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 行 业 周 报 证 券 研 究 报 告 股票研究 /[Table_Date] 2024.09.14 ——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： 受江西锂矿减产新闻影响，市场情绪波动，上周碳酸锂期货价格触底反弹。需求旺 季当前，与我们此前强调"库存持续去化，认为锂价短期已筑底"的观点形成呼应。 但考虑到长期供给过剩仍未发生本质扭转，我们认为锂价中长 ...

Investment Rating and Core Views - The report assigns an **"Overweight"** rating to Arm (ARM O) based on its strong position in the AI era and its potential for revenue growth driven by its CSS model and royalty income [2][3] - Arm is expected to benefit from the expansion of downstream market demand and the increase in royalty rates, with projected revenues of $3 98B $4 86B and $6 05B for FY2025E FY2026E and FY2027E respectively [4] - The company's target market value for 2025 is estimated at $162 95B with a target price of $154 [4] Revenue and Profit Forecasts - Arm's revenue is expected to grow at a CAGR of 23% from FY2025E to FY2027E driven by both licensing and royalty income [4] - Non GAAP net profits are projected to be $1 53B $1 81B and $2 38B for FY2025E FY2026E and FY2027E respectively [4] - The company's royalty income is expected to grow at a double digit rate supported by diversified customer base and market applications [11] Market Position and Competitive Advantages - Arm dominates the smartphone market with a 99% market share and 40% of its royalty income coming from this segment [4] - The company's energy efficiency advantage is highlighted as a key factor in its success in mobile and AI PC markets with Arm based chips consuming 30% less power than x86 chips [4] - Arm's CSS model is expected to drive higher royalty rates and market penetration in data centers and automotive electronics [4] Licensing and Royalty Income Breakdown - Licensing income is expected to grow due to the shift towards subscription based models (ATA and AFA) with projected licensing revenues of $1 79B $2 23B and $2 76B for FY2025E FY2026E and FY2027E respectively [9] - Royalty income is driven by the adoption of Arm v9 architecture and the expansion of AI enabled devices with smartphone royalty income expected to grow at an 18% CAGR from FY2024 to FY2027 [10] Growth Drivers in Key Markets - **Smartphones**: AI driven smartphone upgrades and the adoption of Arm v9 architecture are expected to boost royalty income [10] - **AI PCs**: Arm's energy efficiency is seen as a key advantage in the AI PC market with market share expected to grow from 14% to 25% by 2027 [13] - **Data Centers**: Arm's market share in cloud computing is expected to grow driven by partnerships with AWS Microsoft and others [14] - **Automotive**: The rise of electric vehicles and autonomous driving is expected to drive a 30% CAGR in automotive royalty income from FY2024 to FY2027 [15] Valuation and Financial Metrics - The report uses a DCF valuation method with a WACC of 13 2% and a perpetual growth rate of 5% to arrive at a target market value of $162 95B for 2025 [17][19] - Arm's forward P/E for FY2025 is estimated at 105x with a target price of $151 based on its growth prospects and market position [21]

Macroeconomic Trends - Social financing growth in August 2024 slightly declined to 8.1% (previous 8.2%), with new social financing at 3.02 trillion yuan, a year-on-year decrease of 98.1 billion yuan[2] - Government bonds remained a key support, with a year-on-year increase of 437.1 billion yuan, driven by the issuance of 400 billion yuan in special treasury bonds[2] - M2 growth stabilized at 6.3%, while M1 growth continued to decline to -7.3% (previous -6.6%), reflecting weak private sector demand[2] Credit Structure - New loans in August totaled 1.04 trillion yuan, a year-on-year decrease of 297.1 billion yuan, with corporate bonds and stock financing also showing declines[2] - Corporate medium and long-term loans increased by 490 billion yuan, a year-on-year decrease of 154.4 billion yuan, while short-term corporate loans decreased by 190 billion yuan[8] - Bill financing surged by 545.1 billion yuan, a year-on-year increase of 197.9 billion yuan, driven by corporate prepayment behavior[8] Private Sector Deleveraging - Private sector deleveraging accelerated, with early repayment of loans showing a "downgrade" trend: housing loan prepayment rates declined, while auto loan prepayment rates remained high[2] - Housing loan prepayment rates fell due to higher repayment thresholds, while auto loans, with lower thresholds, saw continued high prepayment rates[13] - The divergence in prepayment behavior indicates that private sector motivation to repair balance sheets remains strong, but the ability to do so varies[13] Monetary Policy and Future Outlook - The central bank signaled potential incremental policies, including reductions in existing mortgage rates and LPR, to lower financing costs for businesses and households[2] - Non-bank deposits surged by 1.36 trillion yuan year-on-year, driven by deposit rate cuts and a shift to wealth management products[10] - Future focus will be on the timing and effectiveness of policies aimed at reducing interest rates and supporting private sector demand[2]

Economic Overview - In August 2024, industrial production showed signs of weakness, with the industrial added value growing by 4.5% year-on-year, down from 5.1% in July[3]. - Fixed asset investment increased by 2.2% year-on-year in August, a slight recovery of 0.3% from July, but still below seasonal expectations[10]. Investment Insights - Manufacturing investment remained resilient, with a year-on-year growth of 8.0% in August, although it fell by 0.3% compared to July[10]. - Real estate investment saw a narrowing decline of 10.2% year-on-year, indicating a slight recovery in commodity housing sales[10]. Consumption Trends - Retail sales of consumer goods grew by 2.1% year-on-year in August, down from 2.7% in July, reflecting a decline in consumer demand[12]. - The performance of optional consumption categories, particularly automobiles, has weakened, while home appliances and consumer electronics showed signs of recovery due to policy support[12]. Policy Implications - The government aims to achieve a 5% economic growth target for the year, focusing on reallocating existing fiscal funds to stimulate consumption and investment[4]. - If subsidies for automobiles and home appliances are effective, retail sales growth could rebound by 3 percentage points in the second half of the year[12]. Risks and Challenges - There are concerns about the internal economic momentum recovering slower than expected, alongside potential escalations in US-China trade tensions[18].

[Table_subIndustry] 证 券 研 究 报 告 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 | --- | --- | --- | --- | |----------|-----------------------------------|--------------------|------------------| | | | | ——国君交运周观察 | | | [table_Authors] 岳鑫 ( 分析师 ) | 尹嘉骐 ( 分析师 ) | | | | 0755-23976758 | 021-38038322 | | | | yuexin@gtjas.com | yinjiaqi@gtjas.com | | | 登记编号 | S0880514030006 | S0880524030004 | | 本报告导读： 维持油运与航空增持评级，配置高股息。航空：中秋低谷航司积极稳定票价。航空 仍具大逻辑，提示油价下跌期权。油运：油价下跌运价回升，近期估值回落低位， 建议放低旺季博弈逆向布局。高速公路：现金流股息 ...

Quantitative Models and Construction Methods 1. Model Name: Black-Litterman (BL) Model - **Model Construction Idea**: The BL model is an improvement of the traditional Mean-Variance Optimization (MVO) model. It integrates subjective views with quantitative models using Bayesian theory to optimize asset allocation weights. This approach addresses MVO's sensitivity to expected returns and provides a more robust solution for asset allocation[14][15]. - **Model Construction Process**: 1. Select underlying assets, such as equity indices, bond indices, commodities, and gold. 2. Incorporate subjective views on market returns into the model using Bayesian theory. 3. Combine these views with historical data to calculate optimized portfolio weights. 4. Apply the model to both global and domestic asset pools, including indices like S&P 500, SHFE Gold, and others[15][16]. - **Model Evaluation**: The BL model effectively balances subjective and quantitative inputs, offering a high degree of fault tolerance and efficient asset allocation strategies[14]. 2. Model Name: Risk Parity Model - **Model Construction Idea**: The risk parity model aims to equalize the risk contribution of each asset (or factor) in the portfolio. It is an improvement over the traditional MVO model, focusing on risk distribution rather than return maximization[19]. - **Model Construction Process**: 1. Select appropriate underlying assets, such as equity indices, bond indices, commodities, and gold. 2. Calculate the risk contribution of each asset to the portfolio based on expected volatility and correlations. 3. Optimize the portfolio by adjusting weights to ensure equal risk contribution from all assets. 4. Apply the model to both global and domestic asset pools, including indices like S&P 500, SHFE Gold, and others[20]. - **Model Evaluation**: The model provides a stable strategy across economic cycles by balancing risk contributions, making it suitable for long-term investment[18][19]. 3. Model Name: Macro Factor-Based Asset Allocation Model - **Model Construction Idea**: This model bridges macroeconomic research with asset allocation by constructing a framework based on six macroeconomic risks: growth, inflation, interest rates, credit, exchange rates, and liquidity[23][24]. - **Model Construction Process**: 1. Construct high-frequency macroeconomic factors using the Factor Mimicking Portfolio method. 2. Calculate factor exposures for selected assets at the end of each month. 3. Use a risk parity portfolio as the baseline and adjust factor exposures based on subjective macroeconomic views. 4. Solve the optimization problem to derive asset weights for the next month[24][26]. - **Model Evaluation**: The model effectively translates macroeconomic views into actionable asset allocation strategies, providing flexibility to adapt to changing economic conditions[23][24]. --- Model Backtesting Results 1. Black-Litterman (BL) Model - **Domestic Asset BL Model 1**: Weekly return 0.41%, September return 0.63%, YTD return 5.98%, annualized volatility 1.69%, max drawdown 0.78%[16][18] - **Domestic Asset BL Model 2**: Weekly return 0.27%, September return 0.50%, YTD return 5.40%, annualized volatility 1.47%, max drawdown 0.65%[16][18] - **Global Asset BL Model 1**: Weekly return 0.81%, September return 0.76%, YTD return 6.62%, annualized volatility 1.97%, max drawdown 0.95%[16][18] - **Global Asset BL Model 2**: Weekly return 0.62%, September return 0.52%, YTD return 5.48%, annualized volatility 1.48%, max drawdown 0.64%[16][18] 2. Risk Parity Model - **Domestic Asset Risk Parity Model**: Weekly return 0.08%, September return 0.07%, YTD return 4.46%, annualized volatility 1.15%, max drawdown 0.37%[22][23] - **Global Asset Risk Parity Model**: Weekly return 0.13%, September return -0.07%, YTD return 4.90%, annualized volatility 1.03%, max drawdown 0.31%[22][23] 3. Macro Factor-Based Asset Allocation Model - **Macro Factor-Based Model**: Weekly return 0.04%, September return 0.06%, YTD return 3.87%, annualized volatility 1.24%, max drawdown 0.45%[28][29]

策 略 研 究 黄维驰(分析师) 021-38032684 huangweichi@gtjas.com 登记编号 S0880520110005 证 券 研 究 报 告 被动资金的定价权与风格塑造 [Table_Authors] 方奕(分析师) 021-38031658 fangyi020833@gtjas.com 登记编号 S0880520120005 策略研究 /[Table_Date] 2024.09.15 本报告导读： 2024 年以来被动基金发展步入快车道，绝对规模与增量资金高歌猛进。被动资金涌 入的背后，中央汇金持有的 ETF 品种扩散，定价权显著上升。中证 A500 指数发布 在即，行业多元且纳入更多新兴领域龙头，有望对市场风格塑造带来新的边际贡献。 投资要点： [Table_Summary] 被动基金发展步入快车道，绝对规模与增量资金高歌猛进。2024 年 以来 A 股市场持续震荡，但权益类 ETF 总规模逆势攀升。1）截止 2024 年上半年，被动指数型基金持股市值达 2.06 万亿，其中持有 A 股 2.01 万亿。同期，主动偏股型基金持股市值 2.95 万亿，其中 A 股市值 2.64 万 ...

股 票 研 究 行 业 事 件 快 评 证 券 研 究 报 告 ——关于 2024H1 销售机构公募基金保有量的点评 | --- | --- | --- | |----------|-------------------------------------|------------------------| | | | | | | [table_Authors] 刘欣琦 ( 分析师 ) | 孙坤 ( 分析师 ) | | | 021-38676647 | 021-38038260 | | | liuxinqi@gtjas.com | sunkun024098@gtjas.com | | 登记编号 | S0880515050001 | S0880523030001 | 本报告导读： 前 100 名机构非货基金保有量增长，主因债券类基金规模增长，权益基金规模仍在 下滑。首次披露股票型指数基金，预计未来会有更多机构发力指数基金业务。 投资要点： [Table_Summary] 前 100 名机构非货基金保有量环比+3.72%至 8.86 万亿元，债券类 基金保有提升仍是主因。1）2024H1，前 100 名基金销售机 ...

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 | --- | |-------| | | | | | | | --- | |-------| | | | | | | 证 券 研 究 报 告 股票研究 /[Table_Date] 2024.09.14 ——传媒行业周报 2024 年 36 期 OpenAI 发布 o1 模型，AI 逻辑推理能力进步 [Table_Industry] 传播文化业 [Table_Invest] 评级： 增持 上次评级: 增持 传播文化业《《黑神话》销量破千万，关注 PC 游戏、硬件、云游戏需求》2024.08.24 传播文化业《《黑神话：悟空》销量突破，关注 游戏产业及云游戏》2024.08.21 传播文化业《《黑神话：悟空》上线在即，XR 眼镜再迎升级》2024.08.18 | --- | --- | --- | --- | --- | |----------|-----------------------------------|-------------------------|--------- ...

Investment Rating - The report maintains a "Buy" rating for the company, with a target price adjusted to 75.90 CNY from a previous forecast of 116.19 CNY [4][7]. Core Insights - The company is experiencing short-term pressure on performance due to weak mobile phone demand, with H1 2024 results falling below expectations. However, the RF module segment is entering a growth phase [3][7]. - The company focuses on high-end module product development and is advancing its complete ecosystem construction [7]. - Revenue for H1 2024 reached 2.285 billion CNY, a year-on-year increase of 37.20%, while net profit attributable to shareholders was 354 million CNY, up 3.32% year-on-year [7][8]. Financial Summary - H1 2024 revenue from RF discrete devices was 1.266 billion CNY, a year-on-year increase of 14.74%, while RF module revenue was 966 million CNY, up 81.41% year-on-year [7]. - The gross margin for H1 2024 was 42.12%, down 6.94 percentage points from the same period in 2023, reflecting pressure from increased competition and price declines in the RF front-end chip market [7][8]. - The company has adjusted its EPS forecasts for 2024-2026 to 1.38 CNY, 1.97 CNY, and 2.50 CNY, respectively, down from previous estimates of 2.24 CNY, 2.91 CNY, and 3.47 CNY [7][8]. Market Position and Growth Potential - The company is recognized as a leading domestic RF chip manufacturer, with significant growth potential in its RF module products and innovations in AI mobile technology [7]. - The company has successfully optimized and iterated its MAX-SAW L-PAMiD product line, achieving industry-leading performance levels, and has entered mass production of its 12-inch IPD platform [7][8].