Quantitative Models and Construction Methods 1. Model Name: Stock Index Futures Timing Model - **Model Construction Idea**: The model uses the basis of stock index futures to reflect market sentiment changes and constructs daily frequency timing signals based on this correlation[7] - **Model Construction Process**: - The model groups and tests the correlation trend between the basis of stock index futures and the index itself - Constructs daily frequency timing signals based on this correlation - As of October 17, 2025, the timing signal based on the basis of the CSI 500 stock index futures remained at 1[31] - **Model Evaluation**: The model effectively captures market sentiment changes and provides timely signals for trading decisions[7] 2. Model Name: Multi-Dimensional Timing Model - **Model Construction Idea**: The model integrates macro, micro, meso, and derivative signals to form a four-dimensional non-linear timing model[33] - **Model Construction Process**: - The A-share market is divided into nine states based on macro, micro, and meso signals, each corresponding to long and short signals to form a three-dimensional large cycle timing signal - On this basis, the derivative signal generated by the basis of stock index futures is superimposed to form a four-dimensional non-linear timing model - The latest composite multi-dimensional timing signal is long (1)[34] - **Model Evaluation**: The model provides a comprehensive view of market conditions by integrating multiple dimensions, enhancing the accuracy of timing signals[33] 3. Model Name: Style Enhancement Model - **Model Construction Idea**: The model enhances returns by adding enhancement factors to the multi-style strategy, suppressing single-style fluctuations, and achieving stable excess returns in different cycles[41] - **Model Construction Process**: - The model is based on the multi-style strategy and adds enhancement factors - It dynamically adjusts the weights of different styles to achieve stable excess returns - As of October 17, 2025, the low volatility enhancement strategy achieved an excess return of 6.05%[42] - **Model Evaluation**: The model effectively enhances returns while controlling risks, providing stable performance across different market cycles[41] Model Backtesting Results Stock Index Futures Timing Model - **Absolute Return**: Not specified - **Excess Return**: 4.33%[9] - **Annualized Return**: Not specified - **Sharpe Ratio**: Not specified Multi-Dimensional Timing Model - **Absolute Return**: Not specified - **Excess Return**: 4.33%[9] - **Annualized Return**: Not specified - **Sharpe Ratio**: Not specified Style Enhancement Model - **Absolute Return**: Not specified - **Excess Return**: 6.05%[8] - **Annualized Return**: Not specified - **Sharpe Ratio**: Not specified Quantitative Factors and Construction Methods 1. Factor Name: High-Frequency Factor - **Factor Construction Idea**: The factor captures market valuation and sentiment risks using high-frequency data[11] - **Factor Construction Process**: - The factor uses high-frequency data to measure market depth, spread, and price elasticity - Constructs indicators such as average depth, spread, and price elasticity to reflect market liquidity and sentiment - For example, the average depth is calculated as: $$ avg_{depth} = \frac{av1 + bv1}{2} $$ where av1 and bv1 are the sell and buy volumes at the first level of the order book[98] - **Factor Evaluation**: The factor effectively captures market liquidity and sentiment changes, providing valuable insights for trading decisions[11] Factor Backtesting Results High-Frequency Factor - **Absolute Return**: Not specified - **Excess Return**: Not specified - **Annualized Return**: Not specified - **Sharpe Ratio**: Not specified Industry and ETF Rotation Strategy 1. Strategy Name: Industry Rotation Strategy - **Strategy Construction Idea**: The strategy uses quantitative fundamental drivers, quality low volatility style drivers, and distressed reversal industry discovery methods to construct an industry rotation strategy[76] - **Strategy Construction Process**: - Combines industry fundamental rotation, quality low volatility, and distressed reversal three-dimensional industry rotation strategies into an equal-weight portfolio - Selects industries from different dimensions to achieve factor and style complementarity, reducing the risk of a single strategy - As of October 17, 2025, the annualized excess return of the industry rotation strategy based on three-strategy integration was 10.59%, with a Sharpe ratio of 0.74[80] - **Strategy Evaluation**: The strategy effectively combines multiple dimensions to enhance returns while controlling risks, providing stable performance across different market cycles[76] Strategy Backtesting Results Industry Rotation Strategy - **Absolute Return**: Not specified - **Excess Return**: 14.75%[10] - **Annualized Return**: 10.59%[80] - **Sharpe Ratio**: 0.74[80]

证券研究报告 行业研究|行业点评研究|商贸零售 受国补边际效应减弱、中秋假期错位等 影响，9 月社零增速放缓 请务必阅读报告末页的重要声明 glzqdatemark1 2025年10月21日 邓文慧 郭家玮 SAC：S0590522060001 SAC：S0590525030001 请务必阅读报告末页的重要声明 1 / 4 证券研究报告 |报告要点 国家统计局发布社零数据，9 月份，社零总额为 4.20 万亿元，同比增长 3.0%。其中，除汽车 以外的消费品零售额为 3.73 万亿元，同比增长 3.2%；限额以上单位消费品零售额 1.78 万亿 元，同比增长 2.3%。 |分析师及联系人 行业研究|行业点评研究 glzqdatemark2 2025年10月21日 商贸零售 受国补边际效应减弱、中秋假期错位等影响， 9 月社零增速放缓 投资建议： 强于大市（维持） 上次建议： 强于大市 相对大盘走势 -10% 7% 23% 40% 2024/10 2025/2 2025/6 2025/10 商贸零售 沪深300 相关报告 1、《商贸零售：7 月社零同比+3.7%，环比有 所回落》2025.08.16 2、《商贸 ...

证券研究报告 非金融公司|公司点评|小商品城（600415） 2025 年三季报点评：新市场商品展陈 服务&公司贸易履约服务助力公司业绩 高增 请务必阅读报告末页的重要声明 glzqdatemark1 2025年10月16日 证券研究报告 |报告要点 公司发布 2025 年三季报，2025 前 3 季度公司实现营业收入 130.61 亿元（同比增长 23.07%）， 归母净利润 34.57 亿元（同比增长 48.45%）；2025 年三季度实现营收 53.48 亿元 （同比增长 39.02%），归母净利润 17.66 亿元（同比增长 100.52%）。 |分析师及联系人 邓文慧 郭家玮 SAC：S0590522060001 SAC：S0590525030001 请务必阅读报告末页的重要声明 1 / 5 非金融公司|公司点评 glzqdatemark2 2025年10月16日 小商品城(600415) 2025 年三季报点评：新市场商品展陈服务&公 司贸易履约服务助力公司业绩高增 | 行 业： | 商贸零售/一般零售 | | | --- | --- | --- | | 投资评级： | | 买入（维持） | | ...

Investment Rating - The investment rating for the company is "Buy" (maintained) [7] Core Insights - The company achieved a significant revenue growth of 62.2% year-on-year, reaching 2.7 billion yuan in the first half of 2025. The gross profit increased by 82.2% to 980 million yuan, and the adjusted net profit (excluding interest and expenses) rose by 69.6% to 730 million yuan [5][11] - The company has a robust order backlog of 1.33 billion USD, reflecting a year-on-year increase of 57.9%, with new contract signings growing by 48.4% [11] - The global ADC market is projected to reach 13.2 billion USD in 2024, with a compound annual growth rate (CAGR) of 34.0% from 2020 to 2024, and is expected to grow rapidly to 66.2 billion USD by 2030 [11] - The company’s market share in the ADC outsourcing service sector has increased from 9.9% in 2022 to 22.2% in the first half of 2025, solidifying its position as an industry leader [11] Financial Performance - For the first half of 2025, the company reported revenues of 2.7 billion yuan, with a gross profit of 980 million yuan and a net profit of 750 million yuan [5][11] - The company forecasts revenues of 5.99 billion yuan, 8.24 billion yuan, and 10.51 billion yuan for 2025, 2026, and 2027, respectively, with year-on-year growth rates of 47.7%, 37.7%, and 27.5% [13][14] - The adjusted net profit is expected to be 1.51 billion yuan, 2.06 billion yuan, and 2.67 billion yuan for the same years, with growth rates of 41.5%, 36.2%, and 29.4% [13][14] Capital Expenditure and Expansion - The company plans to invest approximately 1.56 billion yuan in capital expenditures in 2025, with significant investments in its Singapore and Wuxi bases [12] - By 2029, total capital expenditures are expected to exceed 7 billion yuan, aimed at expanding production capacity for various ADC-related products [12]

Investment Rating - The investment rating for the company is "Buy" (maintained) [7] Core Insights - The company reported strong sales growth in September, with wholesale sales reaching 266,300 units, a year-on-year increase of 24.92% and a month-on-month increase of 13.86% [4][13] - The sales of the company's self-owned brands in September were 225,900 units, up 30.83% year-on-year and 15.10% month-on-month [4][14] - The performance of the new energy vehicles was particularly impressive, with sales of 103,600 units in September, representing a year-on-year increase of 87.03% and a month-on-month increase of 16.45% [4][14] - The overseas market also showed robust growth, with sales of 60,400 units in September, up 23% year-on-year and 7.80% month-on-month [4][14] Summary by Sections Sales Performance - In September, the company achieved wholesale sales of 266,300 units, with a year-to-date total of 2,066,100 units, reflecting an 8.46% year-on-year increase [14] - The self-owned brands led the growth with September sales of 225,900 units, and a cumulative total of 1,750,400 units for the year, up 10.47% year-on-year [14] - New energy vehicle sales reached 103,600 units in September, with a cumulative total of 724,200 units for the year, marking a 59.72% year-on-year increase [14] - The overseas sales reached 60,400 units in September, with a year-to-date total of 465,300 units [14] Brand Performance - The company's three major self-owned brands maintained a rapid growth trend, with Avita sales of 11,000 units in September, up 143.1% year-on-year [15] - Deep Blue's total deliveries in September were 33,600 units, a year-on-year increase of 48.1% [15] - Changan Origin delivered 41,200 units in September, up 79% year-on-year [15] Financial Forecast - The company expects revenues of 176.36 billion, 204.14 billion, and 228.83 billion yuan for 2025, 2026, and 2027 respectively, with year-on-year growth rates of 10.4%, 15.8%, and 12.1% [16] - The projected net profit for the same years is 8.75 billion, 10.20 billion, and 11.58 billion yuan, with growth rates of 19.5%, 16.6%, and 13.5% respectively [16] - Earnings per share (EPS) are expected to be 0.88, 1.03, and 1.17 yuan for 2025, 2026, and 2027 respectively [16]

Investment Rating - The report maintains an investment rating of "Outperform the Market" for the non-bank financial sector [9][12]. Core Insights - The economic backdrop of stable growth and continuous supportive policies is expected to improve market sentiment towards equities, benefiting the cyclical financial sector. The resolution of risks in key areas like real estate is also anticipated to alleviate concerns regarding asset quality in the non-bank sector, favoring valuation recovery [4][12]. - The report recommends focusing on investment opportunities within the sector, highlighting specific companies such as New China Life, China Life, Ping An, China Pacific Insurance, China Property Insurance, GF Securities, CICC, CITIC Securities, Huatai Securities, Dongfang Securities, Dongfang Fortune, Jiangsu Jinzhong, Bohai Leasing, and Bank of China Aviation Leasing [4][12]. Summary by Sections Brokerage Sector - The brokerage sector is expected to see a significant recovery, with a projected year-on-year increase of 56% in net profit for the first nine months of 2025. The average daily trading volume in the equity market for Q3 2025 is estimated at 2.1 trillion yuan, reflecting a year-on-year increase of 210% and a quarter-on-quarter increase of 68% [10]. - The anticipated year-on-year growth rates for major brokerage firms' net profits include CICC (+135%), Dongfang Securities (+68%), GF Securities (+56%), and others [10]. Insurance Sector - The insurance sector is projected to experience growth in new business value (NBV) for life insurance companies, with expected growth rates for the first nine months of 2025 as follows: New China Life (+60%), Ping An (+42%), China Pacific Insurance (+33%), and China Life (+25%) [11]. - For property and casualty insurance, the combined ratio (COR) is expected to improve year-on-year, with estimates for major companies such as Ping An Property & Casualty (96.1%, -1.7 percentage points), China Property Insurance (97.0%, -1.2 percentage points), and China Pacific Property Insurance (98.0%, -0.7 percentage points) [11]. Leasing Sector - The aircraft leasing sector is expected to maintain a favorable supply-demand balance, with increasing aircraft values and rental rates. However, the ship leasing sector may face short-term impacts due to the US 301 investigation [12]. - Profit growth rankings for leasing companies are projected as follows: Jiangsu Jinzhong > China Ship Leasing > Bank of China Aviation Leasing > Bohai Leasing, with Bohai Leasing potentially facing challenges due to impairments [12].

Investment Rating - The investment rating for the company is "Buy" (maintained) [7] Core Views - The company reported a wholesale sales volume of 48,300 vehicles in September, representing a year-on-year increase of 8.33% and a month-on-month increase of 5.39%. The sales of new energy vehicles (NEVs) showed robust growth, with a total of 44,700 NEVs sold in September, up 19.44% year-on-year and 3.27% month-on-month. Other vehicle sales continued to face pressure year-on-year but improved month-on-month, with 3,608 units sold, down 49.66% year-on-year but up 41.16% month-on-month [5][13][15]. Summary by Sections Sales Performance - In September, the company achieved a wholesale sales volume of 48,300 vehicles, with NEVs accounting for 44,700 units. The NEV sales increased by 19.44% year-on-year and 3.27% month-on-month. Other vehicle sales were 3,608 units, down 49.66% year-on-year but up 41.16% month-on-month. For Q3, total sales reached 142,000 vehicles, a year-on-year increase of 6.31% and a month-on-month increase of 9.07% [5][13]. New Product Launches - The company has successfully launched several new models, including the AITO M5 Ultra, M9 2025 version, M8, and the all-new M7. Cumulatively, the AITO series has surpassed 800,000 deliveries, setting a record for the fastest delivery in the Chinese luxury NEV segment. The M9 has maintained its position as the market leader in the 500,000 yuan and above segment for 18 consecutive months, while the M8 has also performed well, with over 100,000 deliveries [13][15]. Financial Projections - The company expects revenues of 175.29 billion yuan, 232.30 billion yuan, and 247.22 billion yuan for 2025, 2026, and 2027, respectively, with year-on-year growth rates of 20.74%, 32.53%, and 6.42%. The net profit attributable to shareholders is projected to be 10.155 billion yuan, 12.166 billion yuan, and 13.752 billion yuan for the same years, with growth rates of 70.79%, 19.80%, and 13.03% [15][16].

Investment Rating - The investment rating for the company is "Buy" (maintained) [6] Core Views - The company reported a decline in net profit in H1 2025 primarily due to a slowdown in demand in the traditional telecommunications transmission market, which compressed profit margins in its telecom transmission business [4][12] - The DCI product line is entering a critical capacity enhancement phase, with significant growth in customer orders and market share [4][13] - The company is making progress in the R&D of OCS and hollow core fiber amplifiers, enhancing its core competitiveness in the computing power infrastructure sector [4][14] Summary by Sections Financial Performance - In H1 2025, the company achieved operating revenue of 433.55 million yuan, a year-on-year increase of 5.93%. However, the net profit attributable to shareholders decreased by 48.17% to 28.09 million yuan [12] - The net profit after excluding non-recurring gains and losses was 19.11 million yuan, also down 48.23% year-on-year [12] Product Development - The DCI product line has seen significant advancements, with small batch trials of the 400G coherent module and mass deliveries of 400G/600G DCI boards. The company plans to deliver small batches of 800G boards within the year and has initiated research on 1.6T boards [4][13] - The company has received overseas sample orders for its silicon-based OCS and is accelerating the development of the second-generation high-dimensional OCS, targeting prototype completion by H1 2026 [4][14] Future Projections - The company expects revenues of 1.313 billion yuan in 2025, 1.960 billion yuan in 2026, and 2.758 billion yuan in 2027, with year-on-year growth rates of 56.03%, 49.35%, and 40.70% respectively [15] - Net profit attributable to shareholders is projected to be 169 million yuan in 2025, 269 million yuan in 2026, and 423 million yuan in 2027, with growth rates of 68.06%, 59.57%, and 56.91% respectively [15]

Investment Rating - The report maintains an investment rating of "Outperform the Market" for BYD [7] Core Viewpoints - The luxury image of traditional brands is a result of historical accumulation, technology, and brand strength. Under the wave of new energy, domestic brands are redefining luxury through new technologies. BYD's path to high-end positioning relies on its technological advantages to foster brand preference among consumers [4][11] - BYD's high-end strategy is built on "technology foundation, brand stratification, and global expansion," utilizing a three-tier brand matrix for precise market coverage [11][59] Summary by Sections Introduction: Where Will BYD's High-End Path Lead? - In 2024, BYD's passenger car sales reached 4.25 million units, with models priced below 200,000 yuan accounting for 84.3% of sales. The launch of the Tengshi D9 in 2022 marked the beginning of BYD's high-end journey, followed by the introduction of the Yangwang and Fangchengbao brands [8][15] Quantitative Standards for Successful High-End Definition - High-end brands are defined as those with an average price above 300,000 yuan. In 2024, 14 brands met this criterion, with six being domestic brands. The top three brands by sales were traditional luxury brands "BBA," followed by domestic brands like Li Auto and AITO [20][23] Key to BYD's High-End Breakthrough: Focus on Technological Strength - BYD's high-end strategy includes the Tengshi brand, which integrates advanced technologies to create a comprehensive product matrix. The Tengshi brand achieved sales of 107,000 units in 2024, with an average transaction price of approximately 350,000 yuan [32][36] - The Fangchengbao brand focuses on the personalized automotive market, leveraging leading technologies to create unique products [46] Investment Recommendations - The report suggests that BYD's exploration of high-end positioning is gradually correcting its strategic direction, with a focus on technology-driven sales growth. The "Universal Intelligent Driving" strategy is expected to accelerate brand high-end positioning and enhance revenue and profit margins in the medium to long term [12][59]

Investment Rating - The report maintains an investment rating of "Outperform the Market" for the light industry sector [7][11]. Core Insights - The light industry sector's revenue increased by 3.59% year-on-year in Q2 2025, reaching 1580.45 billion yuan, while H1 2025 saw a 2.34% increase to 2958.02 billion yuan. However, the net profit attributable to shareholders decreased by 23.98% to 72.05 billion yuan in Q2 2025, and by 20.32% to 136.67 billion yuan in H1 2025 [4][15]. - The paper industry experienced a revenue decline of 11.91%, while the home furnishing and packaging sectors achieved double-digit growth. The custom home furnishing segment faced pressure, while the soft furnishings performed relatively better [4][9][15]. Summary by Sections Overall Light Industry - The light industry sector's revenue growth is steady, but profitability is diverging across segments. The paper segment is under pressure, while home furnishing and packaging are performing well [4][15]. - The overall gross margin for the light industry decreased by 0.41 percentage points in Q2 2025 compared to the previous year, indicating profitability challenges [15][26]. Home Furnishing - The home furnishing sector's revenue grew by 10.68% year-on-year in Q2 2025, reaching 679.39 billion yuan, but net profit decreased slightly by 0.28% to 58.84 billion yuan [31]. - Custom orders are under pressure, while soft furnishings are performing better than expected. The sector is adapting to market conditions by adjusting pricing strategies [31][32]. Paper Industry - The paper segment's revenue fell by 11.91% to 425.04 billion yuan in Q2 2025, with a net profit of -7.47 billion yuan, indicating significant challenges [9][24]. - Despite the challenges, leading companies like Sun Paper are seeing a recovery in profitability, and there are expectations for price rebounds in the future [9][15]. Packaging - The packaging sector's revenue increased by 14.98% to 338.65 billion yuan in Q2 2025, with a net profit growth of 15.07% to 15.20 billion yuan, reflecting strong performance [9][33]. - The sector is benefiting from stable demand in consumer electronics and proactive overseas expansion strategies [9][15]. Entertainment Products - The entertainment products sector's revenue grew by 1.85% to 137.36 billion yuan in Q2 2025, but net profit decreased by 10.14% to 5.47 billion yuan, indicating pressure on profitability [10][42]. - The sector is seeing growth driven by new product launches and channel promotions, particularly in personal care and AI glasses [10][42]. Export Chain - The export chain's revenue increased by 5.01% to 199.59 billion yuan in Q2 2025, but net profit decreased by 3.53% to 16.86 billion yuan, highlighting mixed performance across companies [10][51]. - Tariff uncertainties are impacting orders, but companies with established overseas production capabilities are mitigating risks effectively [10][51].