indicates that from 2015 to 2024, large-cap stocks have shown a higher probability of outperforming small-cap stocks in December, with a 70% success rate for large-cap over small-cap [12][14] Liquidity and Capital Supply - The report anticipates stable net inflows of incremental capital in December, with foreign capital activity expected to increase [3][20] - The People's Bank of China has indicated a supportive monetary policy stance, which is likely to maintain a reasonable liquidity level in the market [20][21] Sector Performance - Defensive sectors such as banking, textiles, and petrochemicals are expected to perform well, while sectors that previously saw significant gains, like technology and automotive, may underperform [2][3] - The report highlights that sectors related to AI and technology are likely to attract new capital due to the issuance of several technology-focused funds in December [11][35] Investment Recommendations - Recommended indices for December include the CSI 300, STAR Market 50, low-volatility dividend indices, and technology indices related to Hong Kong stocks [12][11] - The report suggests that the performance of the CSI 300 and dividend indices is likely to be stronger in the latter half of December, coinciding with the earnings forecast period for listed companies [17][18]

Core Insights - The market experienced a collective decline in the afternoon, with sectors such as non-ferrous metals and energy showing gains, leading to an increase in related indices [1] - The Guozhen Free Cash Flow Index rose by 0.4%, while the Guozhen Value 100 Index increased by 0.3%, and the Guozhen Growth 100 Index fell by 1.0% [1] - The Free Cash Flow ETF (E Fund, 159222) has seen continuous net inflows for 16 trading days, totaling over 100 million yuan [1] Index Performance - The Guozhen Value 100 Index, which employs a "high dividend + high free cash flow + low price-to-earnings ratio" screening system, focuses on value stocks and has shown stable historical performance [1] - The Guozhen Free Cash Flow Index selects stocks based on free cash flow rates, combining high dividends with growth potential [1] - The Value ETF (159263) and Free Cash Flow ETF (E Fund, 159222) track the aforementioned indices, providing investors with opportunities to capitalize on related investment styles [1] Sector Composition - The Guozhen Growth 100 Index consists of 100 stocks with a significant focus on growth, with over 65% of its composition in information technology and materials sectors [3] - The Guozhen Value 100 Index is composed of 100 stocks with a strong value orientation, with over 65% in consumer discretionary, financials, and industrial sectors [3] - The Free Cash Flow Index includes 100 stocks with high free cash flow levels, with over 70% in industrials, materials, and consumer discretionary sectors [3]

数据显示，截至2025年11月28日，中证800自由现金流指数(932368)前十大权重股分别为中国海油 (600938)、美的集团(000333)、格力电器(000651)、中远海控(601919)、五粮液(000858)、洛阳钼业 (603993)、中国铝业(601600)、牧原股份(002714)、TCL科技(000100)、陕西煤业(601225)，前十大权重 股合计占比58.6%。 现金流ETF800(516460)，场外联接(A：024655；C：024656；I：024657)。 截至2025年12月3日 13:54，中证800自由现金流指数(932368)上涨0.98%，成分股杰瑞股份(002353)上涨 10.00%，云铝股份(000807)上涨5.29%，天山铝业(002532)上涨4.60%，中国铝业(601600)上涨4.54%， TCL科技(000100)上涨4.32%。现金流ETF800(516460)上涨0.98%，最新价报1.24元。 临近年末，价值风格逆势走强，机构指出，维持A股年末休整期的判断，短期涨跌空间有限，建议以守 为攻，风格上强调平衡配置，适当关注回调充分且产业逻辑 ...

Core Viewpoint - The market experienced fluctuations with a rebound in sectors such as non-ferrous metals and banking, leading to a strengthening of value investment styles. Group 1: Market Performance - As of the midday close, the Guozheng Value 100 Index rose by 0.8%, while the Guozheng Free Cash Flow Index increased by 0.7%. In contrast, the Guozheng Growth 100 Index fell by 0.3% [1] - The value ETF (159263) saw a net subscription of 6 million units during the half-day session [1] Group 2: Index Methodology - The Guozheng Value 100 Index employs a three-dimensional screening system based on "high dividend + high free cash flow + low price-to-earnings ratio" to select value stocks, demonstrating stable historical performance [1] - The Guozheng Free Cash Flow Index selects stocks based on free cash flow rates, combining high dividends with growth potential [1] Group 3: Investment Opportunities - The value ETF (159263) and the E Fund Free Cash Flow ETF (159222) track the aforementioned indices, providing investors with opportunities to capitalize on related investment styles [1]

权 益 量 化 研 究 2025 年 11 月 30 日 价量匹配改善，情绪指标维持震荡 ——量化择时周报 20251130 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 | 1．情绪模型观点：市场情绪得分周内继续回落 4 | | --- | | 1.1 从分项指标出发：价量匹配改善、主力资金回流，情绪指标维持震 | | 荡、分化 5 | | 2．其他择时模型观点：美容护理短期得分快速提升，价值风 | | 格与小盘风格占优 10 | | 2.1 美容护理行业短期得分快速提升，价值风格与小盘风格占优 10 | | 3．风险提示 14 | 请务必仔细阅读正文之后的各项信息披露与声明 第2页 共15页 简单金融 成就梦想 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 - ⚫ 市场情绪得分周内继续回落： ...

东吴证券表示，伴随着总量层面量价齐升、以及科技成长领域展现出的高景气、叠加低基数效应，全A 营收和利润同比增速开启反弹。从不同行业风格角度出发，成长风格引领本轮的盈利周期修复。机构此 前提到，预计明年6月前后是"成长→价值"风格新一轮转换的关键窗口。微观结构视角上看，虽然反内 卷政策持续发力，但对于价格的提振或需要3到4个季度左右的验证期；以海外算力链为主的方向，仍将 受益全球AI浪潮下的高额资本开支。 ...

Core Viewpoint - The A-share market experienced a collective rise, with technology sectors such as CPO, optical communication, and electronic components leading the gains, while value styles remained stable [1] Group 1: Market Performance - The Guozheng Growth 100 Index increased by 3%, while both the Guozheng Value 100 Index and the Guozheng Free Cash Flow Index rose by 0.1% [1] - Value ETF (159263) and E Fund Free Cash Flow ETF (159222) saw significant capital inflows during the trading session [1] Group 2: Industry Insights - Since 2018, following China's entry into the mature industrialization phase, investor focus on free cash flow has notably increased, leading to significant excess returns in industries with improved free cash flow (FCFF) [1] - Current "anti-involution" policies are driving a contraction in manufacturing capital expenditure, resulting in a "passive improvement" of free cash flow [1] - The Federal Reserve's interest rate cuts are expected to facilitate the return of cross-border capital, potentially enhancing the EBIT of manufacturing and consumption sectors, leading to an "active improvement" in free cash flow [1]

Core Insights - The A-share market experienced a collective rise today, with growth styles leading the gains and value styles showing slight increases [1] - The Guozheng Growth 100 Index rose by 3.8%, while both the Guozheng Value 100 Index and the Guozheng Free Cash Flow Index increased by 0.8% [1] - Related ETFs saw capital inflows, with the Value ETF (159263) and E Fund Free Cash Flow ETF (159222) receiving net inflows of 250 million yuan and 9 million yuan respectively this month [1] - According to Xinda Securities, the recent style switching and dispersion in the A-share market is attributed to the performance gap as the year-end approaches, leading to a lack of high-frequency quarterly performance verification [1] - The shift from small-cap to large-cap styles is becoming more certain, and if there are policy catalysts or inflows from residents, low-positioned value styles may perform strongly [1]

Group 1 - The market sentiment score decreased slightly to 3.8 as of November 21, down from 3.9 the previous week, indicating a bearish outlook from a sentiment perspective [6][10][11] - The overall trading activity in the market has declined, with total trading volume for the week down 8.74% compared to the previous week, averaging 18650.36 billion CNY per day [13][15] - The short-term trend scores for industries such as banking, textiles, defense, and petrochemicals have shown an upward trend, with petrochemicals having the highest short-term score of 83.05 [35][36] Group 2 - The price-volume consistency indicator has rapidly declined, suggesting a decrease in the correlation between capital attention and stock price increases, leading to a drop in market sentiment [10][11][12] - The industry trading volatility has continued to rise, indicating increased activity in capital switching between sectors, although the growth rate has slowed down [19][21] - The financing balance ratio has continued to rise, reflecting an increase in leveraged capital sentiment, suggesting a more active investment environment [25][27] Group 3 - The model indicates a preference for small-cap and value styles, with strong signals for both, although the 5-day RSI relative to the 20-day RSI has decreased rapidly, warranting further observation [35][44] - The industry crowding degree shows a negative correlation with weekly price changes, indicating that sectors with high crowding, such as electric power equipment and basic chemicals, have experienced significant declines [39][41] - The report highlights that industries with lower crowding, such as automobiles and machinery, have shown smaller declines, suggesting potential long-term investment value [39][41]