- The high-frequency skewness factor showed strong performance with long-short returns of 0.9%, 4.93%, and 22.69% for the past week, September, and 2025, respectively[5][9] - The intraday downside volatility proportion factor had long-short returns of 0.77%, 5.18%, and 18.23% for the past week, September, and 2025, respectively[5][9] - The post-open buying intention proportion factor had long-short returns of 1.11%, 3.65%, and 19.98% for the past week, September, and 2025, respectively[5][9] - The post-open buying intention intensity factor had long-short returns of 1.62%, 3.28%, and 25.81% for the past week, September, and 2025, respectively[5][9] - The post-open large order net buying proportion factor had long-short returns of 0.34%, 1.51%, and 20.7% for the past week, September, and 2025, respectively[5][9] - The post-open large order net buying intensity factor had long-short returns of 0.38%, 1.51%, and 12.86% for the past week, September, and 2025, respectively[5][9] - The intraday return factor had long-short returns of 0.98%, 1.26%, and 20.66% for the past week, September, and 2025, respectively[5][9] - The end-of-day trading proportion factor had long-short returns of 1.25%, 4.18%, and 17.74% for the past week, September, and 2025, respectively[5][9] - The average single outflow amount proportion factor had long-short returns of 0.29%, 0.26%, and -0.54% for the past week, September, and 2025, respectively[5][9] - The large order-driven price increase factor had long-short returns of 0.09%, 2.88%, and 8.88% for the past week, September, and 2025, respectively[5][9] - The GRU(10,2)+NN(10) deep learning factor had long-short returns of 1.33%, 8.73%, and 41.75% for the past week, September, and 2025, respectively, with long-only excess returns of 0.71%, 3.42%, and 8.08%[5][9] - The GRU(50,2)+NN(10) deep learning factor had long-short returns of 1%, 7.98%, and 42.75% for the past week, September, and 2025, respectively, with long-only excess returns of 0.63%, 2.99%, and 7.91%[5][9] - The multi-granularity model (5-day label) factor had long-short returns of 0.99%, 6.15%, and 53.09% for the past week, September, and 2025, respectively, with long-only excess returns of 0.5%, 2.56%, and 19.48%[5][9] - The multi-granularity model (10-day label) factor had long-short returns of 0.81%, 5.2%, and 49.1% for the past week, September, and 2025, respectively, with long-only excess returns of 0.37%, 2.97%, and 20.1%[5][9] - The weekly rebalanced CSI 500 AI enhanced wide constraint portfolio had excess returns of -0.99%, -4.8%, and -0.06% for the past week, September, and 2025, respectively[5][11] - The weekly rebalanced CSI 500 AI enhanced strict constraint portfolio had excess returns of -1%, -2.32%, and 2.66% for the past week, September, and 2025, respectively[5][11] - The weekly rebalanced CSI 1000 AI enhanced wide constraint portfolio had excess returns of -1.48%, -1.06%, and 7.53% for the past week, September, and 2025, respectively[5][11] - The weekly rebalanced CSI 1000 AI enhanced strict constraint portfolio had excess returns of -0.79%, -0.12%, and 13.11% for the past week, September, and 2025, respectively[5][11]

Investment Rating - The report assigns an "Overweight" rating for the industry [4] Core Insights - Nike's FY2026Q1 revenue and profit exceeded expectations, with North America and running categories leading the recovery trend, while Greater China requires patience [2] - The report suggests focusing on related investment opportunities as Nike's performance and product line restructuring are at a bottoming stage, with potential for further improvement [5] Summary by Sections Financial Performance - Nike's FY2026Q1 revenue reached $11.72 billion, a 1% year-over-year increase, surpassing Bloomberg's consensus estimate of $11.02 billion, which anticipated a 4.91% decline. Net profit was $730 million, down 31% year-over-year, exceeding the expected $420 million. Gross margin was 42.2%, down 3.2 percentage points year-over-year, while expense ratio was 34.3%, down 0.5 percentage points [5] - Inventory and revenue growth alignment improved, with FY2026Q1 inventory and revenue growth at -2% and +1% year-over-year, respectively [5] Regional Performance - In FY2026Q1, revenue growth by region was as follows: North America +4%, EMEA +1%, Greater China -10%, and Asia Pacific +1%. North America continues to lead the recovery trend, with significant growth in running, training, and basketball categories [5] - Greater China has approximately 5,000 single-brand stores and requires time for adjustment, with key areas for improvement being offline traffic and seasonal sell-through rates [5] Product and Channel Insights - FY2026Q1 saw a 20% growth in the running category, with North America showing double-digit growth and Greater China experiencing high single-digit growth. Non-traditional sports categories like outdoor ACG, SKIMS, and tennis are also performing well [5] - The report indicates that FY2026Q2 revenue is expected to decline by a single digit year-over-year, primarily due to ongoing pressures in e-commerce and inventory clearance [5] Recommended Stocks - The report recommends several stocks with profit forecasts and valuations, all rated as "Overweight": - Huayi Group (300979.SZ) with a projected PE of 18 for 2025E - Jiuxing Holdings (1836.HK) with a projected PE of 10 for 2025E - Shenzhou International (2313.HK) with a projected PE of 13 for 2025E - Taobo (6110.HK) with a projected PE of 14 for 2025E [6]

- The counter-cyclical allocation model predicts macroeconomic environments using credit spreads and term spreads, dividing them into Growth, Inflation, and Slowdown stages. For Q3 2025, the model forecasted an Inflation environment, allocating assets as follows: CSI 300 (20%), CSI 2000 (0%), Nanhua Commodity Index (30%), and ChinaBond Treasury Total Wealth Index (50%). The respective returns were 17.90%, 17.24%, 3.88%, and -1.28%[7][8] - The macro momentum monthly allocation signal for October 2025 indicates a positive signal for the stock market, driven by positive signals from economic growth and risk sentiment factors[9][10] - The composite industry trend factor, constructed from industry-level indicators, serves as a timing signal for market trends. When the factor exceeds a certain threshold, it signals potential market rallies, while a sharp drop near the peak triggers a sell signal. From January 2015 to September 2025, the cumulative return of the composite industry trend factor portfolio was 122.66%, with an excess return of 48.42%. As of September 2025, the factor value was -0.30, showing a decline but maintaining a positive signal[4][17][19] - The bond market timing signal for October 2025 shows a negative overall signal, influenced by factors such as PMI, inflation indicators (CRB Index, CPI), exchange rates (CFETS RMB Index, USD midpoint), interest rates (ChinaBond Treasury yields for 2, 5, and 10 years), and risk sentiment factors[13] - The gold market timing signal for October 2025 is positive, supported by fundamental and technical factors. Positive signals include actual interest rates, London gold moving averages (10-month and 20-month), global negative-yielding debt scale, and US M2. Negative signals include expected inflation and CFTC swap dealer positions[13][14]

Investment Rating - The report assigns an "Overweight" rating for the semiconductor equipment industry [4]. Core Insights - The U.S. House of Representatives' Strategic Competition Commission has issued a report detailing sanctions aimed at curbing China's semiconductor industry, which poses a threat to U.S. national security and global technological leadership. The report suggests measures such as export controls and technology blockades to maintain U.S. dominance in the global semiconductor supply chain [2][4]. - Despite the challenges, the report expresses optimism about the potential for leading semiconductor equipment companies to achieve breakthroughs in advanced process nodes, indicating a positive growth outlook for these companies [2][4]. Summary by Sections Industry Overview - The report highlights the ongoing global pursuit of semiconductor industry globalization, despite increasing U.S. government restrictions on China's integrated circuit industry. It emphasizes the critical role of domestic semiconductor equipment companies in achieving technological breakthroughs [4]. Market Dynamics - The report notes that five major semiconductor equipment companies (AMAT, ASML, KLA, LAM, TEL) account for approximately 80%-85% of the global semiconductor equipment market. It projects that China's total spending on semiconductor equipment will reach $38 billion in 2024, with significant revenue contributions from these companies [4]. Policy Recommendations - The report outlines several policy recommendations from the Strategic Competition Commission, including: - Aligning export control policies with allies, particularly the Netherlands and Japan, to impose broader restrictions on equipment exports to China [4]. - Expanding the entity list to include more Chinese semiconductor companies, particularly those manufacturing logic chips at 45nm and below [4]. - Preventing the use of Chinese equipment in global fabs that utilize U.S., Dutch, or Japanese equipment [4]. Investment Recommendations - The report recommends several companies for investment, including: - 北方华创 (North Huachuang) - 拓荆科技 (TuoJing Technology) - 芯源微 (Xinyuan Micro) - 中微公司 (Zhongwei Company) - 富创精密 (Fuchuang Precision) - 盛美上海 (Shengmei Shanghai) [4][6].

Investment Rating - The report maintains an "Overweight" rating for the industry [3] Core Viewpoints - The report continues to recommend innovative pharmaceuticals and medical devices along the industry chain [2][7] - The performance of the pharmaceutical sector in September 2025 was weaker than the broader market, with the SW Pharmaceutical Biotech index declining by 1.7% compared to a 0.6% increase in the Shanghai Composite Index [16][22] - The report highlights that the medical service sub-sector performed relatively well, increasing by 1.8%, while medical devices and chemical preparations saw slight declines [22] Summary by Sections - **Investment Recommendations**: The report includes a list of A-share stocks with an "Overweight" rating, including Heng Rui Pharmaceutical, Kelun Pharmaceutical, East China Pharmaceutical, Changchun High-tech, Enhua Pharmaceutical, WuXi AppTec, Tigermed, Lepu Medical, United Imaging Healthcare, and Huatai Medical [7][9] - **Performance Analysis**: The report notes that the monthly portfolio of Guotai Junan Pharmaceuticals outperformed the pharmaceutical index in September 2025, with an average increase of 1.1% compared to a 0.7% increase in the overall pharmaceutical index [12][13] - **Market Comparison**: The report indicates that the pharmaceutical sector's premium level relative to all A-shares is currently at a normal level, with a relative premium rate of 77.5% as of the end of September 2025 [26][28]

国泰海通晨报 2025 年 10 月 09 日 国泰海通证券股份有限公司 研究所 [Table_Summary] 1、【海外策略研究】：①年初以来港股表现出色，虽三季度港股阶段性跑输 A 股，但 9 月以来在 科技股驱动下已重拾升势。②当前港股估值仅处历史中位，与 A 股对比性价比仍然突出，其中科 技板块低估优势更加明显。③产业趋势叠加资金面持续改善，港股四季度有望续创新高，结构上 港股科技仍是行情主线。 2、【固定收益研究】：国债发行计划变化、制造业 PMI 成色和海外资产涨跌。 [汤蔚翔 Table_Authors] (分析师) 电话：021-38676172 邮箱：tangweixiang@gtht.com 登记编号：S0880511010007 [Table_ImportantInfo] 今日重点推荐 吴信坤(分析师) 021-23154147 wuxinkun@gtht.com S0880525040061 杨锦(分析师) 021-23185661 yangjin2@gtht.com S0880525040083 陆嘉瑞(研究助理) 021-23185659 lujiarui@gtht.com S0 ...

国债发行计划变化、制造业 PMI 成色和海外资产涨跌。 投资要点： 通 用 报 告 证 券 研 究 报 告 总量研究 /[Table_Date] 2025.10.08 | | 0755-23976753 tangyuanmao@gtht.com | | --- | --- | | 登记编号 | S0880524040002 | | | 杜润琛(研究助理) | | | 021-38031034 | | | durunchen@gtht.com | | 登记编号 | S0880123090079 | [Table_Report] 相关报告 总 量 研 究 国庆前后，需着重关注的三件事 [Table_Authors] 唐元懋(分析师) 本报告导读： 银行二永债周度数据库更新（2025.9.19-9.30） 2025.10.07 地方债利差小幅走阔，新增地方债发行进度 83.6% 2025.10.05 收益率整体上行，期限利差走阔 2025.10.05 T、TL 机构行为因子分化，T 合约多头力量增强 20250929 2025.09.29 跨季前后的阶段性平台期 2025.09.28 请务必阅读正文之后的免责条款部 ...

- The Black-Litterman (BL) model is an improved version of the mean-variance optimization (MVO) model developed by Fisher Black and Robert Litterman in 1990. It combines Bayesian theory with quantitative asset allocation models, allowing investors to incorporate subjective views into asset return forecasts and optimize portfolio weights. This model addresses MVO's sensitivity to expected returns and provides a more robust framework for efficient asset allocation[12][13][14] - The BL model was implemented for both global and domestic assets. For global assets, it utilized indices such as the S&P 500, Hang Seng Index, and COMEX Gold. For domestic assets, it included indices like CSI 300, CSI 1000, and SHFE Gold. Two variations of the BL model were constructed for each asset category[13][14][18] - The Risk Parity model, introduced by Bridgewater in 2005, aims to equalize risk contributions across asset classes in a portfolio. It calculates initial asset weights based on expected volatility and correlation, then optimizes deviations between actual and expected risk contributions to determine final portfolio weights[17][18][20] - The Risk Parity model was applied to both global and domestic assets. Global assets included indices such as CSI 300, S&P 500, and COMEX Gold, while domestic assets incorporated CSI 300, CSI 1000, and SHFE Gold. The model followed a three-step process: selecting assets, calculating risk contributions, and solving optimization problems for portfolio weights[18][20][21] - The Macro Factor-based Asset Allocation model constructs a framework using six macroeconomic risk factors: growth, inflation, interest rates, credit, exchange rates, and liquidity. It employs Factor Mimicking Portfolio methods to calculate high-frequency macro factors and integrates subjective views on macroeconomic conditions into asset allocation decisions[22][24][25] - The Macro Factor-based model involves four steps: calculating factor exposures for assets, determining benchmark factor exposures using a Risk Parity portfolio, incorporating subjective factor deviations based on macroeconomic forecasts, and solving for asset weights that align with target factor exposures[22][24][25] Model Performance Metrics - Domestic BL Model 1: Weekly return -0.11%, September return -0.14%, 2025 YTD return 3.23%, annualized volatility 2.19%, maximum drawdown 1.31%[14][17] - Domestic BL Model 2: Weekly return -0.11%, September return -0.13%, 2025 YTD return 2.84%, annualized volatility 1.99%, maximum drawdown 1.06%[14][17] - Global BL Model 1: Weekly return 0.04%, September return 0.11%, 2025 YTD return 0.84%, annualized volatility 1.99%, maximum drawdown 1.64%[14][17] - Global BL Model 2: Weekly return 0.00%, September return 0.03%, 2025 YTD return 1.84%, annualized volatility 1.63%, maximum drawdown 1.28%[14][17] - Domestic Risk Parity Model: Weekly return -0.06%, September return 0.05%, 2025 YTD return 2.99%, annualized volatility 1.35%, maximum drawdown 0.76%[20][21] - Global Risk Parity Model: Weekly return -0.07%, September return 0.13%, 2025 YTD return 2.50%, annualized volatility 1.48%, maximum drawdown 1.20%[20][21] - Macro Factor-based Model: Weekly return 0.04%, September return 0.26%, 2025 YTD return 3.29%, annualized volatility 1.32%, maximum drawdown 0.64%[26][27]

Investment Rating - The report maintains an "Overweight" rating for the steel industry [6]. Core Insights - Demand is expected to gradually stabilize, and the inventory levels are decreasing, indicating a potential recovery in the steel industry [3][6]. - The report highlights that the supply-side adjustments are beginning to take effect, with a significant portion of steel companies still operating at a loss, which may lead to a market-clearing process [3][6]. Summary by Sections 1. Steel Market Overview - The apparent consumption of five major steel products reached 8.7406 million tons, an increase of 237,300 tons week-on-week; construction materials consumption was 3.0445 million tons, up by 99,800 tons; and sheet metal consumption was 5.6961 million tons, up by 137,500 tons [6]. - Total steel inventory decreased to 15.1061 million tons, down by 91,300 tons week-on-week, maintaining a low level [6]. - The operating rate of blast furnaces in 247 steel mills was 84.45%, an increase of 0.47 percentage points week-on-week [6]. 2. Profitability and Production - The average gross profit for rebar was 216.2 CNY/ton, down by 18.1 CNY/ton week-on-week, while hot-rolled coil gross profit was 172.2 CNY/ton, up by 18.4 CNY/ton [6]. - The profitability rate of 247 steel companies was 58.01%, a decrease of 0.86 percentage points week-on-week [6]. 3. Supply and Demand Dynamics - The report anticipates that the negative impact of the real estate sector on steel demand will weaken, while demand from infrastructure and manufacturing is expected to grow steadily [6]. - The recent policy document on the steel industry emphasizes continued production cuts and the exit of inefficient capacity, supporting the expectation of supply-side contraction [6]. 4. Recommendations - The report recommends several companies based on their competitive advantages and market positioning, including Baosteel, Hualing Steel, and CITIC Special Steel, among others [6].

Investment Rating - The investment rating for the company is "Accumulate" with a target price of 7.74 CNY [2][3]. Core Insights - The company significantly reduced its non-recurring losses in Q2 2025, and despite unexpected reductions in public and business demand during the summer travel season, it is expected to achieve year-on-year profit growth [3][11]. - The company's network optimization and active cost reduction strategies are anticipated to lead to an upward shift in its profit center in the future [11]. Financial Summary - Total revenue is projected to grow from 159.93 billion CNY in 2023 to 207.00 billion CNY by 2027, reflecting an annual growth rate of 8.6% [5]. - The net profit attributable to the parent company is expected to turn from a loss of 4.21 billion CNY in 2023 to a profit of 9.39 billion CNY in 2027, indicating a significant recovery [5]. - The earnings per share (EPS) is forecasted to improve from -0.23 CNY in 2023 to 0.52 CNY in 2027 [5]. Market Data - The company's market capitalization is approximately 107.82 billion CNY, with a current stock price of 5.95 CNY [6][11]. - The stock has traded within a range of 5.43 to 7.27 CNY over the past 52 weeks [6]. Operational Highlights - The company has seen a 5.5% increase in available seat kilometers (ASK) year-on-year, driven by a 4% growth in its fleet and increased international flight rotations [11]. - The average domestic aviation fuel price decreased by 13% year-on-year, with a 17% drop in Q2, allowing the company to retain most of the cost savings [11]. Future Outlook - The company is expected to achieve profitability in 2025, driven by a gradual recovery in public and business demand, alongside ongoing cost reduction efforts [11]. - The construction of dual hubs in Guangzhou and Beijing is a significant strategic move that is expected to enhance operational efficiency and profitability [11].