是阳谋不是阴谋。 今天上证指数实现五连阳，盘中主力坚决推动指数突破前期反弹高点 3936 点，目的是在 K 线形态上构 建出双底向上突破的态势，最终以微涨 1 点收官。这一走势无疑将选择题抛给了散户：跟进与否？若选 择观望，主力可能继续拉升金融等权重指数；若贸然跟风，又可能遭遇主力反手做空导致指数冲高回 落。 从盘面结果来看，三大指数虽勉强收红，但个股表现分化严重，上涨个股仅 1500 家左右，下跌个股超 3650 家，中位数下跌 0.78%。值得注意的是，今天成交量放大至 1.9 万亿左右，但主力资金净流出达 549 亿，规模不容忽视。 排版：刘雪影 是阳谋不是阴谋。 今天上证指数实现五连阳，盘中主力坚决推动指数突破前期反弹高点 3936 点，目的是在 K 线形态上构 建出双底向上突破的态势，最终以微涨 1 点收官。这一走势无疑将选择题抛给了散户：跟进与否？若选 择观望，主力可能继续拉升金融等权重指数；若贸然跟风，又可能遭遇主力反手做空导致指数冲高回 落。 从盘面结果来看，三大指数虽勉强收红，但个股表现分化严重，上涨个股仅 1500 家左右，下跌个股超 3650 家，中位数下跌 0.78%。值得注意的是，今 ...

是阳谋不是阴谋。 今天 上证指数实现五连阳，盘中主力坚决推动指数突破前期反弹高点 3936 点， 目的是 在 K 线形态上构建出双底向上突破的态势 ， 最终以微涨 1 点收官 。这一走势无疑将选择题抛 给了散户：跟进与否？若选择观望，主力可能继续拉升金融等权重指数；若贸然跟风，又可能 遭遇主力反手做空导致指数冲高回落。 从盘面结果来看，三大指数虽勉强收红，但个股表现分化严重，上涨个股仅 1500 家左右，下 跌个股超 3650 家，中位数下跌 0.78% 。值得注意的是， 今天 成交量放大至 1.9 万亿左 右，但主力资金净流出达 549 亿，规模不容忽视。 水皮杂谈 一家之言 兼听则明 偏听则暗 左右为难 盘面消息 A股三大指数今日集体红盘报收，沪指涨0.07%，收报3919.98点；深证成指涨0.27%，收 报13368.99点；创业板指涨0.41%，收报3205.01点。 沪深两市成交额达到18998亿，较 昨日小幅放量379亿。 老水看盘 感兴趣的朋友， 识别下方二维码添加小助理 加入 【水皮私享会】 。会员 即将到期 的 老 会 员朋友，也可以 识别二维码 联系小助理 续费 。 板块方面，上海市场以 ...

那么究竟发生了什么？具体来看，或有三大变数： 第一，每到年底或年初微盘股的表现总会在一段时间内不够理想，这可能与流动性结构有一定关系。 第二，近期热度很高的商业航天板块盘中突然大跳水，影响市场做多情绪。 第三，有报道指出，字节跳动计划斥资230亿美元大举投资人工智能，这对人工智能相关板块提供了助 力。市场风格可能因此再度被引向算力等大科技白马。 微盘股又生变数！ 12月23日早盘，虽然A股指数整体表现出色，但微盘股继12月22日尾盘跳水之后，再度迎来杀跌。全市 场上涨个股数量一度不足1500只。也就是说，风格还是集中在大盘股上面。 中信建投认为，右侧阶段中，成交量与放量因子的同步上行决定了行情的广度与持续性，温和且连续的 放量更有利于趋势延续，而急速放量往往透支后劲。在顶部阶段，阻力筹码与资金流的背离构成典型的 逃顶信号，近期多次挑战前高的成败均由此决定。展望未来，当前市场处于缩量整固期，量能偏弱、套 牢盘未出清，情绪回归中性。整体判断，短期仍以震荡为主，趋势性机会需等待"量能反转 + 情绪修 复"的共振信号出现。 12月23日早盘，本来冲高的商业航天板块突然大跳水，该板块指数大跌近2.5%。久之洋、佳缘科技 ...

Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Model - **Model Construction Idea**: The diffusion index is used to monitor the market's risk threshold and predict potential market movements based on historical and current data[5][17][40] - **Model Construction Process**: - The diffusion index is calculated based on the relative performance of micro-cap stocks over a specific time window. - The model uses three trading strategies: 1. **Left-Side Threshold Method**: Triggered an opening signal on September 23, 2025, when the index reached 0.0575[42] 2. **Right-Side Threshold Method**: Triggered an opening signal on September 25, 2025, when the index reached 0.1825[47] 3. **Dual Moving Average Method**: Gave a bullish signal on October 13, 2025[48] - The diffusion index's current value is 0.93, indicating a high level, with potential for high volatility in the coming week[39][40] - **Model Evaluation**: The model effectively identifies market risk thresholds and provides actionable trading signals based on historical data[5][17][40] 2. Model Name: Small-Cap Low-Volatility 50 Strategy - **Model Construction Idea**: Selects 50 stocks with small market capitalization and low volatility from micro-cap stock components to optimize returns[7][35] - **Model Construction Process**: - Stocks are selected based on their market capitalization and volatility metrics. - The portfolio is rebalanced bi-weekly. - The benchmark is the Wind Micro-Cap Stock Index (8841431.WI), with a transaction fee of 0.3% on both sides[7][35] - **Model Evaluation**: The strategy demonstrates strong performance in 2025, with a year-to-date (YTD) return of 81.53%, though it underperformed the benchmark by 1.01% this week[7][35] --- Model Backtesting Results 1. Diffusion Index Model - **Risk Threshold**: Triggered at 0.9, indicating a high-risk zone[5][17][40] - **Left-Side Threshold Method**: Opening signal at 0.0575 on September 23, 2025[42] - **Right-Side Threshold Method**: Opening signal at 0.1825 on September 25, 2025[47] - **Dual Moving Average Method**: Bullish signal on October 13, 2025[48] 2. Small-Cap Low-Volatility 50 Strategy - **2024 Return**: 7.07%, underperforming the benchmark by 2.93%[7][35] - **2025 YTD Return**: 81.53%, underperforming the benchmark by 1.01% this week[7][35] --- Quantitative Factors and Construction Methods 1. Factor Name: Leverage Factor - **Construction Idea**: Measures the financial leverage of a company to assess its risk and return potential[4][16][33] - **Construction Process**: Calculated as the ratio of total debt to equity. - **Factor Evaluation**: Ranked first in weekly rank IC with a value of 0.182, significantly outperforming its historical average of -0.005[4][16][33] 2. Factor Name: Free Float Ratio Factor - **Construction Idea**: Evaluates the proportion of freely tradable shares to total shares to gauge liquidity[4][16][33] - **Construction Process**: Calculated as the ratio of free float shares to total shares outstanding. - **Factor Evaluation**: Ranked second in weekly rank IC with a value of 0.138, outperforming its historical average of -0.012[4][16][33] 3. Factor Name: Turnover Factor - **Construction Idea**: Assesses trading activity by measuring the turnover of shares[4][16][33] - **Construction Process**: Calculated as the ratio of trading volume to total shares outstanding over a specific period. - **Factor Evaluation**: Ranked third in weekly rank IC with a value of 0.116, outperforming its historical average of -0.081[4][16][33] 4. Factor Name: Liquidity Factor - **Construction Idea**: Measures the ease of trading a stock without significantly impacting its price[4][16][33] - **Construction Process**: Calculated using bid-ask spreads and trading volume data. - **Factor Evaluation**: Ranked fourth in weekly rank IC with a value of 0.075, outperforming its historical average of -0.041[4][16][33] 5. Factor Name: Dividend Yield Factor - **Construction Idea**: Evaluates the dividend income relative to the stock price to assess income potential[4][16][33] - **Construction Process**: Calculated as the annual dividend per share divided by the stock price. - **Factor Evaluation**: Ranked fifth in weekly rank IC with a value of 0.064, outperforming its historical average of 0.022[4][16][33] --- Factor Backtesting Results Weekly Rank IC Values 1. **Leverage Factor**: 0.182 (historical average: -0.005)[4][16][33] 2. **Free Float Ratio Factor**: 0.138 (historical average: -0.012)[4][16][33] 3. **Turnover Factor**: 0.116 (historical average: -0.081)[4][16][33] 4. **Liquidity Factor**: 0.075 (historical average: -0.041)[4][16][33] 5. **Dividend Yield Factor**: 0.064 (historical average: 0.022)[4][16][33]

Market Overview - The Chinese stock market continues its slow bull trend, with the A-share and Hong Kong markets showing strength, as evidenced by the Shanghai Composite Index reaching a nearly four-year high of 3683.46 points on August 13 [2][3] - The A-share market saw a total trading volume of 2.16 trillion yuan, an increase of 269.4 billion yuan from the previous trading day, with over 2730 stocks rising [2] Performance of Indices - The micro-cap stock index has led the gains this year, rising nearly 60%, while the STAR 200 and North China 50 indices have increased by around 40% [3] - The Hang Seng Index and Hang Seng Technology Index have both risen over 20%, with the Hang Seng Biotechnology Index seeing an impressive 86% increase [3] Investor Activity - The number of new A-share accounts opened this year has reached 14.56 million, a year-on-year increase of 36.9%, with July alone seeing 1.96 million new accounts, up 71% year-on-year [4] - The market's financing balance has also grown, reaching its highest level since 2016, indicating a steady influx of new capital [4] Sector Performance - The micro-cap sector's performance is primarily driven by liquidity rather than earnings growth, with significant contributions from quantitative private equity and retail investors [5] - The healthcare sector, particularly medical devices, is gaining attention due to positive changes in the industry, with expectations for continued growth supported by policy and market conditions [7] Future Outlook - Analysts suggest that the Chinese stock market still has considerable room for expansion compared to overseas markets, particularly in technology growth, manufacturing, and new consumption sectors [7] - The current liquidity environment, bolstered by central bank operations, is expected to support the market's upward trend, despite potential short-term volatility [10]

Core Viewpoint - The article discusses the phenomenon of "contraction" in both ends of the barbell strategy, highlighting the extreme situation of dividend assets and the implications for investment strategies in the current market environment [4][8]. Group 1: Barbell Strategy and Market Trends - The barbell strategy has gained popularity recently, but research indicates that both ends of the strategy are experiencing a contraction [4]. - A report from Guolian Minsheng Securities notes that the contraction of high-dividend assets has reached a historical extreme, suggesting that focusing solely on high-dividend bank stocks may yield the highest returns among various dividend asset allocations [4]. - Huabao Securities reports that micro-cap stocks are experiencing "three highs," including a record high index, increased trading volume, and a sustained high annualized discount rate [4]. Group 2: Indicators and Risks - The "contraction indicators" for both dividend and micro-cap stocks have reached historical highs, indicating an extreme level of contraction in both ends of the barbell strategy [4][6]. - When the "micro-cap contraction indicator" is high, trading volume for micro-cap stocks tends to increase, suggesting a peak in trading sentiment that requires liquidity support to maintain momentum [6]. - Historical data shows that after reaching "three highs," micro-cap stocks have faced significant drawdowns, with maximum declines of 22.94% and 23.47% in previous instances [6]. Group 3: Implications for Dividend Assets - For bank stocks, the main concern affecting their allocation value is the reduction in cost-effectiveness rather than liquidity or sentiment [8]. - Historical trends indicate that when the price of bank stocks rises and the yield spread narrows to around 2.5%, it often triggers significant market corrections [8]. - The article suggests that the current contraction can be interpreted as a form of "herding," where investors seek certainty in uncertain times, reinforcing similar trading behaviors [8].

Group 1 - The geopolitical situation in the Middle East has negatively impacted risk appetite, leading to a narrow range of market fluctuations and a decrease in trading volume to around one trillion [2][16] - The banking index has risen significantly, with multiple bank stocks reaching historical highs, while sectors like stablecoins and oil and gas have performed well [2][16] - The AI and robotics sectors, which had previously experienced declines, showed slight rebounds, while the innovative pharmaceuticals and new consumption sectors faced significant adjustments [2][16] Group 2 - There is a divergence in the performance of banks and micro-cap stocks, with banks continuing to rise while micro-cap stocks have adjusted downwards due to various factors, including stable policy expectations and upcoming mid-year earnings reports [17] - The AH share premium rate has rebounded to 130 points, correlating with the US dollar index, indicating international capital flows favoring Hong Kong stocks [18] - The sentiment in the liquor sector has improved due to policy guidance, although long-term challenges such as demographic changes and evolving consumer preferences remain [19] Group 3 - The China Securities Regulatory Commission announced that the Sci-Tech Innovation Board ETF will be included in the fund advisory configuration range, aiming to enhance the board's demonstration effect and promote broader institutional breakthroughs [20] - The active equity fund indices showed varied performance, with the active stock fund index down 1.63% last week but achieving a cumulative excess return of 12.23% since inception [5][21] - The healthcare sector index experienced a significant decline of 6.82% last week, but it has recorded a cumulative excess return of 19.96% since inception [9][21]

Market Review - The market showed a downward trend this week, with the Shanghai Composite Index struggling to maintain the psychological level of 3400 points, indicating potential difficulty in sustaining this level without significant trading volume [2] - The micro-cap stock index formed a high-level doji, suggesting caution towards small micro-cap stocks [2] - The Hong Kong stock market formed a long upper shadow on the weekly chart, with the A/H premium reaching a new low, indicating a higher probability of a pullback in Hong Kong stocks or an increase in A-shares to return to a normal range [2] - A short-term head has formed, necessitating vigilance and partial position control, with the 20-week moving average serving as a key support level [2] Sector Analysis - There has been a noticeable acceleration in sector rotation, with over half of the sectors showing movement recently, including anti-tariff, military, innovative pharmaceuticals, new consumption, gaming media, CPO, oil and gas, and precious metals [3] - The trend is weak when sectors retreat, emphasizing the need for quick entry and exit strategies and active sector switching when trends reverse [3] Future Focus - Among various broad indices, the STAR Market has performed the weakest, particularly in sectors like semiconductors, computing power, and robotics, which have been in a weak adjustment trend since March [4] - Financial policies, such as the introduction of growth tiers in the STAR Market and the upcoming listing of new stocks with STAR attributes, may boost interest in semiconductor and technology stocks, although this may take time and requires accompanying trading volume [4] - A defensive approach is recommended before taking offensive positions [4]

Group 1 - The report emphasizes a cautious approach in the current market environment, suggesting a focus on defensive sectors such as banking due to ongoing tariff negotiations and economic pressures [3][10][12] - It highlights the potential for bond yields to reach new lows, recommending patience in positioning for left-side opportunities, particularly when the 10-year government bond yield approaches 1.7% after a 10 basis point rate cut [3][12] - The report notes a significant recovery in the domestic stock market, driven by short-term high-elasticity targets, with small-cap stocks becoming the core focus for capital [10][12] Group 2 - The report outlines key events impacting the market, including the U.S. tariff increase on steel and aluminum, and the People's Bank of China's liquidity support measures [9][10] - It tracks market performance indicators, noting a rise in average daily trading volume to 12,088.54 billion yuan, indicating increased trading activity and investor interest [22] - The report anticipates continued recovery in U.S. markets, driven by stable earnings from tech giants and a favorable environment during the tariff policy window [13]

Group 1 - The market is currently experiencing a structural bull phase, with large banks reaching new highs while smaller micro-cap stocks also perform well, indicating a mixed market environment rather than a traditional bull or bear market [1][2] - The combination strategy of stable growth in banks and high elasticity in micro-cap stocks is recommended for better returns and easier management, as it aligns with the current market dynamics [1][2] Group 2 - The low interest rate environment has led to increased liquidity, benefiting small-cap stocks that are more sensitive to liquidity changes, thus presenting numerous profit opportunities [2][3] - The banking sector's advantages are highlighted by its relatively high dividend yield, providing stable returns for investors, while long-term funds like insurance capital show a preference for bank stocks, supporting their long-term growth [2][3] Group 3 - The 中证2000增强ETF (SZ159552) has shown impressive performance, with a rise of over 60% since its inception, significantly outperforming the 沪深300 index and achieving a cumulative excess return of 26.17% [3][5] - The 银行ETF优选 (SH517900) tracks the bank AH index and employs a dynamic allocation strategy to achieve better returns, having outperformed the 中证银行全收益指数 since its launch [5]