Quantitative Models and Factor Construction Quantitative Models and Construction Methods 1. **Model Name**: Dynamic Factor Adjustment Model **Model Construction Idea**: Combines factor momentum and reversal characteristics to dynamically adjust factor selection based on historical performance and failure probabilities[4][80][82] **Model Construction Process**: - Evaluate factor momentum using the average RankIC over the past 6 months and the average RankICIR over the past 3-12 months[4][82] - Calculate conditional failure probabilities by rolling one year of historical data to assess the likelihood of a factor transitioning from effective to ineffective[74][87] - Exclude factors with high failure probabilities and assign scores based on momentum and failure probabilities. Select the top N factors with the highest scores for equal-weighted scoring in each period[82][87][88] **Model Evaluation**: The model effectively balances momentum and reversal characteristics, reducing the impact of unstable factors and improving robustness in factor selection[82][87] 2. **Model Name**: "2+3" Dynamic Factor Model for Small-Cap Stocks **Model Construction Idea**: Combines two fixed factors (valuation and volatility) with three dynamically selected high-momentum factors to construct a robust small-cap stock selection model[98][99] **Model Construction Process**: - Fixed factors: Valuation (BTOP) and volatility (VOLATILITY) are always included due to their stable and significant performance in small-cap pools[98][99] - Dynamic factors: Exclude factors with conditional failure probabilities above 80% and select the top 3 factors based on medium- and long-term momentum scores[98][99] - Construct a portfolio of 50 equally weighted stocks based on the selected factors[98][103] **Model Evaluation**: The model demonstrates strong performance in small-cap pools, with high momentum and low reversal failure probabilities, making it robust against overfitting[98][103] 3. **Model Name**: "Exclusion + Scoring" Model for Large-Cap Stocks **Model Construction Idea**: Focuses on stricter exclusion of high-failure-probability factors and integrates failure information into the scoring process for large-cap stock selection[109][110] **Model Construction Process**: - Exclude factors with conditional failure probabilities above 70%[109][110] - Combine failure indicators into the momentum scoring model, selecting the top 5 factors with the highest comprehensive scores[109][110] - Construct a portfolio of 50 equally weighted stocks based on the selected factors[109][113] **Model Evaluation**: The model effectively addresses the high sensitivity and extreme reversals in large-cap pools, improving stability and performance[109][113] Model Backtesting Results 1. **Dynamic Factor Adjustment Model**: - Annualized return: 8.83% - Sharpe ratio: 0.42 - Excess annualized return: 11.47% - Maximum drawdown: 38.67%[103] 2. **"2+3" Dynamic Factor Model for Small-Cap Stocks**: - Annualized return: 8.83% - Sharpe ratio: 0.42 - Excess annualized return: 11.47% - Maximum drawdown: 38.67%[103] 3. **"Exclusion + Scoring" Model for Large-Cap Stocks**: - Annualized return: 8.40% - Sharpe ratio: 0.40 - Excess annualized return: 8.32% - Maximum drawdown: 36.40%[113] Quantitative Factors and Construction Methods 1. **Factor Name**: Valuation (BTOP) **Factor Construction Idea**: Measures the book-to-price ratio to capture undervalued stocks[8][39] **Factor Construction Process**: Calculate the ratio of book value to current market value for each stock[8][39] **Factor Evaluation**: Demonstrates stable and significant performance in small-cap pools, with strong selection ability in various market conditions[39][98] 2. **Factor Name**: Volatility (VOLATILITY) **Factor Construction Idea**: Measures the residual volatility of stock returns to identify low-risk stocks[8][50] **Factor Construction Process**: Calculate the standard deviation of residuals from a time-series regression of stock returns[8][50] **Factor Evaluation**: Performs well in both small-cap and large-cap pools, with low failure probabilities and consistent selection ability[50][98] 3. **Factor Name**: Earnings (EARNING) **Factor Construction Idea**: Measures earnings yield to capture profitability[8][39] **Factor Construction Process**: Calculate the ratio of earnings to market value for each stock[8][39] **Factor Evaluation**: Strong selection ability in large-cap pools, with stable performance across different market conditions[39][113] Factor Backtesting Results 1. **Valuation (BTOP)**: - RankICIR: Consistently ranks in the top 2 across small-cap pools[39][98] 2. **Volatility (VOLATILITY)**: - RankICIR: Demonstrates stable negative expression across all pools, with low failure probabilities[50][98] 3. **Earnings (EARNING)**: - RankICIR: Strong performance in large-cap pools, with high selection ability and stable expression[39][113]

Investment Rating - The industry rating is "Outperform the Market" [5][64] Core Viewpoints - The report maintains a positive outlook on the commercial aerospace sector, driven by the recent breakthroughs in reusable rocket launch tests, which address the industry's capacity constraints and enhance satellite networking capabilities [3][45] - The report highlights the expected strong recovery in demand for the military industry by 2026, supported by various catalysts such as the nearing 14th Five-Year Plan and the centenary of the military [4][46] Summary by Sections Market Performance - During the week of December 8-12, the Shenwan Military Industry Index rose by 2.80%, outperforming the CSI 300 Index, which fell by 0.08%, resulting in a relative excess return of 2.88 percentage points [3][11] - Since 2025, the Shenwan Military Industry Index has increased by 21.10%, compared to a 16.42% rise in the CSI 300 Index, yielding a relative excess return of 4.68 percentage points [19][11] Key Investment Opportunities - The report suggests focusing on the following sectors: 1. Commercial Aerospace: Companies such as Western Materials, Aerospace Power, Tongyu Communication, Zhenyou Technology, and Aerospace Huanyu [4][46] 2. Nuclear Fusion: Companies including Guoguang Electric, Lianchuang Optoelectronics, Hezhuan Intelligent, Wangzi New Materials, and Xuguang Electronics [4][46] 3. Stealth Materials: Companies like Jiachitech and Huaqin Technology [4][46] 4. Deep Sea: Companies such as Western Materials and China Marine Defense [4][46] 5. Engines: Companies including Aerospace Technology, Aerospace Yat, and Tunan Co [4][46] Financial and Valuation Insights - As of December 12, the current TTM price-to-earnings ratio for the Shenwan Military Industry Index is 70.67, placing it in the 92.55 percentile, indicating a high configuration significance given the expected recovery in 2026 [3][29][37] - The report notes a significant inflow of leveraged funds into the military sector, reflecting confidence in the industry's recovery [36][29]

Investment Rating - The industry rating is "Outperform the Market" [53] Core Insights - The report highlights the successful launch of China's largest sustainable aviation fuel (SAF) facility by Honeywell and Zhejiang Jiaao Environmental Technology Co., which can convert 10,000 barrels of kitchen waste oil daily into SAF, equating to an annual capacity of approximately 500,000 tons [3][29] - Huayi Group's subsidiary was ordered to halt production due to environmental issues, impacting its revenue, which was 779 million yuan with a net loss of 41.24 million yuan for the first nine months of 2025 [3][30][32] - The semiconductor materials sector is experiencing rapid domestic production acceleration, with significant growth in downstream wafer fabrication plants, particularly for photoresist materials and specialty gases [3][28] Market Overview - The Wind New Materials Index closed at 5048.06 points, up 0.66% week-on-week. The semiconductor materials index rose by 6.48% to 7949.5 points, while the display device materials index fell by 3.02% [2][10] - The top five gainers included Guoci Materials (23.46%), Blue Sky Technology (18.13%), and Boqian New Materials (13.69%), while the top five losers included Hongbo New Materials (-11.5%) and Chenguang New Materials (-10.76%) [2][24][26] Recent Industry Highlights - The global semiconductor sales reached $72.7 billion in October, with China experiencing an 18.5% year-on-year growth [28] - Syensqo secured a long-term supply agreement with Vertical Aerospace for high-performance composite materials for their eVTOL aircraft [29] - Huayi Group's subsidiary's production halt is aimed at addressing environmental risks, with efforts to minimize the impact on overall production capacity [30][32] - Huigu New Materials successfully passed its IPO, aiming to expand production capacity by 130,000 tons [33]

证券研究报告|金融工程专题 2025年12月14日 如何用ETF战胜偏股型基金指数 证券分析师： 李杨 执业证书编号：S0210524100005 何佳玮 执业证书编号：S0210524100005 请务必阅读报告末页的重要声明 华福证券 华福证券 投资要点 2 华福证券 华福证券 ➢ 配置宽基ETF复刻偏股型基金指数。配置部分策略目标为复刻偏股型基金指数（930950.CSI），要求基金持仓上 往偏股型基金的持仓和暴露靠近。每月末，用过去N日的宽基ETF跟踪指数日频收益数据对偏股型基金指数回归 得到权重，权重小于5%的指数剔除，剩余指数为基础配置中的指数持仓；对应ETF产品的选择，筛选跟踪同一 指数的ETF中成本更低、流动性更强、跟踪更稳定的1-2只产品，形成宽基ETF池。从2016年1月4日起至2025年 11月28日年化收益7.53%、超额年化3.07%，跟踪误差6.83%。 ➢ 行业主题、策略ETF的分层聚类与优选。基于指数的价格行为，每半年对行业主题、策略指数做聚类划分。按照 聚类划分结果对指数做初步筛选，剔除基本面景气度较差的指数，优选高动量、高夏普、低拥挤度的指数，最后 各指数保留2个ETF产品 ...

Investment Rating - The industry rating is "Outperform the Market" [7][76] Core Insights - The report emphasizes the importance of external demand-driven CXO investment opportunities due to the recent interest rate cuts by the Federal Reserve and the elimination of policy uncertainties related to the new Biosecurity Act [4][29] - The report highlights a mixed performance in the pharmaceutical sector, with a notable focus on innovative drugs and medical devices as key investment areas for the upcoming year [5][34] Summary by Sections Market Review - The CITIC Pharmaceutical Index fell by 1.1% during the week of December 8-12, 2025, underperforming the CSI 300 Index by 1.0 percentage points, ranking 15th among CITIC's primary industry classifications [3][34] - Year-to-date, the CITIC Pharmaceutical Biotech Index has risen by 15.6%, still underperforming the CSI 300 Index by 0.8 percentage points, ranking 16th [3][34] - Top-performing stocks for the week included Zhaoyan New Drug (+23.4%), Hotgen Biotech (+16.8%), and Haichuang Pharmaceutical (+13.9%) [3][53] Investment Opportunities - The Federal Reserve's recent interest rate cut is expected to improve overseas biotech investment and financing conditions, which will benefit CDMO (Contract Development and Manufacturing Organization) orders [4][21] - The new Biosecurity Act, which has passed the House and is awaiting Senate approval, is expected to have a limited impact on external demand for CXO companies, alleviating valuation pressures in the sector [4][28] Sector Performance - The pharmaceutical sector's overall valuation as of December 12, 2025, is 28.79, reflecting a slight decrease of 0.17, with a relative valuation premium of 12.02% compared to the broader market [44] - The total trading volume for the pharmaceutical sector during the week was 423.43 billion, accounting for 4.3% of the total A-share trading volume, with a 3.9% increase from the previous week [50][53]

2025 年 12 月 14 日 固 定 收 益 如何理解中央经济工作会议的货币政策基调 —— 流动性与机构行为周度跟踪 251212 投资要点： 固 定 收 货币市场：本周央行 7 天逆回购净投放 47 亿，公开市场操作影响有限， 但月初资金需求不高，叠加政府债缴款压力减弱，资金维持宽松，隔夜匿 名下限降至 1.25%，DR001 周二后再度降至 1.30%下方并持续走低，周五 DR001 降至 1.27%，再创下 23 年 8 月以来的新低。此外，周五盘后央行 宣布将于 15 日进行 6000 亿 6M 买断式回购操作，净投放 2000 亿。 益 定 期 报 告 本周质押式回购成交量持续回升，日均成交量较上周上升 0.15 万亿至 8.08 万亿；质押式回购整体规模周二后持续回升，创下 7 月以来的新高。 分机构来看，大行净融出先降后升，股份行净融出上周持续回升后维持高 位，而城商行净融出在周一回升后窄幅波动，各类银行净融出均高于上周， 其中股份行升幅最大；银行整体刚性净融出持续上升，周四再度突破至 5 万亿元以上。非银刚性融出周四前维持震荡但周五明显回升，主要是货基 融出持续上升；各类非银机构刚性融入规 ...

Group 1: Theme Identification and Investment Strategies - The report aims to create a tool for theme investment by identifying theme opportunities through comprehensive screening of theme indices, allowing investment managers to focus on logical analysis and decision-making[3] - It emphasizes the construction of investable theme indices by mapping stocks and convertible bonds, providing sector classification and institutional holdings as auxiliary indicators[3] - The "right-side breakout" strategy captures signals for theme initiation, focusing on participating in the first wave of market movements, especially in bullish and volatile markets[4] Group 2: Performance Metrics and Backtesting Results - Backtesting results indicate that the right-side breakout strategy shows significant excess returns, particularly in bullish markets, with a holding period success rate of 69.6% and an average return of 5.1% in 2024[24] - The right-side trend strategy is designed to identify long-term upward trends, with a focus on timing exits, showing significant excess returns in both volatile and bullish markets[42] - The bottom stabilization and reversal strategies are aimed at identifying opportunities at low price levels, with backtesting showing a 50.5% success rate and an average return of 0.9% over five days from 2021 to 2024[51] Group 3: Institutional Participation and Risk Factors - As of Q3 2025, indices with a 2-5% fund holding ratio accounted for the highest proportion at 43.4%, with technology theme indices like optical modules having the highest fund holding at 20.4%[56] - The report highlights several risk factors, including historical performance not guaranteeing future results, industry uncertainties, and geopolitical risks[4]

利率回暖信用债企稳 二永债表现相对强势 —— 信用利差周度跟踪 20251212 投资要点： 华福证券 2025 年 12 月 14 日 ➢ 利率震荡下行信用债企稳，信用利差多数略有走阔。本周利率债总体 震荡偏强，信用债除 7Y 期品种外，收益率多数跟随利率下行。1Y 期 AA 及以上等级信用债收益率下行 1BP，AA-级下行 7BP；3Y 期各等级信用债 收益下行 1-3BP；5Y 期 AAA 级信用债收益率下行 3BP，AA+级持平，AA 级上行 2BP，AA-级下行 1BP；7Y 期各等级信用债收益率上行 1-2BP；10Y 期各等级信用债收益率下行 1BP。信用利差多数略有走阔。 ➢ 本周城投债利差多数上行 1-2BP。外部评级 AA 和 AA+平台信用利差 总体较上周均上行 2BP，AAA 平台总体上行 1BP。分行政级别来看，省级、 地市级和区县级平台信用利差总体较上周均上行 2BP。 ➢ 产业债利差总体上行，混合所有制和民企地产债利差升幅较大。本周 央国企地产债利差上行 3-4BP，混合所有制地产债利差上行 17BP，民企地 产债利差上行 26BP。各等级煤炭债利差上行 1BP；AAA 等级钢铁 ...

策 华福证券 2025 年 12 月 14 日 略 研 究 策 略 定 期 报 美国 AI 泡沫风险可能与全球美元债务风险同步 释放——周观点 投资要点： 近期观点 1、 中美算力芯片博弈是全球科技长期通缩的重要标志。 2、 美国 AI 泡沫一旦破灭，全球美元债务风险有望同步释放。 3、 关注美元可能阶段性走强所指引的风险信号，随后可能出现 美元美债美股三杀。 4、 中国市场有望在海外风险释放过程中进行风格上的长期大切 换，同时伴随人民币持续大幅升值。 告 5、 长期看好保险，央国企红利，反内卷行业，中概互联网，军 贸。 团队成员 分析师： 李浩(S0210524050003) lh30530@hfzq.com.cn 分析师： 李刘魁(S0210524050006) llk30550@hfzq.com.cn 相关报告 1、医疗与消费周报——创新药行业研发突破与市 场演进并行——2025.12.14 2、迈向"十五五"：稳中求进，新质领航——中 央 经 济 工 作 会 议 政 策 解 读 与 投 资 展 望 — — 2025.12.12 3、锚定提质增效，聚力八大任务——2025.12.12 风险提示 全球制造 ...

Investment Rating - The report assigns a "Buy" rating for the company, indicating an expected relative price increase of over 20% compared to the market benchmark index within the next six months [16]. Core Insights - The controlling shareholder and actual controller of the company, Yao Liang Song, has shown confidence by increasing his stake through his spouse, Zhang Qiu Fang, who purchased 210,000 shares for a total of 10.47 million yuan, representing 0.03% of the total share capital [2]. - The company has a robust cash position, with a commitment to distribute at least 1.5 billion yuan in cash dividends annually over the next three years, supported by a net cash balance of 9.4 billion yuan as of June 30, 2025 [3]. - The company's operating profit for the first three quarters of 2025 increased by 3.2% year-on-year, indicating a solid underlying business performance despite challenges in net profit [4]. - The report forecasts net profits for 2025-2027 to be 2.44 billion yuan, 2.67 billion yuan, and 2.91 billion yuan, with growth rates of -6.1%, +9.3%, and +9.0% respectively, suggesting a recovery trend [4]. Financial Data and Valuation - The company is projected to have revenues of 18.31 billion yuan in 2025, with a slight decline from 2024, followed by a recovery to 19.30 billion yuan in 2026 and 20.34 billion yuan in 2027 [6]. - The earnings per share (EPS) is expected to decrease to 4.01 yuan in 2025, before rising to 4.38 yuan in 2026 and 4.77 yuan in 2027 [6]. - The price-to-earnings (P/E) ratio is estimated at 12.6x for 2025, indicating a relatively attractive valuation compared to historical levels [6].