证券研究报告—策略周报 撰写日期：2025 年 11 月 24 日 策略周报（20251117-20251121） ⚫ 市场流动性概况 R007 由 1.4945%增加至 1.4952%，较前期增加了 0.07 个 bp；DR007 由 1.4673%下降至 1.4408%，较前期减少了 2.65 个 bp。R007 与 DR007 利差较 前期增加了 2.72 个 bp。此外，中美利差在本周减小了 8.81 个 bp。 本周资金净流出金额为401.14亿元，资金净流入较上周减少了235.62 亿元，其中资金供给为 537.87 亿元，资金需求为 939.01 亿元。具体来看， 资金供给增加了 90.52 亿元，其中融资净买入减少了 286.93 亿元，股票分 红增加了 12.35 亿元，股票型 ETF 净申赎增加了 312.68 亿元，股票型基金 与混合基金成立增加了 52.42 亿元；资金需求增加了 326.14 亿元。 ⚫ 行业板块流动性跟踪 本周中信一级行业全部板块下跌，市场风格整体偏弱。综合板块下跌 最为明显，跌幅为 9.47%，同时电力设备及新能源、基础化工等行业亦有小 幅下跌。 从拥挤度排名分位 ...

发布时间：2025-11-24 大盘指数 9000 10000 11000 12000 13000 14000 3000 4000 5000 上证指数 深证成指 2000 3000 6000 7000 中小100 创业板指 行业层面，一级行业全数下跌，银行避险属性凸显。本周申万一 级行业中银行（-0.89%）、传媒（-1.25%）、食品饮料（-1.44%）、国防 军工（-1.72%）和家用电器（-2.30%）跌幅较小，而电力设备（-10.54%）、 综合（-9.18%）、基础化工（-7.47%）、商贸零售（-7.24%）和钢铁（- 6.98%）表现较差。本周 A 股在下跌中前期有过上涨的 AI 产业链、资 源品反内卷、新能源产业链均出现大幅回撤，较为符合 A 股历来结束 上涨后的撤退阶段的行为特点。 资料来源：聚源，中邮证券研究所 研究所 分析师:黄子崟 SAC 登记编号:S1340523090002 Email:huangziyin@cnpsec.com 近期研究报告 《波动仍是市场底色，保持战略定力》 - 2025.11.17 策略观点 市场波动尚未收敛 ⚫ 投资要点 本周 A 股整体大幅下挫。本周主要股 ...

益 量 化 研 究 2025 年 11 月 24 日 价量一致性下降，多指标指向情绪 降温 ——量化择时周报 20251123 相关研究 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 权 量 化 策 略 证 券 研 究 报 告 - ⚫ 市场情绪得分周内冲高回落：截至 11 月 21 日，市场情绪指标数值为 3.8，较上周五的 3.9 小幅降低，情绪出现下滑，从情绪角度来看观点偏空。从所有分项指标分数之和的变 化来看，本周情绪指数综合得分周内快速下降，市场交易活跃度不断走低。 ⚫ 价量共振走弱，市场短期情绪显著降温：本周价量一致性指标周内快速回落，资金关注度 与标的涨幅相关性明显降低，显示市场价量匹配程度下降，情绪快速走低；科创 50 相对 全 A 成交占比继续下滑并下穿布林带下界，反映风险偏好进一步 ...

报告导读： 从技术面来看，Wind全A指数连续一周处于SAR反转点位之下，且两者距离 并未收敛；均线强弱指数表明市场还有一定下行空间；情绪模型显示市场情绪较弱。结 合以上几点，我们认为，市场下周或将维持震荡。 上周（20251117-20251121，后文同）： 上周（20251117-20251121，后文同），上证50指数下跌2.72%，沪深300指数下跌3.77%，中证500指数 下跌5.78%，创业板指下跌6.15%。当前全市场PE（TTM）为21.3倍，处于2005年以来的70.1%分位点。日历效应上，2005年以来，各宽基指数在11月下 半月均表现不佳。 因子拥挤度观察： 低估值因子拥挤度出现下降。小市值因子拥挤度0.39，低估值因子拥挤度-0.69，高盈利因子拥挤度-0.02，高盈利增长因子拥挤度0.05。 行业拥挤度： 有色金属、通信、综合、电力设备和钢铁的行业拥挤度相对较高，基础化工和银行的行业拥挤度上升幅度相对较大。 风险提示： 市场系统性风险、海外市场波动风险、模型误设风险。 报告来源 以上内容节选自国泰海通证券已发布的证券研究报告。 报告名称： 量化择时和拥挤度预警周报（2025112 ...

金融工程 | 证券研究报告 — 周报 2025 年 11 月 7 日 中银量化多策略行业轮动 周报 – 20251106 当前（2025 年 11 月 6 日）中银多策略行业配置系统仓位：非银行金融 （ 10.8%） 、 交 通 运 输 （ 10.1%） 、 基 础 化 工 （ 9.7%） 、 食 品 饮 料 （7.6%）、银行（6.2%）、通信（6.0%）、钢铁（5.9%）、电力设备及 新能源（5.1%）、家电（4.3%）、煤炭（4.1%）、纺织服装（4.0%）、 综 合 （ 4.0% ） 、 国 防 军 工 （ 3.2% ） 、 农 林 牧 渔 （ 3.2% ） 、 医 药 （3.2%）、有色金属（3.0%）、综合金融（3.0%）、机械（3.0%）、电 力及公用事业（1.2%）、石油石化（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》202305 ...

Core Insights - The report indicates that today, five industries experienced net inflows of capital, while 26 industries saw net outflows. The industry with the largest net inflow was electric power equipment, with a net inflow of 1.835 billion yuan and a price change of 2.55% [1][2] - The non-bank financial sector had the largest net outflow, amounting to 5.229 billion yuan, with a price change of 0.55% [1][2] Industry Summary - **Electric Power Equipment**: - Trading volume: 1.0917 billion shares - Change in trading volume: +3.74% - Turnover rate: 4.36% - Net inflow: 1.835 billion yuan [1] - **Automobile**: - Trading volume: 0.8356 billion shares - Change in trading volume: -20.31% - Turnover rate: 3.76% - Net inflow: 1.142 billion yuan [1] - **Non-Bank Financial**: - Trading volume: 0.7931 billion shares - Change in trading volume: +24.22% - Turnover rate: 1.91% - Net outflow: -5.229 billion yuan [2] - **Basic Chemicals**: - Trading volume: 0.6458 billion shares - Change in trading volume: -3.38% - Turnover rate: 2.38% - Net inflow: 0.909 billion yuan [1] - **Public Utilities**: - Trading volume: 0.4969 billion shares - Change in trading volume: -1.11% - Turnover rate: 1.24% - Net inflow: 0.728 billion yuan [1] - **Coal**: - Trading volume: 0.2324 billion shares - Change in trading volume: -10.24% - Turnover rate: 1.78% - Net inflow: 0.368 billion yuan [1] - **Overall Market Trends**: - A total of 26 industries experienced net outflows, indicating a broader trend of capital leaving the market [1][2]

Market Performance Overview - The domestic equity market indices generally rose during the week of September 8 to September 12, 2025, with the CSI 500 increasing by 3.38%, while the bond market experienced a pullback [4] - The electronic, real estate, and agriculture sectors saw the highest gains, whereas the comprehensive, banking, and oil & petrochemical sectors faced the largest declines [4] Fund Product Issuance - A total of 40 new funds were established this week, with a combined issuance of 21.794 billion units. This included 18 equity funds, 13 mixed funds, 6 bond funds, and 3 FOF funds [5] - Overall, 55 new funds were issued across the market, categorized as 21 bond funds, 16 equity funds, 13 mixed funds, 3 FOF funds, 1 REIT, and 1 international (QDII) fund [5] Fund Performance Tracking - Most industry-themed funds, except for the pharmaceutical sector, saw net asset value increases, with TMT-themed funds showing significant gains of 4.63% [6] - The median net asset value change for passive index funds was 1.91%, with chip, information technology, and electronic ETFs performing particularly well [6] ETF Market Tracking - Domestic stock ETFs experienced continued net outflows, particularly in broad-based themes like the STAR Market, while financial real estate and new energy sector ETFs saw significant net inflows [7] - The median return for stock ETFs was 1.93%, with a net outflow of 4.352 billion yuan, while Hong Kong stock ETFs had a median return of 3.09% and a net inflow of 21.168 billion yuan [7] Fund Positioning Monitoring - The estimated positioning of actively managed equity funds increased by 0.3 percentage points compared to the previous week, with increased allocations to non-ferrous metals, basic chemicals, and telecommunications [9] - Conversely, sectors such as pharmaceuticals, national defense, and electronics saw reductions in funding [9] ESG Financial Products Tracking - This week, 23 new green bonds were issued, totaling 17.202 billion yuan, contributing to a cumulative issuance of 4.78 trillion yuan across 4,119 green bonds [10] - The median net asset value changes for ESG funds were 2.10% for actively managed equity funds, 0.94% for passive index funds, and -0.08% for bond funds, with green and low-carbon economy funds performing notably well [10]

Core Viewpoint - The A-share market has shown an upward trend, with the average stock price reaching 26.13 yuan as of September 15, approaching the previous high of 26.27 yuan recorded on September 1 [1] Group 1: Market Overview - The number of low-priced stocks (below 2 yuan) has decreased significantly, with only 24 stocks remaining, a reduction of nearly 27% compared to the end of last year [3][4] - The number of stocks priced below 5 yuan has also declined to 525, down approximately 30% from the end of last year [1] Group 2: Industry Distribution of Low-Priced Stocks - Among the remaining low-priced stocks, the real estate and steel sectors have the highest proportions, accounting for 21% and 13% respectively [3] - The number of low-priced stocks has decreased across seven sectors, with the steel sector seeing a reduction of three stocks, nearly a 50% drop [4] Group 3: Performance of Specific Stocks - As of September 15, 21 stocks have risen above the 2 yuan mark, with Ji Shi Media, ST Xintong, and Xianfeng Holdings leading at 6.14 yuan, 5.97 yuan, and 3.97 yuan respectively [7] - Conversely, 12 stocks have fallen below 2 yuan, with notable declines in stocks like Zitian Tui, *ST Suwu, and *ST Gaohong, which have dropped to below 1 yuan from previous prices of 21.1 yuan, 9.32 yuan, and 3.02 yuan respectively [7] Group 4: High-Priced Stocks Growth - The number of stocks priced above 50 yuan has increased to 570, a growth of nearly 78.7% compared to the end of last year [10] - The number of stocks priced over 100 yuan has reached 142, marking a growth of approximately 97.2% [10] - The electronics sector has the highest average stock price among 31 primary sectors, with other sectors like beauty care and communications also showing strong average prices [10]

Core Viewpoint - The market shows a mixed performance with the Shanghai Composite Index maintaining above the 5-day moving average despite some fluctuations, indicating a positive short-term upward trend [1][3]. Market Overview - The Shanghai Composite Index has surpassed its highest point in the past decade, reaching above 3731 points, while other major indices like CSI 300 and ChiNext still have significant distance to their 2021 peaks [1]. - The current market trend suggests that indices lagging behind, such as CSI 300 and ChiNext, have potential for catch-up gains [1]. Sector Analysis - The technology sector is gaining momentum, driven by various catalysts, including the launch of hydropower projects and advancements in AI and robotics [2]. - Key themes in August include: 1. AI developments showcased at the Artificial Intelligence Conference, indicating potential opportunities in AI-related stocks [2]. 2. The World Robot Conference highlights the ongoing trend of robot integration into daily life, with a shift from humanoid to functional robots, creating opportunities in related sectors [2]. 3. The semiconductor industry is expected to continue its domestic growth, focusing on equipment, wafer manufacturing, materials, and IC design [2]. 4. The military industry anticipates a rebound in orders by 2025, with signs of recovery in various sub-sectors [2]. 5. The innovative drug sector is entering a recovery phase after four years of adjustment, with positive net profit growth expected to continue into 2025 [2]. Market Performance - The market experienced slight fluctuations with the Shanghai Composite Index reaching new highs before a minor pullback, while the STAR Market saw a decline of over 1% [3]. - Sector performance was mixed, with leading sectors including agriculture, beauty care, basic chemicals, media, and retail, while lagging sectors included pharmaceuticals, non-bank financials, steel, defense, and communications [3].

Summary of Key Points Core Viewpoint - The Social Security Fund has shown significant activity in the stock market during the second quarter, with a total of 259 stocks appearing in the top ten circulating shareholders list, indicating a strategic investment approach by the fund [1][2]. Group 1: Shareholding Changes - The Social Security Fund has a total holding of 4.39 billion shares, with a market value of 79.31 billion yuan at the end of the quarter [1]. - There were 53 new entries and 70 increased holdings among the stocks held by the fund, while 82 stocks saw a reduction in holdings [1]. - The top holdings by the fund include Changshu Bank with 206.47 million shares, followed by Vanadium Titanium Shares and Sany Heavy Industry with 180 million and 171.39 million shares, respectively [1][2]. Group 2: Performance of Held Stocks - Among the stocks held, 161 companies reported a year-on-year increase in net profit, with the highest growth seen in Rongzhi Rixin at 14.24 million yuan, marking a 2063.42% increase [2]. - The average increase in the stock prices of the Social Security Fund's major holdings since July is 17.74%, outperforming the Shanghai Composite Index [2]. - Notable performers include Yingweike with a cumulative increase of 129.22%, followed by Dayuan Pump Industry and Guomai Culture with increases of 118.00% and 93.48%, respectively [2]. Group 3: Sector Distribution - The stocks held by the Social Security Fund are primarily concentrated in the pharmaceutical and biological, basic chemical, and machinery equipment sectors, with 36, 29, and 25 stocks in these categories, respectively [2]. - The distribution of holdings includes 182 stocks from the main board, 46 from the ChiNext board, and 31 from the Sci-Tech Innovation board [2].