但上周美股已经有不错的反弹，标普500距离创新高也就2-3个点，市场的风险偏好已经有明显的回升，过两天美联储的降息落地后，需要观察下美联储会 放出什么信号，如果是鸽派信号，那可能市场会继续向上。 距离今年结束还有3个星期，从港股互联网股业绩后来看，互联网公司都能交出一份好的业绩，互联网股的龙头公司还是便宜的，只是在最近市场风险偏 好降低的情况下，市场没有多大的反应。 那对于目前的市场，尤其是对流动性敏感的科技股而言，要想有所突破，要么靠AI产业趋势有新的突破，要么需要流动性的明显改善，美股和港A都是如 此。因此，在AI泡沫担忧还争论不断没有定论的环境下，流动性的变化无疑成为短期影响市场的一个重要变量。 目前市场的预期里，预计美联储表态会是偏鸽派的，有利于市场的温和上涨。 所以，港股作为对风险偏好敏感的市场，若后天美联储的发言表态不强硬，那前段时间调整的跌幅有望迎来修复。而港股反弹时，还是恒生科技指数ETF （513180），恒生互联网ETF（513330）的确定性要更高。 市场流动性的新变化 自从10月底以来，市场投资者的风险偏好降低，全球风险资产承压，标普/纳指/恒科从高点的最大跌幅分别达5.1%/7.3% ...

大行买短，农商接长 ——流动性与机构行为跟踪 证券研究报告/固收定期报告 2025 年 12 月 08 日 分析师：吕品 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 执业证书编号：S0740525070001 Email：suht@zts.com.cn 1、《基金、券商共振抛券》2025-12-01 2、《资金波动，大行融出下行》 2025-11-24 3、《债基久期再回落》2025-11-20 分析师：严伶怡 本周（12.1-12.5）关注要点：本周资金利率下行，大行融出日均环比增加，基金降杠 杆；存单到期减少，存单到期收益率曲线上移；现券成交来看，买盘主力来自农商， 增持 7-10Y 利率债为主，基金延续抛盘，主要卖出 7-10Y 和 20-30Y 利率债并增持短 端信用，大行增持 3Y 以内利率债，保险继续增配 20-30Y 超长利率债。 货币资金面 机构行为跟踪 请务必阅读正文之后的重要声明部分 报告摘要 联系人：苏鸿婷 相关报告 本周（12.1-12.5，下同）共有 15118 亿元逆回购到期。周一至周五央行分别投放逆 回购 1076、1563、793、 ...

证券研究报告 宏观经济 2025年12月8日 德邦证券 市场双周观察（第一期） 证券分析师 程 强 资格编号：S0120524010005 邮箱：chengqiang＠tebon.com.cn 薛 威 资格编号：S0120523080002 邮箱：xuewei＠tebon.com.cn 谭诗吟 资格编号：S0120523070007 邮箱：tansy＠tebon.com.cn 摘要 过去两周的全球市场主要受流动性层面的影响，特别是FOMC议息会议即将在12月10日进行和美联 储新主席人选即将公布的背景下。 12月FOMC降息的概率在过去两周逐步升高，这也带来了美元指数的弱势和全球风险资产的普遍强势。 日央行行长对于可能加息的言论引发了市场波动，也带来了日元汇率的反弹和全球发达市场无风险 利率的普遍回升，给全球风险资产带来了一定的扰动。 整体来看，过去两周全球股市与商品表现不错，发达市场国债利率迎来回升，美元弱势带来非美 货币涨多跌少。 股市：全球迎普涨行情，其中科技板块强势领涨；A股通信、国防军工领涨； 债市：联储降息预期抬升，发达市场无风险利率回升；30Y中债国债利率显著攀升，信用利差走扩； 商品：全球大宗 ...

消息面上，中国人民银行于5日以固定数量、利率招标、多重价位中标方式开展1万亿元买断式逆回购操 作，期限为3个月（91天）。鉴于月内将有同等规模的3个月期品种到期，本次操作后将实现3个月期买 断式逆回购等量续作。 华西证券认为，从近期操作看，已公布的12月3个月期买断式逆回购继续等额续作（投放与当日到期均 为1万亿元），参考11月续作结果，此举或并不代表央行投放力度缩减，而是更多反映了央行对资金投 放期限结构的调整，预计后续6M期将延续加量续作，以维护跨年流动性合理充裕。 天风证券也表示，综合9月、11月资金面表现来看，买断式逆回购等量续作或反映月初银行通过买断式 逆回购补充流动性的意愿不高，更倾向于等待月中、月末等流动性需求更为明晰的时点进行主动管理。 天风证券指出，上周DR001下破1.3%创下新低，显示央行在跨年期间对资金面的呵护意图，但这并非货 币政策进一步宽松的信号，需关注资金防空转诉求，下破1.3%状态可能非常态。与DR001下破1.3%并 存的是两个现象：金融时报刊文提及"收短放长"的央行流动性组合拳；11月国债净买入规模不及市场预 期。自6月以来，资金利率处于低位低波状态，但上周首次打破1.3% ...

Group 1 - The world is potentially forming a dual financial trend, with COMEX and SHFE as potential winners, while LME may suffer significant losses, particularly in industrial and financial-related precious metals like gold, silver, and copper [1] - The liquidity trends indicate a national-level withdrawal of liquidity, as no single entity can manage the liquidity of three precious metals simultaneously, highlighting the challenges faced by the London market [1] - China's foreign exchange reserves reached $3346.4 billion in November, marking a slight increase of $3 billion from October, and maintaining stability above $3.3 trillion for four consecutive months, the highest since December 2015 [1][5] Group 2 - The central bank's gold reserves increased by 30,000 ounces to 74.12 million ounces, marking 13 consecutive months of accumulation, reflecting a strategic choice to optimize reserve structure and mitigate financial risks amid a complex international environment [3][5] - The stable foreign reserves are crucial for ensuring smooth international trade payments and cross-border investments, providing a solid external credit environment for Chinese enterprises [5] - The slight increase in foreign reserves in November was influenced by market factors, including a 0.3% decline in the US dollar index and rising non-US currencies, indicating a reduced correlation with other major currencies [5][9] Group 3 - Gold is viewed as a quality asset to avoid sanctions and currency fluctuations, with China's accumulation aimed at stabilizing the RMB exchange rate and enhancing its pricing power in the global precious metals market [8] - The current gold reserves account for approximately 9.28% of total foreign reserves, significantly below the global average of 15%, indicating a need for continued accumulation to diversify reserves [8] - The increase in gold reserves is expected to enhance international trust in the RMB, supporting trade models that involve "RMB pricing + gold settlement" in Southeast Asia and the Middle East [8][9] Group 4 - The recent foreign reserve data alleviates concerns over exchange rate fluctuations, stabilizing expectations for import-export enterprises and reducing hedging costs [9] - The surge in China's gold ETF size by 223% in 2025, from 73 billion to 236.1 billion, demonstrates the positive market impact of the central bank's gold accumulation [9][12] - The combination of stable foreign reserves and a reasonable reserve structure is likely to attract foreign investment, enhancing confidence in the Chinese market [12]

Group 1 - Since the end of October, investor risk appetite has decreased, leading to pressure on global risk assets, with the S&P, Nasdaq, and Hang Seng Tech experiencing maximum declines of 5.1%, 7.3%, and 12.6% respectively [1] - The decline is attributed to concerns over the AI bubble, tight liquidity in the repurchase market, and fluctuating expectations regarding Federal Reserve interest rate cuts [1][4] - For technology stocks, which are sensitive to liquidity, breakthroughs in AI trends or significant improvements in liquidity are necessary for market recovery [4] Group 2 - The upcoming FOMC meeting on December 11 is crucial, as the market has priced in an 88% probability of a 25 basis point rate cut, but the tone of the Fed's statements and the dot plot will significantly influence market direction [4][5] - The Bank of Japan's potential rate hike on December 19 raises concerns about liquidity disruptions, reminiscent of last year's events [4][47] - The nomination of a new Federal Reserve chair, expected early next year, will also impact future rate cut expectations and market sentiment [20][21] Group 3 - Recent fluctuations in rate cut expectations have been driven by mixed signals from Fed officials, with a notable shift towards dovish comments in late November [5][8] - The current economic indicators, such as the ISM manufacturing PMI remaining in contraction for eight consecutive months and a significant drop in ADP employment figures, suggest a need for rate cuts to stimulate demand [8][10] - The Fed's ability to cut rates is supported by the current inflation data, which indicates that tariff impacts on inflation are less severe than previously feared [13][14] Group 4 - The Fed's balance sheet has decreased from a peak of $9 trillion to $6.5 trillion, and stopping the balance sheet reduction is expected to improve liquidity [32][33] - If the Fed resumes balance sheet expansion, it could provide additional liquidity to the market, which is crucial for risk asset performance [32][33] - The Treasury General Account (TGA) has also seen a reduction, which is expected to further release liquidity into the market [41][42] Group 5 - Concerns about the Bank of Japan's rate hike are heightened, but the impact is expected to be limited compared to last year's events due to different market conditions [47][50] - The potential for a liquidity shock exists if multiple negative factors converge, such as a hawkish Fed statement and disappointing employment data [50][57] - Overall, while short-term liquidity conditions are uncertain, a medium-term trend towards easing is anticipated, especially with the new Fed chair and potential balance sheet expansion [58]

Core Viewpoint - Since the end of October, investor risk appetite has decreased, leading to pressure on global risk assets, with the S&P, Nasdaq, and Hang Seng Tech experiencing maximum declines of 5.1%, 7.3%, and 12.6% respectively. This is attributed to concerns over the AI bubble, tight liquidity in the repurchase market, and fluctuating expectations regarding Federal Reserve interest rate cuts [2][4]. Group 1: Market Conditions and Liquidity - The current market, particularly for liquidity-sensitive tech stocks, requires either breakthroughs in AI industry trends or significant improvements in liquidity for any upward movement [4]. - A series of events affecting liquidity is anticipated in the coming month, including the FOMC meeting on December 11, where an 88% probability of a rate cut is priced in, but the market will be attentive to any hawkish statements or discussions about restarting balance sheet expansion [4][5]. - The Bank of Japan's interest rate decision on December 19 is also a concern, as it may echo last year's liquidity "storm" [4]. Group 2: Federal Reserve Rate Cuts - The expectation for a December rate cut is well established, with the focus on the dot plot and statements from the Fed. A return to neutral rates may require three cuts [5][7]. - Recent data indicates a need for rate cuts due to high current rates suppressing traditional demand, with the ISM manufacturing PMI in contraction for eight consecutive months and a significant drop in consumer confidence [7][11]. - The Fed's ability to cut rates is supported by recent inflation data, which suggests that tariff impacts on inflation are less significant than previously feared, with consumer exposure to tariffs at only 11% [13][15]. Group 3: New Fed Chair Nomination - The upcoming nomination of a new Fed chair is critical, with Kevin Hassett being the frontrunner. His potential policies may lean towards more dovish stances while maintaining some restraint to preserve the Fed's independence [20][21]. - If Hassett is appointed, he may advocate for more aggressive rate cuts than currently anticipated, which could stimulate the economy but also raise concerns about the Fed's independence [27][28]. - The market is closely monitoring how the new chair will balance the need for rate cuts with the preservation of the Fed's autonomy, as excessive dovishness could lead to fears of political influence over monetary policy [20][27]. Group 4: Market Implications - The potential for the Fed to restart balance sheet expansion could significantly enhance market liquidity and support financial assets. The cessation of balance sheet reduction and the potential for further expansion are expected to improve liquidity conditions [29][30]. - The overall financial liquidity in the U.S. is projected to expand by 7%-14% in 2026, which is likely to have a positive correlation with U.S. equities [37][41]. - The anticipated actions of the Fed and the new chair could lead to fluctuations in U.S. Treasury yields and the dollar, with short-term pressures expected but a long-term recovery likely if independence is maintained [54][55].

Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Strategy - **Model Construction Idea**: The model is based on historical data and statistical rules to identify short-term market timing signals, combining macroeconomic, valuation, sentiment, and liquidity indicators to generate a comprehensive timing signal[16][17][19] - **Model Construction Process**: 1. **Macroeconomic Indicators**: - Manufacturing PMI: If PMI > 50, it gives a positive signal; otherwise, a cautious signal. - Credit Pulse: The YoY growth rate of medium- and long-term RMB loans is used, with a higher percentile indicating a positive signal. - M1 YoY Growth Rate: Filtered using HP filter; higher percentiles indicate a positive signal. 2. **Valuation Indicators**: - PE Median Percentile: A higher percentile indicates a cautious signal due to mean reversion. - PB Median Percentile: A higher percentile also indicates a cautious signal due to mean reversion. 3. **Sentiment Indicators**: - Beta Dispersion: Neutral signal if within a certain range. - Volume Sentiment Score: Lower percentiles indicate a cautious signal. - Volatility: Neutral signal if within a certain range. 4. **Liquidity Indicators**: - Money Market Rate: Lower percentiles indicate a positive signal. - Exchange Rate Expectation: A stronger RMB against the USD gives a positive signal. - 5-day average net financing amount: Lower percentiles indicate a positive signal. 5. Combine all signals to generate a comprehensive timing signal[16][17][19] - **Model Evaluation**: The model demonstrates significant improvement over the benchmark strategy, with higher annualized returns, lower maximum drawdown, and better Sharpe ratio[18][21] 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: The model uses a quantitative economic mid-cycle analysis framework, incorporating profitability, interest rate, and credit cycles to determine the relative attractiveness of growth versus value styles[26][27] - **Model Construction Process**: 1. **Macroeconomic Indicators**: - Profitability Cycle Slope: A steeper slope favors growth. - Interest Rate Cycle Level: Higher levels favor value. - Credit Cycle Strength: A stronger credit cycle favors growth. 2. **Valuation Indicators**: - Growth-Value PE Spread: A higher 5-year percentile indicates a preference for growth. - Growth-Value PB Spread: A higher 5-year percentile also indicates a preference for growth. 3. **Sentiment Indicators**: - Turnover Spread: A higher 5-year percentile indicates a preference for growth. - Volatility Spread: A higher 5-year percentile indicates a balanced preference for both growth and value. 4. Combine all signals to generate a comprehensive style rotation signal[26][27][28] - **Model Evaluation**: The strategy has shown significant improvement over the benchmark, with higher annualized returns, lower maximum drawdown, and better Sharpe ratio. However, in 2025, the strategy underperformed the benchmark slightly[27][29] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: The model is based on 11 effective rotation indicators, including liquidity, sentiment, and valuation metrics, to determine the relative attractiveness of small-cap versus large-cap styles[30] - **Model Construction Process**: 1. **Indicators Used**: - Indicators such as R007, financing balance changes, trading volume, and sentiment metrics are analyzed. - For each indicator, a signal is generated to favor either small-cap or large-cap styles. 2. **Comprehensive Signal**: - Combine all individual signals into a comprehensive small-cap or large-cap rotation signal. - The model currently favors large-cap due to weak small-cap indicators such as low trading volume and negative sentiment[30][32] - **Model Evaluation**: The strategy has consistently generated positive annual excess returns since 2014, with a significant improvement over the benchmark in terms of annualized returns and maximum drawdown[31][32] --- Model Backtesting Results 1. Short-term Timing Strategy - Annualized Return: 16.41% - Annualized Volatility: 14.81% - Maximum Drawdown: 14.07% - Sharpe Ratio: 0.9655 - Return-to-Drawdown Ratio: 1.1667 - Monthly Win Rate: 66.24% - Quarterly Win Rate: 60.38% - Annual Win Rate: 78.57%[18][21] 2. Growth-Value Style Rotation Model - Annualized Return: 12.74% - Annualized Volatility: 20.80% - Maximum Drawdown: 43.07% - Sharpe Ratio: 0.5853 - Return-to-Drawdown Ratio: 0.2958 - Monthly Win Rate: 58.33% - Quarterly Win Rate: 59.62%[29] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 19.73% - Annualized Excess Return: 12.67% - Maximum Drawdown: 40.70% - Average Turnover Interval: 20 trading days - Win Rate (per trade): 49.57%[32]

来源：环球老虎财经app 近期美股的涨跌几乎是被美联储牵着走。 进入11月后，美联储官员密集放鹰，加之9月非农与通胀数据均强于预期，市场对美联储12月降息的押注明显降温，美股持续回调。尤其是20 日晚间纳斯达克大跌了2.15%。 直到21日晚，纽约联储主席威廉姆斯表示短期内存在降息空间，市场情绪随即反转，投资者将12月降息概率从约35%抬升至约70%，美股随之 反弹，纳斯达克收涨0.88%。 24日开盘前，美联储理事沃勒再次呼吁支持12月先行降息、然后再逐会判断，推动美股高开。开盘不久，又传出中美高层通话的消息，市场乐 观情绪进一步放大。其后公布的11月达拉斯联储制造业指数低于全部经济学家预期，令市场对12月降息的押注进一步升温，美股涨幅继续扩 大。 25日凌晨，特朗普发帖称与中方通话"非常好"，并表示计划于明年4月份访华，市场风险偏好随之提升；不久后，"新美联储通讯社"发布文章 称旧金山联储主席戴利支持降息。最终纳斯达克上涨了2.69%。 截至25日收盘，纳斯达克收复了20日的暴跌，但美股的分歧并没有消除。 24日，大空头迈克尔·伯里（Michael Burry）突然在X上复出，上来就是一连串对AI泡沫的猛 ...

观点简述： 上周市场延续技术反弹，沪深300指数周涨幅1.28%，上证综指周涨幅0.37%，中证500指数周涨 幅0.94%。市场多数个股上周实际连续4个交易日调整，直至周五在非银板块两大政策利好下出现盘中 拉升。 《 密切观察增量资金持续性 》 申明： 因合规考虑，自2025年4月21日后，暂停更新展示历史观点回溯模拟净值图。 本文表述观点，仅代表作者发稿当时的个人想法与思考笔记，仅供读者参考而不作为任何投资 建议。作者保留根据市场环境、新信息等适度修正观点的权利。投资有风险，入市需谨慎。 本系列周度择时观点回溯表现，2024年全年累计收益53.69%。2025年至12月7日累计收益 11.85%。 1 本周观点 | 标的 | 仓位 | | --- | --- | | 主板 | 低仓位 | | 中小市值板块 | 低仓位 | | 风格判断 | 主板占优 | 每周思考总第657期 基本面上，美国经济结构分化延续。 国内方面，关于证券与保险资管的行业松绑预期在上周五 因相关发言突然抬升预期，但从经济基本面及债市表现方面并未看到流动性边际显著改善迹象，建议 密切观察后续增量资金行为再定性利好幅度，维持谨慎观察；海外 ...