因子表现监控 公募基金指数增强产品表现跟踪 风险提示 量化模型失效风险、 市场极端环境冲击。 杨怡玲 yangyiling@orientsec.com.cn 执业证书编号：S0860523040002 金融工程 | 动态跟踪 研究结论 Growth 风格登顶，EPTTM 一年分位点因 子表现出色 风格表现监控 ——东方因子周报 本周市场正收益风格集中在 Growth 风格上，负收益风格表现在 Size 风格上。 EPTTM 一年分位点是中证全指成分股中，本周表现最好的因子。 | Neural ODE：时序动力系统重构下深度学 | 2025-05-27 | | --- | --- | | 习因子挖掘模型：——因子选股系列之一 | | | 一六 | | | 广发中证全指电力公用事业 ETF 投资价值 | 2025-05-20 | | 分析：——FOF 系列研究之七十五 | | | DFQ-diversify：解决分布外泛化问题的自 | 2025-05-07 | | 监督领域识别与对抗解耦模型：——因子 | | | 选股系列之一一五 | | | FOF 专业买手偏好哪些基金之 2025Q1 季 | 2025-04- ...

尊界 S800 上市 48 小时大定超 2100 辆， 继续关注华为链相关公司 ——汽车行业周报（0526-0601） 核心观点 投资建议与投资标的 从投资策略上看，继续关注华为链整车及汽零，2025 年具备竞争力的自主品牌及在智驾 技术方面领先的新势力企业将继续扩大市场份额；预计部分央国企通过自身改革及加强 对外合作等，实现困境反转。建议持续关注部分汽车行业央国企及人形机器人链、华为 产业链、小米产业链、T 链、智驾产业链公司。 建议关注：上汽集团、江淮汽车、比亚迪、长安汽车、中国重汽、广汽集团、宇通客 车；新泉股份、银轮股份、岱美股份、拓普集团、嵘泰股份、经纬恒润、爱柯迪、沪光 股份、保隆科技、精锻科技、贝斯特、瑞鹄模具、上声电子、双林股份、华阳集团、华 域汽车、伯特利、德赛西威、科博达、星宇股份、三花智控、继峰股份、上海沿浦、福 耀玻璃、浙江荣泰等。 风险提示 宏观经济下行影响汽车需求、上游原材料价格波动影响、车企价格战压力。 汽车与零部件行业 行业研究 | 行业周报 国家/地区 中国 行业 汽车与零部件行业 报告发布日期 2025 年 06 月 02 日 中性（维持） | 姜雪晴 | jiangxue ...

Investment Rating - The report assigns a "Buy" rating for the company, with a target price of 8.60 CNY based on a 20x PE ratio for 2025 [2][6]. Core Views - The company is expected to achieve steady growth in profitability due to the full production of the Guangxi base, falling coal prices, and recovery in industry conditions. Earnings per share are projected to be 0.43 CNY in 2025 and 0.60 CNY in 2026 and 2027 [2][12]. - The Guangxi integrated base is anticipated to significantly enhance the company's competitiveness and profitability stability upon full operation, marking a new development phase for the company [9][39]. - The company is initiating a second round of asset securitization, with plans to acquire a 60% stake in San Aifu, which is expected to lead to the injection of high-quality chemical assets into the listed company [13][49]. Summary by Sections Company Overview - The company has a long history and has evolved into a large chemical group with operations in coal chemical, carbon three, tires, and chemical services across multiple bases in China and Thailand [12][32]. Guangxi Base Development - The Guangxi integrated base, covering approximately 8,000 acres with a total planned investment of about 90 billion CNY, is divided into three phases, with the first two phases already operational and the third phase expected to be completed by the end of 2025 [39][40]. - The base will enable the company to achieve a high level of integration across its coal chemical, carbon three, and chlor-alkali businesses, enhancing overall competitiveness [39][41]. Financial Projections - Revenue is projected to grow from 40.86 billion CNY in 2023 to 47.97 billion CNY in 2027, with a slight decline in 2025 due to market conditions [4]. - The net profit attributable to the parent company is expected to increase from 861 million CNY in 2023 to 1.28 billion CNY in 2026, reflecting a recovery in profitability [4]. Market Position and Valuation - The company has been undervalued with a long-term price-to-book ratio below 1, but the upcoming asset injections and improved market conditions are expected to drive a valuation recovery [9][49]. - The company’s strategic location in Guangxi provides significant advantages in terms of logistics and market access, particularly to the rapidly growing markets in Southeast Asia and South China [45][46].

计算机行业 行业研究 | 动态跟踪 香港《稳定币条例》正式成为法例，行业 生态加速构建 核心观点 事件： 2025 年 5 月 21 日，香港立法会正式通过《稳定币条例草案》（以下简称《草 案》），为稳定币提供了完整的监管框架；5 月 30 日，香港特别行政区政府在宪报刊 登《稳定币条例》，这意味着《稳定币条例》正式成为法例。 投资建议与投资标的 我们认为，香港通过《稳定币条例》并正式成为法例，将对稳定币相关产业链公司 带来更多的投资者关注和未来业务发展机遇，建议关注有望参与其中的数字技术提供 者、支付服务商及积极探索现实世界资产代币化(RWA)的企业。 支付领域，建议关注新大陆(000997，未评级)、新国都(300130，未评级)、拉卡拉 (300773，未评级)。 数字技术领域，建议关注京北方(002987，未评级)、四方精创(300468，未评级)、宇 信科技(300674，未评级)、神州信息(000555，增持)、天阳科技(300872，未评级)。 RWA 相关企业，建议关注朗新集团(300682，买入)。 风险提示 稳定币行业发展不及预期；行业竞争过于激烈风险。 国家/地区 中国 行业 计算机行业 ...

Investment Rating - The report maintains a neutral investment rating for the automotive and parts industry [5] Core Insights - The report emphasizes the importance of continuing to monitor companies within the Huawei supply chain, as well as competitive domestic brands and new forces in intelligent driving technology, which are expected to expand their market share by 2025 [2][14] - The report highlights the successful launch of the ZunJie S800, which achieved over 2,100 pre-orders within 48 hours, indicating strong market interest and potential for becoming a new benchmark in the luxury car segment [12][31] - A new round of promotional activities has been initiated, with companies like BYD offering significant discounts, which may stimulate demand but also intensify competition within the industry [13][24] Summary by Sections Market Performance - The automotive sector experienced a decline of 4.3% this week, underperforming compared to the broader market [17] - The passenger vehicle segment saw a significant drop of 8.93%, while commercial vehicles and automotive sales services showed slight increases [17] Sales Tracking - From May 1 to May 25, the wholesale sales of passenger vehicles reached 1.389 million units, a year-on-year increase of 17%, while retail sales reached 1.358 million units, up 16% year-on-year [24][28] Key Company Updates - The report suggests a focus on several companies, including SAIC Motor, BYD, and Jianghuai Automobile, among others, as potential investment opportunities [15][2] - The report notes that several new models have been launched, including the ZunJie S800 and the Xiaopeng MONA M03, which are expected to contribute positively to their respective companies' sales figures [31][32] Industry Dynamics - The report discusses the competitive landscape, highlighting the impact of price wars and promotional activities on market dynamics, urging companies to adhere to fair competition principles [13][24] - It also mentions the anticipated recovery of certain state-owned enterprises through reforms and collaborations [2][14]

电子行业 行业研究 | 动态跟踪 存储需求回暖，NAND Flash 和 DRAM 价 格上涨持续 核心观点 投资建议与投资标的 ⚫ AI 服务器和 AI 终端有望持续带动存储需求增长，同时叠加国产替代机遇，建议关注 兆易创新、北京君正、复旦微电、德明利、朗科科技、东芯股份、江波龙、佰维存 储、恒烁股份、万润科技、深科技、同有科技、普冉股份、聚辰股份等。 | AI 算力浪涌，PCB 加速升级 | 2025-04-01 | | --- | --- | | 国产芯驱动 Deepseek 一体机，AI 加速赋 | 2025-03-06 | | 能各行各业 | | | AI 大模型提升电视使用体验，智能电视进 | 2025-02-10 | | 入新纪元 | | 风险提示 ⚫ 下游需求增长不及预期；AI 端侧落地不及预期。 国家/地区 中国 行业 电子行业 报告发布日期 2025 年 06 月 02 日 看好（维持） | 蒯剑 | 021-63325888*8514 | | --- | --- | | | kuaijian@orientsec.com.cn | | | 执业证书编号：S0860514050005 | | ...

Quantitative Models and Factor Construction Factor Names and Construction - **Factor Name: EPTTM One-Year Percentile** - **Construction Idea**: Measures the percentile rank of the earnings-to-price ratio (EPTTM) over the past year to capture valuation trends[6][17] - **Construction Process**: - Calculate the earnings-to-price ratio (EPTTM) for each stock - Determine the percentile rank of the current EPTTM relative to its distribution over the past year[17] - **Evaluation**: Demonstrated strong performance in certain indices like CSI 1000 and CSI All Share, indicating its effectiveness in capturing valuation signals[6][33][47] - **Factor Name: Pre-Expected PEG** - **Construction Idea**: Combines price-to-earnings ratio with expected growth rates to evaluate valuation adjusted for growth[17] - **Construction Process**: - Calculate the price-to-earnings ratio (PE) - Divide PE by the expected growth rate of earnings to derive the PEG ratio - Use analyst consensus forecasts for expected growth rates[17] - **Evaluation**: Exhibited strong performance in indices like CSI 800 and CSI 500, suggesting its utility in growth-adjusted valuation analysis[6][29][33] - **Factor Name: Six-Month UMR** - **Construction Idea**: Captures momentum adjusted for risk over a six-month window[17] - **Construction Process**: - Calculate the cumulative return over the past six months - Adjust for risk using a volatility or beta-based measure - Normalize the adjusted return to derive the UMR score[17] - **Evaluation**: Consistently effective across multiple indices, including CSI 500 and CSI 1000, highlighting its robustness in momentum strategies[6][25][33] - **Factor Name: Standardized Unexpected Earnings (SUE)** - **Construction Idea**: Measures the deviation of actual earnings from analyst expectations, standardized by the forecast error[17] - **Construction Process**: - Calculate the difference between actual and expected earnings - Standardize this difference using the standard deviation of forecast errors - Derive the SUE score for each stock[17] - **Evaluation**: Effective in identifying earnings surprises, with strong performance in CSI 500 and CSI All Share indices[6][25][47] Factor Backtesting Results - **EPTTM One-Year Percentile** - CSI 1000: Weekly return of 1.09%, monthly return of 0.83%, annualized return of 5.54%[6][33] - CSI All Share: Weekly return of 1.09%, monthly return of -0.34%, annualized return of -4.16%[6][47] - **Pre-Expected PEG** - CSI 800: Weekly return of 0.66%, monthly return of 2.66%, annualized return of 3.11%[6][29] - CSI 500: Weekly return of 0.27%, monthly return of 1.02%, annualized return of -1.79%[6][25] - **Six-Month UMR** - CSI 500: Weekly return of 0.76%, monthly return of 1.14%, annualized return of -3.98%[6][25] - CSI 1000: Weekly return of 0.32%, monthly return of 0.08%, annualized return of 2.58%[6][33] - **Standardized Unexpected Earnings (SUE)** - CSI 500: Weekly return of 0.55%, monthly return of -0.06%, annualized return of 1.46%[6][25] - CSI All Share: Weekly return of 0.32%, monthly return of -0.46%, annualized return of -4.36%[6][47] MFE Portfolio Construction - **Model Description**: Maximized Factor Exposure (MFE) portfolios are constructed to maximize exposure to a single factor while controlling for constraints such as industry and style exposures, stock weight limits, and turnover[61][62] - **Optimization Formula**: $$ \begin{array}{ll} \max & f^{T}w \\ \text{s.t.} & s_{l} \leq X(w-w_{b}) \leq s_{h} \\ & h_{l} \leq H(w-w_{b}) \leq h_{h} \\ & w_{l} \leq w-w_{b} \leq w_{h} \\ & b_{l} \leq B_{b}w \leq b_{h} \\ & 0 \leq w \leq l \\ & 1^{T}w = 1 \\ & \Sigma|w-w_{0}| \leq to_{h} \end{array} $$ - **Explanation**: The objective function maximizes factor exposure, subject to constraints on style, industry, stock weights, and turnover[61][62] - **Evaluation**: Effective in isolating factor performance under realistic portfolio constraints, providing a robust framework for factor validation[61][65]

Investment Rating - The report assigns a "Buy" rating for the company, with a target price of 8.60 CNY based on a 20x PE ratio for 2025 [2][6]. Core Views - The company's profitability is expected to maintain steady growth due to the full production of the Guangxi base, falling coal prices, and industry recovery [2][9]. - The Guangxi integrated base is anticipated to significantly enhance the company's competitive edge and profitability stability upon full operation [9][39]. - The company is entering a new phase of value re-evaluation driven by improved market focus and asset injection opportunities [9][49]. Financial Forecast and Investment Suggestions - Earnings per share (EPS) are projected to be 0.43 CNY in 2025 and 0.60 CNY in 2026 and 2027 [2]. - Revenue is expected to grow from 40,856 million CNY in 2023 to 47,969 million CNY in 2027, with a slight decline in 2025 [4]. - The net profit attributable to the parent company is forecasted to increase from 861 million CNY in 2023 to 1,283 million CNY in 2027 [4]. Company Overview - The company has developed a diversified chemical business with operations in coal chemical, carbon three, tires, and chemical services across multiple bases in China and Thailand [9][12]. - The Guangxi base, covering approximately 8,000 acres with a total planned investment of about 90 billion CNY, is a key asset for the company [39][40]. Market Position and Competitive Advantage - The Guangxi base is strategically located near key resource import areas, providing a competitive pricing advantage for its products in the southern market compared to the eastern market [45][46]. - The company is expected to benefit from the integration of its coal chemical, carbon three, and chlorine-alkali businesses, enhancing operational efficiency and product offerings [39][41].

计算机行业 行业研究 | 动态跟踪 香港《稳定币条例》正式成为法例，行业 生态加速构建 核心观点 事件： 2025 年 5 月 21 日，香港立法会正式通过《稳定币条例草案》（以下简称《草 案》），为稳定币提供了完整的监管框架；5 月 30 日，香港特别行政区政府在宪报刊 登《稳定币条例》，这意味着《稳定币条例》正式成为法例。 投资建议与投资标的 我们认为，香港通过《稳定币条例》并正式成为法例，将对稳定币相关产业链公司 带来更多的投资者关注和未来业务发展机遇，建议关注有望参与其中的数字技术提供 者、支付服务商及积极探索现实世界资产代币化(RWA)的企业。 支付领域，建议关注新大陆(000997，未评级)、新国都(300130，未评级)、拉卡拉 (300773，未评级)。 数字技术领域，建议关注京北方(002987，未评级)、四方精创(300468，未评级)、宇 信科技(300674，未评级)、神州信息(000555，增持)、天阳科技(300872，未评级)。 RWA 相关企业，建议关注朗新集团(300682，买入)。 风险提示 稳定币行业发展不及预期；行业竞争过于激烈风险。 国家/地区 中国 行业 计算机行业 ...

报告发布日期 2025 年 06 月 02 日 | | | 杨怡玲 | yangyiling@orientsec.com.cn | | --- | --- | --- | --- | | 研究结论 | | 1111111111 | 执业证书编号：S0860523040002 | | | | 邱蕊 | 021-63325888*5091 | | ⚫ | 基金市场热点跟踪：1.多只信用债 ETF 纳入回购质押库申请获批：5 月 29 日晚间， | | qiurui@orientsec.com.cn | | | 信用债 ETF 博时（159396）、上证公司债 ETF(511070）、公司债 ETF（511030） | | 执业证书编号：S0860519020001 | | | 等多只信用债 ETF 纳入回购质押库申请已收到中登审批函。据悉，日前中国结算发 | | 香港证监会牌照：BSW115 | | | 布《关于信用债券交易型开放式指数基金产品试点开展通用质押式回购业务有关事 | 陶文启 | taowenqi@orientsec.com.cn | | | | | 执业证书编号：S0860524080003 | 卡 ...