Quantitative Models and Factor Analysis Quantitative Models and Construction - **Model Name**: Bank Stock Momentum Strategy **Model Construction Idea**: The strategy leverages the momentum of market styles to identify outperforming sub-segments within the banking sector. It assumes that the internal style rotation of bank stocks mirrors the broader market's style rotation, albeit with a lag [28][48]. **Model Construction Process**: 1. Use market-wide style momentum to determine the dominant style (e.g., growth vs. value, large-cap vs. small-cap) based on a two-month relative momentum difference exceeding 5% [48]. 2. Map the dominant market style to corresponding banking sub-segments (e.g., large-cap value, small-cap growth) [28][29]. 3. Select stocks within the identified banking sub-segment for the next month [48]. **Model Evaluation**: The model effectively captures value-style dominance in the banking sector, particularly during market-wide value-oriented phases [48]. - **Model Name**: Fundamental-Adjusted Growth Selection **Model Construction Idea**: To mitigate the downside risk of high-PB (price-to-book) stocks, the model incorporates ROE (return on equity) adjustments to prioritize high-quality fundamentals when selecting growth-oriented bank stocks [58]. **Model Construction Process**: 1. Combine PB and ROE_TTM (trailing twelve months) values into an equal-weighted scoring system [58]. 2. When the signal indicates a growth-oriented market, select stocks with high PB and strong fundamentals [58]. **Model Evaluation**: This adjustment improves annualized returns by 1.82% compared to using PB alone, demonstrating its effectiveness in balancing growth potential and risk [58]. Model Backtesting Results - **Bank Stock Momentum Strategy**: - Annualized Return: 14.45% - Annualized Volatility: 22.62% - Sharpe Ratio: 0.64 - Maximum Drawdown: 33.08% - Excess Annualized Return (vs. CSI Bank Index): 5.65% - Information Ratio (IR): 0.57 [48][49][54] - **Fundamental-Adjusted Growth Selection**: - Annualized Return: 16.27% - Excess Annualized Return (vs. CSI All Share Index): 13.20% - Excess Annualized Return (vs. CSI Bank Index): 7.33% [58] --- Quantitative Factors and Construction - **Factor Name**: Price-to-Book Ratio (PB) **Factor Construction Idea**: Low PB stocks are expected to outperform due to their value-oriented characteristics [32]. **Factor Construction Process**: 1. Divide bank stocks into quintiles based on PB values. 2. Track the performance of the lowest PB quintile over time [32]. **Factor Evaluation**: The low PB group consistently outperformed the CSI All Share Index, particularly during value-dominant market phases [32]. - **Factor Name**: Dividend Yield **Factor Construction Idea**: High dividend yield stocks are expected to provide stable returns, especially in defensive market conditions [32]. **Factor Construction Process**: 1. Divide bank stocks into quintiles based on dividend yield. 2. Track the performance of the highest dividend yield quintile over time [32]. **Factor Evaluation**: While generally effective, the factor underperformed low PB stocks in certain years, indicating weaker pricing power [32]. - **Factor Name**: Market Capitalization **Factor Construction Idea**: Large-cap stocks are expected to outperform during periods of market uncertainty due to their defensive nature [39]. **Factor Construction Process**: 1. Divide bank stocks into quintiles based on market capitalization. 2. Track the performance of the largest market-cap quintile over time [39]. **Factor Evaluation**: Large-cap stocks demonstrated strong performance, particularly after 2023, with a clear upward trend [39]. - **Factor Name**: Return on Equity (ROE) **Factor Construction Idea**: High ROE stocks are expected to outperform due to their superior profitability [39]. **Factor Construction Process**: 1. Divide bank stocks into quintiles based on ROE. 2. Track the performance of the highest ROE quintile over time [39]. **Factor Evaluation**: High ROE stocks outperformed in most years but showed limitations in certain market environments, such as 2014 [39]. Factor Backtesting Results - **PB Factor**: - Outperformed the CSI All Share Index across the entire observation period [32]. - **Dividend Yield Factor**: - Generally outperformed the benchmark but lagged behind the PB factor in specific years [32]. - **Market Capitalization Factor**: - Demonstrated a strong upward trend post-2023, consistently outperforming the benchmark [39]. - **ROE Factor**: - Achieved superior performance in years like 2012, 2017, and 2019, but underperformed in 2014 [39]. --- Composite Factor Analysis - **Composite Model**: Four-Quadrant Style Model **Construction Idea**: Combine market capitalization and PB factors to create four distinct style groups: large-cap value, large-cap growth, small-cap value, and small-cap growth [43]. **Construction Process**: 1. Divide stocks into large-cap and small-cap groups based on the top 20% and bottom 80% of market capitalization. 2. Further divide each group into high-PB and low-PB subgroups. 3. Analyze the performance of the resulting four style groups [43]. **Evaluation**: The model revealed clear style rotations within the banking sector, with small-cap value dominating in 2014-2015 and large-cap value leading post-2022 [43]. Composite Model Backtesting Results - **Four-Quadrant Style Model**: - Small-Cap Value: Outperformed during 2014-2015 - Large-Cap Value: Consistently outperformed post-2022 [43]

华福证券 yT tro p eR _ 策 略 研 究 Table_First|Table_Summary lb aT 策略定期研究 2025 年 9 月 2 日 8 月新股上市及基金收益月度跟踪 投资要点： 2025/8/25 《国内宏观和产业政策周观察：强化 稀土流向追溯与指标管理》 2025/8/25 策 略 定 期 研 究 IPO 发行规模与节奏：2025 年 8 月 A 股市场 IPO 融资总规模为 28.17 亿元，环比下降 42%。其中，主板融资规模为 8.14 亿元，北交所融资规 模为 14.04 亿元。A 股市场共发行新股 8 只，与上月持平。其中，主板发 行 1 只，北交所 5 只，创业板 2 只。 团队成员 分析师 周浦寒 执业证书编号：S0210524040007 邮箱：zph30515@hfzq.com.cn 分析师 章孟菲 执业证书编号：S0210525020004 邮箱：zmf30020@hfzq.com.cn 相关报告 《明晰资本市场"十五五"新征途》 2025/8/30 《海外市场周观察：鲍威尔在全球央 行年会定调宽松预期》 证 券 研 究 报 告 1 Ta ble _Firs ...

Investment Rating - The report maintains a "Buy" rating for the company, indicating an expected relative price increase of over 20% against the market benchmark within the next six months [19]. Core Insights - The company has shown a significant turnaround in its financial performance, achieving a net profit of 0.66 billion yuan in the first half of 2025, compared to a loss in the previous year [3][7]. - The revenue for the first half of 2025 reached 1.15 billion yuan, reflecting a year-on-year growth of 20.7%, driven by the high-margin medical aesthetics business [3]. - The company has a strong cash position with total cash and equivalents amounting to 3.89 billion yuan, ensuring robust cash flow and payment capabilities [3]. Summary by Sections Medical Aesthetics - The medical aesthetics segment generated 0.59 billion yuan in revenue for the first half of 2025, marking an impressive year-on-year growth of 81.3%, with segment profit increasing by 215.3% to 0.31 billion yuan [4]. - The company has expanded its partnerships, adding 44 key cooperative groups and penetrating over 1,000 high-end medical aesthetics institutions [4]. Generic Drugs - The generic drug business experienced a revenue decline of 15.8% to 0.50 billion yuan in the first half of 2025 due to national procurement policies, but operating profit increased by 1.2% to 0.17 billion yuan [5]. Innovative Drugs - The innovative drug segment saw a revenue increase of 96.6% to 0.058 billion yuan in the first half of 2025, with significant growth in sales of diabetes medications and the launch of new oncology drugs [6]. - The company has a pipeline of over 10 innovative drug products under development, with two already approved for market [6]. Financial Forecast and Valuation - The company is projected to achieve revenues of 2.43 billion yuan, 3.71 billion yuan, and 5.08 billion yuan for 2025, 2026, and 2027 respectively, with growth rates of 28%, 53%, and 37% [7]. - The forecasted net profit for 2025 is 0.18 billion yuan, with significant increases expected in subsequent years [7].

Investment Rating - The industry rating is "Outperform the Market" [8] Core Viewpoints - Shanghai has optimized and adjusted real estate policies, allowing eligible families to purchase unlimited properties outside the outer ring and increasing the personal housing provident fund loan limit. The new round of adjustments to existing housing loan rates started on September 1, allowing second-home loans to apply for a rate reduction to the first-home level [3][13] - The report highlights that the real estate market is gradually stabilizing, with policies aimed at boosting demand and supporting market recovery. The continuous decline in commodity housing sales area since the peak in 2021 indicates that the industry is entering a bottoming phase, increasing sensitivity to policy easing [3][13] - The report anticipates that the construction materials sector will benefit from supply-side reforms and a potential turning point in the capacity cycle, driven by lower interest rates and improved purchasing power due to policy support [3][6] Summary by Sections High-Frequency Data - As of August 29, 2025, the national average price of bulk P.O 42.5 cement is 343.4 CNY/ton, a decrease of 0.2% week-on-week and an 8.0% decline year-on-year. The average prices in various regions are as follows: North China 338.8 CNY/ton, Northeast 432.0 CNY/ton, East China 299.0 CNY/ton, Central South 312.3 CNY/ton, Southwest 329.5 CNY/ton, Northwest 395.2 CNY/ton [4][14] - The national glass (5.00mm) ex-factory price is 1152.9 CNY/ton, with a week-on-week increase of 0.4% and a year-on-year decrease of 14.6% [21][24] Sector Review - From August 25 to August 29, the Shanghai Composite Index rose by 0.84%, and the Shenzhen Composite Index increased by 2.11%. The construction materials index rose by 0.14%. Among sub-sectors, fiberglass manufacturing increased by 8.41%, while cement manufacturing decreased by 1.23% [5][56] - The report suggests that the construction materials sector's fundamentals are expected to improve, with a focus on three main investment lines: high-quality companies benefiting from renovation, undervalued stocks with long-term potential, and leading cyclical construction material companies [6][60]

公 华福证券 司 研 究 奥瑞金（002701.SZ） 扣非利润环比改善，海外布局加速 投资要点： 公司发布 2025 年半年报 公 司 财 报 25H1 公司实现营收 117.27 亿元，同比+62.74%，归母净利润 9.03 亿元，同 比+64.66%，扣非归母净利润 4.01 亿元，同比-24.17%。单季度来看，25Q2 公司营收 61.52 亿元，同比+68.35%，归母净利润 2.39 亿元，同比-11.36%， 扣非归母净利润 2.12 亿元，同比-19.91%，环比 Q1+11.8%。 整合中粮重塑格局，积极布局海外市场 点 评 1）分产品，2025H1 公司金属包装产品及服务/灌装服务/其他业务分别实现 营业收入 109.42/0.65/7.20 亿元，同比+72.03%/-35.30%/-3.42%。公司收购 整合中粮包装后，进一步巩固了公司在金属包装核心领域的市场优势地位， 营收及利润规模同比增长，同时也切入钢桶和塑胶包装等优质业务领域。2） 分 地 区 ， 上 半 年 公 司 国 内 / 境 外 营 收 分 别 105.91/11.35 亿 元 ， 同 比 +60.11%/+92.0 ...

证券研究报告|金融工程专题 2025年9月2日 基于估值、技术、资金流、流动性 构建风格指数量化择时策略 证券分析师： 李杨 执业证书编号：S0210524100005 何佳玮 执业证书编号：S0210524100009 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 ➢ 风格指数择时框架。从指数估值、技术、资金流/拥挤度、流动性四个维度构建风格指数底部与顶部特征信号，测试信号模 型在风格指数择时中的有效性。后续信号模型回测只包含多头和空仓两种状态。 ➢ 单指标择时构建及测试。（1）估值：指数估值极低且中长期均线处于上升趋势时或存在估值修复动能，此情形可视为多 头信号；指数估值极高且中长期均线处于下行趋势或存在估值回归动能，此时可视为顶部信号。估值类指标仅在极端值产 生信号变动，持仓周期较长。（2）技术：指择时效果并不稳定，主要为了捕捉潜在的趋势行情，该类指标的特点是胜率 低，赔率高，趋势行情下表现较好，而在震荡行情中表现不佳。将价量形态两两组合，同时加入预测类形态以提高择时胜 率，买点信号较为及时，卖点信号提示偏左、会出现连续触发的情况。（3）资金流/拥挤度：初次触及高位 ...

华福证券 公 司 研 究 欧派家居（603833.SH） H1 扣非净利高增，大家居稳中求进 投资要点： 公 事件：公司发布 2025 年半年报，1H25 实现收入 82.4 亿元，同比-4%， 实现归母净利 10.2 亿元，同比+2.9%，扣非净利 9.4 亿元，同比+21.4%； 单 Q2 营收 47.9 亿元，同比-3.4%，归母净利 7.1 亿元，同比-8%，扣非净 利 6.8 亿元，同比+6.8%。 司 财 报 点 评 H1 营收企稳，大家居稳中求进。公司 1H25 实现收入 82.4 亿元，同比 -4%。上半年房地产行业及家居行业的深度调整与转型挑战依然持续，公司 一方面快速响应行业生态转型的市场机遇，另一方面坚定围绕大家居发展 战略。分产品，H1 橱柜、衣柜及配套家具、卫浴、木门、其他分别实现营 收分别同比-5.9%、-4.1%、-0.6%、-9.1%，+3.9%。分渠道：H1 经销、直 营、大宗、其他渠道营收分别同比-4.1%、+5.6%、-11.3%、+30.1%。门店 方面，截止 H1 公司各品牌合计门店数较 24 年底-104 家。截止 H1，公司 零售大家居有效门店数量超 1200 家 ...

华福证券 公 司 研 究 劲仔食品（003000.SZ） Q2 业绩短期承压，期待新品、新渠道表现 公 司 事件：公司发布 2025 年半年报，25H1 公司实现营业收入 11.24 亿元，同 比-0.50%；归母净利润 1.12 亿元，同比-21.86%；扣非归母净利润 0.87 亿 元，同比-28.94%。其中，单 Q2 公司实现营业收入 5.28 亿元，同比-10.37%； 归母净利润 0.44 亿元，同比-36.27%；实现扣非归母净利润 0.34 亿元，同 比-47.49%。 财 报 点 评 直营渠道增速亮眼，禽肉、蔬菜制品需求疲软。分品类看，25H1 公 司鱼制品/禽肉制品/豆制品/蔬菜制品分别实现营收 7.57/1.96/1.15/0.34 亿 元，同比+7.61%/-24.00%/+3.61%/-10.69%。分渠道看，公司 25H1 线上/线 下分别实现营收 1.85/9.39 亿元，同比-6.82%/+0.85%；经销/直营分别实现 营收 7.92/3.32 亿元，同比-9.25%/+29.24%，鱼制品及豆制品直营渠道收入 高增拉动整体增长，经销渠道整体有所承压，上半年公司净增经销商数量 ...

华福证券 动力煤 2025 年 09 月 02 日 公 司 研 究 陕西煤业（601225.SH） 煤价下跌业绩承压，2025 中期分红 5% 投资要点： 产销小幅增长，煤价下滑背景下业绩承压 25H1 煤炭业务实现营收 683.8 亿元，同比-11.7%；营业成本 489.3 亿元，同比+0.3%；毛利润 194.5 亿元，同比-32.0%。 1）产销量小幅增长：25H1 原煤产量 8740 万吨，同比+1.1%；煤 炭销量 1.26 亿吨，同比+0.9%，其中自产煤销售量 8016 万吨，同比 +2.9%。25Q2 原煤产销量 4346/4062 万吨，同比-3.3%/+0.2%。 2）煤价下滑：25H1 公司煤炭售价为 439.7 元/吨，同比-133.4 元/ 吨，降幅 23.8%。其中：外购煤售价 473.4 元/吨，同比-168.0 元/吨， 降幅 26.2%；自产煤售价 420.4 元/吨，同比-117.9 元/吨，降幅 21.9%。 25H1 原选煤单位完全成本 280 元/吨，同比-1.4 元/吨，降幅 0.5%。 电价维稳，25Q2 发售电量同环比增长盈利改善 公司披露 2025H1 业绩 ...

Investment Rating - The report maintains a "Buy" rating for the company, expecting a relative increase of over 20% in stock price compared to the market benchmark within the next six months [5][15]. Core Insights - The company reported a revenue of 1.38 billion RMB for the first half of 2025, reflecting a year-on-year growth of 8.39%. The net profit attributable to the parent company was 117 million RMB, up 7.53% year-on-year [2]. - The company is experiencing resilience in its B-end business while the C-end segment shows strong growth potential, particularly through new product launches and channel expansion [3]. - The gross margin improved to 34.68% in Q2 2025, an increase of 2.58 percentage points year-on-year, indicating effective cost management and pricing strategies [4]. - The company is actively increasing its investment in marketing and R&D to solidify market share and drive long-term growth [4]. Financial Performance Summary - For the first half of 2025, the company achieved a gross profit margin of 34.68%, with a net profit margin of 8.21% [4]. - The revenue forecast for 2025 is set at 2.93 billion RMB, with a projected net profit of 258 million RMB, reflecting an 11% increase year-on-year [6]. - The earnings per share (EPS) are expected to be 0.64 RMB for 2025, with a price-to-earnings (P/E) ratio of 22.6x [6]. Growth and Capacity Expansion - The company is expanding its production capacity with new projects in Shandong and Guangxi already in operation, and a new integrated production and R&D base in Shanghai is underway [4]. - The report anticipates continued positive momentum in the second half of 2025, driven by the recovery of the overall dining market and the gradual rollout of new products in the C-end segment [4].