[Table_Message]2025-12-07 金融工程周报 大类资产与基金周报（20251201-20251205）—— 贵金属上涨，商品基金涨幅录得 1.03% [Table_Author] 证券分析师：刘晓锋 电话：13401163428 E-MAIL：liuxf@tpyzq.com 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 [Table_Title] [Table_Summary] 执业资格证书编码：S1190522090001 . 证券分析师：孙弋轩 电话：18910596766 E-MAIL：sunyixuan@tpyzq.com 内容摘要 太 平 洋 证 券 股 份 有 限 公 司 证 券 研 究 报 告 执业资格证书编码：S1190525080001 金 融 工 程 周 报 ◼ 大类资产市场概况：1）权益：本周 A 股市场中上证指数收盘 3902.81，涨跌幅 0.37%， 深证成指、中小板指数、创业板指、上证 50、沪深 300、中证 500、中证 1000、中证 2000、 北证 50 涨跌幅分别为 1.26%、0.76%、1.86%、1.09%、1.28%、0.94% ...

Core Insights - The shift from individual stock trading to index-based investment is leading to a new era defined by ETFs, with a significant increase in their total market size, surpassing 5 trillion yuan [2][3] Group 1: ETF Market Overview - The total scale of domestic ETFs has reached a historic high of 5.76 trillion yuan, up from 3.73 trillion yuan at the beginning of the year, marking a substantial increase [2] - A record 347 new ETFs were established this year, bringing the total number of ETFs in the market to 1,373 [2] Group 2: ETF Categories - The market is segmented into seven core categories, providing diverse investment tools: 1. **Broad-based ETFs**: These include major indices like the CSI 300 ETF and the SSE 50 ETF, serving as market stabilizers [5] 2. **Sector and Thematic ETFs**: Focused on specific sectors such as technology, consumer goods, healthcare, finance, and renewable energy [6] 3. **Cross-border ETFs**: Allowing for global asset allocation, including markets like Hong Kong, the US, and various European countries [7] 4. **Bond ETFs**: Primarily fixed-income assets, historically showing a "see-saw" effect with the stock market [8] 5. **Commodity ETFs**: Enabling indirect investment in commodities like gold and energy [9] 6. **Strategy ETFs**: Including high-dividend and Smart Beta strategies for advanced investment options [10] 7. **Cash Management ETFs**: Serving as a liquidity tool for investors [11] Group 3: ETF Performance and Trends - Many investors still view ETFs merely as a way to bet on sectors, while more sophisticated investors are building comprehensive asset defense and appreciation systems [4] - The stability and liquidity of large-scale ETFs are highlighted as critical factors for market acceptance, with high liquidity ensuring lower transaction costs and continuous trading [4]

- The report tracks the performance of various stock market indices, including A-shares, Hong Kong stocks, and US stocks, with a focus on the relative performance of different styles such as growth vs. dividend, small-cap vs. large-cap, and micro-cap vs. CSI 800[1][2][7] - The report highlights the valuation and equity-bond cost-effectiveness of A-shares, noting that the current PE_TTM of A-shares is at a historically high percentile, with marginal increases over the past week[41][42][46] - The report discusses the relative crowding and cost-effectiveness of different styles, with growth vs. dividend and micro-cap vs. CSI 800 being at historically high levels, while small-cap vs. large-cap is at a historically balanced level[72][75][78] - The report examines the impact of US Treasury yields on the performance of different styles, noting that the recent rise in US Treasury yields has led to growth outperforming dividends and large-cap underperforming small-cap, which is consistent with long-term trends[83][85][86] - The report tracks the performance of major funds, noting that most major fund indices have outperformed the Wind All A index over the past week, with the social security heavy index and the national team index leading the gains[89][93][95] - The report provides an overview of the bond market, noting that both Chinese and US Treasury yields have risen over the past week, with the China-US spread at a historically high level[112][113][114] - The report tracks the performance of the commodity market, noting that both Chinese and US commodity markets have risen over the past week, with the Nanhua Precious Metals Index and the CRB Metals Index leading the gains[123][124][125]

Core Viewpoint - The overall market is experiencing volatility due to a policy vacuum, with expectations for a positive policy direction emerging from upcoming meetings in December [1][2]. Macro and Policy - Economic fundamentals have shown relative weakness in the second half of the year, yet risk assets have outperformed safe-haven assets, indicating that asset pricing is driven more by long-term expectations than short-term economic performance [2]. - Optimism regarding the Producer Price Index (PPI) and the anticipated policy strength for 2026 is fueling this positive outlook [2]. - The December Politburo meeting and the Central Economic Work Conference are critical for setting the policy tone for 2026 and could serve as a turning point for major asset classes [2]. Overseas Factors - The U.S. labor market remains under pressure, necessitating potential interest rate cuts by the Federal Reserve in December, although the long-term impact of the labor market on monetary policy is diminishing [3]. - China's international competitiveness in exports has improved, and the country has mitigated some negative impacts from tariffs through re-export trade, suggesting a better-than-expected foreign trade outlook [3]. Asset Allocation Strategy - Following the December meetings, major assets are expected to transition from a state of ambiguity to clearer trends, marking a pivotal moment for asset allocation [4]. - Bond yields are reasonable but lack attractiveness, while stock market valuations have slightly declined, maintaining a high-risk appetite in the market [4]. - There is optimism regarding fiscal policy strength, which may enhance the attractiveness of equity assets [4]. - In terms of bond investments, a focus on medium- to short-term bonds is recommended due to a generally accommodative monetary policy, despite market sentiment being fragile [4]. - For commodities, attention should be given to non-ferrous metals, which are expected to show a clear contraction trend in supply [4].

Market Strategy - The A-share market is currently experiencing adjustments, showing a weak oscillating trend, with expectations not significantly improving and index heights being limited [7] - In December, the overall performance of various asset classes is expected to be stable, with a neutral to slightly bullish outlook on stocks, commodities, and gold, while bonds and US stocks are neutral [7] - The report suggests focusing on mid-cap blue chips, which are undervalued and have lower institutional allocation, as well as sectors with improving marginal prosperity [7] Industry Strategy - The non-ferrous metals and telecommunications sectors are expected to maintain strong performance, while opportunities exist in agriculture and chemicals [4][7] - The industry is undergoing a market-driven and policy-supported capacity reduction phase, with a left-side layout window potentially emerging [7] - The current pig price has dropped to 11 yuan per kilogram, leading to widespread losses in the industry, which is expected to force high-cost production capacity to exit, setting a solid foundation for future price stabilization [7] Thematic Strategy - In agriculture, the accelerated reduction of pig stocks presents a left-side layout opportunity, with expectations of a cyclical rebound once the capacity reduction is solidified [5][7] - The report emphasizes that the valuation of the agriculture sector is at historical lows, indicating a potential entry point for investors [7]

Macro and Strategy - The report discusses the ongoing expansion and diversification of public REITs in China, highlighting the inclusion of various asset types and industries, with a projected market size increase of 2.3 to 3.8 trillion yuan, indicating a potential 10-16 times expansion compared to the current scale [7][8][10] - The average dividend yield of public REITs from 2022 to 2025 is 5.73%, which is higher than the average yield of the CSI Dividend Index at 5.52%, showcasing their attractiveness as a stable income asset [8][9] - Public REITs are characterized by a dual return structure comprising dividend income and asset appreciation, with a significant portion of returns coming from dividends over longer investment horizons [9][10] Industry and Company - The Chinese duty-free industry is entering a new cycle, with Hainan's duty-free sales experiencing a compound annual growth rate (CAGR) of 39% from 2011 to 2019, but facing a decline of 37% from peak sales due to various market pressures [17][18] - Recent data indicates a recovery in Hainan's duty-free sales, with year-on-year growth of 3%, 13%, and 27% from September to November 2025, suggesting a positive trend in high-end consumption [18][19] - The report emphasizes the importance of policy support and market dynamics in shaping the future of the duty-free sector, with expectations for continued growth driven by improved consumer confidence and strategic policy enhancements [19][20][21] Automotive Industry - The report highlights the rapid advancements in smart driving technology, with companies like Tesla and Huawei leading the way in achieving Level 4 automation through innovative algorithms and architectures [24][25] - The penetration rate of smart driving technologies is expected to see significant growth, with projections indicating an increase from 11.3% to 26.3% for highway navigation assistance (NOA) by 2025 [25] - The global market for robotaxi services is projected to reach nearly 10 trillion yuan, with companies like Waymo and Apollo at the forefront of commercialization efforts [25][26] Non-Banking Sector - The report outlines the importance of the second pillar of the pension system in China, focusing on the development of enterprise and occupational pensions to address the challenges of an aging population [26][27] - The occupational pension system has achieved full coverage, while enterprise pensions are expanding from state-owned to private enterprises, indicating a shift towards a more diversified pension landscape [27][28] - The investment strategy for pension funds is evolving towards a "barbell" approach, balancing stable income-generating assets with growth-oriented investments in technology and manufacturing sectors [28]

Group 1 - The report indicates a combination of "loose monetary policy + credit easing," with a low risk of tightening in the funding environment, which continues to support macroeconomic and asset performance [1][13][19] - In November, the A-share market is expected to stabilize as liquidity disturbances and risk appetite weaken, with major indices experiencing a general pullback [2][31] - The report highlights that the bond market remains resilient despite weak fundamentals, with a slight increase in credit bond indices and a decline in government bond yields [3][38] Group 2 - The report emphasizes the importance of large-cap growth stocks in the current market environment, supported by China's manufacturing PMI and industrial output growth [19][20][21] - It suggests a quantitative asset allocation model for domestic assets, recommending 30% in stocks, 35% in bonds, 23.3% in crude oil, and 11.7% in gold under an aggressive allocation scenario [24][26] - The report notes a divergence in global central bank policies, with a trend towards easing but with varying degrees among different economies, impacting investment strategies [56][57]

证券研究报告 | 金融工程月报 回调或是风险资产的买入时机 ——2025 年 12 月大类资产配置月报 核心观点 对于当下全球资产定价面临的美国经济超预期走弱风险及日元加息风险，我们认为影 响均有限，若出现回调则有望带来风险资产的买入良机。 ❑ 美国经济衰退及日元加息两大宏观风险的影响可能都相对有限，若风险资产因此 出现回调，可能带来较好买入机会。 从历史统计结果来看，2022 年以来，美国财政赤字约领先服务业 PMI 就业分项 4 个月左右，前期美国财政的边际紧缩可能导致即将公布的 11 月非农等硬数据低 于市场预期，这可能带来脉冲性的衰退交易。不过，近期财政力度趋于收缩，部 分源自政府关门抑制了支出，财政部发债所得资金淤积在 TGA 账户中。而在政府 重新开门后，我们已经观察到 TGA 账户余额的下降，财政有望重新转向扩张，对 应经济预期即便阶段性下修，也可能迅速趋于稳定。因此，若出现衰退交易，反 而可能带来风险资产较好的买入机会。此外，近期日本央行暗示将于 12 月加息亦 引发市场担忧，但从数据上看，CME 日元兑美元期货非商业空头净持仓数量与美 元兑日元汇率之间存在显著相关性，而自 2024 年 7 ...

Group 1 - The report indicates a continued trend of "loose monetary policy + credit easing," with a low risk of tightening in the funding environment, which supports macroeconomic and asset performance [1][13][19] - In October, China's new social financing was 816.1 billion yuan, lower than the expected 1,537.7 billion yuan, and new RMB loans were 220 billion yuan, also below the expected 451.2 billion yuan, indicating a slight pullback in credit pulses but an overall continuation of the upward trend for the year [1][13] - The report suggests that the A-share market is expected to stabilize towards the end of the year, with limited short-term upside or downside, and anticipates a potential upward momentum in the first quarter of the following year [2][3] Group 2 - The report highlights that the bond market remains resilient despite weak fundamentals, with the overall bond market showing stability amid a backdrop of declining interest rates [3][31] - In November, the 10-year government bond yield decreased by 6.9 basis points to 1.73%, indicating a stable bond market environment [31] - The report notes that the commodity price trends are diverging, with oil prices under pressure and gold prices experiencing fluctuations, influenced by global economic conditions and geopolitical factors [4][31] Group 3 - The report emphasizes a focus on large-cap growth stocks due to the recovery in the domestic economy, with China's manufacturing PMI at 49.2, indicating a better outlook compared to the US [19][20] - The report suggests that the overall economic recovery is favorable for growth sectors, with industrial value-added growth of 6.1% year-on-year from January to October [19][20] - The report recommends an asset allocation strategy favoring equities over commodities and bonds, with specific allocations for aggressive and conservative strategies [24][26]

Core Viewpoint - The overall macro analysis indicates a bearish outlook for equity assets, while technical analysis shows an upward trend with moderate valuation and capital outflow [1][2][8] - For bonds, the macro perspective is bullish, and the technical trend is also upward [1][2][8] - Industrial products are viewed negatively from a macro standpoint, with a downward price trend technically [1][2][8] - Gold assets are favored in the macro analysis, with an upward price trend technically [1][2][8] Macro Analysis - The macro analysis categorizes assets based on their performance under different macro indicators, indicating that equity assets are currently under pressure, while bonds and gold are favored [4][8] - The analysis employs T-tests to assess the impact of macro indicators on asset returns, revealing significant differences in average returns based on the trend of macro indicators [4][5] Technical Analysis - The technical analysis utilizes closing prices and various indicators to assess asset trends, with equity, bonds, and gold showing upward trends, while industrial products are on a downward trend [10][13] - The latest trend indicators for equity and bond assets are positive, while industrial products show a negative trend [14][13] Valuation Indicators - The equity risk premium (ERP) for the CSI 800 index is at 55.71%, indicating a moderate valuation level [17][18] - The analysis of capital flow indicates a net outflow of 102.9 billion yuan for equity assets, suggesting a negative sentiment in the market [21][22] Asset Allocation Performance Tracking - Historical performance data shows that a fixed ratio combined with macro and technical indicators yielded a return of 10.50% for 2025, with an annualized return of 12.00% since April 2006 [3][26] - Different asset allocation strategies, including volatility control and risk parity, have also been analyzed, showing varying returns and risk profiles [30][33] Summary of Views - The combined scores from macro and technical indicators suggest a bearish outlook for equity assets, a bullish stance for bonds and gold, and a negative view for industrial products [23][25]