Investment Rating - The report maintains a "Recommended" rating for companies like Funiu Co., Huaneng Water Power, and China Nuclear Power, while giving a "Cautious Recommendation" for companies like China General Nuclear Power and Longyuan Power [4][7]. Core Viewpoints - The electricity sector shows resilience with a strong performance in Q1 2025, driven by stable demand and a transition towards peak electricity consumption in Q2 and Q3 [1][11]. - The coal price drop significantly benefits thermal power companies, leading to improved profitability despite a decrease in revenue due to falling electricity prices [2][3]. - Hydropower companies are experiencing stable growth, supported by favorable water conditions and new capacity additions, although they face some pressure from tax payments [2][54]. - Nuclear power continues to expand in capacity, but faces short-term fluctuations in profitability due to tax expenses and market price changes [2][71]. Summary by Sections 1. Electricity Sector Performance - The electricity index has shown strength, with the sector outperforming the broader market in early 2025, despite initial underperformance compared to growth stocks [1][11]. - The sector is expected to maintain steady growth as it enters the peak electricity consumption season in Q2 and Q3 [1][11]. 2. Thermal Power - Thermal power revenue decreased by 1% in 2024 to 1,218.9 billion yuan, with Q1 2025 revenue down 8% year-on-year to 286.9 billion yuan [2][36]. - Despite revenue declines, net profit for thermal power companies increased by 31% in 2024 to 65.6 billion yuan, and by 8% in Q1 2025 to 21.9 billion yuan, benefiting from lower coal prices [2][38]. 3. Hydropower - Hydropower revenue grew by 8.98% in 2024 to 194.4 billion yuan, with Q1 2025 revenue increasing by 8.63% to 417.7 billion yuan [2][54]. - The net profit for hydropower companies rose by 17.48% in 2024 to 56.4 billion yuan, with a significant increase of 28.11% in Q1 2025 to 113.5 billion yuan [2][57]. 4. Nuclear Power - The nuclear power sector achieved a revenue of 164.1 billion yuan in 2024, a 4.17% increase, but net profit fell by 8.23% to 19.6 billion yuan [2][71]. - In Q1 2025, nuclear power revenue rose by 8.42% to 40.3 billion yuan, while net profit decreased by 7.51% to 6.2 billion yuan [2][71]. 5. Green Energy - The green energy sector faced challenges with revenue growth not translating into profit, with 2024 revenue at 143.5 billion yuan, a slight increase of 0.27%, but net profit decreased by 6.48% to 239.9 billion yuan [2][3]. - In Q1 2025, green energy revenue fell by 3.35% to 350.5 billion yuan, with net profit down 6.32% to 77.4 billion yuan [2][3].

Quantitative Factors and Construction Methods 1. Factor Name: "偏锋涨跌幅" (Skewed Momentum) - **Factor Construction Idea**: This factor captures the "excess momentum" of individual stocks relative to the market during specific intraday periods, aiming to identify stocks prone to overreaction and subsequent reversal[1][10][13] - **Factor Construction Process**: 1. **Momentum Benchmark**: Calculate the average return of all rising or falling stocks in the market for each minute, serving as the "positive momentum benchmark" and "negative momentum benchmark"[13] 2. **Deviation**: For each stock and each minute, compute the difference between the stock's 1-minute return and the corresponding momentum benchmark. If the stock's return is zero or no stocks share the same direction, the deviation is set to zero[13] 3. **Skewness of Deviation**: Calculate the skewness of deviations across all stocks in the market for each minute. Positive skewness indicates a higher proportion of "outlier rising" or "outlier falling" stocks. Aggregate the logarithmic deviations during "momentum periods" (when skewness > 0) for each stock to derive a daily factor[13] 4. **Low-Frequency Conversion**: At the end of each month, calculate the standard deviation of the daily factor over the past 20 days to obtain the "偏锋涨跌幅" factor[13] - **Factor Evaluation**: This factor effectively captures intraday overreaction and helps identify stocks with potential for reversal[10][13] 2. Factor Name: "量涌波动率" (Volume Surge Volatility) - **Factor Construction Idea**: This factor measures the stability of returns within intraday periods defined by volume peaks, reflecting the impact of different investor sentiments on stock returns[17][23] - **Factor Construction Process**: 1. **Segment Division**: Use a recursive binary method to divide the intraday period into segments based on volume peaks. Exclude the first 10 minutes of trading to avoid distortions from high activity[23] - If a segment contains at least 3 minutes, divide it into two sub-segments based on the highest volume minute (excluding the first and last minutes)[23] - If a segment contains 2 minutes, divide it into two 1-minute segments[23] - If a segment contains only 1 minute, no further division is performed[23] 2. **Volatility Calculation**: Compute the standard deviation of returns for each segment as the daily factor value[23] 3. **Low-Frequency Conversion**: Standardize the daily factor and calculate the standard deviation over the past 20 days to derive the "量涌波动率" factor[23] - **Factor Evaluation**: This factor captures the stability of returns influenced by different investor sentiments, effectively identifying stocks with higher or lower future returns based on intraday volatility patterns[17][24] 3. Factor Name: "动量脉冲" (Momentum Pulse) - **Factor Construction Idea**: This composite factor combines "偏锋涨跌幅" and "量涌波动率" equally to enhance the precision of capturing intraday momentum and reversal effects[27][28] - **Factor Construction Process**: 1. Combine the "偏锋涨跌幅" and "量涌波动率" factors with equal weights[28] 2. Perform monthly frequency backtesting to evaluate the factor's performance[28] - **Factor Evaluation**: The composite factor demonstrates strong performance in capturing intraday momentum and reversal effects, with consistent positive excess returns across different market conditions[28][47] --- Factor Backtesting Results 1. "偏锋涨跌幅" Factor - **IC Mean**: 6.29%[14] - **Rank IC Mean**: 9.20%[14] - **Annualized Long-Short Return**: 29.13%[14] - **Annualized Long-Short Sharpe Ratio**: 2.25[14] - **Annualized Long-Only Excess Return**: 7.46%[14] - **Annualized Long-Only Sharpe Ratio**: 1.52[14] 2. "量涌波动率" Factor - **IC Mean**: 6.83%[25] - **Rank IC Mean**: 10.06%[25] - **Annualized Long-Short Return**: 31.95%[25] - **Annualized Long-Short Sharpe Ratio**: 2.83[25] - **Annualized Long-Only Excess Return**: 8.42%[25] - **Annualized Long-Only Sharpe Ratio**: 1.78[25] 3. "动量脉冲" Factor - **IC Mean**: 6.98%[30] - **Rank IC Mean**: 10.24%[30] - **Annualized Long-Short Return**: 31.93%[30] - **Annualized Long-Short Sharpe Ratio**: 2.50[30] - **Annualized Long-Only Excess Return**: 7.88%[30] - **Annualized Long-Only Sharpe Ratio**: 1.55[30] 4. "动量脉冲" Factor in Different Market Segments - **沪深300**: Rank IC Mean 4.37%, Annualized Long-Short Return 12.14%[48] - **中证500**: Rank IC Mean 7.96%, Annualized Long-Short Return 20.41%[48] - **中证1000**: Rank IC Mean 10.51%, Annualized Long-Short Return 27.09%[48] - **国证2000**: Rank IC Mean 11.99%, Annualized Long-Short Return 33.06%[48]

保险行业 2025 年一季报综述 负债端凸显韧性，投资端加剧利润分化 2025 年 05 月 08 日 ➢ 整体业绩分化明显：债市波动加大，投资分化导致净利润波动加大。主要上 市险企中国人寿/中国平安/中国太保/中国人保/新华保险 1Q25 归母净利润分别 同比+39.5%/-26.4%/-18.1%/+43.4%/+19.0%，分化较为明显，其中国寿、人 保和新华一季度净利润同比高增，太保和平安则阶段性承压。上市险企净利润的 分化主要来自于新会计准则带来的波动以及资产匹配方面策略不同导致的阶段 性差异。IFRS9 下，TPL 债权投资在利率反弹时使公允价值变动损益同比大幅的 下降，导致当期净利润波动加大。 ➢ 寿险及健康险：NBV 延续高增，银保渠道贡献弹性，负债成本有望逐步下 降。中国人寿/中国平安/中国太保/新华保险/中国人保 1Q25NBV 分别同比： +4.8%/+34.9%/+11.3%/+67.9%/+31.5%，其中中国平安 1Q25 新业务价值 率为 32.0%，同比+10.4pct，代理人渠道 NBV 同比+11.5%。分红险等收益浮 动型产品的开发和销售，有望推动险企从过去的刚性兑付转向 ...

Investment Rating - The report maintains a positive outlook on the military industry, suggesting that the "performance bottom" has been established and that the sector may enter a new growth cycle from 2025 to 2027 [6] Core Insights - In 2024, the military industry experienced a decline in total revenue and net profit, with a year-on-year decrease of 5% and 48% respectively. The first quarter of 2025 continued this trend with a 5% year-on-year decline in revenue and a 34% decline in net profit [1][11] - The report indicates that the decline in revenue and profit is "non-linear," with profits dropping significantly despite only a slight decrease in revenue. This is attributed to factors such as price declines and increased impairment losses [2][19] - The shipbuilding sector showed the best performance, with net profit increasing by 88% in 2024, while other sectors like aerospace and weapons faced significant losses [4][48] Summary by Sections Performance Review - In 2024, the military industry (excluding shipbuilding) achieved total revenue of 458 billion yuan, down 5.3% year-on-year, and a net profit of 187 billion yuan, down 48.4% year-on-year. Including shipbuilding, total revenue was 683.1 billion yuan, down 1.3%, and net profit was 263 billion yuan, down 34.7% [11][12] - The first quarter of 2025 saw total revenue of 858 billion yuan, down 4.8% year-on-year, and a net profit of 44 billion yuan, down 34.2% year-on-year [61][63] Trend Analysis - The industry has faced continuous profit declines over seven consecutive quarters, with the fourth quarter of 2024 marking the first historical quarterly loss [2][19] - The gross profit margin decreased by 2.1 percentage points to 21.6%, and the net profit margin decreased by 3.4 percentage points to 4.4% in 2024 [19][60] Balance Sheet Insights - As of the end of 2024, the industry had inventory totaling 225.8 billion yuan, accounting for 49% of total revenue, indicating inventory buildup and preparation for order recovery [3][23] - Accounts receivable increased to 319.7 billion yuan, representing 70% of total revenue, highlighting ongoing collection pressures [3][25] Sector Performance - The shipbuilding sector was the only segment to achieve positive growth in 2024, with a net profit increase of 88% [4][48] - The aerospace and weapons sectors experienced significant losses, with expectations for recovery in 2025 [4][37] Recommendations - The report suggests focusing on specific companies within the military sector, including guided equipment and new combat capabilities, as well as military trade and commercial aviation [5]

Investment Rating - The report maintains a "Buy" rating for key companies in the steel sector, including Baosteel, Hualing Steel, and Nanjing Steel, among others [4]. Core Insights - The steel sector experienced a slight increase in 2024, with a notable recovery in Q1 2025 driven by supply restrictions and macroeconomic policies aimed at boosting domestic demand [1][9]. - The profitability of the steel sector improved in Q1 2025, with a significant year-on-year increase in net profit for general steel and a substantial recovery in profit margins [2][17]. - The report highlights a potential new round of capacity reduction in the steel industry due to ongoing overcapacity and losses, with government policies likely to enforce stricter production controls [3][48]. Summary by Sections 1. Steel Sector Performance - In 2024, the steel sector saw a modest increase of 6.56%, ranking 25th among industries, while Q1 2025 showed a stronger performance with a 10.24% increase, ranking 5th [1][11]. - The profitability of the general steel sector turned positive in Q1 2025, with a year-on-year net profit increase of 549.88% [17][19]. 2. Demand and Supply Dynamics - Demand for construction steel stabilized at the bottom, while manufacturing steel maintained resilience, supported by increased infrastructure investment and a gradual recovery in the real estate market [2][37]. - The report notes that the supply side is facing stricter production controls, with the potential for a new round of capacity reduction due to significant overcapacity in the industry [3][45]. 3. Investment Recommendations - The report suggests focusing on leading companies in the general steel sector, such as Baosteel and Hualing Steel, as well as companies with flexible production capacity like Liugang and Shandong Steel [3][4]. - For the special steel sector, companies with strong performance in downstream industries like automotive and wind energy are recommended, including Xianglou New Materials and Guanda Special Materials [3][4]. 4. Financial Performance - The steel sector's total revenue in 2024 decreased by 9.47%, but Q1 2025 showed a recovery with a significant increase in net profit [17][19]. - The gross profit margin for the steel sector improved to 6.60% in Q1 2025, indicating a recovery in profitability [19][20]. 5. Institutional Holdings - Institutional holdings in the steel sector increased in Q1 2025, reflecting a recovery in profitability and improved market conditions [2][27]. - The report indicates a rise in the proportion of institutional investment in the steel sector, reaching 0.42% in Q1 2025 [27][28].

Investment Rating - The report maintains a positive outlook for the military industry, suggesting that the "performance bottom" has been established and that the sector is expected to enter a new growth cycle from 2025 to 2027 [6]. Core Insights - The military industry experienced a decline in total revenue and net profit in 2024, with total revenue down 5% and net profit down 48% year-on-year. In Q1 2025, total revenue continued to decline by 5% year-on-year, while net profit decreased by 34% year-on-year [1][11]. - The report indicates that the decline in revenue and profit is "non-linear," with a significant drop in net profit compared to revenue due to factors such as price decreases and increased impairment losses [2][19]. - The shipbuilding sector showed the best performance, with net profit increasing by 88% in 2024, while other sectors like aerospace and weapons faced significant losses [4][47]. Summary by Sections Performance Review - In 2024, the military industry (excluding shipbuilding) achieved total revenue of 458 billion yuan, down 5.3% year-on-year, and a net profit of 187 billion yuan, down 48.4% year-on-year. Including shipbuilding, total revenue was 683.1 billion yuan, down 1.3%, and net profit was 263 billion yuan, down 34.7% [11][12]. - The report highlights that the industry faced a continuous decline in net profit over seven consecutive quarters from Q3 2023 to Q1 2025, with Q4 2024 marking the first quarterly loss in history [2][60]. Trend Analysis - The report notes that the industry's gross profit margin decreased by 2.1 percentage points to 21.6% in 2024, and the net profit margin decreased by 3.4 percentage points to 4.4% [19][59]. - Inventory levels increased to 225.8 billion yuan by the end of 2024, accounting for 49% of total revenue, indicating inventory buildup and preparation for order recovery [23][25]. Sector Performance - The shipbuilding sector achieved a total revenue of 225.1 billion yuan in 2024, with a year-on-year growth of 8%, and net profit of 76 billion yuan, up 87.7% [36][47]. - The aerospace and weapons sectors experienced significant declines, with net profits dropping sharply due to demand-side impacts [4][42]. Recommendations - The report suggests focusing on specific segments such as guided weapons, new combat capabilities, military trade, and commercial aviation, indicating potential investment opportunities in companies like Feiliwa, Huayin Technology, and others [5].

军工行业 2025 年一季度公募基金持仓分析 1Q25 机构低配军工；持仓"底部特征"明确 2025 年 05 月 08 日 ➢ 投资建议 近期，公募基金 2025 年一季报披露完毕。1Q25，主动型基金超配/低配军 工幅度环比减少 0.27ppt 至-0.21ppt，连续 10 个季度环比减少并且出现低配。 我们观点如下：1）主动型基金超配军工幅度在 3Q22 达到峰值后，呈现持续下 降趋势。1Q25 转为低配，或为行业底部信号。2）军工主题基金规模呈减少趋 势，1Q25 较历史最高规模已下滑接近 50%。3）1Q25 主动型基金加仓了几乎 所有细分板块，典型如新材料、信息化等。4）1Q25 机构偏好出现变化，主动 型基金回归重点配置白马龙头，且持仓集中度有所降低。 ➢ 持仓分析 主动型基金连续 10 个季度减配军工，并已至低配。1Q25：1）主动型基金 超配/低配民生军工幅度为-0.21ppt（处于低配水平），环比减少 0.27ppt，已经 连续 10 个季度环比减少，变化幅度在所有行业中处于中间位置（排名 16/30）。 2）军工主题基金规模环比减少 8.30%至 320 亿元，较 4Q21 历史最高规 ...

Investment Rating - The report maintains a positive outlook on the military industry, suggesting it may enter a new upward cycle from 2025 to 2027 [6][5]. Core Insights - In Q1 2025, active funds have shifted to a low allocation in the military sector, marking a potential bottom signal for the industry [1][18]. - The scale of military-themed funds has decreased significantly, dropping nearly 50% from its historical peak [1][22]. - Active funds have increased their holdings across almost all sub-sectors, particularly in new materials and information technology [1][3]. Summary by Sections Fund Allocation Analysis - Active funds have reduced their allocation to the military sector for ten consecutive quarters, with a current low allocation of -0.21 percentage points [2][14]. - The total market value of military-themed funds has decreased by 8.30% to 32 billion yuan, down 47% from the historical high of 60.8 billion yuan [22][24]. - The top ten stocks held by military-themed funds account for an average of 56.53% of the fund's net asset value, indicating a decrease in concentration [22][25]. Industry Dominance and Fund Preferences - State-owned enterprises dominate the military sector, accounting for 70% of the market value, reflecting a focus on these entities by institutional investors [3][30]. - The allocation by industry chain shows that upstream companies hold the highest proportion at 49%, followed by assembly at 28% [3][31]. - Active funds have shown a preference for leading blue-chip stocks, with significant increases in holdings for companies like 中航光电 (AVIC) and 菲利华 (Feilihua) [4][34]. Changes in Fund Holdings - The number of funds holding top military stocks has increased, with 中航光电 (AVIC) and 菲利华 (Feilihua) seeing the most significant growth in fund count [34][35]. - The concentration of holdings among the top fifteen stocks has decreased to 68.95%, down 5.69 percentage points [25][26]. - The report highlights a shift back to blue-chip stocks after a period of focusing on new domains [4][5].

韵达股份（002120.SZ）事件点评 控股股东增持彰显长期发展信心，25Q1 业务量稳步增长 2025 年 05 月 08 日 ➢ 事件概述：2025 年 5 月 7 日，基于对未来持续稳定发展的信心和对公司价 值的坚定认可，公司控股股东计划增持公司股份。公司控股股东上海罗颉思计划 以集中竞价、大宗交易等方式增持公司股份，计划增持金额为人民币 1-2 亿元。 截至公告披露日，上海罗颉思及其一致行动人合计持有公司股票 16.59 亿股，占 公司总股本的 57.22%。此次增持彰显控股股东对公司长期发展的信心，进一步 巩固公司股权结构。 ➢ 24 年及 25Q1 经营状况：24 年及 25Q1 公司件量稳步增长。 2024 年全年，1）收入端：24 年公司实现营收 485.4 亿元，同比+7.9%，实现 销售毛利 46.1 亿元，同比+7.2%；毛利率 9.5%。2）利润端：2024 年公司实现 归母净利润 19.1 亿元，同比+17.8%；归母净利率 3.9%；扣非后归母净利润 16.4 亿元，同比+18.3%，扣非归母净利率 3.4%。3）业务量：2024 年全年，公司完 成业务量 237.8 亿件，同比增 ...

韵达股份（002120.SZ）事件点评 控股股东增持彰显长期发展信心，25Q1 业务量稳步增长 2025 年 05 月 08 日 ➢ 事件概述：2025 年 5 月 7 日，基于对未来持续稳定发展的信心和对公司价 值的坚定认可，公司控股股东计划增持公司股份。公司控股股东上海罗颉思计划 以集中竞价、大宗交易等方式增持公司股份，计划增持金额为人民币 1-2 亿元。 截至公告披露日，上海罗颉思及其一致行动人合计持有公司股票 16.59 亿股，占 公司总股本的 57.22%。此次增持彰显控股股东对公司长期发展的信心，进一步 巩固公司股权结构。 ➢ 24 年及 25Q1 经营状况：24 年及 25Q1 公司件量稳步增长。 2024 年全年，1）收入端：24 年公司实现营收 485.4 亿元，同比+7.9%，实现 销售毛利 46.1 亿元，同比+7.2%；毛利率 9.5%。2）利润端：2024 年公司实现 归母净利润 19.1 亿元，同比+17.8%；归母净利率 3.9%；扣非后归母净利润 16.4 亿元，同比+18.3%，扣非归母净利率 3.4%。3）业务量：2024 年全年，公司完 成业务量 237.8 亿件，同比增 ...