分红对期指的影响 20250613 研究结论 | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IH2506 | 2665.20 | 3.70 | -11.23 | -7.53 | | IH2507 | 2626.00 | 46.89 | -50.43 | -3.55 | | IH2509 | 2620.20 | 51.59 | -56.23 | -4.64 | | IH2512 | 2616.20 | 51.59 | -60.23 | -8.64 | 沪深 300 股指期货: | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IF2506 | 3856.40 | 4.71 | -7.78 | -3.07 | | IF2507 | 3813.00 | 42.48 | -51.18 | -8.70 | | IF2509 | 3784.00 | 53.34 | -80.18 | -26.84 | | IF2512 | 3752.40 | 53.34 | ...

宏观经济 | 动态跟踪 出口并未失速，且后续新出口订单仍值得 期待——5 月进出口点评 研究结论 2025 年 6 月 9 日海关总署公布进出口数据，2025 年 5 月当月出口同比增长 4.8%（前值 为 8.1%，若未特别说明，后文括号中也均代表前值，全文增速均以美元计），进口为- 3.4%（-0.2%）。 风险提示 ⚫ 美国进口需求超预期回落；假设条件变化影响测算结果。 报告发布日期 2025 年 06 月 12 日 | 孙国翔 | sunguoxiang@orientsec.com.cn | | --- | --- | | | 执业证书编号：S0860523080009 | | 孙金霞 | 021-63325888*7590 | | | sunjinxia@orientsec.com.cn | | | 执业证书编号：S0860515070001 | | 曹靖楠 | 021-63325888*3046 | | | caojingnan@orientsec.com.cn | | | 执业证书编号：S0860520010001 | | 陈至奕 | 021-63325888*6044 | | | chenzh ...

Quantitative Models and Construction Methods - **Model Name**: Carhart Four-Factor Model **Construction Idea**: Incorporates momentum factor into the Fama-French three-factor model to capture the "stronger gets stronger" phenomenon in stock markets[14] **Construction Process**: Formula: $ R_{p}-r_{f}\!\sim\!\!\alpha+\beta_{1}(R_{M}-r_{f})+\beta_{2}(R_{M}-r_{f})^{2}+\beta_{3}S M B+\beta_{4}H M L+\varepsilon_{p} $ - $R_{p}-r_{f}$ represents excess return of the portfolio relative to the risk-free rate - $R_{M}-r_{f}$ represents market excess return - $SMB$ and $HML$ represent size and value premiums respectively[28][30] **Evaluation**: Widely applicable across various asset classes, but its effectiveness in predicting future returns in A-shares is limited due to strong short-term reversal effects[14][17] - **Model Name**: Industry-Stripped Alpha Momentum **Construction Idea**: Removes market and industry beta risks to isolate alpha returns for momentum factor construction[47] **Construction Process**: Formula: $ R_{p}-r_{f}{\sim}\alpha+\beta_{1}(R_{M}-r_{f})+\beta_{2}(R_{M}-r_{f})^{2}+\sum_{i=1}^{11}\beta_{2+i}\,l n d_{i}+\varepsilon_{p} $ - Adds industry index returns ($ln d_{i}$) to the regression model to strip industry beta risks[51] **Evaluation**: Improves stability compared to traditional momentum factors but shows weaker positive selection effects since 2019[52][53] - **Model Name**: Low-Diversification Momentum **Construction Idea**: Identifies dates with low fund diversification to reduce beta risk interference and enhance predictive power[5][56] **Construction Process**: - Groups fund daily returns by diversification levels (using standard deviation of returns) - Constructs three sub-factors: low-diversification return factor, sorting momentum factor, and Sharpe ratio factor - Combines these sub-factors equally to form the low-diversification momentum factor[65][93] **Evaluation**: Demonstrates strong predictive power with low correlation to traditional momentum factors, indicating reduced beta risk interference[93][104] Model Backtesting Results - **Carhart Four-Factor Model**: - Rank IC: 6.01% (past 122 days alpha momentum)[31] - Rank ICIR: 0.57 (past 122 days alpha momentum)[31] - Quarterly long-short win rate: 66.67%[31] - **Industry-Stripped Alpha Momentum**: - Rank IC: 7.81% (past 122 days)[53] - Rank ICIR: 0.97 (past 122 days)[53] - Quarterly long-short win rate: 69.92%[53] - **Low-Diversification Momentum**: - Rank IC: 10.10%[93] - Rank ICIR: 1.09[93] - Quarterly long-short win rate: 71%[93] - Annualized long-short return: 10.81%[98] Quantitative Factors and Construction Methods - **Factor Name**: Historical Return Factor **Construction Idea**: Uses past fund returns to predict future performance[19] **Construction Process**: - Calculates returns over different time windows (e.g., past 20, 61, 122 days) - Tests predictive power using Rank IC and Rank ICIR metrics[20][22] **Evaluation**: Short-term returns show weak predictive power; long-term returns improve prediction but remain unstable[22][23] - **Factor Name**: Sharpe Ratio Factor **Construction Idea**: Adjusts fund returns for volatility to improve stability[24] **Construction Process**: - Calculates Sharpe ratios over different time windows (e.g., past 20, 61, 122 days) - Tests predictive power using Rank IC and Rank ICIR metrics[25][26] **Evaluation**: Stability improves compared to historical return factor but fails to address beta risk interference effectively[26][27] - **Factor Name**: Low-Diversification Return Factor **Construction Idea**: Focuses on low-diversification dates to reduce beta risk interference[65] **Construction Process**: - Groups fund daily returns by diversification levels - Uses average returns of the lowest-diversification group as the factor score[65][67] **Evaluation**: Strong predictive power with stable performance across different time windows[67][72] Factor Backtesting Results - **Historical Return Factor**: - Rank IC: 6.44% (past 244 days)[20] - Rank ICIR: 0.54 (past 244 days)[20] - Quarterly long-short win rate: 59.35%[20] - **Sharpe Ratio Factor**: - Rank IC: 6.44% (past 244 days)[25] - Rank ICIR: 0.64 (past 244 days)[25] - Quarterly long-short win rate: 61.79%[25] - **Low-Diversification Return Factor**: - Rank IC: 10.03% (past 3 months)[68] - Rank ICIR: 1.06 (past 3 months)[68] - Quarterly long-short win rate: 69.11%[68]

从产品、渠道及服务再看 PHM 龙头成长潜 力 核心观点 | | 买入 （维持） | | --- | --- | | 股价（2025年06月10日） | 50.38 元 | | 目标价格 | 62.16 元 | | 52 周最高价/最低价 | 59.08/18.58 元 | | 总股本/流通 A 股（万股） | 8,743/8,670 | | A 股市值（百万元） | 4,405 | | 国家/地区 | 中国 | | 行业 | 计算机 | | 报告发布日期 | 2025 年 06 月 11 日 | 盈利预测与投资建议 ⚫ 调整收入增速、毛利率和费用率，我们预测公司 25-27 年的每股收益分别为 1.68、 2.22、2.91 元（原预测 25-26 年每股收益为 1.46/1.93 元），根据可比公司 25 年 PE 水平，给予公司 25 年 37 倍市盈率，对应目标价为 62.16 元，维持买入评级。 风险提示 制造业转型升级不及预期，渠道改革进展不及预期 公司主要财务信息 | | 2023A | 2024A | 2025E | 2026E | 2027E | | --- | --- | --- | -- ...

银行行业 行业研究 | 深度报告 国家/地区 中国 行业 银行行业 报告发布日期 2025 年 06 月 11 日 看好（维持） | 屈俊 | qujun@orientsec.com.cn | | --- | --- | | | 执业证书编号：S0860523060001 | | 于博文 | yubowen1@orientsec.com.cn | | | 执业证书编号：S0860524020002 | 25 年存款增长有何新特征？如何展望存款 脱媒及大行负债稳定性？ 核心观点 投资建议与投资标的 | | | | 存款利率下调呵护银行息差，存款脱媒或 | 2025-05-21 | | --- | --- | | 较为温和 | | | 政府债拉动社融增速提升，低基数下M2增 | 2025-05-14 | | 速明显向上：——4 月金融数据点评 | | | 宽货币落地+公募改革+保险预定利率或进 | 2025-05-12 | | 一步下调，银行有望跑出超额收益：—— | | | 资金维度看银行股投资 | | 有关分析师的申明，见本报告最后部分。其他重要信息披露见分析师申明之后部分，或请与您的投资代表联系。并请阅读本 ...

⚫ 根据之前的年报，我们调整盈利预测并引入 2027 年的盈利预测，预计 2025-2027 年 每股收益分别为 2.86、3.30 和 3.75 元（原 25-26 年为 4.37 和 4.88 元），参考可比 公司，给予 2025 年 22 倍 PE 估值，对应目标价 62.92 元，维持"买入"评级。 风险提示：行业竞争加剧、终端消费需求减弱，金价波动影响终端消费等 公司主要财务信息 | | 2023A | 2024A | 2025E | 2026E | 2027E | | --- | --- | --- | --- | --- | --- | | 营业收入(百万元) | 71,436 | 56,793 | 49,371 | 52,115 | 57,047 | | 同比增长 (%) | 13.4% | -20.5% | -13.1% | 5.6% | 9.5% | | 营业利润(百万元) | 3,968 | 3,423 | 2,618 | 3,018 | 3,424 | | 同比增长 (%) | 31.5% | -13.7% | -23.5% | 15.3% | 13.5% | | 归属母公司净利润(百 ...

老凤祥 600612.SH 公司研究 | 动态跟踪 黄金珠宝板块火热之下关注变化中的老品 牌 核心观点 盈利预测与投资建议 ⚫ 根据之前的年报，我们调整盈利预测并引入 2027 年的盈利预测，预计 2025-2027 年 每股收益分别为 2.86、3.30 和 3.75 元（原 25-26 年为 4.37 和 4.88 元），参考可比 公司，给予 2025 年 22 倍 PE 估值，对应目标价 62.92 元，维持"买入"评级。 风险提示：行业竞争加剧、终端消费需求减弱，金价波动影响终端消费等 短期经营承压，高金价拖累行业景气度 2024-10-31 盈利表现超预期，经营韧性凸显 2024-09-01 24Q1 利润端表现优异，积极尝试与电商平 台合作 2024-05-01 有关分析师的申明，见本报告最后部分。其他重要信息披露见分析师申明之后部分，或请与您的投资代表联系。并请阅读本证券研究报告最后一页的免责申明。 ⚫ 前期业绩回顾：公司 2024 年实现收入 567.9 亿，同比下滑 20.5%，实现归母净利 润 19.5 亿，同比下降 11.9%。25Q1 收入和归母净利润分别同比下滑 31.6%和 23. ...

珀莱雅 603605.SH 公司研究 | 动态跟踪 站在新发展阶段的多品牌美妆龙头 核心观点 盈利预测与投资建议 ⚫ 我们维持对公司的盈利预测，预计公司 2025-2027 年每股收益分别为 4.56、5.36 和 6.06 元，DCF 目标估值 112.78 元，维持"买入"评级。 风险提示：行业竞争加剧、终端消费需求减弱、新品拓展不及预期等 行业竞争加剧、终端消费需求减弱、新品拓展不及预期等 公司主要财务信息 | | 2023A | 2024A | 2025E | 2026E | 2027E | | --- | --- | --- | --- | --- | --- | | 营业收入(百万元) | 8,905 | 10,778 | 12,339 | 14,072 | 15,577 | | 同比增长 (%) | 39.5% | 21.0% | 14.5% | 14.0% | 10.7% | | 营业利润(百万元) | 1,503 | 1,890 | 2,200 | 2,584 | 2,923 | | 同比增长 (%) | 42.1% | 25.8% | 16.4% | 17.5% | 13.1% | | 归 ...

珀莱雅 603605.SH 公司研究 | 动态跟踪 站在新发展阶段的多品牌美妆龙头 核心观点 盈利预测与投资建议 ⚫ 我们维持对公司的盈利预测，预计公司 2025-2027 年每股收益分别为 4.56、5.36 和 6.06 元，DCF 目标估值 112.78 元，维持"买入"评级。 行业竞争加剧、终端消费需求减弱、新品拓展不及预期等 公司主要财务信息 | | 2023A | 2024A | 2025E | 2026E | 2027E | | --- | --- | --- | --- | --- | --- | | 营业收入(百万元) | 8,905 | 10,778 | 12,339 | 14,072 | 15,577 | | 同比增长 (%) | 39.5% | 21.0% | 14.5% | 14.0% | 10.7% | | 营业利润(百万元) | 1,503 | 1,890 | 2,200 | 2,584 | 2,923 | | 同比增长 (%) | 42.1% | 25.8% | 16.4% | 17.5% | 13.1% | | 归属母公司净利润(百万元) | 1,194 | 1,552 | ...

Investment Rating - The report maintains a "Buy" rating for Tianshan Aluminum [3] Core Views - The company is implementing a 1.4 million ton electrolytic aluminum energy efficiency improvement plan, which is expected to enhance its production capacity and long-term cost advantages [6] - The projected earnings per share for 2025-2027 are adjusted to 1.17, 1.37, and 1.58 yuan respectively, with a target price of 9.36 yuan based on an 8x PE valuation for 2025 [2][3] Financial Performance Summary - Revenue is forecasted to decline from 28,975 million yuan in 2023 to 28,089 million yuan in 2024, before increasing to 35,501 million yuan in 2025, representing a growth of 26.4% [2][8] - Operating profit is expected to rise significantly from 2,642 million yuan in 2023 to 5,219 million yuan in 2024, and further to 6,096 million yuan in 2025, indicating a year-on-year growth of 97.6% [2][8] - Net profit attributable to the parent company is projected to increase from 2,205 million yuan in 2023 to 4,455 million yuan in 2024, and to 5,426 million yuan in 2025, reflecting a growth of 102.0% [2][8] - The gross margin is expected to improve from 14.1% in 2023 to 23.3% in 2024, and stabilize around 21.5% to 23.6% in the following years [2][8] Market Position and Competitive Advantage - The company is positioned as a leading player in the electrolytic aluminum industry, benefiting from a significant reduction in energy costs due to falling coal prices [6] - The implementation of advanced energy-saving technologies in the production process is expected to further reduce production costs and enhance operational efficiency [6] - The company has demonstrated strong cash flow generation capabilities, which supports stable dividend distributions [6]