证券研究报告 | 策略研究 2026 年 1 月 20 日 规模指数 ETF 净流出，融资买入额占两市交易额比例回落 ——金融市场流动性与监管动态周报（0120） 近期股票型 ETF 持续净流出为市场降温，宽基规模指数 ETF 成为净流出主力， 主题类及行业类 ETF 则持续获得资金净流入，其中沪深 300ETF 净流出而中证 2000 ETF 获资金净流入。1 月 19 日融资资金出现首次净流出，临近 1 月末上 市公司年度业绩预告的高峰期，业绩不确定性增加，融资资金流出压力或相对 提升，关注业绩预告披露对小微盘及主题风格的压制。 定期报告 相关报告 1. 《招商 A 股流动性研究体系与 流动性指数——A 股市流动性研 究之四》，2016 年 8 月 2. 《A 股机构投资者全景图—股 票市场SCP范式研究之一》，2017 年 10 月 3. 《北向资金四季度回流，增量 资金加速净流入——金融市场流 动性与监管动态周报（0113）》 | 招商 A 股流动性指数 | | | --- | --- | | 流动性指标 | 数值/金额（亿 元） | | 资金供给 | | | 公募基金发行 | 131.52↑ | | ...

Investment Rating - The report gives a "Strong Buy" rating for the company, marking its first coverage [3]. Core Insights - The company is transitioning into a new phase characterized by innovation and internationalization, with a focus on commercializing innovative drugs and expanding into emerging markets [1][7]. - The impact of centralized procurement on core products is expected to stabilize, leading to a recovery in revenue and profit growth starting in 2024 [7][13]. - The company has a robust pipeline of nearly 40 innovative drug candidates, with several expected to launch commercially in 2024 [7][23]. Financial Data and Valuation - Total revenue is projected to decline from 8,013 million in 2023 to 7,469 million in 2024, before increasing to 10,061 million by 2026 [2]. - Net profit is expected to decrease from 2,401 million in 2023 to 1,620 million in 2024, with a recovery to 1,955 million by 2026 [2]. - The company’s PE ratio is forecasted to improve from 18.6 in 2024 to 15.4 in 2026, indicating a potential increase in valuation [2]. Business Model and Strategy - The company has evolved from a CSO model to a full-chain innovative pharmaceutical enterprise, focusing on specialized fields such as dermatology and ophthalmology [11][18]. - The internationalization strategy includes expanding into Southeast Asia and the Middle East, with nearly 20 drug applications submitted in these regions [7][11]. - The company plans to spin off its dermatology business, Demy Pharma, for independent listing, enhancing its focus on specialized markets [7][11]. Product Pipeline and Market Potential - The innovative product pipeline includes five drugs that have already been commercialized, with additional candidates in various stages of development [20][24]. - Key products such as Vifor (for chronic kidney disease) and Y-3 (for acute ischemic stroke) are expected to drive future growth [29][37]. - The company is targeting significant unmet medical needs in the Chinese market, particularly in areas like high phosphorus levels in dialysis patients and rabies passive immunity [31][47].

Quantitative Models and Construction Methods Model 1: Active Quantitative Stock Selection Based on Free Cash Flow - **Model Name**: Active Quantitative Stock Selection Based on Free Cash Flow - **Model Construction Idea**: The model aims to select stocks with high free cash flow quality and enhance the selection with valuation, quality, dividend, and momentum factors[27] - **Model Construction Process**: 1. **Sample Space**: Exclude newly listed stocks (less than one year), ST and *ST stocks, and stocks in the comprehensive financial, banking, non-bank financial, and real estate sectors[29] 2. **Initial Screening**: Retain stocks with positive free cash flow, positive enterprise value, and positive net cash flow from operating activities over the past five years. Exclude stocks in the bottom 20% of profitability quality[29] 3. **Free Cash Flow Selection**: Construct free cash flow factors from valuation, quality, and growth dimensions. Neutralize these factors by market value and industry, then combine them equally to form a comprehensive free cash flow factor. Select the top 50% of stocks based on this factor to form a self-built cash flow stock pool[29] 4. **Enhancement Dimensions**: Introduce valuation, quality, dividend, and momentum factors to further enhance the stock pool[29] - **Model Evaluation**: The model has shown stable performance with an annualized return of 32.28% and an annualized excess return of 26.68% relative to the CSI 500, with an information ratio (IR) of 2.42[30] Model 2: High Dividend Stock Selection Strategy - **Model Name**: High Dividend Stock Selection Strategy - **Model Construction Idea**: The model focuses on selecting stocks with high dividend yields and stable dividend payments to construct a high dividend investment strategy[33] - **Model Construction Process**: 1. **High Dividend Base Stock Pool**: Select the top 20% of companies in each CITIC first-level industry based on dividend yield[35] 2. **Avoid Dividend Trap**: Select companies with an average dividend yield greater than 2% over the past three years and a standard deviation of dividend yield less than 2%[35] 3. **Avoid Low Valuation Trap**: Select companies with the current quarterly ROE greater than or equal to the same quarter last year and with a positive consensus forecast for future compound growth rate[35] 4. **High Dividend Yield Portfolio**: Select the top 30 companies based on dividend yield from the remaining stock pool[35] - **Model Evaluation**: The model has achieved an annualized excess return of 16.42% relative to the CSI Dividend Index, with an IR of 2.42[37] Model 3: Technical Growth Expectation Stock Selection Strategy - **Model Name**: Technical Growth Expectation Stock Selection Strategy - **Model Construction Idea**: The model aims to identify high-growth opportunities by constructing a future growth portfolio based on current growth indicators and enhancing it with technical factors[39] - **Model Construction Process**: 1. **Growth Expectation Portfolio Construction**: Select companies with the latest quarterly net profit growth to form the base stock pool. Exclude companies in the bottom 20% of quarterly ROE and select the top 50% based on the slope of quarterly ROE[41] 2. **Technical Enhancement**: Select the top 30% of companies based on the standardized unexpected earnings (SUE) indicator and the top 100 stocks based on excess returns on the day after earnings announcements. Further select the top 30 stocks based on the standard deviation of turnover rate moving average[41] - **Model Evaluation**: The model has shown an annualized return of 40% and an annualized excess return of 32.13% relative to the CSI 500, with an IR of 2.91[42] Model Backtest Results Active Quantitative Stock Selection Based on Free Cash Flow - **Annualized Return**: 32.28% - **Annualized Excess Return**: 26.68% - **Information Ratio (IR)**: 2.42[30] High Dividend Stock Selection Strategy - **Annualized Excess Return**: 16.42% - **Information Ratio (IR)**: 2.42[37] Technical Growth Expectation Stock Selection Strategy - **Annualized Return**: 40% - **Annualized Excess Return**: 32.13% - **Information Ratio (IR)**: 2.91[42] Quantitative Factors and Construction Methods Factor 1: Free Cash Flow Factor - **Factor Name**: Free Cash Flow Factor - **Factor Construction Idea**: The factor aims to capture the quality of free cash flow from valuation, quality, and growth dimensions[29] - **Factor Construction Process**: 1. **Valuation Dimension**: Free Cash Flow to Firm/Enterprise Value (FCFF/EV) 2. **Quality Dimension**: Free Cash Flow to Firm/EBITDA (FCFF/EBITDA) 3. **Growth Dimension**: Free Cash Flow Growth Rate (FCFF Growth Rate) 4. **Combination**: Neutralize these factors by market value and industry, then combine them equally to form a comprehensive free cash flow factor[29] - **Factor Evaluation**: The factor has shown long-term effectiveness and stability in predicting future dividends and achieving excess returns[27] Factor Backtest Results Free Cash Flow Factor - **Annualized Return**: 32.28% - **Annualized Excess Return**: 26.68% - **Information Ratio (IR)**: 2.42[30]

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Timing Model for Interest Rates - **Model Construction Idea**: The model uses kernel regression to identify support and resistance lines in interest rate trends. It evaluates the breakthrough patterns of interest rate movements across different investment cycles (long, medium, and short) to generate composite timing signals[11][24]. - **Model Construction Process**: - **Data Input**: Yield-to-Maturity (YTM) data for 5-year, 10-year, and 30-year government bonds[11][24]. - **Kernel Regression**: Applied to capture the support and resistance lines of interest rate trends[11]. - **Cycle Classification**: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency[11][24]. - **Signal Generation**: - If at least two cycles show downward breakthroughs of support lines, the signal is "bullish" (e.g., 5-year and 10-year YTM signals are bullish) - If at least two cycles show upward breakthroughs of resistance lines, the signal is "bearish" (e.g., 30-year YTM signal is bearish)[11][24]. - **Model Evaluation**: The model effectively captures multi-cycle resonance in interest rate trends, providing actionable timing signals for different bond maturities[11][24]. 2. Model Name: Multi-Cycle Trading Strategy - **Model Construction Idea**: The strategy is based on the multi-cycle timing signals generated by the above model. It allocates bond portfolios dynamically based on the direction of interest rate trends and cycle breakthroughs[24][29]. - **Model Construction Process**: - **Portfolio Allocation Rules**: - If at least two cycles show downward breakthroughs and the trend is not upward, allocate fully to long-duration bonds. - If at least two cycles show downward breakthroughs but the trend is upward, allocate 50% to medium-duration bonds and 50% to long-duration bonds. - If at least two cycles show upward breakthroughs and the trend is not downward, allocate fully to short-duration bonds. - If at least two cycles show upward breakthroughs but the trend is downward, allocate 50% to medium-duration bonds and 50% to short-duration bonds. - In other cases, allocate equally across short, medium, and long durations[24][29]. - **Stop-Loss Mechanism**: If the daily excess return of the portfolio falls below -0.5%, adjust holdings to equal-weighted allocation[29]. - **Performance Benchmark**: Equal-weighted allocation across short, medium, and long durations serves as the benchmark[24][29]. - **Model Evaluation**: The strategy demonstrates robust performance across different market conditions, with high win rates for both absolute and excess returns over the past 18 years[24][29]. --- Model Backtesting Results 1. Multi-Cycle Timing Model for Interest Rates - **5-Year YTM**: - Long-term annualized return: 5.46% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.9 - Short-term annualized return (since 2024): 2.09% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.55 - Long-term excess return: 1.06% - Short-term excess return: 0.64%[25][28]. - **10-Year YTM**: - Long-term annualized return: 6.03% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.2 - Short-term annualized return (since 2024): 2.34% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.05 - Long-term excess return: 1.63% - Short-term excess return: 1.06%[28][33]. - **30-Year YTM**: - Long-term annualized return: 7.28% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.7 - Short-term annualized return (since 2024): 2.47% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 2.7 - Long-term excess return: 2.39% - Short-term excess return: 2.16%[33][37]. 2. Multi-Cycle Trading Strategy - **5-Year YTM**: - Annualized return (2008-2025): 2.10%-14.83% - Excess return (2008-2025): 0.29%-2.77%[37]. - **10-Year YTM**: - Annualized return (2008-2025): 0.11%-17.08% - Excess return (2008-2025): -0.08%-4.41%[37]. - **30-Year YTM**: - Annualized return (2008-2025): -0.36%-19.93% - Excess return (2008-2025): -0.39%-5.48%[37].

Investment Rating - The report maintains a strong buy rating for several key companies in the power equipment sector, including Guodian Nanrui, Siyuan Electric, and TBEA, while recommending an increase in holdings for others like Sifang Co. and China XD Electric [2][3]. Core Insights - The State Grid's planned investment of 4 trillion yuan during the 14th Five-Year Plan period represents a 40% increase compared to the previous plan, with an expected compound annual growth rate (CAGR) of 7% [1][9]. - The focus of this investment will be on green transformation, ultra-high voltage, distribution networks, energy storage, and digitalization, which is expected to significantly support the performance of related companies [1][9]. - The report highlights the increasing pressure on power consumption and the need for a new power system, emphasizing ultra-high voltage and energy storage as critical solutions to address this challenge [1][13][21]. Industry Overview - The total number of listed companies in the power equipment sector is 308, with a total market capitalization of 7,728.9 billion yuan [3]. - The absolute performance of the power equipment and new energy sector has shown significant growth, with a 63.1% increase over 12 months [5]. Key Company Analysis - Guodian Nanrui is recognized as a leader in secondary equipment with strong technology barriers and stable operations, expected to see significant growth in high-voltage and system stability businesses [26]. - Siyuan Electric has established a comprehensive product system and service network in overseas markets, with a notable increase in overseas revenue [26]. - China XD Electric benefits from increased capital expenditure in domestic main networks and ultra-high voltage projects, with a growing presence in international markets [27]. - TBEA is experiencing rapid growth in orders, particularly in the Middle East and Europe, and is expected to benefit from ongoing power construction projects [28]. - Other notable companies include XJ Electric, Pinggao Electric, and Igor, each with unique strengths and growth prospects in the evolving power equipment landscape [29][30][31].

Investment Rating - The industry is rated as "Recommended," indicating a positive outlook for the sector with expectations that the industry index will outperform the benchmark index [30]. Core Insights - The report highlights significant advancements in the logistics sector, particularly with the testing of autonomous delivery vehicles in Guangzhou, marking a crucial step in the integration of unmanned logistics vehicles into mainstream logistics scenarios [3][16]. - A partnership between Star Motion Era and SF Express aims to enhance the application of embodied intelligent robots in logistics, focusing on areas such as sorting and warehousing [17]. - The report notes a strong performance in the humanoid robot sector, with a 1.6% increase in the humanoid robot index over the past week, outperforming the broader market indices [9][10]. Industry Overview - The industry comprises 474 listed companies with a total market capitalization of 5,377.3 billion and a circulating market value of 4,648.9 billion [4]. - The humanoid robot sector has shown robust liquidity, with trading volume reaching 15.18% of total A-share trading on January 12, 2026, and remaining high at 11.80% on January 16, 2026 [10][12]. Key Events - The first batch of 20 autonomous delivery vehicles has begun road testing in Guangzhou, a significant milestone for the city's smart logistics initiatives [16]. - Xino Future has secured over 10,000 orders for high-freedom dexterous hands and is establishing a production line with an annual capacity of 200,000 micro electric cylinders [18]. - Mytra, a U.S. industrial robotics company, completed a $120 million Series C financing round, indicating strong investor interest in robotics technology [24]. Performance Metrics - The humanoid robot sector has shown a strong relative performance, with a 36.9% increase over six months and a 61.7% increase over twelve months [6]. - Key stocks in the humanoid robot sector have experienced significant weekly gains, with New Spring Co. leading at 16.24% [15].

Industrial Production - In December 2025, the industrial added value above designated size increased by 5.2% year-on-year, slightly up from 4.8% in November[1] - The annual growth rate for industrial added value was 5.9%, indicating resilience in industrial production[1] - High-tech manufacturing saw a significant increase of 11.0% year-on-year in December, with a cumulative growth of 9.4% for the year, outperforming overall industrial growth by 3.5 percentage points[1] Fixed Asset Investment - Total fixed asset investment for 2025 decreased by 3.8% year-on-year, widening from a decline of 2.6% in the previous month[1] - Infrastructure investment (excluding utilities) fell by 2.2% year-on-year, marking a shift from previous positive growth to negative[1] - Real estate development investment plummeted by 17.2% year-on-year, with new housing sales area down by 8.7% and sales revenue down by 12.6%[1] Consumer Spending - Retail sales in December grew by only 0.9% year-on-year, the lowest growth rate since 2023, down 0.4 percentage points from the previous month[1] - The total retail sales for the year surpassed 50 trillion yuan, with a year-on-year growth of 3.7%[5] - Service consumption showed relative strength, while goods consumption remained weak, particularly in durable goods like home appliances, which saw a decline of approximately 18%[5]

Investment Rating - The investment rating for the companies in the report is "Strong Buy" for Yangguang Electric, Longi Green Energy, Aiko Energy, Trina Solar, Kehua Data, Shenghong Co., and "Hold" for Xidian New Energy [2]. Core Insights - Longi Green Energy is advancing into the energy storage sector by acquiring a controlling stake in Precision Energy and collaborating with NeoVolta to establish a battery storage system in the U.S. [1][7]. - The U.S. energy storage market shows significant growth potential due to weak grid infrastructure and increasing demand from data centers and manufacturing [17]. - The report highlights the importance of innovative participation from domestic manufacturers in the U.S. market, despite trade barriers [17]. Summary by Sections Industry Scale - The industry comprises 308 companies with a total market capitalization of 772.89 billion and a circulating market value of 672.45 billion [3]. Company Financial Metrics - Yangguang Electric: Market Cap 35.45 billion, 2024 EPS 5.3, 2025 EPS 6.6, 2025 PE 26, PB 8, Strong Buy [2]. - Longi Green Energy: Market Cap 14.19 billion, 2024 EPS -1.1, 2025 EPS -0.5, 2025 PE -37, PB 2, Strong Buy [2]. - Aiko Energy: Market Cap 6.16 billion, 2024 EPS 0.6, 2025 EPS 0.5, 2025 PE 33, PB 3, No Rating [2]. - Trina Solar: Market Cap 4.47 billion, 2024 EPS -1.6, 2025 EPS -1.8, 2025 PE -11, PB 2, Strong Buy [2]. - Kehua Data: Market Cap 3.22 billion, 2024 EPS 0.7, 2025 EPS 1.2, 2025 PE 53, PB 5, Strong Buy [2]. - Shenghong Co.: Market Cap 1.29 billion, 2024 EPS 1.4, 2025 EPS 1.5, 2025 PE 27, PB 7, Strong Buy [2]. Company Developments - Longi Green Energy is set to establish a joint venture, NeoValta Power, with NeoVolta, focusing on large-scale and commercial storage in the U.S. [9][21]. - NeoVolta has shown rapid growth, achieving a revenue of 6.65 million in Q3 2025, a significant increase of 1027% year-on-year [9]. - Aiko Energy has seen record shipments in Q3, with a forecasted delivery of 14-17 GWh in 2026, primarily overseas [22]. - Trina Solar aims to ship 8 GWh in 2025, with expectations to double this in 2026 [25]. - Kehua Data has been recognized as a leading supplier in the energy storage sector, ranking first in the first half of 2025 for installed PCS [26]. Market Trends - The report emphasizes the increasing demand for energy storage driven by data centers and the need for renewable energy solutions [20]. - The U.S. energy storage market is projected to grow significantly, with estimates indicating a need for 17.28 GWh to 60.08 GWh of storage by 2030 [20].

Investment Rating - The report gives a "Strong Buy" investment rating for the company [1][11]. Core Insights - The company is a leading domestic X-ray detector manufacturer, expected to benefit from a recovery in medical tenders and a resurgence in capital expenditure in the lithium battery sector, marking a turning point in its main business performance [2][8]. - The company is entering the high-growth AI glasses market through a partnership with Visionary Technology, which is anticipated to open new growth avenues [3][11]. Company Overview - The company is recognized as a leader in the domestic X-ray detector market, with a projected global market share of 20% by 2024 [18]. - It specializes in digital X-ray detectors, high-voltage generators, combination X-ray sources, and tubes, with applications spanning medical, industrial, and dental fields [18][19]. Main Business - The company is transitioning from a single supplier of X-ray detectors to a comprehensive supplier of X-ray solutions, enhancing product value and customer loyalty [8][27]. - Short-term recovery is expected due to improved downstream demand, with a projected revenue growth of 20% in 2025 [10][11]. - Long-term growth is driven by expanding product offerings, industry applications, and market penetration, with a focus on increasing overseas business, which is expected to account for 34% of revenue by mid-2025 [8][11]. New Business Ventures - The company is entering the high-growth AI glasses sector, leveraging its capabilities in OLED micro-displays through a partnership with Visionary Technology [3][9]. - The global XR device shipment is projected to grow significantly, with a CAGR of 55.5% from 2025 to 2029, indicating a robust market opportunity [8][11]. Financial Data and Valuation - Revenue projections for 2025, 2026, and 2027 are estimated at 22.01 billion, 34.56 billion, and 44.54 billion yuan, respectively, with corresponding net profits of 6.25 billion, 7.87 billion, and 10.08 billion yuan [10][11]. - The company maintains a strong financial position with a return on equity (ROE) of 9.0% and a debt-to-asset ratio of 46.4% [4].

Economic Growth - The GDP growth rate for Q4 2025 was 4.5% year-on-year, with an annual growth rate of 5.0%[3] - Seasonally adjusted Q4 GDP increased by 1.2% quarter-on-quarter, accelerating by 0.1 percentage points from Q3[3] Investment Trends - Investment conditions have shown marginal improvement since the beginning of the year, with high-frequency data indicating better performance in heavy industry[3] - Fixed asset investment, infrastructure, and real estate investment all recorded negative growth for the year, while manufacturing investment growth was less than 1%[3] Consumption and Exports - Service consumption grew by 5.5% for the year, with a production index growth of 5.0%, indicating demand outpacing supply[3] - Retail sales growth fell to 3.8%, highlighting weak consumer spending that cannot fully support domestic demand[3] Industrial Performance - The operating rate for asphalt enterprises rose to 27.2%, up by 1.8 percentage points week-on-week[8] - The operating rate for electric furnaces increased to 63.46%, with a year-on-year growth of 8.8%[10] Price Movements - The average price of cement in East China remained stable at 426 RMB/ton, while in Southwest China it was 512 RMB/ton[102] - The price of rebar increased by 10.43 RMB/ton to 3349.6 RMB/ton, reflecting upward price trends in the steel market[110] Risks and Outlook - Risks include geopolitical tensions, domestic policy implementation falling short of expectations, and potential global recession impacts[3] - If current trends in exports and service consumption continue, Q1 2026 economic growth is expected to outperform the second half of 2025[3]