股 票 研 究 [table_Authors] 刘越男(分析师) 宋小寒(分析师) 021-38677706 010-83939087 liuyuenan@gtjas.com songxiaohan026736@gtjas.com 登记编号 S0880516030003 S0880524080011 行 业 周 报 证 券 研 究 报 告 君安证券 股票研究 /[Table_Date] 2024.09.22 国庆出游进入预订高峰，延续性价比趋势 [Table_Industry] 社会服务业 [Table_Invest] 评级： 增持 上次评级: 增持 ——商社行业周报（2024.09.16-09.22） 本报告导读： 国庆机酒价格同比回落，出行更具性价比。 投资要点： [Table_Summary] 投资观点：继续重点推荐垂直 O2O+出海。①互联网龙头从单一追 求规模到重视盈利，垂直 O2O 公司的竞争格局显著改善，服务类行 业未来有望量价齐升，推荐途虎-W；②教育底部反转，推荐业绩可 持续兑现的低估值个股：卓越教育、思考乐教育、粉笔、行动教育 等；③平价出海零售仍维持高景气，推荐：名创优品、小商品城、 华 ...

Quantitative Models and Construction Methods 1. Model Name: Oversold Rebound Signal - **Model Construction Idea**: This model identifies potential short-term rebound opportunities in industries that have experienced significant price declines, aiming to capture short-term excess returns[13][14] - **Model Construction Process**: The model uses historical data from 2017 to 2024 to identify oversold conditions. The signal is triggered when specific technical thresholds are met, indicating a potential rebound. The model evaluates the average holding period, win rate, and profit-loss ratio to assess the signal's effectiveness[13][14] - **Model Evaluation**: The model demonstrates strong short-term predictive power, with high win rates and favorable profit-loss ratios, making it effective for short-term industry rotation strategies[13][14] 2. Model Name: Platform Breakout Signal - **Model Construction Idea**: This model identifies industries where prices break above a consolidation platform, signaling potential upward momentum[13][14] - **Model Construction Process**: The model analyzes historical data from 2017 to 2024 to detect breakout patterns. It evaluates the signal's performance based on average returns, win rates, and profit-loss ratios over different holding periods[13][14] - **Model Evaluation**: The model is moderately effective, with consistent but slightly lower win rates and profit-loss ratios compared to the oversold rebound signal[13][14] 3. Model Name: Low Pressure Industry Rotation - **Model Construction Idea**: This model identifies industries with minimal short-term selling pressure, aiming to capture excess returns through industry rotation[16][19] - **Model Construction Process**: The model calculates theoretical selling pressure for each industry and ranks them. A portfolio is constructed by selecting the top 5 industries with the lowest selling pressure. Backtesting from 2017 to 2024 shows the strategy's performance relative to the Wind All A Index[16][19] - **Model Evaluation**: The model demonstrates strong performance, achieving significant excess returns over the benchmark index, making it suitable for medium-term industry rotation strategies[16][19] --- Model Backtesting Results 1. Oversold Rebound Signal - **5-Day Average Return**: 4.56% - **5-Day Win Rate**: 71% - **5-Day Profit-Loss Ratio**: 1.87 - **10-Day Average Return**: 7.22% - **10-Day Win Rate**: 62% - **10-Day Profit-Loss Ratio**: 1.66 - **Average Holding Period**: 5.2 days - **Average Holding Return**: 6.30% - **Overall Win Rate**: 76% - **Overall Profit-Loss Ratio**: 2.3[13][14] 2. Platform Breakout Signal - **5-Day Average Return**: 3.30% - **5-Day Win Rate**: 62% - **5-Day Profit-Loss Ratio**: 1.45 - **10-Day Average Return**: 5.10% - **10-Day Win Rate**: 61% - **10-Day Profit-Loss Ratio**: 1.70 - **Average Holding Period**: 9 days - **Average Holding Return**: 6.77% - **Overall Win Rate**: 60% - **Overall Profit-Loss Ratio**: 2.15[13][14] 3. Low Pressure Industry Rotation - **Excess Return Relative to Wind All A Index**: ~15% during the backtesting period[19] --- Quantitative Factors and Construction Methods 1. Factor Name: Circulating Market Cap Yield - **Factor Construction Idea**: This factor measures the average profitability of investors in an industry, reflecting the overall market sentiment and investment attractiveness[10] - **Factor Construction Process**: The factor is calculated as the average return of circulating market cap within an industry. Historical percentile rankings are used to compare the current profitability level against historical data[10] - **Factor Evaluation**: The factor effectively identifies industries with strong investor sentiment, making it useful for short-term market timing[10] 2. Factor Name: Profit-Taking Ratio - **Factor Construction Idea**: This factor evaluates the proportion of profitable positions in an industry, indicating potential selling pressure[13][16] - **Factor Construction Process**: The factor is calculated as the ratio of profitable positions to total positions within an industry. Industries with lower profit-taking ratios are considered to have lower selling pressure[13][16] - **Factor Evaluation**: The factor is effective in identifying industries with lower short-term selling pressure, supporting industry rotation strategies[13][16] --- Factor Backtesting Results 1. Circulating Market Cap Yield - **Banking Sector Profitability**: 72nd percentile, highest among all industries[10] 2. Profit-Taking Ratio - **Industries with Lowest Selling Pressure**: Building Materials, Steel, Construction, Non-Ferrous Metals[16][19]

Investment Rating - The report maintains an "Overweight" rating for the steel industry, indicating a positive outlook for investment in this sector [2]. Core Viewpoints - The steel sector is currently at a bottoming phase, with expectations for demand improvement and supply restructuring, leading to enhanced competitive advantages for industry leaders [2][3]. - The report anticipates a gradual stabilization in demand, particularly as the negative impact from the real estate sector diminishes and infrastructure projects continue to provide support [3][7]. - Profitability in the steel industry is expected to gradually recover, with a noted increase in profit margins from 1.30% to 9.96% as of September 20, 2024, compared to the lowest point in August [3][11]. Summary by Sections Demand - The report predicts a year-on-year decline of 2.85% in total steel demand for 2024, primarily due to a decrease in real estate demand, which has fallen below 20% of total demand [7][10]. - Infrastructure projects are expected to play a stabilizing role, while manufacturing is projected to maintain steady growth, offsetting some declines in real estate-related steel demand [3][7]. Supply - There is an anticipated contraction in supply, driven by ongoing production cuts among loss-making steel companies and government policies aimed at reducing crude steel output [10][12]. - The report highlights that the steel industry has entered a phase of supply contraction after two years of losses, with crude steel production expected to decline by 3.3% year-on-year in 2024 [10][12]. Inventory - Steel inventory levels are currently at historical lows, with a significant reduction observed in the inventory of major steel products, indicating a tightening supply-demand balance [14][15]. - The report notes that as of September 13, 2024, total inventory for major steel products was 14.19 million tons, down 6.00% from the previous month and 10.17% year-on-year [14]. Steel Prices - The report forecasts a downward trend in steel prices for 2024, with the average price for rebar and hot-rolled steel expected to decrease by approximately 8.97% and 8.43% respectively compared to 2023 [20][21]. - Seasonal demand recovery is anticipated to lead to some price fluctuations, but overall, the price center is expected to shift downward due to weak overall demand [19][20]. Costs - The report indicates that cost pressures are likely to ease, primarily due to the focus on global iron ore supply and price changes, which significantly impact steel production costs [22][23]. - Iron ore and coking coal account for about 70% of total steel production costs, with iron ore alone constituting approximately 50% [22].

国泰君安版权所有发送给上海东方财富金融数据服务有限公司.东财接收研报邮箱.ybjieshou@eastmoney.com p1 股票研究 /[Table_Date] 2024.09.22 [table_Authors] 秦和平(分析师) 0755-23976666 qinheping027734@gtjas.com 登记编号 S0880523110003 股 票 研 究 [Table_Report] 相关报告 本报告导读： 投资要点： 英特尔 18A 关键节点与 AWS 合作，微软 Copilot 再升级 [Table_Industry] 海外科技 [Table_Invest] 评级： 增持 上次评级: 增持 ——海外科技行业 2024 年第 59 期 海外科技《o1 大模型涌现推理能力，推动 AI 产 业加速前进》2024.09.16 海外科技《OpenAI 周活破 2 亿寻求新融资，秋季 或推草莓模型》2024.09.01 海外科技《端侧 AI 逻辑持续演绎，终端 AI 设备 需求向好》2024.08.18 海外科技《Figure 02 机器人发布，OpenAI 高管 变动》2024.08.12 海外科技 ...

Investment Rating - The report maintains an "Overweight" rating for the food and beverage industry, consistent with the previous rating [2][17]. Core Insights - The consumption sector, including food and beverage companies, is entering a transformative era where the drivers of Return on Equity (ROE) will shift from net profit margins and asset turnover to financial leverage and operational efficiency [3][5]. - The report identifies several categories of leading consumer goods companies that are expected to maintain stable growth, including beverage leaders, seasoning leaders, and high-end liquor brands [3][9]. - The current phase of the Chinese consumer goods industry is characterized as a preliminary adjustment stage, with expectations of a gradual decline in net profit margins and asset turnover due to weakening growth dividends and rising labor costs [6][9]. Summary by Sections 1. ROE Perspective: Transformation of Growth Paths - Chinese consumer goods companies exhibit high net profit margins and asset turnover, benefiting from a single market growth dividend [5][6]. - The report anticipates a "fat reduction and muscle gain" process for companies that previously relied on high operational leverage for growth [5][6]. 2. Valuation: Dominated by the Denominator, Certainty Premium - The current market trend is primarily driven by the denominator, with a focus on stable growth rather than short-term growth rates [8][10]. - Historical analysis indicates that previous bull markets were driven by both numerator and denominator factors, while the current market emphasizes certainty in valuations [8]. 3. Corporate Path Selection: Going Global, Affordable Pricing, Innovation, and Diversification - The report suggests that companies should focus on international expansion, affordable consumer products, product innovation, and business diversification to navigate the current consumption transition [9][10]. - Future investment focus will be on companies with stable long-cycle categories, strong brand power, and the ability to innovate and adapt to market trends [9][10].

| --- | |-------| | | | | | | | --- | |-------| | | | | | | 证 券 研 究 报 告 ——钴锂金属周报 | --- | --- | --- | --- | --- | --- | |----------|-------------------------------------|---------------------|-------|-------|-------| | | [table_Authors] 于嘉懿 ( 分析师 ) | 宁紫微 ( 分析师 ) | | | | | | 021-38038404 | 021-38038438 | | | | | | yujiayi@gtjas.com | ningziwei@gtjas.com | | | | | 登记编号 | S0880522080001 | S0880523080002 | | | | 本报告导读： 上周碳酸锂价格有所回落，靠消息驱动的上行趋势未能延续。考虑到当前仍处于需 求旺季，叠加碳酸锂库存仍在去化中，我们认为碳酸锂价格在未来一个月内，将处 于区间震荡走势，难有明显单边趋势行情。 ...

大 类 资 产 配 置 大类资产配置 /[Table_Date] 2024.09.22 主 动 资 产 配 置 周 报 证 券 研 究 报 告 空中加油：全球风险偏好系统性提升 [Table_Authors] 王子翌(分析师) 021-38038293 wangziyi027313@gtjas.com 登记编号 S0880523050004 ——大类资产配置周度点评（20240922） 本报告导读： 我们维持此前的战术性大类资产配置观点，但对于全球权益与大宗商品边际上更为 乐观，对于美债边际上更为谨慎。 投资要点： [Table_Summary] 我们对于全球权益与大宗商品仍维持标配观点，但边际上更为乐 观。本轮降息幅度虽然为 50BP，但并未大幅引起市场衰退担忧升温， 反而使市场强化了经济软着陆的信心。近期的经济数据表明美国经 济韧性仍存，经济运行呈一定边际收缩态势但并未失速。此前，市 场的风险偏好受到历史数据、FOMC 利率决议乃及政治选举不确定 性的影响受到一定压制，但鲍威尔的表态使得市场对于美国乃至全 球经济预期衰退的预期弱化，全球风险偏好系统性提升。虽然如此， 美联储选择降息是否能够避免后续经济衰退 ...

股 票 研 究 ——国君交运周观察 [Table_subIndustry] 行 业 周 报 证 券 研 究 报 告 股票研究 /[Table_Date] 2024.09.22 | --- | --- | --- | |-------------------------|------------|-----------------------| | | | | | | | [Table_Industry] 运输 | | [Table_Invest] 评级： | | 增持 | | | 上次评级 : | 增持 | 航空国庆预售加速，原油运价继续回升 | --- | --- | --- | --- | |----------|-----------------------------------|--------------------|-------| | | | | | | | [table_Authors] 岳鑫 ( 分析师 ) | 尹嘉骐 ( 分析师 ) | | | | 0755-23976758 | 021-38038322 | | | | yuexin@gtjas.com | yinjiaqi@gtjas ...

股 票 研 究 证 券 研 究 报 告 新股上市节奏持续趋缓，首日涨幅收窄 本周新股发行信息 ——次新市场周报（2024 年 9 月第 3 周） | --- | --- | --- | --- | |----------|-------------------------------------|--------------------|--------------------------| | | [table_Authors] 王政之 ( 分析师 ) | 施怡昀 ( 分析师 ) | 王思琪 ( 分析师 ) | | | 021-38674944 | 021-38032690 | 021-38038671 | | | wangzhengzhi@gtjas.com | shiyiyun@gtjas.com | wangsiqi026737@gtjas.com | | 登记编号 | S0880517060002 | S0880522060002 | S0880524080007 | 本报告导读： 9 月第 3 周，次新板块回调，新股指数和近端次新股指数当周分别下跌 0.31%和 1.93%，沪深市场近半年上市的 ...

| --- | |-------| | | | | | | | --- | |-------| | | | | | | 证 券 研 究 报 告 ——公用事业行业周报（2024.9.16-2024.9.20） 评级： | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |----------|-------------------------------------|-------|-------|--------|----------------------------|--------|-------|-------|-------|-------|-------------------------| | | | | | | | | | | | | | | | [table_Authors] 于鸿光 ( 分析师 ) | | | 孙辉贤 | ( | 分析师 | ) | | | ( | 汪玥 研究助理 ) | | | 021-38031730 | | | | 021-38038670 | | | | | | 021- ...