[Table_StockAndRank] 电力设备与新能源 投资评级 看好 上次评级 看好 电新周报：Optimus 训练家务技能，落地渐进 [Table_Industry] 电力设备与新能源 [Table_ReportDate] 2025 年 5 月 25 日 证券研究报告 行业研究 [行业周报 Table_ReportType] 武浩 电新行业首席分析师 执业编号：S1500520090001 联系电话：010-83326711 邮 箱：wuhao@cindasc.com 孙然 电新行业分析师 执业编号：S1500524080003 联系电话：18721956681 邮 箱：sunran@cindasc.com 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅大厦 B 座 邮编：100031 [Table_Title] Optimus 训练家务技能，落地渐进 [Table_ReportDate] 2025 年 5 月 25 日 储能方面，储能在电力系统中发挥重要作用，25 年储能有望保持高增态势。 1）大储方面，我们预计未来电力市场建设、辅 ...

证券研究报告 行业研究——周报 [Table_ReportType] [Table_StockAndRank] 石油加工行业 [Table_Author] 左前明 能源行业首席分析师 执业编号：S1500518070001 联系电话：010-83326712 邮箱：zuoqianming@cindasc.com 刘奕麟 石化行业分析师 执业编号：S1500524040001 联系电话：13261695353 邮箱：liuyilin@cindasc.com 信达证券股份有限公司 CINDASECURITIESCO.，LTD 北京市西城区宣武门西大街甲127号金隅大厦B 座 邮编：100031 [Table_Title] 大炼化周报：供需基本面改善， 石化化工和聚酯产品效益修复 [Table_ReportDate0] 2025 年 5 月 25 日 本期内容提要： [Table_Summary] ➢ 国内外重点炼化项目价差跟踪：截至 5 月 23 日当周，国内重点大炼化 项目价差为 2469.64 元/吨，环比变化+60.68 元/吨（+2.52%）；国外重 点大炼化项目价差为 1073.68 元/吨，环比变化- ...

5 月税期双峰平滑扰动 1.5-1.6%或为央行短期合意区间 —— 流动性与机构行为周度跟踪 250525 [[Table_R Table_Report eportTTime ime]] 2025 年 5 月 25 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 歌声ue 证券研究报告 债券研究 [Table_ReportType] 专题报告 | ] [Table_A 李一爽 uthor固定收益首席分析师 | | --- | | 执业编号：S1500520050002 | | 联系电话：+86 18817583889 | | 邮 箱： liyishuang@cindasc.com | 35 月税期双峰平滑扰动 1.5-1.6%或为央行短期合意区间 [Table_ReportDate] 2025 年 5 月 25 日 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅 大厦B 座 邮编：100031 [➢Table_Summary] 货币市场：本周央行 OMO 持续净投放，周五提前开展 5000 亿元 MLF ...

Investment Rating - The report does not provide a specific investment rating for the industry [2] Core Insights - The report highlights the acceleration of the promotion and application of green alcohol, green ammonia, and green hydrogen in new energy vessels, as outlined in the "Beautiful Rivers and Lakes Protection and Construction Action Plan (2025-2027)" released by seven government departments [11][12] - The report emphasizes the importance of maintaining clean and tidy water bodies and shorelines, with a focus on enhancing the collection and transfer of wastewater and garbage at ports, docks, and along rivers and lakes [11] Summary by Sections Domestic Highlights - The report discusses the joint release of an action plan by seven departments aimed at promoting new energy vessels, specifically green alcohol, green ammonia, and green hydrogen [11] ESG Financial Products Tracking - As of May 24, 2025, a total of 3,531 ESG bonds have been issued in China, with a total outstanding amount of 5.62 trillion RMB, where green bonds account for the largest share at 58.77% [28] - In the past month, 48 ESG bonds were issued, amounting to 39.9 billion RMB, and in the past year, 931 ESG bonds were issued with a total amount of 1,054.3 billion RMB [28] - The report notes that there are currently 669 ESG products in the market, with a total net asset value of 824.23 billion RMB, where ESG strategy products represent the largest share at 46.65% [33] - The report also mentions that there are 790 ESG products in the banking wealth management sector, with pure ESG products making up the largest share at 61.77% [38] Index Tracking - As of May 24, 2025, major ESG indices have outperformed the market, with the 300ESG leading with a slight increase of 0.02%, while the Wind All A Sustainable ESG index saw a decrease of 0.35% [39] - Over the past year, all major ESG indices have shown growth, with the 300ESG leading at an increase of 9.38% [39] Expert Opinions - Xu Sujiang, head of the research department at the China Foreign Exchange Trading Center, emphasizes the importance of the CGT (China-Europe Common Classification Directory) as a bridge connecting domestic and international green finance markets, suggesting a focus on improving the CGT standard system and enhancing the liquidity of CGT bonds [41] - Ouyang Liliang, Chief Investment Officer at AIA, discusses the integration of international standards with China's green finance goals, advocating for a dual-bottom-line investment approach that balances financial returns with emission reduction targets [41]

Investment Rating - The investment rating for the utility sector is "Positive" [2] Core Insights - In April, the total electricity consumption increased by 4.7% year-on-year, reaching 772.1 billion kWh. The industrial natural gas output for large-scale industries grew by 8.1% year-on-year, totaling 21.5 billion cubic meters [4][3] - The utility sector outperformed the market, with a 0.2% increase as of May 23, while the broader market (CSI 300) decreased by 0.2% [3][11] - The report highlights a potential improvement in profitability and value reassessment for the electricity sector due to previous supply-demand tensions [4] Electricity Industry Data Tracking - The price of thermal coal at Qinhuangdao Port (Q5500) was 613 CNY/ton, down 5 CNY/ton week-on-week. The inventory at Qinhuangdao Port was 7.48 million tons, a decrease of 130,000 tons week-on-week [3][21][28] - The daily coal consumption for inland provinces was 3.163 million tons, an increase of 60,000 tons/day week-on-week [30] - The average price in the Guangdong electricity market was 307.94 CNY/MWh, down 16.03% week-on-week [48] Natural Gas Industry Data Tracking - The LNG ex-factory price index in Shanghai was 4,469 CNY/ton, a year-on-year increase of 3.09% but a week-on-week decrease of 0.67% [54] - The average price of LNG imports was 12.54 USD/MMBtu, a year-on-year increase of 9.23% [54] - The EU natural gas supply for week 20 of 2025 was 6.13 billion cubic meters, a year-on-year increase of 3.5% [4] Investment Recommendations - For the electricity sector, it is suggested to focus on leading coal-fired power companies such as Guodian Power, Huaneng International, and Huadian International, as well as regional leaders in tight supply areas [4] - In the natural gas sector, companies with low-cost long-term gas sources and receiving station assets are recommended, such as Xin'ao Co. and Guanghui Energy [4]

存款利率下调信用债表现强势 中长端信用利差显著压缩 —— 信用利差周度跟踪 [[Table_R Table_Report eportTTime ime]] 2025 年 5 月 24 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 歌声ue 证券研究报告 债券研究 [Table_ReportType] 专题报告 | [Table_A 李一爽 uthor固定收益首席分析师 | ] | | --- | --- | | 执业编号：S1500520050002 | | | 联系电话：+86 18817583889 | | | 邮 | 箱： liyishuang@cindasc.com | 朱金保 固定收益分析师 执业编号：S1500524080002 联系电话：+86 15850662789 联系电话：+86 15850662789 箱： zhujinbao@cindasc.com 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅 大厦B 座 邮编：100031 3存款利率下调信用债表现强势 中长端信用利差显著压 ...

4 月全社会用电量同比增长 4.7%，规上工业天然气产量同比增长 8.1% 【】【】[Table_Industry] 公用事业—电力天然气周报 [Table_ReportDate] 2025 年 5 月 24 日 15666646523.tcy 证券研究报告 行业研究——周报 [Table_ReportType] 行业周报 [Table_StockAndRank] 公用事业 投资评级 看好 上次评级 看好 [Table_Author] 左前明 能源行业首席分析师 执业编号：S1500518070001 联系电话：010-83326712 邮 箱：zuoqianming@cindasc.com 李春驰 电力公用联席首席分析师 执业编号：S1500522070001 联系电话：010-83326723 邮 箱：lichunchi@cindasc.com 邢秦浩 电力公用分析师 执业编号：S1500524080001 联系电话：010-83326712 邮 箱：xingqinhao@cindasc.com 化工行业： 唐婵玉 电力公用分析师 执业编号：S1500525050001 邮 箱：tangchanyu@ci ...

资产重组新规激发市场活力，环保上市公司并购重组进度有望加速 【】【】[Table_Industry] 环保周报 [Table_ReportDate] 2025 年 5 月 24 日 ➢ 行情回顾：截至 5 月 23 日收盘，本周环保板块上涨 0.35%，表现优 于大盘；其中，水治理板块下跌 1.37%，水务板块下跌 0.59%；大气 治理下跌 0.74%；固废中环卫上涨 0.26%，垃圾焚烧板块下跌 0.26%， 资源化板块下跌 0.25%，固废其他板块上涨 6.12%；环保设备板块上 涨 0.21%，检测/监测/仪表下跌 2.53%；环境修复上涨 1.14%。 ➢ 行业动态：1）5 月 21 日，生态环境部等七部门印发《美丽河湖保护 与建设行动方案（2025—2027 年）》，方案提出，到 2027 年，美丽 河湖建成率达到 40%左右；到 2030 年，美丽河湖建设取得明显成效； 到 2035 年，美丽河湖基本建成。中央财政积极支持美丽河湖保护与 建设。引导和鼓励地方财政及社会资本加大投入，不断强化资金保障； 2）5 月 20 日，生态环境部发布征求《工业园区污水集中处理设施水 污染物排放标准制订技术导则 ...

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: The strategy is based on the convergence of basis factors in stock index futures and optimizes hedging through continuous adjustments[47] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to May 23, 2025[48] - **Spot Side**: Hold the total return index of the corresponding underlying index[48] - **Futures Side**: Use 70% of the funds for the spot side and short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[48] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than 2 days. Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price[48] - **Assumptions**: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[48] 2. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount for hedging, aiming to optimize returns[49] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to May 23, 2025[49] - **Spot Side**: Hold the total return index of the corresponding underlying index[49] - **Futures Side**: Use 70% of the funds for the spot side and short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[49] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest discount for opening a position. Hold the same contract for 8 trading days or until the remaining time to maturity is less than 2 days before selecting a new contract. Even if the result is to hold the original contract, it must still be held for 8 trading days[49] - **Assumptions**: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.50% (monthly), -1.64% (quarterly)[51] - Volatility: 3.93% (monthly), 4.83% (quarterly)[51] - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly)[51] - Net Value: 0.9312 (monthly), 0.9545 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -2.34% (monthly), 0.05% (quarterly)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.72% (monthly), 0.99% (quarterly)[56] - Volatility: 3.07% (monthly), 3.41% (quarterly)[56] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[56] - Net Value: 1.0204 (monthly), 1.0281 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - 2025 YTD Return: -0.30% (monthly), 0.83% (quarterly)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.18% (monthly), 2.14% (quarterly)[60] - Volatility: 3.18% (monthly), 3.61% (quarterly)[60] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[60] - Net Value: 1.0336 (monthly), 1.0612 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - 2025 YTD Return: 0.28% (monthly), 1.18% (quarterly)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -5.76% (monthly), -4.12% (quarterly)[62] - Volatility: 4.76% (monthly), 5.81% (quarterly)[62] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly)[62] - Net Value: 0.8595 (monthly), 0.8909 (quarterly)[62] - Annual Turnover: 12 (monthly), 4 (quarterly)[62] - 2025 YTD Return: -7.32% (monthly), -2.55% (quarterly)[62] 2. Minimum Discount Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -0.61%[51] - Volatility: 4.75%[51] - Maximum Drawdown: -7.97%[51] - Net Value: 0.9829[51] - Annual Turnover: 17.78[51] - 2025 YTD Return: 0.42%[51] - **IF (CSI 300 Futures)**: - Annualized Return: 1.56%[56] - Volatility: 3.20%[56] - Maximum Drawdown: -4.06%[56] - Net Value: 1.0445[56] - Annual Turnover: 14.94[56] - 2025 YTD Return: 1.09%[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.85%[60] - Volatility: 3.19%[60] - Maximum Drawdown: -3.91%[60] - Net Value: 1.0528[60] - Annual Turnover: 16.36[60] - 2025 YTD Return: 1.16%[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.45%[62] - Volatility: 5.62%[62] - Maximum Drawdown: -11.11%[62] - Net Value: 0.9068[62] - Annual Turnover: 16.12[62] - 2025 YTD Return: -1.64%[62] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture different time horizons[65] - **Factor Construction Process**: - Based on methodologies from international markets, adjusted for China's options market[65] - Captures implied volatility from options prices to reflect market sentiment[65] - **Factor Values**: - 30-day VIX values as of May 23, 2025: - SSE 50: 18.91 - CSI 300: 17.52 - CSI 500: 24.78 - CSI 1000: 26.65[65][66][67] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme risks[72] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves to assess market sentiment on tail risks[72] - Higher SKEW values indicate increased concerns about extreme downside risks[73] - **Factor Values**: - SKEW values as of May 23, 2025: - SSE 50: 107.30 - CSI 300: 108.20 - CSI 500: 101.41 - CSI 1000: 110.79[73][74][79]

美债收益率走高，中证红利估值达历史高位 —— 红利风格投资价值跟踪（2025W21） [Table_ReportTime] 2025 年 5 月 24 日 [于明明 Table_ First 金融工程与金融产品首席 Author] 分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 周金铭 金融工程与金融产品分析师 执业编号：S1500523050003 联系电话：+86 18511558803 邮 箱：zhoujinming@cindasc.com 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 证券研究报告 金工研究 [TableReportType] 金工专题报告 [Table_A 于明明 uthor 金融工程与金融产品 ] 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 周金铭 金融工程与金融产品 分析师 执业编号：S1500523050003 联系电话：+86 1851155 ...