Quantitative Models and Construction 1. Model Name: GRU Model - **Model Construction Idea**: The GRU model is used to capture temporal dependencies in financial data, leveraging its recurrent structure to predict stock movements and generate long-short signals[4][5][6] - **Model Construction Process**: - Input data includes historical stock prices, technical indicators, and fundamental factors - The GRU network processes sequential data to learn patterns over time - Outputs are used to construct long-short portfolios based on predicted returns[4][5][6] - **Model Evaluation**: The GRU model demonstrates strong performance in certain market conditions, though its results vary across different stock pools[4][5][6] 2. Model Name: Barra Models (barra1d, barra5d) - **Model Construction Idea**: Barra models are factor-based models designed to decompose stock returns into systematic and idiosyncratic components, enabling factor-based portfolio construction[4][5][6] - **Model Construction Process**: - Factors such as size, value, momentum, and volatility are calculated for each stock - Stocks are ranked based on factor scores, and portfolios are constructed by going long the top 10% and short the bottom 10% of stocks based on factor rankings - barra1d uses daily data, while barra5d aggregates data over a 5-day window[4][5][6] - **Model Evaluation**: barra1d shows consistent strong performance, while barra5d experiences significant drawdowns in certain periods[4][5][6] --- Backtesting Results of Models GRU Model - **Open1d**: Weekly excess return: -1.80%, Monthly: -1.96%, YTD: 5.24%[33] - **Close1d**: Weekly excess return: -2.40%, Monthly: -3.10%, YTD: 4.04%[33] Barra Models - **Barra1d**: Weekly excess return: -0.63%, Monthly: -0.34%, YTD: 3.13%[33] - **Barra5d**: Weekly excess return: -1.80%, Monthly: -2.08%, YTD: 6.42%[33] --- Quantitative Factors and Construction 1. Factor Name: Beta - **Factor Construction Idea**: Measures the sensitivity of a stock's returns to market movements[15] - **Factor Construction Process**: Calculated as the historical beta of the stock relative to the market index[15] 2. Factor Name: Size - **Factor Construction Idea**: Captures the size effect, where smaller firms tend to outperform larger firms[15] - **Factor Construction Process**: Natural logarithm of total market capitalization[15] 3. Factor Name: Momentum - **Factor Construction Idea**: Stocks with strong past performance tend to continue performing well in the short term[15] - **Factor Construction Process**: - Weighted combination of historical excess return volatility (0.74), cumulative excess return deviation (0.16), and residual return volatility (0.10)[15] 4. Factor Name: Volatility - **Factor Construction Idea**: Measures the risk or variability in stock returns[15] - **Factor Construction Process**: Weighted combination of historical residual return volatility and other metrics[15] 5. Factor Name: Valuation - **Factor Construction Idea**: Identifies undervalued stocks based on fundamental metrics[15] - **Factor Construction Process**: Inverse of price-to-book ratio[15] 6. Factor Name: Liquidity - **Factor Construction Idea**: Measures the ease of trading a stock[15] - **Factor Construction Process**: Weighted combination of monthly turnover (0.35), quarterly turnover (0.35), and annual turnover (0.30)[15] 7. Factor Name: Profitability - **Factor Construction Idea**: Captures the financial health and earnings quality of a firm[15] - **Factor Construction Process**: Weighted combination of analyst-predicted earnings yield, cash flow yield, and other profitability metrics[15] 8. Factor Name: Growth - **Factor Construction Idea**: Identifies firms with strong earnings and revenue growth[15] - **Factor Construction Process**: Weighted combination of earnings growth rate (0.24) and revenue growth rate (0.47)[15] 9. Factor Name: Leverage - **Factor Construction Idea**: Measures the financial risk associated with a firm's debt levels[15] - **Factor Construction Process**: Weighted combination of market leverage (0.38), book leverage (0.35), and debt-to-asset ratio (0.27)[15] --- Backtesting Results of Factors Fundamental Factors - **Growth**: Weekly excess return: 2.41%, Monthly: -2.18%, YTD: 3.20%[28] - **Profitability**: Weekly excess return: 0.22%, Monthly: 40.98%, YTD: 6.12%[28] Technical Factors - **Momentum (20-day)**: Weekly excess return: 1.72%, Monthly: 4.23%, YTD: -5.29%[30] - **Volatility (120-day)**: Weekly excess return: 4.85%, Monthly: 8.64%, YTD: -14.60%[30]

Investment Rating - Industry investment rating: Stronger than the market, maintained [1] Core Views - Focus: OPEC+ plans to increase production by 547,000 barrels per day in September, leading to a rise in US crude oil and gasoline inventories, resulting in a decline in energy prices and weaker performance in the petrochemical sector [2] - Review: The petrochemical index closed at 2283.32 points, down 0.05% from the previous week, with oilfield services showing the best performance within the sector, increasing by 3.77% [3][5] - Crude Oil: Energy prices are declining, with US crude oil inventories rising and mixed performance in refined oil inventories [6][11] - Polyester: Prices of polyester filament are stable with an upward trend, and inventory days for Jiangsu and Zhejiang weaving machines are decreasing, indicating an increase in operating rates [15][21] - Olefins: Sample prices for polyolefins remain stable, while inventories are increasing [22][25] Summary by Sections Crude Oil - Energy prices are on a downward trend, with Brent crude futures and TTF natural gas futures closing at $66.33 per barrel and €30.92 per megawatt-hour, down 0.8% and 4.0% respectively from the previous week [8] - US crude oil and petroleum product inventories (excluding strategic reserves) stand at 1,267,347 thousand barrels, an increase of 7,522 thousand barrels from the previous period [12] Polyester - The prices of polyester filament (POY, DTY, FDY) are reported at 6,750, 7,950, and 7,100 yuan per ton, with price differentials increasing by 184, 154, and 254 yuan per ton respectively compared to last week [16] - Inventory days for polyester filament in Jiangsu and Zhejiang have decreased, with FDY, DTY, and POY inventory days at 23.3, 28.2, and 16.1 days respectively [21] Olefins - Sample prices for polyethylene and polypropylene are reported at 7,830 and 8,050 yuan per ton, with a slight increase of 0.51% and no change respectively from the previous week [25] - The total petrochemical inventory for polyolefins is 770,000 tons, an increase of 20,000 tons from the previous week [25]

Industry Investment Rating - The industry investment rating is "Outperform" and is maintained [2] Core Views - The report highlights strong performance in the PEEK and liquid cooling sectors, with key companies such as Wanhua Chemical, Yangnong Chemical, and Hongsheng Real Estate being recommended for investment. Additionally, the report emphasizes the focus on pesticide anti-involution lines, particularly in Limin Co., Ltd. [5][6] - The basic chemical sector has shown a weekly increase of 2.46%, outperforming the CSI 300 index, which increased by 2.37% [6][19] Summary by Relevant Sections Industry Overview - The closing index for the basic chemical sector is at 3908.04, with a weekly high of 3908.04 and a low of 2687.54 [2] - Year-to-date performance shows the basic chemical index has decreased by 13.10%, while the CSI 300 index has increased by 24.10%, indicating a lag of 10.99 percentage points [19] Key Companies and Investment Ratings - Wanhua Chemical: Buy, closing price 63.0, market cap 197.19 billion, EPS 137.4, PE 14.4 [12] - Yangnong Chemical: Buy, closing price 64.9, market cap 26.33 billion, EPS 13.8, PE 19.0 [12] - Hualu Hengsheng: Buy, closing price 24.5, market cap 51.93 billion, EPS 40.5, PE 12.8 [12] - Juhua Co., Ltd.: Not rated, closing price 28.5, market cap 76.83 billion, EPS 42.6, PE 18.0 [12] Weekly Stock Performance - Top gainers include: - Kaimete Gas: +34.73% - Weike Technology: +31.54% - Xinhang New Materials: +31.43% [7][19] - Top losers include: - Zhizheng Co., Ltd.: -13.04% - Donghua Energy: -11.49% - Renzhi Co., Ltd.: -10.00% [8][22] Commodity Price Movements - Significant price increases were noted in: - Liquid chlorine: +29.05% - Industrial-grade lithium carbonate: +19.42% - Battery-grade lithium carbonate: +17.48% [9][25] - Price declines were observed in: - Methyl chloride: -10.64% - Butanone: -8.91% - Organic silicon DMC: -8.00% [10][27]

- Model Name: Diffusion Index Model; Model Construction Idea: The model monitors the critical points of future diffusion index changes; Model Construction Process: The model uses a table to monitor the future diffusion index change points. The horizontal axis represents the percentage change in stock prices from the current week, ranging from 1.1 to 0.9, indicating a 10% rise to a 10% fall. The vertical axis represents the length of the review period from the current week, with T ranging from 20 to 10, indicating the number of trading days from the current week, i.e., N from 0 to 10, N=20-T. For example, a horizontal axis value of 0.95 and a vertical axis value of 15 days is 0.21, indicating that if all stocks in the micro-cap index fall by 5% after N=5 days, the value of the micro-cap diffusion index is 0.21. The current value of the diffusion index is 0.76 (horizontal axis 20, vertical axis 1.00) [40][41][42] - Model Name: Initial Threshold Method (Left-Side Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The initial threshold method triggered a short position signal at the close of May 8, 2025, with a value of 0.9850 [45][46] - Model Name: Delayed Threshold Method (Right-Side Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The delayed threshold method triggered a short position signal at the close of May 15, 2025, with a value of 0.8975 [47][49] - Model Name: Double Moving Average Method (Adaptive Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The double moving average method triggered a short position signal at the close of August 4, 2025 [50][51] - Factor Name: Logarithmic Market Value Factor; Factor Construction Idea: The factor ranks stocks based on their logarithmic market value; Factor Construction Process: The factor is calculated by taking the logarithm of the market value of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.206, compared to a historical average of -0.033 [4][18][35] - Factor Name: Nonlinear Market Value Factor; Factor Construction Idea: The factor ranks stocks based on their nonlinear market value; Factor Construction Process: The factor is calculated by taking the nonlinear transformation of the market value of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.206, compared to a historical average of -0.033 [4][18][35] - Factor Name: Unadjusted Stock Price Factor; Factor Construction Idea: The factor ranks stocks based on their unadjusted stock price; Factor Construction Process: The factor is calculated by taking the unadjusted stock price of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.15, compared to a historical average of -0.014 [4][18][35] - Factor Name: Profitability Factor; Factor Construction Idea: The factor ranks stocks based on their profitability; Factor Construction Process: The factor is calculated by taking the profitability metrics of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.141, compared to a historical average of 0.022 [4][18][35] - Factor Name: Single Quarter ROE Factor; Factor Construction Idea: The factor ranks stocks based on their single quarter return on equity (ROE); Factor Construction Process: The factor is calculated by taking the single quarter ROE of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.137, compared to a historical average of 0.022 [4][18][35] - Diffusion Index Model, Rank IC: 0.76 [40][41][42] - Initial Threshold Method, Rank IC: 0.9850 [45][46] - Delayed Threshold Method, Rank IC: 0.8975 [47][49] - Double Moving Average Method, Rank IC: 0.76 [50][51] - Logarithmic Market Value Factor, Rank IC: 0.206 [4][18][35] - Nonlinear Market Value Factor, Rank IC: 0.206 [4][18][35] - Unadjusted Stock Price Factor, Rank IC: 0.15 [4][18][35] - Profitability Factor, Rank IC: 0.141 [4][18][35] - Single Quarter ROE Factor, Rank IC: 0.137 [4][18][35]

Investment Rating - The report maintains a "Buy" rating for the company, expecting a relative increase in stock price of over 20% within the next six months [7][8]. Core Insights - The company achieved a revenue of 10.41 billion yuan in H1 2025, representing a year-on-year growth of approximately 14.9%, and a net profit attributable to shareholders of 585 million yuan, up 57.8% from the previous year [3][4]. - The rebound in zinc processing fees and the increase in precious metal prices contributed to the company's significant performance improvement, alongside effective operational management and cost control [4][5]. - The acquisition of 100% equity in Shuikoushan Co., Ltd. has enhanced the company's resource capabilities, with Shuikoushan contributing significantly to the overall net profit [6]. Financial Performance - In H1 2025, the company reported a net profit of approximately 1 billion yuan from its smelting segment, driven by rising processing fees and product prices [5]. - The company’s net profit from Shuikoushan reached 489 million yuan in H1 2025, accounting for about 84% of the total net profit [6]. - The company forecasts net profits of 1.29 billion yuan, 1.35 billion yuan, and 1.46 billion yuan for 2025, 2026, and 2027 respectively, with year-on-year growth rates of 63.83%, 4.93%, and 7.92% [8][10]. Market Position and Outlook - The company is transitioning from a lead-zinc smelting focus to a resource-oriented model, leveraging its high-grade mineral resources [6]. - The report anticipates stable growth in the company's mining production and sales, supported by rising gold and silver prices [8].

- Model Name: Diffusion Index Model; Construction Idea: The model is based on the observation of industry diffusion indices to capture industry trends; Construction Process: The model tracks the weekly and monthly changes in diffusion indices for various industries, ranking them based on their diffusion index values. The formula used is not explicitly mentioned, but the ranking is based on the diffusion index values observed; Evaluation: The model has shown varying performance over the years, with notable returns in some years and significant drawdowns in others[4][24][25] - Model Name: GRU Factor Model; Construction Idea: The model utilizes GRU (Gated Recurrent Unit) neural networks to process minute-level volume and price data to generate industry factors; Construction Process: The model ranks industries based on GRU-generated factors, which are derived from deep learning on historical volume and price data. The specific formula is not provided, but the ranking is based on the GRU factor values; Evaluation: The model has shown strong performance in short cycles but struggles in longer cycles and extreme market conditions[5][30][31] Model Backtest Results - Diffusion Index Model, Average Weekly Return: 3.95%, Excess Return over Equal-weighted Index: 1.94%, August Excess Return: 1.51%, Year-to-date Excess Return: 1.75%[28] - GRU Factor Model, Average Weekly Return: -0.06%, Excess Return over Equal-weighted Index: -2.07%, August Excess Return: -1.78%, Year-to-date Excess Return: -6.66%[33] Factor Construction and Evaluation - Factor Name: Diffusion Index; Construction Idea: The factor is constructed by observing the weekly and monthly changes in industry diffusion indices; Construction Process: The factor ranks industries based on their diffusion index values, with higher values indicating stronger trends. The specific formula is not provided, but the ranking is based on the observed diffusion index values; Evaluation: The factor has shown varying performance, capturing industry trends effectively in some periods while underperforming in others[4][24][25] - Factor Name: GRU Industry Factor; Construction Idea: The factor is generated using GRU neural networks to process minute-level volume and price data; Construction Process: The factor ranks industries based on GRU-generated values, which are derived from deep learning on historical data. The specific formula is not provided, but the ranking is based on the GRU factor values; Evaluation: The factor performs well in short cycles but faces challenges in longer cycles and extreme market conditions[5][30][31] Factor Backtest Results - Diffusion Index Factor, Top Industries: Comprehensive Finance (1.0), Steel (1.0), Non-bank Finance (0.999), Comprehensive (0.998), Non-ferrous Metals (0.997), Communication (0.997)[25] - GRU Industry Factor, Top Industries: Non-ferrous Metals (5.67), Non-bank Finance (4.65), Building Materials (4.14), Real Estate (4.08), Steel (3.64), Basic Chemicals (2.71)[31][13]

Industry Investment Rating - The industry investment rating is "Outperform the Market" and is maintained [1] Core Viewpoints - The report highlights investment opportunities in rare earth magnetic materials and energy metals such as lithium and cobalt, indicating a positive long-term outlook despite short-term fluctuations in prices [5][9] - The report notes that copper prices are expected to rise in the long term due to supply constraints, particularly after Chile's national copper commission significantly lowered its 2025 copper production growth forecast [5] - The report emphasizes the strong demand for rare earth metals, driven by increased orders from major manufacturers, which is expected to lead to price increases [9] Summary by Relevant Sections Industry Basic Situation - The closing index for the industry is 5905.88, with a weekly high of 5905.88 and a low of 3700.9 [1] Price Movements - Basic metals saw LME copper decrease by 0.08%, aluminum by 0.46%, zinc by 1.32%, and lead by 1.12%. In contrast, lithium prices surged by 15.02% [21] Inventory Changes - Global visible inventory changes included an increase of 6293 tons in copper, 30567 tons in aluminum, and 950 tons in nickel, while lead saw a decrease of 3973 tons [32]

Investment Rating - The report maintains a "Buy" rating for the company, indicating an expected relative increase in stock price of over 20% compared to the benchmark index within the next six months [6][14]. Core Insights - The company reported a significant revenue growth of 27.7% year-on-year for H1 2025, with a total revenue of 700 million yuan. The net profit attributable to the parent company increased by 13.6% year-on-year to 160 million yuan [3][4]. - The company experienced a remarkable order growth in Q2 2025, with new orders amounting to 530 million yuan, representing a year-on-year increase of 43.6%. This includes a breakthrough in the Middle East market with a major project win [4][5]. - The company is actively pursuing stock buybacks and employee stock option plans, reflecting management's confidence in future performance [5]. Summary by Sections Company Overview - The latest closing price is 29.40 yuan, with a total market capitalization of 12.7 billion yuan. The company has a total share capital of 432 million shares, with a debt-to-asset ratio of 28.3% and a price-to-earnings ratio of 40.27 [2]. Financial Performance - For H1 2025, the company's revenue from its main segments was as follows: composite external insulation for substations at 490 million yuan (up 27.6%), rubber sealing components at 120 million yuan (up 17.7%), and composite external insulation for power transmission and distribution lines at 80 million yuan (up 71.8%) [3][4]. - The overall gross margin for H1 2025 was 44.4%, a decrease of 2.9 percentage points year-on-year, while the net margin was 22.8%, down 2.8 percentage points year-on-year [4]. Profit Forecast - The company forecasts net profits attributable to the parent company for 2025, 2026, and 2027 to be 430 million, 540 million, and 670 million yuan, respectively, corresponding to price-to-earnings ratios of 30, 24, and 19 times [6][10].

Economic Growth - In July, the economic growth rate is estimated to be 5.3%, a decrease of 0.4 percentage points from the previous value[1] - Consumption showed a slight marginal slowdown, while investment continued to decline, increasing the drag on economic growth[1] - Real estate investment is nearing its bottom, indicating ongoing challenges in the sector[1] Consumer Behavior - The year-on-year growth rate of social retail sales in July was 3.7%, down 1.1 percentage points from the previous value and lower than the expected 4.87%[11] - Consumer budget constraints remain cautious, with the marginal propensity to consume at 65.52%, a decrease of 0.08 percentage points from the previous year[16] - Upgrading consumption remains stable, with jewelry and cosmetics showing year-on-year growth rates of 8.2% and 4.5%, respectively[19] Investment Trends - Fixed asset investment growth rate for January to July was 1.6%, below the expected 2.68% and down 1.2 percentage points from the previous value[21] - Real estate investment saw a year-on-year decline of 12%, indicating ongoing pressure in the housing market[22] - Infrastructure investment growth rates were 3.2% for narrow definitions and 7.29% for broad definitions, both showing declines from previous values[21] Policy Implications - Incremental consumption policies are expected to boost retail sales growth by approximately 0.62%[28] - The "anti-involution" policy aims to improve price levels, with a focus on achieving a balance between quantity and price to enhance industrial profits[30] - Risks include escalating geopolitical conflicts and the possibility that policy effects may not meet expectations[31]

Investment Rating - The report assigns a "Buy" rating for the stock, indicating an expected relative increase of over 20% compared to the benchmark index within six months [2][13]. Core Insights - The company, Weixing New Materials, reported a revenue of 2.078 billion yuan for the first half of 2025, a year-on-year decline of 11.3%, with a net profit attributable to shareholders of 271 million yuan, down 20.25% year-on-year [5][6]. - The decline in revenue is primarily attributed to weak downstream demand, with retail business affected by insufficient consumer confidence and project funding issues impacting engineering and municipal sectors [6]. - Despite the revenue drop, the company maintained resilient profitability, with a net profit margin of 13.08% and a gross margin of 40.5% [6]. - The company is focusing on enhancing its core competitiveness through product iteration and service innovation, while also expanding its "Weixing Whole House Water Ecology" initiative [7]. Financial Performance Summary - The company’s revenue for Q2 2025 was 1.18 billion yuan, reflecting a 12.2% year-on-year decline, with a net profit of 157 million yuan, down 15.55% year-on-year [5][6]. - Revenue breakdown for the first half of 2025 includes PPR at 930 million yuan, PE at 410 million yuan, PVC at 290 million yuan, and other products at 420 million yuan, with respective year-on-year changes of -13%, -13%, -4%, and -8% [6]. - The company expects revenues of 5.98 billion yuan and 6.29 billion yuan for 2025 and 2026, respectively, with corresponding net profits of 871.69 million yuan and 972.79 million yuan [7][9]. Financial Metrics - The company has a total market capitalization of 17.5 billion yuan and a price-to-earnings ratio of 18.03 [4]. - The asset-liability ratio stands at 21.1%, indicating a solid financial position [4]. - Forecasted earnings per share (EPS) for 2025 and 2026 are 0.55 yuan and 0.61 yuan, respectively [9][12].