Investment Rating - The report maintains a "Positive" investment rating for the paper and light industry sector [6]. Core Insights - The light manufacturing industry index increased by 2.18%, outperforming the market by 1.30 percentage points, with the paper sub-sector rising by 1.78%, also surpassing the market by 0.90 percentage points [2][12]. - The report highlights that the cultural paper sector is entering an off-peak season, leading to a decline in pulp prices, while recommending leading companies in the integrated pulp and paper industry [4]. Summary by Sections Market Overview - The light manufacturing industry index rose by 2.18%, ranking 8th among 28 first-level industries, with the paper sub-sector increasing by 1.78% [2][12]. - The four major sub-sectors of light manufacturing, ranked by growth, are entertainment products, furniture, paper, and packaging printing, with respective increases of 5.51%, 2.03%, 1.78%, and 1.21% [12][18]. Industry Data Tracking - The report notes that the national waste paper price increased slightly by 4 CNY/ton, while the prices of various pulp types remained stable or decreased [9][24]. - The average market price for finished paper remained stable, with specific increases noted for white cardboard, which rose by 16 CNY/ton to 4095 CNY/ton [37][41]. Profitability Analysis - Profitability levels for finished paper products showed differentiation, with small paper companies experiencing increases in profitability, while larger companies faced declines [46][49]. - For instance, small enterprises in double glue paper saw an increase of 17 CNY/ton, while large enterprises experienced a decrease of 10 CNY/ton [46][51]. Production and Trade Data - The cumulative production of mechanical paper and paperboard from January to April 2025 reached 51.57 million tons, reflecting a year-on-year growth of 3.3% [55][56]. - Import volumes for paper and paperboard decreased by 10.5% year-on-year, while export volumes increased by 11.1% during the same period [55][58].

有色、钢铁行业 行业研究 | 行业周报 重视稀土产业链的供给侧逻辑 ——有色钢铁行业周观点（2025 年第 23 周） 核心观点 投资建议与投资标的 风险提示 国内宏观经济增速放缓；美国通胀增速放缓；原材料价格波动 国家/地区 中国 行业 有色、钢铁行业 报告发布日期 2025 年 06 月 08 日 看好（维持） 刘洋 021-63325888*6084 liuyang3@orientsec.com.cn 执业证书编号：S0860520010002 香港证监会牌照：BTB487 | 美债危机叠加关税冲击，关注黄金板块的 | 2025-06-03 | | --- | --- | | 投 资 机 会 ： — — 有 色 钢 铁 行 业 周 观 点 | | | （2025 年第 22 周） | | | 积极关注稀土等战略金属板块的投资机 | 2025-05-18 | | 会：——有色钢铁行业周观点（2025 年第 | | | 20 周） | | | 铁矿价格出现明显松动，继续关注钢铁板 | 2025-05-11 | | 块的投资机会：——有色钢铁行业周观点 | | | （2025 年第 19 周） | | 有关分 ...

Quantitative Models and Factor Construction Quantitative Models and Construction Methods - **Model Name**: MFE (Maximized Factor Exposure) Portfolio - **Model Construction Idea**: The MFE portfolio is designed to maximize single-factor exposure while controlling for constraints such as industry exposure, style exposure, stock weight deviation, and turnover rate[61][62][65] - **Model Construction Process**: The optimization model is as follows: ``` $\begin{array}{ll} max & f^{T}w \\ s.t. & s_{l}\leq X(w-w_{b})\leq s_{h} \\ & h_{l}\leq H(w-w_{b})\leq h_{h} \\ & w_{l}\leq w-w_{b}\leq w_{h} \\ & b_{l}\leq B_{b}w\leq b_{h} \\ & 0\leq w\leq l \\ & 1^{T}w=1 \\ & \Sigma|w-w_{0}|\leq to_{h} \end{array}$ ``` - **Objective Function**: Maximize single-factor exposure, where $f$ represents factor values, and $w$ is the weight vector of stocks in the portfolio - **Constraints**: 1. Style exposure limits: $X$ is the factor exposure matrix, $w_b$ is the benchmark weight vector, $s_l$ and $s_h$ are the lower and upper bounds for style exposure[64] 2. Industry exposure limits: $H$ is the industry exposure matrix, $h_l$ and $h_h$ are the lower and upper bounds for industry exposure[64] 3. Stock weight deviation limits: $w_l$ and $w_h$ are the lower and upper bounds for stock weight deviation[64] 4. Component stock weight limits: $B_b$ is a 0-1 vector indicating whether a stock belongs to the benchmark, $b_l$ and $b_h$ are the lower and upper bounds for component stock weights[64] 5. No short selling and individual stock weight limits[64] 6. Full investment constraint: The sum of weights equals 1[64] 7. Turnover rate constraint: $w_0$ is the previous period's weight, and $to_h$ is the turnover rate upper limit[64] - **Model Evaluation**: The MFE portfolio effectively isolates single-factor performance under realistic constraints, making it a robust tool for factor effectiveness testing[61][65] Model Backtesting Results - **MFE Portfolio Backtesting**: - The MFE portfolio is constructed monthly, and its historical returns are calculated after deducting a 0.3% transaction fee. The results are used to evaluate the effectiveness of factors in specific benchmark indices[65] --- Quantitative Factors and Construction Methods - **Factor Name**: DELTAROE - **Factor Construction Idea**: Measures the change in return on equity (ROE) over a specific period to capture profitability trends[14][19] - **Factor Construction Process**: - Formula: $\text{DELTAROE} = \text{ROE}_{\text{current}} - \text{ROE}_{\text{previous}}$ - Where ROE is calculated as net income divided by average equity[19] - **Factor Evaluation**: DELTAROE is a strong indicator of profitability improvement and has shown consistent positive performance across multiple indices[6][45][49] - **Factor Name**: Standardized Unexpected Earnings (SUE) - **Factor Construction Idea**: Captures the deviation of actual earnings from analyst expectations, standardized by the standard deviation of forecast errors[19] - **Factor Construction Process**: - Formula: $\text{SUE} = \frac{\text{Actual Earnings} - \text{Expected Earnings}}{\text{Standard Deviation of Forecast Errors}}$[19] - **Factor Evaluation**: SUE effectively identifies stocks with unexpected earnings surprises, often leading to significant price movements[6][25][45] - **Factor Name**: Trend - **Factor Construction Idea**: Measures price momentum using exponentially weighted moving averages (EWMA) with different half-lives[14] - **Factor Construction Process**: - Formula: $\text{Trend}_{120} = \frac{\text{EWMA (half-life=20)}}{\text{EWMA (half-life=120)}}$ - Formula: $\text{Trend}_{240} = \frac{\text{EWMA (half-life=20)}}{\text{EWMA (half-life=240)}}$[14] - **Factor Evaluation**: Trend factors capture momentum effects and have shown strong performance in recent weeks[9][11] --- Factor Backtesting Results - **DELTAROE**: - **Performance**: - CSI 300: Weekly return 0.41%, monthly return 1.59%[6][22] - CSI 500: Weekly return 0.95%, monthly return 1.19%[6][26] - CSI 800: Weekly return 1.08%, monthly return 1.62%[6][30] - CSI 1000: Weekly return 1.79%, monthly return 1.54%[6][34] - CSI All Share: Weekly return 1.84%, monthly return 2.41%[6][46] - **SUE**: - **Performance**: - CSI 300: Weekly return 0.30%, monthly return 1.53%[6][22] - CSI 500: Weekly return 1.20%, monthly return 1.59%[6][26] - CSI 800: Weekly return 0.34%, monthly return 0.98%[6][30] - CSI 1000: Weekly return 1.46%, monthly return 2.39%[6][34] - CSI All Share: Weekly return 0.96%, monthly return 1.14%[6][46] - **Trend**: - **Performance**: - Weekly return: 1.15%[9][11] - Monthly return: 4.58%[11] - Annualized return (1 year): 19.73%[11] - Annualized return (10 years): 13.98%[11]

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 110.24 CNY, based on an expected transition from loss to profit by 2025 [2][5]. Core Insights - The company is expected to achieve a significant reduction in quarterly losses, with a focus on expanding its smart driving business and acquiring new customers and products [1][9]. - Revenue and profit forecasts have been adjusted, with projected EPS for 2025-2027 at 0.21, 2.08, and 3.16 CNY respectively, indicating a positive growth trajectory [2][4]. Financial Performance Summary - **Revenue**: The company is projected to generate revenues of 4,678 million CNY in 2023, increasing to 10,206 million CNY by 2027, reflecting a compound annual growth rate (CAGR) of approximately 19.5% [4][12]. - **Net Profit**: The company is expected to transition from a net loss of 217 million CNY in 2023 to a net profit of 379 million CNY by 2027, with significant year-on-year growth rates [4][12]. - **Gross Margin**: The gross margin is expected to stabilize around 24.1% by 2027, after a slight decline in the earlier years due to market competition [4][9]. - **Earnings Per Share (EPS)**: EPS is projected to improve from -1.81 CNY in 2023 to 3.16 CNY in 2027, indicating a strong recovery [4][12]. Business Segment Insights - **Automotive Electronics**: The automotive electronics segment is anticipated to grow significantly, with revenues expected to reach 44.06 billion CNY in 2024, driven by new product launches and customer acquisitions [9]. - **R&D Services**: The R&D services and solutions segment is projected to see a decline in revenue in 2024 but is expected to recover as the company engages with overseas clients [9][12]. Valuation Comparison - The report compares the company's valuation with peers, indicating an average PE ratio of 53 times for comparable companies in 2026, suggesting a premium valuation for the company [2][10].

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 110.24 CNY, based on an expected transition from loss to profit by 2025 [2][5]. Core Insights - The company is expected to achieve a significant reduction in quarterly losses, with a focus on expanding its smart driving business and acquiring new customers and products [1][9]. - Revenue and profit forecasts have been adjusted, with projected EPS for 2025-2027 at 0.21, 2.08, and 3.16 CNY respectively, indicating a positive growth trajectory [2][4]. Financial Performance Summary - **Revenue**: Projected revenues are expected to grow from 4,678 million CNY in 2023 to 10,206 million CNY in 2027, reflecting a compound annual growth rate (CAGR) of approximately 19.5% [4][12]. - **Net Profit**: The company is forecasted to transition from a net loss of 217 million CNY in 2023 to a net profit of 379 million CNY by 2027, with significant year-on-year growth rates [4][12]. - **Gross Margin**: The gross margin is expected to stabilize around 24.1% by 2027, after a slight decline in the earlier years due to market competition [4][9]. - **Earnings Per Share (EPS)**: EPS is projected to improve from a loss of 1.81 CNY in 2023 to a profit of 3.16 CNY by 2027, indicating a strong recovery [4][12]. Business Segment Insights - **Automotive Electronics**: The automotive electronics segment is anticipated to grow significantly, with revenues expected to reach 44.06 billion CNY in 2024, driven by new product launches and customer acquisitions [9]. - **R&D Services**: The R&D services and solutions segment is projected to see a decline in revenue in 2024 but is expected to recover as overseas clients show increased interest in domestic supply chains [9][12].

造纸轻工行业 行业研究 | 行业周报 本周成品纸价格基本稳定 ——造纸产业链数据每周速递（2025/06/06） 核心观点 ⚫ 本周轻工制造行业指数上涨 2.18%，跑赢大盘 1.30pct；造纸子板块上涨 1.78%， 跑赢大盘 0.90pct。本周沪深 300 指数上涨 0.88%，轻工制造(申万)指数上涨 2.18%，跑赢大盘 1.30pct，在 28 个申万一级行业中位列第 8 位；二级行业中，造 纸子板块上涨 1.78%，跑赢大盘 0.90pct。本周轻工四大子板块按涨幅由大到小分别 为文娱用品、家具、造纸和包装印刷板块，分别上涨 5.51%、2.03%、1.78%、 1.21%。 产业链数据跟踪 投资建议与投资标的 ⚫ 文化纸步入行业淡季，浆纸价格下行，推荐林浆纸一体化行业龙头太阳纸业 (002078，买入)。同时建议关注特种纸领军企业仙鹤股份(603733，买入)，中高端 装饰原纸龙头华旺科技(605377，买入)以及食品包装纸细分龙头五洲特纸(605007， 增持)。废纸系纸种方面，展望 2025 年行业新增供给增速明显放缓，整体供需有望 逐步改善，推荐玖龙纸业(02689，买入)、山鹰国际( ...

金融工程 | 动态跟踪 ESG 基金规模突破 8200 亿，首只浮 动费率基金结募 风险提示 报告发布日期 2025 年 06 月 08 日 | | | 杨怡玲 | yangyiling@orientsec.com.cn | | --- | --- | --- | --- | | 研究结论 | | 1111111111 | 执业证书编号：S0860523040002 | | | | 陶文启 | taowenqi@orientsec.com.cn | | ⚫ | 基金市场热点跟踪：1. ESG 基金规模突破 8200 亿：随着全球绿色转型与可持续发 | | 执业证书编号：S0860524080003 | 多只信用债 ETF 纳入回购质押库申请获 批，多只北交所主题基金限购 2025-06-02 卡塔尔投资局受让华夏基金 10%股份，首 批新模式浮动管理费基金获批 2025-05-26 业内首只中证 A500 增强策略 ETF 成立， 近期货币基金密集限购 2025-05-18 有关分析师的申明，见本报告最后部分。其他重要信息披露见分析师申明之后部分，或请与您的投资代表联系。并请阅读本证券研究报告最后一页的免责申 ...

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 32.47 CNY, based on a projected 2025 PE of 17 times [3][6]. Core Insights - The company's revenue and profit are expected to grow significantly, with projected net profits for 2025, 2026, and 2027 at 828 million, 1.096 billion, and 1.438 billion CNY respectively, reflecting a substantial increase from previous estimates [3][10]. - The company is experiencing strong demand from key customers, which is anticipated to drive continued performance improvements [10]. Financial Performance Summary - Revenue is projected to grow from 2.6 billion CNY in 2023 to 10.363 billion CNY in 2027, with year-on-year growth rates of 87.0%, 62.5%, 42.0%, 33.6%, and 29.2% respectively [5][10]. - The gross margin is expected to remain stable, with slight fluctuations, projected at 27.6% in 2024 and 26.5% in 2027 [5][10]. - The net profit margin is forecasted to improve from 11.9% in 2023 to 13.9% in 2027, indicating enhanced profitability [5][10]. - The company plans to distribute a cash dividend of 1.5 CNY per 10 shares to all shareholders in 2024 [10]. Customer Demand and Capacity Expansion - The company is closely tied to leading domestic brands and new energy vehicle manufacturers, which are expected to see significant sales growth, thereby benefiting the company's performance [10]. - The company is actively expanding its production capacity to meet increasing orders, with plans to establish new production bases in various locations [10].

Investment Rating - The report maintains a "Buy" rating for the company with a target price of 32.47 CNY, based on a projected PE of 17 times for 2025 [3][6]. Core Views - The company's revenue and profit are expected to grow rapidly, with projected net profits for 2025-2027 at 828 million, 1.096 billion, and 1.438 billion CNY respectively, reflecting significant growth compared to previous estimates [3][10]. - Strong demand from core customers is anticipated to drive continued performance improvement, with major clients such as Seres, Li Auto, Geely, and Xpeng showing robust sales growth [10]. - The company is actively expanding its production capacity to meet increasing orders, with plans to establish production bases in multiple locations [10]. Financial Summary - Revenue is projected to grow from 2.6 billion CNY in 2023 to 10.363 billion CNY in 2027, with year-on-year growth rates of 87.0%, 62.5%, 42.0%, 33.6%, and 29.2% respectively [5][10]. - The gross margin is expected to remain stable, with slight fluctuations, projected at 27.6% in 2024 and around 26.5% in 2027 [5][10]. - The net profit margin is forecasted to improve from 11.9% in 2023 to approximately 13.9% in 2027, indicating enhanced profitability [5][10]. - The company plans to distribute a cash dividend of 1.5 CNY per 10 shares to all shareholders in 2024 [10].

- The report discusses the impact of dividends on stock index futures, specifically for the contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices [1][2][3][4] - The latest dividend forecast model predicts the dividend points for the June contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices to be 12.10, 16.30, 18.75, and 17.78, respectively [8][11] - The annualized hedging costs (excluding dividends, calculated on a 365-day basis) for the June contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices are 3.05%, 1.54%, 8.11%, and 14.77%, respectively [8][11] - The report provides detailed data on the closing prices, dividend points, actual spreads, and dividend-inclusive spreads for the June, July, September, and December contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices [2][3][4] - The remaining impact of dividends on the June contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices is 0.45%, 0.42%, 0.33%, and 0.29%, respectively [12][13][14][15][16] - The report outlines the process for predicting dividends, which includes estimating the net profit of constituent stocks, calculating the total pre-tax dividends for each stock, and determining the impact of dividends on the index and each contract [9][21][24][25][26][27][28][29][30] - The theoretical pricing model for stock index futures is provided, including formulas for both discrete and continuous dividend distributions [32][33] Model and Factor Construction - **Model Name**: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on stock index futures contracts by estimating the dividends of constituent stocks and calculating their effect on the index and futures contracts [9][21] - **Model Construction Process**: 1. Estimate the net profit of constituent stocks using available information such as annual reports, quick reports, warnings, and analyst forecasts [23][24] 2. Calculate the total pre-tax dividends for each stock based on the estimated net profit and historical dividend rates [25][28] 3. Determine the impact of dividends on the index by calculating the dividend yield and the dividend points for each stock [26] 4. Estimate the ex-dividend dates and calculate the theoretical impact of dividends on each futures contract [27][29][30] 5. Use the theoretical pricing model for stock index futures to incorporate the impact of dividends into the futures prices [32][33] - **Model Evaluation**: The model provides a systematic approach to predict the impact of dividends on stock index futures, considering various factors such as net profit estimates, dividend rates, and ex-dividend dates [9][21][24] Model Backtesting Results - **SSE 50 Futures (June Contract)**: - Closing Price: 2673.60 - Dividend Points: 12.10 - Actual Spread: -15.25 - Dividend-Inclusive Spread: -3.15 - Remaining Impact: 0.45% - Annualized Hedging Cost (365 days): 3.05% - Annualized Hedging Cost (243 days): 2.84% [2][12] - **CSI 300 Futures (June Contract)**: - Closing Price: 3855.40 - Dividend Points: 16.30 - Actual Spread: -18.58 - Dividend-Inclusive Spread: -2.28 - Remaining Impact: 0.42% - Annualized Hedging Cost (365 days): 1.54% - Annualized Hedging Cost (243 days): 1.43% [2][13] - **CSI 500 Futures (June Contract)**: - Closing Price: 5725.40 - Dividend Points: 18.75 - Actual Spread: -36.68 - Dividend-Inclusive Spread: -17.93 - Remaining Impact: 0.33% - Annualized Hedging Cost (365 days): 8.11% - Annualized Hedging Cost (243 days): 7.56% [3][14] - **CSI 1000 Futures (June Contract)**: - Closing Price: 6100.20 - Dividend Points: 17.78 - Actual Spread: -52.64 - Dividend-Inclusive Spread: -34.87 - Remaining Impact: 0.29% - Annualized Hedging Cost (365 days): 14.77% - Annualized Hedging Cost (243 days): 13.77% [4][15]