Market Performance - The overall market rose on January 6, 2026, with the CSI 500 index performing well, increasing by 2.13%. The Shanghai Composite Index rose by 1.50%, and the Shenzhen Composite Index increased by 1.40% [1][6] - Among sectors, non-ferrous metals, non-bank financials, defense and military industry, oil and petrochemicals, and basic chemicals showed strong performance with returns of 4.25%, 3.82%, 3.30%, 2.85%, and 2.69% respectively. In contrast, communication, food and beverage, home appliances, banking, and consumer services sectors performed poorly with returns of -0.87%, 0.45%, 0.48%, 0.50%, and 0.61% respectively [1][8] - Concept themes such as stock trading software, titanium dioxide, vanadium-titanium, PTA, and rare metals performed well with returns of 9.18%, 6.09%, 6.02%, 5.81%, and 5.75% respectively, while concepts like optical modules, base stations, optical communication, Google supply chain, and Shein partners performed poorly with returns of -1.85%, -1.13%, -0.92%, -0.91%, and -0.85% respectively [1][11] Market Sentiment - Market sentiment was high on January 6, 2026, with 141 stocks hitting the daily limit up and 2 stocks hitting the limit down. Stocks that were limit up the previous day opened higher and closed with a return of 5.76%, while limit down stocks had a return of 0.26% [2][15][18] - The sealing rate was 83%, up 7% from the previous day, and the consecutive sealing rate was 41%, up 11% from the previous day, indicating a strong market sentiment and a new high for the consecutive sealing rate in nearly a month [2][20] Market Capital Flow - As of January 5, 2026, the margin trading balance was 25,606 billion yuan, with a financing balance of 25,434 billion yuan and a securities lending balance of 172 billion yuan. The margin trading balance accounted for 2.6% of the circulating market value, and margin trading accounted for 11.4% of the market transaction volume [3][25] Premium and Discount - On January 5, 2026, the bank AH preferred ETF had the highest premium at 2.19%, while the Hong Kong-Shenzhen 300 ETF had the highest discount at 1.11%. The average discount rate for block trades over the past six months was 6.66%, with a discount rate of 9.01% on that day [4][30][32] - The annualized discount rates for the main contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 index futures were 0.85%, 3.79%, 11.15%, and 13.61% respectively. On January 6, 2026, the annualized premium rate for the SSE 50 index futures was 0.51%, while the CSI 300 and CSI 500 index futures had annualized discount rates of 1.41% and 1.89% respectively [4][36] Institutional Attention and Rankings - In the past week, the stocks with the most institutional research were Guangliwei, Tianyang Technology, Dingtong Technology, Liugong, Zhumi Group, Puris, Zhongke Jiangnan, and Hengyi Petrochemical, with Guangliwei being researched by 96 institutions [5][37] - On January 6, 2026, the top ten stocks with net inflow from institutional special seats included Liou Shares, Haige Communication, Daoshi Technology, and others, while the top ten stocks with net outflow included Tongyu Communication, Yingliu Shares, and others [5][41][44]

- The provided content does not include any quantitative models or factors, nor their construction, evaluation, or backtesting results

证券研究报告 | 2026年01月06日 市场资金流向：截至 20260105 两融余额为 25606 亿元，其中融资余额 25434 亿元，融券余额 172 亿元。两融余额占流通市值比重为 2.6%，两融 交易占市场成交额比重为 11.4%。 折溢价：20260105 当日 ETF 溢价较多的是银行 AH 优选 ETF，ETF 折价 较多的是沪港深 300ETF。近半年以来大宗交易日均成交金额达到 22 亿元， 20260105 当日大宗交易成交金额为 26 亿元，近半年以来平均折价率 6.66%，当日折价率为 9.01%。近一年以来上证 50、沪深 300、中证 500、 中证 1000 股指期货主力合约的年化贴水率中位数分别为 0.85%、3.79%、 11.15%、13.61%，当日上证 50 股指期货主力合约年化升水率为 0.51%， 处于近一年来 75%分位点，当日沪深 300 股指期货主力合约年化贴水率为 1.41%，处于近一年来 76%分位点；当日中证 500 股指期货主力合约年化贴 水率为 1.89%，处于近一年来 96%分位点；当日中证 1000 股指期货主力合 约年化贴水率为 6.93% ...

Market Performance - Most indices showed an upward trend on December 8, 2025, with the CSI 2000 index performing well, and the CSI 300 Growth Index also showing strong performance [1][2] - The communication, electronics, computer, non-bank financials, and defense industries performed well, while coal, oil and petrochemicals, food and beverage, steel, and electric utilities showed poor performance [1][5] - Concept stocks such as optical modules (CPO), optical chips, optical communications, and base stations performed well, while central enterprise coal, Guizhou state-owned assets, and gold selections performed poorly [1][9] Market Sentiment - At the close on December 8, 2025, there were 78 stocks hitting the daily limit up and 8 stocks hitting the limit down, with limit-up stocks showing a closing gain of 5.10% and limit-down stocks showing a closing loss of -1.87% [11][15] - The sealing rate was 69%, down 7% from the previous day, while the consecutive limit-up rate was 34%, up 6% from the previous day [18] Market Capital Flow - As of December 5, 2025, the margin trading balance was 24,817 billion yuan, with a financing balance of 24,641 billion yuan and a margin balance of 176 billion yuan, representing 2.6% of the circulating market value [21][22][25] Premium and Discount - On December 5, 2025, the satellite ETF had the highest premium at 0.62%, while the Hong Kong-Shenzhen 300 ETF had the highest discount at -0.72% [28] - The average discount rate for block trades over the past six months was 6.47%, with a discount rate of 8.08% on December 5, 2025 [30] Institutional Attention and Rankings - The stocks with the most institutional research in the past week included Canxin Co., Zhaochi Co., and Xinyuan Zhuomei, with Canxin Co. being researched by 63 institutions [36] - On December 8, 2025, the top ten stocks with net inflows from institutional special seats included Xue Ren Group, Ruikang Pharmaceutical, and Changguang Huaxin, while the top ten with net outflows included Guangdong Hongda and Taiyang Cable [40][41]

Group 1: US Stock Market Analysis - The report suggests that the current rebound in the US stock market may be forming a large double top, indicating a potential end to the rally [1][19][25] - From a cyclical perspective, the S&P 500 and Nasdaq 100 are in a downward phase similar to the period around 2008, suggesting comparable risks [1][19][21] - The valuation perspective shows that as of May 16, 2025, the difference between the US 10-year Treasury yield and the inverse of the S&P 500 P/E ratio has risen to 0.68%, indicating lower investment attractiveness in US equities compared to bonds [1][35][37] Group 2: A-Share Market Performance - The A-share market showed a preference for value styles, with strong performances in financial and consumer sectors [2][10][11] - The report highlights that various ETFs, particularly large-cap and value ETFs, outperformed during the week, while TMT-related sectors have not fully recovered from previous lows [2][10][11] - The analysis of industry indices since early April indicates that sectors like retail, banking, and agriculture have recovered well, while technology sectors still have room for recovery [2][10][11] Group 3: Genetic Programming Industry Rotation Model - The genetic programming industry rotation model has achieved an absolute return of 14.64% this year, outperforming the industry equal-weight benchmark by 13.79 percentage points [3][39][40] - The model currently favors sectors such as computers, electronics, machinery, media, and home appliances, while excluding telecommunications [3][39][40] - The model's strategy balances TMT-related growth sectors with traditional industries and consumer-related sectors to maintain a diversified portfolio [3][39][40] Group 4: Absolute Return ETF Simulation - The absolute return ETF simulation portfolio has seen a slight decline of 0.05% last week but has accumulated a total return of 3.70% year-to-date [4][43][44] - The portfolio's asset allocation is based on recent trends, with a balanced focus on resource sectors like steel and non-bank financials, alongside technology sectors [4][43][44] - The current holdings include energy and soybean ETFs, while gold ETFs have been excluded [4][43][44] Group 5: Global Asset Allocation - The global asset allocation simulation currently favors bonds and foreign exchange, with a predicted ranking of future returns showing bonds at the top [47][48] - The simulation has recorded an annualized return of 7.29% with a Sharpe ratio of 1.50, although it has faced a decline of 3.64% year-to-date [47][48] - The strategy emphasizes a higher risk budget for assets such as Chinese and US bonds [47][48]