"预期差"才是做多做空的依据，没有预期差就没有落差、没有波动。 资金面均衡偏松，长债收益率涨跌不一。 央行公开市场开展3125亿元7天期逆回购操作，今日有593亿元逆回购到期，净投放2532亿元。 资金面均衡偏松，资金利率平稳，DR001在1.24%附近，DR007因跨年小幅上至1.69%附近。 ——笔记哥《应对》 【笔记20251230— 债农：抢跑开始了吗？（-市场或预期PMI较好+资金面均衡偏松=涨跌互现】 今日股市震荡收平，债市或预期PMI较好，利率总体上行。 隔夜商品市场大幅波动。早盘债市情绪平稳，10Y国债利率微幅高开在1.86%后窄幅震荡。股市震荡收平，消息面平静，上午利率最低下至1.85%。午后或 担忧明日PMI数据较好，利率再度回升至1.86%。 -------------------------- -------------------------- -------------------------- | BDDBBLA W | - | Alice | 0 | × | 开始 股票 债券 商品 外汇 | 慕会 搭数 衍生品 AMS Advisor 家观 资讯 企业 发现 | EDB | H ...

Core Viewpoint - The construction materials and new materials industry is expected to maintain high investment attractiveness in 2025, despite continued pressure from traditional domestic demand in real estate and infrastructure [2]. Group 1: Cement Industry - Cement demand is projected to be under pressure, with structural adjustments expected. The anticipated demand distribution for 2025 is 30% from real estate, 50% from infrastructure, and 20% from rural areas [2][3]. - The industry is expected to experience a low point around April-May 2024, with a gradual improvement in supply-demand relationships as supply exits in an orderly manner [2][3]. Group 2: Glass Fiber Industry - The glass fiber sector is expected to benefit from the release of profits in AI electronic cloth by 2026, with a focus on high-end fabric price elasticity [3]. - The industry has undergone domestic substitution, establishing China as a global supplier, making both domestic and international demand crucial [3]. Group 3: Glass Industry - The glass sector is facing demand pressure and a slowdown in cold repairs, with a net reduction of approximately 4,000 tons per day as of December 21, 2025, which is a deceleration compared to 2024 [4]. - The overall glass prices are under pressure due to weak downstream demand, with a projected decline in construction completions by 18% year-on-year from January to November 2025 [4]. Group 4: Consumer Building Materials - The consumer building materials sector has shown signs of stabilization since Q3 2025, with narrowing revenue declines and reduced price competition, indicating that the most challenging phase has passed [5]. - Despite ongoing pressures in new housing demand, the release of second-hand housing and renovation projects is expected to provide strong support, leading to structural opportunities [5].

但有趣的是，就在市场一片欢腾之际，我发现一个奇怪现象：同样是AI概念股，有的已经翻倍，有的却纹丝不动。这让我想起18年前刚接触量化交易时的 一个顿悟时刻——股市炒的从来不是现实差，而是预期差。 二、预期差：机构与散户的最大鸿沟 一、AI独角兽上市背后的投资密码 最近资本市场最劲爆的消息莫过于国产AI企业MiniMax即将上市。这家成立仅4年的公司，凭借大模型技术已经服务全球200多个国家的2.12亿用户。消息一 出，相关概念股应声而动。 翠微股份翻倍 东软集团不涨反跌 中科江南后发制人 润和软件高开低走 记得2007年那轮大牛市，当时所有人都知道银行股业绩好得不得了。但诡异的是，等财报真正公布时，股价反而开始下跌。后来我才明白，市场早就price in了这些利好。 这就是典型的"预期差"现象。机构凭借信息优势和数据工具，往往能提前布局；而散户只能后知后觉地追涨杀跌。就像这次MiniMax上市，你以为的新闻可 能早就是机构的旧闻。 三、稳定币概念的冰火两重天 去年4月那波行情特别能说明问题。当时上证指数三个月涨了500点，稳定币概念风头无两。但同样是这个概念： 关键差别在哪？看看翠微股份的数据就明白了。早在概念 ...

聊一聊明年的机构行为展望。在低利率环境下，市场更多呈现存量博弈特征，而存量博弈的核心在于跟 踪配置盘、交易盘的指标约束与仓位变化——这有助于我们更精准地刻画当前市场拥挤度，以及判断短 期市场的演绎方向。 明年大的交易机会可重点关注三个预期差：一是叙事共识的预期差，当前市场对明年预期偏乐观，需警 惕超预期偏差；二是政策层面"开门红"的预期差，关注财政落地节奏、发债计划及货币政策配合带来的 利率择时机会；三是负债端跟踪的预期差，持续关注机构负债变化对相关品种超额收益的影响。 在机构行为方面，我们重点分析两类配置机构——今年部分配置机构的配置意愿、诉求及配置规模，对 市场波动产生了显著影响。今年市场超长期限品种出现阶段性大幅波动，核心原因在于配置盘承接意愿 不足，例如我们前文提到的商业银行，受利率风险影响，其操作呈现"卖长买短"特征。若明年EVE指标 未在监管层面出现明显改善，这一情况大概率仍将持续，相关品种或继续承压。 最后做一个简单总结：我们认为明年的宏观环境、流动性环境以及货币政策宽松诉求，均相对确定。因 此，明年债券市场大概率呈现偏震荡格局，但震荡过程中的波动幅度可能较大。 在这样的市场环境下，最具配置与交 ...

引子 华尔街又炸锅了。那个在2008年金融危机前就精准做空抵押贷款支持证券的"大空头"迈克尔·伯里，最近又放了个重磅炸弹。他说美联储重启短期国债购买 计划，暴露了美国金融体系的严重问题。这话一出，市场立刻骚动起来。 伯里的观点很尖锐："如果没有美联储3万亿美元以上的储备金支撑，美国银行体系就无法运转。"他认为这不是强健的标志，而是脆弱的标志。这话让我想 起股市里一个永恒的话题：预期与现实之间的鸿沟。 一、预期差才是市场的本质 股市炒得从来不是现实差，而是预期差。现实再烂，只要预期反转，市场就会给予正反馈。这就是著名的"困境反转"现象。所谓预期差就是：我知道你不知 道，我会你不会，我敢你不敢。 本质上，这就是信息不对称导致的游戏。而解决信息不对称的核心在于透过现象看到交易的真相。显然，只有数据可以还原这个真相。 诡异的是2025年情况大变。同样是金价上涨，同样是菜百股份，这次表现却是一路上涨。主营没变、题材没变，唯一的变化就是橙色"机构库存"数据在不断 活跃。 这个案例生动地说明了一个道理：同样的基本面条件下，机构资金的态度决定了股价走向。没有机构参与的利好不是真利好。 伯里的警告之所以重要，不是因为他预测了什 ...

"预期差"才是做多做空的依据，没有预期差就没有落差、没有波动。 ——笔记哥《应对》 -------------------------- 彭博消息：万科尝试获得贷款，但已被两家中资银行回绝。 想当年银行求着给万科贷款，现如今银行已把万科抛弃。如今做信评的债农们大多已转去利率债市场搬砖（现在这块砖也快搬不动了），但看到万科公开 债券展期还是很感慨： 当"优等生"都开始"挂科"，那说明是地产这个"学校"的问题，真不只是个别同学偷懒了。 【笔记20251127— 万科也挂科，学生问题还是学校问题？（-股市小幅上涨-基金赎回担忧+资金面均衡偏松=小上)】 资金面均衡偏松，长债收益率小幅上行。 央行公开市场开展3564亿元7天期逆回购操作，今日有3000亿元逆回购到期，净投放564亿元。 资金面均衡偏松，资金利率平稳，DR001在1.31%附近，DR007在1.45%附近。 | | | | 银行间资金 | (2025. 11. 27) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 回购代码 | 加权利率 | 变化 | 利率走势 | ...

Group 1 - The market opened high but experienced a decline, with the Sci-Tech Innovation Board down 0.84% and the ChiNext Index down 0.60% as of 14:00 [1] - Volatility in the growth sector has increased since Q4, with high momentum reversal effects and core asset accumulation leading to significant fluctuations [1] - Despite the market volatility, the fundamentals of the dual innovation sector remain unchanged, particularly in AI-related areas where China's semiconductor upstream equipment, materials, and chip manufacturing still show attractive PEG levels compared to U.S. peers [1] Group 2 - From a mid-term perspective, growth stocks are stabilizing after previous emotional releases, while the ChiNext still holds high allocation value due to reasonable valuations and improving fundamentals [2] - As of November 19, the scale of the Sci-Tech Innovation Board 50 ETF (588080) is 69.34 billion yuan, and the ChiNext ETF (159915) is 100.69 billion yuan, both ranking among the top in their category [2] - The combined management and custody fee rate for these ETFs is only 20 basis points, making them excellent tools for investors to capture the investment value of the dual innovation sector [2]

Core Viewpoint - The article emphasizes that not all information impacts the market; only information that creates a difference in expectations can lead to significant price fluctuations [1]. Market Overview - The funding environment is balanced and slightly loose, with long-term bond yields experiencing a slight increase. The central bank conducted a 655 billion yuan reverse repurchase operation, with 5,577 billion yuan of reverse repos maturing today, resulting in a net withdrawal of 4,922 billion yuan [3]. - The overnight overseas risk assets experienced a broad decline, leading to a lower opening for the stock market, which later rebounded. The 10-year government bond yield opened slightly lower at 1.787% and fluctuated down to around 1.78% [5]. - The stock market showed resilience, with a notable "green" performance amidst a backdrop of declining overseas markets, indicating a strong domestic market [6][8]. Bond Market Dynamics - The bond market reacted to the fluctuations in the stock market, with yields initially declining before rising again. The sentiment in the bond market was influenced by the performance of the stock market, which was described as a "see-saw" effect [5][8]. - The weighted rates for various repo codes remained stable, with R001 at 1.36% and R007 at 1.46%, indicating a steady funding rate environment [4]. Investor Sentiment - There is a mixed sentiment among investors regarding monetary policy, with bulls expecting a decrease in reverse repo rates while bears anticipate regulatory changes affecting redemption periods [9].

Core Viewpoint - The article emphasizes the strategy of investing in small-cap stocks to uncover hidden value and generate sustainable long-term returns through deep research and a focus on fundamental analysis [1][2]. Group 1: Investment Strategy - The company aims to identify undervalued small-cap stocks in a liquidity-rich environment, which inherently possess higher uncertainty and potential for greater returns [1][2]. - The approach involves a defensive strategy that prioritizes safety by selecting high-quality assets based on fundamental research, which helps in controlling drawdowns while maximizing upside potential [2][3]. Group 2: Market Conditions - The current A-share market exhibits significant structural differentiation, with concentrated trading in sectors like AI, semiconductors, and robotics, leading to relative weakness in small-cap stocks [4][5]. - Historical patterns suggest that extreme market structures are often unsustainable, indicating that investment opportunities may become more diversified in the near future [5]. Group 3: Valuation Insights - As of October 22, the Wind data shows that the micro-cap stock index has a price-to-book (PB) ratio of 2.49, lower than the 2.81 of the CSI 2000, highlighting a relative valuation gap for small-cap assets [5]. - The current market sentiment may shift, providing accumulation opportunities for small-cap stocks that have solid fundamentals, low previous gains, and are aligned with industrial policy but not yet fully recognized by the market [5].

Core Insights - The article discusses the phenomenon of continuous net buying by institutional investors in certain stocks, highlighting the disparity between retail and institutional investor behavior [1][3][7] - It emphasizes the importance of understanding the underlying data behind stock movements, particularly the "institutional inventory" data, to differentiate between sustainable growth and temporary spikes [5][7][8] Group 1: Market Behavior - The current market is characterized as a "liquidity bull market," where retail investors often react too late to market movements, leading to missed opportunities and losses [3][7] - The article draws a parallel to the quote from Qian Zhongshu's "Fortress Besieged," illustrating the conflicting desires of investors inside and outside the market [3] Group 2: Institutional vs. Retail Investors - Retail investors tend to enter the market after institutional investors have already made their moves, resulting in a detrimental time lag that can lead to significant losses [3][7] - The analysis of two contrasting stocks reveals that while one stock had a strong rebound, it lacked institutional support, indicating a potential trap for retail investors [5][7] Group 3: Stock Analysis - The article highlights 84 stocks that have seen continuous net buying from major funds, questioning whether this buying behavior is part of a strategic long-term investment or a short-term tactical move [7] - Historical data shows that stocks with a sustained upward trend in "institutional inventory" are more likely to experience long-term growth, while those with erratic inventory patterns may only see temporary gains [7] Group 4: Earnings Reports and Market Expectations - As the third-quarter earnings reports approach, the focus will shift to performance expectations, with "expectation gaps" being more critical than the earnings figures themselves [7] - The article suggests that monitoring changes in "institutional inventory" around earnings announcements can provide insights into whether institutions are selling on good news or buying into the stock [7][8]