1、本篇报告观点基于量化模型及客观数据统计，存在模型失效风险。2、基金仓位监 测等模型结果由数理统计方法估算得到，与实际情况可能存在差异。3、测算偏差风 险，市场环境变化可能造成测算数据相较于实际数据偏离。 核心观点 A 股微观结构再平衡进入临界点，我们更倾向于判断本轮回调是量化对冲产品平仓， 结合微观结构再平衡过程达到新一阶段临界点所致，后市回调空间相对有限，后市建 议加仓红利 ETF、化工 ETF。 ❑ 如何理解本轮回调的底层逻辑？ 理解本轮调整的本质：不确定性上升。11 月 20 日美股在英伟达财报超预期催化 下显著高开，但最终反而在没有明显催化的情况下大幅收跌。对于下跌的原因， 主流解释包括：1、美国 9 月非农数据超预期，带来降息预期下修；2、英伟达财 报超预期并未能消除市场对 AI 泡沫的担忧。不过，一方面，当日短端利率反而 下行，市场并未定价降息预期下修，另一方面，即便英伟达财报无法证伪 AI 泡 沫担忧，至少其积极表述也不应加剧抛售。我们认为，本轮调整的本质在于经济 数据缺失带来的不确定性上升。由于 11 月非农数据的公布时间延后至 12 月 16 日，美联储无法在议息会议前获知经济的最新动态 ...

- The report discusses the microstructure rebalancing in the A-share market, highlighting the increased concentration of stock price movements driven by speculative capital inflows since June 2025, which has impacted quantitative products' portfolio construction and risk exposure adjustments[13][23][24] - Quantitative products have adjusted their exposure to micro-cap stocks, initially reducing their holdings to mitigate nonlinear market cap risks, and later increasing allocations to amplify excess returns as speculative capital inflows weakened post-October 2025[13][23][24] - The report emphasizes the Barra style factor performance, noting that fundamental factors such as BP value and investment quality have shown positive returns, while transaction-related factors like short-term momentum have also delivered strong excess returns during the market's recent fluctuations[23][24][25]

Group 1 - Agricultural Bank of China reached a market capitalization of over 3 trillion yuan, becoming the first bank in A-shares to enter the "3 trillion club" [3] - The rise in Agricultural Bank's stock price reflects a broader recovery in bank stock valuations and increased investor interest in high-dividend assets [2][3] - The total scale of dividend ETFs in the market has surpassed 150 billion yuan, with a nearly 50% increase year-to-date [3][11] Group 2 - The Huatai-PB Dividend Low Volatility ETF is the largest dividend ETF in the market, with a scale of 26.402 billion yuan, showing a 73.61% increase in shares year-to-date [6][11] - The average return of dividend ETFs established before 2025 has reached 13.48% this year, with all 39 ETFs achieving positive returns [3][8] - The management fee of Huatai-PB's ETF is significantly higher than its competitors, which may impact its overall dividend yield [8][11] Group 3 - The Hong Kong dividend indices have outperformed, with the Hang Seng Hong Kong Central State-Owned Enterprises Dividend ETF leading with a return of 34.48% year-to-date [9][11] - The dividend yield of the Hong Kong Central State-Owned Enterprises Dividend Index is 5.49%, higher than that of A-share dividend indices [11] - The competition among dividend ETFs is intensifying, leading to a more refined selection process for investors [11]

Core Viewpoint - The market is experiencing an upward trend with the Shanghai Composite Index breaking a 10-year high at 4030.40 points, leading to discussions on whether investors should switch sectors as the year-end approaches [1] Market Trends - The market is currently in a policy vacuum period, with strong sectors like semiconductors, AI, and chips showing lackluster performance recently [1] - Historical patterns indicate that value stocks such as banks, non-bank financials, and food and beverage sectors have a win rate exceeding 70% during the year-end period (November-December) [3] - The banking sector saw a 9.36% increase in December 2024, while technology sectors like computers and electronics gained a 15% increase in January 2023 [3] Sector Performance - The Consumer sector, particularly the liquor segment, has shown strong performance despite pressure from fundamentals after the third-quarter reports [1] - The China Securities Dividend Index tends to perform well before year-end, indicating a potential shift in market focus [1] Investment Strategies - Two key investment tracks are highlighted: 1. **Cyclical Recovery in Undervalued Industries**: Traditional industries are seeing improvements in supply-demand dynamics, with sectors like white goods, engineering machinery, and commercial vehicles being identified as having global competitive advantages [6] 2. **Defensive High-Dividend Strategies**: High-dividend assets are viewed as a stabilizing force in investment portfolios, particularly in uncertain market conditions [10] Fund Performance - The China Securities Major Consumer Index has nearly doubled in size since 2023, with the Huatai-PineBridge China Securities Major Consumer ETF leading with a scale exceeding 20 billion [7] - The demand for long-term dividend investments remains strong, driven by the ongoing asset shortage in the banking sector [11] Index and Fund Recommendations - The S&P Hong Kong Stock Connect Low Volatility Dividend Index and the Hang Seng High Dividend Low Volatility Index are recommended for investors seeking stable growth and risk diversification [12][13]

Core Viewpoint - After the National Day holiday, the A-share market experienced significant fluctuations around the 4000-point mark, leading to challenges for investors who frequently chase trends [1] Group 1: Market Performance - On October 9, the Shanghai Composite Index closed with a strong upward trend, while the ChiNext and STAR Market indices showed long upper shadows, indicating that many funds were reducing positions at high points [1] - From October 10 to November 12, the STAR 50 Index fell by 10.37%, the ChiNext 50 Index decreased by 4.22%, while the Dividend Index rose by 7.99% [9] - The Shanghai Composite Index fluctuated between a low of 3800 points and a high above 4000 points during this period [6] Group 2: Investment Strategy - Investor "Old Wang" anticipated a likely pullback in the dual innovation indices and decided to adjust his positions to mitigate risks, opting not to fully liquidate his holdings in dual innovation stocks [3] - Old Wang reallocated his investments into a mix of 25% STAR 50 ETF, 20% ChiNext 50 ETF, 45% Dividend ETF, and 10% cash reserves [3][4] - This balanced allocation helped Old Wang hedge against the pullback in the dual innovation indices, as his ETF investments mirrored the performance of the underlying indices [9] Group 3: Fund Performance - Historical data indicates that in similar market conditions, the average adjustment period for A-share main lines is about 20 trading days with an average decline of 18% [15] - The top 10 open-end funds by performance this year showed that 9 out of 10 continued to rise in the past month, with the highest increase being 11.30% [15]

Group 1: Report Investment Rating - No information provided Group 2: Core Views - The stock market experiences sector rotation, with funds flowing from the technology sector to the chemical and consumer sectors, and the bond market shows a tendency of oscillating upward [2][3] - In the stock index futures market, it is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style allocation [3][7] - In the stock index options market, it is advisable to continue holding covered positions for additional income [3][8] - In the treasury bond futures market, the bond market is expected to oscillate upward [4][9] Group 3: Summary by Directory 1. Market Views Stock Index Futures - On Monday, the Shanghai Composite Index rebounded in a U - shape, with a rotation to low - lying sectors. High - beta sectors retreated, while value and defensive sectors rose. Due to the policy window period and recent volume contraction, it is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style allocation. The operation suggestion is to hold a long position in the Dividend ETF + IM. [3][7] - The basis points of IF, IH, IC, and IM for the current month are - 8.85, 0.94, - 41, and - 54.45 respectively, changing by - 3.06, 0.49, - 5.09, and - 5.98 points compared to the previous trading day. The inter - period spreads (current month - next month) are 14.2, 0.8, 67, and 87.8 points respectively, with a month - on - month change of 0.6, 0.2, 5.2, and 6.4 points. The positions of IF, IH, IC, and IM change by 10827, 5768, 8841, and - 1747 lots respectively. [7] Stock Index Options - The trading volume of each option variety rebounded slightly but remained at a low - liquidity level since October. The option sentiment index was weak, especially for technology - sector options. Option volatility varied, with the implied volatility of the Science and Technology Innovation 50 ETF option strengthening and that of the CSI 300 stock index option weakening. It is recommended to continue holding covered positions for additional income. [8] Treasury Bond Futures - Most treasury bond futures rose yesterday. The T, TF, TS, and TL main contracts changed by 0.01%, 0.02%, 0.00%, and 0.22% respectively. The central bank's large - scale net injection supported the bond market. In October, the CPI improved, and the core CPI increased significantly. The central bank restarted treasury bond trading, and the short - term factors driving bond yields down were lacking. The stock - bond seesaw effect may weaken, and the restart of treasury bond trading may boost bond market sentiment. The operation suggestions include a trend strategy of oscillating upward, a hedging strategy of paying attention to long - position substitution at high basis levels, a basis strategy of looking for positive spreads and basis widening, and a curve strategy of appropriately paying attention to curve steepening. [4][9] - The trading volumes of T, TF, TS, and TL for the current quarter are 58830, 49109, 24929, and 96097 lots respectively, with a one - day change of 3915, 4624, - 1360, and - 3686 lots. The positions are 231393, 138398, 67365, and 129150 lots respectively, with a one - day change of - 4216, - 4021, - 700, and 1495 lots. The inter - period spreads (current quarter - next quarter) are 0.225, 0.030, 0.052, and 0.250 yuan respectively, with a one - day change of - 0.025, - 0.010, 0, and 0.010 yuan. The cross - variety spreads and basis points also have corresponding changes. [8][9][10] 2. Economic Calendar - The economic data to be released this week includes China's October new RMB loans, social financing scale, M2 money supply annual rate, the US October CPI annual rate, China's October total retail sales of consumer goods annual rate, and China's October industrial added value above designated size annual rate. [12] 3. Important Information and News Tracking - The Asset Management Association of China is soliciting opinions on the "Guidelines for the Management of the Thematic Investment Style of Publicly Offered Securities Investment Funds" to standardize the style drift problem of thematic investment funds. [13] - The State Council General Office issued measures to promote private investment, including expanding access, removing obstacles, and strengthening support. [13] - Two departments issued a guidance on promoting new energy consumption and regulation, with goals set for 2030 and 2035. [13] - China successfully launched the 13th group of low - orbit satellite Internet satellites. [14] - The US Senate reached an agreement to end the federal government shutdown. [15] 4. Derivatives Market Monitoring - The report mentions data monitoring of stock index futures, stock index options, and treasury bond futures, but no specific data content is provided. [16][20][32]

上周（2025/11/3~11/7）市场整体震荡，投资者情绪趋于谨慎。从表现来看，红利类资产作为底仓配置 选项的价值或正持续凸显，市场对红利主题ETF热情踊跃。（数据来源：Wind） Wind数据显示，作为市场首只追踪红利低波指数的红利低波ETF（512890）上周（25/11/3~25/11/7）有 4日实现资金净流入，累计吸金5.74亿元，是同期A股市场上红利类主题ETF中仅有的区间资金净流入超 5亿元的产品，最新基金规模达258.14亿元，创下历史新高。与此同时，另一只聚焦港股红利类资产的 港股通红利ETF（513530）近期交投情绪同样有所升温，自2025年10月30日以来连续7个交易日实现资 金净申购，累计吸金1.75亿元，带动基金规模在连续5个交易日抬升后达23.88亿元，创2025年8月27日以 来新高。（红利低波ETF成立于18/12/19，数据来源：交易所、Wind，截至25/11/7，港股通红利ETF截 至25/10/31、25/11/7的规模分别为21.76亿元、23.88亿元） 此外，低利率环境也成为了推动红利类资产长期配置价值瞩目的主要动因。Wind数据显示，截至2025 年11月7 ...

Core Insights - The recent volatility in the A-share market has led to a focus on style rebalancing, with several well-known balanced fund managers preparing their holdings in advance for the third quarter [1] - Fund managers have indicated that the recent rotation expectations in the market are increasing, with the strength of cyclical sectors reflecting a balance between performance and valuation considerations, making the "barbell strategy" a core approach to balance risk and return [1] What is the "Barbell Strategy" - The "barbell strategy" is a diversified multi-asset allocation approach that incorporates both low-risk and high-risk assets to balance the portfolio's risk and return [2] - This strategy can be visualized as a dumbbell, where one end represents low-risk stable assets and the other end represents high-risk high-return assets, creating a "heavy on both ends, light in the middle" structure [2] Investment Structure and Market Adaptability - This investment structure sacrifices potential returns from mid-risk assets in exchange for resilience in extreme market conditions, allowing investors to respond to black swan events and seek returns in stable markets [3] - Investors should avoid mid-risk assets that lack highlights, such as traditional consumer electronics and homogeneous manufacturing industries [7] Practical Implementation of the Barbell Strategy - In practical terms, investors should select conservative assets on the left end of the barbell, such as high-dividend, low-volatility stocks from sectors like utilities and energy [5] - On the right end, the focus should be on high-growth, high-volatility assets, such as innovative technology and new energy sectors [6] - Historical data shows that the CSI Bank Index and the STAR 50 Index can form a basic barbell strategy, as they exhibit a negative correlation [8][10] Dynamic Weight Adjustment - The barbell strategy does not require equal weight on both ends but should be adjusted based on market conditions and individual risk preferences [10] - In optimistic markets, the aggressive end can be increased to 70%, while in pessimistic markets, the defensive end can be raised to 60% [10] ETF Configuration for the Barbell Strategy - The ETF market offers a variety of options across sectors, broad indices, bonds, and overseas investments, with a simple approach being the combination of stock ETFs and bond ETFs to achieve balance [11] - Recent high-performing ETFs include those focused on technology themes, which have shown returns exceeding 80% in the past year [11] - Defensive tools such as dividend ETFs and bond ETFs can provide stable returns and are essential for liquidity management [11]

Core Viewpoint - The article emphasizes the growing importance of dividend investment strategies in the current economic environment characterized by low interest rates and a focus on high-quality development, positioning dividend assets as a stable choice for investors seeking reliable returns [1][2]. Economic Environment - The continuous decline in interest rates, with the ten-year government bond yield dropping to 1.76% and bank deposit rates falling below 1%, has diminished the appeal of traditional fixed-income products [2]. - The significant yield difference between government bonds and dividend indices, with the latter offering 6-8% dividend yields, is attracting low-risk capital towards dividend assets [2]. Policy Influence - The "14th Five-Year Plan" encourages the introduction of "patient capital," primarily from insurance funds, which favor dividend assets due to their stable cash flow characteristics [3]. - Regulatory policies, such as the "National Nine Articles," are pushing listed companies to increase dividend payouts, with state-owned enterprises' dividends exceeding 370 billion yuan, enhancing the long-term investment value of dividend assets [3]. Types of Dividend ETFs - The article categorizes various types of dividend ETFs, including the classic CSI Dividend ETF, which focuses on high-dividend stocks primarily in traditional sectors like banking and coal, maintaining a stable dividend yield around 6% [4]. - The low-volatility dividend ETF combines high dividend yields with low volatility, appealing to risk-sensitive investors [4]. - The dividend quality ETF emphasizes sustainable profitability and growth, featuring high-quality companies and sectors like consumer goods and pharmaceuticals, albeit with lower dividend yields [5]. Investment Strategy - Dividend ETFs are positioned as defensive assets rather than aggressive growth investments, suitable for turbulent or declining markets but potentially underperforming in bull markets [6]. - Long-term investors are encouraged to reinvest dividends to accumulate more shares, enhancing wealth through compound growth [6]. - The article advises on the importance of timing and valuation awareness, noting that current valuations for dividend indices are high, suggesting caution for new investors [7]. Conclusion - The article underscores the necessity of patience and strategic planning in investing in dividend ETFs, recommending a long-term holding approach and the use of systematic investment strategies to manage market fluctuations [8][9].

Core Viewpoint - The news highlights the recent trading activities of the Hongli ETF (510880), indicating a net sell-off in financing and a decline in the overall financing balance, reflecting a cautious sentiment among investors [1][4]. Financing Activities - On November 4, 2025, the Hongli ETF saw a financing buy-in of 22.97 million yuan and a financing repayment of 24.44 million yuan, resulting in a net financing sell-off of 1.47 million yuan, with a financing balance of 106 million yuan [1]. - The financing balance decreased by 1.25% from the previous day, amounting to 108 million yuan [4]. Margin Trading Activities - On the same day, there were 63,400 shares sold short, with 38,000 shares repaid, leading to a net short sell of 25,400 shares. The remaining short position stood at 631,300 shares [2][3]. - Over the past three trading days, there has been a cumulative net short sell of 89,300 shares, with 11 out of the last 20 trading days showing net short selling activity [2]. Overall Margin Balance - The total margin balance was reported at 108 million yuan, reflecting a decrease of 1.37 million yuan from the previous day [4].