证券研究报告 2024 年 08 月 12 日 湘财证券研究所 行业研究 银行业周报 行业监管指标发布，上半年业绩保持稳定 相关研究： 1.《2024年度策略：量质均衡，进 而致远》 2023.12.23 2.《地产融资支持加强，助力缓释 资产风险》 2024.01.31 价值延续》 2024.06.21 预期》 2024.07.22 5.《央行工作会议强调逆周期调节 与防风险》 2024.08.05 分析师：郭怡萍 证书编号：S0500523080002 Tel：(8621) 50295327 Email：guoyp@xcsc.com 国人寿金融中心10楼 核心要点： 市场回顾：银行指数下跌 1.04%，大型银行和股份行表现居前 3.《中期策略：预期渐收敛，配置 4.《LPR全面下调，降息幅度符合 本周（截至 2024.08.11）银行(申万) 指数下跌 1.04%，行业排名 16/31，市 场表现强于沪深 300 指数 0.52 个百分点。大型银行和股份行市场表现居前。 资金市场：资金压力上升，存单净融资额较低 本周，央行公开市场操作净回笼 7597.6 亿元。短期资金利率多上行，资金 压力有所上升。国有 ...

证券研究报告 2024 年 08 月 13 日 湘财证券研究所 行业研究 房地产行业数据点评 新房成交维持低位，二手房成交节奏放缓 相关研究： 核心要点： | --- | |------------------------------| | 1. | | 渐减弱，二手房成交量有转弱迹 | | 象》 | 行业评级：增持 近十二个月行业表现 -50% -40% -30% -20% -10% 0% 10% 2023/8/11 2023/10/10 2023/12/9 2024/2/7 2024/4/7 2024/6/6 2024/8/5 沪深300 房地产(申万) | --- | --- | --- | --- | |----------|--------|--------|----------| | % | 1 个月 | 3 个月 | 12 个月 | | 相对收益 | 2 | -2 | -24 | | 绝对收益 | -2 | -11 | -38 | | | | | 300 相比 | 分析师：张智珑 证书编号：S0500521120002 Tel：(8621) 50295363 Email：zzl6599@xcsc ...

证券研究报告 2024 年 08 月 12 日 湘财证券研究所 行业研究 医疗服务行业周报 板块有所回调，关注中报表现 --医疗服务行业周报 8.5-8.9 相关研究： | --- | --- | |--------------------------------|------------| | 1.《DRG/DIP支付 | 版发布，支 | | 付方式不断改进》 | | | | 2024.07.30 | | 2.《医药政策频出，创新产业链持 | | | 续受关注》 | | | | 2024.08.06 | 行业评级：增持 近十二个月行业表现 -60.00% -40.00% -20.00% 0.00% 20.00% 23/8 23/9 23/10 23/11 23/12 24/1 24/2 24/3 24/4 24/5 24/6 24/7 沪深300 医疗服务II | --- | --- | --- | --- | |----------|--------|--------|----------| | % | 1 个月 | 3 个月 | 12 个月 | | 相对收益 | | | | | 绝对收益 | | | | ...

证券研究报告 2024 年 08 月 12 日 湘财证券研究所 行业研究 国防军工行业周报 千帆星座首批组网卫星成功发射，关注相关产业链发展 ——国防军工行业周报（08.05~08.09） 相关研究： 1.《20240423湘财证券-国防军工 行业-信息支援部队成立，关注 军工信息化相关产业链 》 2024.04.23 2.《20240603湘财证券-国防军工 行业-三大央企出资成立时空信 息集团，关注卫星互联网产业链 发展》2024.06.03 行业评级：增持 近十二个月行业表现 国防军工(申万) 沪深300 -40% -30% -20% -10% 0% 10% 23/08 23/10 23/12 24/02 24/04 24/06 | --- | --- | --- | --- | |----------|--------|--------|----------| | % | 1 个月 | 3 个月 | 12 个月 | | 相对收益 | | | | | 绝对收益 | | | | | | | | 300 相比 | 分析师：轩鹏程 证书编号：S0500521070003 Tel：(8621)50295321 ...

相关研究： 1.《2023年12月进出口回暖，关 注美国低库存行业带动的出口需 求》 2024.01.23 2.《基数效应导致出口同比下 滑，预计出口回暖趋势不变》 2024.04.16 3.《出口额环比高于近年同期均 值水平，二季度出口或保持平 稳》 2024.05.13 4.《出口金额平稳增长，海外需 求上升》 2024.06.07 5.《出口增速平稳向好，内需疲 软拖累进口》 2024.07.16 证券研究报告 2024 年 08 月 12 日 湘财证券研究所 宏观研究 宏观数据点评 出口增速小幅回落，全球制造业周期回落至收缩区间 ——7 月进出口数据点评 ❑ 事件 海关总署发布 7 月进出口数据。中国 7 月出口 3005.6 亿美元，同比 7%，前值 3078.6 亿美元，同比 8.6%。进口 2159.1 亿美元，同比2.4%，前值 2088.1 亿美元，同比 1.9%。 ❑ 出口增速小幅回落，全球制造业周期回落至收缩区间 出口金额结束连续 4 个月的回升，小幅下滑，外需有所减弱。由于同比 基数原因，7 月同比增速仍然维持比较高增速。本月增速回落原因一是 美国经济出现疲软，制造业及零售表现回落，拖 ...

证券研究报告 2024 年 08 月 09 日 湘财证券研究所 行业研究 事件点评 机床协会发布 6 月数据，金加机床新增订单保持增长 相关研究： | --- | |------------------------| | 1《. 20240607湘财证券- | | 机床工具协会发布4 | | 指标有所好转》 | | 2.《20240703湘财证券- | | 业：机床工具协会发布5 | | 据，主要指标继续好转》 | 行业评级：增持 近十二个月行业表现 机械设备(申万) 沪深300 -30% -20% -10% 0% 10% 23/08 23/10 23/12 24/02 24/04 24/06 24/08 | --- | --- | --- | --- | |----------|--------|--------|----------| | % | 1 个月 | 3 个月 | 12 个月 | | 相对收益 | | | | | 绝对收益 | | | | | | | | 300 相比 | 分析师：轩鹏程 证书编号：S0500521070003 Tel：(8621) 50295321 Email：xuanpc@x ...

Investment Rating - The report assigns a "Buy" rating to the company, indicating strong growth potential driven by DDR5 market penetration and AI-driven demand [1] Core Viewpoints - DDR5 market penetration is accelerating, with global DDR5 market penetration expected to reach 40%-50% in 2024 and 65% in 2025 [2] - The company is a leader in DDR5 memory interface chips and has developed supporting chips (SPD, TS, PMIC) for DDR5 LRDIMM applications, which are expected to see increased shipments [2] - PCIe Retimer chip demand is becoming more rigid, with the global PCIe Retimer market expected to grow at a CAGR of 39% in 2024, 36% in 2025, and 40% in 2026 [2] - The company is well-positioned in the high-performance PC market, with DDR5 6400MT/s and above memory expected to drive demand for DDR5 memory interface and CKD chips [2] - The company is strategically developing MRDIMM and MXC chips, targeting the growing edge computing market [2] Strategic Positioning and Product Line - The company has a clear strategic focus on memory interface chips, with a history of developing solutions from DDR2 to DDR5, maintaining a leading position in the industry [8][9] - It is a key player in DDR5 RCD chip development and has established itself as a leader in high-speed interconnect solutions [5][11] - The company has successfully launched DDR5 Gen1 to Gen4 products and is preparing for the next generation of DDR5 chips [12][15] - The company is also developing MRDIMM and MXC chips, targeting AI and edge computing applications [22][23] Market Trends and Growth Drivers - DDR5 market penetration is expected to grow significantly, with global DDR5 memory module shipments projected to reach 260-320 million units in 2024 [19] - The AI PC market is expected to drive demand for CKD chips, with the market size potentially reaching 500 million USD by 2027 [27][29] - The PCIe Retimer market is expected to grow rapidly, with the company being one of the few global players capable of producing PCIe 5.0 Retimer chips [31][34] - Edge computing is a growing market, with global edge computing spending expected to reach 232 billion USD in 2024, growing at a CAGR of 11% from 2022 to 2027 [25] Financial Performance and Outlook - The company's revenue for H1 2024 is expected to be 1.665 billion CNY, a year-on-year increase of 79.49%, with net profit expected to grow by 635% [48] - DDR5 memory interface chip penetration is driving ASP growth, leading to improved gross margins [49] - The company's R&D expenses have increased significantly, with a focus on developing next-generation products [54] - Inventory turnover has improved, and asset impairment losses have narrowed, indicating better operational efficiency [57] Valuation and Earnings Forecast - The company's revenue is expected to grow significantly, with 2024-2026 revenue forecasts of 4.11 billion CNY, 6.18 billion CNY, and 8.08 billion CNY, respectively [60][61] - Net profit is expected to grow rapidly, with 2024-2026 net profit forecasts of 1.416 billion CNY, 2.448 billion CNY, and 3.425 billion CNY, respectively [63][64] - The company's PE ratio for 2024 is estimated at 47.82x, with a "Buy" rating based on strong growth potential [64]

Quantitative Models and Construction Methods 1. Model Name: 300ETF Intelligent Investment Strategy - **Model Construction Idea**: This strategy uses the 300ETF index fund as the investment target. It adjusts the investment amount based on the valuation level of the PE ratio of the CSI 300 Index. The lower the valuation, the higher the investment multiple, and vice versa. When the valuation is extremely high, the strategy attempts to reduce or clear positions to avoid potential losses from valuation reversion[18] - **Model Construction Process**: 1. Divide the historical PE ratio of the CSI 300 Index into several valuation intervals based on its mean and standard deviation 2. Determine the investment multiple for each interval: higher multiples for lower valuations and lower multiples for higher valuations 3. Adjust the investment amount dynamically based on the current valuation level[18] - **Model Evaluation**: The strategy demonstrates better excess returns and risk control compared to the 300ETF benchmark[20] 2. Model Name: 300ETF Intelligent Investment and Covered Call Strategy - **Model Construction Idea**: This strategy builds on the intelligent investment strategy by adding a covered call component. When the market is in a long-term oscillation phase, it opens covered call positions to earn option premiums and enhance returns[19] - **Model Construction Process**: 1. Hold 300ETF spot positions based on the intelligent investment strategy 2. During long-term market oscillations, sell 300ETF call options to collect premiums 3. Adjust the strategy dynamically based on market conditions[19] - **Model Evaluation**: The strategy achieves higher excess returns and better risk control compared to the 300ETF benchmark[25] 3. Model Name: Support Vector Machine (SVM) Timing Strategy - **Model Construction Idea**: The SVM model, a supervised machine learning algorithm, is used to predict market trends for the CSI 300 Index. It utilizes 12 indicators as feature vectors to classify and forecast market movements[29][30] - **Model Construction Process**: 1. Select 12 indicators as feature vectors: turnover rate, ADTM, ATR, CCI, MACD, MTM, ROC, SOBV, STD26, STD5, margin trading volume as a percentage of A-share turnover, and previous week's return rate 2. Train the SVM model using historical data to classify market trends into "buy" or "sell" signals 3. Implement the strategy: - For "buy" signals: execute long positions in both single-direction and dual-direction strategies - For "sell" signals: single-direction strategy exits positions, while dual-direction strategy takes short positions[30] - **Model Evaluation**: The SVM model demonstrates effectiveness in market timing, achieving significant excess returns and lower drawdowns compared to the CSI 300 Index[31][32] --- Model Backtesting Results 1. 300ETF Intelligent Investment Strategy - **Final Net Value**: 0.96 - **Annualized Return**: -1.00% - **Annualized Volatility**: 16.78% - **Maximum Drawdown**: 22.39% - **Sharpe Ratio**: -0.24[24] 2. 300ETF Intelligent Investment and Covered Call Strategy - **Final Net Value**: 0.96 - **Annualized Return**: -1.12% - **Annualized Volatility**: 17.22% - **Maximum Drawdown**: 19.61% - **Sharpe Ratio**: -0.25[27] 3. SVM Timing Strategy (2020-2024) - **Single-Direction Strategy**: - **Final Net Value**: 1.12 - **Annualized Return**: 2.6% - **Annualized Volatility**: 27.36% - **Maximum Drawdown**: 30.06% - **Sharpe Ratio**: -0.02[34] - **Dual-Direction Strategy**: - **Final Net Value**: 1.50 - **Annualized Return**: 9.2% - **Annualized Volatility**: 38.96% - **Maximum Drawdown**: 27.92% - **Sharpe Ratio**: 0.16[34] 4. SVM Timing Strategy (2024 YTD) - **Single-Direction Strategy**: - **Final Net Value**: 1.02 - **Annualized Return**: 3.0% - **Annualized Volatility**: 25.07% - **Maximum Drawdown**: 5% - **Sharpe Ratio**: 0.00[37] - **Dual-Direction Strategy**: - **Final Net Value**: 1.05 - **Annualized Return**: 8.6% - **Annualized Volatility**: 33.18% - **Maximum Drawdown**: 10% - **Sharpe Ratio**: 0.17[37]

金融工程研究 策略周度跟踪 证券研究报告 2024 年 8 月 12 日 湘财证券研究所 支持向量机在股票择时中的应用 ——基于沪深 300 指数 相关研究： 核心要点： ❑ 策略逻辑 本策略采用机器学习中的支持向量机模型对沪深 300 指数进行择时。策略 最终采用换手率、ADTM、ATR、CCI、MACD、MTM、ROC、SOBV、STD26、 STD5、两融交易额占 A 股成交额（%）、上一交易周收益率 12 个指标作为 特征向量，用训练集数据训练模型，并对未来市场趋势进行预判。 ❑ 策略自 2020 年以来表现 采用支持向量机对沪深 300 指数进行周度择时，策略在 2020-01-02 至 2024-08-09 的表现如下： | 1. 《支持向量机在股票择时中的 | | | --- | --- | | 应用——基于沪深300指数》 | | | 2019.01.04 | | | 2. 《300ETF基金智能定投与备兑 | | | 增强策略》 | 2021.12.27 | | 3. 《趋势跟踪在行业ETF择时中 | | | 的应用》 | 2022.09.29 | 沪深300指数：期末净值为0.83，累计收 ...

证券研究报告 2024 年 08 月 12 日 湘财证券研究所 金融工程研究 跟踪周报 指数增强策略及因子跟踪周报 相关研究： 1. 《多因子量化选股系列之二： 中 证 500 指 数 增 强 策 略 》 2022.03.30 2. 《多因子量化选股系列之八： 中证1000指数增强策略改进》 2024.03.28 分析师：别璐莎 证书编号：S0500524010001 Tel：(021) 50293663 Email：bls06644 @xcsc.com 地址：上海市浦东新区银城路88号 中国人寿金融中心10楼 核心要点： ❑ 策略表现 指数增强策略逻辑是通过在成分股内优选个股，求解权重，构建能稳定超 额基准指数的策略。我们从估值、财务质量、成长、分析师预期、北向资 金、量价这几个方面来衡量个股表现。 上周，中证 500 指数增强策略收益为-0.38%，同期指数收益为-1.43%，相 较于基准，策略超额收益为 1.05%；中证 1000 指数增强策略收益为-1.86%， 同期指数收益为-2.23%，相较于基准，策略超额收益为 0.37%。 本月，中证 500 指数增强策略收益为-2.22%，同期指数收益为-3 ...