有色、钢铁行业 行业研究 | 行业周报 重视稀土产业链的供给侧逻辑 ——有色钢铁行业周观点（2025 年第 23 周） 核心观点 投资建议与投资标的 风险提示 国内宏观经济增速放缓；美国通胀增速放缓；原材料价格波动 国家/地区 中国 行业 有色、钢铁行业 报告发布日期 2025 年 06 月 08 日 看好（维持） 刘洋 021-63325888*6084 liuyang3@orientsec.com.cn 执业证书编号：S0860520010002 香港证监会牌照：BTB487 | 美债危机叠加关税冲击，关注黄金板块的 | 2025-06-03 | | --- | --- | | 投 资 机 会 ： — — 有 色 钢 铁 行 业 周 观 点 | | | （2025 年第 22 周） | | | 积极关注稀土等战略金属板块的投资机 | 2025-05-18 | | 会：——有色钢铁行业周观点（2025 年第 | | | 20 周） | | | 铁矿价格出现明显松动，继续关注钢铁板 | 2025-05-11 | | 块的投资机会：——有色钢铁行业周观点 | | | （2025 年第 19 周） | | 有关分 ...

Quantitative Models and Factor Construction Quantitative Models and Construction Methods - **Model Name**: MFE (Maximized Factor Exposure) Portfolio - **Model Construction Idea**: The MFE portfolio is designed to maximize single-factor exposure while controlling for constraints such as industry exposure, style exposure, stock weight deviation, and turnover rate[61][62][65] - **Model Construction Process**: The optimization model is as follows: ``` $\begin{array}{ll} max & f^{T}w \\ s.t. & s_{l}\leq X(w-w_{b})\leq s_{h} \\ & h_{l}\leq H(w-w_{b})\leq h_{h} \\ & w_{l}\leq w-w_{b}\leq w_{h} \\ & b_{l}\leq B_{b}w\leq b_{h} \\ & 0\leq w\leq l \\ & 1^{T}w=1 \\ & \Sigma|w-w_{0}|\leq to_{h} \end{array}$ ``` - **Objective Function**: Maximize single-factor exposure, where $f$ represents factor values, and $w$ is the weight vector of stocks in the portfolio - **Constraints**: 1. Style exposure limits: $X$ is the factor exposure matrix, $w_b$ is the benchmark weight vector, $s_l$ and $s_h$ are the lower and upper bounds for style exposure[64] 2. Industry exposure limits: $H$ is the industry exposure matrix, $h_l$ and $h_h$ are the lower and upper bounds for industry exposure[64] 3. Stock weight deviation limits: $w_l$ and $w_h$ are the lower and upper bounds for stock weight deviation[64] 4. Component stock weight limits: $B_b$ is a 0-1 vector indicating whether a stock belongs to the benchmark, $b_l$ and $b_h$ are the lower and upper bounds for component stock weights[64] 5. No short selling and individual stock weight limits[64] 6. Full investment constraint: The sum of weights equals 1[64] 7. Turnover rate constraint: $w_0$ is the previous period's weight, and $to_h$ is the turnover rate upper limit[64] - **Model Evaluation**: The MFE portfolio effectively isolates single-factor performance under realistic constraints, making it a robust tool for factor effectiveness testing[61][65] Model Backtesting Results - **MFE Portfolio Backtesting**: - The MFE portfolio is constructed monthly, and its historical returns are calculated after deducting a 0.3% transaction fee. The results are used to evaluate the effectiveness of factors in specific benchmark indices[65] --- Quantitative Factors and Construction Methods - **Factor Name**: DELTAROE - **Factor Construction Idea**: Measures the change in return on equity (ROE) over a specific period to capture profitability trends[14][19] - **Factor Construction Process**: - Formula: $\text{DELTAROE} = \text{ROE}_{\text{current}} - \text{ROE}_{\text{previous}}$ - Where ROE is calculated as net income divided by average equity[19] - **Factor Evaluation**: DELTAROE is a strong indicator of profitability improvement and has shown consistent positive performance across multiple indices[6][45][49] - **Factor Name**: Standardized Unexpected Earnings (SUE) - **Factor Construction Idea**: Captures the deviation of actual earnings from analyst expectations, standardized by the standard deviation of forecast errors[19] - **Factor Construction Process**: - Formula: $\text{SUE} = \frac{\text{Actual Earnings} - \text{Expected Earnings}}{\text{Standard Deviation of Forecast Errors}}$[19] - **Factor Evaluation**: SUE effectively identifies stocks with unexpected earnings surprises, often leading to significant price movements[6][25][45] - **Factor Name**: Trend - **Factor Construction Idea**: Measures price momentum using exponentially weighted moving averages (EWMA) with different half-lives[14] - **Factor Construction Process**: - Formula: $\text{Trend}_{120} = \frac{\text{EWMA (half-life=20)}}{\text{EWMA (half-life=120)}}$ - Formula: $\text{Trend}_{240} = \frac{\text{EWMA (half-life=20)}}{\text{EWMA (half-life=240)}}$[14] - **Factor Evaluation**: Trend factors capture momentum effects and have shown strong performance in recent weeks[9][11] --- Factor Backtesting Results - **DELTAROE**: - **Performance**: - CSI 300: Weekly return 0.41%, monthly return 1.59%[6][22] - CSI 500: Weekly return 0.95%, monthly return 1.19%[6][26] - CSI 800: Weekly return 1.08%, monthly return 1.62%[6][30] - CSI 1000: Weekly return 1.79%, monthly return 1.54%[6][34] - CSI All Share: Weekly return 1.84%, monthly return 2.41%[6][46] - **SUE**: - **Performance**: - CSI 300: Weekly return 0.30%, monthly return 1.53%[6][22] - CSI 500: Weekly return 1.20%, monthly return 1.59%[6][26] - CSI 800: Weekly return 0.34%, monthly return 0.98%[6][30] - CSI 1000: Weekly return 1.46%, monthly return 2.39%[6][34] - CSI All Share: Weekly return 0.96%, monthly return 1.14%[6][46] - **Trend**: - **Performance**: - Weekly return: 1.15%[9][11] - Monthly return: 4.58%[11] - Annualized return (1 year): 19.73%[11] - Annualized return (10 years): 13.98%[11]

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 110.24 CNY, based on an expected transition from loss to profit by 2025 [2][5]. Core Insights - The company is expected to achieve a significant reduction in quarterly losses, with a focus on expanding its smart driving business and acquiring new customers and products [1][9]. - Revenue and profit forecasts have been adjusted, with projected EPS for 2025-2027 at 0.21, 2.08, and 3.16 CNY respectively, indicating a positive growth trajectory [2][4]. Financial Performance Summary - **Revenue**: The company is projected to generate revenues of 4,678 million CNY in 2023, increasing to 10,206 million CNY by 2027, reflecting a compound annual growth rate (CAGR) of approximately 19.5% [4][12]. - **Net Profit**: The company is expected to transition from a net loss of 217 million CNY in 2023 to a net profit of 379 million CNY by 2027, with significant year-on-year growth rates [4][12]. - **Gross Margin**: The gross margin is expected to stabilize around 24.1% by 2027, after a slight decline in the earlier years due to market competition [4][9]. - **Earnings Per Share (EPS)**: EPS is projected to improve from -1.81 CNY in 2023 to 3.16 CNY in 2027, indicating a strong recovery [4][12]. Business Segment Insights - **Automotive Electronics**: The automotive electronics segment is anticipated to grow significantly, with revenues expected to reach 44.06 billion CNY in 2024, driven by new product launches and customer acquisitions [9]. - **R&D Services**: The R&D services and solutions segment is projected to see a decline in revenue in 2024 but is expected to recover as the company engages with overseas clients [9][12]. Valuation Comparison - The report compares the company's valuation with peers, indicating an average PE ratio of 53 times for comparable companies in 2026, suggesting a premium valuation for the company [2][10].

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 110.24 CNY, based on an expected transition from loss to profit by 2025 [2][5]. Core Insights - The company is expected to achieve a significant reduction in quarterly losses, with a focus on expanding its smart driving business and acquiring new customers and products [1][9]. - Revenue and profit forecasts have been adjusted, with projected EPS for 2025-2027 at 0.21, 2.08, and 3.16 CNY respectively, indicating a positive growth trajectory [2][4]. Financial Performance Summary - **Revenue**: Projected revenues are expected to grow from 4,678 million CNY in 2023 to 10,206 million CNY in 2027, reflecting a compound annual growth rate (CAGR) of approximately 19.5% [4][12]. - **Net Profit**: The company is forecasted to transition from a net loss of 217 million CNY in 2023 to a net profit of 379 million CNY by 2027, with significant year-on-year growth rates [4][12]. - **Gross Margin**: The gross margin is expected to stabilize around 24.1% by 2027, after a slight decline in the earlier years due to market competition [4][9]. - **Earnings Per Share (EPS)**: EPS is projected to improve from a loss of 1.81 CNY in 2023 to a profit of 3.16 CNY by 2027, indicating a strong recovery [4][12]. Business Segment Insights - **Automotive Electronics**: The automotive electronics segment is anticipated to grow significantly, with revenues expected to reach 44.06 billion CNY in 2024, driven by new product launches and customer acquisitions [9]. - **R&D Services**: The R&D services and solutions segment is projected to see a decline in revenue in 2024 but is expected to recover as overseas clients show increased interest in domestic supply chains [9][12].

造纸轻工行业 行业研究 | 行业周报 本周成品纸价格基本稳定 ——造纸产业链数据每周速递（2025/06/06） 核心观点 ⚫ 本周轻工制造行业指数上涨 2.18%，跑赢大盘 1.30pct；造纸子板块上涨 1.78%， 跑赢大盘 0.90pct。本周沪深 300 指数上涨 0.88%，轻工制造(申万)指数上涨 2.18%，跑赢大盘 1.30pct，在 28 个申万一级行业中位列第 8 位；二级行业中，造 纸子板块上涨 1.78%，跑赢大盘 0.90pct。本周轻工四大子板块按涨幅由大到小分别 为文娱用品、家具、造纸和包装印刷板块，分别上涨 5.51%、2.03%、1.78%、 1.21%。 产业链数据跟踪 投资建议与投资标的 ⚫ 文化纸步入行业淡季，浆纸价格下行，推荐林浆纸一体化行业龙头太阳纸业 (002078，买入)。同时建议关注特种纸领军企业仙鹤股份(603733，买入)，中高端 装饰原纸龙头华旺科技(605377，买入)以及食品包装纸细分龙头五洲特纸(605007， 增持)。废纸系纸种方面，展望 2025 年行业新增供给增速明显放缓，整体供需有望 逐步改善，推荐玖龙纸业(02689，买入)、山鹰国际( ...

金融工程 | 动态跟踪 ESG 基金规模突破 8200 亿，首只浮 动费率基金结募 风险提示 报告发布日期 2025 年 06 月 08 日 | | | 杨怡玲 | yangyiling@orientsec.com.cn | | --- | --- | --- | --- | | 研究结论 | | 1111111111 | 执业证书编号：S0860523040002 | | | | 陶文启 | taowenqi@orientsec.com.cn | | ⚫ | 基金市场热点跟踪：1. ESG 基金规模突破 8200 亿：随着全球绿色转型与可持续发 | | 执业证书编号：S0860524080003 | 多只信用债 ETF 纳入回购质押库申请获 批，多只北交所主题基金限购 2025-06-02 卡塔尔投资局受让华夏基金 10%股份，首 批新模式浮动管理费基金获批 2025-05-26 业内首只中证 A500 增强策略 ETF 成立， 近期货币基金密集限购 2025-05-18 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 ...

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 32.47 CNY, based on a projected 2025 PE of 17 times [3][6]. Core Insights - The company's revenue and profit are expected to grow significantly, with projected net profits for 2025, 2026, and 2027 at 828 million, 1.096 billion, and 1.438 billion CNY respectively, reflecting a substantial increase from previous estimates [3][10]. - The company is experiencing strong demand from key customers, which is anticipated to drive continued performance improvements [10]. Financial Performance Summary - Revenue is projected to grow from 2.6 billion CNY in 2023 to 10.363 billion CNY in 2027, with year-on-year growth rates of 87.0%, 62.5%, 42.0%, 33.6%, and 29.2% respectively [5][10]. - The gross margin is expected to remain stable, with slight fluctuations, projected at 27.6% in 2024 and 26.5% in 2027 [5][10]. - The net profit margin is forecasted to improve from 11.9% in 2023 to 13.9% in 2027, indicating enhanced profitability [5][10]. - The company plans to distribute a cash dividend of 1.5 CNY per 10 shares to all shareholders in 2024 [10]. Customer Demand and Capacity Expansion - The company is closely tied to leading domestic brands and new energy vehicle manufacturers, which are expected to see significant sales growth, thereby benefiting the company's performance [10]. - The company is actively expanding its production capacity to meet increasing orders, with plans to establish new production bases in various locations [10].

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 32.47 CNY, based on a projected PE of 17 times for 2025 [3][6]. Core Views - The company's revenue and profit are expected to grow rapidly, with projected net profits for 2025-2027 at 828 million, 1.096 billion, and 1.438 billion CNY respectively, reflecting significant growth compared to previous estimates [3][10]. - Strong demand from core customers is anticipated to drive continued performance improvement, with major clients such as Seres, Li Auto, Geely, and Xpeng showing robust sales growth [10]. - The company is actively expanding its production capacity to meet increasing orders, with plans to establish production bases in multiple locations [10]. Financial Summary - Revenue is projected to grow from 2.6 billion CNY in 2023 to 10.363 billion CNY in 2027, with year-on-year growth rates of 87.0%, 62.5%, 42.0%, 33.6%, and 29.2% respectively [5][10]. - The gross margin is expected to remain stable, with slight fluctuations, projected at 27.6% in 2024 and around 26.5% in 2027 [5][10]. - The net profit margin is forecasted to improve from 11.9% in 2023 to approximately 13.9% in 2027, indicating enhanced profitability [5][10]. - The company plans to distribute a cash dividend of 1.5 CNY per 10 shares to all shareholders in 2024 [10].

金融工程 | 动态跟踪 沪深 300 股指期货: | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IF2506 | 3855.40 | 16.30 | -18.58 | -2.28 | | IF2507 | 3818.00 | 51.04 | -55.98 | -4.94 | | IF2509 | 3783.40 | 61.62 | -90.58 | -28.96 | | IF2512 | 3746.00 | 61.62 | -127.98 | -66.36 | 中证 500 股指期货： | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IC2506 | 5725.40 | 18.75 | -36.68 | -17.93 | | IC2507 | 5655.00 | 42.09 | -107.08 | -64.99 | | IC2509 | 5535.20 | 52.28 | -226.88 | -174.59 | | IC2512 | 5407 ...

投资建议与投资标的 ⚫ 本次 ASCO 大会上国外创新药取得了重要突破，同时国产创新药也展现了强大竞争 力，建议关注具备国际竞争优势的创新药企业，如：三生制药、三生国健、信达生 物、科伦博泰生物-B、映恩生物-B、百利天恒、泽璟制药-U、再鼎医药、荣昌生 物、中国生物制药、和黄医药等。 风险提示 医药生物行业 行业研究 | 深度报告 ASCO 见证国产创新药闪耀全球 ——2025 ASCO 部分重点研究梳理 核心观点 创新药研发失败的风险； 市场竞争加剧的风险； 创新药商业化的风险等。 国家/地区 中国 行业 医药生物行业 报告发布日期 2025 年 06 月 05 日 看好（维持） | 伍云飞 | wuyunfei1@orientsec.com.cn | | --- | --- | | | 执业证书编号：S0860524020001 | | | 香港证监会牌照：BRX199 | | 傅肖依 | fuxiaoyi@orientsec.com.cn | | | 执业证书编号：S0860524080006 | | | | | 创新领航，春华秋实：——医药生物 2024 | 2025-05-06 | | --- | ...