报 告 摘 要 乘势而起：市场新高趋势追踪 触及新高的个股、行业和板块可被视为市场的风向标。越来越多的研究表明动量、趋势跟踪策略的有效性。本报告旨在定期跟踪市场中创新高的个股及其 分布，以追踪市场趋势、把握市场热点。 截至2025年12月5日，上证指数、深证成指、沪深300、中证500、中证1000、中证2000、创业板指、科创50指数250日新高距离分别为3.14%、 4.21%、3.44%、5.98%、4.00%、2.50%、6.47%、13.84%。中信一级行业指数中家电、轻工制造、有色金属、通信、建材行业指数距离250日新高 较近，食品饮料、综合金融、银行、医药、商贸零售行业指数距离250日新高较远。概念指数中，卫星互联网、卫星导航、家用电器、家居用品、林木、黄 金、家用电器等概念指数距离250日新高较近。 见微知著：利用创新高个股进行市场监测 截至2025年12月5日，共965只股票在过去20个交易日间创出250日新高。其中创新高个股数量最多的是基础化工、电力设备及新能源、机械行业，创新 高个股数量占比最高的是煤炭、纺织服装、石油石化行业。按照板块分布来看，本周周期、制造板块创新高股票数量最多；按照 ...

Group 1 - The core performance of banks is expected to recover and grow in 2026, marking the first year of the 14th Five-Year Plan, with a focus on a "new momentum combination" for bank stocks [2] - The investment strategy for bank stocks will be discussed, including the outlook on fundamentals and the value of bank stock investments [2] - The investment perspective on the banking sector and stock selection strategies will be highlighted [2] Group 2 - The investment strategy for 2026 will focus on three main investment lines, targeting new opportunities in the Beijing Stock Exchange, particularly in technology growth, high-end manufacturing, and new materials [5] - The valuation levels of the Beijing Stock Exchange are expected to recover, with a decrease in discount rates, aligning with national strategic emerging industry development directions [5] - The Beijing Stock Exchange is home to a number of high-quality enterprises that are technically solid and leading in niche fields, providing investors with opportunities to capture long-term value [5] Group 3 - The potential for AI and intelligent control to ignite a new wave in the computer industry will be explored, along with the prospects for the "rare metals" cycle and the energy sector's transition to a zero-carbon era [7] - East Guangdong Securities will focus on the technological, resource, and energy transformations as the main investment lines for 2026 [7] Group 4 - The potential for innovative drugs to expand internationally and the expected turnaround in biotechnology will be examined, alongside the performance improvements in the medical device sector [9] - Structural opportunities in consumer healthcare and biological products will be discussed, aiming to reshape the investment logic in the pharmaceutical sector for 2026 [9]

Core Viewpoint - The Q4 style rotation model indicates signals for small-cap and growth stocks, with a focus on sectors such as electric equipment and renewable energy for December [1][2]. Style Rotation Model - The Q4 style rotation model has issued signals favoring small-cap stocks, with a comprehensive score of -1 for the dual-driven rotation strategy as of September 30, 2025 [3]. - The value-growth style rotation model shows a comprehensive score of -3 for the dual-driven rotation strategy, indicating a preference for growth stocks [4]. Industry Rotation Insights - In November, the composite factor strategy yielded an excess return of -0.58%, while the single-factor long strategy had an excess return of -0.83% [4]. - For December, the single-factor long strategy recommends bullish sectors including banking, construction, non-bank financials, and electric equipment and renewable energy. The composite factor strategy suggests bullish sectors such as telecommunications, comprehensive finance, computer technology, electric equipment and renewable energy, and utilities [4].

Group 1: Style Rotation Insights - The Q4 style rotation model indicates signals for small-cap and growth stocks [2][3] - The dual-driven rotation strategy for Q4 has a composite score of -1, predicting a focus on small-cap stocks [3] - The value-growth style rotation model shows a composite score of -3, suggesting a preference for growth stocks [4] Group 2: Industry Rotation Analysis - In November, the composite factor strategy yielded an excess return of -0.58%, while the single-factor long strategy had an excess return of -0.83% [4] - For December, the recommended long industries based on single-factor strategies include banking, construction, non-bank financials, and electric equipment & new energy [4] - The composite factor strategy recommends long positions in telecommunications, comprehensive finance, computers, electric equipment & new energy, and utilities [4] Group 3: Pharmaceutical Sector Performance - In November 2025, the pharmaceutical sector underperformed the broader market, with the SW pharmaceutical and biological index declining by 3.6% compared to a 1.7% drop in the Shanghai Composite Index [7] - The relative premium level of the pharmaceutical sector is currently at 72.6%, indicating a normal valuation level compared to all A-shares [7] - In the Hong Kong market, the pharmaceutical sector performed similarly to the market, with the Hang Seng Medical Care index at -0.1% and the biotechnology sector at +0.4% [7] Group 4: U.S. Pharmaceutical Market Trends - In November 2025, the U.S. pharmaceutical sector outperformed the broader market, with the S&P Healthcare Select Sector Index rising by 9.1% compared to a 0.1% increase in the S&P 500 [8] - Notable gainers in the S&P 500 healthcare component included Eli Lilly (+25%) and Solventum (+23%) [8]

Group 1 - The report emphasizes a multi-strategy stock selection approach, highlighting the importance of value and quality styles in the current market environment [1][2] - In December 2025, the weight allocation for the quality stock selection strategy is the highest at approximately 38.84%, while the growth stock selection strategy has the lowest allocation at about 7.64% [2][19] - The multi-strategy stock selection strategy recorded an absolute return of -3.72% in November, with a relative excess return of -1.48% compared to the CSI All Share Index [2][27] Group 2 - The "High BETA" stock selection strategy has the highest weight allocation in large-cap value stocks at 50%, while the allocation for small-cap value stocks is the lowest at 14.17% [4][46] - In November, the "High BETA" strategy achieved an absolute return of -0.76% and a relative excess return of -1.56% compared to the CSI All Share Index [4][16] - The report indicates that the "High BETA" strategy's performance is closely monitored, with adjustments made based on market conditions [3][46] Group 3 - The "Dividend+" preferred stock strategy achieved an absolute return of 1.99% in November, with a relative excess return of 4.38% compared to the CSI All Share Index [5][18] - This strategy includes a total of 30 selected stocks, with an average market capitalization of 658.36 billion, primarily concentrated in the banking and light manufacturing sectors [5][18] - The report highlights the strong performance of the "Dividend+" strategy relative to its benchmarks, indicating its effectiveness in the current market [5][18] Group 4 - The moving average trend strategy recorded an absolute return of 1.81% in November, with a relative excess return of 4.19% compared to the CSI All Share Index [6][18] - Year-to-date, this strategy has achieved an absolute return of 22.14% and a relative excess return of 1.22% [6][18] - The strategy's holdings are primarily in the oil, petrochemical, and telecommunications sectors, indicating a focus on specific industries [6][18] Group 5 - The sentiment price-volume strategy's top 50 portfolio had an absolute return of -2.52% in November, with a relative excess return of -0.25% compared to the CSI All Share Index [6][16] - The top 100 portfolio recorded an absolute return of -4.41%, with a relative excess return of -2.18% [6][16] - This strategy's holdings are mainly in the electronics, machinery, and automotive sectors, reflecting its targeted investment approach [6][16] Group 6 - The Sci-Tech Innovation Board strategy achieved an absolute return of -0.75% in November, with a relative excess return of 5.86% compared to the CSI All Share Index [7][16] - Year-to-date, this strategy has recorded an impressive absolute return of 75.29% and a relative excess return of 30.62% [7][16] - The strategy's holdings are primarily concentrated in the electronics industry, showcasing its focus on high-growth sectors [7][16]

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证券研究报告 | 2025年12月01日 主动量化策略周报 CANSLIM 行业轮动策略 12 月配置建议： 关注钢铁、银行、建筑、公用事业、电新等行业 核心观点 金融工程周报 本报告对 CANSLIM 行业轮动策略的样本外表现进行跟踪，从多个维度解析 行业景气度情况并最终给出月度行业配置建议，以供投资者参考。 行业轮动因子表现 上月以来（20251103-20251128），超大单资金净流入金额占比和券商金股 行业变动因子表现较好，SUE、PB 和单季度 ROE 增速因子表现较差； 今年以来（20250102-20251128），公募重仓股动量、SUE 和分析师认可 度和因子表现较好，而成交量调节动量、公募基金持仓行业变动和超大单资 金净流入金额占比因子表现较差。 上月组合绩效回顾 上月以来（20251103-20251128），行业轮动组合收益率-1.09%，同期中 信一级行业等权指数收益率-1.16%，组合超额收益率 0.08%。 今年以来（20250102-20251031），行业轮动组合收益率 20.48%，同期中 信一级行业等权指数收益率 20.20%，组合超额收益率 0.28%。 本月组合推荐情 ...

- The report highlights that in November 2025, the top-performing factors in the broker's gold stock pool were total market capitalization, single-quarter revenue surprise, and SUR, while factors like intraday return, analyst net upgrade magnitude, and analyst net upgrade ratio performed poorly[3][26] - For the year 2025, the best-performing factors were total market capitalization, single-quarter revenue growth, and SUR, whereas EPTTM, expected dividend yield, and BP underperformed[3][26] - The broker's gold stock performance enhancement portfolio achieved an absolute return of -1.06% for the month (20251103-20251128) and an excess return of 1.39% relative to the mixed equity fund index[5][41] - For the year (20250102-20251128), the portfolio achieved an absolute return of 33.65% and an excess return of 4.42% relative to the mixed equity fund index, ranking in the 35.37% percentile among active equity funds[5][41] - The broker's gold stock performance enhancement portfolio has consistently outperformed the mixed equity fund index from 2018 to 2022, ranking in the top 30% of active equity funds each year[12][37][43]

证券研究报告 | 2025年12月01日 主动量化策略周报 CANSLIM 行业轮动策略 12 月配置建议： 关注钢铁、银行、建筑、公用事业、电新等行业 本报告对 CANSLIM 行业轮动策略的样本外表现进行跟踪，从多个维度解析 行业景气度情况并最终给出月度行业配置建议，以供投资者参考。 行业轮动因子表现 上月以来（20251103-20251128），超大单资金净流入金额占比和券商金股 行业变动因子表现较好，SUE、PB 和单季度 ROE 增速因子表现较差； 今年以来（20250102-20251128），公募重仓股动量、SUE 和分析师认可 度和因子表现较好，而成交量调节动量、公募基金持仓行业变动和超大单资 金净流入金额占比因子表现较差。 上月组合绩效回顾 上月以来（20251103-20251128），行业轮动组合收益率-1.09%，同期中 信一级行业等权指数收益率-1.16%，组合超额收益率 0.08%。 今年以来（20250102-20251031），行业轮动组合收益率 20.48%，同期中 信一级行业等权指数收益率 20.20%，组合超额收益率 0.28%。 本月组合推荐情况 我们借鉴 CANSL ...

Group 1 - The core viewpoint of the article highlights the significant growth of index investment, with the scale of stock ETFs reaching 4.11 trillion yuan by Q3 2025, while the total scale of passive index funds (including ETFs) reached 4.44 trillion yuan [2][6] - The number of passive index funds tracking A-share stock indices has increased to 1,521, with 56 indices having a tracking scale exceeding 10 billion yuan as of November 28, 2025 [5][6] - Major indices with the largest tracking scales include the CSI 300 at 1,181.33 billion yuan, the CSI A500 at 195.35 billion yuan, and the SSE 50 at 188.34 billion yuan [7] Group 2 - The article discusses the impact of index component stock adjustments, which are conducted biannually by index companies, potentially creating trading opportunities due to significant changes in component stocks [6][8] - The methodology for measuring the impact of these adjustments includes calculating the net adjustment scale for individual stocks based on their buy and sell volumes across different indices [9][10] - Stocks expected to see significant net buying include Shenghong Technology, Dongshan Precision, and Guangqi Technology, with projected net buying scales of 4.865 billion yuan, 4.791 billion yuan, and 3.487 billion yuan respectively [10][11] Group 3 - The article identifies stocks with a projected net selling scale exceeding 5 billion yuan, including Yangguang Electric Power, Zhongji Xuchuang, and Hanwha Technology, with expected net selling scales of 5.679 billion yuan, 3.898 billion yuan, and 3.125 billion yuan respectively [12][13] - Stocks with high impact coefficients, indicating significant potential market impact due to adjustments, include Taipai Group, Jiangzhong Pharmaceutical, and Shandong Power, with coefficients of 8.69, 8.44, and 6.99 respectively [11][12]