相关报告： 【山证非银行金融】券商并购重组再获 新进展，关注板块投资价值-【山证非银】 行 业 周 报 （ 20251117-20251121 ） 2025.11.26 【山证非银行金融】提升资本市场内在 稳定性，券商基本面持续向好-【山证非 银】行业周报（20251110-20251114）： 2025.11.18 分析师： 彭皓辰 执业登记编码：S0760525060001 邮箱：penghaochen@sxzq.com 刘丽 执业登记编码：S0760511050001 电话：0351--8686985 邮箱：liuli2@sxzq.com 孙田田 执业登记编码：S0760518030001 电话：0351-8686900 2025 年 12 月 3 日 行业研究/行业周报 非银行金融行业近一年市场表现 资料来源：最闻 非银行金融 行业周报（20251124-20251130） 领先大市-A(维持)) 监管持续完善，商业不动产 REITs 启动 投资要点 监管持续完善。中国证监会 11 月 28 日宣布，为进一步规范证 券期货市场监督管理措施的实施程序，研究起草了《证券期货市场 监督管理措施实施办法（征求 ...

本报讯 （记者袁传玺）天眼查工商信息显示，近日，信银金融资产投资有限公司成立，注册资本100亿 元，经营范围为非银行金融业务。股东信息显示，该公司由中信银行（601998）（601998）全资持股。 ...

- 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]

美联储鲍曼：非银行机构在放贷市场的份额不断提升。 来源：滚动播报 ...

Core Insights - The report suggests focusing on the financial, non-ferrous metals, electronics, and machinery sectors for December [1] - The value-growth rotation strategy has a composite score of 5, indicating a higher score for growth style as of November 30, 2025 [3][6] - The small-cap style has a higher score in the size rotation strategy, with a composite score of 4 [8] Style Rotation Insights - The large-cap stocks are more sensitive to economic prosperity, while growth stocks benefit more from liquidity easing [3][6] - The value-growth rotation strategy yielded a growth index return of -2.85% and a value index return of 0.35% in November 2025 [6] - The size rotation strategy showed a return of -2.46% for the CSI 300 and -2.30% for the CSI 1000 in November 2025 [8] Industry Rotation Insights - The report constructs a four-dimensional engine with macro, fundamental, technical, and crowding indicators for industry index rotation [11] - The top five industries for December based on the industry rotation composite score are banking, electronics, machinery, non-ferrous metals, and non-bank financials [3][23] - The bottom five industries are coal, real estate, construction, oil and petrochemicals, and textiles and apparel [3][23] Macro Indicators - The macroeconomic growth dimension is in the "expansion strengthening/recession alleviation" phase, while the liquidity dimension is in the "easing intensification/tightening slowdown" phase as of November 30, 2025 [13] - The report recommends allocating to the large financial and midstream manufacturing sectors based on these macro indicators [13] Fundamental Indicators - The top five industries based on fundamental indicators are non-bank financials, non-ferrous metals, electronics, telecommunications, and electric equipment and new energy [17] - The bottom five industries based on fundamental indicators are real estate, coal, construction, agriculture, forestry, animal husbandry, and textiles and apparel [17] Technical Indicators - The top five industries based on technical indicators are electronics, banking, telecommunications, non-ferrous metals, and machinery [18] - The bottom five industries based on technical indicators are coal, construction, food and beverage, oil and petrochemicals, and real estate [18] Crowding Indicators - The industries with high crowding indicators include basic chemicals, electric equipment and new energy, agriculture, real estate, and textiles and apparel [22] - The industries with low crowding indicators are machinery, non-bank financials, automobiles, computers, and food and beverage [22]

Strategy Logic - The report introduces the "Shouzheng Chuq" investment sentiment indicator, which aims to identify potential investment opportunities in the A-share market by analyzing industry rotation phenomena [1][5] - The strategy combines three main dimensions: investment sentiment, volume-price indicators, and analyst expectations, resulting in 12 detailed industry rotation indicators [1][5] - The investment sentiment indicator utilizes market data and alternative data to create positive and negative screening factors, capturing market momentum and sentiment [5][6] Strategy Performance - In November, the overall industry benchmark return was -0.95%, while the "Shouzheng Chuq" sentiment indicator long portfolio returned -1.24% [2][6] - The combined "Expectation Resonance" model long portfolio achieved a return of 0.98%, resulting in an excess return of 1.93% [2][6] - Year-to-date, the "Shouzheng Chuq" sentiment indicator long portfolio has shown robust performance with a return of 30.29% and an excess return of 8.05% [2][12] Latest Recommendations - The top recommended industries based on the latest data include non-bank financials, automotive, food and beverage, home appliances, transportation, and banking according to the "Shouzheng Chuq" model [3][21] - The "Expectation Resonance" model ranks non-bank financials, banking, home appliances, transportation, automotive, and electronics as the leading industries [3][21] - Detailed scores for recommended industries and corresponding ETFs are provided, indicating strong performance in non-bank financials and home appliances [21][22]

金融工程 | 证券研究报告 — 周报 2025 年 11 月 30 日 中银量化多策略行业轮动 周报 – 20251127 当前（2025 年 11 月 27 日）中银多策略行业配置系统仓位：非银行金融 （11.5%）、交通运输（9.9%）、通信（8.8%）、基础化工（8.1%）、食 品饮料（7.9%）、有色金属（6.9%）、银行（6.4%）、家电（4.4%）、 纺织服装（4.2%）、综合（4.0%）、钢铁（4.0%）、煤炭（3.9%）、农 林牧渔（3.3%）、国防军工（3.2%）、医药（3.2%）、电力设备及新能 源（3.1%）、机械（1.8%）、电子（1.8%）、石油石化（1.2%）、电力 及公用事业（1.2%）、建筑（1.2%）。 相关研究报告 《中银证券量化行业轮动系列（七）：如何把 握市场"未证伪情绪"构建行业动量策略》 20220917 《中银证券量化行业轮动系列（八）："估值泡 沫保护"的高景气行业轮动策略》20221018 《中银证券宏观基本面行业轮动新框架：对传 统自上而下资产配置困境的破局》20230518 《中银证券量化行业轮动系列（九）：长期反 转-中期动量-低拥挤"行业轮动策略》20 ...

Group 1 - The report emphasizes the positioning of the ChiNext board as focusing on "three innovations and four new" initiatives, supporting innovative and high-growth SMEs since its inception, with a total of 1,390 listed stocks and a market capitalization of 16.49 trillion RMB as of November 21, 2025 [10][12][51] - Continuous policy support has led to a high concentration of specialized and innovative "little giant" companies, with 1,117 such companies listed, of which 420 are on the ChiNext board, accounting for 37.60% of the total [20][51] - Institutional funds have shown high interest, with the total market value of actively managed equity funds holding ChiNext component stocks increasing, maintaining a share of over 17% in recent years [24][51] Group 2 - The ChiNext Composite Index (399102.SZ) encompasses all stocks listed on the ChiNext board, reflecting the overall price changes and market trends [52] - The average market capitalization of the ChiNext Composite Index is 13.034 billion RMB, significantly lower than that of the ChiNext Index and ChiNext 50, with 26.44% of its component stocks having a market cap of less than 10 billion RMB [31][52] - The industry concentration of the ChiNext Composite Index is low, with a balanced allocation across high-growth sectors such as new energy, electronics, pharmaceuticals, and computing [34][52] Group 3 - The valuation of the ChiNext Composite Index is at a low level, with a price-to-earnings ratio of 62.64 and a price-to-book ratio of 4.04, both below historical median levels [38][52] - The expected compound annual growth rate of net profit for the ChiNext Composite Index over the next two years is 39.92%, outperforming the ChiNext Index and ChiNext 50 [40][52] - The index has a strong risk-return profile, with an annualized return of 8.99% and a Sharpe ratio of 0.44, indicating a favorable risk-return balance compared to the ChiNext Index and ChiNext 50 [45][53]

Group 1 - The public fund investment strategy shows robust growth in both scale and number, with active equity funds achieving an average return of 29.69% in 2025, outperforming major indices [2][23][27] - The top three sectors for active equity fund holdings are technology, manufacturing, and cyclical industries, indicating a strong focus on growth-oriented sectors [2][28] - The market outlook for 2026 suggests continued structural opportunities in A-shares, with technology growth remaining a key theme, while Hong Kong stocks are seen as undervalued [2][3] Group 2 - The index fund market has reached a historical high in both scale and number, with total assets amounting to 6.14 trillion yuan, reflecting a significant increase of 32.27% from the previous year [2][37][40] - The ETF segment dominates the index fund market, accounting for 76.10% of total assets, with a notable increase in industry-themed ETFs [2][38][40] - The performance of thematic funds, particularly in technology, has been outstanding, with technology-themed funds achieving an average return of 44.06% in 2025 [2][27][28]

Core Viewpoint - The former chief professional of China Three Gorges Financial Co., Cheng Zhiming, has been expelled from the Party and public office due to serious violations of discipline and law [1][2]. Group 1: Violations and Investigations - Cheng Zhiming was found to have lost his ideals and beliefs, acted disloyally to the Party, colluded with others, and resisted organizational investigations [2]. - He violated the spirit of the Central Eight Regulations and integrity discipline by accepting gifts, consumption cards, and attending banquets that could influence his official duties [2]. - Cheng was involved in providing assistance in employee recruitment in exchange for financial benefits, organized gambling activities among subordinates, and engaged in power-for-money transactions, leading to significant losses of state assets [2]. Group 2: Disciplinary Actions - The Central Commission for Discipline Inspection and the National Supervisory Commission decided to expel Cheng from the Party and public office, and confiscate his illegal gains [2]. - His case has been transferred to the prosecutorial authorities for legal review and prosecution [2]. Group 3: Background Information - Cheng Zhiming, born in March 1968, held a graduate degree and was a senior economist with extensive experience in various leadership roles within China Three Gorges Corporation [3]. - He served as the chairman of China Three Gorges Financial Co. and was previously a board member of Funiu Co., which he resigned from due to job changes [3]. - The company, established in 1997, aims to enhance the centralized management of funds and improve the efficiency of fund usage for the Three Gorges Group, with a registered capital of 7.5 billion yuan [3][4].