Quantitative Models and Factor Analysis Quantitative Models and Construction Methods Model Name: Hong Kong Stock Market Quantitative Timing Model - **Model Construction Idea**: The model is built around the Hang Seng Index, selecting indicators from five dimensions: fundamentals, liquidity, capital flows, sentiment, and valuation to analyze the factors influencing the rise and fall of the Hong Kong stock market[15]. - **Model Construction Process**: - **Fundamentals**: OECD China Economic Leading Indicator - **Liquidity**: US-Hong Kong interest rate spread, US Dollar Index, US Treasury yields - **Sentiment**: Hang Seng Index options put-call ratio (PCR), Hong Kong stock short-selling turnover ratio - **Capital Flows**: Net foreign capital inflows, Southbound capital - **Valuation**: AH premium index[14] - **Model Evaluation**: The model successfully captured the policy-driven rebound in the Hong Kong stock market from September 23, 2024, to October 10, 2024, and avoided the subsequent downturn by maintaining a predominantly cash position. The model turned bullish again in early 2025 as passive foreign capital accelerated its layout in Hong Kong stocks[15]. Model Backtesting Results - **Hong Kong Stock Market Quantitative Timing Model**: - Successfully captured the policy-driven rebound in the Hong Kong stock market from September 23, 2024, to October 10, 2024[15] - Maintained a predominantly cash position during the subsequent market adjustment, avoiding the downturn[15] - Turned bullish again in early 2025 as passive foreign capital accelerated its layout in Hong Kong stocks[15] Quantitative Factors and Construction Methods Factor Name: OECD China Economic Leading Indicator - **Factor Construction Idea**: This factor is used to gauge the economic outlook of China, which is a significant driver for the Hong Kong stock market[15]. - **Factor Construction Process**: The OECD China Economic Leading Indicator is used directly as a measure of economic activity and outlook[15]. Factor Name: Hang Seng Index Options Put-Call Ratio (PCR) - **Factor Construction Idea**: This factor measures market sentiment by comparing the volume of put options to call options on the Hang Seng Index[15]. - **Factor Construction Process**: The put-call ratio (PCR) is calculated as follows: $$ \text{PCR} = \frac{\text{Volume of Put Options}}{\text{Volume of Call Options}} $$ - **Explanation**: A higher PCR indicates a bearish sentiment, while a lower PCR indicates a bullish sentiment[15]. Factor Name: Net Foreign Capital Inflows - **Factor Construction Idea**: This factor tracks the net amount of foreign capital flowing into the Hong Kong stock market, indicating the level of foreign investor interest and confidence[15]. - **Factor Construction Process**: The net foreign capital inflows are measured by the total amount of foreign capital entering the market minus the total amount exiting the market[15]. Factor Backtesting Results - **OECD China Economic Leading Indicator**: - Successfully indicated the economic outlook and supported the model's timing decisions[15] - **Hang Seng Index Options Put-Call Ratio (PCR)**: - Provided effective signals for market sentiment, aiding in the timing of market entries and exits[15] - **Net Foreign Capital Inflows**: - Accurately reflected foreign investor interest and confidence, contributing to the model's performance[15]

证 券 研 究 报 告 金融工程周报 华鑫量化全天候策略连续三周新高 ——指数基金投资+ 2025年06月15日 n 分析师：吕思江 n 联系人：刘新源 n SAC编号：S1050522030001 n SAC编号：S1050123100011 n 联系人：武文静 n SAC编号：S1050123070007 市场观点和ETF交易机会 p 【国内市场跟踪】本周市场日均成交放量至1.37万亿，A股4月8日以来忽视经济下行趋势积极交易中美关 系，大盘走至核心点位抛压较大，市场低波动窄幅震荡下情绪较为脆弱，核心指数中仅创业板指小幅上涨 0.22%收红，北证50和科创板领跌，量化基金形成赚钱效应后增量资金持续进入支撑小盘延续领涨，当前 小微盘均在高位且拥挤度持续处于风险提示信号。2025年6月13日至15日，伊朗与以色列爆发激烈军事冲 突，双方互相发动多轮导弹和无人机袭击，伊朗核设施及以色列境内目标遭重创，局势持续升级，风险资 产承压。港股创新药本周大涨11%，南向资金在本周后两个交易日开始卖出ai科技追涨创新药，周买入前 10个股有3只为创新药个股：信达生物、石药集团、三生制药，港股创新药进入泡沫化区间短期转为看空 ...

3 2025 年 06 月 15 日 苹果 WWDC 发布重大更新，AI 智能眼镜销量大涨 推荐(维持) 投资要点 分析师：吕卓阳 S1050523060001 lvzy@cfsc.com.cn 行业相对表现 | 表现 | 1M | 3M | 12M | | --- | --- | --- | --- | | 电子(申万) | -3.2 | -12.0 | 25.3 | | 沪深 300 | -2.0 | -3.6 | 9.1 | 市场表现 相关研究 1 、《电子行业周报：任天堂 Switch2 开启首发，消费电子品类悦 己新消费崛起》2025-06-09 2、《电子行业周报：我国新一代人 造太阳再创记录，EDA 巨头或将断供 中国》2025-06-03 3、《电子行业周报：雷军官宣小米 自研手机 SoC，英伟达调整对华芯片 出口》2025-05-20 ▌上周回顾 6 月 9 日- 6 月 13 日当周，申万一级行业整体处于涨跌分化 态势。其中电子行业上涨 3.60%，位列第 3 位。估值前三的 行业为 计算机 、 国防军 工 、电 子 ，电子 行业市 盈 率为 49.32。 电子行业细分板块比较，6 月 9 ...

2025 年 06 月 13 日 双融日报 ▌ 华鑫市场情绪温度指标：（较热） 华鑫市场情绪温度指标显示，昨日市场情绪综合评分为 67 分，市场情绪处于"较热"。历史市场情绪趋势变化可参 考图表 1。 ▌ 热点主题追踪 今日热点主题：稀土、机器人、减肥药 1、稀土主题：稀土是镧系元素和钪、钇共十七种金属元 素的总称。稀土永磁材料是现在已知的综合性能最高的一种 永磁材料。稀土在工业和新材料领域举足轻重的地位，各国 将它作为一种战略储备资源；中国稀土产业世界第一。相关 标的：中国稀土（000831）、金力永磁（300748） 2、机器人主题：据"中科院之声"消息，中国科学院沈 阳自动化研究所日前研发了一套"刚柔耦合"的下肢多关节 康复外骨骼机器人，有望为下肢偏瘫患者提供运动功能重建 与行为辅助服务。结果显示，该研究方法有效实现了运动学 重塑、步态模式自然性与对称性等关键康复目标。相关标 的：振江股份(603507)、光大同创(301387) 3、减肥药主题：近日,据美国糖尿病协会(ADA)官网显 示,其第 85 届科学年会将于 6 月 20-23 日在美国芝加哥 McCormick 会展中心举行,该会议被誉为"全 ...

Investment Rating - The report assigns a "Buy" investment rating for the company, marking its first coverage [5]. Core Insights - The company is expected to see significant profit growth in 2024, with projected revenue of 3.652 billion yuan, an 18.31% year-on-year increase, and a net profit of 167 million yuan, reflecting a 75.42% increase [3]. - The launch of new products in the 800G and 400G series is anticipated to drive demand and profitability, with mass production expected to meet customer needs in 2025 [3][4]. - The company has successfully commercialized Wi-Fi 7 and 10G gateway products in the North American market, enhancing its competitive position [4]. Revenue and Profit Forecast - Revenue projections for 2025-2027 are 5.19 billion, 7.116 billion, and 9.501 billion yuan, respectively, with corresponding EPS of 1.13, 1.84, and 2.76 yuan [5][9]. - The company is expected to achieve a net profit growth rate of 81.1% in 2025 and 63.1% in 2026, indicating strong profitability potential [9]. Product Development and Market Position - The company has made significant advancements in the high-speed optical module sector, with multiple new products undergoing successful testing and certification [3][4]. - The development of low-power and cost-effective products is ongoing, with expectations for large-scale shipments in 2025 [3].

Investment Rating - The report maintains a "Buy" rating for several companies in the AI and computer sectors, including 亿道信息 (001314.SZ), 科大讯飞 (002230.SZ), 唯科科技 (301196.SZ), and others [16]. Core Insights - The report highlights the launch of the "悟界" series of large models by 智源, marking significant advancements in AI technology, including the Emu3 model and the RoboOS 2.0 framework [4][24]. - 高德开放平台 has introduced a smart glasses solution, integrating AI navigation capabilities with local life services, indicating a new phase in wearable technology [8][41]. - Anysphere has secured $900 million in funding, raising its valuation to $9.9 billion, driven by its innovative AI programming tool, Cursor [10][46]. Summary by Sections 1. Computing Dynamics - The report notes slight fluctuations in computing power rental prices, with specific pricing details for various configurations [23]. - 智源's "悟界" series includes breakthroughs such as the Emu3 model, which utilizes a novel visual tokenizer for multi-modal understanding [24][25]. - The RoboOS 2.0 framework introduces a serverless lightweight robot deployment system, enhancing collaboration and reducing development costs [27][28]. 2. AI Application Dynamics - Perplexity's average weekly visits increased by 1.71%, indicating growing interest in AI applications [36]. - 高德's smart glasses solution combines navigation and local service functionalities, showcasing advancements in spatial computing [41][42]. 3. AI Financing Trends - Anysphere's recent funding round of $900 million will support the development of its AI capabilities and accelerate market expansion [46][48]. 4. Market Review - The AI computing index and application index showed varying performance, with notable gains in specific companies within the sector [51].

2025 年 06 月 12 日 相关研究 ▌ 华鑫市场情绪温度指标：（较热） 双融日报 --鑫融讯 分析师：万蓉 S1050511020001 wanrong@cfsc.com.cn 市场情绪：75 分（较热） 最近一年大盘走势 -15 -10 -5 0 5 10 15 20 25 (%) 沪深300 资料来源：Wind，华鑫证券研究 华鑫市场情绪温度指标显示，昨日市场情绪综合评分为 75 分，市场情绪处于"较热"。历史市场情绪趋势变化可参 考图表 1。 ▌ 热点主题追踪 今日热点主题：稀土、机器人、减肥药 1、稀土主题：稀土是镧系元素和钪、钇共十七种金属元 素的总称。稀土永磁材料是现在已知的综合性能最高的一种 永磁材料。稀土在工业和新材料领域举足轻重的地位，各国 将它作为一种战略储备资源；中国稀土产业世界第一。相关 标的：中国稀土（000831）、金力永磁（300748） 2、机器人主题：据"中科院之声"消息，中国科学院沈 阳自动化研究所日前研发了一套"刚柔耦合"的下肢多关节 康复外骨骼机器人，有望为下肢偏瘫患者提供运动功能重建 与行为辅助服务。结果显示，该研究方法有效实现了运动学 重塑、步态模式自然性与 ...

Group 1 - The report indicates a neutral market sentiment with a score of 52, suggesting a balanced outlook for investors [2][10]. - Recent market trends show a gradual improvement in sentiment, supported by favorable policies, leading to a potential upward market trajectory [10]. - Historical sentiment trends reveal that when the sentiment score is below or near 30, the market tends to find support, while scores above 90 may indicate resistance [10]. Group 2 - Key themes currently attracting attention include rare earths, robotics, and weight loss drugs, each with significant industrial implications [7]. - The rare earth theme highlights China's dominance in the industry, with companies like China Rare Earth (000831) and Jinli Permanent Magnet (300748) being notable players [7]. - The robotics sector is seeing advancements such as the development of a lower limb rehabilitation exoskeleton by the Shenyang Institute of Automation, with related companies including Zhenjiang Co., Ltd. (603507) and Everbright Tongchuang (301387) [7]. - The weight loss drug theme is gaining traction ahead of the American Diabetes Association's annual meeting, focusing on GLP-1 drugs, with companies like Zhongsheng Pharmaceutical (002317) and Hanyu Pharmaceutical (300199) being relevant [7].

Investment Rating - The report assigns a "Buy" rating for the company, marking the first coverage of its stock [2][10]. Core Insights - The company, Haojiang Intelligent, specializes in the research and production of smart linear drive products, with applications in smart homes, smart medical care, smart offices, and industrial transmission [5][8]. - In 2024, the company achieved a revenue of 828 million yuan, representing a year-on-year growth of 15.74%, while net profit slightly decreased by 0.58% to 47 million yuan [6]. - The company's revenue for Q1 2025 was 211 million yuan, showing a year-on-year increase of 6.7%, with net profit rising by 28.98% to 16 million yuan [6]. - The smart home and smart medical care sectors accounted for 83.59% of the company's total revenue in 2024, highlighting their importance as core business pillars [8]. Summary by Sections Company Overview - Haojiang Intelligent has established a comprehensive service chain from sales consultation to product customization and client NPI (New Product Introduction) services, serving over 300 clients [7]. Product and Market Performance - The company’s smart home products integrate with various smart home systems, enhancing user experience and product stickiness [7]. - In the smart medical care sector, the company's products are crucial for the automation and intelligence of medical devices, improving the quality of life for patients and efficiency for healthcare workers [8]. Financial Performance - The company forecasts revenues of 1.006 billion yuan in 2025, with a projected growth rate of 21.4% [12]. - The expected earnings per share (EPS) for 2025 is 0.60 yuan, with a corresponding price-to-earnings (P/E) ratio of 33.9 [10][12]. Future Outlook - The company is expanding its overseas presence, with a $20 million investment in a production base in Thailand, expected to commence operations in the second half of 2025 [9]. - The company aims to leverage its technological strengths in various industrial applications, including drone component supply [9].

Investment Rating - The report maintains a "Recommended" investment rating for the automotive industry [2][40]. Core Insights - The automotive industry is experiencing a shift towards high-end models, exemplified by the launch of the Zun Jie S800, which achieved over 3,600 pre-orders within a week, indicating strong market demand [6][7]. - The report highlights the rapid advancements in humanoid robotics, particularly the Helix system, which has improved its sorting capabilities and efficiency by approximately 20% [4][5]. - The report emphasizes the importance of collaboration between automotive manufacturers and technology firms, particularly Huawei, in enhancing product offerings and market competitiveness [7][41]. Market Performance - The automotive sector's performance over the past month shows a decline of 1.0%, underperforming compared to the Shanghai Composite Index, which increased by 0.5% [2][15]. - The automotive industry has seen a year-on-year increase in retail sales, with a total of 880.2 million vehicles sold in the first five months of the year, reflecting a 9% growth [33][36]. Company Recommendations - The report recommends several companies based on their potential in the humanoid robotics sector, including Shuanglin Co., Ltd., and Rongtai Co., Ltd., while also suggesting to pay attention to Best and Beite Technology [5][8]. - For linear joint assemblies, the report recommends Shuanglin Co., Ltd., and Dechang Electric Holdings, highlighting their significant market value [5][8]. - The report suggests focusing on companies with strong ties to Huawei, such as Seres and Jianghuai Automobile, as they are expected to benefit from the ongoing trend towards high-end vehicle production [7][41]. Key Companies and Earnings Forecast - Shuanglin Co., Ltd. is forecasted to have an EPS of 1.24 in 2024, with a PE ratio of 34.67, and is rated as a "Buy" [10][42]. - Jianghuai Automobile is projected to have an EPS of 0.12 in 2024, with a PE ratio of 327.08, also rated as a "Buy" [10][42]. - The report lists several other companies with their respective EPS and PE ratios, all rated as "Buy," indicating a positive outlook for these firms [10][42].