金融工程 证 券 研 究 报 告 【专题报告】 四季度指数涨跌互现，市场或震荡向上—— 2025 年四季度策略总结与未来行情预判 ❖ 摘要 2025 年第四季度已经过去，不同指数涨跌互现 ，其中创成长季度上涨 5.03%， 上证指数涨幅 2.22%。 从行业表现来看，四季度大部分中信一级行业正收益，其中石油石化上涨 16.97%，国防军工上涨 16.74%。 从择时收益上讲，2025 年第四季度择时模型总体表现能获取绝对正收益，虽 然大多数模型今年表现较难超越基准本身，但是在第四个季度的表现却可圈可 点。 2025 年四季度绝对收益表现优秀模型为上下行收益差模型、成交额倒波幅模 型、综合兵器 V3 模型、动量摆动模型、推波助澜 V3 模型、低波之刃模型、 沪深 300 指数智能择时模型。 最新择时信号： 短期：成交量模型所有宽基指数看多。低波动模型中性。智能 300 模型看多， 智能 500 模型看多。特征龙虎榜机构模型看多。特征成交量模型看多。 中期：涨跌停模型看多。上下行收益差模型所有宽基指数看多。月历效应模型 中性。 长期：动量模型部分宽基指数看多。 综合：综合兵器 V3 模型看多。综合国证 2000 ...

与此同时，衍生品市场的定价信号显示，2026年美股个股相关性将降至历史低点，标志着该年度将主要 由"选股"策略主导。 高盛分析师强调，市场风格切换的迹象已经显现，周期性股票已连续14个交易日跑赢防御性股票，创下 逾15年来的最长连胜纪录。尽管宏观乐观情绪升温，市场目前的定价仍仅反映了接近2%的增长预期， 远低于高盛预测的2.5%，这意味着投资者尚未充分计价2026年经济加速带来的上行潜力。 高盛在最新发布的报告中指出，随着美国经济增长预期在2026年加速，美股市场将迎来一轮盈利繁荣， 投资机会的核心将从人工智能巨头转向周期性板块。 在这一长期前景之下，美股短期走势同样值得关注。尽管标普500指数近期因市场对AI需求的担忧而连 续四个交易日下跌，但高盛指出，年底最后两周历史上是"压倒性的积极季节性时期"。历史数据显示， 12月17日至31日的平均回报率为1.77%，这为股市在年底前反弹提供了空间。 就短期行情而言，由Gail Hafif领导的高盛分析团队指出，美股正进入一个季节性极佳的时间窗口。尽 管标普500指数近期受挫，距离历史高点仍有2.6%的差距，且市场仍在争论AI热潮是否导致了投机性泡 沫，但历史数据 ...

Core Viewpoint - The article discusses the "Leading Stock Diffusion Effect" as a mechanism driving sector trends, emphasizing the importance of stock selection to enhance returns from industry rotation strategies. The report presents various stock selection strategies and their performance metrics, highlighting the effectiveness of the "Alpha Dual-Drive Preferred Combination" strategy, which has achieved an annualized return of 33.6% since 2013, outperforming the CSI 500 index by 28.3% [1][68]. Group 1: Research Background - The demand for industry-level beta timing has increased with the development of flexible allocation funds and FOF products, making industry rotation a core asset allocation need [3]. - The article notes that the return dispersion between industries is often greater than that among individual stocks within the same industry, indicating that selecting the right industry is more beneficial than selecting individual stocks [3]. - Challenges in extracting industry rotation factors include limited sample sizes and the heterogeneous nature of industries, which complicates the universality of factor logic [3][4]. Group 2: Mechanism of the Leading Stock Diffusion Effect - The diffusion effect is described as the process where stock price increases in leading stocks spread to related stocks, leading to a broader industry uptrend [12]. - The process includes several stages: policy triggers leading to the activation of leading stocks, active capital inflow driving sector resonance, and cognitive dissemination leading to widespread price increases across related stocks [12][13]. - The article outlines different migration methods of capital during the diffusion process, including vertical and horizontal diffusion, market capitalization descent, and valuation arbitrage [15]. Group 3: Stock Selection Strategies - The report evaluates various stock selection strategies to replicate or enhance industry rotation returns, including full replication, half-weighted combinations, and top 10 equal-weighted combinations [30][31]. - The full replication strategy achieved an annualized return of 24.9% since 2013, while the half-weighted and top 10 equal-weighted strategies yielded returns of 24.5% and 23.5%, respectively, with reduced trading complexity [34][46]. - The "Alpha Dual-Drive Preferred Combination" strategy, which selects stocks based on both industry and individual stock factors, has shown superior performance with an annualized return of 33.6% [52][59]. Group 4: Performance Metrics - The "Alpha Dual-Drive Preferred Combination" strategy has an information ratio (IR) of 2.07 and a maximum drawdown of 27.8%, indicating strong risk-adjusted performance [68]. - The article provides detailed annual performance data for the preferred industry combination, showing significant absolute and excess returns across various years [29][66]. - The report emphasizes that the improved SUE and active large order factors contribute to the strong performance of the preferred industry combination, achieving annualized excess returns of 8.3% and 10.1%, respectively [18][23].

Group 1 - The core viewpoint of the report indicates that all three major indices have experienced five consecutive months of gains, with the ChiNext 50 index rising by 59.45% and the Shanghai Composite Index increasing by 12.73% in Q3 2025 [1][9][10] - In terms of industry performance, only a few sectors reported negative returns, with the telecommunications sector up by 50.20% and the electronics sector up by 44.49% [1][11] - The report highlights that the timing models for Q3 2025 generally achieved absolute positive returns, although it was challenging to outperform the benchmark itself [1][5] Group 2 - The report suggests a positive outlook for Q4 2025, particularly favoring sectors such as electric equipment and new energy, telecommunications, and comprehensive sectors [2] - The report emphasizes the development of various effective strategies based on historical timing, industry rotation, and stock selection models [5][6] - The report outlines the performance of different types of funds, noting that equity mixed funds had the best average return of 25.83% during a period of rising market indices [13]

Fund Overview - The fund is named Penghua Strategy Preferred Flexible Allocation Mixed Securities Investment Fund, managed by Penghua Fund Management Co., Ltd. and custodied by Industrial and Commercial Bank of China [2][3] - The fund aims for long-term capital appreciation and excess returns while effectively controlling risks through a flexible selection of investment strategies [2][3] Investment Strategy - The fund employs an asset allocation strategy that considers macroeconomic variables such as GDP growth rate, CPI trends, M2 levels, and interest rates to assess the economic cycle and adjust asset allocation among stocks, bonds, and cash [2][4] - Stock investments involve a two-step process: strategy selection and individual stock analysis, focusing on market leaders and stocks benefiting from significant industry changes [3][4] - The fund also utilizes various strategies for bond investments, including duration strategy, yield curve strategy, and credit strategy, to enhance returns [5][6] Financial Performance - As of June 30, 2025, the fund's total net asset value is approximately CNY 510.1 million, with a net asset value per share of CNY 2.811 [10][24] - The fund achieved a realized income of CNY 14.7 million and a profit of CNY 2.2 million during the reporting period [10][11] - The fund's net value growth rate for the period is 2.03%, outperforming the benchmark growth rate of 0.62% [21][12] Management Report - The fund manager emphasizes a focus on high-quality assets with competitive advantages and long-term growth potential, maintaining a consistent investment style [21][20] - The fund's portfolio is primarily concentrated in the financial, consumer goods, and industrial sectors [21] - The management reports a positive outlook for the A-share market, indicating potential for upward movement and opportunities outweighing risks [21][22] Custodian Report - The custodian, Industrial and Commercial Bank of China, confirms compliance with relevant laws and regulations, ensuring no actions detrimental to the interests of fund shareholders [26]

Core Viewpoint - The article outlines the agenda for the 2025 Quantitative Salon in Shanghai, focusing on various investment strategies and risk management techniques in the financial sector [1][2]. Group 1: Event Details - The event is scheduled for August 13, 2025, from 13:30 to 17:00 at the Jinling Zijinshan Hotel in Shanghai [1]. - The agenda includes multiple sessions led by experts from Guosen Securities, covering topics such as stock selection strategies, multi-strategy enhancement, and risk models [1][2]. Group 2: Session Summaries - The first session will discuss "Steady Stock Selection Strategies" led by Zhang Xinwei, the Chief Analyst of Financial Engineering at Guosen Securities [1]. - The second session will focus on "Multi-Strategy Enhanced Portfolio from a Heuristic Perspective," also presented by Zhang Xinwei [1]. - The third session will cover "Alpha Information Contained in Intraday Special Moments," presented by Neng Yu, Co-Chief Analyst of Financial Engineering [1]. - The fourth session will address "Comprehensive Guide to Risk Models," led by Zhang Yu, Co-Chief Analyst of Financial Engineering [2]. - The fifth session will explore "Expansion and Enhancement of Alpha Factors in Financial Statements," also by Zhang Yu [4]. - The sixth session will discuss "Contrarian Investment Ability and Performance of Fund Managers," presented by Chen Mengqi, an Analyst at Guosen Securities [4]. - The final session will focus on "Unified Improvement Framework for Selection Factors from the Perspective of Hidden Risks," led by Hu Zhichao, an Analyst at Guosen Securities [4]. Group 3: Participation and Benefits - Participation is limited, and interested attendees must register through a specific process to ensure a good experience [2]. - Attendees who successfully register and attend will receive a copy of the "Selected Research Report of Guosen Financial Engineering Team for 2025" [5].

Core Insights - The stock-picking hedge funds have experienced their first recovery in a decade during the market turmoil of 2025, achieving a 9.2% return in the first half of the year and a 3.5% return in June alone, attracting a net inflow of $10 billion [1] - Notable funds such as Chris Hohn's TCI Fund and John Armitage's Egerton Fund reported returns exceeding 20% by June, while tech-focused SurgoCap Partners saw a cumulative increase of 17% this year [1] - The market volatility triggered by Trump's tariff policies has created a favorable environment for stock-picking strategies, as asset allocators seek protection beyond broad market indices [1] Group 1 - Zlata Gleason from Indus Capital stated that the market for stock pickers has returned, with the multi-strategy approach regaining prominence [2] - Fund managers noted that the relatively high interest rate environment is finally playing a positive role, contrasting the previous decade of low borrowing costs that made short-selling difficult [2] Group 2 - Investors are now scrutinizing company earnings more rigorously, creating an excellent environment for stock pickers, as the market is harsh on underperforming companies [3] - The diversification of stock market returns has also been beneficial, with equal-weighted versions of the S&P 500 keeping pace with market-cap-weighted indices, indicating a shift away from the dominance of large U.S. tech stocks [3] - European stock strategies have emerged as the best-performing strategies globally this year, with European indices surpassing the S&P 500 for the first time in years amid the turmoil caused by the Trump trade war [3] Group 3 - Defense stocks such as Germany's Rheinmetall and the UK's BAE have seen significant increases, indicating renewed investor interest in previously overlooked sectors [4] - A London hedge fund executive remarked that the largest global companies no longer dominate index returns, suggesting a more favorable environment for stock pickers [5] - Despite the positive trends, a prominent family office in Europe expressed caution regarding the sustained recovery of inflows into multi-strategy funds, citing their historically unstable performance over the past few years [5]

Core Viewpoint - The article emphasizes the importance of institutional research in investment decision-making, highlighting that while event effects from institutional research are weak, stocks with high research interest show strong differentiation in returns [1][4]. Group 1: Institutional Research Disclosure - Institutional research information disclosure is timely and has a high coverage rate, with the average lag time for disclosure remaining below 7 days over the past decade, and a coverage rate of 57% in 2024, covering 3,058 listed companies [2][3]. Group 2: Research Preferences - Institutional research tends to favor large-cap companies and focuses on growth sectors, with significant research event counts in industries such as machinery, electronics, pharmaceuticals, computers, basic chemicals, electric vehicles, and automobiles [3][4]. Group 3: Event Effects and Stock Selection - Post-research event analysis shows low win rates and high return-risk ratios, indicating that the positive impact of research events on stock prices is below 50%, suggesting a focus on stocks with high research interest rather than event-driven returns [4][5]. Group 4: Research Heat and Stock Returns - After neutralizing for market capitalization and industry, the research heat shows strong differentiation in stock returns, indicating that high research heat stocks have notable alpha but may have lower returns when market cap is considered [5][6]. Group 5: Performance of High Research Heat Portfolios - A portfolio constructed from high research heat stocks across various market cap segments achieved an annualized absolute return of 13.8% and an annualized excess return of 9.4% relative to the CSI All Share Index from 2013 to January 2025, with a high win rate against the index [7].