证券研究报告 华泰研究 2025 年 6 月 03 日│中国内地 中期策略 资本市场改革建设"新气象" 近年来资本市场改革持续深化，新"国九条"绘制改革路线图谱，围绕投资 者保护、健全投资融资相协调的功能展开，以内生的高质量发展应对外部的 不确定性环境。引入中长期资金、大力发展权益基金、推动公募基金改革落 地，均有助于打造利于长期投资的市场生态，构建"资金-投资-资产"的正 向反馈循环。当前资本市场持续扩容，股票总市值突破 100 万亿元、证券化 率进一步提升。证券行业为资本市场的重要参与者，各项业务的成长均与资 本市场发展息息相关，未来有望迎来更为广阔的扩表和展业空间。当前板块 低估低配，看好头部券商修复机会。 行业格局进一步向龙头集中 在资本市场深化改革与竞争格局重构的双重驱动下，证券行业集中度呈现加 速提升态势。2024 年行业营收/净利润 CR10 分别达 74%/63%，较 2010 年 提升 22/11pct。同时，行业资产规模集中度持续提升，头部券商在扩表周期 中扩张更快、用表能力更强、杠杆率持续领先。且伴随客户需求日趋复杂， 证券行业竞争已从单一业务转向全业务链综合服务能力的比拼。龙头券商凭 ...

证券研究报告 宏观 2026 年美国财政赤字和美债供需压 力或进一步上升 华泰研究 2025 年 6 月 02 日│中国内地 专题研究 2025 财年以来，美国财政赤字规模整体超预期，而关税以及美丽大法案也 会对未来的赤字路径产生影响。我们认为，考虑关税收入和美丽大法案对财 政收支影响，预计 2026 财年美国财政赤字规模可能达到 2.2 万亿美元，赤 字率上升至 7%，超过市场预期。这一预测对美国宏观走势和资产价格变化 均有重大意义。赤字规模上升加大美债供给压力，短期内财政部仍有腾挪空 间，避免付息国债供给明显增加。但中长期看，美债财政可持续担忧推高美 债利率、并进一步加剧财政负担的"负循环"或成为美元资产持续的波动源。 1.预计 2026 财年美国财政赤字规模可能超预期 2025 财年以来（2024 年 10 月到 2025 年 4 月），美国累计赤字规模为 1.05 万亿美元，同比增速达到 13%，超过此前 CBO 预测。背后主要原因是强制 性支出以及利息支出的高增长。美国未来财政赤字规模主要受到关税以及美 丽大法案影响。一方面，特朗普加征的关税有助于增加财政收入降低赤字， 关税收入每年可能增加 210 ...

证券研究报告 金工 6 月指数定期调样的影响估算 华泰研究 2025 年 6 月 02 日│中国内地 专题研究 0% 10% 20% 30% 40% ≤-3 (-3, -2] (-2, -1] (-1, -0.5] (-0.5, 0] (0, 0.5] (0.5, 1] (1, 2] (2, 3] >3 个股冲击系数分布 资料来源：Wind，中证指数有限公司，深圳证券信息有 限公司，华泰研究 被动市场大幅扩容，指数定期调整或带来短期影响 A 股被动市场持续扩容，近年来增长尤为迅速，截至 2025 年 Q1 已经达到 约 3.26 万亿元。对于部分跟踪产品规模较大的指数而言，产品调整会对被 调动成分带来一定的短期影响；而随着被动市场的扩容，该影响可能变得愈 发明显。从测算结果来看，资金净流入的高冲击系数股票中，有 10 只股票 冲击系数超过 2 倍，或在短期内对价格提供支撑；而呈现净流出的股票中， 有 26 只股票系数绝对值在 2 倍以上，可能面临一定的潜在压力。 近年来被动市场呈现高速扩张趋势，总规模突破 3 万亿元 作为资本市场的核心投资渠道之一，被动基金近年来在国内呈现较为强劲的 发展趋势。一方面，被动产 ...

Quantitative Models and Construction Methods 1. Model Name: Commodity Term Structure Simulation Portfolio - **Model Construction Idea**: This is a long-short strategy that dynamically holds long positions in commodities with high roll yields and short positions in commodities with low roll yields. The strategy aims to capture the term structure premium in commodity markets while reducing dependency on single market trends[33][35][34]. - **Model Construction Process**: 1. **Roll Yield Factor**: The roll yield is calculated to measure the contango or backwardation state of a commodity. 2. **Dynamic Positioning**: Commodities with high roll yields are dynamically allocated long positions, while those with low roll yields are allocated short positions. 3. **Portfolio Balancing**: The portfolio is rebalanced periodically to maintain the desired exposure to the roll yield factor[35][38]. - **Model Evaluation**: The strategy demonstrates flexibility in adapting to market risks and provides stable returns even in weak market trends[34]. 2. Model Name: Commodity Time-Series Momentum Simulation Portfolio - **Model Construction Idea**: This strategy captures medium- to long-term trends in commodity prices using multiple technical indicators. It dynamically allocates long positions to upward-trending assets and short positions to downward-trending assets[33][35]. - **Model Construction Process**: 1. **Trend Indicators**: Technical indicators such as moving averages and momentum are used to identify price trends. 2. **Dynamic Positioning**: Commodities with upward trends are allocated long positions, while those with downward trends are allocated short positions. 3. **Portfolio Rebalancing**: Positions are adjusted periodically based on updated trend signals[35][45]. - **Model Evaluation**: The strategy effectively tracks price trends but may underperform in volatile or trendless markets[45]. 3. Model Name: Commodity Cross-Sectional Inventory Simulation Portfolio - **Model Construction Idea**: This strategy uses inventory data to capture fundamental changes in commodity markets. Commodities with declining inventories are allocated long positions, while those with increasing inventories are allocated short positions[33][35]. - **Model Construction Process**: 1. **Inventory Factor**: Changes in inventory levels are calculated to assess supply-demand dynamics. 2. **Dynamic Positioning**: Commodities with declining inventories are dynamically allocated long positions, while those with increasing inventories are allocated short positions. 3. **Portfolio Rebalancing**: Positions are adjusted periodically based on updated inventory data[35][49]. - **Model Evaluation**: The strategy is effective in capturing fundamental supply-demand imbalances but may be sensitive to data accuracy and reporting delays[49]. --- Model Backtesting Results 1. Commodity Term Structure Simulation Portfolio - **Annualized Return**: 3.03% (YTD 2025)[33][38] - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned 2. Commodity Time-Series Momentum Simulation Portfolio - **Annualized Return**: -1.33% (YTD 2025)[45] - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned 3. Commodity Cross-Sectional Inventory Simulation Portfolio - **Annualized Return**: 2.88% (YTD 2025)[49] - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned --- Quantitative Factors and Construction Methods 1. Factor Name: Roll Yield Factor - **Factor Construction Idea**: Measures the contango or backwardation state of a commodity to capture the term structure premium[35]. - **Factor Construction Process**: 1. Calculate the roll yield as the difference between the spot price and the futures price. 2. Normalize the roll yield across commodities to ensure comparability. 3. Rank commodities based on their roll yields and allocate positions accordingly[35]. 2. Factor Name: Trend Factor - **Factor Construction Idea**: Captures medium- to long-term price trends using technical indicators[35]. - **Factor Construction Process**: 1. Use moving averages, momentum, and other technical indicators to identify trends. 2. Normalize trend signals across commodities to ensure comparability. 3. Rank commodities based on their trend strength and allocate positions accordingly[35]. 3. Factor Name: Inventory Factor - **Factor Construction Idea**: Measures changes in inventory levels to capture supply-demand imbalances[35]. - **Factor Construction Process**: 1. Calculate the percentage change in inventory levels over a specified period. 2. Normalize inventory changes across commodities to ensure comparability. 3. Rank commodities based on their inventory changes and allocate positions accordingly[35]. --- Factor Backtesting Results 1. Roll Yield Factor - **Annualized Return**: Not explicitly mentioned - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned 2. Trend Factor - **Annualized Return**: Not explicitly mentioned - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned 3. Inventory Factor - **Annualized Return**: Not explicitly mentioned - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned

证券研究报告 电力设备与新能源 周观点：蔚来充换电产业布局动作频 频，关注相关产业链 华泰研究 2025 年 6 月 01 日│中国内地 行业周报（第二十二周） 周观点：蔚来充换电产业布局动作频频，关注相关产业链 充电方面，5 月 29 日，极氪汽车与蔚来能源宣布双方达成充电网络双向互 联互通合作，双方通过充电平台间动态数据交互共享，实现全国范围充电基 础设施的双向互联互通，将进一步扩大新能源汽车的充电网络覆盖范围，提 升用户体验。目前蔚来充电桩数量已超过 26 万根。换电方面，5 月 28 日蔚 来能源实现天津换电县县通。截至 5 月 28 日，蔚来能源在全国已建成换电 站 3337 座。看好充换电模式逐步扩大覆盖范围，关注产业链相关环节增量。 子行业观点 1）新能源车：充换电板块进展积极；2）工控：关注 AIDC 板块机会；3） 储能：中国企业出海热潮持续，看好出海带来业绩增量；4）光伏：绿电直 连政策发布，或释放绿电需求；5）风电：国内海风招标中标稳步推进，装 机高增可期。 重点公司及动态 1）宁德时代：电池龙头地位稳固，持续扩大业务版图；2）富临精工：高 压密铁锂龙头，扩大机器人业务布局。 风险提示： ...

证券研究报告 公用环保 智慧环卫应用加速，环卫机器人打开 成长空间 华泰研究 2025 年 6 月 01 日│中国内地 动态点评 现阶段环卫仍属于人力密集型行业，2024 年玉禾田员工人数超 9 万，侨银 股份、福龙马员工人数均超 5 万，玉禾田、侨银股份、福龙马、劲旅环境等 主要公司人工成本占总成本比例均超 60%。近年来行业主要公司持续布局 环卫机器人领域，推动城市服务数字化转型，同时多地政府出台无人环卫政 策规划。智慧环卫模式本质在于场景协同和人机一体化，玉禾田、侨银股份 等公司城市服务应用场景丰富。我们认为环卫机器人应用和迭代进程有望加 速，看好环卫机器人应用带来的城市服务数字化转型机遇和业绩增长空间， 推荐侨银股份。 环卫市场规模 2025 年或超 4500 亿，广州规划 2026 年无人装备达 1000 台 环卫运营具备城市服务刚需属性，我们预计 2025 年我国环卫运营市场规模 合计达 4585 亿元（yoy+7%）。北京、广州、深圳相继出台政策规划，鼓励 无人环卫发展，广州规划 2026 年自动驾驶环卫车达到 1000 台。2024 年全 国智慧环卫订单年化金额 6 亿元（yoy+53%），政 ...

证券研究报告 能源/工业 绿电直连落地，新能源转向以荷定源 华泰研究 2025 年 5 月 30 日│中国内地 动态点评 近日，国家发改委、国家能源局印发《关于有序推动绿电直连发展有关事项 的通知》，明确绿电直连机制，即风电、太阳能发电、生物质发电等新能源 不直接接入公共电网，通过直连线路向单一电力用户供给绿电；明晰安全优 先、权责对等、源荷匹配的原则，以期实现满足企业绿色用能需求、提升新 能源就近就地消纳水平的目标。我们拆分顶层机制如下： 我们认为在绿电直连机制落地、"以荷定源"和责任划分要求明确下，新能 源加速向用电侧价值转移，对负荷控制、分布式电源管理和电网互动提出新 的应用场景和要求，相关设备构成投资窗口，推荐电力自动化龙头国电南瑞， 相关公司包括四方股份、东方电子等。 拓宽电源投资主体，鼓励社会资本多元参与，为未来发展打开空间 通知引入项目投资模式创新、扩宽投资主体范围，包括民营企业在内的各类 经营主体(不含电网企业)可投资绿电直连项目，鼓励民资参与。不同于此前 电源侧单一投资主体的规定，绿电直连项目电源可由负荷投资，也可由发电 企业或双方成立的合资公司投资，直连专线原则上应由负荷、电源主体投资； ...

5 月折扣促销力度有所提升，零售销量预计达 185 万辆 在五一黄金周、上海车展以及政策补贴支持下，5 月 1-18 日零售/批发分别 为 93.2/85.8 万辆，同比+12%/+18%，较上月同期+18%/-2%。乘联会预计 5 月零售销量环比+5.4%至 185.0 万辆。展望后续，供给侧：车企或冲刺半 年度销量；需求侧：5 月市场折扣促销力度有所提升，以旧换新政策持续发 力，叠加新车密集上市，5 月-6 月终端需求预计回暖。我们推荐弹性标的吉 利汽车和小鹏汽车，稳健配置比亚迪、长城汽车和理想汽车。 证券研究报告 汽车 折扣有所提升，5 月零售预计 185 万 ——月度销量和折扣追踪系列 7 华泰研究 2025 年 5 月 30 日│中国内地 行业月报 4 月零售/批发同比增速均超 10%，新能源渗透率/自主品牌市占率维持高位 4 月乘用车零售/批发分别为 178.1/222.3 万辆，同比+14.8%/+11.0%，环比 -10.3%/-10.0%，其中新能源乘用车销量达 114.6 万辆，同环比分别 +42.2%/-1.0%，渗透率达 51.6%，环比提升 0.7pct。4 月出口 43.1 万辆， ...

Economic Growth - May tariffs reduction boosted growth momentum, but tariff impacts may still become evident[1] - US May Markit manufacturing and services PMI exceeded expectations, pushing composite PMI up to 52.5[1] - Eurozone May composite PMI fell to 49.5, dragged down by services PMI, while manufacturing PMI rose to 49.4[1] Inflation Trends - US April core PCE inflation remained flat at 0.1% month-on-month, with a year-on-year rate of 2.5%[1] - Japan's April core CPI rose 0.3 percentage points to 3.5%, exceeding expectations of 3.4%[1] Market Performance - As of May 30, US stock indices rose significantly: S&P 500 up 6.2%, Nasdaq up 9.6%, and Dow Jones up 3.9%[2] - US 2-year and 10-year Treasury yields increased by 29 basis points and 24 basis points to 3.89% and 4.41%, respectively[2] Policy Developments - US-China tariff reduction announced on May 12, with tariffs on both sides reduced from 125% to 34%[3] - The US House passed the "Beautiful Bill," which includes tax cuts and an increase in the debt ceiling, expected to raise the US fiscal deficit by $3.1 trillion over ten years[3] Risks - Uncertainty remains regarding Trump's tariff policies and potential geopolitical volatility[4]

Economic Growth - The easing of tariffs has boosted some U.S. survey indicators in May, with the composite PMI rising by 1.7 to 52.5, driven by improvements in manufacturing and services PMI, both exceeding expectations at 52.3[3] - The first quarter GDP growth rate was revised up by 0.1 percentage points to -0.2%, with inventory and investment contributions adjusted upward, while consumption and net exports were revised downward[3] - Retail sales showed a slight decline in April, with the Redbook retail index indicating a further drop in May's year-on-year retail growth[3] Financial Conditions - Goldman Sachs' Financial Conditions Index (FCI) relaxed by 26 basis points from May 1 to May 30, with the S&P 500 rising by 6.2% during the same period[4] - Investment-grade corporate spreads narrowed by 23 basis points to 1.14%, while the 2-year and 10-year U.S. Treasury yields increased by 29 basis points and 24 basis points, respectively, to 3.89% and 4.41%[4] Inflation - April's PCE inflation remained moderate, with the core PCE unchanged at 0.1% month-on-month and a year-on-year decline of 0.2 percentage points to 2.5%[5] - The CPI core goods related to China showed a significant rebound in growth rates from March to April, indicating the impact of tariffs on prices[5] Labor Market - In April, non-farm payrolls increased by 177,000, surpassing expectations of 138,000, while the unemployment rate remained stable at 4.2%[6] - The labor force participation rate rose to 62.6%, but the job vacancy rate has shown signs of decline, indicating potential future hiring slowdowns[6][6] Risks - There is an increasing uncertainty regarding Trump's policies, which may lead to a continued slowdown in U.S. economic growth[7]