姓名：李津文 F0244287 财达期货｜股指期货周报 财达期货｜股指期货周报 2025-11-17 研究员 Z0012495 冲高回落，仍需整固 行情回顾: 从业资格号： 上周四个股指期货品种走势以冲高回落为主，其中沪深 300 和 中证 500 的调整幅度相对较大。四个股指期货品种基差贴变化不 大，全部主力合约合约仍保持期货贴水模式。期指主力合约期货- 现货基差，IH 收于-8.03，IF 收于-27.74，IC 收于-98.06，IM 收 于-130.76。 投资咨询号： 上周 A 股市场整体呈现"指数区间震荡、结构轮动提速、资金 偏好谨慎"的特征。经济运行的基本平稳为市场提供了底部支撑， 但部分数据指标的反复也制约了指数的上行空间。截至周五收盘， 主要股指普遍小幅回调，成交继续小幅收缩。板块结构分化依旧， 资金在政策受益方向与低估值的确定性领域间快速切换。随着三季 报影响淡去，市场定价逻辑逐步转向明年业绩预期与政策受益方 向。整体来看，资金风险偏好有所收敛，在结构选择上更注重安全 边际与景气度的可持续性。 综合分析： 宏观方面，10 月份宏观经济数据的集中发布成为市场主要关 注点。11 月 14 日公 ...

Core Viewpoint - Nobon Co., Ltd. reported significant growth in its financial performance for the first half of 2025, driven by the recovery of the domestic economy and slight increases in domestic trade [1] Company Summary - Nobon Co., Ltd. achieved operating revenue of 1.34 billion yuan in the first half of 2025, representing a year-on-year increase of 33.35% [1] - The net profit attributable to shareholders reached 65.328 million yuan, marking a year-on-year growth of 48.33% [1] - Basic earnings per share were reported at 0.37 yuan [1] Industry Summary - The non-woven materials and products industry experienced a slight increase in domestic trade sales due to the gradual recovery of the macro domestic economy [1] - However, international trade showed significant divergence, indicating varying performance across different markets [1]

Report Industry Investment Rating - Not provided Core Viewpoints - The supply of natural rubber is increasing, foreign spot prices are strong, domestic inventories are rising, and tire operating rates are at a high level. The market is mainly driven by sentiment, and short - term trading is recommended [4]. Summary by Directory 1. Daily Prompt - The supply of natural rubber is increasing, foreign spot is strong, domestic inventory is starting to increase, and tire operating rate is at a high level. The overall situation is neutral. The spot price is 13750 with a basis of - 140, which is bearish. The inventory of the Shanghai Futures Exchange decreased week - on - week and year - on - year, while the inventory in Qingdao increased week - on - week and decreased year - on - year, showing a neutral situation. The price is below the 20 - day line and the 20 - day line is downward, which is bearish. The main position is net short with a reduction in short positions, also bearish. The market is sentiment - driven and short - term trading is recommended [4]. 2. Fundamental Data - **Supply and Demand**: Supply is increasing, and downstream consumption is at a high level. The domestic economy is gradually recovering, and raw material prices are strong [4][6]. - **Inventory**: The inventory of the exchange and in Qingdao has changed little recently. The inventory of the Shanghai Futures Exchange decreased week - on - week and year - on - year, while the Qingdao inventory increased week - on - week and decreased year - on - year [4][14][17]. - **Spot Price**: The spot price of 2023 full - latex (non - deliverable) decreased on June 11. The US dollar quotation in Qingdao Free Trade Zone is also provided [8]. - **Import**: Import volume has a seasonal decline [20]. - **Downstream Consumption**: Automobile production and sales have a seasonal decline, tire production is at a record high for the same period, and tire industry exports have declined [23][26][29][32]. - **Basis**: The basis became a futures premium on June 11 [35]. 3. Multi - Empty Factors and Main Risk Points - **Likely to Rise**: The domestic economy is gradually recovering, downstream consumption is at a high level, and raw material prices are strong [6]. - **Likely to Fall**: Supply is increasing, market inventory is rising, and the external environment is bearish [6].

盘面回顾：指数窄幅震荡，个股和板块表现分化。周二全天指数窄幅震荡，临近尾盘沪指收红，但 大部分中小市值宽基指数仍以绿盘报收。交易金额为1.07 万亿，较周一萎缩。周二 31 个一级行业表现 分化，领涨板块是美容护理、银行、家用电器、纺织服饰、传媒等。领跌板块是国防军工、商贸零售、 电子、钢铁、社会服务等。 风险提示：关税冲击的后续影响，美联储降息延后，海外经济衰退超预期，国内经济复苏不及预 期，政策执行不及预期等。 周二指数窄幅波动，市场观望情绪加大。周二 A 股全天窄幅波动，波幅仅 22 个指数点，显示在经 历了连续 5 个交易日的上涨后，市场观望情绪开始加大，追涨意愿下降。从中期角度来看，在中央汇金 等三家国资开始增持，叠加多家上市公司宣布回购增持后，市场已经迎来拐点。尽管"对等关税"的后续 影响还存在一定不确定性，但市场交易开始克服恐慌心理，指数在波折中继续修复行情。 后市展望：关税事件的冲击最高峰已经过去，A 股将在波折中继续修复。4 月 7 日的极端下跌是对 近期所谓"对等关税"事件的一次性反映，随着市场情绪逐渐平稳和以中央汇金为代表的国资以及多家上 市公司宣布回购增持后，目前 A 股已经进入修复性 ...

- The quant model used to estimate the activity level of speculative funds showed a decline in activity starting from March 7, indicating a shift from small-cap to large-cap stocks[11] - The GDPNOW model predicted a GDP growth rate of 4.1% for Q1 2025, showing stable marginal changes in macroeconomic forecasts[15] - The informed trader activity index indicated a cautious optimism among informed traders, with the index rising above zero[17] Model Backtesting Results - Speculative funds activity model, IR: 0.5, Sharpe ratio: 1.2, annualized return: 15%[11] - GDPNOW model, predicted GDP growth rate: 4.1%[15] - Informed trader activity index, current value: 0.0025[19] Factor Construction and Evaluation - Factor Name: EP Value; Construction Idea: Preference for high EP value and high dividend yield assets; Construction Process: Calculated using the formula $ EP = \frac{Earnings}{Price} $; Evaluation: Showed positive returns in the current week[27] - Factor Name: Momentum; Construction Idea: Short-term momentum stocks; Construction Process: Calculated using past price performance; Evaluation: Experienced a pullback in the current week[27] Factor Backtesting Results - EP Value factor, weekly return: 0.5%, monthly return: 1.2%, quarterly return: 3.5%[27] - Momentum factor, weekly return: -0.8%, monthly return: 0.9%, quarterly return: 2.1%[27]