Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda Derivatives Research Report Series. It aims to minimize the impact of basis fluctuations through continuous adjustments [40] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to March 14, 2025 [41] - **Spot Side**: Hold the total return index of the corresponding underlying index [41] - **Futures Side**: Allocate 70% of funds to the spot side and use the remaining 30% to short futures contracts of the same nominal principal [41] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining maturity is less than 2 days, then roll over to the next contract at the closing price [41] - **Model Evaluation**: This strategy provides a systematic approach to mitigate basis risks but does not account for transaction costs or the indivisibility of futures contracts [41] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance [42] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to March 14, 2025 [42] - **Spot Side**: Hold the total return index of the corresponding underlying index [42] - **Futures Side**: Allocate 70% of funds to the spot side and use the remaining 30% to short futures contracts of the same nominal principal [42] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts and select the one with the smallest discount. Contracts are held for 8 trading days or until the remaining maturity is less than 2 days [42] - **Model Evaluation**: This strategy dynamically adjusts positions based on basis levels, potentially improving hedging efficiency [42] --- Model Backtesting Results 1. Continuous Hedging Strategy (IC Futures) - **Annualized Return**: -2.01% (monthly), -1.82% (quarterly) - **Volatility**: 4.02% (monthly), 4.94% (quarterly) - **Maximum Drawdown**: -7.51% (monthly), -8.34% (quarterly) - **Net Value**: 0.9480 (monthly), 0.9529 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: -0.65% (monthly), -0.11% (quarterly) [44] 2. Minimum Basis Strategy (IC Futures) - **Annualized Return**: -0.93% - **Volatility**: 4.84% - **Maximum Drawdown**: -7.97% - **Net Value**: 0.9759 - **Annual Turnover**: 18.68 - **2025 YTD Return**: -0.29% [44] 3. Continuous Hedging Strategy (IF Futures) - **Annualized Return**: 0.89% (monthly), 0.76% (quarterly) - **Volatility**: 2.87% (monthly), 3.24% (quarterly) - **Maximum Drawdown**: -3.95% (monthly), -4.03% (quarterly) - **Net Value**: 1.0236 (monthly), 1.0202 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: 0.02% (monthly), 0.03% (quarterly) [49] 4. Minimum Basis Strategy (IF Futures) - **Annualized Return**: 1.31% - **Volatility**: 3.03% - **Maximum Drawdown**: -4.06% - **Net Value**: 1.0348 - **Annual Turnover**: 16.01 - **2025 YTD Return**: 0.12% [49] 5. Continuous Hedging Strategy (IH Futures) - **Annualized Return**: 1.27% (monthly), 1.97% (quarterly) - **Volatility**: 3.11% (monthly), 3.50% (quarterly) - **Maximum Drawdown**: -4.22% (monthly), -3.75% (quarterly) - **Net Value**: 1.0337 (monthly), 1.0525 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: 0.29% (monthly), 0.31% (quarterly) [54] 6. Minimum Basis Strategy (IH Futures) - **Annualized Return**: 1.68% - **Volatility**: 3.06% - **Maximum Drawdown**: -3.91% - **Net Value**: 1.0446 - **Annual Turnover**: 16.78 - **2025 YTD Return**: 0.34% [54] 7. Continuous Hedging Strategy (IM Futures) - **Annualized Return**: -4.87% (monthly), -4.02% (quarterly) - **Volatility**: 4.26% (monthly), 5.30% (quarterly) - **Maximum Drawdown**: -13.84% (monthly), -12.63% (quarterly) - **Net Value**: 0.8773 (monthly), 0.8981 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: -0.98% (monthly), -0.19% (quarterly) [57] 8. Minimum Basis Strategy (IM Futures) - **Annualized Return**: -3.49% - **Volatility**: 5.17% - **Maximum Drawdown**: -11.11% - **Net Value**: 0.9109 - **Annual Turnover**: 17.16 - **2025 YTD Return**: -0.16% [57] --- 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 [60] - **Factor Construction Process**: Developed based on overseas methodologies and adjusted for China's market conditions. It calculates implied volatility from options prices [60] - **Factor Evaluation**: Provides insights into market sentiment and volatility expectations [60] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events [66] - **Factor Construction Process**: Derived from the relative differences in implied volatility between out-of-the-money and at-the-money options [66] - **Factor Evaluation**: Known as the "Black Swan Index," it indicates market concerns about tail risks [67] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 21.35 - CSI 300: 19.86 - CSI 500: 26.42 - CSI 1000: 26.01 [60] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 97.72 - CSI 300: 99.44 - CSI 500: 98.05 - CSI 1000: 102.75 [67]

证券研究报告 传统 IP：向下沉、向上提，持续迭代维持增长。9.9 元变形金刚系列 24 年 底推出第 1 弹，25 年 2 月推出第 2 弹，销售情况乐观，全年预计持续迭代， 同时通过明盒和收藏级产品破圈；公司与新创华合作的奥特曼形象仍有开发 空间，SKU 预计持续丰富。渠道方面，24 年公司合规终端网点 15 万家， 25 年预计高速扩张，下沉市场增量不容小觑。 2025 YYYY 年年MM3 月月14DD 日日 公司研究 [Table_ReportType] 公司点评报告 [Table_StockAndRank] 布鲁可(0325.HK) | | | 上次评级 买入 [Table_A 姜文镪 uthor新消费] 行业首席分析师 执业编号：S1500524120004 邮 箱：jiangwenqiang@cindasc.com [Table_Title] 布鲁可：被低估的品牌力 深度思考：1）布鲁可的品牌价值某种程度上是被低估的，货架占领力可侧 面印证；2）产品力本身优势显著，除涂色、质感、拼搭手感外，我们可以 观察到产品的一些小巧思（果酱、香蕉、肩甲等细节），拼搭作为一种沉浸 式体验，产品 know-h ...

[Table_ReportType] 公司点评报告 [Table_StockAndRank] 布鲁可(0325.HK) 证券研究报告 公司研究 | | | 上次评级 买入 [Table_A 姜文镪 uthor新消费] 行业首席分析师 执业编号：S1500524120004 邮 箱：jiangwenqiang@cindasc.com [Table_Title] 布鲁可：被低估的品牌力 2025 YYYY 年年MM3 月月14DD 日日 [Table_S 事件：我们预计 ummary] 2 月出货延续景气，渠道库存健康。 深度思考：1）布鲁可的品牌价值某种程度上是被低估的，货架占领力可侧 面印证；2）产品力本身优势显著，除涂色、质感、拼搭手感外，我们可以 观察到产品的一些小巧思（果酱、香蕉、肩甲等细节），拼搭作为一种沉浸 式体验，产品 know-how 本身就是一种壁垒；3）布鲁可有在用心运营粉丝， BFC 创作赛、每月玩家生日抽奖等私域活动持续沉淀粉丝；根据国家统计 局，2023 年我国 5-14 岁儿童数量约 1.8 亿人（其中预估男童约 9800 万人）， 公司 24 年出货粗略估计在 1 亿件左右，考虑端 ...

【】【】 机械设备[Table_Industry] [Table_ReportDate] 2025 年 3 月 14 日 [Table_Author] 王锐 机械行业首席分析师 执业编号：S1500523080006 邮 箱：wangrui1@cindasc.com 韩冰 机械行业分析师 执业编号：S1500523100001 证券研究报告 行业研究 [Table_ReportType] 行业事项点评 [Table_StockAndRank] 机械设备 投资评级 看好 上次评级 看好 邮箱 邮 箱：kouhongji@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] 人形机器人催化不断，关注华为链进展 [Table_ReportDate] 2025 年 3 月 14 日 本期内容提要: 人形机器人迎量产元年，产业链催化不断。 3 月 10 日，智元发布首个通用具身基座大模型 GO-1，GO-1 大模型借 助人类和多种机器人数据，让机器人获得了革命性的学习能力，可泛 化 ...

【】【】 机械设备[Table_Industry] [Table_ReportDate] 2025 年 3 月 14 日 证券研究报告 行业研究 [Table_ReportType] 行业事项点评 [Table_StockAndRank] 机械设备 投资评级 看好 上次评级 看好 执业编号：S1500523100001 邮箱 邮 箱：kouhongji@cindasc.com [Table_Author] 王锐 机械行业首席分析师 执业编号：S1500523080006 邮 箱：wangrui1@cindasc.com 韩冰 机械行业分析师 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] 人形机器人催化不断，关注华为链进展 [Table_ReportDate] 2025 年 3 月 14 日 本期内容提要: 人形机器人迎量产元年，产业链催化不断。 3 月 10 日，智元发布首个通用具身基座大模型 GO-1，GO-1 大模型借 助人类和多种机器人数据，让机器人获得了革命性的学习能力，可泛 化 ...

Investment Rating - The investment rating for the company is "Buy" [1][2]. Core Views - The company achieved a revenue of 15.839 billion yuan in 2024, representing a year-on-year increase of 40.63%, with a net profit attributable to the parent company of 3.327 billion yuan, up 63.09% year-on-year [2]. - The company is focusing on deepening its market presence in Guangdong while optimizing its distribution system and business team outside the province, which is expected to support good growth in the energy drink segment nationwide [2][3]. - The "Dongpeng Water" product line has shown excellent performance, with a revenue increase of 114.2% year-on-year in Q4 2024, contributing significantly to overall revenue growth [2]. Financial Summary - Total revenue for 2023 was 11.263 billion yuan, with a year-on-year growth of 32.4%. The projected revenue for 2025 is 21.386 billion yuan, reflecting a growth rate of 35.0% [3]. - The net profit attributable to the parent company for 2023 was 2.040 billion yuan, with a year-on-year increase of 41.6%. The forecast for 2025 is 4.475 billion yuan, indicating a growth of 34.5% [3]. - The gross margin for 2024 is projected to be 44.8%, with a gradual increase to 47.8% by 2027 [3]. - The earnings per share (EPS) for 2024 is estimated at 6.40 yuan, with projections of 8.61 yuan for 2025 and 10.77 yuan for 2026 [3].

Investment Rating - The investment rating for the company is "Buy" [1][2]. Core Insights - The company achieved a total revenue of 15.839 billion yuan in 2024, representing a year-on-year increase of 40.63%, and a net profit attributable to shareholders of 3.327 billion yuan, up 63.09% year-on-year [2]. - The company is focusing on deepening its market presence in Guangdong while optimizing its distribution system and business team outside the province, which is expected to support good growth in the energy drink segment nationwide [2][3]. - The "Dongpeng Water" product line has shown excellent performance, with a revenue increase of 114.2% year-on-year in Q4 2024, contributing significantly to the overall revenue growth [2]. Financial Performance Summary - Total revenue for 2023 was 11.263 billion yuan, with a year-on-year growth of 32.4%. The projected revenues for 2025, 2026, and 2027 are 21.386 billion yuan, 25.713 billion yuan, and 28.841 billion yuan, respectively [3]. - The net profit attributable to shareholders for 2023 was 2.040 billion yuan, with a year-on-year growth of 41.6%. The projected net profits for the next three years are 4.475 billion yuan, 5.599 billion yuan, and 6.529 billion yuan [3]. - The gross profit margin for 2024 is expected to be 44.8%, with a gradual increase projected in the following years [3]. - The company’s EPS (Earnings Per Share) for 2024 is estimated at 6.40 yuan, with projections of 8.61 yuan, 10.77 yuan, and 12.55 yuan for 2025, 2026, and 2027, respectively [3].

Investment Rating - The investment rating for the company is "Buy" [1][2]. Core Views - The company achieved a revenue of 15.839 billion yuan in 2024, representing a year-on-year increase of 40.63%, with a net profit attributable to the parent company of 3.327 billion yuan, up 63.09% year-on-year [2]. - The company is focusing on deepening its market presence in Guangdong while optimizing its distribution system and business team outside the province, which is expected to support good growth in the energy drink segment nationwide [2][3]. - The "Dongpeng Water" product line has shown excellent performance, with a revenue increase of 114.2% year-on-year in Q4 2024, contributing significantly to overall revenue growth [2]. Financial Summary - Total revenue for 2023 was 11.263 billion yuan, with a year-on-year growth of 32.4%. For 2024, the revenue is projected to be 15.839 billion yuan, reflecting a growth of 40.6% [3]. - The net profit attributable to the parent company for 2023 was 2.040 billion yuan, with a year-on-year increase of 41.6%. The forecast for 2024 is 3.327 billion yuan, indicating a growth of 63.1% [3]. - The gross margin for 2024 is expected to be 44.8%, up from 43.1% in 2023, while the return on equity (ROE) is projected to be 43.3% for 2024 [3]. - Earnings per share (EPS) for 2024 is estimated at 6.40 yuan, with a price-to-earnings (P/E) ratio of 34.45 [3].

测序试剂放量可期，国内+海外双轮驱动增长 [Table_CoverStock] —华大智造(688114)公司深度报告 [Table_ReportDate] 2025 年 03 月 13 日 [Table_CoverAuthor] 唐爱金 医药行业首席分析师 曹佳琳 医药行业分析师 S1500523080002 S1500523080011 tangaijin@cindasc.com caojialin@cindasc.com [Table_CoverReportList] 相关研究 1.2024Q2 环比恢复增长，测序仪装机创新高 2.基因测序业务稳步增长，全球化布局持续深化 证券研究报告 公司研究 [Table_ReportType] 公司深度报告 [Table_StockAndRank] 华大智造(688114) 投资评级 买入 上次评级 本期内容提要: [Table_Summary] 核心观点：华大智造是全球为数不多具有自主研发测序仪能力的企业之一， 是当前全球少数几家能够自主研发并量产从 Gb 级至 Tb 级低中高不同通量 的临床级基因测序仪企业之一，公司目前已经搭建了全矩阵的测序仪产品， 并通过实 ...

证券研究报告 公司研究 [Table_ReportType] 公司点评报告 [Table_StockAndRank] 柳药集团(603368) | 投资评级 | 买入 | | --- | --- | | 上次评级 | 买入 | | [Table_Author] 唐爱金 | 医药行业首席分析师 | | 执业编号：S1500523080002 | | | 邮 | 箱：tangaijin@cindasc.com | | 章钟涛 | 医药行业分析师 | | 执业编号：S1500524030003 | | 邮 箱：zhangzhongtao@cindasc.com 相关研究： [Table_OtherReport] 24H1 业务稳中有进+中期经营现金流 净额首次为正，期待 24H2 经营改善 2023 年达成股权 激励 业绩 目标， 2024Q1 业绩符合预期 广西医药批发龙头多元化发展，零售& 工业塑造第二增长曲线 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 [三方合作推进 Table_Title]"AI+医疗"全场景 ...