Investment Rating - The report provides a positive outlook on the electricity and natural gas sectors, highlighting stable revenue mechanisms and growth potential in consumption and pricing [1][10]. Core Insights - The report emphasizes the importance of a refined capacity pricing mechanism for electricity generation, which aims to stabilize revenue and ensure fair compensation for various power sources [4][6]. - It notes that natural gas consumption is expected to grow, supported by favorable weather conditions and improved economic indicators, despite short-term price fluctuations [10][29]. Summary by Sections 1. Electricity: Improved Capacity Pricing Mechanism - The National Development and Reform Commission and the National Energy Administration have issued a notification to enhance the capacity pricing mechanism for electricity generation, addressing mismatches in supply and demand within the new power system [4]. - The new mechanism aims to ensure that different types of power generation, including coal, gas, and new energy sources, receive fair compensation based on their peak supply capabilities [6][7]. - The report highlights that the refined pricing structure will lead to more predictable revenue for power generation companies, reducing volatility in earnings [7]. 2. Natural Gas: Continued Growth in Consumption - The report indicates that the apparent consumption of natural gas in China is projected to grow by 0.1% in 2025, with December consumption reaching 38.57 billion cubic meters, a year-on-year increase of 1.9% [29]. - It notes that the recent cold weather has supported high natural gas prices, with the U.S. Henry Hub spot price at $7.18/mmBtu, while European prices remain elevated due to low inventory levels and geopolitical tensions [10][12]. - The report suggests that the natural gas sector will benefit from a combination of lower costs and improved pricing mechanisms, leading to a recovery in profitability for city gas companies [31]. 3. Investment Recommendations - For coal-fired power, companies like Guodian Power and Inner Mongolia Huadian are recommended due to their stable revenue sources [8]. - Hydropower companies such as Yangtze Power and State Power Investment Corporation are highlighted for their potential to improve profit margins through reduced capital expenditures [8]. - In the nuclear sector, China National Nuclear Power and China General Nuclear Power are suggested for their growth potential as new units are approved [8]. - The report also recommends focusing on integrated natural gas companies like ENN Energy and China Gas Holdings, which are expected to benefit from lower costs and increased sales [31].

Investment Rating - The report maintains a "Buy" rating for the company, indicating a positive outlook for its stock performance in the near term [5]. Core Insights - The company has reported better-than-expected earnings, with significant contributions from its shipbuilding and diesel generator segments, which provide earnings elasticity. The dividend yield is seen as a protective moat for investors [5]. - The shipbuilding segment is expected to benefit from a decline in steel prices, with projected revenue growth of 14% in 2025, followed by a slight decrease in 2026 and a rebound in 2027 [5]. - The diesel generator segment shows strong market competitiveness, with ongoing projects for major clients like China Mobile, indicating robust demand and performance stability [5]. - The company has a diversified business model and a global operational network, which helps mitigate risks associated with market fluctuations and trade policy changes [5]. - The projected dividend yield for 2025 and 2026 is approximately 3.7% and 4.1%, respectively, based on a maintained payout ratio of 42% [5]. Financial Data and Earnings Forecast - Total revenue is forecasted to be 117,803 million yuan in 2025, with a year-on-year growth rate of 0.5%. The net profit attributable to the parent company is expected to reach 1,355 million yuan, reflecting an 18% increase [4]. - The earnings per share (EPS) is projected to be 1.04 yuan for 2025, with a gradual increase to 1.23 yuan by 2027 [4]. - The gross profit margin is expected to improve from 7.4% in 2025 to 7.8% in 2027, indicating better cost management and pricing power [4]. - The return on equity (ROE) is projected to be 15.9% in 2025, slightly decreasing to 15.5% by 2027, which reflects stable profitability [4].

Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - The collective failure of traditional quantitative and price factors in 2026 is related to their reverse logic, providing a scenario for the factorization of the industry rotation model with momentum characteristics [2]. - The industry rotation model has long lacked practical use scenarios, but its stability in excess returns meets the requirements of stock - selection factors, laying a foundation for its transformation into a stock - selection factor [2]. - The industry rotation factor has good factor characteristics, with a monthly IC of 5.3% and an ICIR of 0.40, and it can enhance the performance of the traditional multi - factor model [2][30]. - The industry rotation factor conflicts with the industry deviation constraints in the index - enhancement framework, but it still contributes to stock - selection and cannot be replaced by simple industry over - under - weighting or portfolio strategies [2][61]. - Keeping the individual stock deviation constraint at 0.5% while relaxing the industry deviation constraint is currently the best way to use the industry rotation factor [2][62]. Summary by Relevant Catalogs 1. Finding a Usage Scenario for the Industry Rotation Model: Starting from the Failure of Quantitative and Price Factors - Since 2026, index - enhancement funds tracking the CSI 500 index and active quantitative funds' quasi - index products have mostly underperformed the CSI 500 index. As of the end of January, all CSI 500 index - enhancement products underperformed the index, with an average underperformance of 3.46%, and active quantitative products underperformed by 1.96% on average [5]. - The main failed factors are quantitative and price factors such as liquidity, reversal, low - volatility, and market value, whose logic is mostly reverse - oriented. In the context of a rapid rise in the index and continuous driving of some popular sectors and themes in January, these factors not only failed but also reversed [7]. - The industry rotation model is a strongly momentum - driven model. The Shenwan Hongyuan Industry Rotation Model emphasizes momentum in its technical, fundamental, and capital aspects, and can complement traditional quantitative and price factors with reverse logic [10]. - The industry rotation model has long lacked practical use scenarios. Its long - only portfolio performance is not outstanding, and its stable excess return relative to the average of all industries has no practical significance for most investors [13][16]. 2. Factorization of the Industry Rotation Model - Transforming the industry model into a stock - selection model is relatively easy. By splicing the scores of each stock's industry in the industry model, a stock - based score can be obtained. However, due to the large number of stocks belonging to the same industry, the factor shows a segmented score characteristic, and orthogonal processing is required [22]. - The monthly IC of the original industry rotation factor has a correlation of over 0.4 with the growth factor. After orthogonalizing the original industry rotation factor against the growth factor, its performance shows good monotonicity, and its cumulative IC and long - short performance are excellent [23][25]. - From 2017 to January 2026, the monthly average IC of the industry rotation factor reached 5.3%, stronger than other traditional factors, and the ICIR was 0.40, ranking third, indicating excellent factor characteristics [30]. 3. Usage and Comparative Analysis of the Industry Rotation Factor - **Comparison of Four - Factor and Five - Factor Models**: Adding the industry rotation factor to the four - factor equal - weighted model to form a five - factor model can significantly improve the model's performance, especially in recent years, enhancing the model's offensive ability in a bull market and the stability of excess returns [35][38]. - **Factor Equal - Weighting vs. ICIR Weighting**: Changing the factor weighting method from simple equal - weighting to ICIR weighting does not show better results. The five - factor equal - weighted combination with the industry rotation factor performs best in each year and is the only combination with positive excess returns in all years [39]. - **Moving towards the Index - Enhancement Framework: Adding Industry Neutrality and Individual Stock Deviation Constraints**: Adding industry deviation and individual stock constraints to the model makes the industry rotation factor conflict with the industry deviation constraint. Although it can control the maximum drawdown in some years, it also reduces the performance of the five - factor model in terms of returns in some cases. In 2025, the annual excess return becomes negative after adding constraints [41][42]. - **Method of Constraining Industry Deviation Ranking through Industry Scoring**: Using industry scoring to control industry deviation ranking without using the industry rotation factor for stock - selection results in weaker performance compared to the five - factor model with industry and individual stock constraints. This method is not the best option [44]. - **Multi - Strategy Portfolio: Using Industry Rotation as a Satellite Portfolio "Platter"**: Using the industry rotation factor as a separate strategy to form a satellite portfolio and combining it with a four - factor portfolio does not show obvious advantages. The performance of the "platter portfolio" is difficult to outperform, and only the 3:7 ratio combination has a slight competitive edge, but it also shows negative excess returns in January 2026 [50]. - **Current Best Solution: Relaxing Industry Deviation while Maintaining Individual Stock Deviation Constraints**: Keeping the individual stock deviation constraint at 0.5% and relaxing the industry deviation constraint to 4% or 5% can improve the overall excess return of the portfolio, reduce the maximum drawdown of excess returns, and have a negligible impact on tracking error. This is currently the best way to use the industry rotation factor [53][57]. 4. Summary - The industry rotation model has long lacked practical use scenarios, but its stability characteristics provide a basis for its transformation into a stock - selection factor. - The industry rotation factor has good characteristics and can enhance the performance of the traditional multi - factor model, but it conflicts with the industry deviation constraint in the index - enhancement framework. - The industry rotation factor contributes to stock - selection and cannot be replaced by simple strategies. Relaxing the industry deviation constraint while maintaining the individual stock deviation constraint is the best solution [60][61][62].

Investment Rating - The report assigns a "Buy" rating for the company, Tian Shi Li (600535), marking its first coverage [2]. Core Insights - The company has joined the China Resources Group, initiating a new growth chapter. It has established a business structure that integrates modern traditional Chinese medicine, biological drugs, and chemical drugs, with a focus on prescription drugs and innovation-driven research and development [7][20]. - The report anticipates revenue growth from 85.35 billion yuan in 2025 to 93.70 billion yuan in 2027, with corresponding net profits expected to rise from 9.90 billion yuan to 13.49 billion yuan during the same period [10]. - The company is well-positioned in the cardiovascular market, with its core product, Compound Danshen Dripping Pills, leading in market share and undergoing further development for new indications [9][50]. Summary by Sections 1. Company Overview - Tian Shi Li has evolved from a single product focus to a diversified portfolio that includes modern traditional Chinese medicine, biological drugs, and chemical drugs, supported by a strong emphasis on innovation and internationalization [18][20]. - The company has undergone significant changes, including a shift in control to China Resources Group, which is expected to enhance its operational capabilities and market reach [39][40]. 2. Product Development and Market Position - The company has a comprehensive product matrix in the cardiovascular field, with key products like Compound Danshen Dripping Pills and Qi Shen Yi Qi Pills, which are undergoing clinical trials for new indications [41][48]. - The cardiovascular traditional Chinese medicine market is substantial, with a projected size of 50.5 billion yuan by 2024, and Tian Shi Li holds a leading position with a market share of 7.5% for its flagship product [46][48]. 3. Financial Projections - Revenue projections for 2025-2027 are 85.35 billion, 88.96 billion, and 93.70 billion yuan, with net profits expected to be 9.90 billion, 11.95 billion, and 13.49 billion yuan respectively, indicating a stable growth trajectory [10][29]. - The report estimates a target market capitalization of 28.083 billion yuan for 2026, reflecting a 24% upside potential from the current market value [10]. 4. Innovation and R&D - The company is actively pursuing innovation in both traditional and biological drug sectors, with several products in late-stage clinical trials, including those targeting chronic diseases and metabolic disorders [9][11]. - The introduction of new indications for existing products, such as the expansion of Compound Danshen Dripping Pills to include diabetic retinopathy, is expected to drive future growth [50].

证券研究报告 网下博弈加剧，首发估值抬升 ——2026年A股IPO市场1月报 证券分析师：彭文玉 A0230517080001 朱敏 A0230524050004 任奕璇 A0230525050002 联系人: 任奕璇 A0230525050002 2026.02.02 摘要 www.swsresearch.com 2 ◼ 投资提示：沪深新股常态化发行，且审核端提速态势显现、排队项目充裕。1月，新股首发估值明显与二级 市场接轨，一定程度压缩了上市首日涨幅。与此同时，网下博弈加剧，打新产品数进一步增加、入围难度加 大，中签率整体仍处于下行通道。26年1月，2亿元产品网下打新收益接近20万元，收益率约为0.1%。 ◼ IPO常态化，排队耗时较短。26年1月，A股发行新股12只（mom-3只/yoy+4只），合计募资115亿元 （mom-40%/yoy+141%）。其中，沪深两市保持常态化发行，共发行7只新股（mom-6只/yoy持平）， 合计募资97亿元（mom-47%/yoy+110%）。1月，审核注册项目数高企，三大交易所共17个IPO项目上会、 15个项目注册生效，处于25年以来次高水平；沪深首发项目"受理 ...

Core Insights - The report emphasizes the continuous growth potential in the innovative pharmaceutical sector, particularly focusing on CXO, innovative drugs, and high-value consumables as key investment areas for 2025 [5][10][11] Performance Forecast - As of February 1, 2025, 261 pharmaceutical companies listed on A-shares have released performance forecasts, with 129 companies expected to be profitable. Among these, 85 companies anticipate profit growth, while 44 expect declines, and 25 are projected to turn losses into profits [6][7] - The report predicts the following profit growth rates for 28 pharmaceutical companies in 2025: - 2 companies with growth rates of 40% or more: SaiFen Technology and JiuZhou Pharmaceutical - 8 companies with growth rates between 20% and 40%: ZuoLi Pharmaceutical, AoRuiTe, HaoYuan Pharmaceutical, BiDe Pharmaceutical, DaSanLin, WoWu Biological, TeBao Biological, and HengRui Pharmaceutical - 10 companies with growth rates between 10% and 20%: BaiYunShan, LingRui Pharmaceutical, KaiLaiYing, PuRuiSi, YaoKang Biological, XiangSheng Medical, KeFu Medical, YiFeng Pharmacy, XinLiTai, and LanXiao Technology - 7 companies with growth rates between 0% and 10%: YunNan BaiYao, WeiEr Pharmaceutical, TongCe Medical, DongFuLong, JingXin Pharmaceutical, EnHua Pharmaceutical, and HuaDong Pharmaceutical - 1 company expected to turn losses into profits: BeiJi ShenZhou-U [7][8] Sector Analysis - The report highlights significant growth in the CXO, innovative drug, and high-value consumables sectors for 2025, driven by favorable conditions in the global innovative drug industry, increased order signing, and rising investment sentiment in both domestic and international pharmaceutical markets [10][11] - The high-value consumables sector benefits from the recovery of domestic surgical demand and improved profit margins following stabilized procurement prices. Some traditional Chinese medicine companies have also exceeded market expectations [10][11] - In contrast, sectors such as IVD, raw materials, vaccines, and blood products are facing performance pressures [10][11] Investment Recommendations - The report continues to recommend focusing on the innovative drug and CXO sectors, with specific companies highlighted for attention: - CXO sector: WuXi AppTec, Kanglong Chemical, KaiLaiYing, HaoYuan Pharmaceutical, BaiAoSaiTu, Tigermed, NuoSiGe, ZhaoYan Pharmaceutical, YiNuoSi, and PuRuiSi - Innovative drug sector: HengRui Pharmaceutical, BeiJi ShenZhou-U, NuoCheng JianHua, AiDi Pharmaceutical, and WeiXing Biological [5][10]

Investment Rating - The report maintains a positive outlook on the power and gas sectors, indicating a favorable investment environment due to policy improvements and market dynamics [1]. Core Insights - The report highlights the recent improvements in the capacity pricing mechanism for power generation, which aims to stabilize revenue and enhance the profitability of various power sources [6][10]. - It notes a slight increase in natural gas consumption in 2025, with a projected growth of 0.1% year-on-year, indicating a stable demand outlook for the gas sector [32]. Summary by Sections 1. Power Sector: Capacity Pricing Mechanism Improvement - The National Development and Reform Commission and the National Energy Administration have issued a notification to enhance the capacity pricing mechanism for power generation, addressing mismatches in supply and demand within the new energy system [6]. - The new mechanism introduces differentiated pricing for various types of regulatory power sources, ensuring that their capacity value is adequately compensated [7]. - A unified compensation standard for peak capacity across different power sources is established, promoting rational investment and resource allocation in the power sector [8][10]. 2. Gas Sector: Continued Growth in Natural Gas Consumption - Natural gas consumption in China is expected to reach 385.7 billion cubic meters by December 2025, reflecting a year-on-year increase of 1.9% [32]. - The report emphasizes the impact of cold weather on gas prices, with global prices remaining high, particularly in the U.S. and Europe, which supports the profitability of gas companies [13][19]. - The report suggests that the gas sector will benefit from a combination of lower costs and improved demand, particularly for city gas companies, with recommendations for several key players in the market [34]. 3. Weekly Market Review - The report notes that the public utility, power, gas, and environmental sectors underperformed relative to the Shanghai and Shenzhen 300 index during the week of January 24 to January 30, 2026 [36]. 4. Company and Industry Dynamics - As of the end of 2025, the total installed power generation capacity in China reached 3.89 billion kilowatts, a year-on-year increase of 16.1%, with significant growth in solar and wind power installations [43]. - The report includes various company announcements, highlighting performance forecasts and operational updates from key players in the energy sector [44].

邓虎 A0230520070003 denghu@swsresearch.com 联系人 邓虎 A0230520070003 denghu@swsresearch.com 2026 年 02 月 02 日 行业轮动模型的因子化：减少当前 超额回撤的思路之一 ——申万金工因子观察第 2 期 20260201 相关研究 证券分析师 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 股 票 基 金 - ⚫ 传统量价因子的集体失效与其整体偏反转的逻辑相关，为偏动量特征的行业轮动模型的因 子化提供了场景。 2026 年以来，低波、反转、市值、低流动性因子反向，对策略超额 影响较大，其集体失效的原因与行情热度持续、逻辑偏反转的因子失效。如果能有一个偏 动量特征的因子进行一定的调和，或许能增强组合超额的稳定性。 ⚫ 量化行业轮动模型追求的超额稳健性，为行业轮动模型的因子化提供了基础。一直以来， 量化的行业轮动模型缺乏较好的使用场景，量化策略追求超额的稳定性，使得行业轮动模 型所选出的行业往往不会很极致，而这个稳健特征如果只是对标所有行 ...

Group 1: Commercial Aerospace - The commercial aerospace industry is experiencing upward trends due to accelerated progress in domestic and international computing constellations[5] - Key focus areas include satellite payloads, satellite platforms, space photovoltaics, application terminals, operational services, and rocket support[3] - The China Aerospace Science and Technology Corporation has significant external assets, indicating strong expectations for mergers and acquisitions[3] Group 2: Photovoltaic Industry - Rising silver prices are increasing cost pressures in the photovoltaic industry, making "de-silvering" a critical demand for battery mass production[3] - The adoption of N-type batteries has become mainstream, with silver paste costs in components rising to 21.4% by January 2026[30] - The laser technology is pivotal in supporting the de-silvering transition, enhancing efficiency and reducing material costs[31] Group 3: AI Glasses Market - Global sales of AI glasses are rapidly increasing, with Meta contributing significantly to growth, projecting 6 million units sold in 2025[3] - By 2026, global AI glasses sales are expected to reach 16 million units, with non-display AI audio and photography glasses being major contributors[40] - In Q4 2025, domestic and overseas sales of AI glasses were 24.5 million and 425 million units, respectively[40]

Group 1 - The report indicates a return of low volatility factors, forming a resonance in the current market environment, with economic indicators showing a weakening trend, liquidity slightly easing, and credit indicators remaining weak [2][8][11] - The report emphasizes the selection of factors that are insensitive to economic changes but sensitive to liquidity and credit, highlighting the low volatility factor in the CSI 300 as a key resonant factor [5][9][11] - The macroeconomic outlook suggests a continued downtrend in economic indicators, with the economic forecast model indicating that February 2026 is at the beginning of a decline that started in December 2025 [11][12][13] Group 2 - The liquidity environment is assessed as slightly easing, with short-term interest rates declining and monetary supply showing a neutral signal, while excess reserves are decreasing [18][21][23] - Credit indicators are showing a weakening trend, with credit spreads widening and overall credit metrics declining, indicating a contraction in credit availability [24][25] - The asset allocation strategy suggests a slight allocation to US stocks, with a neutral stance on A-shares and a positive outlook on gold based on momentum [26][28] Group 3 - The report identifies PPI as the most closely monitored variable, with inflation concerns rising and liquidity becoming a significant focus for the market [28] - The industry selection is biased towards TMT (Technology, Media, and Telecommunications) and consumer sectors, based on macroeconomic indicators and their sensitivity to economic changes [29]