Investment Rating - The report maintains an "Accumulate" rating for the coal mining industry [6]. Core Viewpoints - The turning point for coking coal mine inventories has been observed, leading to a seasonal increase in coal prices. As of June 27, the inventory of raw coal at 523 coking coal mines was 6.835 million tons, a decrease of 179,000 tons week-on-week, marking the first decline since May [1]. - The average closing price of coking coal futures was 847.5 yuan/ton, up 6.6% week-on-week, indicating a positive trend in pricing [1]. - The average price of thermal coal at Qinhuangdao Port was 616 yuan/ton, reflecting a week-on-week increase of 7 yuan/ton (+1.15%) [2]. Summary by Sections Supply and Demand Tracking - The operating rate of 110 sample washing plants was 59.1%, down 2.2 percentage points week-on-week and 9.9 percentage points year-on-year, remaining at a five-year low [3]. - The average daily pig iron output was 2.4234 million tons, unchanged week-on-week and up 1.2% year-on-year [3]. - The outflow of water from the Three Gorges Dam was 17,843 cubic meters per second, an increase of 17.28% week-on-week [3]. Inventory Tracking - As of June 27, coal inventory at Qinhuangdao Port was 5.65 million tons, down 2.25% week-on-week and 5.52% year-on-year, returning to normal levels for the season [4]. - The inventory at independent coking plants was 6.7863 million tons, up 1.95% week-on-week, while the inventory at sample steel mills was 7.8121 million tons, up 0.85% week-on-week [4]. Key Company Profit Forecasts and Valuation - China Shenhua (601088.SH) is forecasted to have an EPS of 2.5 yuan in 2025, with a PE ratio of 16, rated as "Accumulate" [5]. - Shanxi Coking Coal (000983.SZ) is expected to have an EPS of 0.37 yuan in 2025, with a PE ratio of 17, also rated as "Accumulate" [5]. - The report highlights stable profitability for companies with a high proportion of long-term contracts, recommending China Shenhua and China Coal Energy [4].

Group 1 - The investment rating for the real estate development sector is "Buy" for specific companies such as Poly Development, China Merchants Shekou, and Shanghai Lingang, while "Hold" is given to others like New Town Holdings and Binjiang Group [5][29][63] - The report highlights that the real estate sector's beta is currently weak, with significant declines in investment and new construction areas, but structural alpha opportunities are emerging due to regional and urban differentiation [3][56][59] - Key companies in the real estate development sector have shown varying performance, with New Town Holdings and Binjiang Group leading in A-shares, while Jianfa International Group and China Jinmao excelled in H-shares [21][24][29] Group 2 - The investment rating for the property service sector is also "Buy" for companies like China Resources Mixc Life and Greentown Service, while "Hold" is assigned to others [53][63] - The property service sector has shown resilience, with a slight increase in market performance, although it still lags behind the broader indices [45][48] - Key companies in the property service sector, such as Poly Property and China Overseas Property, have demonstrated strong performance in recent months, indicating a positive outlook for the sector [48][53][54]

Investment Rating - The report maintains an "Overweight" rating for the petrochemical industry [6] Core Views - Geopolitical risks in the Middle East have eased, leading to a decline in oil prices, with Brent and WTI crude oil prices reported at $66.34 and $65.07 per barrel respectively, down 12.5% and 12.1% from the previous week [1] - The ongoing geopolitical tensions, particularly regarding Iran's nuclear program and conflicts involving Israel and Palestine, continue to pose significant risks to oil prices [2] - OPEC+ is expected to continue its large-scale production increase plans, with a focus on monitoring the execution of these plans [3] - Potential mergers and acquisitions in the energy sector, particularly the discussions between Shell and BP, could accelerate consolidation in the overseas energy market [4] - The long-term outlook for oil supply and demand remains positive, with a focus on major Chinese oil companies and the oil service sector, as well as chemical product demand recovery driven by macroeconomic factors [5] Summary by Sections Geopolitical Risks - The easing of Middle Eastern geopolitical tensions has resulted in a significant drop in oil prices, returning to levels prior to the Israel-Iran conflict [1] - Despite the ceasefire, the underlying issues related to Iran's nuclear program remain unresolved, indicating ongoing geopolitical risks [2] OPEC+ Production Plans - OPEC+ is preparing to consider further production increases in its upcoming meeting, with a notable increase of 411,000 barrels per day agreed upon by eight member countries [3] Mergers and Acquisitions - Shell is reportedly in preliminary talks to acquire BP, which could lead to the largest energy sector merger since the Exxon-Mobil deal in 1999 [4] Investment Recommendations - The report suggests a continued positive outlook for major Chinese oil companies and oil service firms, as well as for the petrochemical sector driven by recovering demand [5]

Report Industry Investment Rating - There is no information provided regarding the report industry investment rating. Core View of the Report - The discussion on bank liability pressure should clarify the concept, which depends on the scale of the liability gap and the difficulty of filling it, and the liability gap can be measured by regulatory indicators and banks' own demands [1][8]. - The regulatory - indicator - based liability gap is rigid but easy to fill due to the central bank's ample liquidity supply, while the gap based on banks' own demands is flexible but difficult to fill, mainly referring to the demand for deposits [1][8][9]. - Banks' attempts to increase deposit rates to attract deposits due to scale - related concerns lead to an involution - style competition, which reduces the industry's profitability and affects the sustainability of financial support for the real economy and the space for monetary policy [2][11]. - Although the monetary authorities have achieved good results in regulating the deposit and loan market competition order, the involution - style competition caused by scale concerns may resurface, and the root solution lies in abandoning the one - sided pursuit of scale, perhaps by having the board of directors reduce scale - based assessments [3][13]. Summary by Relevant Directory 1. By Bank Liability Pressure - Many investors think that after the new round of deposit rate cuts on May 20, a large amount of deposits flowed to wealth management products, increasing banks' liability pressure [1][8]. - The liability pressure depends on the scale of the liability gap and the difficulty of filling it, and there are two measurement scales: regulatory indicators and banks' own demands [1][8]. - The regulatory - indicator - based liability gap is easy to fill as the central bank has provided ample liquidity, such as a 1 - trillion - yuan reserve requirement ratio cut on May 15, about 0.5 billion yuan of medium - term funds through MLF in May and June, and 1.4 trillion yuan of outright reverse repurchase operations on June 6 and 16 [8]. - The yields of 1Y AAA - grade CDs and 5Y AAA - grade commercial bank financial bonds are at relatively low levels since early May, indicating low demand for funds and easy access to liquidity at low cost for commercial banks [8]. - The gap based on banks' own demands is mainly the demand for deposits, which is difficult to fill as the total deposit scale is relatively fixed [9]. - Banks usually raise deposit rates explicitly or implicitly, but this leads to a zero - sum game, and if other banks follow suit, it may cause a phased increase in deposit rates [2][9][11]. - Banks' desire to increase deposit rates is due to scale concerns, such as not meeting the deposit growth target after the May rate cut, worrying about ranking decline, or wanting to improve their ranking [2][11]. - This involution - style competition also affects the asset side, resulting in an unreasonable decline in loan rates, and overall, it reduces the industry's net interest margin and profit growth [2][11]. - The monetary authorities have regulated the market competition order, but the involution - style competition may resurface, and the root solution is to abandon the one - sided pursuit of scale [3][13].

Quantitative Models and Construction Methods 1. Model Name: Volume Timing Indicator - **Model Construction Idea**: The model uses volume indicators to determine market timing signals, identifying bullish or bearish trends based on trading volume dynamics[12][21] - **Model Construction Process**: 1. Calculate the volume timing signal for major indices 2. Assign "bullish" or "bearish" views based on the volume trend 3. As of June 27, 2025, all indices except the North Exchange 50 showed bullish signals[21][22] - **Model Evaluation**: The model effectively captures market sentiment shifts based on volume trends[21] 2. Model Name: Momentum Sentiment Indicator - **Model Construction Idea**: This model evaluates market sentiment by analyzing the proportion of stocks with positive returns in the past N days, aiming to identify market optimism or overheating[23] - **Model Construction Process**: 1. Calculate the proportion of stocks in the CSI 300 index with positive returns over the past N days $ \text{Proportion} = \frac{\text{Number of stocks with positive returns in N days}}{\text{Total number of stocks in CSI 300}} $ 2. Smooth the indicator using two moving averages with windows N1 and N2 (N1 > N2) 3. Generate signals: - Bullish when the short-term average (fast line) exceeds the long-term average (slow line) - Neutral when the fast line is below the slow line 4. Parameters: N = 230, N1 = 50, N2 = 35[26][27] - **Model Evaluation**: The model is effective in capturing upward opportunities but may miss gains during sustained market exuberance and struggles to predict downturns[23][26] 3. Model Name: Moving Average Sentiment Indicator - **Model Construction Idea**: This model uses an eight-moving-average system to assess market trends and sentiment by comparing the closing price of the CSI 300 index with its moving averages[29] - **Model Construction Process**: 1. Calculate eight moving averages for the CSI 300 index: 8, 13, 21, 34, 55, 89, 144, and 233 days 2. Count the number of moving averages below the current closing price 3. Assign sentiment values: - Positive sentiment if more than five moving averages are below the closing price - Neutral or negative sentiment otherwise 4. Generate signals based on sentiment values[29] - **Model Evaluation**: The model provides a clear relationship between sentiment states and index trends, making it a useful tool for market timing[29] --- Model Backtesting Results 1. Volume Timing Indicator - **Signal**: Bullish for all indices except North Exchange 50, which remains bearish as of June 27, 2025[21][22] 2. Momentum Sentiment Indicator - **Signal**: Fast line rising, slow line declining, maintaining a bullish view for the CSI 300 index[27] 3. Moving Average Sentiment Indicator - **Signal**: CSI 300 index is in a positive sentiment zone as of June 27, 2025[29] --- Quantitative Factors and Construction Methods 1. Factor Name: Cross-Sectional Volatility - **Factor Construction Idea**: Measures the dispersion of stock returns within an index to assess the alpha environment[34] - **Factor Construction Process**: 1. Calculate the cross-sectional volatility of index constituents weekly 2. Compare the current week's volatility with historical averages to determine the alpha environment[34][38] - **Factor Evaluation**: - Short-term alpha environment improved for CSI 300 and CSI 500 but weakened for CSI 1000 in the past week - Over the past quarter, CSI 300 showed a strong alpha environment, while CSI 500 and CSI 1000 were weaker[34][38] 2. Factor Name: Time-Series Volatility - **Factor Construction Idea**: Tracks the volatility of index constituents over time to evaluate market stability and alpha potential[38] - **Factor Construction Process**: 1. Calculate the time-series volatility of index constituents weekly 2. Compare the current week's volatility with historical averages to assess the alpha environment[38][41] - **Factor Evaluation**: - Short-term alpha environment improved for all indices in the past week - Over the past quarter, CSI 300 and CSI 500 showed strong alpha environments, while CSI 1000 was moderate[38][41] --- Factor Backtesting Results 1. Cross-Sectional Volatility - **CSI 300**: - Last week: Increased, indicating improved short-term alpha environment - Quarterly average: 1.65%, in the upper range of the past six months[34][38] - **CSI 500**: - Last week: Increased, indicating improved short-term alpha environment - Quarterly average: 1.88%, in the lower range of the past six months[34][38] - **CSI 1000**: - Last week: Decreased, indicating a weaker short-term alpha environment - Quarterly average: 2.23%, in the middle range of the past six months[34][38] 2. Time-Series Volatility - **CSI 300**: - Last week: Increased, indicating improved short-term alpha environment - Quarterly average: 0.52%, in the upper range of the past six months[38][41] - **CSI 500**: - Last week: Increased, indicating improved short-term alpha environment - Quarterly average: 0.44%, in the upper range of the past six months[38][41] - **CSI 1000**: - Last week: Increased, indicating improved short-term alpha environment - Quarterly average: 0.27%, in the middle range of the past six months[38][41]

Group 1 - The A-share market showed a positive trend in the week, with major indices rising, particularly the ChiNext and CSI 500, while the Shanghai Composite Index lagged behind [1][17] - The market exhibited an "N-shaped" trend in the first half of 2025, with the Shanghai Composite Index increasing by 2.2% from the beginning of the year to June 27 [2][21] - The performance of various industries was notably divergent, with non-ferrous metals and banking sectors showing significant gains of 18.0% and 13.5% respectively, while coal and real estate sectors faced declines of 12.6% and 7.4% [3][31] Group 2 - The A-share market experienced active trading, with an average daily turnover exceeding 1.3 trillion yuan, reflecting a year-on-year increase of 61% [4][46] - The net inflow of funds into stock ETFs reached 1.6 billion yuan during key periods, indicating a recovery in market liquidity [4][49] - The issuance of equity funds rebounded significantly, with over 250 billion yuan issued in the first half of the year, marking a substantial increase compared to the same period last year [4][47] Group 3 - The report highlights three main investment themes: domestic consumption, domestic substitution, and sectors underweight by funds, which are expected to attract attention in the medium to long term [5][65] - The focus on domestic consumption is driven by recent policy initiatives aimed at boosting domestic demand, which is anticipated to enhance the performance of related sectors [5][66] - The domestic substitution theme reflects the potential for certain industries, such as technology and defense, to benefit from reduced reliance on foreign products, although challenges remain in achieving substantial progress [5][67]

1. Report Industry Investment Rating - No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - From June 23 to June 27, 2025, the secondary - market prices of China's listed public REITs showed a downward trend overall, with a weighted REITs index return rate of - 1.22%. Compared with other mainstream asset classes, REITs performed averagely [1][11]. - Two new REITs were listed this week, and the project status of two first - issue REITs was updated [4]. 3. Summary According to Relevant Catalogs 3.1 Secondary Market 3.1.1 Price Trends - **At the large - asset level**: The secondary - market prices of China's listed public REITs declined. The returns of China's public REITs were - 1.22%, lower than those of convertible bonds, US stocks, and A - shares, but higher than those of gold and crude oil [11]. - **At the underlying - asset level**: Both property - right and franchise - right REITs' prices fell, with property - right REITs having a smaller decline. Among different underlying - asset types, transportation infrastructure REITs had the largest decline, while the top three in terms of return rate were affordable housing, energy, and ecological environmental protection REITs [16][18]. - **At the single - REIT level**: After excluding the two newly listed REITs this week, 6 REITs rose and 60 REITs fell. The top three in terms of increase were AVIC Jingneng Photovoltaic REIT, China Resources Commercial REIT, and CICC Shandong Expressway REIT; the top three in terms of decline were China Merchants Nanjing Expressway REIT, Hua'an Waigaoqiao REIT, and Ping An Ningbo Expressway REIT [22]. 3.1.2 Trading Volume and Turnover Rate - **At the underlying - asset level**: The total trading volume of public REITs this week was 2.9 billion yuan, and municipal - facility REITs had the highest average daily turnover rate. The top three in terms of trading volume were transportation infrastructure, affordable housing, and industrial - park infrastructure REITs; the top three in terms of average daily turnover rate were municipal - facility, ecological environmental protection, and industrial - park infrastructure REITs [26]. - **At the single - REIT level**: The trading volume and turnover rate of single REITs continued to show differentiation. The top three in terms of trading volume were Guotai Junan Dongjiu New Economy REIT, CICC Puluosi REIT, and China Merchants China Expressway REIT; the top three in terms of trading amount were China Merchants China Expressway REIT, China Resources Commercial REIT, and Guotai Junan Dongjiu New Economy REIT; the top three in terms of turnover rate were Guotai Junan Jinan Energy Heating REIT, Huatai Suzhou Hengtai Rental Housing REIT, and China Resources Commercial REIT [27]. 3.1.3 Main - Force Net Inflow and Block - Trade Situation - **Main - force net inflow situation**: The total main - force net inflow this week was 81.54 million yuan, indicating a decline in market trading enthusiasm. The top three underlying - asset types in terms of main - force net inflow were consumer infrastructure, industrial - park infrastructure, and energy infrastructure REITs. The top three single REITs in terms of main - force net inflow were China Resources Commercial REIT, Penghua Shenzhen Energy REIT, and China Merchants Heda High - tech REIT [31]. - **Block - trade situation**: The total block - trade amount this week reached 789.97 million yuan, a significant increase compared with last week. Tuesday had the highest single - day block - trade amount. The top three single REITs in terms of block - trade amount were Guotai Junan Urban Investment Kuanting Affordable Housing REIT, CITIC Construction Investment National Energy Investment New Energy REIT, and China Resources Commercial REIT [32]. 3.2 Primary Market 3.2.1 Listed Projects - As of June 27, 2025, there were 68 public REITs in China, with a total issuance scale of 177.061 billion yuan. Transportation infrastructure REITs had the largest issuance scale, followed by industrial - park infrastructure REITs. Two new REITs were listed this week: CICC Yizhuang Industrial Park REIT on June 26 and CICC China Green Development Commercial Asset REIT on June 27 [36]. 3.2.2 Projects to be Listed - There were 28 REITs in the pipeline, including 16 first - issue REITs and 12 REITs for expansion. The project status of "Huaxia Anbo Warehouse Logistics Closed - end Infrastructure Securities Investment Fund" was updated to "declared", and that of "Huaxia Zhonghai Commercial Asset Closed - end Infrastructure Securities Investment Fund" was updated to "accepted" [39].

2025 年 6 月 28 日 总量研究 周内涨幅创年内至今最高 ——可转债周报（2025 年 6 月 23 日至 2025 年 6 月 27 日） 要点 1、市场行情 本周（2025 年 6 月 23 日至 2025 年 6 月 27 日，共 5 个交易日）转债市场显著 上涨，全周中证转债指数涨跌幅为+2.1%（上一交易周为-0.2%），周内涨幅创 年内最高；本周中证全指变动为+3.3%。2025 年开年以来，中证转债涨跌幅为 +6.6%，中证全指数涨跌幅为+3.4%，转债市场表现好于权益市场。 分评级来看，高评级券（评级为 AA+及以上）、中评级券（评级为 AA）、低评 级券（评级为 AA-及以下）本周涨跌幅分别为+1.75%、+2.47%、+2.78%，低 评级券本周涨幅最多。分转债规模看，大规模转债（债券余额大于 50 亿元）、 中规模转债（余额在 5 至 50 亿元之间）、小规模转债（余额小于 5 亿元）本周 涨跌幅分别为+1.95%、+2.23%和+3.05%，小规模转债涨幅最多。分平价来看， 超高平价券（转股价值大于 130 元）、高平价券（转股价值在 110 至 130 元之 间）、中平价券（ ...

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 - **Model Construction Idea**: The PB-ROE-50 model selects stocks based on a combination of Price-to-Book (PB) ratio and Return on Equity (ROE), aiming to capture value and profitability factors[25][26]. - **Model Construction Process**: The model ranks stocks within the China Securities 800 Index (CSI 800) and the broader market based on PB and ROE metrics. Stocks with the best combined scores are selected to form a portfolio of 50 stocks. The portfolio is rebalanced periodically to maintain its factor exposure[25][26]. - **Model Evaluation**: The model demonstrates the ability to generate excess returns over benchmarks, particularly in the CSI 800 and broader market stock pools[25][26]. 2. Model Name: Bulk Transaction Portfolio - **Model Construction Idea**: This model leverages the information embedded in bulk transactions, focusing on stocks with high transaction amounts and low volatility[31]. - **Model Construction Process**: Stocks are selected based on two key metrics: "bulk transaction amount ratio" (higher is better) and "6-day transaction amount volatility" (lower is better). The portfolio is rebalanced monthly to align with these criteria[31]. - **Model Evaluation**: The model effectively captures excess returns by exploiting the "high transaction, low volatility" principle[31]. 3. Model Name: Directed Issuance Portfolio - **Model Construction Idea**: This model identifies investment opportunities in stocks involved in directed issuance events, considering factors like market capitalization and rebalancing cycles[36]. - **Model Construction Process**: Stocks are selected based on their involvement in directed issuance events, with adjustments for market capitalization and portfolio constraints. The portfolio is rebalanced periodically to reflect updated event data[36]. - **Model Evaluation**: The model demonstrates consistent excess returns, indicating the effectiveness of event-driven strategies in the directed issuance space[36]. --- Model Backtesting Results 1. PB-ROE-50 Model - **CSI 500**: Weekly excess return -1.38%, YTD excess return 2.37%, weekly absolute return 2.54%, YTD absolute return 4.84%[26]. - **CSI 800**: Weekly excess return 0.50%, YTD excess return 5.53%, weekly absolute return 2.99%, YTD absolute return 5.92%[26]. - **Broad Market**: Weekly excess return 0.09%, YTD excess return 6.83%, weekly absolute return 3.43%, YTD absolute return 10.50%[26]. 2. Bulk Transaction Portfolio - **Weekly Excess Return**: 1.16% - **YTD Excess Return**: 24.68% - **Weekly Absolute Return**: 4.53% - **YTD Absolute Return**: 28.95%[32]. 3. Directed Issuance Portfolio - **Weekly Excess Return**: 1.05% - **YTD Excess Return**: 9.32% - **Weekly Absolute Return**: 4.42% - **YTD Absolute Return**: 13.07%[37]. --- Quantitative Factors and Construction Methods 1. Factor Name: Beta Factor - **Factor Construction Idea**: Measures a stock's sensitivity to market movements, capturing systematic risk[20]. - **Factor Construction Process**: Calculated as the covariance of a stock's returns with market returns, divided by the variance of market returns. $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ Where \( R_i \) is the stock return and \( R_m \) is the market return[20]. - **Factor Evaluation**: Demonstrates positive returns in the current week, indicating favorable market conditions for high-beta stocks[20]. 2. Factor Name: Liquidity Factor - **Factor Construction Idea**: Captures the ease of trading a stock, with higher liquidity stocks expected to perform better in certain market conditions[20]. - **Factor Construction Process**: Measured using metrics like average daily trading volume or bid-ask spread over a specific period[20]. - **Factor Evaluation**: Generated positive returns this week, reflecting a preference for liquid stocks in the market[20]. 3. Factor Name: Residual Volatility Factor - **Factor Construction Idea**: Measures the idiosyncratic risk of a stock, with lower residual volatility stocks often preferred in risk-averse environments[20]. - **Factor Construction Process**: Calculated as the standard deviation of the residuals from a stock's regression on market returns[20]. - **Factor Evaluation**: Negative returns this week, indicating underperformance of low-volatility stocks[20]. --- Factor Backtesting Results 1. Beta Factor - Weekly return: 1.06%[20]. 2. Liquidity Factor - Weekly return: 0.37%[20]. 3. Residual Volatility Factor - Weekly return: -0.31%[20].

Investment Rating - The report maintains a "Buy" rating for the company, indicating a positive outlook for future performance [4][6]. Core Insights - The company's core business includes the development, manufacturing, and sales of home respiratory devices and cochlear implant components, with expectations for gradual performance improvement in 2025 [2]. - The company has successfully completed the first two phases of its production base in Malaysia, with the third phase expected to be operational by the end of 2025, enhancing its production capacity [3]. - A stock incentive plan has been introduced, reflecting the company's confidence in long-term growth, with performance targets set for 2025-2027 [4]. Summary by Sections Business Performance - The home respiratory device component business is expected to return to normal growth rates in 2024, supported by the Malaysian base potentially mitigating tariff risks [2]. - The revenue from cochlear implant components is showing steady growth, and new product components are experiencing rapid revenue increases [2]. Financial Forecasts - The adjusted net profit forecasts for 2025 and 2026 are 444 million and 539 million yuan, respectively, reflecting a downward revision of 11.6% and 16.0% from previous estimates [4]. - The report projects a net profit of 656 million yuan for 2027, indicating growth potential [4]. Valuation Metrics - The company is positioned as a leader in precision medical device components, with a projected revenue growth rate of 21.13% for 2025 and 20.22% for 2026 [5]. - The estimated P/E ratio for 2025 is 22, with a projected P/B ratio of 2.5, indicating a favorable valuation relative to its growth prospects [5][12].