Report Industry Investment Rating No relevant content provided. Core Views - Last week, after the release of May economic data, with the year-on-year growth rate of social consumption reaching 6.4% and the estimated monthly GDP at 5.0%, and the tightening of the capital market, bond yields continued to decline, and non-active ultra-long bonds rose significantly. The trading activity of ultra-long bonds increased slightly, and the term spread remained flat while the variety spread widened [1][3][11]. - As of June 20, the spread between 30-year treasury bonds and 10-year treasury bonds was 20BP, at a historically low level. The May economic data showed resilience, with an estimated GDP growth rate of about 5.0%, a 0.1% decline from April but still higher than the annual target. With deflation risks, a decline in exports, a negative month-on-month change in housing prices, and a decrease in capital interest rates, the bond market sentiment improved. It is expected that the bond market is more likely to continue rising in the short term, but the term spread protection is limited [2]. - As of June 20, the spread between 20-year CDB bonds and 20-year treasury bonds was 4BP, at a historically extremely low level. Similar to the 30-year treasury bonds, considering the economic situation and market conditions, the bond market is expected to rise in the short term, but the variety spread protection is limited [3]. Summary by Directory Weekly Review Ultra-long Bond Review - After the release of May economic data, with the year-on-year growth rate of social consumption reaching 6.4% and the estimated monthly GDP at 5.0%, and the tightening of the capital market, bond yields continued to decline, and non-active ultra-long bonds rose significantly. The trading activity of ultra-long bonds increased slightly and was quite active. The term spread remained flat, and the variety spread widened [1][11]. Ultra-long Bond Investment Outlook - **30-year Treasury Bonds**: As of June 20, the spread between 30-year and 10-year treasury bonds was 20BP, at a historically low level. The May economic data showed resilience, with an estimated GDP growth rate of about 5.0%, a 0.1% decline from April but still higher than the annual target. With deflation risks, a decline in exports, a negative month-on-month change in housing prices, and a decrease in capital interest rates, the bond market sentiment improved. It is expected that the bond market is more likely to continue rising in the short term, but the term spread protection is limited [2][12]. - **20-year CDB Bonds**: As of June 20, the spread between 20-year CDB bonds and 20-year treasury bonds was 4BP, at a historically extremely low level. Similar to the 30-year treasury bonds, considering the economic situation and market conditions, the bond market is expected to rise in the short term, but the variety spread protection is limited [3][13]. Ultra-long Bond Basic Overview - The balance of outstanding ultra-long bonds exceeded 21.6 trillion. As of May 31, the total amount of ultra-long bonds with a remaining term of over 14 years was 216,823 billion (excluding asset-backed securities and project revenue notes), accounting for 14.4% of the total bond balance. Local government bonds and treasury bonds were the main varieties. By variety, treasury bonds accounted for 26.1%, local government bonds 67.8%, policy financial bonds 2.1%, government agency bonds 2.0%, commercial bank subordinated bonds 0.2%, corporate bonds 0.5%, enterprise bonds 0.1%, medium-term notes 1.2%, private bonds 0.0%, and directional instruments 0.0%. By remaining term, the 14 - 18-year (inclusive) category accounted for 26.7%, the 18 - 25-year (inclusive) 26.9%, the 25 - 35-year (inclusive) 40.3%, and over 35 years 6.2% [14]. Primary Market Weekly Issuance - Last week (June 16 - 20, 2025), the issuance of ultra-long bonds was relatively small, with a total issuance of 1,147 billion yuan. Compared with the week before last, the total issuance of ultra-long bonds increased significantly. By variety, treasury bonds accounted for 500 billion, local government bonds 505 billion, policy bank bonds 0 billion, government-supported agency bonds 0 billion, medium-term notes 30 billion, corporate bonds 113 billion, directional instruments 0 billion, enterprise bonds 0 billion, and bank subordinated bonds 0 billion. By term, 149 billion were issued with a term of 15 years, 684 billion with 20 years, 315 billion with 30 years, and 0 billion with 50 years [19]. This Week's Pending Issuance - The announced issuance plan for ultra-long bonds this week totals 3,663 billion. By variety, ultra-long treasury bonds account for 710 billion, ultra-long local government bonds 2,788 billion, ultra-long corporate bonds 0 billion, and ultra-long medium-term notes 165 billion [25]. Secondary Market Trading Volume - Last week, the trading of ultra-long bonds was quite active, with a trading volume of 11,298 billion, accounting for 11.0% of the total bond trading volume. By variety, the trading volume of ultra-long treasury bonds was 7,764 billion, accounting for 29.8% of the total treasury bond trading volume; ultra-long local bonds 2,799 billion, accounting for 51.4% of the total local bond trading volume; ultra-long policy financial bonds 103 billion, accounting for 0.3% of the total policy financial bond trading volume; and ultra-long government agency bonds 89 billion, accounting for 78.8% of the total government agency bond trading volume. The trading activity of ultra-long bonds increased slightly compared with the week before last, with an increase of 2,330 billion in trading volume and a 0.1% increase in the proportion. Among them, the trading volume of ultra-long treasury bonds increased by 1,474 billion, but the proportion decreased by 6.3%; the trading volume of ultra-long local bonds increased by 388 billion, and the proportion increased by 3.5%; the trading volume of ultra-long policy financial bonds decreased by 5 billion, and the proportion decreased by 0.1%; the trading volume of ultra-long government agency bonds increased by 66 billion, and the proportion increased by 66.2% [28]. Yield - After the release of May economic data, with the year-on-year growth rate of social consumption reaching 6.4% and the estimated monthly GDP at 5.0%, and the tightening of the capital market, bond yields continued to decline. For treasury bonds, the yields of 15-year, 20-year, 30-year, and 50-year bonds changed by -3BP, -5BP, -1BP, and -5BP to 1.78%, 1.87%, 1.84%, and 1.95% respectively. For CDB bonds, the yields of 15-year, 20-year, 30-year, and 50-year bonds changed by -5BP, -6BP, -1BP, and -5BP to 1.86%, 1.90%, 2.02%, and 2.19% respectively. For local bonds, the yields of 15-year, 20-year, and 30-year bonds changed by -5BP, -4BP, and -4BP to 1.98%, 2.03%, and 2.03% respectively. For railway bonds, the yields of 15-year, 20-year, and 30-year bonds changed by -5BP, -4BP, and -4BP to 1.92%, 1.95%, and 2.05% respectively. For representative individual bonds, the yield of the 30-year treasury bond active bond 24 Special Treasury Bond 06 changed by -2BP to 1.88%, and the yield of the 20-year CDB bond active bond 21 CDB 20 changed by -5BP to 1.89% [44][45]. Spread Analysis - **Term Spread**: Last week, the term spread of ultra-long bonds remained flat, and the absolute level was low. The spread between the benchmark 30-year and 10-year treasury bonds was 20BP, unchanged from the week before last, at the 4% percentile since 2010 [53]. - **Variety Spread**: Last week, the variety spread of ultra-long bonds widened, and the absolute level was low. The spread between the benchmark 20-year CDB bonds and treasury bonds was 4BP, and the spread between 20-year railway bonds and treasury bonds was 9BP, with a 0BP and 1BP change from the week before last respectively, at the 6% and 5% percentiles since 2010 [54]. 30-year Treasury Bond Futures - Last week, the main 30-year treasury bond futures contract TL2509 closed at 121.32 yuan, an increase of 0.68%. The total trading volume was 327,300 lots (5,583 lots), and the open interest was 137,700 lots (13,009 lots). The trading volume and open interest increased slightly compared with the week before last [60].

证券研究报告 | 2025年06月22日 港股市场速览 优于大市 医药消费回撤，石油机械逆势吸金 股价表现：医药与消费带动市场总体回撤 本周，恒生指数跌 1.5%，恒生科技跌 2.0%。风格方面，大盘（恒生大型股 -1.4%）＞小盘（恒生小型股-2.0%）＞中盘（恒生中型股-3.3%）。 概念指数多数下跌，跌幅较小的有：恒生金融（-0.3%）；跌幅较大的有： 恒生创新药（-8.8%）、恒生消费（-4.3%）。 港股通行业中，2 个行业上涨，28 个行业下跌。上涨的有：电子（+3.0%）、 银行（+0.9%）；下跌的主要有：医药（-7.5%）、国防军工（-5.7%）、基 础化工（-5.4%）、轻工制造（-5.2%）、消费者服务（-5.2%）。 资金强度：总体持续流出，石油机械逆势吸金 本周，资金持续流出港股通成分股，总体日均资金强度（日均涨跌 x 日均 成交量）为-5.8 亿港元/日，上周为-8.0 亿港元/日，近 4 周平均为-1.6 亿 港元/日；近 13 周为-0.4 亿港元/日。 分行业看，8 个行业资金流入，21 个行业资金流出，1 个基本持平。资金流 入的主要有：机械（+1.3 亿港元/日）、电子（ ...

Economic Growth Indicators - The Guosen High-Frequency Macro Diffusion Index A turned negative, while Index B showed seasonal decline, indicating stable economic growth momentum[1] - The standardized Index B decreased by 0.14, aligning with historical averages, suggesting steady domestic economic performance[1] - Investment sector sentiment declined, while consumption and real estate sectors remained stable[1] Price Trends - Food prices are expected to decrease by approximately 0.5% month-on-month in June, while non-food prices are projected to remain flat, leading to an overall CPI decrease of about 0.1%[2] - The June PPI is anticipated to decline by around 0.3% month-on-month, with a year-on-year drop to -3.4%[2] Asset Price Predictions - Current domestic interest rates are low, while the Shanghai Composite Index is high, indicating a potential rise in the ten-year government bond yield and a decline in the Shanghai Composite Index next week[1][19] - The predicted ten-year government bond yield for the week of June 27, 2025, is 2.20%, while the Shanghai Composite Index is forecasted to be 3,101.19[20] Core Economic Data - Fixed asset investment cumulative year-on-year growth stands at 3.70%[3] - Retail sales total monthly year-on-year growth is at 6.40%[3] - Monthly export growth is recorded at 4.80%[3] - M2 money supply growth is at 7.90%[3]

Market Overview - The S&P 500 index decreased by 0.2% while the Nasdaq increased by 0.2% this week[3] - Small-cap growth stocks (Russell 2000 Growth) rose by 0.6%, outperforming small-cap value (Russell 2000 Value) which increased by 0.3%[3] Sector Performance - The banking sector led gains with a rise of 3.4%, followed by technology hardware and equipment (+2.2%) and semiconductor products and equipment (+1.4%)[3] - The pharmaceutical, biotechnology, and life sciences sector saw the largest decline at -3.9%, followed by telecommunications (-2.4%) and media and entertainment (-1.6%)[3] Fund Flows - Estimated fund inflow for S&P 500 components was $1.09 billion this week, down from $4.93 billion last week[4] - Financials attracted the most capital with an inflow of $2.25 billion, while media and entertainment experienced the largest outflow at -$860 million[19] Earnings Forecast - The dynamic F12M EPS forecast for S&P 500 components was adjusted up by 0.3% this week, consistent with the previous week[5] - The energy sector saw the largest upward revision in earnings expectations (+0.6%), while durable goods experienced a significant downward adjustment (-1.8%) in forecasts[5] Economic Risks - Key risks include uncertainties in economic fundamentals, international political situations, U.S. fiscal policy, and Federal Reserve monetary policy[5]

Investment Rating - The report maintains an "Outperform" rating for the cobalt industry [1] Core Insights - The global cobalt supply chain is highly dependent on the Democratic Republic of the Congo (DRC), which accounts for over 50% of global cobalt reserves and over 70% of production. In 2024, DRC's cobalt production is expected to reach approximately 220,000 metric tons, a year-on-year increase of about 25%, representing 76.4% of global market share [4][30] - Indonesia's nickel-cobalt projects are reshaping the industry landscape, with MHP production expected to grow significantly, leading to a projected cobalt output of 28,000 metric tons in 2024, accounting for about 10% of global production [4][42] - The lithium battery sector is the main driver of global cobalt consumption, with a projected consumption of 222,000 metric tons in 2024, a year-on-year increase of approximately 14%. The electric vehicle sector is expected to consume about 95,000 metric tons, a 21% increase [4][42] - The DRC's policy adjustments in response to supply-demand imbalances have led to fluctuations in cobalt prices, with domestic prices expected to rebound above 250,000 yuan per ton in 2024 [4] Summary by Sections Supply and Demand Dynamics - The DRC's cobalt production is projected to grow significantly due to the performance of major mining companies like Luoyang Molybdenum, which is expected to produce approximately 114,200 metric tons of cobalt in 2024, a 106% increase year-on-year [4][30] - The DRC's decision to suspend cobalt raw material exports for four months aims to address oversupply issues, which is expected to impact global cobalt supply by over 100,000 metric tons [4] Industry Structure - The cobalt industry is characterized by a concentration of resources, with major players including Luoyang Molybdenum, Glencore, and others controlling significant portions of the market [4][16] - Indonesia's MHP production is rapidly increasing, with a projected output of 323,000 metric tons of nickel in 2024, which will also enhance cobalt production [4][42] Market Trends - The report highlights a recovery in global demand for consumer electronics, with smartphone shipments expected to reach 1.24 billion units in 2024, marking a 6.4% increase [4] - The DRC's cobalt price adjustments and export policies are expected to influence market dynamics significantly, with long-term implications for pricing power in the cobalt market [4]

Group 1 - The core viewpoint emphasizes that the rise of new consumption is a result of specific economic cycles and social changes, with optional consumption surpassing essential consumption in the US and Japan during key periods of economic transformation [1][2][3] - Historical experiences from the US stock market show that optional consumption sectors have significantly outperformed essential consumption sectors, particularly during the 1970s and post-2009, driven by factors such as rising disposable income and shifts in consumer behavior [1][2] - The financial characteristics of new consumption reveal that sectors within optional consumption have seen increasing debt ratios while effectively managing risks, leading to improved fundamentals and higher valuation premiums [2][3] Group 2 - The driving factors behind the shift from essential to optional consumption include continuous growth in disposable income, technological advancements, and changes in demographic structures and consumer attitudes, particularly among younger generations [3][4] - The market structure is evolving, with leading companies in optional consumption leveraging scale effects and brand advantages to consolidate their market positions, as evidenced by successful companies in Japan's toy, beauty, and gaming sectors [3][4] - The report suggests that the experiences from the US and Japan can inform current investment strategies in the A-share market, focusing on sectors that meet diverse consumer needs and exhibit high growth potential [4][10]

证券研究报告 | 2025年6月21日 估值周观察(6月第4期) 日韩估值扩张 策略研究 · 专题报告 证券分析师：王开 021-60933132 wangkai8@guosen.com.cn S0980521030001 证券分析师：陈凯畅 021-60375429 chengkaichang@guosen.com.cn S0980523090002 请务必阅读正文之后的免责声明及其项下所有内容 核心观点 请务必阅读正文之后的免责声明及其项下所有内容 • 近一周（2025.6.16-2025.6.20）海外市场分化明显，日韩估值扩张。美股横盘震荡，欧股普跌，亚太多数走强，韩国持续强劲，韩国 综合指数和KOSPI50涨幅均超过4%，港股结束上涨趋势，指数均回调超1%。估值方面，日韩温和扩张，其余市场整体小幅收缩。德国 DAX指数虽下跌0.7%，但PE扩张1.04x，为唯一PE变化幅度超过1x的指数。港股除恒生科技指数，其余估值分位数仍处高位区间。韩 国综合指数各项估值分位数快速拉升，滚动1年PE分位数从20%到86%，PS分位数位于极高水平。 • A股核心宽基全线下跌，中小盘成长估值大幅收缩。近一周(2025 ...

证券研究报告 | 2025年06月21日 2025 年 5 月财政数据快评 收支两端同时走弱，财政力度指数回落 经济研究·宏观快评 | 证券分析师： | 董德志 | 021-60933158 | dongdz@guosen.com.cn | 执证编码：S0980513100001 | | --- | --- | --- | --- | --- | | 联系人： | 王奕群 | | wangyiqun1@guosen.com.cn | | 事项： 财政部公布 2025 年 1-5 月财政数据，全国一般公共预算收入 96623 亿元，同比下降 0.3%。其中，全国税 收收入 79156 亿元，同比下降 1.6%；非税收入 17467 亿元，同比增长 6.2%。全国一般公共预算支出 112953 亿元，同比增长 4.2%。分中央和地方看，中央一般公共预算本级支出 15792 亿元，同比增长 9.4%；地方 一般公共预算支出 97161 亿元，同比增长 3.4%。 一般公共预算：收支同时转弱，基建支出显著下滑 评论： 一般公共收入转弱，税收、非税收入均回落。5 月一般公共预算收入当月同比 0.1%，前值 1.9%。税 ...

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 ...