证券研究报告 | 金融工程 2025 年 9 月 21 日 利多因素边际走弱，继续看多但程度下降 ——A 股趋势与风格定量观察 20250921 1. 当前市场观察 2. 市场最新观点 风险提示：择时和风格轮动模型结论基于合理假设前提下结合历史数据统计规 律推导而出，市场环境变化下可能导致出现模型失效风险。 王武蕾 S1090519080001 wangwulei@cmschina.com.cn 王禹哲 S1090525080001 wangyuzhe@cmschina.com.cn 敬请阅读末页的重要说明 定期报告 ❑ 本周市场震荡分化，大盘价值风格走弱，小盘成长风格维持偏强走势。具体 来看，万得全 A 指数下跌约 0.18%，上证 50、沪深 300 分别下跌约 1.95%、 0.41%，中证 1000 则上涨约 0.23%。国证价值下跌约 2.06%，而国证成长却 上涨约 1.49%，创业板指、科创 50 分别上涨约 2.35%、1.84%。 ❑ 择时方面，我们继续看多 A 股，但短期看好程度有所下降。继续看好的核心 原因为当前市场交易情绪仍相对较强、人民币升值背景下内外部流动性宽 裕、基本面上信贷脉冲 ...

Group 1 - The overall market performance shows mixed results with the Shanghai Composite Index down by 1.3%, while the Shenzhen Component and ChiNext Index increased by 1.14% and 2.34% respectively [1] - Citic Securities emphasizes the importance of the globalization of leading Chinese manufacturing companies, suggesting that this will enhance pricing power and profit margins, leading to market capitalization growth beyond domestic economic fundamentals [1] - The financing trends around the National Day holiday indicate a pattern of "pre-holiday contraction and post-holiday explosion," with historical data suggesting a high probability of A/H shares rising after preventive rate cuts by the Federal Reserve [1][2] Group 2 - Huajin Securities notes that historically, after high-level fluctuations in a bull market, A-shares tend to continue rising, with current policies and external events remaining positive [2] - Dongwu Securities identifies potential market directions for the fourth quarter, suggesting a structural shift may occur, with cyclical sectors and low-position technology branches being key areas to watch [3] - China Galaxy Securities recommends focusing on sectors benefiting from policy and industry support, such as AI, lithium batteries, and consumer services, especially with the upcoming holidays boosting travel-related stocks [4] Group 3 - Western Securities reports a contraction in A-share valuations, with the coal industry leading gains due to rising coal prices driven by winter supply concerns [5] - The market is expected to experience a period of consolidation, with support levels identified at previous lows, and recommendations to maintain current positions until adjustments are complete [7] - Kaisheng Securities highlights the ongoing dominance of technology sectors, driven by relative profitability and global semiconductor cycles, with AI emerging as a significant demand driver [8] Group 4 - Debon Securities indicates that the current market is at the beginning of a new dollar interest rate cut cycle, with a slow bull market expected to continue, particularly in sectors like AI and solid-state batteries [9] - Xiangcai Securities suggests that the A-share market is likely to operate in a "slow bull" manner, influenced by ongoing policies and the "14th Five-Year Plan," with a focus on technology, green initiatives, and consumer services [10]

- The report introduces two quantitative strategy indices developed by China Merchants Securities: the Global Assets Risk Parity Rotation Index (GARRI) and the China Assets Risk Parity Rotation Index 2.0 (CARRI2) [3][10] - GARRI and CARRI2 indices use momentum trend tracking methods to rotate allocations among equities, bonds, and commodities globally or within China, employing risk parity, volatility control, and daily monitoring for stop-loss and take-profit to manage overall portfolio volatility [3][10] - GARRI includes 13 sub-portfolios such as stock indices, government bond futures, gold futures, and commodity futures, while CARRI2 includes 10 sub-portfolios with similar asset classes but focused on the Chinese market [11] - The indices adjust the allocation weights of each sub-portfolio monthly based on momentum factors and risk parity models [11] - The construction process involves selecting sub-portfolios based on momentum signals and adjusting initial weights according to risk parity theory, with dynamic adjustments for daily performance [12][13] - GARRI's long-term annualized return is 7.76%, with an annualized volatility of 4.05% and a maximum drawdown of 5.46% [3] - CARRI2's long-term annualized return is 7.42%, with an annualized volatility of 4.62% and a maximum drawdown of 5.66% [3] - GARRI's performance is attributed mainly to bond assets, contributing an average of 39% (63% including cash), with equities, gold, and commodities contributing 14.3%, 5.5%, and 17.0% respectively [3] - CARRI2's performance is also primarily driven by bonds, contributing 60% (72% including cash), with equities, gold, and commodities contributing 9.1%, 5.7%, and 12.8% respectively [3] - GARRI and CARRI2 indices can be used as underlying indices for various financial products such as OTC options, total return swaps, and structured notes, suitable for different types of investors [3][98] - Compared to other global asset classes, GARRI and CARRI2 indices offer higher return-to-drawdown ratios, making them cost-effective options for achieving higher absolute returns with reasonable portfolio volatility [3][110][112]

Domestic Policy Insights - The Chinese government is making progress in addressing "involution" in the automotive, pig farming, and photovoltaic sectors, with a focus on pig farming and silicon materials [2] - The automotive industry is seeing the release of a payment standard initiative aimed at ensuring supplier payments do not exceed 60 days [2] - In pig farming, a meeting has been held to discuss reducing the number of breeding sows, with accompanying financial measures suggested [2] - The photovoltaic sector is tightening energy consumption standards, which may accelerate the exit of outdated production capacity, particularly in silicon material pricing [2] Autonomous Driving Developments - The Ministry of Industry and Information Technology has released a draft for mandatory national standards on intelligent connected vehicle driving assistance systems, aiming to fill safety gaps in large-scale applications [3] - The new standards emphasize safety boundaries and monitoring of driver status, suggesting a focus on three types of companies: leading autonomous driving suppliers, companies enhancing driving safety, and automotive testing institutions [3] Service Consumption Policies - The Ministry of Commerce and other departments have announced measures to boost service consumption, with 19 initiatives aimed at stimulating demand and supporting high-quality economic development [4] - Key areas of focus for future investment include cultural tourism, intellectual property consumption, and sports consumption [4] International Relations and Business Implications - Recent talks between Chinese and U.S. leaders have been described as pragmatic and constructive, with discussions on the TikTok transaction being a central issue [5] - The TikTok deal involves core algorithms and shareholding ratios, with Oracle and other companies potentially becoming buyers [5] Industry Policy Updates - The State Council is actively discussing policies related to ecological protection and domestic product standards in government procurement [6] - Recent industry policies include a growth plan for light industry and various regional initiatives to integrate artificial intelligence into industrial processes [7]

证券研究报告 | 基金研究（公募） 2025 年 9 月 20 日 A 股震荡调整，量化基金表现分化 量化基金周度跟踪（20250915-20250919） 本周（9 月 15 日-9 月 19 日）A 股震荡调整，量化基金表现分化。 本报告重点聚焦量化基金市场表现，总结近一周主要指数和量化基金业绩表现、 不同类型公募量化基金整体表现和业绩分布，以及本周收益表现较优的量化基 金，供投资者参考。 ❑市场整体表现： 本周量化基金表现分化，绝对收益方面，除 300 指增，其他指增基金绝对 收益均录得正值；主动量化和市场中性均录得负收益，主动量化平均跌 0.19%，市场中性平均跌 0.17%。超额收益方面，各类指增基金均跑输指 数，沪深 300 指增、中证 500 指增、中证 1000 指增、其他指增分别获得 -0.05%、-0.24%、-0.09%、-0.14%的超额。 ❑风险提示：图表中列示的数据结果仅为对市场及个基历史表现的客观描述，并 不预示其未来表现，亦不构成投资收益的保证或投资建议。 徐燕红 S1090524120003 xuyanhong@cmschina.com.cn 邓畅 S109052507000 ...

Group 1 - The core viewpoint of the article highlights that A-share listed brokerages are beginning to distribute interim dividends for the first half of 2025, indicating a recovery in their overall operating performance [1] - On September 19, Nanjing Securities distributed a cash dividend of 0.05 yuan per share, totaling 184 million yuan, while on September 18, China Merchants Securities distributed 0.119 yuan per share, totaling 1.035 billion yuan [1] - The improvement in the fundamentals of the brokerage industry is evident, supported by a favorable overall market trend and active trading volume in A-shares since the second half of the year [1] Group 2 - The interim equity distribution by listed brokerages is significantly supported by the recovery in their operating performance during the first half of 2025 [1] - The investment value of leading brokerages and merger and acquisition themes has gained favor among institutional investors [1]

Core Viewpoint - The A-share listed securities firms are beginning to distribute cash dividends for the first half of 2025, supported by improved operating performance and a favorable market environment [1][2][3] Group 1: Dividend Distribution - Nanjing Securities announced a cash dividend of 0.05 yuan per share, totaling 184 million yuan, with a profit of 621 million yuan for the first half of 2025, reflecting a year-on-year increase of 13.65% [1] - Prior to Nanjing Securities, China Merchants Securities distributed a cash dividend of 0.119 yuan per share, totaling 1.035 billion yuan, with a revenue of 10.52 billion yuan and a net profit of 5.186 billion yuan, both showing over 9% year-on-year growth [2] - Other firms like First Capital and Shanxi Securities are also set to implement their dividend plans, with First Capital distributing 42.02 million yuan and Shanxi Securities distributing nearly 18 million yuan [2] Group 2: Industry Performance and Outlook - A total of 24 listed securities firms have announced dividend plans for the first half of 2025, with a combined distribution amounting to 17.356 billion yuan, indicating a strong recovery in the sector [3] - The positive performance of the A-share market, with major indices reaching new highs, has led to an optimistic outlook for the securities industry, with expectations of continued growth in revenue and net profit [3][4] - Analysts suggest that the securities sector is well-positioned for recovery, with strong market activity and supportive regulatory conditions enhancing the investment environment [4] Group 3: Investment Recommendations - Analysts recommend focusing on leading securities firms that demonstrate strong capabilities across various business lines, as well as on merger and acquisition themes among smaller firms for potential value re-evaluation [4]

Core Viewpoint - The company is focusing on enhancing its research and development capabilities to drive business upgrades and expand into new service areas while maintaining a strong commitment to digital transformation and sustainability initiatives [1][2][4]. Group 1: R&D and Business Upgrades - The company maintains a high proportion of R&D investment, which will enhance existing testing and consulting services, leverage new technologies for new services, and explore niche markets within existing business areas [1]. - The company aims to improve product technical indicators and performance parameters in the fields of construction safety emergency equipment and intelligent building materials testing, promoting automation, intelligence, and information-based production [1]. Group 2: Green Building and Smart Construction - The company is actively involved in green building initiatives, aligning with national carbon neutrality goals, and has undertaken multiple national and provincial research projects [2]. - In the smart construction sector, the company has established an intelligent laboratory and developed smart devices to enhance competitiveness, while also forming alliances to promote technology transfer [2]. Group 3: Customer Structure and Revenue Sources - The company's main customer base includes government entities, public institutions, state-owned enterprises, and other businesses, with over 99% of revenue coming from its main business operations [3]. Group 4: Digital Transformation - The company has made progress in digital transformation, developing intelligent platforms and focusing on digital detection technology to enhance core competitiveness [4]. Group 5: Financial Performance - In the first half of 2025, the company reported total revenue of 502 million yuan, with revenue decline attributed to extended client confirmation processes and adverse weather affecting project progress, while net profit growth was supported by high gross margins [5]. Group 6: Business Expansion and Market Strategy - The company has maintained a strong position in the construction inspection and testing market in Guangdong province and is exploring opportunities in the Greater Bay Area and other provinces, with a strategy to consolidate its domestic advantages while expanding into external markets [6]. Group 7: Financial Health - As of June 30, 2025, the company's debt-to-asset ratio was 24.87%, and it has achieved good cash flow management, resulting in synchronized growth in revenue, profit, and operating cash flow [7].

Core Insights - The company, Baose Co., Ltd., is actively expanding its overseas market presence, with foreign trade orders steadily increasing since 2025 [1] - The company is positioned to leverage opportunities in deep-sea technology as it is recognized as a leading manufacturer of specialized non-standard equipment [1] - Despite overall pressure in downstream demand within the new energy and petrochemical sectors, specific sub-sectors like coal chemical, fine chemicals, and deep-sea equipment are experiencing strong or rapid growth [1] Group 1: Overseas Market Expansion - Baose Co., Ltd. has secured core equipment orders for power station projects from internationally renowned energy companies and key equipment orders from leading petrochemical firms [1] - The company is actively pursuing potential projects in the chemical and energy sectors across multiple countries and regions, which is expected to support growth in foreign trade business [1] Group 2: Deep-Sea Technology Opportunities - The national focus on deep-sea technology as an emerging industry is driving demand for high-performance, corrosion-resistant specialized non-standard pressure vessels [1] - Baose Co., Ltd. has technical reserves and project experience in shipbuilding and marine engineering, positioning it well to participate in technology research and market development [1] Group 3: Downstream Demand and Opportunities - The overall demand in the new energy, petrochemical, and chemical sectors is under pressure, with low levels of fixed asset investment projects and unclear signs of recovery [1] - However, the company plans to enhance its technology research and market development in high-demand areas such as coal chemical, fine chemicals, new materials, and deep-sea equipment [1] Group 4: Profit Growth Points - Baose Co., Ltd. aims to establish profit growth points across three main sectors: domestic market, foreign trade market, and shipbuilding and marine engineering equipment market [1] - The company intends to deepen cooperation and explore emerging fields in the domestic market while leveraging its technological and brand advantages in foreign trade [1] Group 5: Product Key Aspects - The design of Baose Co., Ltd.'s products must align with customer operational conditions and process parameters, emphasizing safety, reliability, and cost control [1] - The uniqueness of the products lies in the application of materials, with core technology combining special materials and advanced manufacturing techniques developed over years of research [1] Group 6: Raw Material Price Impact - The main raw materials for the company's products include titanium and nickel-based special materials, with prices influenced by various factors [1] - The company employs an "order-based production" and "sales-based procurement" model to lock in procurement prices and costs, mitigating significant adverse impacts from raw material price fluctuations on profit levels and operations [1] Group 7: Controlling Shareholder Positioning - The controlling shareholder, Baotai Group, positions Baose Co., Ltd. as the core of its equipment design and manufacturing segment, aiming to build a modern industrial system [1] - The company is expected to leverage both parties' strengths to achieve leapfrog development, enhance innovation capabilities, and elevate the industrial chain level [1] Group 8: Future Development Strategy - Baose Co., Ltd. will focus on national "dual carbon" and "manufacturing power" strategies, enhancing competitive advantages in traditional industries while exploring emerging industries [1] - The company plans to introduce smart manufacturing technologies to promote industrial upgrades and transition from a "manufacturing-centered" model to a "manufacturing + service" model, aiming to become a comprehensive service provider for high-end equipment [1]

Group 1 - The core viewpoint of the report is that the Federal Reserve is expected to implement two rate cuts this year, each by 0.25%, which will narrow the interest rate differential between the US and emerging markets, leading to a weaker dollar and increased international capital inflow into emerging markets, including Hong Kong [1] - Foreign capital remains underweight in Chinese assets, including Hong Kong stocks, and is expected to increase allocation significantly after the rate cuts [1] - Hong Kong's lack of capital account controls makes it more directly beneficial from the rate cuts compared to mainland China, with Hong Kong stocks typically leading A-shares in response [1] Group 2 - The report recommends five categories of investment opportunities, with a strong emphasis on artificial intelligence (AI) and internet sectors, particularly highlighting Alibaba (9988.HK) for its self-developed AI model capabilities [1] - The liquidity environment is favorable for small to mid-cap growth stocks, with a focus on high-end manufacturing sectors such as humanoid robots and autonomous driving [1] - The report suggests that non-ferrous metals have strong certainty, benefiting from the Fed's rate cut cycle, with gold being a safe-haven asset amid a weakening dollar and global central bank purchases, although short-term adjustments may have already reflected rate cut expectations [1] - The report also emphasizes a bottom-up selection of innovative pharmaceutical stocks, as the rate cuts will improve the financing environment and promote research and development progress [2] - The recovery in US real estate and consumption is expected to drive exports from mainland China, particularly benefiting globally competitive manufacturing sectors such as home appliances and consumer electronics [2]