Xml [Table_Page] 宏观经济研究报告 2025 年 12 月 16 日 证券研究报告 快慢变量分野，新老资产收敛：2026 年大类资产展望 | [Table_Title] [Tabl e_Author 分析师：] | 郭磊 | 分析师： | 陈礼清 | | --- | --- | --- | --- | | | SAC 执证号：S0260516070002 | | SAC 执证号：S0260523080003 | | | SFC CE.no: BNY419 | | | | | 021-38003572 | | 021-38003809 | | | guolei@gf.com.cn | | chenliqing@gf.com.cn | | | 请注意，陈礼清并非香港证券及期货事务监察委员会的注册持牌人，不可在香港从事受监管活动。 | | | [Table_Summary] 报告摘要： ⚫ 12025 年大类资产在"叙事抱团"下，呈现新老资产极致分化。全年来看，黄金领涨大类资产，位于风险收益 比顶端。全球股强债弱，股市新兴强于发达。商品中有色亮眼，显著领跑黑色与原油。从资产轮动来看，上 半年反复反转 ...

广发证券 资深宏观分析师 陈礼清 博士 chenliqing@ gf.com.cn 广发宏观郭磊团队 报告摘要 第一， 2025年大类资产在"叙事抱团"下，呈现新老资产极致分化。全年来看，黄金领涨大类资产，位于风险收益比顶端。全球股强债弱，股市新兴强于发达。商品 中有色亮眼，显著领跑黑色与原油。从资产轮动来看，上半年反复反转，下半年持续单边。简单的多资产年度再平衡策略（非买入持有）虽连续第三年正收益，但 在大类资产排序中明显落后于多数股市表现，仅高于中美债券、美元与原油。2025年趋势跟踪策略（CTA）表现持续优于均值回归策略。临近岁末，前期强叙事资 产的赔率多数走窄，叙事交易的"阿喀琉斯之踵"似有浮现，而这是2026年与2025年资产截然不同的起点。 第二， 2025年的资产轮动框架亦不同于以往。经典框架里，无论是理论视角的美林时钟、普林格时钟，还是实证领域的检验（Beber, Brandt & Kavajecz, 2010； Goulding, C. L., 2023），均指向资产轮动与经济周期密切相关。2025年全球宏观环境变化较大，"叙事交易"具备短期难以证伪的胜率预期，改变了大类资产与经 济周期"四 ...

| 黄金与商品指数上涨，基于宏观因子的资 | | --- | | 产配置策略本年收益 4.25% | 大类资产配置模型月报（202511） 本报告导读： 2025 年以来，国内资产 BL 策略 1 的 11 月收益为 0.09%，2025 年收益为 4.04%； 国内资产 BL 策略 2 的 11 月收益为 0.13%，2025 年收益为 3.82%；国内资产风险平 价策略的 11 月收益为-0.01%，2025 年收益为 3.68%；基于宏观因子的资产配置策 略的 11 月收益为 0.02%，2025 年收益为 4.25%。 投资要点： 风险提示：量化模型基于历史数据构建，而历史规律存在失效风险。 | [Table_Authors] | 郑雅斌(分析师) | | --- | --- | | | 021-23219395 | | | zhengyabin@gtht.com | | --- | --- | | 登记编号 | S0880525040105 | | | 张雪杰(分析师) | | | 0755-23976751 | | | zhangxuejie@gtht.com | | 登记编号 | S088052 ...

Group 1: Cement Industry - The cement sector's profitability is primarily driven by overseas performance, particularly in regions like Africa, where companies such as Huaxin Cement are seeing significant advantages [3] - Domestic demand and prices have weakened compared to Q2, indicating a potential bottoming out in 2024, with supply-side restrictions being a key focus for industry improvement [3] - Shareholder returns are expected to improve due to industry stock incentive plans [3] Group 2: Consumer Building Materials - There is a noticeable divergence in revenue growth rates among various sub-sectors and companies within the consumer building materials industry, influenced by real estate and local debt issues [4] - Companies are exploring new revenue paths through overseas expansion, market penetration, and renovation projects [4] - Price recovery and structural upgrades in the paint and waterproofing sectors are leading the way, although full realization will take time [4] Group 3: Glass and Fiberglass - The fiberglass industry is experiencing dual differentiation in production and sales, with larger companies maintaining better performance amid price wars [5] - The glass sector is nearing a turning point, with float glass prices stabilizing and photovoltaic glass showing signs of recovery due to industry self-discipline in production cuts [5] - The market characteristics of the glass sector, dominated by private enterprises, contribute to a more effective market-driven clearing mechanism [5]

Report Summary 1. Report Industry Investment Rating - No information provided on industry investment rating 2. Report's Core View - The crude oil 2512 contract is expected to run weakly, with short - term and medium - term trends being oscillatory and oscillatory - weak respectively, and the intraday trend also being oscillatory - weak [1][5] 3. Summary by Related Catalogs 3.1 Time - period Views - **Short - term**: The crude oil 2512 contract shows an oscillatory trend [1] - **Medium - term**: The crude oil 2512 contract shows an oscillatory - weak trend [1] - **Intraday**: The crude oil 2512 contract shows an oscillatory - weak trend [1][5] 3.2 Price and Driving Logic - After the meeting between the leaders of China and the US, the overall results were slightly lower than market expectations. As the macro - bullish sentiment was digested, the driving force of macro factors weakened, and there was a profit - taking phenomenon. The escalation of the South American geopolitical conflict due to the US troop increase in the Caribbean Sea last weekend boosted the international crude oil premium, which hedged geopolitical risks to some extent. On Wednesday night, the domestic crude oil futures 2512 contract maintained an oscillatory - weak trend, with the futures price slightly down 0.95% to 457.7 yuan/barrel. It is expected that on Thursday, the contract will maintain an oscillatory - weak trend [5]

Report Summary Report Industry Investment Rating - Not provided Core View - The domestic crude oil futures contract 2512 is expected to maintain a weak and volatile trend. After the positive sentiment from the macro factors was digested, the market showed profit - taking. Although the geopolitical conflict in South America boosted the international crude oil premium, as the geopolitical sentiment was gradually digested, the contract maintained a weak and volatile trend on Tuesday night, with the price slightly down 0.19% to 464.3 yuan/barrel, and is likely to continue this trend on Wednesday [5]. Summary by Related Content Time - period and Trend Description - For the crude oil 2512 contract, the short - term (within one week), medium - term (two weeks to one month), and intraday trends are all described as "weak and volatile", with an overall view of "weak operation" [1]. Price Calculation and Trend Definition - For varieties with night trading, the starting price is the night - trading closing price; for those without, it's the previous day's closing price. The ending price is the day - trading closing price for calculating the price change. A decline greater than 1% is considered a "drop", 0 - 1% a "weak and volatile" decline, 0 - 1% increase a "strong and volatile" rise, and an increase greater than 1% a "rise". The "strong/weak and volatile" definition only applies to the intraday view [2][3][4]. Market Driving Logic - After the meeting between Chinese and US leaders, the positive sentiment from the macro factors was digested, and the driving force of macro factors weakened, leading to profit - taking. The geopolitical conflict in South America boosted the international crude oil premium, which hedged geopolitical risks to some extent. As the geopolitical sentiment was digested, the domestic crude oil futures 2512 contract closed slightly lower on Tuesday night and is expected to maintain a weak and volatile trend on Wednesday [5].

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Viewpoints of the Report - The intraday view of crude oil (SC) is slightly bullish, and the medium - term view is slightly bearish, with a reference view of strong operation [5] - It is expected that the domestic crude oil futures 2512 contract may maintain a slightly bullish trend on Monday [5] Group 3: Summary by Related Catalog Price and Market Performance - On the night of last Friday, the domestic crude oil futures 2512 contract maintained a slightly bullish trend, with the futures price rising slightly by 0.91% to 463.6 yuan/barrel [5] Driving Logic - After the meeting between the Chinese and US presidents in Busan, South Korea, positive progress was made in economic and trade tariffs, but the overall results were slightly lower than market expectations. As the macro - bullish sentiment was digested, the driving force of macro factors weakened, and the market showed profit - taking [5] - Due to the US increasing troops in the Caribbean Sea over the weekend, threatening Venezuela and escalating the South American geopolitical conflict, the international crude oil premium was boosted, which hedged geopolitical risks to a certain extent [5]

Report Summary 1. Report Industry Investment Rating - No specific industry investment rating is provided in the report. 2. Report's Core View - The domestic crude oil futures contract 2512 is expected to maintain a slightly bullish and volatile trend on Monday. The market sentiment is a bit bullish, but the macro and industrial factors in the crude oil market still remain weak [1][5]. 3. Summary by Relevant Content Price and Trend - The short - term view of crude oil 2512 is volatile, the medium - term view is weakly volatile, and the intraday view is slightly bullish, with a reference view of bullish operation [1]. - On the night of last Friday, the domestic crude oil futures 2512 contract maintained a volatile and stable trend, with the futures price slightly rising 0.30% to 467.6 yuan/barrel [5]. Driving Factors - The macro - bearish sentiment has weakened as US President Trump actively sent signals to ease the situation, and the positive signals from the China - US economic and trade talks over the weekend have further improved the macro sentiment [5]. - 8 OPEC+ oil - producing countries decided to increase production by 137,000 barrels per day in November, increasing the supply pressure in the oil market [5]. - The geopolitical situation in the Middle East has shown signs of easing, and the "war premium" that previously supported oil prices has faded [5].

Group 1: Report Investment Rating - There is no clear report industry investment rating provided in the content [1][5] Group 2: Core Viewpoints - The short - term view of crude oil 2512 is weak, the medium - term view is weak, the intraday view is strong, and the overall is expected to run strongly with an increasing bullish atmosphere [1] - The intraday view of crude oil (SC) is strongly volatile, the medium - term view is weakly volatile, and it is expected to run strongly. The domestic crude oil futures 2512 contract may maintain a strongly volatile trend on Thursday [5] Group 3: Summary by Core Logic - The macro - bearish sentiment has weakened as US President Trump actively released a signal to ease the situation. However, the macro and industrial factors in the crude oil market still maintain a weak pattern [5] - Eight OPEC+ oil - producing countries decided to increase production by 137,000 barrels per day in November, increasing the supply pressure in the oil market [5] - After the previous weak macro - factors were corrected and the geopolitical risks in South America became prominent, crude oil futures regained premium support [5] - On Wednesday night, the domestic crude oil futures 2512 contract maintained a strongly volatile trend, with the futures price rising slightly by 1.65% to 449.1 yuan per barrel [5]

1. Report Industry Investment Rating - There is no clear industry - wide investment rating provided in the report. 2. Report's Core View - The report believes that although the macro - bearish sentiment has weakened due to Trump's signal to ease tensions, the macro and industrial factors in the crude oil market remain weak. With OPEC+ increasing production and the "war premium" fading, the oil market supply pressure is increasing. However, the domestic crude oil futures 2512 contract may maintain a slightly stronger oscillation trend on Wednesday [5]. 3. Summary According to Relevant Contents Price and Trend - The domestic crude oil futures 2512 contract showed an oscillating and stabilizing trend on Tuesday night, with the futures price rising slightly by 0.64% to 439.0 yuan/barrel. It is expected to maintain an oscillating and slightly stronger trend on Wednesday [5]. Driving Factors - The macro - bearish sentiment has weakened as Trump released a signal to ease tensions. But the macro and industrial factors in the crude oil market are still in a weak pattern [5]. - Eight OPEC+ oil - producing countries decided to increase production by 137,000 barrels per day in November, increasing the supply pressure in the oil market [5]. - The geopolitical situation in the Middle East has shown signs of easing, and the "war premium" that previously supported oil prices has diminished [5].