Quantitative Models and Construction Methods Model Name: Guosen Golden Engineering Hong Kong Stock Selection Portfolio - **Model Construction Idea**: The model aims to perform dual-layer selection based on fundamental and technical aspects from the analyst-recommended stock pool[14][15] - **Model Construction Process**: - Construct the analyst-recommended stock pool based on events such as analyst upward earnings forecast, first-time attention, and analyst report title exceeding expectations[15] - Perform fundamental and technical selection on the stocks in the analyst-recommended stock pool, selecting stocks with both fundamental support and technical resonance[15] - Backtesting period: 2010-01-01 to 2024-12-31, considering transaction costs in a full position state, the annualized return of the portfolio is 17.02%, and the excess return relative to the Hang Seng Index reaches 17.60%[15] - **Model Evaluation**: The model shows a significant annualized return and excess return relative to the Hang Seng Index, indicating strong performance[15] Model Backtesting Results - **Guosen Golden Engineering Hong Kong Stock Selection Portfolio**: - **Absolute Return**: -6.47% (weekly), 33.46% (year-to-date)[17] - **Excess Return Relative to Hang Seng Index**: -4.96% (weekly), 16.16% (year-to-date)[17] - **Annualized Return**: 17.02%[18] - **Excess Return Relative to Hang Seng Index**: 17.60%[18] - **Information Ratio (IR)**: 1.19[18] - **Tracking Error**: 14.45%[18] - **Return Drawdown Ratio**: 0.74[18] - **Maximum Drawdown**: 23.73%[18] Quantitative Factors and Construction Methods Factor Name: 250-Day New High Distance - **Factor Construction Idea**: The factor measures the distance from the latest closing price to the highest closing price in the past 250 trading days, indicating the stock's momentum and trend-following effectiveness[21] - **Factor Construction Process**: - Formula: $ 250 \text{ Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ - $\text{Close}_{t}$ represents the latest closing price - $\text{ts\_max(Close, 250)}$ represents the maximum closing price in the past 250 trading days[21] - If the latest closing price hits a new high, the 250-day new high distance is 0; if the latest closing price falls back from the new high, the 250-day new high distance is positive, indicating the extent of the fallback[21] - **Factor Evaluation**: The factor effectively captures the stock's momentum and trend-following characteristics, which are significant in the Hong Kong stock market[19][21] Factor Backtesting Results - **250-Day New High Distance**: - **Absolute Return**: 55.9% (Anhui Wantong Expressway), 53.7% (SF Express), 44.4% (Jiangsu Ninghu Expressway)[27] - **20-Day Return**: 22.7% (Anhui Wantong Expressway), 65.1% (SF Express), 13.2% (Jiangsu Ninghu Expressway)[27] - **250-Day New High Distance**: 0.0% (Anhui Wantong Expressway), 0.0% (SF Express), 0.0% (Jiangsu Ninghu Expressway)[27] Additional Information - **Analyst Attention**: Stocks with at least 5 buy or hold ratings in the past 6 months[22] - **Relative Strength**: Stocks with 250-day return in the top 20% of the sample pool[22] - **Price Stability**: Comprehensive scoring using price displacement ratio and 250-day new high distance mean in the past 120 days[22] - **Trend Continuation**: 250-day new high distance mean in the past 5 days, selecting the top 50 stocks[22]

证券研究报告 | 2025年06月21日 多因子选股周报 估值因子表现出色，中证 1000 增强组合年内超额 12.61% 核心观点 金融工程周报 国信金工指数增强组合表现跟踪 因子表现监控 以沪深 300 指数为选股空间。最近一周，预期 EPTTM、单季 EP、EPTTM 等因子表现较好，而一年动量、高管薪酬、非流动性冲击等因子表现较差。 以中证 500 指数为选股空间。最近一周，BP、预期 BP、预期 EPTTM 等因 子表现较好，而一年动量、三个月机构覆盖、非流动性冲击等因子表现较差。 以中证 1000 指数为选股空间。最近一周，BP、一个月换手、三个月波动等 因子表现较好，而一年动量、三个月机构覆盖、单季 ROE 等因子表现较差。 以中证 A500 指数为选股空间。最近一周，单季 EP、预期 EPTTM、预期 PEG 等因子表现较好，而三个月反转、一年动量、一个月反转等因子表现 较差。 以公募重仓指数为选股空间。最近一周，预期 EPTTM、单季 EP、预期 PEG 等因子表现较好，而一年动量、三个月机构覆盖、预期净利润环比等因子表 现较差。 公募基金指数增强产品表现跟踪 目前，公募基金沪深 300 指 ...

证券研究报告 | 2025年06月21日 主动量化策略周报 低估值风格抗跌，成长稳健组合年内排名主动股基前 6% 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-0.21%，相对偏股混合型基金指数超 额收益 1.44%。本年，优秀基金业绩增强组合绝对收益 2.35%，相对偏股混 合型基金指数超额收益-1.54%。今年以来，优秀基金业绩增强组合在主动股 基中排名 46.01%分位点（1596/3469）。 优秀基金业绩增强组合： 在构建量化组合时，从传统地对标宽基指数，转变为对标主动股基。在借鉴 优秀基金持仓的基础上，采用量化方法进行增强，达到优中选优的目的。 超预期精选组合： 以研报标题超预期与分析师全线上调净利润为条件筛选超预期事件股票池， 接着对超预期股票池进行基本面和技术面两个维度的精选，挑选出同时具备 基本面支撑和技术面共振的超预期股票，构建超预期精选股票组合。 本周，超预期精选组合绝对收益-2.84%，相对偏股混合型基金指数超额收益 -1.19%。本年，超预期精选组合绝对收益 12.67%，相对偏股混合型基金指 数超额收益 8.78%。今年以来，超预期精选 ...

- The report discusses the market performance of various indices, highlighting that the SSE 50 Index performed well with a 0.31% increase, while the CSI 500 Index and CSI 1000 Index declined by 0.66% and 0.80%, respectively[6] - The report also notes that the banking, transportation, food and beverage, non-bank financial, and home appliance sectors performed well, with returns of 1.19%, 0.96%, 0.76%, 0.56%, and 0.33%, respectively[7] - The report provides details on market sentiment, indicating that 51 stocks hit their daily limit up and 21 stocks hit their daily limit down at the close of trading[12] - The report includes information on the financing and securities lending balance, which stood at 18,209 billion yuan as of June 19, 2025, with a financing balance of 18,092 billion yuan and a securities lending balance of 117 billion yuan[17] - The report discusses the premium and discount rates of ETFs, noting that the China Securities 2000 ETF had the highest premium at 1.38%, while the Small and Medium 100 ETF had the highest discount at 0.93% on June 19, 2025[22] - The report provides data on block trading, indicating that the average daily transaction amount for block trades over the past six months was 1.3 billion yuan, with a discount rate of 3.21% on June 19, 2025[24] - The report includes information on the annualized discount rates of major stock index futures contracts, noting that the SSE 50 Index futures contract had an annualized discount rate of 5.51% on June 20, 2025, while the CSI 300, CSI 500, and CSI 1000 Index futures contracts had annualized discount rates of 7.30%, 11.33%, and 13.58%, respectively[26] - The report highlights the stocks that received significant institutional attention over the past week, with Lexin Technology being the most researched stock by 253 institutions[29] - The report provides data on the net inflows and outflows of institutional seats on the Dragon and Tiger List, with Limin Co., Ltd., Saisheng Pharmaceutical, and Haike New Source having the highest net inflows, while Xiexin Energy Technology, Keheng Co., Ltd., and Anglikang had the highest net outflows[34][35]

Investment Rating - The report maintains an "Outperform" rating for the automotive industry [6][4]. Core Insights - Tesla is set to launch Robotaxi pilot operations in Texas on June 22, 2025, with an initial fleet of 10 Model Y vehicles [16]. - Xiaopeng G7 has begun pre-orders at a price of 235,800 yuan, featuring the Turing AI chip and AR-HUD technology [19]. - The penetration rate of L2 and above smart driving functions in passenger vehicles reached 24.3% in April 2025, up 11 percentage points year-on-year [3]. - The market for automotive smart components is expanding, with significant growth in the adoption of high-resolution cameras and advanced driving chips [2][3]. Summary by Sections Industry News - Tesla's Robotaxi pilot program is launching soon [16]. - Xiaopeng G7 is now available for pre-order, showcasing advanced AI capabilities [19]. - GAC Aion's autonomous vehicles are undergoing public road tests in Guangzhou and Shenzhen [1]. High-Frequency Core Data Updates - The penetration rate of 8 million pixel cameras in passenger vehicles reached 32.9% in April 2025, a year-on-year increase of 18 percentage points [2]. - NVIDIA's driving chip market share increased to 57% in April 2025 [2]. - The market share of LiDAR in passenger vehicles rose to 8% [2]. Smart Driving - The penetration rate of L2 and above smart driving functions in passenger vehicles increased by 4.3 percentage points year-on-year [3]. - The penetration rates for front-view cameras, forward millimeter-wave radar, and LiDAR were 65.8%, 55.8%, and 8.2%, respectively [3]. Investment Recommendations - Recommended companies include Xiaopeng Motors, Leap Motor, and Geely for complete vehicles [4]. - For components, recommended companies include SUTENG Technology, Hesai Technology, and Horizon Robotics [4]. Key Company Earnings Forecast and Investment Ratings - Companies such as Xingyu Co., Ltd., and Kobot are rated as "Outperform" with projected earnings per share (EPS) growth [5].

Group 1: High-tech Manufacturing Index - The Guosen weekly high-tech manufacturing diffusion index A recorded 0, while index B remained at 50.8, unchanged from the previous period[1] - The price of dynamic random access memory (DRAM) increased to $1.3300, up by $0.112 from last week[2] - The price of acrylonitrile decreased to ¥8200 per ton, down by ¥100 from last week, impacting the aerospace industry's performance[2] Group 2: Price Trends and Industry Insights - The price of 6-amino penicillanic acid remained stable at ¥260 per kilogram[2] - The price of lithium hexafluorophosphate remained unchanged at ¥52,200 per ton[2] - The price index for electronic products in Zhongguancun, specifically liquid crystal displays, reported a stable value of 91.04[2] Group 3: Policy and Market Developments - The 2025 New Energy Vehicle initiative launched on June 15, featuring 124 models, significantly increasing the variety available to consumers[2] - AI unicorn MiniMax is considering an IPO in Hong Kong, currently in preliminary preparation stages[2] Group 4: Economic Indicators - Fixed asset investment cumulative year-on-year growth stands at 3.70%[4] - Retail sales growth for the month is at 6.40% year-on-year[4] - Monthly export growth is recorded at 4.80% year-on-year[4] - M2 money supply growth is at 7.90%[4]

- 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 20, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 3.72%, Shenzhen Component Index 12.96%, CSI 300 9.62%, CSI 500 10.92%, CSI 1000 9.26%, CSI 2000 7.07%, ChiNext Index 21.19%, and STAR 50 Index 14.99%[2][12][13] - The report identifies 816 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[3][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 26 stocks such as Sijia Photon, Shenghong Technology, and Boryung Pharmaceutical[3][25][27] - The selected stable new high stocks are mainly from the financial and cyclical sectors, with the financial sector having the most new highs in the banking industry and the cyclical sector in the basic chemicals industry[3][28][29]

Investment Rating - The investment rating for the industry is "Outperform the Market" (maintained) [2][29]. Core Insights - The 2025 Lujiazui Forum indicates a direction for future financial reforms, emphasizing structural adjustments in investment and financing over mere quantitative stimulus. The forum highlighted eight financial opening measures announced by the central bank, suggesting that the market may have underestimated the implications of these measures on financial market openness and structural reforms [3][4]. - The forum reinforced the core function of financial services to support the real economy, particularly in technology innovation, while also deepening high-level financial openness. The international monetary system and cross-border payment systems are evolving towards diversification, with the renminbi becoming the third-largest payment currency globally [4][5][6]. Summary by Sections Financial Asset Investment Companies - The regulatory support for financial asset investment companies is increasing, allowing national banks to establish these companies to engage in equity direct investment and support technology innovation enterprises. As of now, five financial asset investment companies have been established, with significant capital commitments exceeding 350 billion yuan [8][10][24]. - The expansion of financial asset investment companies is expected to enhance the competitiveness of national banks, particularly state-owned banks and China Merchants Bank [25]. Capital Market Developments - The establishment of a "Growth Layer" in the Sci-Tech Innovation Board aims to better support high-quality technology enterprises in obtaining financing for innovation. The introduction of the "1+6" policy measures will facilitate the integration of technology innovation and industrial innovation [12][11]. - In 2025, the IPO landscape has been dominated by the Sci-Tech Innovation Board and the Growth Enterprise Market, with significant fundraising activities indicating strong market support for technology enterprises [11][12]. Insurance Sector - The long-term stock investment pilot program is progressing, expected to bring stable medium- to long-term incremental funds to the capital market. The total scale of the pilot program has reached 2.22 billion yuan, with major insurance companies participating [21][22]. - The long-term investment strategy is aimed at enhancing the equity investment scale and proportion of insurance companies, focusing on high-quality equity assets for long-term investment opportunities [25].

Investment Rating - The report maintains an "Outperform" rating for the food and beverage industry [4][5][8]. Core Insights - The evolution of consumption is driven by changes in lifestyle, influenced by technology, economy, and culture, leading to diverse consumption scenarios and new business models [1][3][16]. - Chinese consumer goods companies are well-positioned to become international brands due to advanced infrastructure and changing consumer preferences [2][4]. - The report identifies three main consumer groups: Generation Z, the Silver Economy, and the Middle Class, each with distinct consumption needs and behaviors [2][3][4]. Summary by Sections Research Framework - The report establishes a framework linking lifestyle changes to consumption patterns, emphasizing the need for businesses to adapt to consumer-centric models [1][17][18]. Historical Perspective - The report outlines the evolution of consumption in China from survival-based needs to quality-oriented consumption, highlighting the correlation between lifestyle changes and consumption characteristics across different historical phases [23][24][32]. Future Outlook - The report anticipates continued growth in digital economy, self-care consumption, emotional value consumption, health-focused products, convenience-driven services, and value-oriented spending [3][4][5]. Key Company Recommendations - The report recommends investment in companies such as Wei Long, Yan Jin Beer, Dongpeng Beverage, and Guizhou Moutai, all rated as "Outperform" [4][8].

证券研究报告 | 2025年06月20日 港股 2025 年下半年投资策略 优于大市 港股业绩靓丽，进可攻，退可守 海外：滞胀的担忧。上半年全球经济增速被不断下修，全球 PMI 可能已经见 到年内高点。美国、日本的债务负担较重，都暴露出一定的问题，其中美国 半年财报赤字高达 1.3 万亿美元（全年预算 1.9 万亿美元恐大幅超支），OBBB 法案将继续追加每年 2400-5000 亿美元赤字；日本央行去 YCC 导致债券流动 性堪忧。在这样的背景下，美国的关税、日本的米价、欧洲的能源，可能会 成为下半年滞胀的三个导火索。我们对美国核心通胀的预测是年内到 3.9， 这比市场预期高很多。鉴于此，我们下半年不再看好美股，投资者应该转向 现金、短债、黄金等避险资产。 国内：消费国补与专项债拉动经济。国内经济有两个显著亮点，其一是地 方政府专项债的大幅增加，通过加大对基础设施的投资，可以拉动相关 产业的发展，促进就业，并带动上下游产业链的增长。其二是国补对消 费的刺激显现，5 月社零同比大超预期，同比高达 6.4%，其中家电、家 具、通信器材、体育用品、珠宝等具有较快的增长。 此外，我们观察 4 月 7 日，将 A 股 ...