投资策略 | 定期报告 报告发布日期 2025 年 06 月 08 日 | 张志鹏 | zhangzhipeng@orientsec.com.cn | | --- | --- | | 17 | 执业证书编号：S0860522020002 | | 张书铭 | 021-63325888*5152 | | | zhangshuming@orientsec.com.cn | | | 执业证书编号：S0860517080001 | | 美国"薛定谔式"关税扰动金融市场：— | 2025-06-02 | | --- | --- | | —策略周报 0531 | | | 进入政策观察期：——策略周报 0525 | 2025-05-25 | | 关税降级提振市场风险偏好：——策略周 | 2025-05-19 | | 报 0518 | | | 逆周期政策提振市场信心：——策略周报 | 2025-05-12 | | 0512 | | | 物来顺应：——策略周报 0505 | 2025-05-06 | 纷扰于外，求诸于内 研究结论 风险提示 有关分析师的申明，见本报告最后部分。其他重要信息披露见分析师申明之后部分，或请与您的投资代 ...

Quantitative Models and Factor Construction Quantitative Models and Construction Methods - **Model Name**: MFE (Maximized Factor Exposure) Portfolio - **Model Construction Idea**: The MFE portfolio is designed to maximize single-factor exposure while controlling for constraints such as industry exposure, style exposure, stock weight deviation, and turnover rate[61][62][65] - **Model Construction Process**: The optimization model is as follows: ``` $\begin{array}{ll} max & f^{T}w \\ s.t. & s_{l}\leq X(w-w_{b})\leq s_{h} \\ & h_{l}\leq H(w-w_{b})\leq h_{h} \\ & w_{l}\leq w-w_{b}\leq w_{h} \\ & b_{l}\leq B_{b}w\leq b_{h} \\ & 0\leq w\leq l \\ & 1^{T}w=1 \\ & \Sigma|w-w_{0}|\leq to_{h} \end{array}$ ``` - **Objective Function**: Maximize single-factor exposure, where $f$ represents factor values, and $w$ is the weight vector of stocks in the portfolio - **Constraints**: 1. Style exposure limits: $X$ is the factor exposure matrix, $w_b$ is the benchmark weight vector, $s_l$ and $s_h$ are the lower and upper bounds for style exposure[64] 2. Industry exposure limits: $H$ is the industry exposure matrix, $h_l$ and $h_h$ are the lower and upper bounds for industry exposure[64] 3. Stock weight deviation limits: $w_l$ and $w_h$ are the lower and upper bounds for stock weight deviation[64] 4. Component stock weight limits: $B_b$ is a 0-1 vector indicating whether a stock belongs to the benchmark, $b_l$ and $b_h$ are the lower and upper bounds for component stock weights[64] 5. No short selling and individual stock weight limits[64] 6. Full investment constraint: The sum of weights equals 1[64] 7. Turnover rate constraint: $w_0$ is the previous period's weight, and $to_h$ is the turnover rate upper limit[64] - **Model Evaluation**: The MFE portfolio effectively isolates single-factor performance under realistic constraints, making it a robust tool for factor effectiveness testing[61][65] Model Backtesting Results - **MFE Portfolio Backtesting**: - The MFE portfolio is constructed monthly, and its historical returns are calculated after deducting a 0.3% transaction fee. The results are used to evaluate the effectiveness of factors in specific benchmark indices[65] --- Quantitative Factors and Construction Methods - **Factor Name**: DELTAROE - **Factor Construction Idea**: Measures the change in return on equity (ROE) over a specific period to capture profitability trends[14][19] - **Factor Construction Process**: - Formula: $\text{DELTAROE} = \text{ROE}_{\text{current}} - \text{ROE}_{\text{previous}}$ - Where ROE is calculated as net income divided by average equity[19] - **Factor Evaluation**: DELTAROE is a strong indicator of profitability improvement and has shown consistent positive performance across multiple indices[6][45][49] - **Factor Name**: Standardized Unexpected Earnings (SUE) - **Factor Construction Idea**: Captures the deviation of actual earnings from analyst expectations, standardized by the standard deviation of forecast errors[19] - **Factor Construction Process**: - Formula: $\text{SUE} = \frac{\text{Actual Earnings} - \text{Expected Earnings}}{\text{Standard Deviation of Forecast Errors}}$[19] - **Factor Evaluation**: SUE effectively identifies stocks with unexpected earnings surprises, often leading to significant price movements[6][25][45] - **Factor Name**: Trend - **Factor Construction Idea**: Measures price momentum using exponentially weighted moving averages (EWMA) with different half-lives[14] - **Factor Construction Process**: - Formula: $\text{Trend}_{120} = \frac{\text{EWMA (half-life=20)}}{\text{EWMA (half-life=120)}}$ - Formula: $\text{Trend}_{240} = \frac{\text{EWMA (half-life=20)}}{\text{EWMA (half-life=240)}}$[14] - **Factor Evaluation**: Trend factors capture momentum effects and have shown strong performance in recent weeks[9][11] --- Factor Backtesting Results - **DELTAROE**: - **Performance**: - CSI 300: Weekly return 0.41%, monthly return 1.59%[6][22] - CSI 500: Weekly return 0.95%, monthly return 1.19%[6][26] - CSI 800: Weekly return 1.08%, monthly return 1.62%[6][30] - CSI 1000: Weekly return 1.79%, monthly return 1.54%[6][34] - CSI All Share: Weekly return 1.84%, monthly return 2.41%[6][46] - **SUE**: - **Performance**: - CSI 300: Weekly return 0.30%, monthly return 1.53%[6][22] - CSI 500: Weekly return 1.20%, monthly return 1.59%[6][26] - CSI 800: Weekly return 0.34%, monthly return 0.98%[6][30] - CSI 1000: Weekly return 1.46%, monthly return 2.39%[6][34] - CSI All Share: Weekly return 0.96%, monthly return 1.14%[6][46] - **Trend**: - **Performance**: - Weekly return: 1.15%[9][11] - Monthly return: 4.58%[11] - Annualized return (1 year): 19.73%[11] - Annualized return (10 years): 13.98%[11]

Regulatory Actions - Hubei Securities Regulatory Bureau has taken regulatory talk measures against Dongfang Securities' Wuhan Sanyang Road branch due to ineffective employee conduct management and violations by the former branch head Xu Wujun [1] - Xu Wujun provided investment advice without being registered as a securities investment advisor and violated company policies by accepting client securities accounts [1] - The branch has been recorded in the securities and futures market integrity archive following the regulatory measures [1] Compliance Issues - Dongfang Securities' Jiangyin People's East Road branch was warned by Jiangsu Securities Regulatory Bureau for issues including employees privately accepting client orders for stock options and inadequate investor suitability management [2] - The company has faced multiple compliance management failures across its branches, indicating systemic issues within its operational framework [2] Financial Performance - As of the end of 2024, Dongfang Securities has 179 branches, with a reported revenue of 19.19 billion yuan, a year-on-year increase of 12.29% [2] - The net profit attributable to shareholders for 2024 was 3.35 billion yuan, reflecting a year-on-year growth of 21.66% [2] - The company's self-operated business significantly boosted overall performance, with net income from this segment increasing by 106% year-on-year, from 2.388 billion yuan in 2023 to 4.926 billion yuan in 2024 [2] Business Segment Performance - The net income from various business segments in 2024 was as follows: brokerage at 2.511 billion yuan, investment banking at 1.168 billion yuan, asset management at 1.341 billion yuan, proprietary trading at 4.926 billion yuan, and credit business at 1.321 billion yuan [2] - Several business segments experienced declines, including brokerage down by 270 million yuan (10%), investment banking down by 342 million yuan (22.65%), asset management down by 688 million yuan (33.89%), and credit business down by 443 million yuan (25.11%) [2]

Core Viewpoint - The release of the "Green Finance Development Index" marks a significant step in quantifying the securities industry's contribution to green finance, providing new tools and perspectives for green transformation [1][4][6]. Policy Guidance for Green Market Expansion - Green finance has gained increasing importance in national strategic planning, with key meetings in 2023 emphasizing its role as one of the "five major articles" in finance [2]. - The China Securities Regulatory Commission (CSRC) has outlined key tasks for enhancing green finance standards and products in its 2025 implementation opinions [2]. Growth of Green Finance Market - Under strong policy guidance, China's green finance market is thriving, with both credit and bond financing channels contributing to market expansion [3]. - As of the end of Q1 2025, the balance of green loans reached 40.61 trillion yuan, a 9.6% increase from the beginning of the year, with major allocations in infrastructure upgrades, energy transition, and ecological protection [3]. - The green bond market has also shown significant growth, with 93 green bonds issued in Q1 2025, totaling 177.67 billion yuan, reflecting a 55.15% increase year-on-year [3]. Quantitative Index for Monitoring Green Services - The Green Finance Development Index focuses on resource allocation and efficiency, analyzing the securities industry's role in green finance through a comprehensive evaluation system with multiple indicators [4][6]. - The index includes four primary indicators and numerous secondary and tertiary indicators, allowing for a detailed assessment of green finance development [4]. Securities Industry as a Green Transition Engine - The securities industry is positioned as a key driver of green transformation, linking the real economy with substantial green investment needs [9]. - Oriental Securities has achieved notable success in green finance, receiving an AA ESG rating from MSCI and leading in various green financial services [9][10]. - The company has successfully directed over 350 billion yuan into sustainable development from 2021 to 2023 and has been active in innovative green financial products [10]. Future Directions and Collaborations - The collaboration between the China Economic Information Agency and Oriental Securities aims to enhance the Green Finance Development Index and promote its application in the securities industry [10]. - The index is expected to serve as a "weather vane" for green finance, guiding future policies and strategies in the sector [10].

Summary of Key Points Core Viewpoint - The Shanghai Stock Exchange 50 Index futures contract closed at 2506 on June 6, 2025, with a slight decrease of 0.09%. The trading volume was 24,000 contracts, and the top 20 positions showed a net short position with a difference of 5,381 contracts [1]. Trading Volume and Positions - Total trading volume for all contracts was 34,900 contracts, a decrease of 3,198 contracts from the previous day [1]. - The top 20 positions had a total long position of 49,400 contracts, down by 2,681 contracts, and a total short position of 61,100 contracts, down by 2,835 contracts [1]. Major Players in Long and Short Positions - The top three long positions were held by Guotai Junan with 8,066 contracts, CITIC Futures with 7,040 contracts, and Dongzheng Futures with 3,716 contracts [1]. - The top three short positions were held by Guotai Junan with 9,729 contracts, CITIC Futures with 9,393 contracts, and GF Futures with 8,182 contracts [1]. Changes in Long Positions - The top three increases in long positions were from Everbright Futures with 1,163 contracts (up by 251), Guotai Junan with 5,911 contracts (down by 1,357), and GF Futures with 1,544 contracts (up by 115) [1][3]. - The top three decreases in long positions were from Guotai Junan, CITIC Futures, and Guoxin Futures [1]. Changes in Short Positions - The top three increases in short positions were from Haitong Futures with 3,435 contracts (up by 295), Huawen Futures with 467 contracts (up by 204), and Guotai Junan with 7,322 contracts (down by 1,309) [1][3]. - The top three decreases in short positions were from Guotai Junan, GF Futures, and Guoxin Futures [1].

聚焦新型电力系统前沿方向，依托典型项目开展试点 文件中提及，依托典型城市开展多方向综合试点，探索新型电力系统建设新技术、新模式，推动新型电 力系统建设取得突破。坚持重点突破，先期围绕构网型技术、系统友好型新能源电站、智能微电网、算 力与电力协同、虚拟电厂、大规模高比例新能源外送、新一代煤电等七个方向开展试点工作。 智通财经APP获悉，东方证券发布研报称，国家能源局明确先期围绕构网型技术、虚拟电厂等七大方向 开展试点，推动"电力AIAgent"在智能调度、算电协同等环节落地，相关技术应用有望打开行业成长空 间。建议关注"电力AI Agent"应用环节、AI服务器电源环节、AIDC电力配套环节相关标的。 事件：6月4日，国家能源局能源公开事项:国家能源局关于组织开展新型电力系统建设第一批试点工作 的通知国能发电力〔2025〕53号(文件制发日期2025年5月23日)。 东方证券主要观点如下： "电力AI Agent"应用逐步落地，算电协同、虚拟电厂、电力AI应用等环节有望带来成长 风险提示 新型电力系统建设不及预期、"电力AI Agent"应用落地不及预期、数据中心投建不及预期、数据中心供 电技术路线发生巨大迭代 ...

Core Viewpoint - Multiple securities firms in China are actively engaging in share buybacks and increasing shareholder returns to boost investor confidence and enhance company value, with significant amounts already committed in recent months [1][2][3][4] Group 1: Share Buyback Activities - Guojin Securities has repurchased 6.75 million shares, accounting for 0.1818% of its total share capital, with a total expenditure of approximately 55.73 million yuan [1] - Caitong Securities has utilized nearly 300 million yuan to repurchase 40.74 million shares, representing 0.88% of its total share capital, with plans to sell the shares within 12 months [2] - Guotai Haitong has repurchased 16.92 million shares, which is 0.096% of its total share capital, with a total expenditure of 284 million yuan [2] - Dongfang Securities plans to repurchase A-shares worth between 250 million yuan and 500 million yuan, estimating to buy back around 37.04 million shares, or 0.44% of its total share capital [2] - Hongta Securities is proposing a buyback of shares with a total fund of 100 million to 200 million yuan to optimize its capital structure [3] Group 2: Shareholder Return Initiatives - Tianfeng Securities' controlling shareholder has completed a share increase plan, acquiring 179 million shares, which is 2.06% of the total share capital, with an investment of approximately 502 million yuan [3] - Xinyang Securities has announced a "Quality Improvement and Efficiency Enhancement" action plan for 2025, focusing on increasing the stability and predictability of dividends [4] - The overall trend indicates that A-share listed securities firms are actively enhancing shareholder returns through buybacks and increased dividends, supported by improved cash flow from better operational performance [1][4] Group 3: Market Outlook and Investment Opportunities - Despite a recent market correction, the fundamentals of most listed securities firms remain strong, indicating a mismatch between high profitability and low valuations, suggesting attractive investment opportunities [4] - Analysts recommend focusing on firms expected to exceed performance expectations in the first half of 2025 and potential opportunities arising from increased merger and acquisition activities within the sector [4]

在原总经理离任后，诚通证券抛出"橄榄枝"。近期中国诚通发布了诚通证券公开招聘的公告：诚通证券 面向社会和集团内企业招募优秀人才，包括1名总经理和1名副总经理。此次招聘对两大核心岗位设置了 严格的任职门槛，集中体现了国有金融企业对高级管理人才的政治素养、专业能力与合规记录的高要 求。值得一提的是，此次也是诚通证券第二次公开招聘副总经理。就在今年年初，诚通证券曾计划招聘 1名副总经理和1名合规总监（首席风险官）。今年4月末，新的合规总监、首席风险官已履职，而副总 经理仍虚位以待。 近日，国泰海通、东方证券等上市券商纷纷披露回购进展。国泰海通最新公告称，截至2025年5月31 日，公司已通过集中竞价交易方式累计回购A股股份3248.84万股，约占公司总股本的0.1843%，本次回 购的成交价格区间为每股16.49元至17.97元，公司为实施回购累计支付的资金总额约为5.57亿元（不含 交易费用）。东方证券发布公告称，截至2025年5月31日，公司通过集中竞价交易方式已累计回购A股 股份2562.45万股，占公司总股本的比例为0.3016%，已支付的总金额为人民币2.4亿元(不含交易费用)。 点评：券商股近期回购动作 ...

Core Viewpoint - The article discusses the recent trend of share buybacks among A-share listed companies, particularly focusing on the rapid progress made by several securities firms in implementing their buyback plans amidst market fluctuations and regulatory support [1][2][3]. Group 1: Buyback Trends - In April 2025, over 240 companies announced share buyback plans, a significant increase from 44 in March, with a total proposed buyback amount of approximately 735.25 billion yuan, up 257.14% from the previous month [2]. - Notable securities firms such as Guotai Junan, Guojin Securities, and Dongfang Securities have reported swift progress in their buyback initiatives, with some already meeting the minimum requirements of their plans [3][4]. Group 2: Specific Buyback Progress - Guotai Junan Securities approved a buyback plan with a budget between 1 billion and 2 billion yuan, and as of May 31, 2025, it had repurchased 32.488 million shares, accounting for 0.18% of its total share capital, with a total expenditure of 557 million yuan [3]. - Dongfang Securities initiated a buyback plan of 250 million to 500 million yuan and reported having repurchased 240 million yuan worth of shares within a month, nearing its minimum target [3]. - Guojin Securities announced a buyback plan of 50 million to 100 million yuan and had repurchased 675,110 shares for a total of 55.73 million yuan by May 31, 2025 [3]. Group 3: Slow Progress by Some Firms - Some firms, such as Guotou Securities and Zhongtai Securities, have not yet initiated their buyback plans, despite having approved them earlier. Guotou Securities had a buyback budget of 200 million to 400 million yuan, while Zhongtai Securities planned to use 300 million to 500 million yuan for its buyback [4][5]. - Both firms still have time to implement their buyback actions, with deadlines extending into the latter half of 2025 [6]. Group 4: Market Implications - The article highlights that under supportive policies, the scale of buybacks and share repurchases by listed companies is expected to continue increasing, which could enhance investor sentiment and stabilize market expectations [6]. - Regulatory bodies have emphasized the importance of genuine buyback actions to avoid misleading practices that could disrupt market expectations and harm investor interests [6].

东方证券股份有限公司董事会 证券代码：600958 证券简称：东方证券 公告编号：2025-032 东方证券股份有限公司关于 以集中竞价交易方式回购公司 A 股股份的进展公告 本公司董事会及全体董事保证本公告内容不存在任何虚假记载、误导性陈述 或者重大遗漏，并对其内容的真实性、准确性和完整性承担法律责任。 重要内容提示： 回购方案首次披露日 2025 年 5 月 6 日 回购方案实施期限 2025 年 5 月 6 日~2025 年 8 月 5 日 预计回购金额 2.5亿元~5亿元 □减少注册资本 □用于员工持股计划或股权激励 回购用途 □用于转换公司可转债 √为维护公司价值及股东权益 累计已回购股数 2,562.45万股 累计已回购股数占总股本比例 0.3016% 累计已回购金额 23,958.99万元 实际回购价格区间 9.19元/股~9.55元/股 一、回购股份的基本情况 《关于以集中竞价交易方式回购公司A股股份方案的议案》。公司本次 回购股份事项的具体方案详见公司于2025年5月7日披露的《公司关于 以集中竞价交易方式回购公司A股股份方案的公告》 （2025-024号公告） 及2025年5月8日披露的《 ...