金 融 工 程 权益黄金尽墨，全球资产 BL 模型 2 本周 微录正收益 大类资产配置模型周报第 40 期 本报告导读： 全球资产 BL 模型 2 录得涨幅 0.01%；国内资产 BL 模型 1、基于宏观因子的资产配 置模型、国内资产风险平价模型、全球资产风险平价模型、全球资产 BL 模型 1 和 国内资产 BL 模型 2 分录跌幅 0.32%、0.31%、0.27%、0.2%、0.17%和 0.15%。 投资要点： | [Table_Authors] | 郑雅斌(分析师) | | --- | --- | | | 021-23219395 | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 张雪杰(分析师) | | | 0755-23976751 | | | zhangxuejie@gtht.com | | 登记编号 | S0880522040001 | | | 朱惠东(分析师) | | | 0755-23976176 | | | zhuhuidong@gtht.com | | 登记编号 | S0880525070025 | [Table_Rep ...

晨 会 纪 要 [2025]第 218 号 主 题：对近期重要经济金融新闻、行业事件、公司公告等进行点评 研究所今日晨会要点如下: 一、金融工程 1、期权市场（邢维洁） 标的走势 11 月 17 日至 11 月 21 日，沪指周中震荡下跌，较前一周跌幅为 3.90%，当周收于 3834.89， 成交量较前一周有所降低。深指小幅低开，周中震荡下跌，较前一周跌幅为 5.13%，当周收 于 12538.07，成交量与前一周基本持平。 50ETF 周初开于 3.182，周末收于 3.101，较前一周下跌 0.082，跌幅为 2.58%，成交额 104.59 亿。华泰柏瑞沪深 300ETF 周初开于 4.730，周末收于 4.564，较前一周下跌 0.177，跌 幅为 3.73%，成交额 211.19 亿。南方中证 500ETF 周初开于 7.334，周末收于 6.922，较前一 周下跌 0.416，跌幅为 5.67%，成交额 128.03 亿。 期权市场 时 间：2025 年 11 月 27 日 8:50-9:30 会议形式：腾讯会议 参会人员：曹旭特 仇华 许雯 王攀 蒋栋 轩鹏程 文正平 李杰 张智珑 郭怡萍 何 ...

- The report introduces two active quantitative strategies: "Dividend Selection Strategy" and "Industry High Winning Rate Strategy," launched by the Changjiang Quantitative Team since July 2023, aiming to provide alternative perspectives and investment choices for investors by tracking market hotspots and selecting industry stocks [7][14][15] - The "Dividend Series" includes two products: "Central State-Owned Enterprises High Dividend 30 Portfolio" and "Balanced Dividend 50 Portfolio," focusing on stable and growth-oriented dividend strategies. The "Industry Enhancement Series" targets the electronics sector, featuring "Electronics Balanced Allocation Enhancement Portfolio" and "Electronics Sector Preferred Enhancement Portfolio," which emphasizes mature sub-sector leading companies [15][16][21] - The "Central State-Owned Enterprises High Dividend 30 Portfolio" outperformed the CSI Dividend Total Return Index this week, achieving a weekly excess return of approximately 0.68%. The "Balanced Dividend 50 Portfolio" showed relatively high volatility recently but has achieved a significant excess return of about 6.14% since the beginning of 2025, ranking around the 40th percentile among all dividend fund products [16][21][23] - The "Electronics Balanced Allocation Enhancement Portfolio" and "Electronics Sector Preferred Enhancement Portfolio" failed to achieve positive excess returns this week. The former slightly underperformed the electronics total return index, while the latter struggled to keep pace [8][31][32]

特别申明： 本订阅号中所涉及的证券研究信息由光大证券研究所编写，仅面向光大证券专业投资者客 户，用作新媒体形势下研究信息和研究观点的沟通交流。非光大证券专业投资者客户，请勿 订阅、接收或使用本订阅号中的任何信息。本订阅号难以设置访问权限，若给您造成不便， 敬请谅解。光大证券研究所不会因关注、收到或阅读本订阅号推送内容而视相关人员为光大 证券的客户。 点击注册小程序 今 日 聚 焦 【策略】海外波动加剧，拖累国内市场——策略周专题（2025年11月第3期） 市场大方向或仍处在牛市中，不过短期或进入宽幅震荡阶段。与往年牛市相比，当前指数仍然有相当大的 上涨空间，但是在国家对于"慢牛"的政策指引之下，牛市持续的时间或许要比涨幅更加重要。不过短期来 看，市场可能缺乏强力催化，叠加年末部分投资者在行为上可能趋于稳健，股市短期或以震荡蓄势为主。 （张宇生/王国兴） 2025-11-23 您可点击今日推送内容的第1条查看 【金工】短线关注超跌反弹机会——金融工程市场跟踪周报20251123 本周市场受海外交易情绪影响，交易节奏从前期区间震荡转向持续回调，人工智能板块延续调整，化工、 有色、电力设备等前期占优方向出现大幅调整 ...

证券研究报告 | 2025年11月22日 优秀基金业绩增强组合： 主动量化策略周报 小盘成长大幅调整，成长稳健组合年内满仓上涨 48.45% 核心观点 金融工程周报 国信金工主动量化策略表现跟踪： 本周，优秀基金业绩增强组合绝对收益-5.06%，相对偏股混合型基金指数超 额收益-0.07%。本年，优秀基金业绩增强组合绝对收益 18.71%，相对偏股 混合型基金指数超额收益-6.33%。今年以来，优秀基金业绩增强组合在主动 股基中排名 59.18%分位点（2053/3469）。 本周，超预期精选组合绝对收益-5.67%，相对偏股混合型基金指数超额收益 -0.68%。本年，超预期精选组合绝对收益 33.39%，相对偏股混合型基金指 数超额收益 8.35%。今年以来，超预期精选组合在主动股基中排名 26.72% 分位点（927/3469）。 本周，券商金股业绩增强组合绝对收益-4.15%，相对偏股混合型基金指数超 额收益 0.85%。本年，券商金股业绩增强组合绝对收益 27.25%，相对偏股 混合型基金指数超额收益 2.21%。今年以来，券商金股业绩增强组合在主动 股基中排名 38.69%分位点（1342/3469 ...

Core Insights - The report focuses on the evolution and optimization of profitability evaluation indicators, particularly the Return on Equity (ROE) within the PB-ROE framework, utilizing DuPont analysis to dissect the structure and potential issues of the ROE metric [1][4] - The report introduces a comprehensive profitability factor by optimizing the indicator system based on the analysis of ROE, aiming to enhance the dual optimization of the PB-ROE strategy framework in both valuation and profitability aspects [1][4] Section Summaries 1. In-depth Exploration of ROE and Profitability Styles - The PB-ROE strategy combines valuation levels with shareholder return rates, reflecting a company's ability to generate profits from shareholder capital, which directly influences net asset growth [10][14] - The relationship between ROE and GDP indicates that listed companies, as a significant part of the economy, have shown substantial growth in revenue, with the total revenue of A-share companies exceeding 72 trillion yuan in 2024, compared to 3.37 trillion yuan in 2004 [14][15] - ROE is categorized under quality style in investment factors, reflecting a company's financial health, profitability, reliability, and long-term growth potential [22][26] 2. ROE and DuPont Analysis - ROE is tested using both quarterly and TTM (Trailing Twelve Months) metrics, with the quarterly ROE factor showing a higher average Rank IC of 4.06% compared to 2.78% for TTM [28][29] - Historical high ROE stocks tend to underperform in future price performance, while portfolios constructed based on future ROE show significant excess returns, indicating the importance of ROE stability [33][34] - DuPont analysis breaks down ROE into three components: net profit margin, total asset turnover, and equity multiplier, providing a comprehensive assessment of a company's profitability, operational efficiency, and leverage [42][46] 3. ROE De-leveraging Analysis - The report discusses the linear separation of leverage factors from ROE, highlighting the economic relationship between ROA and ROE, and the limitations of ROA as a profitability measure [3][15] - The introduction of RONOA (Return on Net Operating Assets) and FCFFIC (Free Cash Flow Return on Invested Capital) aims to provide more accurate profitability assessments by excluding non-core operating activities and mitigating earnings management risks [4][6] 4. Comprehensive Profitability Factor - The integration of stable ROE, stable ROIC, stable RONOA, and FCFFIC forms a comprehensive profitability factor, enhancing the performance of the PB-ROE strategy [4][6] - The active quantitative stock selection strategy based on the PB-ROE framework has achieved an annualized return of 20.42% since 2010, significantly outperforming benchmarks like the CSI 800 [4][6]

Macro and Strategy - The report discusses the global asset management deep research series, focusing on personalized portfolios and tax efficiency, highlighting the advantages of separately managed accounts (SMA) for high-net-worth and institutional clients [7][8] - SMA allows for customized investment strategies based on individual risk preferences and tax optimization techniques, contrasting with model portfolios that lack personalization [7][8] Industry and Company Robotics Industry - Tesla plans to expand its Texas factory to produce 10 million humanoid robots annually, with production expected to start in 2027 [9][10] - The IPO guidance for Yuzhu Technology has been completed, indicating a rapid development in the domestic humanoid robot sector [10][12] - The report emphasizes the long-term investment opportunities in humanoid robots, suggesting a focus on core suppliers and companies with strong market positions [12] AI Infrastructure - Anthropic announced a $50 billion investment in AI data centers in the U.S., reflecting strong demand for AI-driven cloud infrastructure [11][12] - The report highlights the growing investment in AI infrastructure, particularly in energy supply for data centers, recommending companies involved in energy supply and cooling solutions [12][14] Food and Beverage Industry - Luckin Coffee reported a 50.2% year-on-year revenue increase in Q3 2025, but faced profit pressure due to rising delivery costs, which surged by 211.4% [16] - Yum China also saw revenue growth driven by its delivery sales, with a 32% increase in delivery revenue, maintaining a stable operating profit margin [16][17] - The report suggests that the differences in profitability between Luckin Coffee and Yum China stem from their competitive environments and membership channel contributions [16][17] Medical Device Industry - The medical sector outperformed the overall market, with a 3.29% increase in the biopharmaceutical sector, while the medical device multinational corporations (MNCs) reported varied performance across different product categories [18][19] - The report recommends focusing on innovative and export-capable A-share medical device companies, particularly those benefiting from domestic substitution trends [19] Power Equipment and New Energy - The report outlines a positive outlook for the wind power sector, expecting a 10%-20% growth in new installations in 2026, supported by strong order backlogs and price stability [20][21] - The lithium battery industry is anticipated to recover from a downtrend, with new technologies like solid-state batteries expected to accelerate commercialization [20][21] - Recommendations include focusing on companies involved in energy supply for AI data centers and those in the lithium battery supply chain [21][22] Semiconductor Equipment - Tuojing Technology reported a significant revenue increase of 124.15% year-on-year in Q3 2025, driven by the scaling of advanced packaging and storage equipment [23][24] - The company is expected to benefit from the ongoing expansion in the storage wafer market, with a focus on advanced packaging technologies [25][26]

Group 1 - The A-share market continues to exhibit a wide fluctuation pattern, with major indices experiencing weekly declines and market volume shrinking again. Financing increased slightly compared to the previous week, and stock ETFs saw net inflows, with TMT-themed ETFs being the main contributors [4] - In the fund market, pharmaceutical-themed funds performed well, while TMT-themed funds experienced significant pullbacks. Various ETFs across different investment scopes saw inflows, particularly TMT and sci-tech themed ETFs, with notable inflows into the Hang Seng Internet ETF and gold ETFs [5] - The convertible bond market saw a slight increase, with both the convertible bond and equity markets rising since the beginning of 2025, although the convertible bond market's performance was weaker. The demand for high-quality convertible bonds remains strong, and prices are at relatively high levels, necessitating careful selection [6] Group 2 - The energy storage sector is thriving, leading to price increases in lithium-ion battery materials. Short-term supply and demand are tight, with significant price hikes in lithium hexafluorophosphate. The profitability of iron phosphate is expected to recover, and prices for lithium iron phosphate materials are entering an upward channel [8] - The pharmaceutical sector saw a rise in flu-like cases, prompting attention to flu vaccines, respiratory virus testing, and cold medicine sectors. The pharmaceutical index rose by 3.29%, outperforming the CSI 300 index by 4.37 percentage points [8] - The company U (688220.SH) reported a revenue of 2.88 billion yuan for the first three quarters of 2025, a year-on-year increase of 13.42%. The net profit attributable to shareholders was a loss of 327 million yuan, a reduction in loss by 85 million yuan, with a gross margin of 25.38%, up by 1.92 percentage points year-on-year [8]

- The report highlights the launch of multiple active quantitative strategies since July 2023, including Dividend Selection Strategy and High Winning Rate Industry Strategy, aimed at tracking market trends and selecting industry-specific stocks [6][14][15] - Active quantitative strategies follow a top-down stock selection logic, leveraging industry and thematic insights to refine factor selection from a large fundamental factor pool, enabling precise identification of potential stocks within specific sectors [14] - The Dividend Series includes two products: "Central SOE High Dividend 30 Portfolio" and "Balanced Growth Dividend 50 Portfolio," focusing on stable and growth-oriented dividend strategies [15] - The Electronics Series includes two products: "Electronics Balanced Allocation Enhanced Portfolio" and "Electronics Sector Preferred Enhanced Portfolio," targeting mature sub-sector leaders within the electronics industry [15] - Weekly performance tracking shows that the Electronics Balanced Allocation Enhanced Portfolio and Electronics Sector Preferred Enhanced Portfolio achieved positive excess returns of approximately 1.86% and 1.62%, respectively, outperforming the benchmark [7][25][32] - The Dividend Series underperformed the benchmark this week, with the Central SOE High Dividend 30 Portfolio and Balanced Growth Dividend 50 Portfolio failing to exceed the returns of the CSI Dividend Total Return Index [7][16][22] - The CSI Dividend Index achieved a weekly return of 0.25%, while sub-indices like CSI Dividend Growth and CSI Dividend Low Volatility outperformed with average weekly returns of approximately 1.31% and 1.08%, respectively [7][16][19] - The Electronics Series portfolios ranked in the top 26%-28% among active technology-themed funds based on weekly returns [32] - The report emphasizes the differentiation of active quantitative strategies from traditional ones, highlighting their ability to integrate thematic and industry logic for enhanced stock selection and strategy validation [14]

- The report focuses on the performance of Smart Beta portfolios, including Value, Growth, and Small-cap styles, constructed based on high beta elasticity and long-term stable excess returns objectives[6][7][8] - Value Smart Beta portfolios include "Value 50 Portfolio" and "Value Balanced 50 Portfolio", with weekly returns of 2.58% and 2.40%, respectively, and annual returns of 19.22% and 26.57%[4][7][8] - Growth Smart Beta portfolios include "Growth 50 Portfolio" and "Growth Balanced 50 Portfolio", with weekly returns of -0.09% and -0.37%, respectively, and annual returns of 26.63% and 30.58%[4][7][17] - Small-cap Smart Beta portfolios include "Small-cap 50 Portfolio" and "Small-cap Balanced 50 Portfolio", with weekly returns of 2.55% and -0.17%, respectively, and annual returns of 48.97% and 41.26%[4][7][20] - The report highlights the excess returns of these portfolios relative to their benchmarks, such as "Value 50 Portfolio" outperforming the benchmark by 0.41% weekly and 8.89% annually[7][8][13] - Growth portfolios showed mixed results, with "Growth Balanced 50 Portfolio" achieving positive annual excess returns of 1.07%, while "Growth 50 Portfolio" underperformed by -2.88% annually[7][17][19] - Small-cap portfolios demonstrated strong performance, with "Small-cap 50 Portfolio" achieving weekly excess returns of 2.02% and annual excess returns of 19.09%[7][20][25] - The report provides detailed performance metrics, including absolute returns, excess returns, and maximum relative drawdowns for each portfolio[7][8][20]