| | 1、央行公告称，12月26日以固定利率、数量招标方式开展了930亿元7天期逆回购操作，操作利率1.40%，投标量930亿 | | --- | --- | | | 元，中标量930亿元。Wind数据显示，当日562亿元逆回购到期，据此计算，单日净投放368亿元。本周央行公开市场将 | | | 有6227亿元逆回购到期，其中本周一、本周二、本周三、本周日分别到期673亿元、593亿元、260亿元、4701亿元。 | | | 2、2026年全国两会召开时间确定。全国政协十四届四次会议将于2026年3月4日在北京召开，十四届全国人大四次会议 | | | 将于3月5日召开，审查"十五五"规划纲要草案列入2026年全国人代会建议议程。 3、全国财政工作会议在北京召开。会议指出，2026年继续实施更加积极的财政政策；扩大财政支出盘子，确保必要支 | | | 出力度；优化政府债券工具组合，更好发挥债券效益。会议要求，2026年财政工作抓好六项重点任务，包括坚持内需 | | | 主导，大力提振消费，加大对新质生产力、人的全面发展等重点领域投入；加快培育壮大新动能，进一步增加财政科 | | | 技投入；进一步强化保基本、 ...

Quantitative Models and Construction Methods 1. Model Name: Rotation Model - **Model Construction Idea**: The model is based on the relative performance of micro-cap stocks and "Mao Index" (a large-cap index), using rolling slopes and relative net values to determine rotation signals[19][24] - **Model Construction Process**: 1. Calculate the relative net value of micro-cap stocks to the Mao Index. If the relative net value is above its 243-day moving average, the model prefers micro-cap stocks; otherwise, it prefers the Mao Index[19][24] 2. Compute the 20-day closing price slopes for both micro-cap stocks and the Mao Index. If the slopes diverge and one is positive, the model selects the index with the positive slope to adapt to potential style shifts[19][24] 3. Timing indicators include the 10-year government bond yield (threshold: 0.3) and micro-cap stock volatility crowding (threshold: 0.55). If either indicator hits the threshold, a closing signal is triggered[19][24] - **Model Evaluation**: The model effectively captures style rotation signals and provides a systematic approach to manage risk and optimize returns[19][24] 2. Model Name: Macro Timing Model - **Model Construction Idea**: This model integrates macroeconomic growth and monetary liquidity signals to determine equity allocation levels[44][45] - **Model Construction Process**: 1. Assign signal strengths to economic growth and monetary liquidity dimensions. For December, the signal strengths were 50% and 60%, respectively[45] 2. Combine these signals to recommend an equity allocation level. For December, the recommended equity allocation was 55%[45] 3. The model's performance is tracked, with a year-to-date return of 13.57% compared to a 25.65% return for the Wind All-A Index[44] - **Model Evaluation**: The model provides a balanced approach to equity allocation, leveraging macroeconomic indicators to guide investment decisions[44][45] --- Model Backtesting Results 1. Rotation Model - **Relative Net Value**: Micro-cap stocks to Mao Index relative net value was 2.06, above the 243-day moving average of 1.80[19] - **20-Day Slope**: Micro-cap stocks' 20-day slope was -0.15%, while the Mao Index's slope was 0.00%[19] - **Risk Indicators**: Volatility crowding was -17.17%, below the 55% risk threshold; 10-year government bond yield was 7.32%, below the 30% risk threshold[19] 2. Macro Timing Model - **Economic Growth Signal**: 50%[45] - **Monetary Liquidity Signal**: 60%[45] - **Equity Allocation**: 55%[45] - **Year-to-Date Return**: 13.57% (compared to Wind All-A Index's 25.65%)[44] --- Quantitative Factors and Construction Methods 1. Factor Name: Growth Factor - **Factor Construction Idea**: Measures the growth potential of companies based on financial metrics like net income and operating income growth[58][59] - **Factor Construction Process**: 1. Use single-quarter net income year-over-year growth (NetIncome_SQ_Chg1Y) and single-quarter operating income year-over-year growth (OperatingIncome_SQ_Chg1Y) as key metrics[59] 2. Combine these metrics to rank stocks and construct the factor[59] - **Factor Evaluation**: Demonstrated strong performance with an IC mean of 10.62% across all A-shares[48] 2. Factor Name: Consensus Expectation Factor - **Factor Construction Idea**: Captures market sentiment and expectations based on analysts' forecasts[58][59] - **Factor Construction Process**: 1. Use metrics like expected ROE changes over the past three months (ROE_FTTM_Chg3M) and target return over 180 days (TargetReturn_180D)[59] 2. Rank stocks based on these metrics to construct the factor[59] - **Factor Evaluation**: Performed well with an IC mean of 9.57% across all A-shares[48] 3. Factor Name: Volatility Factor - **Factor Construction Idea**: Measures stock price stability and risk using historical price and volume data[58][59] - **Factor Construction Process**: 1. Use metrics like 60-day return volatility (Volatility_60D) and CAPM residual volatility (IV_CAPM)[59] 2. Rank stocks inversely based on these metrics to construct the factor[59] - **Factor Evaluation**: Underperformed with an IC mean of -20.21% across all A-shares[48] --- Factor Backtesting Results 1. Growth Factor - **IC Mean**: 10.62% (all A-shares)[48] - **Multi-Long-Short Portfolio Return**: 20.54% (all A-shares, year-to-date)[49] 2. Consensus Expectation Factor - **IC Mean**: 9.57% (all A-shares)[48] - **Multi-Long-Short Portfolio Return**: 15.95% (all A-shares, year-to-date)[49] 3. Volatility Factor - **IC Mean**: -20.21% (all A-shares)[48] - **Multi-Long-Short Portfolio Return**: -2.96% (all A-shares, year-to-date)[49]

Monetary Policy Overview - The central economic work conference reiterated the implementation of a moderately loose monetary policy, emphasizing the flexible and efficient use of various policy tools such as reserve requirement ratio (RRR) cuts and interest rate reductions [1][6][10] - The shift in monetary policy tone from "prudent" to "moderately loose" was signaled during the Central Political Bureau meeting in December last year, leading to expectations of larger RRR cuts and interest rate reductions in 2025 [2][3] Market Reactions and Trends - The 10-year government bond yield fell by 88 basis points over the past year, marking the largest decline in a decade, with a record low of below 1.6% reached after the New Year and Spring Festival [2][5] - Despite the shift to a moderately loose policy, the 10-year bond yield increased by 16 basis points as of December 26, primarily due to the market's anticipation of monetary easing being priced in [5] Policy Implementation and Tools - In 2023, the People's Bank of China (PBOC) implemented a series of financial measures, including a single RRR cut of 50 basis points and a 10 basis point reduction in the 7-day reverse repurchase rate, which was less aggressive than the previous year's actions [3][4] - The PBOC utilized various tools such as open market operations, medium-term lending facilities (MLF), and structural monetary policy tools to maintain ample liquidity in the market [4][10] Economic Indicators - As of November, the broad money supply (M2) grew by 8.0% year-on-year, with a 0.9 percentage point increase compared to the previous year, while the social financing scale increased by 8.5% [4] - The macro leverage ratio, measured by M2 and social financing stock relative to annual GDP, increased by 9.1 and 11.5 percentage points respectively, indicating a more relaxed monetary environment [4] Future Policy Directions - The central economic work conference highlighted the need for enhanced policy "synergy," focusing on the integration of existing and new monetary policies to support economic stability and growth [8][9] - The PBOC aims to balance short-term and long-term goals, ensuring that monetary policy supports economic growth while managing risks effectively [9][12]

Economic Growth and Resilience - China's economy is projected to reach approximately 140 trillion yuan, marking a significant achievement during the "14th Five-Year Plan" period, with a growth rate among the highest globally [1][2] - The economic growth from 2020 to 2025 represents an increase of 40 trillion yuan, equivalent to over 5 trillion USD, comparable to creating the world's third-largest economy [1] Contribution to Global Economy - China's economy accounts for about 17% of the global economy and contributes over 30% to global economic growth annually [2] - The International Monetary Fund has raised its 2025 growth forecast for China to 5%, indicating strong economic performance [2] Key Support Factors - The two major breakthroughs supporting the 140 trillion yuan economy are the rapid development of the digital economy and artificial intelligence, and the robust growth of the green economy [2][3] - China's digital economy has empowered traditional industries, while advancements in artificial intelligence and quantum information have positioned the country among the global leaders in these fields [2] Green Economy Development - From 2012 to 2024, China's energy consumption grew at an average rate of 3.4%, supporting an average economic growth of 6.1%, with a carbon emission intensity reduction of over 35% [3] - China leads globally in renewable energy capacity, with solar panel production at the top for over a decade and a significant share of lithium battery production [3] Future Economic Outlook - The expected actual growth rate for the "15th Five-Year Plan" period is between 4.5% and 5%, with contributions from capital and labor inputs, as well as total factor productivity [4] - The nominal growth rate could reach 7% if actual growth of 5% is combined with a 2% inflation rate [4] Macroeconomic Policy - The Central Economic Work Conference emphasized the need for proactive macroeconomic policies, including a fiscal deficit rate set at around 4% for 2025 and a local government special debt limit of 4.4 trillion yuan [5][6] - The focus is on stabilizing economic growth and ensuring reasonable price recovery, with monetary policy aimed at addressing the current negative producer price index [6] International Trade and Relations - Despite external challenges, China's foreign trade remains resilient, maintaining its position as the world's largest goods trader for eight consecutive years, with a projected trade volume of 6.16 trillion USD in 2024 [8] - The U.S. tariff policies pose risks to global trade, and China aims to navigate these challenges while promoting high-quality development and enhancing domestic and international economic circulation [7][8] Foreign Investment Environment - China is committed to creating a market-oriented, law-based, and internationalized business environment to attract foreign investment, with ongoing efforts to streamline regulations and enhance protections for foreign enterprises [9] - The focus is on ensuring that foreign companies can operate smoothly in open sectors, with initiatives to improve infrastructure and support services [9] Artificial Intelligence Sector - China is recognized for its potential in the artificial intelligence sector, with significant investment interest from international investors, particularly from Wall Street [11] - The country aims to leverage its advantages in application scenarios, data resources, and infrastructure to foster a competitive AI industry [13]

Core Insights - The People's Bank of China released the "China Financial Stability Report (2025)", highlighting the complex changes in the development environment during the 14th Five-Year Plan period, with both strategic opportunities and risks present [1] - The report emphasizes the resilience and potential of China's economy, supported by the advantages of the socialist system, large market size, complete industrial system, and abundant human resources [1] Group 1: Economic Policy and Financial Stability - The monetary policy will focus on promoting stable economic growth and reasonable price recovery, maintaining ample liquidity, and keeping social financing costs low [2] - The report stresses the importance of market determination in exchange rate formation, maintaining exchange rate flexibility, and preventing excessive fluctuations while ensuring the RMB remains stable at a reasonable level [2] - It outlines the development of five key financial areas: technology finance, green finance, inclusive finance, pension finance, and digital finance, to support major national strategies and address key areas of economic development [2] Group 2: Risk Management and Financial Oversight - A comprehensive macro-prudential management system will be established to enhance monitoring and assessment of systemic financial risks, with a focus on key areas [2] - The report emphasizes the need to prevent and resolve financial risks in critical sectors, including supporting the resolution of financing platform debt risks and managing risks in small financial institutions [2] - It highlights the importance of maintaining macro-prudential management in the real estate finance sector to avoid systemic financial risks [2]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Amid policy expectation swings, focus on high - certainty sectors like non - ferrous metals and precious metals, and make risk plans for potential market adjustments [1][4] - Suggest buying stock index futures, precious metals, and non - ferrous metals on dips [5] Summary by Related Catalogs Market Analysis - Chinese policies emphasize active fiscal and moderately loose monetary policies, with multiple ministries responding. The US will not impose additional tariffs on Chinese chips for at least 18 months. In November, China's foreign trade rebounded, but the economy was still under pressure. On December 25, A - share indices rose, the offshore RMB broke through 7.0 against the US dollar [1] - The Fed restarted a "restrictive" stance, buying $40 billion of short - term bonds in 30 days and cutting rates by 25 basis points. The US economic data showed a mixed picture. There are risks of macro - and fundamental resonance if market sentiment turns cold [2] - The Bank of Japan raised interest rates by 25 basis points. The impact of this rate hike was limited due to low foreign ownership of Japanese bonds and stable dollar - yen net long positions [3] Commodity Analysis - In the inflation - expectation game, focus on non - ferrous metals and precious metals. Non - ferrous metals have long - term supply constraints. Energy has supply - related issues, and geopolitical factors affect the market. The "anti - involution" space in the chemical sector and agricultural product procurement plans are also worth attention. For precious metals, look for buying opportunities on dips, but beware of short - term silver risks [4] Strategy - Suggest buying stock index futures, precious metals, and non - ferrous metals on dips [5] To - do News - The Shanghai Composite Index had a 7 - day winning streak. The RMB against the US dollar reached new highs. The volume of pledged repurchase hit a new high. The US will not impose additional tariffs on Chinese chips for at least 18 months [7] - Israel and Hamas had a new dispute, and Zelensky stated that Ukraine would not give up joining NATO [8]

Core Viewpoint - The People's Bank of China (PBOC) highlighted the "prominent contradiction between strong supply and weak demand" in its monetary policy committee meeting, indicating that supply-side adjustments may be a focus for future policy efforts [1] Group 1: Economic Policy Insights - The meeting introduced a new emphasis on cross-cycle adjustments, suggesting that future policy priorities may shift towards long-term institutional reforms [1] - The statement regarding cost reduction emphasized "promoting the low-level operation of comprehensive financing costs," indicating a focus on maintaining low financing costs rather than immediate operational measures [1] - The meeting omitted references to preventing fund diversion and guiding financial institutions to increase monetary credit, reflecting a continued trend of downplaying quantitative targets by the central bank [1]

在研判国内外经济金融形势时，本次例会认为，当前外部环境变化影响加深，世界经济增长动能不足， 贸易壁垒增多，主要经济体经济表现有所分化，通胀走势和货币政策调整存在不确定性。我国经济运行 总体平稳、稳中有进，高质量发展取得新成效，但仍面临供强需弱矛盾突出等问题和挑战。 对比第三季度例会来看，本次例会删除了"物价低位运行"的相关表述，并强调"我国经济运行仍面临供 强需弱矛盾突出等问题和挑战"，较第三季度例会中的"仍面临国内需求不足、物价低位运行等困难和挑 战"略有变动。 这或与近期物价出现的积极信号有关。国家统计局数据显示，11月份，居民消费持续恢复，居民消费价 格指数（CPI）同比上涨0.7%，涨幅比上月扩大0.5个百分点，为2024年3月份以来最高；扣除食品和能 源价格的核心CPI同比上涨1.2%，涨幅连续3个月保持在1%以上。 11月份，全国工业生产者出厂价格(PPI)同比下降2.2%，环比上涨0.1%，为连续两个月上涨。对此，国 家统计局新闻发言人、总经济师、国民经济综合统计司司长付凌晖在国新办新闻发布会上指出，PPI连 续2个月环比上涨，表明支持价格合理回升的积极因素继续累积。当然也要看到，PPI同比还在 ...

全球化：从"被融入"到主动赋能。以新兴市场和发展中国家为主的"全球南方"崛起，正在成为推动世界 多极化与经济增长的关键力量。在全球格局由单极主导向多极共治深刻转型、中国经济同时步入转型期 的背景下，中国的"全球化"角色已从过去的"被融入全球分工体系"，转向发挥"赋能者"作用，通过全球 化重构"三化一需"，积极参与全球政治经济秩序建设。这不仅为中国经济高质量发展提供持续动力，也 有助于营造更加平等包容的全球经济治理环境。 2026年经济展望：三重支撑下的"稳中求进" □王涵（兴业证券经济与金融研究院联席院长） 当前，全球格局正在经历深刻调整，大国博弈、产业链重构与地缘政治冲突等因素交织，加剧了外部环 境的不确定性。在此背景下，中国经济也进入新旧动能转换的关键阶段。 2026年是"十五五"规划开局之年，具有承前启后的重要意义。因此，对经济的分析既要关注当年运行特 征，把握增长韧性与潜在风险，更应将其置于中长期结构转型的宏观视野中加以审视。考虑到中国经济 体量庞大、国际形势复杂严峻，不应再过度聚焦增速高低，而应更加关注经济质量的提升与高质量发展 的实现。 中国经济转型期："三化一需"进入新阶段 改革开放以来，中国经 ...

记者丨唐婧 边万莉 编辑｜曾芳 12月24日，中国人民银行货币政策委员会2025年第四季度例会内容公布。此次会议作为判断 未来一段时间货币政策走向的重要风向标，释放出一系列关键政策信号。 在研判国内外经济金融形势时，本次例会认为，当前外部环境变化影响加深，世界经济增长 动能不足，贸易壁垒增多，主要经济体经济表现有所分化，通胀走势和货币政策调整存在不 确定性。我国经济运行总体平稳、稳中有进，高质量发展取得新成效，但仍面临供强需弱矛 盾突出等问题和挑战。 对比第三季度例会来看， 本次例会删除了"物价低位运行"的相关表述，并强调"我国经济运行 仍面临供强需弱矛盾突出等问题和挑战" ， 较第三季度例会中的"仍面临国内需求不足、物价 低位运行等困难和挑战"略有变动。 这或与近期物价出现的积极信号有关。 国家统计局数据显示，11月份，居民消费持续恢复，居民消费价格指数（CPI）同比上涨 0.7%，涨幅比上月扩大0.5个百分点，为2024年3月份以来最高；扣除食品和能源价格的核心 CPI同比上涨1.2%，涨幅连续3个月保持在1%以上。 11月份，全国工业生产者出厂价格(PPI)同比下降2.2%，环比上涨0.1%，为连续两个 ...