证券研究报告 | 2025年6月28日 锂电产业链双周评（6月第2期） 固态电池产业化持续加速，消费电池掺硅比例稳步提升 行业研究 · 行业周报 电力设备新能源 · 锂电池 投资评级：优于大市（维持） 证券分析师：王蔚祺 010-88005313 wangweiqi2@guosen.com.cn S0980520080003 证券分析师：徐文辉 021-60375426 xuwenhui@guosen.com.cn S0980524030001 证券分析师：李全 021-60375434 liquan2@guosen.com.cn S0980524070002 请务必阅读正文之后的免责声明及其项下所有内容 投资建议 【行业动态】 【新能源车产业链数据】 【锂电材料及锂电池价格】 【风险提示】电动车销量不及预期，行业竞争加剧，原材料价格大幅波动，政策变动风险。 请务必阅读正文之后的免责声明及其项下所有内容 • 固态电池产业化加速推进：设备端，赢合科技固态电池湿法涂布、辊压以及电解质转印设备顺利出货至国内头部客户，先导智能向客户成功交付固态电池用复合转印设备与高速叠片 设备，科恒股份与北京纯锂新能源签署战略合作协 ...

证券研究报告 | 2025年06月28日 主动量化策略周报 半年度收官在即，四大主动量化组合均排名主动股基前 50% 核心观点 金融工程周报 国信金工主动量化策略表现跟踪： 本周，优秀基金业绩增强组合绝对收益 3.68%，相对偏股混合型基金指数超 额收益 0.82%。本年，优秀基金业绩增强组合绝对收益 6.12%，相对偏股混 合型基金指数超额收益-0.74%。今年以来，优秀基金业绩增强组合在主动股 基中排名 41.19%分位点（1429/3469）。 本周，成长稳健组合绝对收益 3.41%，相对偏股混合型基金指数超额收益 0.55%。本年，成长稳健组合绝对收益 21.70%，相对偏股混合型基金指数 超额收益 14.83%。今年以来，成长稳健组合在主动股基中排名 5.71%分位 点（198/3469）。 本周，股票收益中位数 4.41%，89%的股票上涨，11%的股票下跌；主动股 基中位数 2.79%，98%的基金上涨，2%的基金下跌。 本年，股票收益中位数 8.82%，69%的股票上涨，31%的股票下跌；主动股 基中位数 4.59%，78%的基金上涨，22%的基金下跌。 优秀基金业绩增强组合： 在构建量化组合 ...

Quantitative Models and Construction Methods - **Model Name**: Maximized Factor Exposure Portfolio (MFE) **Model Construction Idea**: The MFE portfolio is designed to maximize the exposure of a single factor while controlling for various constraints such as industry exposure, style exposure, stock weight deviation, and turnover limits. This approach ensures that the factor's predictive power is tested under realistic portfolio constraints, making it more applicable in actual investment scenarios [39][40]. **Model Construction Process**: The MFE portfolio is constructed using the following optimization model: $ \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} \\ & \mathbf{0}\leq w\leq l \\ & \mathbf{1}^{T}\ w=1 \end{array} $ - **Objective Function**: Maximize single-factor exposure, where \( f \) represents factor values, and \( w \) is the stock weight vector. - **Constraints**: - **Style Exposure**: \( X \) is the factor exposure matrix, \( w_b \) is the benchmark weight vector, and \( s_l, s_h \) are the lower and upper bounds for style exposure. - **Industry Exposure**: \( H \) is the industry exposure matrix, and \( h_l, h_h \) are the lower and upper bounds for industry deviation. - **Stock Weight Deviation**: \( w_l, w_h \) are the lower and upper bounds for stock weight deviation. - **Component Weight Control**: \( B_b \) is a binary vector indicating benchmark components, and \( b_l, b_h \) are the lower and upper bounds for component weights. - **No Short Selling**: Ensures non-negative weights and limits individual stock weights. - **Full Investment**: Ensures the portfolio is fully invested (\( \mathbf{1}^{T}\ w=1 \)) [40][41]. **Model Evaluation**: The MFE portfolio effectively tests factor efficacy under realistic constraints, making it a robust tool for factor validation in enhanced index strategies [39][40]. --- Quantitative Factors and Construction Methods - **Factor Name**: Three-Month Reversal **Factor Construction Idea**: Measures the reversal effect by calculating the return over the past 60 trading days, assuming stocks with recent underperformance may outperform in the future [17]. **Factor Construction Process**: $ \text{Three-Month Reversal} = \text{Cumulative Return over the Past 60 Trading Days} $ **Factor Evaluation**: Demonstrates strong performance in certain index spaces, such as CSI 1000 and CSI A500, but underperforms in others like CSI 500 [17][22][25]. - **Factor Name**: One-Year Momentum **Factor Construction Idea**: Captures the momentum effect by excluding the most recent month and calculating the cumulative return over the prior 11 months [17]. **Factor Construction Process**: $ \text{One-Year Momentum} = \text{Cumulative Return over the Past 11 Months (Excluding the Most Recent Month)} $ **Factor Evaluation**: Performs well in CSI 500 and CSI 1000 spaces but shows mixed results in other index spaces [17][21][23]. - **Factor Name**: Standardized Unexpected Earnings (SUE) **Factor Construction Idea**: Measures the deviation of actual earnings from expected earnings, standardized by the standard deviation of expected earnings [17]. **Factor Construction Process**: $ \text{SUE} = \frac{\text{Actual Earnings} - \text{Expected Earnings}}{\text{Standard Deviation of Expected Earnings}} $ **Factor Evaluation**: Consistently performs well across multiple index spaces, indicating its robustness as a predictive factor [17][22][25]. - **Factor Name**: Delta ROE (DELTAROE) **Factor Construction Idea**: Measures the change in return on equity (ROE) compared to the same quarter in the previous year [17]. **Factor Construction Process**: $ \text{DELTAROE} = \text{Current Quarter ROE} - \text{ROE from the Same Quarter Last Year} $ **Factor Evaluation**: Demonstrates strong predictive power in CSI 500 and CSI A500 spaces, with moderate performance in other index spaces [17][21][25]. --- Factor Backtesting Results - **Three-Month Reversal**: - CSI 300: Weekly excess return 0.66%, monthly excess return 0.65%, YTD excess return 3.01% [19]. - CSI 500: Weekly excess return 0.79%, monthly excess return 1.17%, YTD excess return 4.07% [21]. - CSI 1000: Weekly excess return 1.09%, monthly excess return 1.40%, YTD excess return 0.38% [23]. - CSI A500: Weekly excess return 1.08%, monthly excess return 0.36%, YTD excess return 3.64% [25]. - **One-Year Momentum**: - CSI 300: Weekly excess return 0.46%, monthly excess return 0.36%, YTD excess return -1.85% [19]. - CSI 500: Weekly excess return 1.26%, monthly excess return 1.18%, YTD excess return 2.77% [21]. - CSI 1000: Weekly excess return 1.45%, monthly excess return 1.73%, YTD excess return 0.26% [23]. - CSI A500: Weekly excess return 0.74%, monthly excess return 0.87%, YTD excess return -2.03% [25]. - **SUE**: - CSI 300: Weekly excess return 0.51%, monthly excess return 2.15%, YTD excess return 3.03% [19]. - CSI 500: Weekly excess return -0.41%, monthly excess return 0.13%, YTD excess return 2.86% [21]. - CSI 1000: Weekly excess return -0.08%, monthly excess return 2.77%, YTD excess return 4.41% [23]. - CSI A500: Weekly excess return 0.47%, monthly excess return 1.63%, YTD excess return 2.04% [25]. - **Delta ROE (DELTAROE)**: - CSI 300: Weekly excess return 0.26%, monthly excess return 2.27%, YTD excess return 5.32% [19]. - CSI 500: Weekly excess return 0.58%, monthly excess return 2.49%, YTD excess return 4.03% [21]. - CSI 1000: Weekly excess return -1.15%, monthly excess return 0.74%, YTD excess return 3.01% [23]. - CSI A500: Weekly excess return 0.52%, monthly excess return 2.82%, YTD excess return 5.13% [25].

证券研究报告 | 2025年06月28日 核心观点 金融工程周报 港股精选组合绩效回顾 本周，港股精选组合绝对收益 3.88%，相对恒生指数超额收益 0.68%。 **Acknowledgement** I am grateful to my supervisor, who has been a great advisor of my supervisor, who has been a great advisor of my supervisor. 本年，港股精选组合绝对收益 38.64%，相对恒生指数超额收益 17.59%。 港股市场创新高热点板块跟踪 我们根据分析师关注度、股价相对强弱、股价路径平稳性、创新高连续性等 角度在过去 20 个交易日创出过 250 日新高的股票池中筛选出平稳创新高股 票。 近期，美丽田园医疗健康等股票平稳创出新高。 按照板块来看，创新高股票数量最多的是大金融板块，其次为医药、科技、 周期和消费板块，具体个股信息可参照正文。 风险提示：市场环境变动风险，模型失效风险。 港股市场一周回顾 宽基指数方面，本周恒生小型股指数本周收益最高，累计收益 4.51%；恒生 大型股指数本周收益 ...

- The report does not contain any quantitative models or factors for analysis[1][2][3]

- The report tracks the market trend by monitoring stocks, industries, and sectors that have reached new highs, using a 250-day high distance metric[11][12][13] - The 250-day high distance is calculated as: $ 250 \text{ day high distance} = 1 - \frac{Closet}{ts\_max(Close, 250)} $ where Closet is the latest closing price and ts_max(Close, 250) is the maximum closing price in the past 250 trading days[11] - As of June 27, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 1.88%, Shenzhen Component Index 9.71%, CSI 300 7.86%, CSI 500 7.38%, CSI 1000 5.07%, CSI 2000 1.91%, ChiNext Index 16.70%, and STAR 50 Index 12.30%[12][13] - The report identifies 832 stocks that reached a 250-day high in the past 20 trading days, with the highest numbers in the pharmaceutical, basic chemicals, and machinery industries[19][20] - The report also tracks "stable new high stocks" based on analyst attention, relative stock strength, trend continuity, price path stability, and new high sustainability, selecting 32 stocks such as Shenghong Technology, Shijia Photon, and Giant Network[26][28][29] - The selected stable new high stocks are mainly from the technology and large financial sectors, with the technology sector having the most new highs in the electronics industry and the large financial sector having the most new highs in the banking industry[29][30][32]

Investment Rating - The report maintains an "Outperform" rating for the North Exchange market [5] Core Insights - The liquidity of the North Exchange has significantly improved, and its market recognition is continuously increasing [1][2] - In 2024, the total operating revenue of North Exchange A-shares reached 181.981 billion, with a net profit of 11.256 billion [1][15] - The average operating revenue per company in 2024 was 0.682 billion, with a net profit average of 0.042 billion [1][15] - The North Exchange A-shares have shown a stable revenue average of over 6.8 billion in the past three years [1][32] Summary by Sections Overall Performance of North Exchange A-shares - In 2024, the total operating revenue was 1819.81 billion, and the net profit was 112.56 billion [1][15] - The average revenue per company was 6.82 billion, and the average net profit was 0.42 billion [1][15] - The highest revenue and net profit in 2024 were recorded by Better Ray, with revenues of 14.237 billion and net profits of 0.946 billion [25][27] Comparison with Other Markets - The average revenue of North Exchange A-shares has remained stable above 6.8 billion over the past three years, while the average revenue of the dual innovation board is above 20.10 billion [1][32] - The net profit average for North Exchange A-shares has fluctuated between 0.42 and 0.68 billion over the past five years, compared to 1.02 to 1.61 billion for the registered system entrepreneurial board [1][32] Valuation Metrics - The PE-TTM value of North Exchange A-shares has surpassed the main board starting in 2024, indicating improved market attractiveness [2][39] - The PB value of North Exchange A-shares has exceeded that of the main board and is comparable to the registered system entrepreneurial board, reflecting rapid improvement in asset pricing capability [2][42] Liquidity Indicators - The trading volume of North Exchange has significantly increased since November 2023, with 2024 trading volume reaching 29735.71 billion [2][50] - The turnover rate of North Exchange stocks has consistently been higher than that of the dual innovation board since November 2023 [2][50] R&D Indicators - The average R&D expenditure for North Exchange A-shares in 2024 was 0.3223 billion, with the highest being 0.77206 billion by Better Ray [28] - The market R&D ratio has significantly increased, reaching 74.5346% in 2024, surpassing Shenzhen A-shares and approaching Shanghai A-shares levels [3][59] Industry Breakdown - The top five industries by total revenue in North Exchange A-shares in 2024 were power equipment, basic chemicals, machinery, automotive, and computers [3] - The highest gross margin industries included machinery, pharmaceuticals, computers, power equipment, and automotive [3]

Investment Rating - The investment rating for the company is "Outperform the Market" [6] Core Views - The company is expected to maintain steady growth with a projected revenue of 11.22 billion yuan in 2024, representing a year-on-year increase of 20.14%. The net profit attributable to the parent company is forecasted to reach 2.52 billion yuan, a significant increase of 327.34% year-on-year [1] - The company is ranked sixth globally in power semiconductor market share, holding 3.3% of the market, and is the leading player in the domestic market [1] - The integrated circuit segment is anticipated to grow by 29% in 2024, with the IPM module revenue reaching 2.91 billion yuan, a year-on-year increase of 47% [2] - The discrete device segment is projected to generate revenue of 5.44 billion yuan in 2024, reflecting a year-on-year growth of 12.53%, with a focus on high-value products for automotive and photovoltaic applications [3] Summary by Sections Financial Performance - In 2024, the company achieved a revenue of 11.22 billion yuan, up 20.14% year-on-year, and a net profit of 2.52 billion yuan, up 327.34% year-on-year [1] - For Q1 2025, the company reported a revenue of 3 billion yuan, a year-on-year increase of 21.7%, with a net profit of 145 million yuan, reflecting a year-on-year growth of 8.96% [1] Segment Analysis - The integrated circuit segment's revenue in 2024 is expected to be 4.11 billion yuan, with a gross margin of 30.70%, up 1.23 percentage points year-on-year [2] - The discrete device segment's revenue is projected to be 5.44 billion yuan, with a gross margin of 13.53%, down 9.20 percentage points year-on-year [3] Profit Forecast - The net profit forecast for 2025 is 524 million yuan, with expected growth rates of 138.5% and 53.1% for 2026 and 2027, respectively [5] - The company’s gross margin is expected to improve, with projections of 23% for 2025, 2026, and 2027 [5]

Economic Growth Dynamics - The fundamental driver of economic growth is the dynamic balance between investment and consumption, where investment creates new supply and consumption represents demand[1] - GDP can be divided into capital income and non-capital income, with capital income being concentrated among a few individuals, leading to a low marginal propensity to consume[1] Investment Efficiency Decline - Since the 2009 financial crisis, China's capital-output ratio (K/GDP) has continuously increased, indicating that capital stock growth has outpaced GDP growth, resulting in declining investment efficiency[3] - From 2010 to 2020, China's capital income share remained relatively stable, while capital return rates (r) have been decreasing, indicating a negative correlation between K/GDP and r[3][4] Structural Challenges and Solutions - The current structural dilemma arises from declining investment efficiency and insufficient consumption demand, necessitating a shift from "heavy investment, light consumption" to activating domestic consumption, particularly in services[4] - A significant portion (70%) of fixed asset investment is related to construction and installation, while service consumption among residents remains notably low, contributing to capital idleness[4][5] Sustainable Growth Path - To achieve sustainable growth and avoid the "efficiency cliff," the growth engine must transition from a single "investment-driven" model to a dual "consumption-led, investment-responsive" model[4] - The investment evaluation system should incorporate "capital stock/GDP" and "capacity utilization" as core efficiency indicators to avoid ineffective capital accumulation[4] Risk Considerations - There are risks associated with model failure, tail risks, and uncertainties in domestic policy execution that could impact the effectiveness of proposed strategies[4][5]

Macro and Strategy - The bond market experienced a rebound in the first half of 2025, with credit spreads narrowing. The yield changes for 1-year and 10-year government bonds were +27 basis points and -3 basis points respectively, while credit spreads for AAA and AA-rated bonds decreased by 15 basis points and 22 basis points respectively [7][8]. - The government debt net financing reached 25,594 million in week 25 and is projected to be 67,140 million in week 26, with a cumulative total of 7 trillion, exceeding the previous year's total by 3.7 trillion [9][10]. Banking Industry - The stablecoin ecosystem in Hong Kong is analyzed, highlighting its operational mechanisms and the various participants involved, including issuers, asset management companies, and virtual asset trading platforms. The report emphasizes that stablecoins can enhance the efficiency and security of cross-border payments, although they may disrupt traditional banking operations [11][12]. - The launch of the cross-border payment system in China represents a diversification of the RMB cross-border payment framework, exploring various systems and pilot projects for stablecoin issuance [12]. Electric New Energy Industry - The solid-state battery industry is gaining traction due to policy support and technological advancements. The report notes that solid-state batteries offer high energy density and safety but face challenges such as high manufacturing costs and shorter lifespans. Major automotive companies are planning to scale up production by 2030 [13][14]. - The AIDC power equipment sector is highlighted, with high-voltage direct current (HVDC) technology presenting significant market opportunities for domestic manufacturers. The demand for power supply equipment in data centers is expected to grow substantially, with a projected market size of 108.7 billion by 2030 [15][16]. Automotive Industry - The trend towards steer-by-wire technology is accelerating, with the report indicating that the penetration rate for electronic brake systems (EHB) is nearing 60%. The market for steer-by-wire systems is expected to grow significantly, with projections of over 30% penetration by 2030 [17][19]. - The report discusses the transition from mechanical steering to electronic and steer-by-wire systems, with the current market for electronic power steering (EPS) valued at approximately 38 billion. The market is dominated by foreign joint ventures, but domestic companies are rapidly increasing their market share [18][20]. Company Analysis - The report on Tabo (06110.HK) indicates a mid-single-digit decline in total sales for Q1 2026, with online sales channels showing positive growth. The company is managing inventory effectively, with a focus on improving profitability amid a challenging consumer environment [21][23].