报告导读： 从技术面来看， Wind 全 A 指数依旧处于 SAR 反转点位之下；均线强弱指数 在指数绝对点位上升幅度并不大的情况下出现上行，表明市场依旧存在下行可能；情绪模 型继续显示市场情绪较弱。我们认为，市场下周维持震荡可能性较大。 下周（20251201-20251205，后文同）市场观点：市场下周维持震荡可能性较大。 从量化指标上看，基于沪深300指数的流动性冲击指标周五为0.50，高 于前一周（0.15），意味着当前市场的流动性高于过去一年平均水平0.50倍标准差。上证50ETF期权成交量的PUT-CALL比率震荡，周五为1.02，持平于前 一周（1.02），投资者对上证50ETF短期走势相对谨慎。上证综指和Wind全A五日平均换手率分别为0.98%和1.59%，处于2005年以来的65.67%和 73.47%分位点，交易活跃度有所下降。从宏观因子上看，上周人民币汇率震荡，在岸和离岸汇率周涨幅分别为0.43%、0.48%。日历效应上，2005年以 来，上证综指、沪深300、中证500、创业板指在12月上半月上涨概率分别为 70% 、 65% 、 55% 、 60% ，涨幅均值分别为 1.81% 、 ...

证券研究报告 | 金融工程 2025 年 11 月 30 日 全球流动性回暖，但国内风险偏好回升或仍在蓄力 定期报告 ❑ 择时观点上，本周继续对后市维持震荡走势的判断，虽然外部流动性风险下 降带动全球风险偏好回升，但 A 股量能持续收缩叠加基本面数据未见好转， 国内风险偏好回升或仍处蓄力过程中。具体来看：一是交易维度信号偏弱， 目前全市场 Beta 离散度上行、PB 分化度下行、全 A 交易量能下行，三者均 给出偏向谨慎信号。即当前存量资金博弈期间，市场交易主线较为缺乏，不 论是科技方向还是红利方向，均未能形成新的趋势。二是基本面维度并未好 转，11 月 PMI 录得 49.20，为季节性偏弱水平（过去 10 年同月仅强于 2022 年），叠加社融增速见顶、CPI 数据未见好转，当前基本面"需求相对疲 弱、中上游价格修复"的结构性复苏局面较为明显，或不足以支撑权益市场 全面趋势上行。三是全球流动性危机警报或暂时解除，对 A 股利空影响减 弱。目前 CME"美联储观察"对 12 月美联储降息概率的预测达到 86.40%， 叠加美元持续走弱、美股小盘股短期领涨、贵金属与加密货币短期显著反弹 的现象，我们认为全球流 ...

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]

Group 1 - Market sentiment score has slightly decreased to 3.8 as of November 21, down from 3.9 the previous week, indicating a bearish outlook [7][11] - The consistency between price and volume has weakened significantly, showing a decline in market engagement and a drop in risk appetite, particularly reflected in the decreasing trading volume of the Sci-Tech 50 index [11][18] - The total trading volume for the entire A-share market has decreased by 8.74% week-on-week, with an average daily trading volume of 18650.36 billion yuan [15][17] Group 2 - The banking, textile and apparel, defense, petrochemical, and comprehensive sectors have shown an upward trend in short-term scores, with the petrochemical sector leading at a score of 83.05 [40][41] - The correlation between sector crowding and weekly price changes is negative at -0.24, indicating that sectors with high crowding, such as electric power equipment and basic chemicals, have experienced significant declines [44][46] - The current model indicates a preference for small-cap and value styles, with strong signals for both, although the strength of these signals may need further observation [50][52]

Market Overview - The market is expected to remain volatile next week, with the Wind All A Index staying below the SAR reversal point for a consecutive week, indicating potential downward space [1][2] - The liquidity shock indicator for the CSI 300 Index was 0.15, lower than the previous week (0.67), suggesting current market liquidity is above the average level of the past year by 0.15 standard deviations [2] - The trading activity has decreased, with the five-day average turnover rates for the Shanghai Composite Index and Wind All A Index at 1.21% and 1.86%, respectively, which are at the 73.72% and 80.02% percentile since 2005 [2] Economic Indicators - The US stock market experienced a decline, with the Dow Jones, S&P 500, and Nasdaq indices showing weekly returns of -1.91%, -1.95%, and -2.74%, respectively [2] - The preliminary November PMI for the US manufacturing sector was 51.9, a four-month low, while the services PMI was 55, and the composite PMI was 54.8, both reaching four-month highs [2] Technical Analysis - The Wind All A Index broke below the reversal indicator on November 17, indicating a bearish trend [2] - The moving average strength index score is currently at 80, placing it in the 25.9% percentile for 2023, suggesting a weak market condition [2] - The sentiment model score is at 0 (out of 5), indicating very weak market sentiment, with both trend and weighted models signaling negative [2] Market Performance - For the week of November 17-21, the Shanghai 50 Index fell by 2.72%, the CSI 300 Index by 3.77%, the CSI 500 Index by 5.78%, and the ChiNext Index by 6.15% [3] - The overall market PE (TTM) stands at 21.3 times, which is at the 70.1% percentile since 2005 [3] Factor Analysis - The crowding degree for low valuation factors has decreased, with small-cap factor crowding at 0.39 and low valuation factor crowding at -0.69 [4] - High profitability factor crowding is at -0.02, while high growth factor crowding is at 0.05 [4] Industry Insights - The industry crowding degree is relatively high in sectors such as non-ferrous metals, telecommunications, comprehensive, power equipment, and steel, with significant increases in the crowding degree for basic chemicals and banking [5]

证券研究报告 | 金融工程 2025 年 11 月 23 日 维持观望，大盘风格或仍将占优 2. 市场最新观点 风险提示：择时和风格轮动模型结论基于合理假设前提下结合历史数据统计规 律推导而出，市场环境变化下可能导致出现模型失效风险。 定期报告 敬请阅读末页的重要说明 王武蕾 S1090519080001 wangwulei@cmschina.com.cn 王禹哲 S1090525080001 wangyuzhe@cmschina.com.cn ❑ 择时观点上，本周继续维持震荡观望的判断，核心原因有三点，较前期有所 扩充：一是交易维度信号偏弱，目前全市场 Beta 离散度上行、PB 分化度下 行、全 A 交易量能下行，三者均给出偏向谨慎信号。简而言之，即市场缺乏 交易主线，未能形成新的趋势。二是基本面维度有喜有忧，即中上游景气度 回升较为明显，但下游景气度以及信贷数据不及预期。三是全球流动性风险 仍未解除，上周市场回调的主要原因在于美联储 12 月降息预期显著回落导 致全球流动性收缩，虽然周五美联储"三把手"威廉姆斯表示"近期内有进 一步调整利率的空间"，带动美股企稳，但当前美联储内部分歧仍较大，在 12 月 ...

Core Viewpoint - The market is expected to experience fluctuations in the upcoming week, despite the recent decline in major indices, as the strength index did not show significant downward movement, indicating a divergence in trends [1][2]. Market Overview - The liquidity shock index for the CSI 300 was 0.67, higher than the previous week's 0.40, suggesting current market liquidity is 0.67 standard deviations above the average of the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF decreased to 1.04 from 1.22, indicating reduced caution among investors regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 1.27% and 1.91%, respectively, reflecting a decline in trading activity, positioned at the 75.55% and 81.44% percentiles since 2005 [2]. Macroeconomic Factors - The onshore and offshore RMB exchange rates increased by 0.31% and 0.35% respectively over the past week [2]. - October's CPI rose by 0.2% year-on-year, surpassing the previous value of -0.3% and the consensus expectation of -0.04%. The PPI decreased by 2.1% year-on-year, better than the previous -2.3% and the expected -2.28% [2]. - New RMB loans in October totaled 220 billion, falling short of the expected 459.98 billion and the previous 1.29 trillion. M2 growth was 8.2% year-on-year, exceeding the expected 8.04% but lower than the previous 8.4% [2]. Calendar Effects - Historical data from 2005 indicates that major indices such as the SSE Composite, CSI 300, and others have shown poor performance in the latter half of November, with average declines of -0.61% to -0.9% [2]. Technical Analysis - The Wind All A index broke above the reversal indicator on October 27, indicating a potential upward trend [2]. - The current market score based on the moving average strength index is 218, placing it at the 79.2% percentile for 2023 [2]. - The sentiment model score is 3 out of 5, with both trend and weighted models signaling a positive outlook [2]. Factor Crowding - The factor crowding levels remain stable, with small-cap factor crowding at 0.37, low valuation factor at -0.25, high profitability factor at -0.18, and high growth factor at 0.08 [3]. Industry Crowding - Industries such as non-ferrous metals, comprehensive, telecommunications, electric equipment, and steel show relatively high crowding levels, while basic chemicals and banking have seen a significant increase in crowding [4].

Group 1: Market Sentiment Model Insights - The market sentiment score has rapidly increased to 3.9 as of November 14, up from 3 the previous week, indicating a further recovery in market sentiment and a bullish outlook [2][8] - The price-volume consistency indicator has stabilized and rebounded, showing a phase of sentiment recovery after a previous decline, with increased trading activity and a positive correlation between price elasticity and attention to stocks [11][12] - The overall trading volume for the entire A-share market increased by 1.56% week-on-week, with an average daily trading volume of 20,438.27 billion yuan, indicating sustained market activity [15] Group 2: Industry Trends and Performance - The short-term trend scores for industries such as beauty care, pharmaceuticals, banking, food and beverage, and textiles have shown upward momentum, with steel, electric equipment, construction decoration, environmental protection, and coal being the strongest short-term performers [40][41] - The industry trend consistency has significantly improved, breaking through the upper Bollinger Band, indicating a stronger consensus on industry outlooks and enhancing the beta effect of sector indices [25][28] - The financing balance ratio continues to rise, reflecting an increase in market leverage sentiment and a more active trading atmosphere in the financing market [29][31] Group 3: Industry Crowding and Investment Opportunities - The correlation coefficient between industry crowding and weekly price changes is 0.60, indicating a significant positive relationship, with high crowding in sectors like basic chemicals, agriculture, and forestry, which have seen high price increases [44][46] - Sectors with high crowding but low price increases, such as electric equipment and environmental protection, may have potential for catch-up gains if fundamental catalysts arise [44] - Low crowding sectors like communication, electronics, and computers, which have seen lower price increases, present opportunities for gradual long-term investment as risk appetite improves [44][46]

Group 1 - Market sentiment score has continued to rise, reaching 3 as of November 7, up from 2.7 the previous week, indicating further recovery in market sentiment and a generally bullish outlook [1][6] - The trading volume of the entire A-share market slightly decreased this week, with an average daily trading volume of 20,123.50 billion yuan, showing a decline in market activity [1][12] - The industry trend scores have shown significant improvement, with utilities, power equipment, coal, environmental protection, and steel being the strongest short-term trends, particularly utilities with a score of 100 [1][33] Group 2 - The short-term trend scores for the steel industry have rapidly increased, maintaining a dominant position for value and large-cap styles [1][33] - The banking sector also saw a quick rise in short-term trend scores, reinforcing the dominance of value and large-cap styles [1][33] - The model indicates that the overall market and value styles are currently favored, with signals suggesting a potential strengthening of these trends in the future [1][44] Group 3 - The inter-industry trading volatility has risen sharply, indicating increased activity and liquidity in sector switching, with the index breaking through the upper Bollinger band [1][16] - The correlation between funding attention and stock price increases has shown a rebound, suggesting a marginal improvement in short-term market sentiment [1][11] - The financing balance ratio continues to rise, reflecting an increase in market leverage and a more active trading atmosphere [1][22] Group 4 - The model's overall indicators suggest that the market is currently experiencing a structural shift, with high trading congestion in sectors like power equipment, transportation, and coal, while sectors like computers and food and beverage show lower congestion levels [1][36][40] - The report highlights that high congestion in sectors with significant price increases may pose volatility risks, while low congestion sectors could present opportunities for excess returns if conditions improve [1][36][40] - The report emphasizes the importance of tracking industry congestion to identify potential structural risks and optimize asset allocation strategies [1][36]

Market Performance - The recent five trading days saw the Sci-Tech 50 Index increase by 0.01%, the ChiNext Index by 0.65%, the large-cap value index by 2.33%, the large-cap growth index by 0.28%, the SSE 50 by 0.89%, and the small-cap index represented by the CSI 2000 by 0.52% [1] - Sectors such as electric equipment and coal performed well, while computer and beauty care sectors lagged behind [1] Valuation Levels - As of November 7, 2025, the static PE of the CSI All Index is at an 82nd percentile, with the SSE 50 and CSI 300 at 77% and 74% respectively, while the ChiNext Index is close to 53% [1] - The valuation of the ChiNext Index is relatively at the historical median level [1] Risk Premium - The risk premium, calculated as the inverse of the static PE of the CSI All Index minus the yield of ten-year government bonds, stands at 2.78% as of November 7, 2025, with a two-standard deviation boundary at 4.74% [1] ETF Fund Flows - In the last five trading days, ETF inflows amounted to 37.2 billion yuan, while margin trading decreased by approximately 700 million yuan [2] Industry Themes - The latest thematic allocation includes banking, energy, and dividends, specifically focusing on indices such as the CSI Bank Index, CSI Energy Index, and CSI Central Enterprises Dividend Index [2][3] Long-term Market Sentiment - The proportion of stocks above the 200-day moving average is being tracked to gauge long-term market sentiment [13] Financing Balance - The financing balance is being monitored to assess market liquidity and investor sentiment [16] Individual Stock Performance - Statistics on individual stock performance year-to-date based on return ranges are being compiled to identify trends [18] Oversold Indices - Observations are being made regarding indices that are considered oversold, indicating potential investment opportunities [20]