信用债2026年投资策略 主线重塑 俞柯帆 中信证券研究部 信用债分析师 （执业编号：S1010524100010） 2025年11月11日 请务必阅读末页的免责条款和声明 核心观点 债券科技板的横空出世为信用市场注入科创债的崭新血液，对于2026年而言，科创债市场的进一步扩容或将重塑信用 市场主线，科创债及相关衍生指数的配置机会值得重点关注。 化债工作临近收尾阶段，城投市场化转型加速，而转型升级后的产业公司预计将在2026年更多地试水债券市场，在重 塑市场格局的同时，所带来的配置价值也不可忽视。 国有地产与混合制企业定价逐步偏向"城投化" ，民企则可关注核心资产储备情况和去化情况。 在行业逐步修复和高风险主体逐步退出市场的背景下，我们认为板块再次集中出险的风险较低。考虑到当前多数机构 对于地产债定价仍偏谨慎，行业风险溢价仍较高，我们认为地产债配置性价比较高。 市场定价注重于房企属性，国有地产与混合制企业定价逐步偏向"城投化" ，股东支持和销售数据的回暖均可带来舆 情波动后的利差收窄机会，广义民企波动仍然比较大，建议布局核心资产充足的龙头国有房企与优质民营房企。 南向通非银机构扩容有望带来增量资金，中资离岸债 ...

- The diffusion index model tracks industry rotation based on momentum principles, aiming to capture upward trends in industries. It has been monitored for four years, with notable performance in 2021 and stable returns in 2022. However, it faced challenges in 2023 and 2024 due to market reversals. For December 2025, recommended industries include non-ferrous metals, comprehensive, steel, banking, power equipment & new energy, and electronics[23][24][27] - The GRU factor model utilizes GRU deep learning networks to analyze minute-level volume and price data, focusing on short-cycle performance. It has achieved significant excess returns since 2021 but struggled in 2025 due to concentrated market themes. For the week ending November 28, 2025, industries ranked highest by GRU factors include comprehensive, steel, banking, comprehensive finance, retail, and agriculture[30][31][33] - Diffusion index model weekly rankings show top industries as non-ferrous metals (0.994), comprehensive (0.961), steel (0.939), banking (0.937), power equipment & new energy (0.902), and electronics (0.853). Industries with the lowest rankings include food & beverage (0.343), utilities (0.498), transportation (0.503), real estate (0.548), construction (0.563), and oil & petrochemicals (0.616)[24][25][26] - GRU factor weekly rankings highlight top industries as comprehensive (4.42), steel (3.9), banking (0.5), comprehensive finance (0.43), retail (0.18), and agriculture (-0.33). Industries ranked lowest include communication (-15.26), defense (-9.1), electronics (-8.71), pharmaceuticals (-8.44), computing (-8.11), and real estate (-7.63)[31][32][33] - Diffusion index model achieved an average weekly return of 3.53%, exceeding the equal-weighted return of CICC primary industries by 1.10%. Year-to-date excess return stands at 2.55%[27] - GRU factor model recorded an average weekly return of 1.06%, underperforming the equal-weighted return of CICC primary industries by -1.43%. Year-to-date excess return is -4.45%[33]

Core Viewpoint - The article emphasizes the importance of cash flow and dividend strategies in investment, particularly highlighting the performance of cash flow ETFs compared to dividend ETFs and the broader market [5][15][21]. Market Performance - On November 21, the Shanghai Composite Index fell by 2.45%, marking a significant single-day decline for many investors [5]. - Since the beginning of April, following the US-China tariff war, the market and most sectors have shown considerable gains until early November, leading to increased risk exposure in investor portfolios [6]. Investment Strategies - A "barbell strategy" combining technology and dividend stocks has been effective, with technology stocks performing well this year and dividend assets providing a buffer during market corrections [7]. - The A-share market has experienced increased volatility since September, with significant declines in the 万得全 A Index during three major adjustment periods [8][9]. ETF Performance - During market corrections, dividend ETFs and cash flow ETFs demonstrated strong defensive characteristics, with dividend ETFs showing smaller declines or even gains [9]. - Cash flow ETFs have outperformed in terms of cumulative return-to-drawdown ratios, with 14 out of the top 20 strategies being cash flow ETFs [12]. Long-term Performance - Since 2014, the 国证自由现金流 index has significantly outperformed both the 深证红利 and 沪深 300 indices, with a cumulative return of 445.14% compared to 139.64% and 91.14%, respectively [14]. - During the market downturn from early 2022 to late September 2023, the 国证自由现金流 index achieved a cumulative return of 36.35%, while the other indices experienced negative returns [14]. Index Composition - The 国证自由现金流 index focuses on companies with positive free cash flow, enterprise value, and operating cash flow, selecting the top 100 stocks based on free cash flow yield [17]. - The index includes a high proportion of state-owned enterprises, with significant market capitalization among its constituents [18]. Market Trends - The current investment climate favors cash flow assets due to rising geopolitical tensions and a shift towards lower-risk investments [20]. - The largest cash flow ETF, 华夏自由现金流 ETF, has over 7 billion yuan in assets, making it a preferred choice for investors [22]. Future Outlook - Historical analysis suggests that market style rotations occur every 2-3 years, with Q4 often being a critical period for portfolio adjustments [23]. - The focus on cash flow aligns with current policy trends aimed at stabilizing the economy, making cash flow-rich sectors attractive for investment [23].

Market Overview - A-shares experienced a pullback after an initial rise, with the Shenzhen Component and Shanghai Composite indices turning negative, while the ChiNext index briefly rose over 1% [1] - The market showed significant divergence, with small and mid-cap stocks declining, and the micro-cap index dropping over 2% [1] - The total trading volume in the Shanghai and Shenzhen markets was 1.11 trillion yuan, a decrease of 176.7 billion yuan compared to the previous trading day [1] Sector Performance - The military industry sector was notably active, with stocks like Yaxing Anchor Chain and Yaguang Technology hitting the daily limit [3] - The banking sector strengthened, with China Bank rising nearly 3% to reach a historical high [3] - The chemical sector saw a midday surge, with stocks such as Hengguang Co. and Lanfeng Biochemical also hitting the daily limit [3] - Conversely, high-priced stocks showed renewed divergence, with Sanmu Group, Victory Shares, and Hainan Haiyao hitting the daily limit down [3] - The coal sector weakened, with Dayou Energy reaching the daily limit down [3] - Overall, military, insurance, and banking sectors led in gains, while sectors like Hainan, gas, and film and television saw the largest declines [3] - At market close, the Shanghai Composite index fell by 0.04%, the Shenzhen Component dropped by 0.32%, while the ChiNext index increased by 0.12% [3]

Market Overview - The A-share market is currently experiencing a tug-of-war around the 4000-point mark, influenced by both external and internal factors. External pressures include the Federal Reserve's stance against recent interest rate cuts and geopolitical tensions affecting market risk appetite. Internally, the loss and regain of the 4000-point level has impacted market confidence, leading to structural differentiation within the market [1][9][10] Investment Strategy - The report suggests a cautious approach with strategies such as balanced allocation and high-low trading. Key investment themes include undervalued "elephant stocks" with high safety margins, defensive consumer stocks like pharmaceuticals, and cyclical sectors that may benefit from policy catalysts, such as solar energy, batteries, and petrochemicals. Additionally, technology stocks with solid performance support are highlighted as structural opportunities [2][10] Sector Performance - On the performance front, energy metals and lithium battery stocks have shown significant activity, driven by favorable policy expectations and the ongoing global push for carbon neutrality. The report emphasizes the importance of core technology reserves in leading companies within the new energy sector [6][10] AI Sector Insights - The AI application sector has seen substantial gains, with stocks related to AI concepts like Sora and ChatGPT performing well. The report indicates that the AI industry is entering a new phase of investment opportunities, particularly as AI applications become more prevalent and impactful on performance metrics [7][8][10]

Group 1 - Market sentiment score has continued to rise, reaching 3 as of November 7, up from 2.7 the previous week, indicating further recovery in market sentiment and a bullish outlook [7][11][19] - The trading volatility between industries has increased rapidly, breaking through the upper Bollinger Band, suggesting accelerated sector switching and a short-term improvement in sentiment [19][22] - The average daily trading volume for the entire A-share market decreased slightly to 20,123.50 billion yuan, with the highest trading day on November 3 at 21,329.04 billion yuan [14][18] Group 2 - The short-term trend scores for industries such as banking, petrochemicals, light manufacturing, electric equipment, and steel have shown significant upward movement, with utilities currently having the highest short-term score of 100 [38][39] - The crowdedness of capital in sectors like electric equipment, steel, and coal has increased, indicating potential volatility risks due to high valuations and sentiment corrections [40][44] - The model indicates a preference for large-cap and value styles, with signals suggesting that these styles may strengthen in the future [49][56]

Group 1: Market Overview - The US government shutdown has led to a tightening financial environment, causing global equity markets to mostly decline[4] - The overnight general collateral repurchase rate fluctuated between 4.14% and 4.24%, significantly above the Federal Reserve's 3.9% excess reserve rate[4] - Despite global market adjustments, the CSI 300 and Hang Seng Index recorded positive returns, indicating strong investor confidence in Chinese assets[4] Group 2: Fund Flows - As of November 5, 2025, both domestic and foreign capital flowed into the Chinese stock market, with foreign capital inflows of $20.14 billion and domestic inflows of $68.98 billion[4] - In the past week, overseas active funds saw an outflow of $6.18 billion, while passive funds experienced an inflow of $26.31 billion[4] Group 3: Valuation Metrics - The valuation percentile of the Shanghai Composite Index is at 89.5%, second only to the S&P 500, but still lower than US equities in absolute terms[4] - The risk-adjusted return percentile for the CSI 300 increased from 79% to 83%, indicating improved relative performance[4] Group 4: Risk Sentiment - The S&P 500 closed at 6728.80, below the 20-day moving average, with a put-call ratio of 1.19, reflecting increased hedging demand[4] - The implied volatility structure of the CSI 300 options showed a significant decline, indicating cautious sentiment in the market[4] Group 5: Economic Data - The probability of a 25 basis point rate cut by the Federal Reserve in December has risen to 66.90%, up from 63.00% the previous week[4] - The US September existing home sales increased by 4.1%, marking five consecutive months of marginal improvement[4]

ETF Industry News Summary Core Insights - The ETF market is experiencing significant movements, with notable performance in the chemical sector ETFs amidst a broader market decline. [1][3][5] Market Performance - Major indices in the A-share market declined today, with the Shanghai Composite Index down 0.25%, Shenzhen Component down 0.36%, and ChiNext down 0.51% [3]. - The basic chemical sector ETFs showed strong performance, with Chemical ETF (516020.SH) up 3.49%, Chemical Leader ETF (516220.SH) up 3.47%, and Chemical 50 ETF (516120.SH) up 3.42% [1][10]. ETF Fund Flows - The World Gold Council reported record inflows into Indian gold ETFs, with purchases nearing $3 billion (approximately 26 tons of gold) this year, driven by high gold prices and geopolitical concerns [2]. - In October alone, Indian gold ETFs saw inflows of $850 million, slightly lower than the previous month's $942 million [2]. Sector Performance - Among the various sectors, basic chemicals, comprehensive, and oil & petrochemicals led the day with gains of 2.39%, 1.45%, and 1.38% respectively [5]. - Conversely, the computer, electronics, and home appliances sectors lagged, with declines of -1.83%, -1.34%, and -1.17% respectively [5]. ETF Categories Overview - The average performance of different ETF categories showed that strategy ETFs performed the best with an average increase of 0.30%, while cross-border ETFs had the worst performance with an average decrease of -0.98% [7]. Top Performing ETFs - The top three performing stock ETFs today were Chemical ETF (516020.SH) at 3.49%, Chemical Leader ETF (516220.SH) at 3.47%, and Chemical 50 ETF (516120.SH) at 3.42% [10][11]. Trading Volume - The top three stock ETFs by trading volume were A500 ETF Fund (512050.SH) with a volume of 5.028 billion, followed by China Securities A500 ETF (159338.SZ) at 4.565 billion, and A500 ETF Huatai (563360.SH) at 4.324 billion [13][14].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - In the context of continued positive policy and valuations reaching the 80%-90% percentile of the past decade, attention should be focused on the capital market and the prospects of the technology sector. The unilateral strategy is to go long at low levels, and the arbitrage strategy is to go long on the main contracts of IM/IC and short ETFs for cash-futures arbitrage [5][6][45] 3. Summary Based on the Table of Contents 3.1 Second Part: Market Review in October 3.1.1 Stock Market - First Decline, Then Rise, and Reach a New High - In October, the A-share market first declined and then rose, with the stock index reaching a new high after oscillations. By October 29, the monthly increase of the CSI 300 Index was 2.3%, the SSE 50 Index rose 2.48%, the CSI 500 Index rose 0.93%, and the CSI 1000 Index fell 0.08% [10] - The oscillations in the stock index led to prominent performances in traditional industries. Sectors such as coal, insurance, telecommunications, public utilities, and oil and gas had significant increases, while sectors like media, automotive, healthcare, computer, real estate, and food declined. The technology sector showed differentiation, with high-level oscillations in concepts such as optical modules, domestic chips, advanced manufacturing processes, and humanoid robots [12] 3.1.2 Stock Index Futures - Periodic Expansion of Premium and Decline in Trading Volume and Open Interest - In October, the premium of stock index futures expanded periodically compared to the previous month. Especially after the listing of the 2606 contract, the premium of the quarterly contracts of IM, IC, and IF expanded significantly, while the premium of the current-month contracts slightly decreased overall, and the basis of each IH contract remained stable [16] - The trading volume and open interest of stock index futures declined overall in October. The average daily trading volume of IM, IC, IF, and IH decreased by 14.4%, 4.1%, 12.6%, and 3.8% respectively; the average daily open interest of IM, IF, and IH decreased by 4.9%, 3%, and 3.8% respectively, while the average daily open interest of IC slightly increased by 0.4% [23] - The expansion of the premium increased the rollover cost for short positions in stock index futures. The optimal choice for short positions in IM and IC to roll over to the next-month contracts had the lowest cost, with the average monthly annualized costs being 9.55% and 8.12% respectively, increasing by 0.82 and 0.59 percentage points compared to the previous month. The optimal choice for short positions in IF and IH to roll over to the next quarterly contracts had the lowest cost, with the average monthly annualized costs being 2.52% and 0.16% respectively, increasing by 0.32 and 0.23 percentage points compared to the previous month [27] - From the perspective of the open interest of major seats, the open interest of each variety remained stable overall, but the net short positions in IC increased significantly. The average monthly net short positions of the top five and top ten seats in IC increased by 2.1 and 2.5 percentage points respectively compared to the previous month. In addition, at the end of September, facing the National Day holiday, the short positions in IF significantly increased before the holiday and then quickly decreased after the holiday, indicating the hedging operations of investors using stock index futures [29] 3.2 Third Part: Market Outlook and Investment Strategy 3.2.1 What's Different About Reaching 4000 Points Again - On October 28, the Shanghai Composite Index stood above the 4000-point mark again after a decade, which was the third time since May 9, 2007, and April 8, 2015. Compared with the previous two times, this round of market has both similarities and some obvious differences [34] - In 2007, the first time the Shanghai Composite Index reached 4000 points was in the middle and later stages of the 2005 - 2007 bull market, driven by the split-share structure reform policy. Corporate profits improved in line with the macroeconomy, leading to a comprehensive bull market [34] - In 2015, the second time the Shanghai Composite Index reached 4000 points was in the later stage of the 2013 - 2015 bull market. Due to the quantitative easing policy implemented by the US at the end of 2012 and multiple reserve requirement ratio cuts and interest rate cuts in China, the liquidity in both China and the US was loose, and the margin trading in A-shares was active, resulting in a structural market driven by industrial upgrading [34] - Currently, the macroeconomy still faces significant uncertainties, but the artificial intelligence industry chain has experienced explosive growth. The ETF market has expanded significantly, and the absolute value of margin trading balance has continuously reached new highs. The proportion of margin trading is still far lower than that in 2015, and the market is generally stable. The policy is still to "fully consolidate the stable and improving trend of the market," and the development prospects of emerging industries are still broad. Therefore, this round of market is more similar to that in 2015, and the capital market and the prospects of the artificial intelligence industry will determine the height of the market [35] 3.2.2 The Third Quarter Reports to Test the Bull Market - As of October 31, 5437 companies announced their performance, and the overall third-quarter reports of listed companies showed an increase, adding confidence to the bull market. The total operating income of all A-shares reached 53.3 trillion yuan, a year-on-year increase of 1.21%, and the net profit attributable to the parent company reached 4.7 trillion yuan, a year-on-year increase of 5.34%, breaking away from the downward trend of the previous two quarters [40] - It should be noted that the 11.31% increase in the single-quarter net profit attributable to the parent company in the third quarter reports is related to the low base in the third quarter of last year (-15%), which is consistent with the continuous monthly increase of over 20% in the profits of industrial enterprises above the designated size from August to September. With the PMI remaining below the boom-bust line for six consecutive months and the order backlog index remaining at around 45%, the full-year performance still needs continuous tracking and observation [42] - For the performance growth of industry sectors that A-share investors are more concerned about, there have been some changes. Since April, the artificial intelligence wave has led to a significant increase in the performance of the semiconductor industry chain, forming a "Davis double-click" and stimulating market sentiment. However, among the three leading companies in the optical module (CPO) sector, the single-quarter operating income of two companies decreased quarter-on-quarter in the third quarter, and the net profit attributable to the parent company hardly increased quarter-on-quarter. Affected by this, the stock prices of relevant companies fell sharply, the sector declined, and the stock index was also affected. If the performance of the NVIDIA industry chain continues to fall short of expectations, attention should be paid to the progress of the domestic chip industry chain and the performance implementation of the robot industry [43] 3.2.3 Future Strategies - Based on the above analysis, in the context of continued positive policy and valuations reaching the 80%-90% percentile of the past decade, attention should be focused on the capital market and the prospects of the technology sector. Under the premise that the above factors remain unchanged, the unilateral strategy is to go long at low levels. Stock index futures investors should pay attention to the year-end convergence rule of the premium of IM/IC/IF, and the arbitrage strategy is to go long on the main contracts of IM/IC and short ETFs for cash-futures arbitrage [45]

Group 1 - The core viewpoint of the article highlights that the recent rise of the Shanghai Composite Index to 4000 points is characterized by a different market environment compared to previous instances in 2007 and 2015, with a focus on valuation levels, market capitalization rates, and industry performance [1][2][13] Group 2 - The current valuation of the Shanghai Composite Index shows a significant recovery, with a PE ratio of 17 and a PB ratio of 1.53 as of October 28, 2025, which is lower than the 2015 peak but significantly below the 2007 level [2][3] - The dividend yield of the index has increased, reflecting a macroeconomic backdrop of lower interest rates and improved governance structures in the capital market [2][3] Group 3 - The market capitalization rate of A-shares has improved slightly to 88%, but it remains significantly lower than that of major international economies like the US (200.7%) and Japan (180.4%), indicating room for growth in China's macroeconomic capacity to support the capital market [4][5] Group 4 - The time taken for the Shanghai Composite Index to rise from around 3000 to 4000 points was approximately 397 days, which is longer than the previous instances of 54 days and 105 days, suggesting a more solid foundation for a "slow bull" market [6][8] - The current index performance is primarily driven by valuation increases, with lower contributions from earnings, although sectors like technology and high-end manufacturing are showing strong profit growth [6][8] Group 5 - The industry weightings in the Shanghai Composite Index have shifted, with significant increases in the electronics and computer sectors, reflecting the government's push for technological innovation since the 13th Five-Year Plan [10][11] - The market is not experiencing a broad-based rally; instead, it is characterized by structural increases, particularly in technology and non-ferrous metals, with the median industry gain from 3000 to 4000 points being 34.87% in 2025 compared to 49.76% in 2015 [11][12]