Group 1 - The core idea revolves around the competition between China and the US in the space computing sector, with Beijing planning to build a space data center with over 1,000 megawatts capacity in three phases [2] - The A-share market is experiencing fluctuations around the 4,000-point mark, reminiscent of 2015, with a historical 67.6% probability of A-shares rising in November over the past 34 years [2] - The current market scenario is characterized as an "index bull market, individual stock bear market," where only 60% of stocks are rising compared to 80% in 2020 [2] Group 2 - November is a critical month for A-shares, akin to Thanksgiving on Wall Street, where institutional investors engage in strategic maneuvers to boost or protect their year-end performance [2] - The comparison of two stocks illustrates the importance of following institutional capital flows, as one stock sees significant inflows while the other remains stagnant [5][7] - Historical breakthroughs in technology often stem from seemingly improbable events, suggesting that the space data center initiative could lead to significant advancements in the future [10][12] Group 3 - Investment in cutting-edge technologies like space data centers and quantum computing is associated with high volatility, recommending a cautious approach with no more than 10% of the portfolio allocated to such ventures [10] - Ordinary investors are advised to be wary of index performance, as not all components perform equally well, echoing Warren Buffett's sentiment about market realities [11] - Monitoring capital flows is emphasized as a more reliable indicator than technical metrics, alongside the use of quantitative tools available on various platforms [11]

| 第二部分 月行情复盘 | 11 | 3 | | | | --- | --- | --- | --- | --- | | 一、股票市场——先抑后扬，再创新高 | | | 3 | | | 二、股指期货——贴水周期性扩大，成交持仓下降 | | | 4 | | | 第三部分 后市展望及投资策略 | | 7 | | | | 一、科技股将再成焦点 | | 7 | | | | 二、日历效应与年末资金 | | 9 | | | | 三、后市策略 | | 10 | | | | 免责声明 | | | | 11 | 股指期货研发报告 股指期货 11 月报 2025 年 11 月 28 日 四千关口需要整固 第一部分 前言概要 【行情回顾】 1.单边：高位震荡，波动操作。 2.套利：多 IM\IC 主力合约+空 ETF。 3.期权：双买策略。 风险提示：经济复苏不及预期、美股人工智能泡沫破灭，资金面变化。 交易咨询业务资格： 证监许可[2011]1428 号 研究员：孙锋 电 话：021-65789277 邮 箱： sunfeng@chinastock.com.cn 期货从业资格证号：F0211891 投资咨询资格证号：F0000 ...

Consumer Products - The export growth rates for electric tools, hand tools, and lawn mowers from January to October 2025 are -0.4%, -6%, and 37% respectively, with October 2025 showing declines of -17%, -16%, and -15% year-on-year [4] - The decline in export growth is attributed to high base effects and calendar effects, with one less working day in October 2025 compared to October 2024, leading to adjusted year-on-year growth rates of -12%, -11%, and -11% when calculated on a daily average basis [4] Capital Goods - The export growth rates for forklifts, machine tools, industrial sewing machines, and mining machinery in October are -13%, -4%, -10%, and 1% respectively, showing significant declines compared to September [5] - Cumulative growth rates from January to October 2025 for these categories are 0%, 13%, 13%, and 21%, with a decrease of 2-3 percentage points compared to the previous nine months [5] - The decline in export growth is also linked to high base effects and calendar effects, with adjusted daily average growth rates for October being -8%, 2%, -5%, and 6% [5]

Report Overview - The report is a bond research weekly report dated November 24, 2025, analyzing the sentiment changes of bond market sellers and buyers in the latest week [1][5]. Industry Investment Rating - Not provided in the report. Core Viewpoints - From November 18 - 24, the bond market seller sentiment rose while the buyer sentiment declined again, with the two diverging, and the seller view divergence index also rose to a relatively high level. Despite the optimistic factors brought by the calendar effect, market sentiment remains contradictory and institutional caution persists [5]. Section Summaries 1. Seller Market Sentiment 1.1 Seller Market Interest - Rate Bond Sentiment Index - From November 18 - 24, the tracked unweighted index was 0.42, up 0.04 from November 11 - 17, and the proportion of market - bullish views increased. Currently, institutions generally hold neutral - to - bullish views: 2 are bullish, 7 are moderately bullish, 14 are neutral, and 1 is moderately bearish. 8% of institutions are bullish, citing factors such as economic fundamentals pressure, monetary policy easing expectations, seasonal patterns, and institutional scramble for allocation. 29% are moderately bullish, due to the deepening asset - shortage pattern, the central bank's restart of treasury bond trading, potential decline in risk appetite, and the year - end "calendar effect". 58% are neutral, as there is a tug - of - war between bullish and bearish factors, bond yields are in a range - bound oscillation, the market is in a "policy vacuum period", and the 10 - year treasury bond yield may fluctuate within the regulatory - approved range. 4% are moderately bearish, believing that the main logic is the lack of incremental funds in the bond market, the "stock - bond seesaw" effect may strengthen, and the bond market's easing environment is hard to sustain [6][13]. 1.2 Buyer Market Interest - Rate Bond Sentiment Index - From November 18 - 24, the tracked unweighted sentiment index was - 0.08, down from November 11 - 17. Currently, institutions generally hold neutral - to - bearish views: 2 are moderately bullish, 18 are neutral, and 4 are bearish. 8% of institutions are moderately bullish, based on monetary policy easing expectations, recovery in allocation demand, and potential decline in risk appetite. 75% are neutral, due to policy uncertainty, the asset - shortage pattern, a capped - and - floored market, lack of a one - sided main line, and the market entering a wait - and - see period. 17% are bearish, believing that policies fall short of expectations, structural interest rate cuts hit liquidity expectations, and policy guidance may divert funds to the equity market [7][14].

今日市场在海外科技大厂财报催化下高开，随后回落，价值ETF (159263)盘震荡走强，领涨宽基风 格指数。 业内指出，价值风格在年末行情中有望占优。科技成长板块经历前期上涨后，资金兑现压力大，市 场风险偏好难以有效提振。价值类资产前期滞涨，向上空间更大；同时日历效应看，年末价值风格通常 占优。 资金在持续净流入价值ETF (159263)，近10日资金净流入超2亿元。 10月以来，价值ETF上涨约9%，业绩表现优于同类价值风格指数，跑赢中证红利指数超4%。 价值ETF跟踪的国证价值100指数采用"高分红+高自由现金流+低PE"三维筛选体系，优选市场核心 价值标的。目前价值ETF股息率4.9%，高于中证红利的4.2%。 （责任编辑：董萍萍 ） 【免责声明】本文仅代表作者本人观点，与和讯网无关。和讯网站对文中陈述、观点判断保持中立，不对所包含内容 的准确性、可靠性或完整性提供任何明示或暗示的保证。请读者仅作参考，并请自行承担全部责任。邮箱： news_center@staff.hexun.com 价值ETF（159263，联接A/C: 025497 / 025498），一键布局市场低估优质资产，"红利+"特性显 ...

Group 1 - The market opened lower and continued to decline due to panic sentiment over the weekend, but the overall profit-making effect was still decent, with nearly a hundred stocks hitting the daily limit despite 2,700 companies declining [3] - The Shanghai Composite Index fell more than the Nikkei, raising questions about the performance of domestic institutions [3] - Historical experience suggests that speculative trading in November is strong but often halts in December, indicating a potential early exit this year [3] Group 2 - The primary reason for the index decline is not geopolitical factors, as evidenced by the limited safe-haven sentiment in gold prices, but rather the depreciation pressure on the RMB, which affects the risk appetite for A-shares [6] - The index has tested the 20-day moving average at 3,970, which is a key support level to watch; a rebound is likely if volume increases, otherwise, the index may continue to decline [6] - A stabilization point is anticipated around Friday, following two days of reduced trading volume [6]

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - The calendar effect in the convertible bond market results from the multi - dimensional intersection of macro - policy rhythms, micro - capital behaviors, and supply - demand changes. It provides a reference perspective for analyzing the fluctuations in the convertible bond and equity markets [4]. - There are significant "calendar effects" in the convertible bond and equity markets, which are formed by multiple factors such as policy meetings, capital - flow periodic fluctuations, earnings disclosure rhythms, and changes in investors' risk preferences. This offers a time - dimension reference for asset allocation [7]. - At the sector level, the "calendar effect" is related to industry rotation intensity, policy rhythms, and performance disclosure cycles. It can help identify phased allocation opportunities. In the short term, it is recommended to focus on industrial and information technology convertible bonds [8]. - From the perspective of supply - demand rhythms, the price center of convertible bonds is expected to continue rising. The supply - demand pattern of the convertible bond market shows certain seasonal characteristics, and grasping the rhythm changes may help in layout during phased supply - demand relaxation windows [9]. 3. Summary According to Relevant Catalogs 3.1 Periodically Appearing "Calendar Effect" - The "calendar effect" refers to the statistically repeatable return deviations or behavior patterns in the securities market within specific time cycles. The research focuses on the performance of A - share and convertible bond main indices from early 2018 to October 24, 2025 [18]. - In the weekly calendar effect, there is a "Monday strong" phenomenon. Mid - and large - cap indices like CSI 300 and CSI 500, as well as the CSI Convertible Bond Index, show a "Wednesday weak" feature, while small - and mid - cap indices like CSI 1000 and CSI 2000 show a "Friday weak" feature. This may be related to the "T + 1" trading mechanism and the influence of public funds [18][21]. - In the monthly performance, the overall performance of major indices in the late part of the month is usually weaker than that in the first and middle parts. The "calendar effect" within a month may be related to the periodic fluctuations of the capital flow. The CSI Convertible Bond market also shows a significant monthly calendar effect [27][30]. 3.2 "Calendar Effect" under Policy Guidelines - Policy releases have certain time rules and rhythms, which are important sources of the A - share market's "calendar effect". Key economic meetings should be highly concerned, such as the Politburo meeting, the Central Economic Work Conference, and the Central Financial Work Conference [35]. - The CSI Convertible Bond Index and the Wind All - A Index show certain monthly seasonal characteristics. The risk premium of the market has declined, and the equity market still has relatively high cost - effectiveness. The monthly periodic performance of these indices may be related to the annual policy release rhythm and important meeting arrangements [38][43]. 3.3 "Calendar Effect" from the Perspective of Financial Reports - The equity market shows periodic stock - price fluctuations around financial report releases. After the annual report season, the performance of small - and mid - cap indices weakens, while the large - cap style is dominant at the end of the year and the beginning of the year. Different sectors have different performances during and after the annual report performance disclosure period [45][47]. 3.4 "Calendar Effect" under Risk Preferences - Changes in risk preferences are a key factor driving the calendar effect in the convertible bond market. The convertible bond market is more active in the second and third quarters. The financing - margin trading volume ratio to the total A - share trading volume also shows periodic changes, which may be related to policy release rhythms and corporate earnings disclosure cycles [57][59]. 3.5 Opportunity Identification of the "Calendar Effect" at the Sector Dimension - Since September, the industry rotation intensity has increased. The periods of high rotation intensity are usually in April, August, September, and December, while February, June, October, and November are relatively flat. The narrowing of the conversion premium rate channel may indicate future directional changes in the convertible bond market [67][72]. 3.6 Monthly - Dimension Industry Rotation Rules - In the "Spring Rally" at the beginning of the year (January - February), technology - growth sectors perform prominently. During the annual report performance disclosure period (March - May), defensive sectors perform well. In the mid - year report performance game period (June - July), cyclical and growth sectors resonate. After the mid - year report is released (August - September), most sectors enter a callback. At the end of the year (October - December), there is a style switch and defensive allocation [75][81]. 3.7 Industrial Convertible Bonds Still Have Room for Growth during Supply - Demand Reconstruction - Industrial convertible bonds are a worthy allocation direction in November. Benefiting from the improvement of the supply - demand relationship and the overall contraction of the convertible bond market supply, industrial convertible bonds perform better than in previous years. Although the current valuation is high, it is still attractive, and the convertible bonds have the potential to rise after valuation digestion [85][90]. 3.8 The Information Technology Sector May Continue to Be the Main Line - The information technology sector has a higher probability of strengthening in March, July, and November. Currently, it is in the early stage of the "15th Five - Year Plan", and with policy support and technological iteration, its performance in the equity market may be sustainable. From August, the information technology convertible bond index has gradually recovered, and it may still have performance space from November to December [97].

Group 1 - The report by CICC summarizes the calendar effect exhibited by mainstream styles in the A-share market, highlighting that the growth style portfolio shows significant excess returns in January and June/July, with a win rate of 90.9% [1] - The quality style demonstrates a "strong at both ends" pattern, with January (excess return of 1.4%, win rate of 81.8%) and December (excess return of 0.5%, win rate of 80%) being the advantageous months for this style [1] - The 800 quality index also performs relatively well in January and December, indicating strong seasonal trends for quality stocks [1] Group 2 - On November 14, the Free Cash Flow ETF (159201) experienced a slight decline of approximately 0.5%, while leading stocks such as Huaren Health, Hailu Heavy Industry, and CIMC Vehicles showed gains [1] - The Free Cash Flow ETF has seen net inflows in 19 out of the last 20 trading days, totaling over 1.5 billion yuan, indicating significant capital attraction [1] - The latest scale of the Free Cash Flow ETF reached 6.464 billion yuan, marking a new high since its inception and outperforming similar products [1] Group 3 - The Free Cash Flow ETF (159201) and its linked funds (A: 023917; C: 023918) closely track the National Index of Free Cash Flow, selecting stocks with positive and high free cash flow after liquidity, industry, and ROE stability screening [1] - The index is characterized by high quality and strong risk resistance, making it suitable for core portfolio allocation and long-term investment needs [1] - The fund management fee is set at an annual rate of 0.15%, and the custody fee at 0.05%, both representing the lowest rates in the market, maximizing benefits for investors [1]

Core Viewpoint - The Hong Kong stock market continues to show resilience in dividend assets, particularly as institutional demand for high-dividend stocks increases due to upcoming accounting standard changes for insurance companies [1][2]. Group 1: Market Performance - The Hong Kong dividend ETFs (513530 and 520890) have demonstrated strong performance, with one-year cumulative returns of 35.25% and 37.72%, respectively, outperforming several A-share dividend indices [2][3]. - The dividend yields for the Hong Kong dividend ETFs are notably high at 5.44% and 5.63%, significantly exceeding the 1.81% yield of the 10-year government bonds, highlighting their attractiveness [2][3]. Group 2: Institutional Investment Trends - Insurance companies are expected to increase their allocation to high-dividend assets, with projections indicating that by 2027, the allocation could reach between 250 billion to 500 billion yuan annually for five listed A-share insurance companies [1][2]. - The shift to new accounting standards in 2026 will further enhance the demand for high-dividend assets among both listed and non-listed insurance companies [1]. Group 3: Product Features - The Hong Kong dividend ETFs (513530 and 520890) allow for T+0 trading and are designed to provide flexibility in cash distribution, with potential for up to 12 distributions per year [4][5]. - The management of these ETFs by Huatai-PB Fund, which has over 18 years of experience in index investment, adds credibility to their performance and strategy [5][6].

Group 1 - The report indicates that in November, small themes often outperform, but this year may not have similar liquidity support, suggesting that November themes are likely to continue, while the probability of December outperforming is low [6][12][13] - Historical analysis shows that in past bull markets, the main style often remains strong in November and December under strong liquidity support, with complete non-switching observed in 2005 and 2006 [6][29][31] - The report highlights that if a switch occurs in November or December, it typically involves a high-low switch, with the possibility of returning to the main line in early next year [6][46][49] Group 2 - The report emphasizes that the lack of significant improvement in incremental funds is a crucial factor, with current public fund holdings being extreme and new account openings slowing down [6][51][56] - It suggests that after the November theme performance, if there is no further clarity from policy, banks and white goods should be considered for allocation, as they currently have a higher probability of success [6][58][73] - The report notes that the white goods sector has a high probability of outperforming in December, with historical data showing an 81.3% success rate since 2009 [6][61][63] Group 3 - The report discusses the conditions under which the calendar effect for banks in January may fail, noting that since 2009, banks have a 75% probability of outperforming in January [6][66][68] - It highlights that exceptions to this trend occurred in 2010, 2015, 2020, and 2023 due to regulatory tightening and market conditions [6][69][70] - The report concludes that the potential for a switch in the main line direction may occur, particularly towards banks and cyclical sectors that lag behind in performance from January to October [6][73]