金融工程 | 专题报告 时点风险模型 ——因子选股系列之一一三 杨怡玲 yangyiling@orientsec.com.cn 执业证书编号：S0860523040002 研究结论 研究动机 2024 年 9 月科技板块因政策变化引发的超预期反弹，暴露了传统指数增强模型在应对突 发性外部风险时的重大缺陷。此类事件驱动型风险具有瞬时性、高波动特征，而传统 Barra 类风险模型依赖缓慢衰减的风格因子进行风控，难以及时捕捉突发风险的短期集聚 效应，导致组合在极端市场环境下出现历史性回撤。基于此，本研究提出时点风险因 子，旨在解决突变型风险对组合的冲击问题。 时点风险因子 针对外部风险事件的突发性，我们创新性提出"时点风险因子"来刻画这种时点的风 险，风险具有集聚性，因此当天高风险的来源在未来短期内仍然是市场的高风险来源， 因此可以依靠这种风险的集聚效应去控制组合的时点风险从而起到对外部事件降波的作 用。 我们通过监测中证全指指数的振幅与成交额突破阈值（5 日均值+1 倍标准差）的突变时 点，以个股当日涨跌幅构建风险因子。当日个股涨跌幅是当日的隐式风险共同作用"定 价"后的结果，这一设计本质上是将政策冲击、流动性突 ...

Investment Rating - The investment rating for the company is "Buy" (maintained) with a target price of 74.29 CNY [1][6] Core Views - The company's performance has been impacted by market conditions and asset impairment, with a reported revenue of 182 billion CNY for 2024, a year-on-year increase of 3.8%, and a net profit attributable to shareholders of 13 billion CNY, down 22.5% year-on-year. For Q1 2025, revenue was 430.68 billion CNY, a decline of 6.7% year-on-year, with a net profit of 30.8 billion CNY, down 25.9% year-on-year. The decline is primarily due to significant price drops in key products such as pure MDI, TDI, and polyether, while raw material prices like pure benzene and LPG fell less sharply, leading to an overall decrease in gross margin [5][10] Financial Performance Summary - The company reported the following financial metrics: - 2023 Revenue: 175.36 billion CNY, with a growth of 5.9% - 2024 Revenue: 182.07 billion CNY, with a growth of 3.8% - 2025 Estimated Revenue: 210.05 billion CNY, with a growth of 15.4% - 2024 Net Profit: 13.03 billion CNY, down 22.5% - 2025 Estimated Net Profit: 13.73 billion CNY, with a growth of 5.3% - 2025 Estimated EPS: 4.37 CNY [8][6] Market Conditions and Strategic Insights - The company is experiencing a decline in capital expenditure intensity, with fixed assets increasing by 20 billion CNY in 2024 and a further increase of 18.6 billion CNY in Q1 2025, primarily from the Fujian base and Penglai project. The second phase of the ethylene project is expected to impact profits mainly in Q2 [10] - The company faces pressure from trade disputes, particularly from changes in US tariffs affecting global economic uncertainty and raw material prices. Despite having long-term strategic partners in the Middle East, short-term cost pressures are anticipated [10]

Investment Rating - The investment rating for the company has been upgraded to "Buy" due to the significant recovery in the vitamin industry and the company's strong performance as a leading enterprise in the sector [2][5]. Core Views - The company reported a substantial increase in performance, with a revenue of 21.61 billion yuan in 2024, representing a year-on-year growth of 42.95%. The net profit attributable to the parent company reached 5.87 billion yuan, a year-on-year increase of 117.01%. This growth is primarily driven by the recovery in the vitamin A and E markets, which led to a notable increase in product prices and an improvement in the gross margin of the nutrition products segment to 43.18%, up 13.27 percentage points from 2023 [8]. - The vitamin production in China has been steadily increasing, accounting for approximately 86% of the total output by 2024. The decline in production from overseas companies due to various factors has contributed to the recovery of the vitamin industry, benefiting leading companies like this one [8]. - The company is pursuing new projects in collaboration with upstream petrochemical companies, such as the methionine project and nylon new materials project, which are expected to drive sustainable growth [8]. Financial Information Summary - Revenue (million yuan): 2023A: 15,117; 2024A: 21,610; 2025E: 23,641; 2026E: 24,826; 2027E: 26,496 [4] - Year-on-year growth in revenue: 2024A: 43.0%; 2025E: 9.4%; 2026E: 5.0%; 2027E: 6.7% [4] - Net profit attributable to the parent company (million yuan): 2023A: 2,704; 2024A: 5,869; 2025E: 6,271; 2026E: 6,295; 2027E: 6,957 [4] - Earnings per share (yuan): 2023A: 0.88; 2024A: 1.91; 2025E: 2.04; 2026E: 2.05; 2027E: 2.26 [4] - Target price set at 28.56 yuan based on a 14x average PE ratio of comparable companies [2].

Investment Rating - The report maintains a "Buy" rating for the company [2][4][9]. Core Views - The company is expected to continue benefiting from national subsidy policies, leading to a stable double-digit growth trend in revenue [8]. - The revenue forecast for 2025-2027 is adjusted to 1,259.14 billion, 1,332.35 billion, and 1,389.11 billion yuan respectively, with net profit estimates of 47.8 billion, 50.4 billion, and 52.7 billion yuan [2][9]. - The target price for the company's stock is set at 205.93 HKD, based on a valuation of 609.4 billion yuan [2][4][9]. Financial Information - The company’s revenue for 2023 is reported at 1,084.66 billion yuan, with a year-on-year growth of 3.67% [2]. - The projected revenue growth rates for the upcoming years are 6.84% in 2024, 8.66% in 2025, 5.81% in 2026, and 4.26% in 2027 [2]. - The net profit for 2023 is 24.17 billion yuan, with a significant year-on-year increase of 132.82% [2]. - The earnings per share (EPS) are forecasted to be 7.62 yuan in 2023, increasing to 16.50 yuan by 2027 [2]. - The gross margin is expected to improve from 14.7% in 2023 to 16.0% in 2025 and remain stable thereafter [2]. Segment Performance - The retail segment is projected to achieve revenue of 2,535.7 billion yuan in Q1 2025, reflecting an 11.8% growth [8]. - The logistics segment is expected to generate revenue of 463.2 billion yuan in Q1 2025, with a growth rate of 9.9% [8]. - New business initiatives are anticipated to generate 54.6 billion yuan in revenue for Q1 2025, although they are expected to incur losses [8].

Quantitative Models and Construction Methods - **Model Name**: Theoretical Pricing Model for Stock Index Futures **Model Construction Idea**: This model calculates the theoretical price of stock index futures by considering the impact of dividends, risk-free interest rates, and the time to maturity. It assumes no arbitrage conditions in the market[34][35] **Model Construction Process**: 1. **Discrete Dividend Distribution**: - Assume the futures price at time \( t \) is \( F_t \), the spot price is \( S_t \), the maturity date is \( T \), and the present value of dividends during \( T-t \) is \( D \). The risk-free rate over \( T-t \) is \( r \). - If there are \( m \) dividend payments at times \( t_1, t_2, ..., t_m \), with amounts \( D_1, D_2, ..., D_m \), the present value of dividends is: $$ \mathbf{D} = \sum_{\mathrm{i=1}}^{\mathrm{m}} \mathbf{D}_{\mathrm{i}} / (1 + \phi) $$ Here, \( \phi \) represents the risk-free rate between two dividend payments. - The theoretical futures price is: $$ F_t = (S_t - D)(1 + r) $$ 2. **Continuous Dividend Distribution**: - When dividends are distributed continuously, the theoretical futures price is: $$ F_t = S_t e^{(r-d)(T-t)} $$ Here, \( d \) is the annualized dividend yield, and \( r \) is the annualized risk-free rate[34][35] Quantitative Factors and Construction Methods - **Factor Name**: Dividend Impact Factor **Factor Construction Idea**: This factor estimates the impact of dividends on stock index futures by predicting the dividend payout of index constituents and their contribution to the index[22][25] **Factor Construction Process**: 1. **Estimate Net Profit**: Use annual reports, earnings forecasts, and other financial data to estimate the net profit of index constituents[25][26] 2. **Calculate Total Dividend**: Assume the dividend payout ratio remains constant. For companies without prior dividends, assume no dividends. For companies with negative profits, set the dividend ratio to zero[29] 3. **Calculate Dividend Impact on Index**: - Dividend Yield = Total Dividend / Latest Market Value - Dividend Impact on Index = Stock Weight × Dividend Yield - Adjust stock weights based on price changes using the formula: $$ \mathrm{w_{it} = \frac{w_{i0} \times (1+R)}{\sum_{1}^{n} w_{i0} \times (1+R)}} $$ Here, \( w_{i0} \) is the initial weight, and \( R \) is the price change[27] 4. **Predict Impact on Futures Contracts**: Aggregate the dividend impact for all constituents before the contract's expiration date[31] Backtesting Results of Models - **Theoretical Pricing Model**: - For the May contracts of major indices, the annualized hedging costs (excluding dividends) are: - CSI 300: 9.63% - CSI 500: 17.67% - CSI 1000: 19.08%[10][11][12] Backtesting Results of Factors - **Dividend Impact Factor**: - Remaining dividend impact on May contracts: - SSE 50: 0.00% - CSI 300: 0.20% - CSI 500: 0.07% - CSI 1000: 0.14%[13]

Investment Rating - The report maintains a "Buy" rating for the company [4][9]. Core Views - The company is expected to continue benefiting from national subsidy policies, leading to a stable double-digit growth trend in revenue [8]. - The revenue forecast for 2025-2027 is adjusted to 1,259.14 billion, 1,332.35 billion, and 1,389.12 billion yuan respectively, with net profit estimates of 47.8 billion, 50.4 billion, and 52.7 billion yuan [2][9]. - The target price is set at 205.93 HKD per share, based on a valuation of 609.4 billion yuan [2][9]. Financial Information - The company’s revenue for 2023 is reported at 1,084.66 billion yuan, with a year-on-year growth of 3.67% [2]. - The projected revenue growth rates for the upcoming years are 6.84% in 2024, 8.66% in 2025, 5.81% in 2026, and 4.26% in 2027 [2]. - The net profit for 2023 is 24.17 billion yuan, with a significant year-on-year increase of 132.82% [2]. - The earnings per share (EPS) are expected to rise from 7.62 yuan in 2023 to 16.50 yuan by 2027 [2]. Segment Performance - The retail segment is projected to achieve revenue of 2,535.7 billion yuan in Q1 2025, reflecting an 11.8% increase [8]. - The logistics segment is expected to generate revenue of 463.2 billion yuan in Q1 2025, with a growth rate of 9.9% [8]. - New business initiatives are anticipated to generate 54.6 billion yuan in revenue for Q1 2025, although they are expected to incur losses [8].

Investment Rating - The report maintains a "Buy" rating for Alibaba Group [3][10]. Core Views - Alibaba Cloud's ecosystem is continuously improving, with accelerated deployment of AI agents. Revenue forecasts for FY2025-2027 are projected at 10027, 10542, and 11445 million yuan, respectively, with adjusted net profits of 1571, 1638, and 1809 million yuan [2][10]. - The company's market capitalization is estimated at 27957 million yuan, corresponding to a per-share value of 157.65 HKD [8][21]. Financial Performance Summary - For FY2025, total revenue is expected to reach 1002754 million yuan, reflecting a year-over-year growth of 6.54%. The adjusted net profit is projected at 132049 million yuan, with a significant increase of 65.60% compared to the previous year [9][11]. - The report highlights a steady increase in operating profit, with a forecast of 133751 million yuan for FY2025, representing an 18.00% growth [9][11]. Business Segment Analysis - **Taobao Group**: Revenue is expected to be 446799 million yuan in FY2025, with a year-over-year growth of 2.74% [11][21]. - **Cloud Intelligence Group**: Anticipated to experience a high growth cycle due to increased domestic AI computing demand, with a projected market value of 8500 million yuan [13][21]. - **International Digital Commerce Group**: Currently in an expansion phase, projected to have a market value of 1691 million yuan based on a PS valuation method [15][21]. - **Cainiao Group**: Expected to achieve a market value of 121 billion yuan, reflecting a stable profitability trend [17][21]. - **Local Life Group**: Valued at 1510 million yuan, utilizing a PS valuation method due to its current lack of profitability [19][21]. - **Entertainment Group**: Estimated market value of 449 million yuan, based on a PS valuation of its subsidiaries [20][21].

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 26.50 CNY based on a 25x PE valuation for 2025 [2][5][11]. Core Insights - The company is expected to achieve robust revenue growth, with projected revenues of 54,491 million CNY in 2023, increasing to 143,201 million CNY by 2027, reflecting a compound annual growth rate (CAGR) of 21.5% [4][10]. - The net profit attributable to the parent company is forecasted to grow from 3,021 million CNY in 2023 to 8,890 million CNY in 2027, with a significant increase of 46.3% in 2025 [4][10]. - The company has shown strong performance in Q1 2024, with a revenue of 170 million CNY, a 10% year-on-year increase, and a net profit of 4.3 million CNY, up 39% year-on-year [10]. Financial Summary - Revenue projections for 2025, 2026, and 2027 are 93,978 million CNY, 117,906 million CNY, and 143,201 million CNY respectively, with year-on-year growth rates of 34.5%, 25.5%, and 21.5% [4][10]. - The company's gross margin is expected to slightly decline from 16.6% in 2023 to 15.1% in 2027, while the net profit margin is projected to improve from 5.5% to 6.2% over the same period [4][10]. - The return on equity (ROE) is anticipated to rise from 6.7% in 2023 to 13.6% in 2027, indicating improved profitability and efficiency [4][10]. Business Performance - The company has successfully integrated vertically, enhancing its global production capacity to ensure supply security, with significant revenue contributions from smartphone and computer-related businesses [10]. - The company is expanding into new growth areas such as AI glasses, humanoid robots, and AIPC, collaborating with leading brands to drive future revenue growth [10].

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 22.88 CNY, based on a projected 13x PE for 2025 [4][5]. Core Views - The company is expected to see continuous improvement in performance due to sustained high demand in the mining sector, particularly in phosphate and specialty chemicals, despite some cyclical pressures in other segments [2][4]. - The company’s phosphate mining segment has shown significant growth, contributing to an overall improvement in financial performance, with a projected net profit of 1.943 billion CNY for 2025, reflecting a 21.4% year-on-year increase [10]. - The company possesses substantial phosphate resource reserves, estimated at approximately 395 million tons, which supports its long-term growth and cost advantages [10]. Financial Performance Summary - The company reported a revenue of 28.281 billion CNY in 2023, with a slight increase to 28.396 billion CNY in 2024, and projected revenues of 28.488 billion CNY, 29.853 billion CNY, and 31.249 billion CNY for 2025, 2026, and 2027 respectively [8][12]. - The gross profit margin is expected to improve from 16.2% in 2023 to 22.0% by 2027, indicating enhanced profitability [8][12]. - The net profit margin is projected to increase from 5.0% in 2023 to 7.6% in 2027, reflecting better operational efficiency [8][12]. Segment Analysis - The phosphate mining segment is anticipated to contribute significantly to revenue, with a 100% year-on-year increase in income for 2024, and a gross margin of 74.28% [10]. - The organic silicon segment is currently facing challenges but is expected to recover as the industry stabilizes and production cuts are implemented [10].

Investment Rating - The report maintains a positive outlook on the e-commerce industry, recommending a "Buy" rating for key players such as Alibaba, JD Group, Pinduoduo, and Kuaishou [3][4]. Core Insights - The report highlights a significant recovery in consumer sentiment, with March 2025 retail sales reaching 40,940 billion yuan, a year-on-year increase of 5.9%, and a month-on-month increase of 1.9 percentage points [2][9]. - Various consumption stimulus policies have been implemented since February 2025, leading to a notable release of consumer potential, particularly in urban areas where retail sales growth outpaced rural areas [6][9]. - The online retail sector continues to show improvement, with a year-on-year growth of 6.9% in March 2025, indicating a sustained upward trend in e-commerce [6][17]. Summary by Sections Retail Sales Data - March retail sales data indicates a total of 40,940 billion yuan, with a 5.9% year-on-year growth and a 1.9 percentage point increase from the previous month, surpassing expectations [2][12]. - Urban retail sales grew by 6.0% year-on-year, while rural sales increased by 5.3%, reflecting the effectiveness of stimulus policies [6][19]. Online Retail Performance - Online retail sales of physical goods reached 29,948 billion yuan in March, with a year-on-year growth of 5.7% and an increase in market penetration to 24.0% of total retail sales [17][26]. - The growth in online retail is supported by a 20.3% increase in express delivery volume, indicating robust e-commerce activity [26][30]. Category Performance - Essential categories such as tobacco, grain and oil, and daily necessities saw significant growth, with year-on-year increases of 8.5%, 13.8%, and 8.8% respectively [34]. - In the discretionary spending category, home appliances and furniture experienced remarkable growth rates of 35.1% and 29.5% year-on-year, driven by favorable policies and market conditions [41][49].