- **Pring Cycle and its construction** - **Model Name**: Pring Cycle - **Construction Idea**: The Pring Cycle divides the economy and market into six stages based on the rotation performance of stocks, bonds, and commodities, helping investors adapt to different economic environments [13][16][17] - **Construction Process**: 1. **Stage Division**: - Stage 1: Recovery Early Phase - Bonds perform best, stocks slightly rise, commodities remain flat - Stage 2: Recovery Acceleration - Stocks lead, bonds weaken - Stage 3: Expansion Peak - Commodities start rising, stock growth slows, bonds decline - Stage 4: Overheat Phase - Commodities perform best, stocks decline, bonds remain flat or slightly drop - Stage 5: Growth Slowdown - Bonds improve, stocks and commodities weaken - Stage 6: Recession Phase - Bonds perform best, stocks rebound slightly, commodities perform worst [16][17][18] 2. Historical validation of Pring Cycle stages and their corresponding market performances [18] - **Evaluation**: Pring Cycle provides forward-looking insights by extracting "implied economic expectations" from market variables like prices, interest rates, and commodities, reflecting the broad economic direction [47] - **Macro Trend Signal (TS) and its construction** - **Factor Name**: Trend Score (TS) - **Construction Idea**: TS is built using monthly macroeconomic data to reflect real economic activities, corporate profits, and liquidity trends, offering a stable and cross-industry consistent confirmation signal [47] - **Construction Process**: 1. **Factor Selection**: Core macro factors include PMI New Orders, PPI YoY/MoM, M1 YoY, and M2 YoY, representing demand, profitability, and liquidity [26][29][30] 2. **Standardization**: Apply 12-month rolling Z-score to each factor for comparability [33] 3. **Weighted Aggregation**: Combine Z-scores using normalized weights to derive monthly raw TS [33] 4. **EWMA Smoothing**: Apply EWMA (α=0.5) to stabilize TS and clarify trend segments [33] 5. **Anti-Jump Rule**: Use 60-period rolling distribution with dual thresholds (35/65 outer, 45/55 inner) to classify TS into "Cautious/Neutral/Positive" states, ensuring stable macro state transitions [34] 6. **Practical Application**: Extend monthly TS to daily frequency with a 15-day lag for real-time use [33] - **Evaluation**: TS complements Pring Cycle by providing confirmation signals from the fundamental side, enhancing reliability and cross-industry consistency [47] - **Backtesting Results for Models and Factors** - **Pring Cycle**: Historical validation shows that recovery and positive macro signals yield the strongest positive returns across industries, with recovery > overheat > recession in certainty [45][47] - **Macro Trend Signal (TS)**: Positive TS signals outperform cautious and neutral states, with clear positive effects on market returns [45][47] - **Combined Strategy**: The Pring Cycle and TS framework consistently outperform benchmarks like CSI 300 in most years, with stable long-term excess returns and controlled drawdowns [56][59] - **Performance Metrics for Macro States** - **CSI 300**: - Cautious: Recovery 2.24%, Recession -0.08%, Overheat 0.50% - Neutral: Recovery 0.23%, Recession -2.50%, Overheat 6.21% - Positive: Recovery 2.74%, Recession 0.34%, Overheat 1.29% [41] - **CSI 2000**: - Cautious: Recovery 4.42%, Recession -1.06%, Overheat -0.16% - Neutral: Recovery 2.85%, Recession -0.54%, Overheat -3.76% - Positive: Recovery 3.14%, Recession 0.37%, Overheat 1.77% [42] - **Growth Enterprise Index**: - Cautious: Recovery 3.69%, Recession -0.67%, Overheat -2.90% - Neutral: Recovery -0.97%, Recession -1.64%, Overheat 1.62% - Positive: Recovery 4.31%, Recession 2.95%, Overheat 0.51% [43] - **Low Volatility Dividend Index**: - Cautious: Recovery 2.13%, Recession 0.76%, Overheat 0.60% - Neutral: Recovery -0.69%, Recession -3.12%, Overheat 8.05% - Positive: Recovery 1.51%, Recession 1.42%, Overheat 1.86% [44] - **Sector Performance under Macro States** - **Positive-Recovery**: Sectors like New Energy, Basic Chemicals, Consumer Services, and Growth Enterprise Index show strong returns [60][62] - **Positive-Overheat**: Sectors like Electronics, Basic Chemicals, Electric Equipment, and Nonferrous Metals exhibit sustained performance, shifting towards cyclical sectors [63][64] - **Risk-Adjusted Returns**: Manufacturing chains (e.g., Chemicals, Nonferrous Metals) maintain mid-to-high rankings across all macro states, while defensive sectors (e.g., Food & Beverage, Banks) dominate during downturns [64][66] - **Strategy Effectiveness** - The combined Pring Cycle and TS framework systematically captures trends and filters noise, demonstrating long-term executability and adaptability to macroeconomic changes [56][59]

Market Performance - The A-share market experienced a significant downturn, with the ChiNext Index dropping 6.15% last week and falling below the 3000-point mark on November 21, closing at 2920.08 points [2] - The Hong Kong stock market also faced declines, with the Hang Seng Index falling over 5% and the Hang Seng Tech Index dropping more than 7% [2] - Major Asian markets saw widespread declines, with the South Korean Composite Index and Nikkei 225 Index experiencing drops of nearly 4% and over 3.48%, respectively [2] Sector Analysis - The technology sector, particularly in computing, semiconductors, and batteries, underwent significant corrections, with the electronic sector experiencing a weekly decline of 5.89% [3] - The lithium battery supply chain saw a sharp drop, with the lithium mining index falling 9.67% in a single day, affecting multiple stocks such as Shengxin Lithium Energy and Ganfeng Lithium, which hit their daily limit down [3] - The computing industry also faced a collective pullback, with notable declines in stocks like Xin Yi Sheng and Zhong Ji Xu Chuang [3] Analyst Insights - Multiple brokerages indicated that the A-share market is in a mid-term adjustment phase, but the long-term bullish trend remains intact [4][5] - Analysts from Pacific Securities and Zheshang Securities noted that the current market adjustment is in its early stages, with potential further declines in global markets impacting A-share risk appetite [5] - Shenwan Hongyuan's report suggested that while the AI industry trend is not over, there will be fluctuations in the short term, aligning with historical patterns of "high-level oscillation" during bull markets [5] Market Sentiment - Despite short-term pressures, analysts believe that the long-term bullish trend is still expected, with a focus on fundamental improvements as a basis for future market performance [6] - The ChiNext Index, a key driver of the current bull market, has seen a 12% decline since its peak on October 30, but this adjustment is viewed as a normal part of the bull market cycle [7][8] - The current valuation of the ChiNext Index has decreased to a price-to-earnings ratio of 37.72, indicating a release of pressure and a lack of significant overvaluation risk [8]

中美贸易摩擦进入2025年，已从单纯关税博弈演变为全球供应链的全面重塑。年初，美国政府签署行政 令，对中国商品加征10%额外关税，到4月总税率攀升至54%，涵盖电子元件、机械设备和汽车零部 件。中国则以对等措施回应，5月启动对美进口商品关税调整，重点针对农产品和能源。 10月30日，两国领导人在釜山会晤，达成涵盖关税调整、出口管制和农产品采购的协议，美国同意降低 部分电子产品税率至30%，中国承诺增加能源进口20万吨。目前，协议执行平稳，首批大豆船货抵达中 国港口，价格稳定在每吨420美元左右。这种进展显示，贸易摩擦虽未彻底结束，但已从对抗转向有限 缓和。 从经济数据看，美国的关税策略并未如预期般重振制造业。2025年上半年，美国对华出口下降25%，大 豆和能源类产品积压严重，中西部农场库存创历史新高。通胀率升至4.5%，消费者支出增速放缓0.8个 百分点。 相比之下，中国出口结构优化，对"一带一路"沿线国家贸易额同比增长15%，高科技产品占比升至 28%。欧洲国家对美实施25%农产品反制关税，导致美国鸡肉出口受阻，中西部"蛋荒"现象频发。 东南亚虽承接部分转移订单，但物流延误和质量不稳问题突出，实际成本仅降 ...

Market Performance - The A-share market experienced a significant downturn, with the ChiNext Index dropping 6.15% last week and falling below the 3000-point mark on November 21, closing at 2920.08 points [1] - The Hang Seng Index also declined over 5%, while the Hang Seng Tech Index fell more than 7% [1] - Major Asian markets, including the Korean Composite Index and Nikkei 225, also saw declines of nearly 4% and over 3.48%, respectively [1] Sector Analysis - The technology and battery sectors, which had previously shown strong performance, underwent substantial corrections, with the electronics sector experiencing a weekly decline of 5.89% [2] - The lithium battery supply chain faced a sharp drop, with the lithium mining index falling 9.67% in a single day, affecting multiple stocks such as Shengxin Lithium Energy and Ganfeng Lithium, which hit their daily limit down [2] - The computing power supply chain also saw significant declines, with stocks like Xin Yi Sheng and Zhong Ji Xu Chuang dropping 8.46% and 5.69%, respectively [2] Long-term Outlook - Despite the short-term pressures, several brokerages indicated that the long-term slow bull trend in A-shares remains intact [3] - Analysts suggest that the current market adjustment is a normal part of the bull market process, with expectations of a gradual recovery after the current phase of volatility [4][5] - The entrepreneurial board, which is a key driver of the current bull market, has shown a year-to-date increase of 90% before experiencing a correction [6] Valuation and Investor Sentiment - The price-to-earnings ratio of the ChiNext Index has decreased to 37.72, indicating a moderate valuation level compared to historical highs, suggesting no significant overvaluation risk [7] - Despite short-term capital outflows, the continued net subscriptions of ChiNext ETFs reflect long-term investor confidence [7] - Analysts recommend focusing on quality growth stocks that demonstrate strong performance, as the current market adjustment is seen as profit-taking rather than a fundamental shift [7]

证券研究报告 | 2025年11月23日 港股市场速览 优于大市 全球流动性压力下，各风格与行业承压 股价表现：全风格与行业承压 本周，恒生指数-5.1%，恒生综指-5.4%。风格方面，大盘（恒生大型股-5.2%） ＞中盘（恒生中型股-6.0%）＞小盘（恒生小型股-6.1%）。 主要概念指数均显著回调。下跌幅度较大的是恒生汽车（-9.6%）。 国信海外选股策略均显著回调。下跌幅度较大的是 ROE 策略进攻型（-7.2%）。 全部 30 个行业下跌。下跌幅度较大的主要有：电力设备及新能源（-11.6%）、 钢铁（-10.0%）、有色金属（-8.9%）、汽车（-8.7%）、电子（-8.3%）。 估值水平：多数行业同步回落 本周，恒生指数估值（动态预期 12 个月正数市盈率，后同）-4.8%至 11.6x； 恒生综指估值-5.0%至 11.5x。 主要概念指数估值全部回撤。估值下降幅度较大的是恒生汽车（-9.2%至 13.1x）。 国信海外选股策略估值全部下降。估值下降幅度较大的是 ROE 策略进攻型 （-5.0%至 14.8x）。 1 个行业估值上升，29 个行业估值下降。估值上升的主要有：基础化工 （+8.3% ...

2025 年 11 月 23 日 总量研究 本周有所调整 ——可转债周报（2025 年 11 月 17 日至 2025 年 11 月 21 日） 要点 1、市场行情 本周（2025 年 11 月 17 日至 2025 年 11 月 21 日，共 5 个交易日）中证转债指 数涨跌幅为-1.78%（上周涨跌幅为+0.52%），中证全指变动为-5.05%（上周涨 跌幅为-0.53%）。2025 年以来中证转债涨跌幅为+16.50%，中证全指涨跌幅为 +17.36%。 分评级来看，债项评级高评级券（评级为 AAA）、中高评级券（评级为 AA+）、 中评级券（评级为 AA）、中低评级券（评级为 AA-）和低评级券（评级为 AA- 及以下）本周涨跌幅分别为-0.82%、-1.41%、-2.31%、-2.07%和-1.92%，均 有所下跌，其中中评级券跌幅最大。 分转债规模看，大规模转债（债券余额大于 20 亿元）、中大规模转债（余额在 15 至 20 亿元之间）、中规模转债（余额在 10 至 15 亿元之间）、中小规模转 债（余额在 5 至 10 亿元之间）、小规模转债（余额小于 5 亿元）本周涨跌幅分 别为-1.33% ...

—— 量化市场追踪周报（2025W47） [Table_ReportTime] 2025 年 11 月 23 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 证券研究报告 金工研究 [Table_ReportType] 金工点评报告 [Table_Author] 于明明 金融工程与金融产品 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 吴彦锦 金融工程与金融产品 分析师 执业编号：S1500523090002 联系电话：+86 18616819227 主动权益趋势性增配电子、有色与及反内卷板块 邮 箱：wuyanjin@cindasc.com 周君睿 金融工程与金融产品 分析师 执业编号：S1500523110005 联系电话：+86 19821223545 邮 箱：zhoujunrui@cindasc.com [Table_Title] 量化市场追踪周报(2025W47)：主动权益趋势性增 配电子、有色与及反内卷板块 [Table_ReportDate] 2025 年 ...

Investment Rating - The industry investment rating is "Overweight" (maintained) [1] Core Views - The report highlights that the performance of major overseas companies, such as Nvidia and Google's Gemini3 model, confirms the high prosperity of computing power [5] - The electronic industry index has seen a decline of 5.66% this week, with specific sectors like consumer electronics and semiconductors dropping by 5.98% and 5.80% respectively [3][4] - The report emphasizes the acceleration of domestic chip launches and new product iterations, with a prediction that the smart glasses market will reach a significant turning point by 2026 [4] Summary by Sections Market Review - The US stock market has experienced significant volatility due to increased expectations of interest rate cuts by the Federal Reserve, impacting the domestic electronic sector [3] - Nvidia's third-quarter revenue reached $57.01 billion, with data center revenue contributing $51.2 billion, indicating strong performance despite market fluctuations [4] Industry Updates - The report notes that Samsung has increased the prices of certain memory chips by 60% compared to September, reflecting rising storage costs [4] - The launch of the "Qianwen" app by Alibaba and the upcoming release of Huawei's Mate80 are significant developments in the terminal market [4] Investment Recommendations - The report suggests focusing on technology sector stocks that have undergone significant adjustments and have potential catalysts, including companies like SMIC, Huahong Semiconductor, and Cambrian [5]

随着北美大厂 AI 资本开支的步伐变的更为激进、而 AI 对经济及企业盈 利的拉动效应尚未充分展现，市场对于资本开支向 EPS 传导的评估更为 审慎、开始关注"AI 泡沫"风险。在此基础上，过去两年"科技大厂算力 军备竞赛、资本开支集中上修"即可顺利带动算力行情的模式将有所变化， 未来 AI 叙事的持续演绎，除了算力本身的旺盛需求外，可能还需要看到 AI 价值创造更为明确的信号。 ◼ 一是，全球流动性紧缩之下，A 股难以"独善其身" 近期多重因素轮番作用，全球流动性呈现紧缩态势。此前阶段，紧缩格局 主要受美国联邦政府停摆影响，TGA 账户"只进不出"大量吸收市场流动 性，对美国本土冲击更为直接，亦推动美股率先见顶回落。随着美政府重 新开门，这一流动性压力已明显缓和，当前流动性趋紧的核心驱动在于 12 月美联储大概率不降息： 基于多重原因，流动性收紧压力带动近期全球资产普遍回调，A 股市场难 以"独善其身"。 ◼ 二是，海外"AI 泡沫"焦虑、科技板块下跌，波及 A 股 证券研究报告·策略报告·策略周评 策略周评 20251123 如何看待近期市场的调整 2025 年 11 月 23 日 [Table_Summ ...

美国民众已经意识到，中国不是敌人，而是朋友。最近中美达成了一项重要协议，美国宣布暂停对中国的24%对等关税，并取消之前加征的10%关税。特朗 普对中国的态度也发生了巨大转变，几乎是180度的变化。 之前，高市早苗曾挑衅性地说，台湾有事就是日本有事，然而，当有记者问特朗普中国算不算朋友时，他直接回应：许多盟友都不算朋友，并且强调自己与 中国的关系很好。在与中国领导人见面之前，特朗普更是在推特上公开提到G2概念，变化的速度堪比翻书。问题是，为什么特朗普会突然转变态度？美国 发起的关税战为什么没能持续下去？答案其实很简单——特朗普通过关税战希望实现的三个目标，都没有达成。 第一个目标是打压中国，试图修复美国人崩塌的国家信仰。美国本质上不是一个世俗国家，而是一个教会国家。美元上写着我们信仰上帝，而欧洲的欧元上 没有类似标识。最早来到美国的清教徒，他们的核心教义是财富是上帝对勤奋的奖赏，贫穷是因为懒惰和堕落。这套教义塑造了美国的国家性格，也支撑起 了只要努力就能成功的美国梦，成为美国社会秩序稳定的核心。但如今，这种信仰出现了严重问题。过去几十年，美国的资本回报远高于劳动回报，中产阶 级的比例从61%下降到51%，最富的 ...