证券研究报告 还有增量资金吗？ ——从机构参与度复盘2025年CPO行情 西部证券研发中心 2025年11月25日 分析师 | 冯佳睿 S0800524040008 邮箱地址：fengjiarui@xbmail.com.cn 联系人 | 张逸飞 邮箱地址：zhangyifei@xbmail.com.cn 机密和专有 未经西部证券许可，任何对此资料的使用严格禁止 主要结论 我们认为，CPO板块近期无显著增量资金。 • 风险提示：数据来源第三方，或有遗漏、滞后、误差；本报告使用历史数据测算完成，存在历史统计规律失效风险；市场风格变化风险：市场投 资风格可能发生变化，影响当前因子的有效性。 请仔细阅读尾部的免责声明 2 • 算法交易已在机构投资者中普及，渗透率高。因此，算法交易的使用情况可衡量某个股票或行业的机构参与度。 • "算法交易"撤单次数越高，机构参与越多。 • "算法交易"撤单次数占全部撤单次数的比例，相对全市场平均水平是否大于1，可度量机构相对参与度。 • 根据机构相对参与度复盘2025年CPO行情， • 阶段1：升温，机构资金持续入场。2025年5月至7月底，机构相对参与度显著抬升，且始终大于1。 • ...

市场消息 比特币重挫，日内一度跌破8.2万美元。周五，比特币一度跌破82000美元关口，最低触及81111美元，创4月7日以来新低。截至 发稿，比特币跌超9%，报82885美元。值得一提的是，本周早些时候，比特币的下跌曾引发市场悲观情绪加剧，且这种情绪迅 速蔓延至全球多地股市。Fundstrat研究主管Tom Lee与盈透证券首席策略师Steve Sosnick指出，目前算法交易员正将比特币视为 一种"领先指标"，本质上它已成为投机热潮的替代参照。 美股跳前深蹲中?城堡证券：标普500年底有望冲击7000点。城堡证券股票及股票衍生品策略主管Scott Rubner预测，继一轮"健 康"的回调之后，标普500指数将出现强劲反弹，该指数到年底有可能达到7000点。据这位策略师称，其增长动力来自市场布局 以及有利的季节性因素的共同作用。根据Rubner的分析，近期市场的回调为强劲的复苏创造了有利条件，多种看涨因素将在接 下来的几个月里共同推动股价上涨。这些积极的推动因素包括散户交易员持续的需求以及在感恩节假期来临前机构投资者持仓 量的减少，这使得这些大型投资者有了更多空间来重新调整持仓。 盘前市场动向 1. 11月 ...

Market Movements - As of November 21, U.S. stock index futures showed mixed results, with Dow futures up 0.44% and S&P 500 futures up 0.13%, while Nasdaq futures were down 0.07% [1] - European indices also experienced declines, with Germany's DAX down 0.60%, UK's FTSE 100 down 0.28%, and France's CAC40 down 0.03% [2][3] - WTI crude oil fell by 2.03% to $57.80 per barrel, and Brent crude oil decreased by 1.69% to $62.31 per barrel [3][4] Cryptocurrency Insights - Bitcoin saw a significant drop, falling below $82,000 and reaching a low of $81,111, marking its lowest point since April 7, with a decline of over 9% [5] Stock Market Predictions - Castle Securities predicts that the S&P 500 could reach 7,000 points by year-end, driven by market positioning and favorable seasonal factors [6] - Bridgewater's Dalio warns that the market shows signs of a bubble similar to 1929 and 2000, but advises against hasty selling [7] - Goldman Sachs indicates that Nvidia's strong earnings did not alleviate risk concerns, leading to a protective stance among investors [8] Federal Reserve Outlook - Morgan Stanley has retracted its prediction for a December rate cut, citing strong employment data that suggests economic resilience [9] - Hassett, a candidate for Fed chair, warns that pausing rate cuts now would be ill-timed due to potential GDP impacts from government shutdowns [10] Company News - Ross Stores reported a 7% increase in same-store sales for Q3, exceeding expectations, and raised its annual earnings guidance [11] - Walmart highlighted a widening gap between low-income and high-income consumers, indicating increasing financial strain on the former [12] - GE Healthcare announced a $2.3 billion acquisition of Intelerad to enhance its cloud and AI capabilities in medical imaging [13] - Joby Aviation has filed a lawsuit against Archer Aviation for alleged trade secret theft by a former employee [14] - Miniso reported a 28.17% increase in revenue for Q3, with adjusted net profit rising by 11.7% [15]

智通财经APP获悉，周四，华尔街市场情绪出现惊人逆转。AI龙头英伟达(NVDA.US)超预期的业绩表 现，以及9月强劲的非农就业报告，起初推动纳斯达克综合指数上涨逾2%，但至午间所有涨幅尽数回 吐，收盘时该科技股主导指数反而下挫超过2%。 回顾10月10日，华尔街曾遭遇重挫，标普500基准指数下跌2.7%，比特币跌幅更是达到7.2%。 "但10月10日的那次清算规模实在惊人……它严重削弱了做市商的能力。而做市商在加密货币市场中至 关重要，因为他们是流动性的核心提供者，其作用几乎等同于加密货币领域的'央行'。如果他们的资产 负债表出现缺口、需要补充资本金，就会本能地收缩资产负债表、降低交易规模;一旦价格下跌，他们 还不得不进一步抛售资产，"Lee解释道。 "因此，过去几周加密货币市场的持续走弱，本质上反映了做市商能力受损的影响。2022年时，这类风 险的消化耗时8周，而目前我们仅处于第6周。所以我认同这一判断：由于当前加密货币市场的去杠杆进 程，以及流动性疲软、持续承压的状态，比特币和以太坊在某种程度上已成为股市的领先指标，"他进 一步补充道。 "我不会说比特币是日内大幅反转的根本原因，但它是直接导火索。因为目 ...

Core Insights - The financial industry is experiencing a historic moment with six leading AI models, including GPT-5 and Gemini 2.5Pro, competing in real-money cryptocurrency trading [1] - The Alpha Arena challenge, hosted by Nof1.ai, aims to test AI's ability to navigate volatile markets without human intervention [1] - The upcoming webinar will analyze the event's design, highlight the performance of participating models, and discuss the implications for algorithmic trading and financial decision-making [1] Event Details - Date: November 21, 2025 (Friday) [2] - Time: 15:00 – 15:40 [2] Learning Opportunities - The event will provide insights into different AI strategies and their implications for risk management, adaptability, and trust in autonomous systems [1][8] - Participants can engage in interactive learning experiences and access a variety of educational resources to enhance their professional skills [6][9]

Group 1 - Cathie Wood, CEO of Ark Invest, suggests that the U.S. economy may face a "shake-up" as it transitions from a rate-cutting to a rate-hiking environment, despite recent rate cuts by the Federal Reserve [1] - Wood believes that the upcoming productivity boom will drive further stock market gains later this year, coinciding with the midterm elections [2][4] - The current economic uncertainty is highlighted by companies like Amazon and Salesforce reducing workforce while investing in AI for efficiency [4] Group 2 - Wood emphasizes that the government’s deregulatory approach and policies are generally favorable for businesses, particularly in attracting foreign direct investment in manufacturing [5] - Despite concerns about a potential "bubble" in tech stock valuations driven by AI, Wood maintains an optimistic view that AI has not triggered a bubble [1] - The focus on multi-omics sequencing in healthcare is identified as an undervalued innovation area within Ark Invest's portfolio [1]

Core Viewpoint - The recent decline in gold prices is attributed to a significant market correction following a speculative surge, with the price nearing $4,000 per ounce before stabilizing around $4,100 [2][4][6]. Market Dynamics - Gold prices experienced a sharp drop of nearly $300, or 5.7%, marking the largest single-day percentage decline since June 2013, following a record high [4]. - The strong performance of the US dollar has added pressure on gold prices, with investors closely monitoring the upcoming US Consumer Price Index (CPI) report for insights into the Federal Reserve's interest rate decisions [4][5]. Investment Strategies - A popular trading strategy for 2025 involves using gold as a hedge against dollar depreciation, driven by concerns over rising government debt and fiscal deficits [4]. - However, doubts are emerging regarding gold's effectiveness in this role, as some analysts argue that the rationale for "currency devaluation trades" is weakening [5]. Historical Context - Gold has seen a continuous rise for nine weeks, a pattern that has historically occurred only four times since the 1970s, with no instances of ten consecutive weeks of increases [6]. - Current gold prices are significantly above the 200-week moving average, indicating potential overextension and the need for a market correction [6]. Market Sentiment - Despite the recent pullback, many market participants believe the current bull market for gold may not be over, viewing the recent decline as a temporary adjustment rather than a trend reversal [7][8]. - Analysts suggest that profit-taking and reduced defensive sentiment have contributed to the recent sell-off, but the overall bullish trend remains intact [7]. Fundamental Support - The World Gold Council highlights that despite perceptions of high prices, gold's value remains relatively low compared to global stock markets, suggesting further growth potential [7]. - Strong fundamentals, including geopolitical uncertainties and increasing US money supply, continue to support the gold market, indicating that it has not yet reached saturation [7].

1. 道明证券：现货黄金的回调是纯粹的获利了结行为，因为算法交易停止追高。 2. IG集团：黄金先前涨势过猛，出现过度"FOMO"现象。小型闪崩可能是更大波动的前兆。 3. 花旗集团：预计美国政府停摆的结束等因素，可能将在未来2到3周内推动黄金市场实现盘整。 4. 高盛集团：黄金创下十年来最大跌幅的可能原因是持仓结构问题，以及连续九周上涨后的自然调整。 5. ActivTrades：尽管近期出现回调，仍预计金价将进一步走高，因为交易员继续将任何价格下跌视为买 入机会。 6. 贵金属信息服务机构Kitco：此前黄金单日波动已趋于极端化，这种态势通常看跌，暗示主要牛市可 能正进入冲顶阶段。 7. City Index：现在断言黄金牛市结束还为时过早。虽然回调是自然的，但错过了本轮大涨的投资者可 能很快会入场抄底，这将有助于控制住抛售。 8. 盛宝银行：在美政府停摆期间，CFTC持仓数据的缺失使投机者更易在单一方向建立过大头寸，增加 了黄金市场脆弱性。但底层买盘或将限制跌幅。 9. Aptus Capital Advisors：市场当前对黄金作为资产类别的认知正在发生转变，随着"货币贬值"交易在 华尔街兴起，投资者 ...

Group 1: Company Analysis - Dongfang Tieta (002545.SZ) - The company is expected to achieve net profits of 1.12 billion, 1.31 billion, and 1.60 billion yuan for the years 2025-2027, representing year-on-year growth of +98.43%, +17.16%, and +21.99% respectively [10][12] - The production of potassium chloride and phosphate projects is anticipated to drive significant revenue growth, with a target price of 17.1 yuan based on a 19x PE valuation for 2025 [10][11] - Concerns about potential oversupply in the potassium chloride and phosphate markets are mitigated by projections indicating a supply gap until 2028, suggesting sustained industry high profitability [10][11] Group 2: Company Analysis - Jinkong Coal Industry (601001.SH) - The company is projected to achieve net profits of 2.06 billion, 2.39 billion, and 2.80 billion yuan for 2025-2027, with EPS of 1.23, 1.43, and 1.68 yuan, reflecting a year-on-year growth of -26.58%, +15.81%, and +17.43% respectively [14][15] - The target price is set at 15.23 yuan per share, based on a combination of absolute and relative valuation methods [14][15] - The company is expected to maintain stable coal prices in the range of 700-800 yuan per ton, supported by a balanced supply-demand scenario [14][15] Group 3: Industry Analysis - Financial Data - The financial data for August indicates a decline in loan growth, with new loans amounting to 590 billion yuan, down from 900 billion yuan year-on-year [17][18] - The total social financing (TSF) increased by 2.57 trillion yuan, lower than the previous year's 3 trillion yuan, reflecting weak credit demand [17][18] - M2 growth remained steady at 8.8%, while M1 growth accelerated to 6%, indicating a shift in deposit behavior towards equity markets [17][18] Group 4: Industry Analysis - Public Fund Market - The public fund market saw a significant increase in the total scale of non-monetary funds, reaching 10.2 trillion yuan, up 6.9% from the previous half [20][21] - Equity fund holdings increased by 5.9% to 5.14 trillion yuan, with stock index funds growing by 14.6% to 1.95 trillion yuan [20][21] - The market share of banks, brokers, and third-party institutions in equity funds was 26.2%, 17.2%, and 19.3% respectively, indicating a slight decline in market share for banks and brokers [20][21]

Group 1: Key Findings - The report focuses on the time difference between order placement and cancellation to identify algorithm-driven trading and capture alpha[8] - The algorithmic trading cancel volume ratio (ACVR) and the algorithmic trading cancel counts ratio (ACCR) factors show strong stock selection effectiveness, with ACCR achieving a RankIC of 0.052 and an ICIR of 0.458 across the entire period[11] - The buy algorithm cancel ratio (BABR) factor has a RankIC of 0.059, ICIR of 0.555, and an IC win rate of 70.1%, indicating its robustness even after neutralizing market capitalization and Barra style factors[11] Group 2: Methodology and Analysis - The distribution of order cancellation time differences shows a concentrated impulse pattern, suggesting algorithm-driven cancellations at specific time points[22] - The report identifies key time points for algorithmic cancellations, such as 1 second and 5 seconds, based on statistical analysis of cancellation behavior[29] - The algorithmic trading buy/sell cancellation entropy (ACE) factor has a RankIC of 0.047 and an ICIR of 0.479, reflecting the consistency of buy/sell opinions in algorithmic cancellations[11] Group 3: Composite Factor Performance - The composite factor, derived from combining ACE and BABR, achieves a RankIC of 0.069, ICIR of 0.851, and an IC win rate of 81.5%, significantly improving stability compared to individual factors[11] - A portfolio constructed from the top 100 stocks based on the composite factor yields an annualized return of 13.03%, with an excess annualized return of 13.77% and an information ratio of 1.44[11]