2024 年 12 月 03 日 证券研究报告 | 公募基金周报 A 股回调企稳引回升，海外权益上行续新高 公募基金量化遴选类策略指数跟踪周报（2024.12.01） 分析师：李亭函 分析师登记编码：S0890519080001 电话：021-20321017 邮箱：litinghan@cnhbstock.com 分析师：黄浩 分析师登记编码：S0890524110001 电话：021-20321391 021-20515355 2024/11/29》2024-12-02 2、《如何对抗震荡市？红利低波价值凸 显—公募基金周度热点》2024-11-28 3、《风险事件聚集引回调，关注震荡中 布局机会—公募基金工具化组合跟踪周 报（2024.11.24）》2024-11-26 4 、《 ETF 组 合 策 略 跟 踪 周 报 — 2024/11/22》2024-11-24 5、《权益市场回落调整，常青低波尽显 稳健优势—公募基金工具化组合跟踪周 报（2024.11.17）》2024-11-19 投资要点 本周 A 股在周初企稳后，下半周表现较为强势，中证全指本周收涨超 2%， 一方面因素来自于回调一定程度后的企 ...

Investment Rating - The industry investment rating is maintained as "Recommended" [5] Core Viewpoints - The steel industry is experiencing a slight decline in supply and demand, with a focus on the pace of winter storage [1][4] - Steel production is expected to decrease slightly as the industry enters the off-season, although profitability remains supported [1][7] - Inventory levels have been decreasing for seven consecutive weeks, indicating a reduction in pressure on stock levels [2][4] Summary by Sections Supply - The average daily pig iron output for the week (sample size: 247) was 2.3387 million tons, a decrease of 19,300 tons or -0.82% from the previous week [1][27] - The total output of the five major steel products was 8.615 million tons, down 0.9% week-on-week [1][27] - The production of long products decreased by 2.32%, while plate production saw a marginal decline of 0.05% [1][27] Inventory - Total steel inventory (social + factory) was 11.7347 million tons, down 1.35% week-on-week and 10.35% year-on-year [2][27] - The inventory of long products and plates was 5.4168 million tons and 6.3179 million tons, with respective week-on-week changes of 0.2% and -2.6% [2][27] Consumption - Apparent consumption of the five major steel products totaled 8.7751 million tons, a decrease of 0.7% week-on-week [3][27] - Long product consumption decreased by 4.2%, while plate consumption increased by 1.4% [3][27] Prices and Profitability - The steel price index decreased slightly to 96.58 points, a drop of 0.5 points week-on-week [3][27] - The profitability rate of steel enterprises was 51.95%, down 2.6 percentage points from the previous week [7][27] - The profit margins for rebar and hot-rolled products have expanded losses, while cold-rolled products saw a slight improvement in margins [7][27]

Group 1 - The core viewpoint of the report indicates that the market activity is decreasing, and a short-term continuation of volatility is expected [1][15] - The manufacturing PMI for China in November 2024 is reported at 50.3%, slightly up from 50.1% in the previous month, while the non-manufacturing PMI is at 50.0%, down from 50.2% [1][13] - The new orders index has risen into the expansion zone for the first time since May, indicating improved demand due to a series of incremental policies [1][15] Group 2 - The average daily trading volume in the A-share market for the week of November 25-29 is reported at 15,230.85 billion yuan, a decrease of 1,833.54 billion yuan from the previous week, reflecting a continued decline in market trading sentiment [1][15] - The market recovery during the week was primarily driven by micro-cap and small-cap stocks, while large-cap and mid-cap stocks saw decreased trading activity [1][15] - Regulatory authorities are expected to propose specific quantitative requirements for the price-to-book ratio of relevant central enterprise listed companies [1][15] Group 3 - The report suggests a cautious approach in the short term, recommending a focus on defensive sectors with low volatility or areas with independent growth potential, such as AI applications, while advising to reduce positions ahead of new policy catalysts [1][15] - The report highlights that the current policy focus is primarily on debt reduction and real estate, with other policies, especially those aimed at expanding domestic demand, entering a waiting period [1][15] - Upcoming key events to watch include the U.S. ISM Manufacturing PMI on December 2 and the U.S. non-farm payroll changes and unemployment rate on December 6, which could influence overseas liquidity [1][42]

Economic Indicators - China's manufacturing PMI for November 2024 is 50.3%, up from 50.1% in the previous month[1] - Non-manufacturing PMI stands at 50.0%, slightly down from 50.2%[1] - The new orders index has risen into the expansion zone for the first time since May 2024, indicating improved demand[1] Market Performance - Average daily trading volume in A-shares for the week of November 25-29 is 15,230.85 billion CNY, a decrease of 1,833.54 billion CNY from the previous week[1] - Market activity is primarily driven by micro-cap and small-cap stocks, while large-cap and mid-cap stocks show decreased trading activity[1] Policy and Outlook - Regulatory authorities plan to set clear quantitative requirements for state-owned enterprises' price-to-book ratios[1] - Current policy focus is on debt reduction and real estate, with a waiting period for new demand expansion policies until the Central Economic Work Conference in early December[1] Investment Strategy - Short-term market is expected to continue a volatile trend; investors are advised to focus on defensive sectors with low volatility and independent growth areas like AI applications[1] - It is recommended to moderately reduce positions ahead of new policy catalysts[1]

Investment Rating - The report does not explicitly provide an investment rating for the industry [1]. Core Insights - The annualized yield for cash management products over the past week is 1.66%, remaining stable compared to the previous week [1][15]. - The annualized yield for money market funds increased by 1 basis point to 1.51%, narrowing the yield gap with cash management products to 15 basis points [1][15]. - The annualized yield for non-cash fixed income products over the past month is 2.37%, down 5 basis points from the previous week [1][15]. - The annualized yield for closed fixed income products with a maturity of 6-12 months is 3.30%, a decrease of 12 basis points [1][15]. - The annualized yield for closed fixed income products with a maturity of 1-3 years is 3.55%, down 21 basis points from the previous week [1][15]. - The total scale of maturing products from wealth management companies is 245.882 billion, with an average compliance rate of 59%, which is an increase of 11 percentage points from the previous week [1][22]. Summary by Sections Cash Management Products - As of November 24, 2024, the annualized yield for cash management products over the past week is 1.66%, unchanged from the previous week [1][15]. - The yield for money market funds is 1.51%, which is an increase of 1 basis point, resulting in a yield gap of 15 basis points with cash management products [1][15]. Performance Review of Wealth Management Products - The annualized yield for non-cash fixed income products over the past month is 2.37%, which is a decline of 5 basis points [1][15]. - The annualized yield for closed fixed income products with a maturity of 6-12 months is 3.30%, down 12 basis points [1][15]. - The annualized yield for closed fixed income products with a maturity of 1-3 years is 3.55%, a decrease of 21 basis points [1][15]. Maturity and Compliance Status - From November 18 to November 24, 2024, the total scale of maturing products is 245.882 billion, with an average compliance rate of 59%, which is an increase of 11 percentage points from the previous week [1][22]. - Companies achieving a 100% compliance rate include BOC Wealth Management, Schroder Jiao Yin Wealth Management, and BlackRock Jianxin Wealth Management [1][22].

Investment Rating - The report does not explicitly provide an investment rating for the industry [1]. Core Insights - The annualized yield for closed-end fixed-income wealth management products for 1-3 years is 3.55%, showing a downward trend [1][21]. - Cash management products have a 7-day annualized yield of 1.66%, remaining stable compared to the previous week [1][15]. - The average compliance rate for wealth management companies' maturing products is 59%, which is an increase of 11 percentage points from the previous week [1][22]. Summary by Sections 1. Cash Management Products - The 7-day annualized yield for cash management products is 1.66%, unchanged from the previous week, while the yield for money market funds increased by 1 basis point to 1.51%, narrowing the yield gap to 15 basis points [1][15]. 2. Performance Review of Wealth Management Products - The 1-month annualized yield for daily open fixed-income non-cash wealth management products is 2.37%, down 5 basis points from the previous week [1][21]. - The 6-12 month closed-end fixed-income products have a 6-month annualized yield of 3.30%, down 12 basis points [1][21]. - The 1-3 year closed-end fixed-income products have a 1-year annualized yield of 3.55%, down 21 basis points [1][21]. 3. Maturity and Compliance Status - As of November 24, 2024, the scale of maturing products from wealth management companies is 245.882 billion, with an average compliance rate of 59%, up 11 percentage points from the previous week [1][22]. - Companies achieving a 100% compliance rate include BOC Wealth Management, Schroder Jiao Yin Wealth Management, and BlackRock Jianxin Wealth Management [1][22].

Macro Insights - The report indicates a clear shift in policy expectations, with counter-cyclical policies being further intensified. Since November, policies have been enhanced regarding local government debt and real estate optimization, with a total of 10 trillion yuan in debt resources added to alleviate local debt pressure [10][12][19] - Economic indicators show signs of stabilization, with improvements in consumption and real estate sales data, although corporate recovery remains slower compared to consumer recovery [10][12][14] Industry Insights Steel Industry - Steel exports have continued to grow significantly, with October steel production reaching 81.88 million tons, a year-on-year increase of 2.9% [25][29] - The average profit margin for steel mills rebounded sharply in October, rising from 9.74% in September to 62.12%, indicating a strong recovery in profitability [35] - The report anticipates that steel prices may experience fluctuations in November, with a slight downward adjustment expected due to seasonal demand changes [25][29] New Materials - The magnesium and titanium new materials sector has seen a decline in downstream demand, leading to a general price decrease across the industry [39][40] - The report highlights that while magnesium alloy companies have seen revenue growth, profit margins have slightly declined, indicating a mixed performance in the sector [39][40] New Energy - The new energy vehicle market has shown robust growth, with October sales of new energy vehicles increasing by 49.6% year-on-year, driven by the continued implementation of trade-in policies [46][47] - The report forecasts that the demand for new energy vehicles will remain strong, with expectations of reaching 12 million units sold in 2024 [54][55] Information Technology - The AI software sector is experiencing significant growth, with companies like Applovin seeing a 66% year-on-year increase in revenue, driven by AI-driven advertising technology [60][61] - The report notes that the domestic data center market is recovering, with increased demand for AI-driven solutions expected to sustain growth in the sector [63][64] Enterprise Financing - The report discusses liquidity management, noting that the yield spread between cash management products and money market funds has narrowed significantly, indicating a shift in investment preferences [70][73] - Current deposit rates among major banks remain stable, with a slight variation in rates offered by different banks [72][80] Appendix - The report includes a summary of recent macroeconomic policies and events, highlighting key measures taken to support economic recovery and stimulate demand across various sectors [87][90]

Investment Rating - The report maintains a "Recommended" investment rating for the industry [4]. Core Insights - The report highlights strong support for the growth of the new energy vehicle (NEV) industry due to favorable government policies, including a total subsidy of 9.89 billion yuan for the automotive sector [2][111]. - The NEV market is experiencing rapid growth, with production and sales in October 2024 reaching 1.463 million and 1.43 million units, respectively, marking year-on-year increases of 48% and 49.6% [2][107]. - The overall industry outlook remains positive, with a focus on monitoring upstream raw material prices and monthly sales trends [2]. Summary by Sections 1. Industry Weekly Data Tracking 1.1. Upstream Materials - The average price of industrial-grade lithium carbonate is 78,500 yuan/ton, down 1.26% from the previous week, while battery-grade lithium carbonate averages 81,000 yuan/ton, down 1.22% [56][57]. - Lithium hydroxide prices remain stable, with battery-grade prices averaging 68,500 yuan/ton [63][64]. 1.2. Midstream Materials - Prices for ternary materials are stable, with 523 single crystal materials priced at 109,200 yuan/ton and 622 polycrystalline materials at 107,500 yuan/ton [69]. - The reference price for anode materials is 32,378 yuan/ton, remaining unchanged from the previous week [78]. 1.3. Downstream Cells - The average price for square power cells (ternary) is 0.46 yuan/Wh, while for lithium iron phosphate cells, it is 0.37 yuan/Wh, both stable compared to the previous week [102]. 2. Recent News Events - The Ministry of Finance has announced early distribution of 2025 energy-saving and emission reduction subsidy funds, totaling 9.89 billion yuan, to support NEV development [110][111]. - The list of candidates for the exploration rights of a super-large lithium mine in Sichuan has been released, indicating potential acceleration in lithium mining development [112].

Quantitative Models and Construction Methods 1. Model Name: Evergreen Low-Volatility Fund Portfolio - **Model Construction Idea**: The strategy aims to select actively managed equity funds with long-term stable return characteristics, focusing on funds that exhibit low volatility and defensive attributes, suitable for risk-averse investors seeking stable returns[12][22] - **Model Construction Process**: - Historical net value drawdown and volatility levels are used to reflect the investment style and risk control ability of fund managers - These characteristics are tested for continuity, showing significant persistence in maximum drawdown and volatility indicators - Additional constraints on fund valuation levels are applied - Funds are selected based on net value performance and holding characteristics to construct a low-volatility equity fund portfolio[12] - **Model Evaluation**: The model demonstrates strong defensive capabilities while maintaining some offensive potential, making it suitable for low-risk preference investors[22] 2. Model Name: Equity-Enhanced Fund Portfolio - **Model Construction Idea**: This strategy targets higher alpha returns by selecting funds with strong stock-picking capabilities and balancing industry exposure, providing a more aggressive option for high-risk investors[13][24] - **Model Construction Process**: - Analyze fund return sources by decomposing returns into industry allocation beta and stock-picking alpha - Identify funds with significant alpha returns after removing beta contributions - Construct a portfolio of funds managed by fund managers with strong stock-picking capabilities[13] - **Model Evaluation**: The model shows potential for higher elasticity in improved market conditions, with balanced style exposure and strong fund manager capabilities[24] 3. Model Name: Cash Increment Fund Portfolio - **Model Construction Idea**: This strategy focuses on optimizing cash management by selecting money market funds with superior return characteristics while minimizing yield volatility risks[15][25] - **Model Construction Process**: - Evaluate multiple factors, including management fees, duration, leverage levels, institutional holdings, and deviation risks - Construct a scoring and risk-filtering system to select high-performing money market funds[15] - **Model Evaluation**: The model consistently outperforms its benchmark, providing effective tools for cash management[25] 4. Model Name: Overseas Equity Allocation Fund Portfolio - **Model Construction Idea**: This strategy leverages global equity indices' momentum and reversal effects to select QDII funds, enabling investors to diversify globally[16][28] - **Model Construction Process**: - Screen global equity indices based on long-term momentum and short-term reversal factors - Exclude overbought indices with excessive gains - Select indices with upward trends and strong momentum for portfolio inclusion[16] - **Model Evaluation**: The model provides effective tools for global diversification, with potential for enhanced returns through AI-driven technology growth and valuation recovery[28] --- Model Backtesting Results 1. Evergreen Low-Volatility Fund Portfolio - Weekly Return: -1.340% - Monthly Return: -1.933% - YTD Return: 9.781% - Since Inception: 4.667%[20][22] 2. Equity-Enhanced Fund Portfolio - Weekly Return: -1.696% - Monthly Return: -0.965% - YTD Return: 5.475% - Since Inception: 5.475%[20][24] 3. Cash Increment Fund Portfolio - Weekly Return: 0.033% - Monthly Return: 0.152% - YTD Return: 1.774% - Since Inception: 2.680%[20][25] 4. Overseas Equity Allocation Fund Portfolio - Weekly Return: -0.701% - Monthly Return: -0.704% - YTD Return: 16.313% - Since Inception: 22.409%[20][28]

Investment Rating - The industry investment rating is "Recommended (Maintain)" [5] Core Viewpoints - The magnesium industry is experiencing a decline in magnesium ingot prices, with downstream demand, except for the automotive sector, showing a decrease [1][2] - The production of raw magnesium in China increased to 81,759 tons in October, a 6.29% rise from the previous month, while the average price of magnesium ingots decreased by 1.1% to 19,361.67 yuan per ton [1][12] - The automotive sector, particularly passenger and new energy vehicles, is seeing an increase in production, with total automotive production reaching 2,996,369 units in October, up 7.16% month-on-month [2][12] Summary by Relevant Sections 1. Monthly Data Changes in the Magnesium Industry - The main price of raw coal in Shaanxi rose to 1,028.95 yuan per ton, a 10.36% increase [12] - The production cost of raw coal in China increased to 1,367.63 yuan per ton, up 4.97% [12] - The production of silicon iron rose to 503,725 tons, a 9.26% increase [12] 2. Monthly Data Trends in the Magnesium Industry - The price of magnesium alloys in Jiangsu, Shaanxi, and Shanxi decreased by 1.63%, 1.7%, and 1.7% respectively [2][12] - The production of magnesium powder decreased to 8,094 tons, a 1.44% decline [2][12] - The export of magnesium products increased by 19.06% to 366.18 tons [2][12] 3. Policy and Development Initiatives - Anhui Province issued a plan to promote the high-quality development of the magnesium-based materials industry, aiming to establish itself as a leading production and application base by 2027, with a target industry scale exceeding 50 billion yuan [3][12]