宏观经济 | 证券研究报告 — 总量周报 2025 年 6 月 29 日 宏观和大类资产配置周报 关注下半年稳增长的过程中金融发挥更大作用 大类资产配置顺序：股票>大宗>债券>货币。 宏观要闻回顾 资产表现回顾 ◼ A 股上涨，债券调整。本周沪深 300 指数上涨 1.95%，沪深 300 股指期货 上涨 2.83%；焦煤期货本周上涨 4.64%，铁矿石主力合约本周上涨 1.64%； 股份制银行理财预期收益率收于 1.85%，余额宝 7 天年化收益率上涨 5BP 至 1.21%；十年国债收益率上行 1BP 至 1.65%，活跃十年国债期货本周下 跌 0.09%。 资产配置建议 本期观点（2025.6.29） | 宏观经济 | | 本期观点 | 观点变化 | | --- | --- | --- | --- | | 一个月内 | = | 关注国内稳增长政策的落地情况 | 不变 | | 三个月内 | = | 关注中美经贸磋商进展及其释放的重要信息 | 不变 | | 一年内 | = | 地缘关系仍有较大不确定性 | 不变 | | 大类资产 | | 本期观点 | 观点变化 | | 股票 | + | 关注"增量"政策落实 ...

宏观经济 | 证券研究报告 — 总量周报 2025 年 6 月 29 日 周度金融市场跟踪 本周以伊停火，风险资产全面上涨；债券市场 小幅震荡（ 6 月 23 日 -6 月 27 日） ◼ 股票方面，本周 A 股放量上涨。全周累计看，沪深 300 上涨 2.0%，中证 1000 上涨 4.6%，中证 2000 上涨 5.6%，小盘股涨幅大于大盘股。恒生指数上涨 3.2%，恒生科 技指数上涨 4.1%。行业方面，本周 31 个一级行业仅石油化工、食品饮料和交通运输 3 个行业下跌，计算机、军工和非银领涨，且涨幅均在 6%以上。周内看，上周末美 国打击了伊朗核设施，以伊局势一度升温，周一早晨（6 月 23 日）以色列总理表示 伊朗核设施已受到重创，以色列对伊朗的行动目标接近完成，市场避险情绪有所下降， 当天 A 股超 4400 家公司上涨。周二凌晨（6 月 24 日），特朗普在其社交媒体上发文 表示，以色列和伊朗已同意全面停火。当天 A 股放量上涨，全天超 4700 家公司上涨， 全 A 成交额超 1.4 万亿元，较前一天上升超 3000 亿元。周二盘后，中国人民银行等 六部门联合印发《关于金融支持提振和扩大消费 ...

电力设备 | 证券研究报告 — 行业周报 2025 年 6 月 29 日 强于大市 电力设备与新能源行业 6月 第 4 周周报 5 月风光装机高增，小米 YU7 订单亮眼 新能源汽车方面，本周小米 YU7 正式上市，1 小时大定突破 28.9 万台，下 半年随着新能源新车型不断推出，新能源汽车产品力不断增强，2025 年国内 新能源汽车销量有望保持高增，带动电池和材料需求增长。动力电池方面， 固态电池催化不断，本周美国 QS 宣布其固态电池生产获里程碑式进展，固 态电池产业化趋势明确，后续关注固态电池相关材料和设备企业验证进展。 光伏方面，中央经济工作会议明确提出综合整治"内卷式"竞争，国家市场监 管总局针对光伏组件进行抽检，光伏供给侧改革力度有望加强；需求侧，我 国 5 月光伏装机高达 92.92GW，装机同比增长 388%，可能一定程度上压制 25H2 光伏装机需求，密切关注供给变化情况，光伏板块重点关注硅料环节 和 BC 以及贱金属降本方向。氢能方面，政策持续推动氢能产业化发展，能 源局开展能源领域氢能试点，地方政策催化不断，建议关注具备成本优势、 技术优势的电解槽生产企业、受益于氢能基础设施建设的燃料 ...

【金融工程】传统多因子打分行业轮动策略*郭策 李腾。本报告介绍了一种 季频换仓偏配置思路的行业轮动策略，采用传统量化多因子打分的方式，分 别从"估值"、"质量"、"流动性"、"动量"四个维度下各优选 2 个单 因子，再进行等权 rank 复合，形成复合因子。整体策略思路偏配置，优先选 择低估值、低拥挤度、景气度上行、近一年价格动量向上，近 3 年价格处于 低位的行业持有。最终复合策略在回测区间（2014/4/1-2025/6/6）实现年化 收益 19.64%，行业等权基准实现年化收益 7.55%，对应年化超额 12.09%。 期间超额累计净值最大回撤-13.25%。 【机械设备】芯碁微装*苏凌瑶。芯碁微装公告新签 1.46 亿元大单，约占 2024 年营收的 15%。AI 基建热潮投推动 PCB 投资热，公司有望受益于 PCB 厂商 积极扩产潮。 行业表现（申万一级） | 指数名称 | 涨跌% | 指数名称 | 涨跌% | | --- | --- | --- | --- | | 银行 | 1.01 | 汽车 | (1.37) | | 通信 | 0.77 | 非银金融 | (1.20) | | 国防军工 | 0 ...

Market Overview - The Wind All A Index achieved three consecutive gains from June 23 to June 25, 2025, increasing market attention on whether the index can break through the previous consolidation platform[6] - As of June 25, the slow line reported 38.4% and the fast line reported 53.9%, indicating the current moving average system is in a "consolidation market" environment[6] BOCIASI Indicator Insights - The BOCIASI sentiment indicator is currently at 62.0%, suggesting that there is still room for upward movement in the index, but caution is warranted due to the high absolute levels[4][7] - The slow line's reduction threshold in a "consolidation market" is set at 44.0%, while the fast line's reduction threshold is at 70.0%[4][6] Investment Strategy Recommendations - Investors are advised to maintain current positions without reducing holdings, while adjusting the portfolio structure to prioritize "controlling drawdowns" over "beating the index"[7] - Even if the brokerage sector continues to rise and leads the index to break the box, there remains a possibility of a subsequent pullback, similar to the experience from October 8 to October 17, 2024[7] Risk Considerations - There is a risk of irrational market fluctuations triggered by unexpected events, which could impact investment strategies[10][7]

Core Insights - The report introduces a quarterly rebalancing industry rotation strategy based on traditional quantitative multi-factor scoring, focusing on "valuation," "quality," "liquidity," and "momentum" [1][11] - The composite strategy achieved an annualized return of 19.64% during the backtesting period (April 1, 2014 - June 6, 2025), significantly outperforming the industry equal-weight benchmark which returned 7.55%, resulting in an annualized excess return of 12.09% [1][68] - The strategy prioritizes low valuation, low crowding, improving economic conditions, upward price momentum over the past year, and industries that have been at low price levels for the past three years [1][11] Industry Factor Backtesting Framework - The backtesting period spans from January 2010 to September 2024, with a quarterly rebalancing approach using data from the last trading day of each quarter [12] - The strategy excludes industries with a weight of less than 2% in the CSI 800 index for risk control, retaining approximately 15-16 major industries for rotation calculations [12][3] Industry Rotation Strategy Overview Valuation Factors - Valuation factors include PE_TTM, PB_LF, PCF_TTM, PEG, and dividend yield, evaluated through various methods such as historical percentiles and marginal changes [15] - Notable factors include: - Dividend yield ranking over three years (4.0% annualized excess for TOP-5) [16] - PE_TTM marginal change over two months (5.8% annualized excess for TOP-5) [16] Quality Factors - Quality factors are based on ROE and ROA, focusing on profitability and financial stability [19] - Key factors include: - ROA_TTM marginal change over one quarter (4.3% annualized excess for TOP-5) [20] - ROE_FY2 (4.7% annualized excess for TOP-5) [20] Liquidity Factors - Liquidity factors are derived from turnover rates of freely circulating shares, assessed through various time frames [21] - Effective factors include: - 21-day average turnover rate (4.3% annualized excess for TOP-5) [22] - Margin of turnover rates over two months (4.6% annualized excess for TOP-5) [22] Momentum Factors - Momentum factors are calculated based on recent returns over different periods, showing varying characteristics [24] - Significant factors include: - One-month momentum (7.7% annualized excess for TOP-5) [26] - Three-month momentum (1.9% annualized excess for TOP-5) [26] Factor Combination - The report explores both z-score and rank equal-weight combinations of selected factors to enhance model performance [27] - The top-performing combinations include: - z-score combination with PE_TTM marginal change, ROE marginal change, and one-year momentum [32] - rank combination with PE_TTM three-year ranking, ROE marginal change, and 21-day momentum [37] Recommended Factors - The report recommends specific factors for the composite strategy: - Momentum: 252_momentum (one-year) and 756_momentum (three-year) [68] - Liquidity: TURNOVER_FREE_m (21-day average) and TURNOVER_FREE_Q_margin (quarterly margin) [68] - Valuation: 股息率_3Y_rank (three-year dividend yield ranking) and PB_LF_d2m (two-month marginal change) [68] - Quality: ROE_TTM_d1q (one-quarter marginal change) and ROE_FY2 (next year's expected ROE) [68]

Strategy Overview - The report discusses the effectiveness of the "fourth breakthrough attempt" in the context of market structure being more important than index direction [1][2] - The BOCIASI sentiment indicator has shown an increase, indicating a focus on whether to increase or decrease positions [2] Market Performance - From June 23 to June 25, 2025, the Wind All A Index achieved three consecutive gains, raising market attention on whether the index can break through previous consolidation levels [2] - The Wind All A Index has touched the upper boundary of its range three times since October 8, 2024, with the BOCIASI indicator issuing three sell signals [2] Current Market Conditions - As of June 25, the slow line reports 38.4% and the fast line reports 53.9%, indicating a "volatile market" environment [2] - If the Wind All A Index rises by 1.0%, the moving average system will transition to an "upward market" environment, with adjusted sell thresholds for both slow and fast lines [2] Investment Recommendations - The report suggests maintaining current positions while adjusting the holding structure to prioritize "controlling drawdowns" over "beating the index" [2] - Even if the brokerage sector continues to rise and the index breaks through the range, there may still be opportunities for a "second emotional low" after the initial breakthrough [2] Sector Analysis - The rise in the brokerage sector is viewed as a defensive action against high sentiment levels, with a shift towards buying relatively lower-priced stocks [2] - The report highlights that the brokerage and internet finance sectors were catalyzed by news related to "stablecoins" on May 25 [2]

Investment Rating - The report maintains a "Buy" rating for the company, with a market price of RMB 79.15 and a sector rating of "Outperform" [1][3]. Core Views - The company has signed a significant new contract worth RMB 146 million, which is expected to boost its revenue for 2024 by approximately 15% [3][7]. - The AI infrastructure boom is driving investment in PCB, and the company is likely to benefit from the expansion efforts of PCB manufacturers [3][7]. - The report adjusts the company's earnings forecasts for 2025 and 2026, with EPS estimates revised to RMB 2.09 and RMB 2.75 respectively, while projecting an EPS of RMB 3.37 for 2027 [7]. Financial Summary - The company's projected revenue for 2023 is RMB 829 million, increasing to RMB 1,377 million by 2025, reflecting a growth rate of 44.3% [6]. - EBITDA is expected to rise from RMB 155 million in 2023 to RMB 277 million in 2025 [6]. - The net profit attributable to the parent company is forecasted to grow from RMB 179 million in 2023 to RMB 276 million in 2025, with a growth rate of 71.7% [6]. - The company’s P/E ratios for 2025, 2026, and 2027 are projected to be 37.8, 28.8, and 23.5 respectively [7].

Quantitative Models and Construction Methods Single Strategy Models - **Model Name**: High Prosperity Industry Rotation Strategy **Construction Idea**: Tracks industry profitability expectations using multi-factor models based on analysts' consensus data to select industries with upward profitability trends [13][15][16] **Construction Process**: 1. Constructs three types of factors: - Type 1: Long-term profitability factors (e.g., ROE_FY2, ROE_FY1) - Type 2: Quarterly changes in profitability (e.g., EPS_F2_qoq, EPS_F3_mom) - Type 3: Monthly changes in profitability (e.g., EPS_F3_qoq_d1m) 2. Filters industries with extreme valuations using PB percentile thresholds [30] 3. Selects top 3 industries based on composite factor rankings and allocates equally [21][30] **Evaluation**: Demonstrates strong performance in tracking industry cycles and avoiding valuation bubbles [13][26] - **Model Name**: Implicit Sentiment Momentum Strategy **Construction Idea**: Captures "unverified sentiment" by removing the relationship between turnover rate changes and returns, aiming to identify market sentiment-driven opportunities [32][33] **Construction Process**: 1. Uses OLS regression to remove "expected sentiment" from daily industry returns, leaving residuals as "unverified sentiment" [34] 2. Constructs momentum factors based on cumulative "unverified sentiment" returns over various time windows (e.g., 1 month, 12 months) [35] 3. Enhances the strategy by neutralizing fundamental impacts, adjusting for volatility, and applying composite factor methods [36] **Evaluation**: Effectively captures sentiment-driven market dynamics ahead of fundamental data releases [32][37] - **Model Name**: Macro Indicator Style Rotation Strategy **Construction Idea**: Uses macroeconomic indicators to predict industry styles (e.g., value, momentum) and maps them to industry selection [43][44] **Construction Process**: 1. Constructs macro indicators (e.g., PMI, CPI, M1) using historical positioning, surprise, and marginal change metrics [48][49] 2. Builds style factors (e.g., Value, Beta, Momentum) based on industry exposures [50][51] 3. Maps style predictions to industry scores and selects top industries [61] **Evaluation**: Addresses limitations of traditional top-down models by incorporating style-based predictions [43][61] - **Model Name**: Mid-to-Long-Term Momentum Reversal Strategy **Construction Idea**: Explores the "momentum-reversal" structure in industry returns, combining short-term momentum and long-term reversal factors [70][71] **Construction Process**: 1. Constructs momentum factors based on single-month returns and reversal factors based on multi-month returns (e.g., 12-month momentum, 24-36 month reversal) [76][78] 2. Combines factors using rank-weighted methods and adjusts for turnover rates [80][85] **Evaluation**: Balances short-term trends and long-term recovery opportunities effectively [70][84] - **Model Name**: Fund Flow Industry Rotation Strategy **Construction Idea**: Tracks institutional and tail-end fund flows to identify industry momentum [91][92] **Construction Process**: 1. Constructs "institutional trend strength factors" based on net buy amounts [93][94] 2. Constructs "tail-end inflow strength factors" based on post-14:30 net inflow data [96][103] 3. Combines factors and excludes high-concentration industries [100][101] **Evaluation**: Enhances stability by avoiding crowded trades [91][101] - **Model Name**: Financial Report Failure Reversal Strategy **Construction Idea**: Utilizes mean-reversion characteristics of long-term effective financial factors after short-term failures [108][109] **Construction Process**: 1. Constructs financial factors (e.g., ROA, YOY) using profit and balance sheet data [110][114] 2. Identifies "long-term effective factors" and "recently failed factors" based on rolling windows [116][117] 3. Combines factors using zscore methods [117] **Evaluation**: Captures recovery opportunities in temporarily underperforming factors [108][118] - **Model Name**: Traditional Low-Frequency Multi-Factor Scoring Strategy **Construction Idea**: Combines factors from four dimensions (momentum, valuation, liquidity, quality) for quarterly industry rotation [122][123] **Construction Process**: 1. Selects top-performing factors from each dimension (e.g., 1-year momentum, ROE_TTM) [124][125] 2. Combines factors using rank-weighted methods [135] 3. Filters industries with low weights in the CSI 800 index [135] **Evaluation**: Suitable for long-term holding with robust risk control [122][129] Composite Strategy Models - **Model Name**: Volatility-Controlled Composite Strategy **Construction Idea**: Allocates funds across single strategies based on inverse negative volatility [138][139] **Construction Process**: 1. Calculates negative volatility for each strategy over a rolling window (e.g., 63 days) [139][140] 2. Allocates funds proportionally to inverse negative volatility [139][147] 3. Adjusts allocation frequencies to match individual strategy cycles (weekly, monthly, quarterly) [141][146] **Evaluation**: Balances risk and return effectively, achieving high annualized excess returns [138][144] --- Model Backtest Results Single Strategy Results - **High Prosperity Strategy**: Annualized excess return 16.69%, max drawdown -12.95%, IR 1.29 [26] - **Implicit Sentiment Strategy**: Annualized excess return 18.61%, max drawdown -17.83%, IR 1.04 [37] - **Macro Style Strategy**: Annualized excess return 7.01%, max drawdown -23.46%, IR 0.30 [63] - **Momentum Reversal Strategy**: Annualized excess return 11.42%, max drawdown -14.91%, IR 0.77 [84] - **Fund Flow Strategy**: Annualized excess return 11.64%, max drawdown -12.16%, IR 0.96 [101] - **Financial Report Strategy**: Annualized excess return 9.13%, max drawdown -10.54%, IR 0.87 [118] - **Low-Frequency Multi-Factor Strategy**: Annualized excess return 12.00%, max drawdown -13.25%, IR 0.91 [129] Composite Strategy Results - **Volatility-Controlled Composite Strategy**: Annualized excess return 12.2%, max drawdown -6.8%, IR 1.80 [144][147]

Investment Rating - The industry investment rating is "Outperform the Market," indicating that the industry index is expected to perform better than the benchmark index over the next 6-12 months [11]. Core Viewpoints - The integration of 5G-A and AI is driving industry transformation, reconstructing the value chain of information infrastructure. This dual drive effect significantly enhances the marginal efficiency and commercial potential of 5G networks, leading to a golden period of industry development [3][4]. - The 2025 MWC Shanghai showcased the successful outcomes of the 5G and AI integration, with major players in the industry releasing innovative results, marking the transition from technical concepts to practical applications [3][4]. - The report emphasizes the importance of focusing on network infrastructure construction, recommending key operators and equipment manufacturers for investment opportunities [3]. Summary by Sections Industry Trends - The 2025 MWC Shanghai highlighted four major themes: "AI+", "Industry Interconnection," "Empowerment Interconnection," and "5G Fusion," showcasing the ongoing transformation in the communication industry driven by AI [1]. - The report notes that the 5G-A network construction is accelerating, with significant investments planned by major operators, including nearly 10 billion yuan by China Mobile for smart upgrades [3]. Investment Recommendations - The report suggests prioritizing investments in network infrastructure construction, specifically mentioning operators like China Mobile, China Telecom, and China Unicom, as well as equipment manufacturers such as ZTE, Unisoc, and Ruijie Networks [3]. - The report also highlights the potential of 5G-A to empower various industries, including industrial, logistics, and low-altitude economies, creating new market opportunities [3]. Market Dynamics - The report indicates that the user base for 5G-A has surpassed 10 million in China, with projections that China Mobile's 5G-A users will exceed 50 million by the end of 2025 [3]. - The integration of 5G-A and AI is expected to enhance network performance and enable new applications across various sectors, further expanding the market space for industrial internet [3].