低频选股因子周报（2026.01.23-2026.01.30） [Table_Authors] 郑雅斌(分析师) 风险提示：市场环境变动风险，有效因子变动风险。 | | 021-23219395 | | --- | --- | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 罗蕾(分析师) | | | 021-23185653 | | | luolei@gtht.com | | 登记编号 | S0880525040014 | [Table_Report] 相关报告 绝对收益产品及策略周报（260119-260123） 2026.01.29 大额买入与资金流向跟踪（20260119-20260123） 2026.01.27 风格 Smart beta 组合跟踪周报（2026.01.19- 2026.01.23） 2026.01.26 红利风格择时周报（0119-0123） 2026.01.26 高频选股因子周报（20260119-20260123） 2026.01.25 证 券 研 究 报 告 请务必阅读正文之后的免责条款部分 1 月份沪深 300 ...

Quantitative Models and Construction Methods 1. **Model Name**: CSI 300 Enhanced Portfolio - **Model Construction Idea**: The model aims to achieve excess returns over the CSI 300 Index by leveraging quantitative strategies and factor-based stock selection - **Model Construction Process**: The model is constructed by selecting stocks from the CSI 300 Index based on specific quantitative factors and optimizing the portfolio to maximize excess returns while managing risk. The exact factors and optimization techniques are not detailed in the report - **Model Evaluation**: The model has shown consistent performance in generating excess returns over the CSI 300 Index in the year-to-date period[5][9][15] 2. **Model Name**: CSI 500 Enhanced Portfolio - **Model Construction Idea**: The model seeks to outperform the CSI 500 Index by utilizing quantitative strategies and factor-based stock selection - **Model Construction Process**: Stocks are selected from the CSI 500 Index based on quantitative factors, and the portfolio is optimized to achieve excess returns while controlling risk. Specific details of the factors and optimization are not provided in the report - **Model Evaluation**: The model's performance has been mixed, with negative excess returns in the year-to-date period[5][9][15] 3. **Model Name**: CSI 1000 Enhanced Portfolio - **Model Construction Idea**: The model aims to generate excess returns over the CSI 1000 Index through quantitative strategies and factor-based stock selection - **Model Construction Process**: Stocks are selected from the CSI 1000 Index using quantitative factors, and the portfolio is optimized to maximize excess returns while managing risk. Specific details of the factors and optimization are not provided in the report - **Model Evaluation**: The model has demonstrated positive excess returns in the year-to-date period[5][9][15] 4. **Model Name**: PB-Profit Combination Portfolio - **Model Construction Idea**: The portfolio combines price-to-book (PB) ratio and profitability factors to identify undervalued stocks with strong earnings potential - **Model Construction Process**: The portfolio is constructed by selecting stocks with low PB ratios and high profitability metrics. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has shown strong performance, with significant positive excess returns over the CSI 300 Index in the year-to-date period[5][31][33] 5. **Model Name**: GARP Portfolio - **Model Construction Idea**: The portfolio follows the Growth at a Reasonable Price (GARP) strategy, focusing on stocks with a balance of growth and valuation metrics - **Model Construction Process**: Stocks are selected based on a combination of growth and valuation factors. The specific factors and their weights are not detailed in the report - **Model Evaluation**: The portfolio has achieved significant positive excess returns over the CSI 300 Index in the year-to-date period[5][35] 6. **Model Name**: Small-Cap Value Portfolio 1 - **Model Construction Idea**: The portfolio targets small-cap stocks with value characteristics, aiming to outperform the micro-cap index - **Model Construction Process**: Stocks are selected based on small-cap and value factors. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has underperformed the micro-cap index in the year-to-date period[5][37] 7. **Model Name**: Small-Cap Value Portfolio 2 - **Model Construction Idea**: Similar to Small-Cap Value Portfolio 1, this portfolio focuses on small-cap stocks with value characteristics - **Model Construction Process**: Stocks are selected based on small-cap and value factors. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has outperformed the micro-cap index in the year-to-date period[5][39] 8. **Model Name**: Small-Cap Growth Portfolio - **Model Construction Idea**: The portfolio targets small-cap stocks with growth characteristics, aiming to outperform the micro-cap index - **Model Construction Process**: Stocks are selected based on small-cap and growth factors. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has underperformed the micro-cap index in the year-to-date period[5][41] --- Model Backtesting Results 1. **CSI 300 Enhanced Portfolio** - Weekly return: -0.39% - Weekly excess return: -0.47% - Year-to-date return: 6.85% - Year-to-date excess return: 5.20%[9][15] 2. **CSI 500 Enhanced Portfolio** - Weekly return: -1.74% - Weekly excess return: 0.82% - Year-to-date return: 11.11% - Year-to-date excess return: -1.01%[9][15] 3. **CSI 1000 Enhanced Portfolio** - Weekly return: -0.97% - Weekly excess return: 1.58% - Year-to-date return: 11.99% - Year-to-date excess return: 3.31%[9][15] 4. **PB-Profit Combination Portfolio** - Weekly return: 0.92% - Weekly excess return: 0.84% - Year-to-date return: 6.17% - Year-to-date excess return: 4.52%[31][33] 5. **GARP Portfolio** - Weekly return: 0.95% - Weekly excess return: 0.87% - Year-to-date return: 11.43% - Year-to-date excess return: 9.78%[35] 6. **Small-Cap Value Portfolio 1** - Weekly return: -2.44% - Weekly excess return: -1.29% - Year-to-date return: 7.89% - Year-to-date excess return: -2.83%[37] 7. **Small-Cap Value Portfolio 2** - Weekly return: -1.64% - Weekly excess return: -0.48% - Year-to-date return: 12.37% - Year-to-date excess return: 1.66%[39] 8. **Small-Cap Growth Portfolio** - Weekly return: -2.07% - Weekly excess return: -0.92% - Year-to-date return: 9.13% - Year-to-date excess return: -1.59%[41] --- Quantitative Factors and Construction Methods 1. **Factor Name**: Market Capitalization (Size) Factor - **Construction Idea**: Small-cap stocks tend to outperform large-cap stocks over time - **Construction Process**: Stocks are ranked by market capitalization, and the top 10% (smallest) and bottom 10% (largest) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown mixed performance across different indices and time periods[43][44][45] 2. **Factor Name**: Price-to-Book (PB) Factor - **Construction Idea**: Low PB stocks are expected to outperform high PB stocks - **Construction Process**: Stocks are ranked by PB ratio, and the top 10% (lowest PB) and bottom 10% (highest PB) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown strong performance in the short term but mixed results in the year-to-date period[43][44][45] 3. **Factor Name**: Price-to-Earnings (PE_TTM) Factor - **Construction Idea**: Low PE stocks are expected to outperform high PE stocks - **Construction Process**: Stocks are ranked by PE ratio, and the top 10% (lowest PE) and bottom 10% (highest PE) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown positive short-term performance but mixed year-to-date results[43][44][45] 4. **Factor Name**: Reversal Factor - **Construction Idea**: Stocks with recent underperformance are expected to outperform in the short term - **Construction Process**: Stocks are ranked by recent performance, and the top 10% (worst performers) and bottom 10% (best performers) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown positive short-term performance but negative year-to-date results[49][50] 5. **Factor Name**: Turnover Factor - **Construction Idea**: Stocks with lower turnover rates are expected to outperform those with higher turnover rates - **Construction Process**: Stocks are ranked by turnover rate, and the top 10% (lowest turnover) and bottom 10% (highest turnover) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown strong short-term performance but negative year-to-date results[49][50] 6. **Factor Name**: Volatility Factor - **Construction Idea**

Investment Rating - The report assigns an "Accumulate" rating for the industry [3] Core Insights - The price of piglets follows a clear historical pattern, with expectations for continued price increases followed by a decline around May/June. A significant capacity reduction cycle is anticipated in 2026, primarily occurring in the second half of the year, while stock prices are expected to start rising in the first half [5][6] - The report emphasizes that piglet prices are influenced by production patterns, with December and January being peak slaughter months, leading to increased demand for piglets. Conversely, supply remains relatively stable, which can lead to price increases when demand surges [7] - The report highlights that piglet prices do not correlate with pig price expectations and cannot be used to predict pig prices. The annual variations in piglet prices are consistent, while pig prices fluctuate yearly, indicating a lack of direct relationship [7] - The report recommends focusing on the pig farming sector, predicting a significant capacity reduction cycle in 2026. It suggests that the first half of 2026 will resemble the first half of 2023, with losses in fat pigs but profits in piglets, leading to a smoother capacity reduction after the anticipated price drop in May/June [7] - Key companies to watch include Muyuan Foods, Wens Foodstuff Group, Tiankang Biological, Juxing Agriculture, and Shennong Group, as their valuations are currently at the bottom, with potential for stock price increases as the industry faces losses and clearer capacity reduction trends [7][8] Summary by Sections Historical Price Trends - Piglet prices exhibit a clear historical trend, typically bottoming out in December/January and peaking in May/June. The fluctuations are tied to seasonal production patterns and demand cycles [5][7] Production and Supply Dynamics - The report discusses the relationship between supply and demand, noting that while supply is stable, demand spikes during certain months can lead to price increases. The cyclical nature of pig farming is highlighted, with adjustments made to align production with demand [7] Investment Opportunities - The report identifies a significant capacity reduction cycle in the pig farming industry for 2026, suggesting that investors should focus on companies with strong fundamentals and current low valuations, as they are likely to benefit from the anticipated market changes [7][8]

Investment Rating - The report maintains a rating of "Accumulate" for the company [5] Core Insights - The company's 2025 performance forecast meets expectations, driven by technology empowerment, breakthroughs in key industries and clients, overseas improvements, government subsidies, and asset sales contributing to significant growth [2][12] - The expected net profit attributable to shareholders for 2025 is projected to be between 267 million and 334 million yuan, representing a year-on-year growth rate of 30% to 62.5% [12] - The report highlights the focus on mid-to-high-end positions and the continuous efficiency improvements driven by AI technology [12] Financial Summary - Total revenue is forecasted to grow from 9,778 million yuan in 2023 to 14,581 million yuan in 2025, reflecting a compound annual growth rate (CAGR) of 23.7% [4] - Net profit attributable to shareholders is expected to increase from 201 million yuan in 2023 to 305 million yuan in 2025, marking a significant recovery with a growth rate of 48.6% [4] - Earnings per share (EPS) is projected to rise from 1.02 yuan in 2023 to 1.55 yuan in 2025 [4] Market Data - The target price for the company's stock is set at 40.80 yuan [5] - The stock has a market capitalization of 6,048 million yuan, with a 52-week price range of 21.14 to 38.60 yuan [6] Performance Metrics - The report anticipates a net asset return (ROE) of 13.6% for 2025, indicating improved profitability [4] - The price-to-earnings (P/E) ratio is projected to decrease from 30.16 in 2023 to 19.82 in 2025, suggesting a more attractive valuation as earnings grow [4]

Investment Rating - The investment rating for the company is "Accumulate" with a target price of 40.80 CNY [5][12]. Core Insights - The company's 2025 performance forecast meets expectations, driven by technology empowerment, breakthroughs in key industries and clients, overseas improvements, government subsidies, and asset sales contributing to significant growth [2][12]. - The core drivers of growth for 2025 include: 1) Empowerment through technology platforms, focusing on high-end positions and niche markets; 2) Improvement in overseas revenue and profits; 3) Contributions from government subsidies and the sale of subsidiary equity [12]. - The company maintains a focus on high-end positions, leveraging AI to enhance efficiency and capitalize on the growing demand in high-tech industries [12]. Financial Summary - Total revenue is projected to grow from 9,778 million CNY in 2023 to 14,581 million CNY in 2025, reflecting a growth rate of 23.7% [4]. - Net profit attributable to the parent company is expected to increase from 201 million CNY in 2023 to 305 million CNY in 2025, representing a growth of 48.6% [4]. - Earnings per share (EPS) is forecasted to rise from 1.02 CNY in 2023 to 1.55 CNY in 2025 [4]. Market Data - The company's market capitalization is 6,048 million CNY, with a 52-week stock price range of 21.14 to 38.60 CNY [6]. - The current stock price is 30.73 CNY, with a price-to-earnings (P/E) ratio of 30.16 for 2023, decreasing to 19.82 for 2025 [4][12]. Balance Sheet Overview - Shareholder equity stands at 2,172 million CNY, with a book value per share of 11.03 CNY [7]. - The company has a net debt ratio of -0.32%, indicating a strong financial position [7].

风险提示：金价持续下行，门店扩张不及预期，行业竞争加剧。 | [Table_Finance] 财务摘要(百万元) | 2023A | 2024A | 2025E | 2026E | 2027E | | --- | --- | --- | --- | --- | --- | | 营业总收入 | 16,552 | 20,233 | 29,573 | 38,012 | 41,778 | | (+/-)% | 50.6% | 22.2% | 46.2% | 28.5% | 9.9% | | 净利润(归母) | 707 | 719 | 1,204 | 1,524 | 1,689 | | (+/-)% | 53.6% | 1.7% | 67.5% | 26.5% | 10.8% | | 每股净收益(元) | 0.91 | 0.92 | 1.55 | 1.96 | 2.17 | | 净资产收益率(%) | 18.7% | 18.1% | 25.1% | 26.2% | 24.0% | | 市盈率(现价&最新股本摊薄) | 23.19 | 22.79 | 13.61 | 10.75 | 9.70 | 股票研究 /[Table ...

公 司 研 金价上行投资金高增，持续受益黄金税收新政 菜百股份(605599) 菜百股份 2025 年业绩预告点评 | [姓名table_Authors] | 电话 | 邮箱 | 登记编号 | | --- | --- | --- | --- | | 刘越男(分析师) | 021-38677706 | liuyuenan@gtht.com | S0880516030003 | | 宋小寒(分析师) | 010-83939087 | songxiaohan@gtht.com | S0880524080011 | 本报告导读： 投资要点： 风险提示：金价持续下行，门店扩张不及预期，行业竞争加剧。 | [Table_Finance] 财务摘要(百万元) | 2023A | 2024A | 2025E | 2026E | 2027E | | --- | --- | --- | --- | --- | --- | | 营业总收入 | 16,552 | 20,233 | 29,573 | 38,012 | 41,778 | | (+/-)% | 50.6% | 22.2% | 46.2% | 28.5% | 9.9% | ...

Investment Rating - The report assigns an "Overweight" rating for the industry, indicating an expected performance that exceeds the Shanghai and Shenzhen 300 Index by more than 15% [4][10]. Core Insights - The report highlights the five-year follow-up results of Moderna's personalized mRNA cancer vaccine V940 in high-risk melanoma, supporting the vaccine's mechanism to provide durable immune responses, which strengthens the clinical basis for subsequent Phase III and registration advancements [2][5]. - The KEYNOTE-942 study results show that the combination of V940 and Keytruda reduces the risk of recurrence or death in high-risk melanoma patients by 49%, with efficacy maintaining from 44% at the two-year follow-up to 49% at the three-year and five-year follow-ups, without new safety signals being reported [5]. - V940 is advancing ahead of similar projects, with eight ongoing Phase II/III clinical studies covering various solid tumors, including melanoma, non-small cell lung cancer, bladder cancer, and renal cell carcinoma. The Phase III trial for melanoma has completed enrollment and is expected to yield critical data in 2026, with the project also receiving FDA breakthrough therapy designation [5]. Summary by Sections - **Investment Highlights**: The report emphasizes the sustained efficacy of V940 in inducing durable immune responses, differentiating it from previous unsuccessful cancer vaccine attempts, and providing long-term clinical data support for mRNA tumor vaccine technology [5]. - **Clinical Data**: The report details that V940 can encode up to 34 new antigens, activating T-cell responses with immune memory characteristics, complementing PD-1 inhibitors [5].

公司全面实施 AI 驱动战略，凭借 "云-管-边-端-芯" 全链条技术布局与 "算力+平台 +算法+应用" 国产化方案，深耕电力数字化主赛道并实现跨领域延伸，有望持续领 跑行业转型。 投资要点： | [Table_Finance] 财务摘要(百万元) | 2023A | 2024A | 2025E | 2026E | 2027E | | --- | --- | --- | --- | --- | --- | | 营业总收入 | 4,234 | 6,090 | 6,619 | 7,556 | 8,857 | | (+/-)% | -25.5% | 43.8% | 8.7% | 14.2% | 17.2% | | 净利润(归母) | 377 | 570 | 593 | 707 | 854 | | (+/-)% | -42.2% | 51.1% | 4.0% | 19.3% | 20.8% | | 每股净收益(元) | 0.12 | 0.18 | 0.19 | 0.22 | 0.27 | | 净资产收益率(%) | 5.1% | 7.2% | 5.3% | 5.9% | 6.7% | | 市盈率(现价&最新股本摊薄 ...

Investment Rating - The report assigns a rating of "Buy" for the company [5] Core Views - The company is implementing an AI-driven strategy, leveraging a comprehensive technology layout of "cloud-network-edge-terminal-core" and a domestic solution of "computing power + platform + algorithm + application" to lead the digital transformation in the power sector [2] - The company is positioned as a key player in the digital grid construction, with expected revenues of 6.619 billion, 7.556 billion, and 8.857 billion yuan for 2025, 2026, and 2027 respectively, and EPS of 0.19, 0.22, and 0.27 yuan for the same years [10][12] - The company aims to enhance its core competitiveness in the vertical field of electricity through the integration of AI and business, focusing on digital grid, enterprise digitalization, and digital infrastructure [10] Financial Summary - Total revenue is projected to decline by 25.5% in 2023, followed by a significant increase of 43.8% in 2024, and steady growth in subsequent years [4] - Net profit attributable to the parent company is expected to decrease by 42.2% in 2023, then increase by 51.1% in 2024, with further growth in the following years [4] - The company’s net asset return rate is forecasted to improve from 5.1% in 2023 to 6.7% in 2027 [4] Revenue Breakdown - The digital grid segment is expected to see revenue growth of 42% in 2024, with a projected revenue of 2.389 billion yuan, and further growth in subsequent years [15] - The enterprise digitalization segment is anticipated to grow at a rate of 7% in 2024, with revenue reaching 2.035 billion yuan [13] - The digital infrastructure segment is projected to grow by 9% in 2024, with revenue of 1.540 billion yuan [14] Valuation Analysis - The report utilizes both PE and PS valuation methods, estimating a reasonable valuation of 81.361 billion yuan, corresponding to a target price of 25.59 yuan based on a PE of 115 for 2026 [19][25] - The average PS for comparable companies is estimated at 9.53, with the company being assigned a PS of 10.80 for 2026, leading to a valuation of 81.606 billion yuan [23][24]