证 券 研 究 报 告 行业研究 非银行金融 2025 年 12 月 21 日 金融资金面跟踪：量化周报（2025/12/15~2025/12/19） 市场交投活跃度环比下行，贴水幅度有所 推荐（维持） 收敛 1）沪深 300 相对中证 500 周/月/年初以来超额收益分别为-0.2%/-1.3%/-7.9%；2）中 证 1000 相对中证 500 周/月/年初以来超额收益分别为-0.6%/-1.7%/-2.7%；3）中证 2000 相对中证 500 周/月/年初以来超额收益分别为+0.3%/-0.1%/+6.4%；4）微盘股相对中证 500 周/月/年初以来超额收益分别为+3%/-4.4%/+42.5%。 1）沪深 300 周/月/年初以来日均成交额分别为 4042/4187/3998 亿元，环比 -12.4%/-48.8%/+0.6%；2）中证 500 周/月/年初以来日均成交额分别为 2913/2855/2802 亿 元，环比 -9.4%/-48%/+0.8% ；3）中 证 1000 周 /月 /年初以来日均成交额分别为 3624/3692/3579 亿元，环比-8.3%/-44.3%/+0.5%；4） ...

Investment Rating - The industry investment rating is "Recommended," indicating an expected increase in the industry index by more than 5% over the next 3-6 months compared to the benchmark index [17]. Core Insights - The overall excess returns for quantitative strategies are positive, with various strategies showing different average returns and excess returns over the week, month, and year-to-date [3]. - The average daily trading volume for major indices has decreased, with the Shanghai-Shenzhen 300 index showing a week-on-week decline of 15.2% [5]. - The top-performing sectors for the week include banking (+3.1%) and telecommunications services (+1.4%), while the worst-performing sectors include household goods (-6.2%) and textiles and apparel (-5.1%) [6]. Summary by Sections Quantitative Strategy Performance - The average returns for the 300 Enhanced Strategy are +0.1% weekly, +1.7% monthly, and +2.7% year-to-date, with excess returns of +0.2%, +0.8%, and +4.9% respectively [3]. - The 500 Enhanced Strategy shows average returns of +0% weekly, +2.8% monthly, and +7.8% year-to-date, with excess returns of +0.2%, +1.8%, and +10% respectively [3]. - The A500 Enhanced Strategy has average returns of 0% weekly, +1.6% monthly, and +6.6% year-to-date, with excess returns of +0% weekly, +1% monthly, and +9.2% year-to-date [3]. Sector Performance - The top three sectors year-to-date are banking (+13.9%), household goods (+11.6%), and non-ferrous metals (+8.7%), while the bottom three are coal (-11.9%), real estate (-11.4%), and consumer discretionary retail (-9.9%) [6]. - The monthly performance shows oil and petrochemicals leading with +5.9%, followed by banking (+5.7%) and hardware equipment (+3.3%), while household goods lagged at -11.4% [6]. Trading Volume Analysis - The average daily trading volume for the Shanghai-Shenzhen 300 index is 229.2 billion CNY for the week, 226.7 billion CNY for the month, and 289.9 billion CNY year-to-date, reflecting a week-on-week decline of 15.2% [5]. - The average daily trading volume for the CSI 500 index is 156.7 billion CNY weekly, 155.3 billion CNY monthly, and 207.7 billion CNY year-to-date, with a week-on-week decline of 12.7% [5].