1. Report Industry Investment Rating No information provided on the industry investment rating in the report. 2. Core Viewpoints - The change in the bond market's "macro - narrative" is a reaction to the over - trading of the "consensus expectation", and the adjustment is a trading opportunity. The probability of long - term yield decline has not decreased substantially, and the odds have increased during the adjustment [3][10]. - The current situation is at the "first step", while the market has already traded the "second step" and "third step". The basis for the "macro - narrative" of large - category assets is not solid [3][11]. - There are significant differences in policy expectations among bonds, equities, and commodities. The bond market has weak expectations for macro - policies, the equity market has expectations, and the commodity market has the strongest expectations [3][13]. - The money market has no risk, and short - term bonds are in a reasonable valuation range. The money market will remain stable and loose overall, and the risk of money price fluctuations is small [4][15]. - Maintain the view that bond adjustment is a trading opportunity, and appropriately layout for the policy expectation game opportunity of the end - of - month meeting. After the adjustment, the bond market becomes a better layout opportunity, and there is an expectation gap in the pricing of policy expectations among large - category assets [4][17]. 3. Summary of Relevant Catalogs 3.1. Macro - Narrative and Policy Expectation Differences - The bond market's "macro - narrative" has changed from trading the lagging impact of external shocks to worrying about the impact of hedging policies on prices and demand. This change is a reaction to the over - trading of the "consensus expectation" [10]. - The real economy is still maintaining its prosperity due to previous policy support and the "strong export" at the middle of the year. The bond market has already traded the marginal weakening of the third - quarter economy and the policy expectations of "anti - involution" and demand - side stimulus [3][11]. - The bond market has not significantly priced in policy stimulus expectations, the equity market has expectations for macro - policies, and the commodity market has the strongest expectations for macro - policies. There is an expectation gap that can be exploited in the end - of - month important meeting [13]. 3.2. Money Market and Short - Term Bond Situation - Although there were fluctuations in the money market in mid - July, mainly due to the tax period, the money market will remain stable and loose overall. The risk of money price fluctuations is small [4][15]. - The pricing center of 1 - year inter - bank certificates of deposit of national joint - stock banks is around 1.6%, and 1.7% is the trading ceiling for the second half of the year. There is net financing pressure in the third quarter, but the risk of price increase is small [4][15]. - The repair of the liability side of large - scale banks continues, which is supported by the deposit growth in June [4][15]. 3.3. Bond Market Investment Strategy - The previous bond market adjustment is a reaction to the over - trading of the "consensus expectation". After the adjustment, the distribution of chips is no longer concentrated, which is a good layout opportunity [4][17]. - There is an expectation gap in the pricing of policy expectations among large - category assets. After the disturbance of risk sentiment, one can play the expectation gap before the important meeting at the end of July [4][17].

Quantitative Models and Construction Methods - **Model Name**: Diffusion Index Model **Construction Idea**: The model is based on price momentum principles, aiming to capture upward trends in industry performance[25][37] **Construction Process**: 1. Calculate the diffusion index for each industry based on price momentum 2. Rank industries by their diffusion index values 3. Select industries with the highest diffusion index values for portfolio allocation **Formula**: Not explicitly provided in the report **Evaluation**: The model performs well during upward trends but struggles during reversals, as seen in historical performance[25][37] - **Model Name**: GRU Factor Model **Construction Idea**: The model leverages GRU (Gated Recurrent Unit) deep learning networks to analyze minute-level volume and price data for industry rotation[38][33] **Construction Process**: 1. Input minute-level volume and price data into the GRU network 2. Train the model using historical data to identify industry rotation signals 3. Generate GRU factor scores for each industry and rank them 4. Allocate portfolio weights based on GRU factor rankings **Formula**: Not explicitly provided in the report **Evaluation**: The model performs well in short cycles but faces challenges in long cycles and extreme market conditions[38][33] Model Backtesting Results - **Diffusion Index Model**: - Monthly average return: -0.81% - Excess return over equal-weighted industry benchmark: -1.61% (July 2025)[29] - Year-to-date excess return: 1.48%[24][29] - **GRU Factor Model**: - Weekly average return: -0.46% - Excess return over equal-weighted industry benchmark: -1.27% (July 2025)[36] - Year-to-date excess return: -5.75%[33][36] Quantitative Factors and Construction Methods - **Factor Name**: Diffusion Index **Construction Idea**: Measures industry momentum based on price trends[25][26] **Construction Process**: 1. Calculate the diffusion index for each industry using price data 2. Rank industries by diffusion index values 3. Select industries with the highest diffusion index values for portfolio allocation **Formula**: Not explicitly provided in the report **Evaluation**: Effective in capturing upward trends but vulnerable to reversals[25][26] - **Factor Name**: GRU Factor **Construction Idea**: Utilizes GRU deep learning networks to analyze minute-level volume and price data for industry rotation[38][33] **Construction Process**: 1. Input minute-level volume and price data into the GRU network 2. Train the model using historical data to identify industry rotation signals 3. Generate GRU factor scores for each industry and rank them 4. Allocate portfolio weights based on GRU factor rankings **Formula**: Not explicitly provided in the report **Evaluation**: Performs well in short cycles but struggles in long cycles and extreme market conditions[38][33] Factor Backtesting Results - **Diffusion Index Factor**: - Top-ranked industries (July 18, 2025): Comprehensive Finance (1.0), Comprehensive (0.998), Non-Banking Finance (0.996), Steel (0.995), Nonferrous Metals (0.994), Communication (0.993)[26][27] - Weekly changes in rankings: Consumer Services (+0.224), Food & Beverage (+0.208), National Defense (+0.091)[28] - **GRU Factor**: - Top-ranked industries (July 18, 2025): Banking (2.68), Transportation (2.42), Nonferrous Metals (-0.87), Steel (-1.92), Construction (-2.19), Coal (-2.36)[34] - Weekly changes in rankings: Building Materials (+), Banking (+), Comprehensive Finance (+)[34]

Investment Rating - The industry investment rating is "Outperform" [2] Core Insights - As of July 20, 2025, among the 120 tracked defense industry listed companies, 37 have disclosed their H1 2025 earnings forecasts, with significant growth in the shipbuilding and defense information sectors [5][12] - The defense information sector shows high growth potential, with companies like Gaode Infrared and Chengchang Technology forecasting net profit growth rates of 846% and 335% respectively [6][12] - The shipbuilding sector also demonstrates strong performance, with companies such as China Shipbuilding and China Heavy Industry predicting net profit growth rates of 109% and 105% respectively [6][12] - The report suggests that the defense industry is expected to see an inflection point in orders, driven by new technologies and products aimed at enhancing equipment performance and reducing costs [14] Summary by Sections Industry Overview - The closing index for the defense industry is at 1669.63, with a 52-week high of 1712.48 and a low of 1113.62 [2] Performance Analysis - The defense sector index has outperformed the broader market, with a 2.58% increase in the China Securities Defense Index and a 2.26% increase in the Shenwan Defense Index [15] - The top-performing stocks in the defense sector this week include Yingliu Co. (+20.37%) and Feiliwa (+15.98%) [18] Earnings Forecasts - Among the 37 companies that disclosed earnings forecasts, 14 expect positive growth, while 12 anticipate losses [12] - Notable companies with high growth forecasts include Nairui Radar, Gaode Infrared, and China Heavy Industry, all projecting substantial increases in net profits [6][12] Investment Recommendations - The report recommends focusing on two main investment themes: aerospace and new technologies/products with greater elasticity [14] - Suggested companies for investment include Feiliwa, Gaode Infrared, and China Shipbuilding among others [14] Valuation Metrics - As of July 18, 2025, the defense sector's PE-TTM valuation stands at 117.29, with 83.01% of historical data indicating lower valuations [20][22]

Industry Investment Rating - The industry investment rating is maintained at "Outperform" [2] Core Insights - The report highlights that the recombinant Staphylococcus aureus vaccine by Olin Biotech is expected to reveal its Phase III clinical trial results by the end of 2025, potentially becoming the world's first vaccine for superbugs [5][14][15] - The pharmaceutical and biotechnology sector has seen a 4% increase this week, outperforming the CSI 300 index by 2.91 percentage points, ranking second among 31 sub-industries [6][23] - The report emphasizes the strong performance of the raw material drug sector, which increased by 7.01%, and the overall positive trend in innovative drugs driven by overseas business development expectations and supportive policy documents [29][30] Summary by Sections Weekly Insights - Olin Biotech's vaccine is anticipated to fill a significant gap in the market for Staphylococcus aureus vaccines, with a high disease burden and economic loss associated with infections [5][14][15] - The pharmaceutical sector's performance is bolstered by a 9.75% increase since July 2025, again outperforming the CSI 300 index [6][23] Subsector Performance - The report details that the raw material drug sector had the highest increase this week, followed by chemical preparations and other biological products [6][26] - The report suggests a focus on innovative drugs, particularly those with strong clinical data and overseas market potential, as well as medical devices benefiting from government procurement policies [29][30][33] Recommended and Beneficiary Stocks - Recommended stocks include Olin Biotech, Xinda Biopharmaceutical, and innovative drug companies such as Hengrui Medicine and BeiGene [7][29] - Beneficiary stocks in the medical device sector include Mindray Medical and Weigao Group, while the pharmaceutical sector includes companies like Zai Lab and Innovent Biologics [7][29][34]

Economic Overview - In July, economic prices increased while volumes decreased, indicating a search for rebalancing in supply and demand, with marginal economic growth expected to slow down[1] - The Producer Price Index (PPI) showed a month-on-month increase, with the year-on-year decline in growth narrowing, primarily driven by the "anti-involution" policy expectations[1][45] Real Estate Market - The sales sentiment in the real estate market weakened, with both month-on-month and year-on-year growth turning negative; the average daily transaction area in 30 major cities decreased by 15.85% compared to June[2][11] - It is anticipated that first-tier city housing prices may stabilize by the end of the year, while second-tier cities may see stabilization by June next year[2][48] Industrial Demand - Industrial demand showed a mild recovery, with the rebar production rate increasing to 43.06%, up 0.87 percentage points from June, while prices slightly decreased by 0.16%[15] - The average operating rate for asphalt plants rose to 32.4%, indicating a recovery in demand, with asphalt inventory decreasing by 7.31%[18] Consumer Behavior - July consumer spending is expected to remain resilient, supported by a surge in tourism during the summer, with domestic tourism projected to exceed 2.5 billion trips, recovering to over 115% of 2019 levels[26] - The average daily subway ridership in major cities increased, reflecting a rebound in travel demand during the summer[23] Risks and Challenges - Potential risks include unexpected intensification of global trade frictions, geopolitical conflicts, and policy effects falling short of expectations[3]

Market Performance Review - The A-share market continued its upward momentum this week, with all major indices rising. The ChiNext Index performed the best, increasing by 3.17%, while the Shanghai Composite Index and the SSE 50 rose by 0.69% and 0.28%, respectively [5][15] - There was a divergence in market styles this week, with growth, consumption, and cyclical styles continuing to rise, while financial and stable styles experienced a pullback [5][15] - All market capitalization styles saw increases, with mid-cap and small-cap indices significantly outperforming the large-cap index [5][15] - Core assets and leading growth stocks, represented by the "Mao Index" and "Ning Combination," also saw gains, with the Ning Combination rising by 1.56% and the Mao Index increasing by 2.29% [5][15] A-share High-Frequency Data Tracking - The personal investor sentiment index has declined, diverging from the index's upward trend. As of July 19, the 7-day moving average of the personal investor sentiment index was reported at 0.58%, a significant drop from 9.40% on July 12 [23][24] - Despite the continuous rise in A-share indices over the past two weeks, personal investor sentiment has consistently decreased, contrasting sharply with the previous correlation observed from September 24, 2024, to early March 2025 [23][24] Industry Rotation Speed and Intensity Tracking - The current market is characterized by a "high speed, low intensity" rotation phase, with historical data indicating that such phases typically lead to sideways market movements lasting an average of two months [31][32] - The industry rotation began in late April, and a decrease in rotation speed is expected in July, suggesting that the market may find a trading theme [31][32] Future Market Outlook and Investment Views - The upcoming Central Political Bureau meeting at the end of July is anticipated to analyze the current economic situation and set the tone for economic policies in the second half of the year, focusing on "stabilizing growth" and "anti-involution" [6][43] - The market is expected to favor high-quality growth stocks and "anti-involution" strategies, with potential valuation recovery opportunities in sectors like steel, building materials, and photovoltaics [6][45] - The pure dividend assets represented by banks have entered a "tail" market, with limited future upside due to the weakening of the stock-bond differential compensation [6][45]

Investment Rating - The industry investment rating is maintained at "Outperform the Market" [1] Core Insights - The macroeconomic outlook is improving, coupled with "anti-involution" trading, leading to a general rise in metal prices [4] - Precious metals are under temporary pressure due to improved U.S. economic data, but long-term expectations remain positive due to fiscal policies [4] - Copper prices are adjusting as the impact of tariffs is already priced in, with future movements expected to be influenced by trade and macroeconomic factors [5] - Aluminum prices are expected to rise despite seasonal inventory accumulation, driven by strong export logic [5] - Light rare earth prices are on an upward trend due to active bidding sales, while heavy rare earth prices remain stable [6] - Tungsten prices continue to reach new highs due to supply constraints and increased demand from the military sector [6] Summary by Sections Industry Performance - The non-ferrous metals sector saw a weekly increase of 1.7%, ranking 11th among sectors [12] Price Movements - LME copper rose by 1.42%, aluminum by 2.13%, zinc by 4.53%, lead by 0.52%, and tin by 0.29% [19] - COMEX gold increased by 0.75%, silver by 1.16%, while platinum decreased by 8.91% [19] Inventory Changes - Global visible copper inventory increased by 4,379 tons, aluminum by 10,445 tons, while lead saw a decrease of 1,359 tons [27]

Investment Rating - The report assigns a "Buy" rating for the company, marking its first coverage [1]. Core Insights - The company specializes in thermal management products and solutions, with a focus on research, production, and sales of thermal management materials and devices. Its products are widely used in consumer electronics, automotive electronics, and communication devices, with significant partnerships with major brands like Samsung, OPPO, and Huawei [4][5]. - In 2024, the company achieved a total revenue of 943 million yuan, representing a year-on-year growth of 1.62%, and a net profit attributable to shareholders of 185 million yuan, which is a 20.26% increase compared to the previous year [4][9]. - The company has developed a strong position in the high-end thermal interface materials market, successfully replacing foreign brands in certain segments due to its proprietary technology and long-term R&D investments [5]. - The growth of the company's graphite film business is supported by the booming consumer electronics market, which has increased the demand for heat dissipation materials [6]. - The company has proactively invested in the development of heat pipes and uniform temperature plates, which have become significant sources of revenue as the demand for high-performance consumer electronics rises [7][8]. Financial Projections - The company is projected to achieve revenues of 1.04 billion yuan in 2025, 1.25 billion yuan in 2026, and 1.50 billion yuan in 2027, with corresponding net profits of 205 million yuan, 247 million yuan, and 304 million yuan respectively [9][12]. - The report indicates that the current stock price corresponds to a price-to-earnings (P/E) ratio of 61 times for 2025, 51 times for 2026, and 41 times for 2027 [9].

Quantitative Models and Construction 1. Model Name: GRU Model - **Model Construction Idea**: The GRU model integrates fundamental and technical features to predict stock performance, leveraging historical data and recurrent neural network structures for time-series analysis [3][4][5]. - **Model Construction Process**: - Input features include fundamental indicators (e.g., financial ratios) and technical indicators (e.g., momentum, volatility) [3][4]. - The GRU (Gated Recurrent Unit) architecture processes sequential data to capture temporal dependencies [3]. - The model is trained on historical data, with optimization targeting the minimization of prediction errors [3]. - **Model Evaluation**: The GRU model shows mixed performance across different stock pools, with notable underperformance in certain scenarios [3][5][6]. 2. Model Name: Barra1d - **Model Construction Idea**: The Barra1d model is a factor-based model that emphasizes short-term price movements and volatility [3][4][5]. - **Model Construction Process**: - Factors include short-term momentum and volatility metrics [3][4]. - The model applies a linear regression framework to estimate factor exposures and returns [3]. - Portfolio construction involves long positions in stocks with high factor scores and short positions in stocks with low scores [3][4]. - **Model Evaluation**: Barra1d demonstrates strong performance in multiple stock pools, with consistent positive returns in backtests [4][5][6]. 3. Model Name: Barra5d - **Model Construction Idea**: Barra5d extends the Barra1d model by incorporating a longer time horizon for factor evaluation [3][4][5]. - **Model Construction Process**: - Factors include medium-term momentum and volatility metrics [3][4]. - The model uses a similar regression-based approach as Barra1d but adjusts for longer-term trends [3]. - Portfolio construction follows the same long-short strategy as Barra1d [3][4]. - **Model Evaluation**: Barra5d shows strong year-to-date performance, outperforming benchmarks in multiple scenarios [5][6][7]. --- Model Backtest Results GRU Model - **Close1d**: Weekly return -1.59%, YTD return 8.61% [31] - **Barra1d**: Weekly return 0.80%, YTD return 22.50% [31] - **Barra5d**: Weekly return 0.63%, YTD return 28.18% [31] Multi-Factor Portfolio - Weekly excess return: -0.19% - YTD excess return: 2.73% [34] --- Quantitative Factors and Construction 1. Factor Name: Beta - **Factor Construction Idea**: Measures historical sensitivity of stock returns to market movements [15]. - **Factor Construction Process**: - Calculated as the slope of the regression of stock returns against market returns over a specified period [15]. - **Factor Evaluation**: Beta factor showed strong long-side performance in recent weeks [16]. 2. Factor Name: Momentum - **Factor Construction Idea**: Captures the persistence of stock price trends [15]. - **Factor Construction Process**: - Calculated as the mean of historical excess returns over a defined period [15]. - **Factor Evaluation**: Long-term momentum factors demonstrated positive returns, while short-term momentum factors underperformed [18][20]. 3. Factor Name: Volatility - **Factor Construction Idea**: Measures the variability of stock returns [15]. - **Factor Construction Process**: - Weighted combination of historical return volatility, cumulative deviation, and residual volatility [15]. - **Factor Evaluation**: Volatility factors showed strong positive returns, particularly in long-term horizons [18][20]. 4. Factor Name: Growth - **Factor Construction Idea**: Reflects the growth potential of companies based on financial metrics [15]. - **Factor Construction Process**: - Weighted combination of earnings growth rate and revenue growth rate [15]. - **Factor Evaluation**: Growth factors exhibited strong positive returns across multiple stock pools [18][20][23]. --- Factor Backtest Results Beta Factor - Weekly return: Positive [16] Momentum Factor - Long-term momentum: Weekly return 2.87% [22] - Short-term momentum: Weekly return -3.48% [22] Volatility Factor - Long-term volatility: Weekly return 4.01% [22] - Short-term volatility: Weekly return 2.87% [22] Growth Factor - Weekly return: Positive [18][20][23]

发布时间：2025-07-21 大盘指数 7000 8000 9000 10000 11000 12000 2000 3000 4000 上证指数 深证成指 1000 2000 3000 5000 6000 7000 8000 中小100 创业板指 资料来源：聚源，中邮证券研究所 研究所 分析师:黄子崟 SAC 登记编号:S1340523090002 Email:huangziyin@cnpsec.com 近期研究报告 《红利研究（1）：为什么是银行？终点 又在何处》 - 2025.07.14 策略观点 等待经济政策为市场定调 ⚫ 投资要点 本周 A 股延续上涨势头。本周主要股指继续全数上涨，其中创业 板指上涨 3.17%表现最佳，其余主要指数中代表权重蓝筹的上证指数 和上证 50 相对较弱，分别上涨 0.69%和 0.28%。风格方面，本周风格 层面出现分化，成长、消费和周期风格继续上涨，金融和稳定风格出 现回调。市值风格方面，本周大中小盘市值风格均有上涨，中盘和小 盘指数表现明显优于大盘指数。本周代表核心资产和成长龙头的茅指 数和宁组合亦有上涨，宁组合整周上涨 1.56%，茅指数上涨 2.29%。 个人投 ...