Quantitative Models and Construction Methods - **Model Name**: Maximized Factor Exposure (MFE) Portfolio **Model Construction Idea**: The MFE portfolio aims to maximize the exposure of a single factor while controlling for constraints such as industry exposure, style exposure, stock weight deviation, and turnover rate. This approach evaluates the effectiveness of factors under realistic constraints in enhanced index portfolios [56][57][59] **Model Construction Process**: The optimization model is formulated 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 stock weight vector - **Constraints**: 1. Style exposure deviation (\( X \)): \( s_{l} \) and \( s_{h} \) are the lower and upper bounds for style factor deviation 2. Industry exposure deviation (\( H \)): \( h_{l} \) and \( h_{h} \) are the lower and upper bounds for industry deviation 3. Stock weight deviation (\( w_{l} \) and \( w_{h} \)): Limits on individual stock weight deviation relative to the benchmark 4. Component weight limits (\( b_{l} \) and \( b_{h} \)): Constraints on the weight of benchmark components 5. No short selling and upper limits on stock weights 6. Full investment constraint: \( 1^{T}w=1 \) 7. Turnover constraint: \( \Sigma|w-w_{0}|\leq to_{h} \), where \( w_{0} \) is the previous period's weight [56][57][59] **Model Evaluation**: The model effectively balances factor exposure and practical constraints, ensuring stable returns and avoiding excessive concentration in specific stocks [60] --- Quantitative Factors and Construction Methods - **Factor Name**: Six-Month UMR **Factor Construction Idea**: The six-month UMR factor measures risk-adjusted momentum over a six-month window, capturing medium-term momentum trends [19][8][44] **Factor Construction Process**: - The UMR (Up-Minus-Down Ratio) is calculated as the ratio of upward movements to downward movements in stock prices over a specified period - The six-month UMR specifically uses a six-month window to compute this ratio, adjusted for risk [19][8][44] **Factor Evaluation**: This factor demonstrates strong performance in various index spaces, particularly in the CSI 500 and CSI All Share indices, indicating its effectiveness in capturing medium-term momentum [8][44] - **Factor Name**: Three-Month UMR **Factor Construction Idea**: Similar to the six-month UMR, this factor focuses on shorter-term momentum trends over a three-month window [19][8][44] **Factor Construction Process**: - The three-month UMR is calculated using the same methodology as the six-month UMR but with a three-month window for data aggregation [19][8][44] **Factor Evaluation**: This factor shows consistent performance across multiple indices, including the CSI 500 and CSI All Share indices, making it a reliable short-term momentum indicator [8][44] - **Factor Name**: Pre-Tax Earnings to Total Market Value (EPTTM) **Factor Construction Idea**: This valuation factor evaluates the earnings yield of a stock, providing insights into its relative valuation [19][8][44] **Factor Construction Process**: - EPTTM is calculated as the ratio of pre-tax earnings to the total market value of a stock, with adjustments for rolling time windows (e.g., one year) [19][8][44] **Factor Evaluation**: EPTTM consistently ranks among the top-performing valuation factors, particularly in the CSI 300 and CSI 800 indices, reflecting its robustness in identifying undervalued stocks [8][44] --- Backtesting Results of Models - **MFE Portfolio**: - The MFE portfolio demonstrates strong performance under various constraints, with backtesting results showing significant alpha generation relative to benchmarks like CSI 300, CSI 500, and CSI 1000 [60][61] --- Backtesting Results of Factors - **Six-Month UMR**: - CSI 500: Weekly return of 0.99%, monthly return of 1.65%, annualized return of -4.07% [26] - CSI All Share: Weekly return of 1.23%, monthly return of 1.59%, annualized return of 7.43% [44] - **Three-Month UMR**: - CSI 500: Weekly return of 0.94%, monthly return of 1.31%, annualized return of 0.68% [26] - CSI All Share: Weekly return of 1.02%, monthly return of 1.63%, annualized return of 5.64% [44] - **EPTTM**: - CSI 300: Weekly return of 0.74%, monthly return of 1.42%, annualized return of 3.89% [22] - CSI 800: Weekly return of 1.00%, monthly return of 1.91%, annualized return of 2.87% [30]

Quantitative Models and Construction 1. Model Name: Hang Seng Hong Kong Innovative Drug Index (CNY) - **Model Construction Idea**: The index selects up to 50 listed companies in the Hong Kong market whose main business involves innovative drug research and development, reflecting the overall performance of innovative drug-themed listed companies in Hong Kong[37][61] - **Model Construction Process**: - **Sample Space**: Combines the sample space of the CSI Hong Kong 300 Index and the CSI Hong Kong Stock Connect Composite Index[38] - **Selection Criteria**: - Liquidity: Average daily turnover over the past year must not be less than HKD 10 million - Business Focus: Companies involved in innovative drug R&D or providing related services are selected - Market Cap: Top 50 securities by average daily market cap over the past year are included, or all securities if fewer than 50 meet the criteria - **Weighting Method**: Free-float market capitalization weighting, with individual stock weights capped at 10%[38] - **Adjustment Frequency**: Semi-annual adjustments in June and December[38] - **Model Evaluation**: The index focuses on mid-to-large innovative drug enterprises, with a high degree of industry purity, as 100% of its constituents belong to the "Pharmaceuticals and Biotechnology" secondary industry[43][44] --- Model Backtesting Results 1. Hang Seng Hong Kong Innovative Drug Index - **Annualized Return**: 8.54% (2019.1.1 - 2025.5.31)[49][50] - **Annualized Sharpe Ratio (IR)**: 0.41[49][50] - **Annualized Volatility**: 35.93%[49][50] - **Maximum Drawdown**: -68.18%[49][50]

Investment Rating - The report maintains a "Positive" investment rating for the electronic industry [5] Core Insights - The storage demand is recovering, driven by AI servers and domestic substitution opportunities, suggesting a focus on the storage industry chain [3] - The global AI-driven storage market is expected to grow significantly, from $28.7 billion in 2024 to $255.2 billion in 2034, with a compound annual growth rate (CAGR) of 24.4% [28] - The domestic storage industry is poised for growth due to advancements in technology and increasing local production capabilities [30] Summary by Sections 1. AI Wave Driving Industry Growth and Domestic Substitution Prospects - Storage demand is recovering, with average prices for DRAM and NAND flash increasing for two consecutive months [11] - AI has become a key driver for storage demand growth, with significant increases in enterprise SSD market demand [8][19] - The domestic storage industry is expected to benefit from policies promoting self-sufficiency, with low current domestic market shares for DRAM and NAND flash [30] 2. DRAM: Niche Market Restructuring and 3D DRAM Industrialization - The global DRAM market is projected to grow, with a CAGR of 5.1% from 2024 to 2029 [37] - Major manufacturers are gradually phasing out DDR4 production, leading to supply constraints and opportunities for niche DRAM markets [43] - The demand for DDR4 remains strong in various sectors, including consumer electronics and industrial applications [44] 3. Flash: AI Driving Capacity and Total Demand Increase - The enterprise market for NAND flash is experiencing rapid growth due to increased demand from data centers and servers [8] - The NOR flash market is also expected to grow, driven by emerging fields such as IoT and automotive electronics [8] - Domestic companies are enhancing their competitive advantages by providing cost-effective products and upgrading their technology [8][30] 4. Investment Recommendations - Focus on the storage industry chain, including companies involved in storage IC design, storage modules, and system-level solutions [3][31] - Key companies to watch include Zhaoyi Innovation, Unisoc, and others in the storage IC design sector [3][31]

Investment Rating - The industry investment rating is maintained as "Positive" [4] Core Viewpoints - Domestic appliance sales are expected to benefit from policy support, with the air conditioning peak season anticipated to see high temperatures and low inventory, making second-quarter demand promising [2] - The national subsidy policy is confirmed to continue, with a total of 300 billion yuan allocated for supporting the replacement of old appliances, ensuring sustained demand [6] - The market is witnessing a shift towards new consumption trends, with brands actively targeting younger demographics and innovating product offerings to capture new growth opportunities [6] Summary by Sections Investment Recommendations and Targets - Focus on quality white goods leaders benefiting from domestic policy continuation and overseas expansion, such as Midea Group (000333, not rated), Haier Smart Home (600690, Buy), and Hisense Home Appliances (000921, not rated) [2] - Attention to companies with potential in mature overseas markets and short-term supply chain advantages, including Hisense Visual (600060, Overweight) and Ousheng Electric (301187, Buy) [2] - Highlighting small appliance companies that may benefit from national subsidies and long-term demand for new appliance categories, such as Roborock Technology (688169, Buy) and Bear Electric (002959, Overweight) [2] - Monitoring kitchen appliance companies that are adjusting strategies and may expand overseas, including Boss Electric (002508, Buy) and Vatti Corporation (002035, not rated) [2] Market Dynamics - Recent retail data shows significant year-on-year growth in online sales for major appliance categories, indicating resilience in demand despite concerns over subsidy reductions [6] - The market is adapting to new consumer preferences, with brands leveraging innovative marketing strategies to engage younger consumers and explore new product categories [6]

Geopolitical Risk and Market Reactions - The recent Israel-Iran conflict has shifted market focus from tariffs to geopolitical risks, leading to increased trading volatility and risk premiums[6] - During the week of June 7-14, WTI crude oil prices surged by 20%, reaching over $70 per barrel, effectively recovering from earlier declines[11] - The conflict has heightened inflation concerns, as rising oil prices could lead to further declines in risk assets like stocks and bonds if the trend continues[11] Short-term and Mid-term Outlook - In the short term, heightened risk aversion is expected as the conflict escalates, with potential for further increases in risk premiums[16] - The current geopolitical situation is unlikely to reverse macroeconomic trends decisively, as the intensity of the Israel-Iran conflict is perceived to be lower than that of the Russia-Ukraine conflict[18] - Market reactions to geopolitical events often lead to overreactions, with oil prices expected to stabilize after initial spikes due to increased production and weak demand[19] Inflation and Economic Indicators - Recent U.S. inflation data shows a slight increase in CPI to 2.4% year-on-year, with core CPI remaining stable at 2.8%, indicating manageable inflation pressures[26] - The core services sector continues to show signs of cooling, with year-on-year growth at 3.7%, suggesting that consumer demand remains weak[27] - The market anticipates two interest rate cuts by the Federal Reserve within the year, reflecting a cautious economic outlook[27] Market Performance - Major U.S. stock indices experienced declines during the week of June 7-14, with the Nasdaq and S&P 500 down by 0.63% and 0.39% respectively[22] - International oil prices rose significantly, with Brent crude increasing by 13.1%, contributing to a general uptick in commodity prices, including a 3.17% rise in gold[22]

宏观经济 | 动态跟踪 对外开放更加确定，金融助力科创包容性 提升 2025 陆家嘴论坛点评 研究结论 首次明确平准基金定位，关注稳定资本市 场的战略力量 2025-04-11 报告发布日期 2025 年 06 月 20 日 | 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明。 | | --- | 陈至奕 021-63325888*6044 chenzhiyi@orientsec.com.cn 执业证书编号：S0860519090001 香港证监会牌照：BUK982 孙金霞 021-63325888*7590 sunjinxia@orientsec.com.cn 执业证书编号：S0860515070001 孙国翔 sunguoxiang@orientsec.com.cn 执业证书编号：S0860523080009 ⚫ 5 月末陆家嘴论坛公告即将举行之际，曾对"中央金融管理部门将发布若干重大金融 政策"作过预告，市场对金融继续支持宏观总量增长的期待有所抬升，但从论坛公 布的政策内容看，更加侧重将对外开放与科技转型置于更关 ...

Investment Rating - The report assigns a "Buy" rating for the company, with a target price of 94.15 CNY based on a 35x P/E ratio for 2025 [3][5]. Core Insights - The company is positioned as a leading player in the domestic home respiratory machine market, with significant growth potential in both domestic and international markets. The recovery in sales is expected as inventory issues clear up, particularly in the home respiratory machine segment [2][9]. - The global demand for chronic respiratory disease treatment is substantial, with a changing competitive landscape that has allowed the company to increase its market share significantly [9][40]. - The company has established a strong product quality comparable to international brands and is expanding its distribution channels both domestically and internationally [9][40]. Financial Forecast and Investment Recommendations - The company is projected to achieve earnings per share of 2.69 CNY, 3.59 CNY, and 4.57 CNY for the years 2025, 2026, and 2027, respectively. Revenue is expected to recover with a growth rate of 27.1% in 2025 [3][4]. - The financial outlook indicates a recovery in revenue and profit margins, with a notable increase in the contribution from consumables alongside the growth in respiratory machine sales [3][4][30]. Company Overview - Founded in 2001, the company has become a leader in the domestic home respiratory machine industry, with significant international expansion since obtaining FDA certification in 2012 [9][14]. - The company has experienced rapid growth, particularly during the COVID-19 pandemic and following the recall of Philips products, which has allowed it to capture market share [9][25]. Market Dynamics - The global market for home respiratory machines is expected to grow significantly, driven by increasing awareness of health issues and rising healthcare investments. The market size for home non-invasive respiratory machines was estimated at 2.78 billion USD in 2020 [57]. - The company has seen its market share in the domestic market rise to 30.6% by 2023, positioning it as the leading domestic brand [69][74]. Product and Service Strategy - The company offers a comprehensive range of products, including home non-invasive respiratory machines, ventilation masks, and oxygen concentrators, supported by a robust health management platform [17][40]. - The company is actively expanding its product offerings and market presence, including a recent strategic partnership to develop new respiratory products [39].

Investment Rating - The industry investment rating is maintained as "Positive" [6] Core Viewpoints - The real estate market continues to show weakness, with first-tier cities experiencing a decline in new home prices and an expansion in the decline of second-hand home prices. In May 2025, the sales price of new residential properties in first-tier cities decreased by 0.2% month-on-month, with notable declines in Beijing, Guangzhou, and Shenzhen [9] - The current real estate market is in a natural bottom-seeking phase, with low expectations from the capital market regarding the real estate chain. The lack of strong "market rescue" policies has contributed to this sentiment [9] - A decline in real estate data may lead to increased expectations for price stabilization policies. If housing prices stabilize or rise, it could indicate a potential improvement in the fundamentals of the real estate and related industries [9] - Despite the overall demand shock in the building materials industry due to the real estate downturn, there are opportunities for capacity clearance and the release of operational risks among leading companies. Companies such as Sanke Tree (涂料), Beixin Building Materials (石膏板), and Tubao (板材) are highlighted as having long-term investment value [9] Investment Recommendations and Targets - Focus on consumer building material companies that benefit from second-hand home renovations and urban renewal, with significant progress in retail business. Recommended companies include: - Sanke Tree (603737, Not Rated) - Tubao (002043, Not Rated) - Beixin Building Materials (000786, Buy) [4]

Investment Rating - The industry investment rating is maintained as "Positive" [6] Core Viewpoints - The wind power sector is expected to emerge from its "cycle," moving towards profitability and new growth opportunities [2] - The land wind cycle is showing signs of recovery, with expectations for price and volume restoration [4] - The offshore wind cycle is at a turning point, with anticipation for marginal improvements [4] Summary by Sections Investment Recommendations and Targets - The report suggests focusing on the recovery of the wind power industry chain, highlighting companies such as Goldwind Technology (002202), Mingyang Smart Energy (601615), and others [4] - For offshore wind, it recommends companies with high relevance to offshore wind, including Dongfang Cable (603606) and Zhenjiang Co. (603507) [4] Market Trends - The bidding data for wind power projects from January to May 2025 shows a steady growth trend, with a total scale of approximately 64.46 GW, reflecting a year-on-year increase of nearly 20% [9] - The average bidding prices for land wind power projects have stabilized, indicating a potential recovery in profitability for the wind power industry chain [9] - The export of wind turbines is a key driver for long-term industry growth, with significant increases in international bidding volumes [9]

Group 1: Social Financing Data - In May 2025, the incremental social financing scale was 22,871 billion yuan, an increase of 2,248 billion yuan year-on-year, compared to an increase of 12,249 billion yuan in the previous month[1] - The total social financing stock reached 426.16 trillion yuan, with a year-on-year growth rate of 8.7%, unchanged from the previous value[1] - New loans in May 2025 amounted to 5,960 billion yuan, a decrease of 2,237 billion yuan year-on-year, compared to a decrease of 2,465 billion yuan in the previous month[6] Group 2: Credit and Financing Trends - Resident loans increased by 540 billion yuan in May 2025, a year-on-year decrease of 217 billion yuan, with short-term loans showing a slight improvement[6] - Corporate loans totaled 5,300 billion yuan, a year-on-year decrease of 2,100 billion yuan, indicating a weak demand for medium to long-term credit[6] - Government bond net financing in May 2025 was 14,633 billion yuan, with a year-on-year increase of 2,367 billion yuan, marking the highest level for the same period historically[6] Group 3: Monetary Supply and Economic Indicators - M1 and M2 growth rates in May 2025 were 2.3% and 7.9%, respectively, with the M1-M2 gap widening to -5.6%[6] - The year-on-year increase in social financing has significantly narrowed, largely due to government bonds, with base effects being a primary reason[6] - The overall support from the financial system to the real economy remains strong, despite the decline in credit demand from residents[6]