Group 1: Investment Rating - There is no information about the industry investment rating provided in the report. Group 2: Core Views - Last week, the bond market adjusted continuously. Credit bonds experienced an unexpected "steep decline" with larger drops than interest - rate bonds. Affected by the "anti - involution" sentiment, the equity and commodity markets strengthened, causing the bond market to weaken due to the "see - saw" effect. Tightening liquidity in the second half of the week and strong profit - taking in funds and wealth management also contributed to the decline. The central bank's liquidity support on Friday stabilized the bond market temporarily [2][11]. - The adjustment of ultra - long - term credit bonds exceeded that of interest - rate bonds of the same maturity, with the highest adjustment in perpetual and secondary capital (perpetual and Tier 2, "Perp & T2") ultra - long bonds. The yields of AAA/AA + 10Y medium - term notes, AAA/AA + 10Y urban investment bonds, and AAA - 10Y bank Tier 2 capital bonds all increased significantly [3][12]. - The Perp & T2 bond market weakened and showed a "volatility amplifier" characteristic, with the declines of 3Y and above maturities exceeding those of general credit and ultra - long - term credit bonds of the same maturities. The trading sentiment was weak throughout the week, only easing on Friday [4][17]. - The selling intention of ultra - long - term credit bonds was strong, while the buying intention was weak. High - activity trading was mainly concentrated in 3 - 5Y low - quality urban investment bonds and some short - term real estate and financial bonds with flaws [5][22]. - Public funds continued to reduce their credit bond holdings, especially for bonds with maturities over 5 years. However, the turnover rate of 3 - 5Y Perp & T2 bonds increased significantly, indicating a shift to more liquid varieties. The trading value of credit - market - making ETFs decreased by nearly 4 billion, and the growth rate of the trading value of sci - tech innovation bond ETFs slowed down [5][27]. - In the short term, liquidity is still the key strategy. After the steep decline, 3 - 5Y bank Tier 2 capital bonds present certain investment opportunities, and there are also good opportunities for 1 - 3Y low - quality urban investment bond sinking and riding strategies. It is recommended to wait for better entry points for ultra - long - term bonds [5][27]. Group 3: Summary by Directory 1. Bond Market Adjustment and Performance - From July 21 to July 25, 2025, the yields of 1Y - 5Y treasury bonds increased by 3.5BP, 5.5BP, 7.3BP, 7.9BP, and 7.9BP respectively, while the yields of the same - maturity AAA and AA + medium - term notes increased more significantly [11]. - The yields of 10Y AAA/AA + medium - term notes, AAA/AA + urban investment bonds, and AAA - 10Y bank Tier 2 capital bonds increased by 11.99BP, 9.99BP, 11.14BP, 10.14BP, and 14.47BP respectively, while the 10Y treasury bond yield only increased by 6.72BP [3][12]. 2. Curve Shape and Credit Spread Analysis - The steepness of the 1 - 2Y all - grade and 2 - 3Y low - grade curves was the highest, and the steepness was basically the same as that at the end of May. Except for the relatively flat short - end (less than 1 year), the rest of the maturities were at the highest steepness since the current bull market [14]. - The 3Y - 5Y credit spread protection cushion has been strengthened. The yields of 1Y - AAA, 3Y - AAA, 5Y - AAA, 1Y - AA +, 3Y - AA +, 5Y - AA +, 1Y - AA, and 3Y - AA medium - term notes were at the 19.89%, 26.02%, 25.25%, 12.75%, 15.05%, 18.62%, 13.77%, and 17.85% levels since 2024 respectively. The historical quantiles of their credit spreads were 11.14%, 24.66%, 28.64%, 6.89%, 13.52%, 21.48%, 7.69%, and 26.79% respectively [16]. 3. Perp & T2 Bond Market Analysis - The Perp & T2 bond market weakened, and the declines of 3Y and above maturities exceeded those of general credit and ultra - long - term credit bonds of the same maturities. The 1 - 5Y, 7Y, and 10Y AAA - bank Tier 2 capital bond yields increased by 6.73BP, 11.11BP, 13.80BP, 15.27BP, 13.67BP, 14.21BP, and 14.47BP respectively [4][17]. - The trading sentiment was weak throughout the week, only easing on Friday. From July 21 to July 25, the low - valuation trading ratios of Perp & T2 bonds were 4.88%, 7.32%, 0.00%, 0.00%, and 100.00% respectively, and the average trading durations were 0.77 years, 0.63 years, 0.53 years, 0.50 years, and 4.05 years respectively [4][19]. 4. Ultra - long - term Credit Bond Market Analysis - The selling intention of ultra - long - term credit bonds was strong, and the discount trading ratios from July 21 to July 25 were 92.68%, 60.98%, 90.24%, 97.56%, and 65.85% respectively. The discount amplitude was also significant, with some trading at over 5BP [5][22]. - The buying intention of ultra - long - term credit bonds was weak. The low - valuation trading ratios from July 21 to July 25 were 29.27%, 4.88%, 2.44%, 2.44%, and 4.88% respectively, and most of the low - valuation trading amplitudes were within 2BP [5][23]. 5. Institutional Behavior and ETF Analysis - Public funds continued to reduce their credit bond holdings, especially for bonds with maturities over 5 years. However, the turnover rate of 3 - 5Y Perp & T2 bonds increased significantly, indicating a shift to more liquid varieties [5][27]. - Affected by the market adjustment, the trading value of credit - market - making ETFs decreased by nearly 4 billion in a week, and the growth rate of the trading value of sci - tech innovation bond ETFs slowed down, with the subsequent increase in ETFs possibly falling short of expectations [5][27].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - High - frequency economic data shows production end heat differentiation, with the steel industry chain recovering while asphalt, PX, and tire operating rates decreasing. The real - estate market is marginally improving, with increases in both commercial housing and land transaction areas. Price trends are also differentiated, with crude oil falling, coking coal rising significantly by 32.6%, rebar prices increasing, and non - ferrous metals remaining stable. Among agricultural products, pork, eggs, and vegetables are rising, with eggs having a large increase. Shipping index trends continue to diverge, with domestic SCFI and CCFI falling and BDI continuing to rebound sharply. Short - term focus should be on the implementation of new round of stable growth stimulus policies, the recovery of the real - estate market, and the impact of international geopolitical changes [2][33]. 3. Summary by Relevant Catalog 3.1 Production: Steel Industry Chain Recovers, Asphalt, PX, Tire Operating Rates Decrease - In the week of July 25, the coke oven capacity utilization rate increased by 0.71 pct, blast furnace operating rate remained flat, and rebar production increased by 2.9 tons. Meanwhile, the petroleum asphalt operating rate decreased by 4.0 pct, chemical PX operating rate decreased by 0.81 pct, PTA remained flat, and the operating rates of automobile all - steel tires and semi - steel tires decreased by 0.08 pct and 0.12 pct respectively [3][9][10]. 3.2 Demand: Real - Estate Market Marginally Rebounds, BDI Continues to Rebound Rapidly - In the week of July 20, the commercial housing transaction area rebounded, the inventory - to - sales ratio increased, land transaction area rebounded, and the residential land transaction premium rate increased. Movie box office increased by 215 million yuan compared with the previous week, and automobile manufacturers' daily average retail and wholesale sales increased by 11,000 and 12,000 vehicles respectively. In the week of July 25, the shipping index SCFI fell by 3.3%, CCFI fell by 3.24%, and BDI continued to rebound significantly by 9.9% [3][15][21]. 3.3 Price: Crude Oil Falls, Coking Coal and Rebar Rise Significantly, Non - Ferrous Metals Remain Stable - In the week of July 25, Brent crude oil price fell by 1.21% to $68.44 per barrel, coking coal futures price rose by 32.6% to 1,236.5 yuan per ton. LME copper, aluminum, and zinc futures prices changed by +0.02%, - 0.27%, and +0.18% respectively, and domestic rebar futures price rose by 5.07%. The overall price of agricultural products slightly decreased but remained in a seasonal upward trend, with pork, eggs, vegetables, and fruits changing by +1.02%, +6.83%, +1.15%, and - 1.24% respectively compared with the previous week [3][23][26]. 3.4 Logistics: Subway Passenger Volume and Flight Volume Decrease, Peak Congestion Index in First - Tier Cities Continues to Fall - In the week of July 25, subway passenger volumes in Beijing and Shanghai decreased, domestic and international flight volumes decreased, and the peak congestion index in first - tier cities continued to fall [4][29][30]. 3.5 Summary: Coking Coal and Rebar Prices Rise, BDI Continues to Rebound Rapidly - High - frequency economic data shows production end heat differentiation, real - estate market marginal improvement, price trend differentiation, and shipping index trend divergence. Short - term focus should be on new policies, real - estate market recovery, and geopolitical changes [33].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This weekly report tracks the liquidity scores of individual bonds in different bond sectors based on the bond asset liquidity scores of qb. The liquidity of medium - to long - term, medium - to high - rated urban investment bonds has decreased, while the liquidity of medium - to long - term industrial bonds has increased [1]. 3. Summary by Relevant Catalogs 3.1 Urban Investment Bonds: Decreased Liquidity of Medium - to Long - Term, Medium - to High - Rated Bond Items - **Quantity Changes**: The number of high - grade, high - liquidity urban investment bonds with medium - to long - terms and medium - to high - ratings has decreased. Regionally, the number of high - grade, high - liquidity bond items has increased in Shandong and Sichuan, remained stable in Chongqing, and decreased in Jiangsu and Tianjin. In terms of maturity, the number of high - grade, high - liquidity bond items has remained stable for those within 1 year and over 5 years, but decreased for those in the 1 - 2 - year, 2 - 3 - year, and 3 - 5 - year ranges. In terms of implicit ratings, the number of high - grade, high - liquidity bond items with implicit ratings of AAA, AA+, AA, AA(2), and AA - has all decreased, with a larger decrease in medium - to high - rated bonds [1][7]. - **Yield Changes**: Regionally, the yields of high - grade, high - liquidity urban investment bonds in Jiangsu, Shandong, Sichuan, Tianjin, and Chongqing have mainly increased, with the increase ranging from 5 - 15bp. In terms of maturity and implicit ratings, the yields of high - grade, high - liquidity urban investment bonds have mainly increased, with the increase ranging from 8 - 12bp [8]. - **Top 20 in Liquidity Score Increase**: The main body level is mainly AA, concentrated in regions such as Jiangsu, Zhejiang, Sichuan, Anhui, and Hunan, and the industries mainly involve construction decoration, transportation, and comprehensive industries [10]. - **Top 20 in Liquidity Score Decrease**: The main body level is mainly AA, with regional distribution mainly in Jiangsu, Zhejiang, Hunan, Fujian, and Shanghai, and the industries are mainly construction decoration, real estate, and comprehensive industries [10]. 3.2 Industrial Bonds: Increased Liquidity of Medium - to Long - Term Bond Items - **Quantity Changes**: The number of high - grade, high - liquidity industrial bonds with medium - to long - terms has increased. By industry, the number of high - grade, high - liquidity bond items has increased in the public utilities and steel industries, and decreased in the real estate, transportation, and coal industries. In terms of maturity, the number of high - grade, high - liquidity bond items has increased for those in the 2 - 3 - year, 3 - 5 - year, and over 5 - year ranges, remained stable for those in the 1 - 2 - year range, and decreased for those within 1 year. In terms of implicit ratings, the number of high - grade, high - liquidity bond items with implicit ratings of AAA, AAA -, and AA+ has increased, while the number with implicit ratings of AAA+ and AA - has decreased [2][16]. - **Yield Changes**: By industry, the yields of high - grade, high - liquidity bonds in the public utilities, transportation, coal, and steel industries have mainly increased, with the increase ranging from 8 - 15bp. The yields of bond items with a liquidity level of B in the real estate industry have decreased, with a decrease of about 12bp. In terms of maturity, the yields of high - grade, high - liquidity bonds at all maturities have mainly increased, with the increase ranging from 10 - 14bp. In terms of implicit ratings, the yields of high - grade, high - liquidity bond items at all implicit ratings have mainly increased, with the increase ranging from 8 - 10bp [17]. - **Top 20 in Liquidity Score Increase**: The industries of the top 20 main bodies in liquidity score increase are mainly commerce and retail, real estate, and power equipment, and the main body levels are mainly AAA and AA+. The industries of the top 20 bonds are mainly transportation, public utilities, and real estate [18]. - **Top 20 in Liquidity Score Decrease**: The top 20 main bodies in liquidity score decrease are mainly in the construction decoration, real estate, and transportation industries, and the main body levels are mainly AAA and AA. The industries of the top 20 bonds are mainly transportation, public utilities, and coal [18].

Investment Rating - The industry investment rating is "Outperform the Market" and is maintained [2] Core Viewpoints - The agricultural sector has shown a significant rebound, with the agricultural index rising by 3.62% last week, ranking 9th among 31 primary industries [5][13] - The Ministry of Agriculture has convened major pig farming companies to discuss capacity regulation, which has positively impacted the breeding sector [5][14] - The pig market is experiencing price fluctuations due to supply pressures and weak demand, with the average price of pigs at 14.33 CNY/kg as of July 27, showing a slight decrease of 0.06 CNY/kg from the previous week [6][17] - The white feather chicken market has seen a price rebound, with chick prices rising to 2.30 CNY/chick, an increase of 0.8 CNY/chick from the previous week [26] Summary by Sections 1. Market Review - The agricultural sector index increased by 3.62%, outperforming the Shanghai Composite Index and CSI 300 Index, which rose by 1.67% and 1.69% respectively [13] - The Ministry of Agriculture's meeting with leading pig companies has sparked market interest in pig production capacity regulation [14] 2. Breeding Industry Chain Tracking 2.1 Pigs - The average weight of pigs at market is 128.48 kg, down 0.35 kg from the previous week, indicating a supply surplus [17] - The profitability for self-bred pigs is around 62 CNY per head, down 29 CNY from the previous week, while purchased piglets are facing a loss of 71 CNY per head [18] - The Ministry of Agriculture emphasizes the need for quality development in the pig industry, including reducing the number of breeding sows and controlling slaughter weights [20] 2.2 White Feather Chicken - The average price of meat chickens has increased by 5.31% to 3.37 CNY/kg, driven by reduced supply and improved demand conditions [26] - The update of grandparent stock has decreased significantly, with a 29.62% year-on-year decline in the first half of 2025 [26] 3. Planting Industry Chain Tracking - Sugar prices have slightly decreased to 6075 CNY/ton, while soybean prices have rebounded to 3943 CNY/ton, reflecting a 0.2% increase [29] - Cotton prices have increased by 1.43% to 15585 CNY/ton, and corn prices have risen slightly to 2379 CNY/ton [29]

Investment Rating - The report assigns a "Buy" rating for the company, marking its first coverage [1]. Core Insights - The company is experiencing rapid revenue growth from high-efficiency heat dissipation modules, with a projected revenue of 1.566 billion yuan in 2024, representing a year-on-year increase of 24.51%. The net profit attributable to shareholders is expected to reach 201 million yuan, a significant increase of 173.04% [4]. - For the first half of 2025, the company anticipates a net profit of 116 to 129 million yuan, reflecting a growth of 85.01% to 105.75%, driven by increased demand in the consumer electronics sector and the introduction of new projects and products [4]. - The company is strategically expanding its product applications in AI-enabled hardware and is maintaining a leading position in the artificial graphite materials sector [5]. Company Overview - The latest closing price is 27.13 yuan, with a total market capitalization of 8.1 billion yuan and a circulating market value of 5.5 billion yuan. The company has a total share capital of 300 million shares, with 203 million shares in circulation [3]. - The company has a debt-to-asset ratio of 19.5% and a price-to-earnings ratio of 40.13 [3]. Financial Projections - Revenue projections for 2025, 2026, and 2027 are 1.961 billion yuan, 2.432 billion yuan, and 3.104 billion yuan, respectively. The net profit attributable to shareholders is expected to be 295 million yuan, 375 million yuan, and 490 million yuan for the same years [8]. - The report indicates that the current stock price corresponds to price-to-earnings ratios of 28, 22, and 17 for the years 2025, 2026, and 2027, respectively [8].

Investment Rating - The investment rating for the company is "Buy" and is maintained [1] Core Views - The company is expected to achieve a net profit attributable to shareholders of between 390 million to 585 million yuan in the first half of 2025, representing a year-on-year increase of 178% to 317% [5] - The semiconductor business is experiencing continuous growth, with improved profitability due to market demand recovery, cost reduction strategies, and supply chain optimization [6] - The automotive sector is showing significant advantages, with over 60% of revenue coming from this area, and new product releases are expected to drive growth [7] Company Overview - Latest closing price is 37.11 yuan, with a total market capitalization of 462 billion yuan [3] - The company has a debt-to-asset ratio of 53.5% and a price-to-earnings ratio of -16.28 [3] Financial Projections - Projected revenues for 2025, 2026, and 2027 are 330.0 billion, 185.2 billion, and 218.2 billion yuan respectively, with net profits of 18.6 billion, 26.6 billion, and 33.1 billion yuan [8] - The company is expected to recover from previous losses, with a forecasted net profit of 1.86 billion yuan in 2025 [12] Performance Metrics - The company is expected to see a significant increase in EBITDA from 4.43 billion yuan in 2024 to 7.70 billion yuan in 2025 [12] - The gross profit margin is projected to improve from 9.8% in 2024 to 21.6% in 2025 [13]

Investment Rating - The report gives a "Buy" rating for the company, indicating an expected relative increase in stock price of over 20% compared to the benchmark index within six months [9][15]. Core Insights - The company has shown significant improvement in profitability and cost control, indicating a path towards high-quality development. In 2024, the operating revenue was 3.825 billion yuan, a decrease of 10.26%, while the net profit attributable to shareholders was 34 million yuan, an increase of 108.11% [3][4]. - The company has optimized its sales model through a direct sales reform pilot in nine provinces, which has led to steady growth in sales profits in those regions. By the end of 2024, the reform had been completed in six provinces, contributing positively to sales efficiency and profitability [5]. - The research pipeline is robust, with several new drug projects underway, including the Huanglian Jiedu Wan and Tang Ning Tong Luo projects. Successful approval and market entry of these projects could enhance the company's product structure and competitive edge [6]. Financial Performance Summary - For 2024, the gross margin was 58.09%, an increase of 2.80 percentage points, while the net profit margin was 0.88%, up by 10.60 percentage points. However, in Q1 2025, the gross margin dropped to 51.05%, a decrease of 12.79 percentage points [4]. - The company is projected to have revenues of 3.517 billion yuan in 2025, with net profits of 113 million yuan, reflecting a significant growth trajectory in subsequent years [9][11]. - The expected price-to-earnings (P/E) ratios for 2025, 2026, and 2027 are 66.5, 57.8, and 49.5 respectively, indicating a potential for valuation improvement as earnings grow [9][11].

Industry Investment Rating - The investment rating for the construction materials industry is "Outperform the Market" and is maintained [1] Core Views - The sentiment of "anti-involution" is rising, leading to significant price increases in cement, glass, and fiberglass commodities. The industry is expected to see a long-term trend improvement in fundamentals due to policy catalysts, as both prices and profitability are currently at the bottom [4] - Cement production capacity is anticipated to continue declining under the implementation of policies to limit overproduction, which will significantly enhance capacity utilization. A recovery in demand is expected in August, leading to gradual price increases [4] - The glass industry is experiencing price increases driven by environmental regulations, which will enhance standards and costs, accelerating the industry's cold repair progress [5] - The fiberglass sector is benefiting from demand driven by the AI industry, with a clear trend of volume and price increases expected [5] - The consumer building materials sector has reached a profitability bottom, with strong demands for price increases due to the "anti-involution" policies [5] Summary by Sections Industry Basic Situation - Closing point: 5007.18 - 52-week high: 5128.73 - 52-week low: 3435.69 [1] Recent Market Performance - The construction materials sector index increased by 8.20% in the past week, outperforming major indices such as the Shanghai Composite Index (1.67%) and the Shenzhen Component Index (2.33%) [6] Cement Market Insights - Cement prices are currently in a downtrend due to seasonal factors, with a 2.13% decrease in bagged P.O 42.5 ordinary cement prices week-on-week. The monthly production in June 2025 saw a year-on-year decline of 5.3% [8] Glass Market Insights - Glass prices increased by 0.76% this week, with futures closing at 1362 yuan/ton, primarily driven by "anti-involution" policies [12] Key Announcements - Tower Group reported a revenue of 2.056 billion yuan for the first half of 2025, a year-on-year increase of 4.05%, with a net profit of 435 million yuan, up 92.47% [16] - Puyang Co. signed a strategic cooperation framework agreement for 500,000 tons of active magnesium oxide orders from 2026 to 2028 [17]

Quantitative Models and Construction Methods - **Model Name**: Diffusion Index Model **Construction Idea**: The model monitors the future critical points of diffusion index changes to predict market trends[40][41] **Construction Process**: 1. Define the horizontal axis as the relative price change of stocks in the index, ranging from +10% to -10% 2. Define the vertical axis as the review period length (T days) or future period length (N days), where T ranges from 20 to 10 days, and N = 20 - T 3. Calculate the diffusion index value for each combination of horizontal and vertical axis values 4. Example: For N=5 days and T=15 days, if all stocks drop by 5%, the diffusion index value is 0.51[40] **Evaluation**: The model indicates that current trends are driven by leading stocks rather than bottom stock rotation, suggesting the weakening of reversal factors and strengthening of fundamental factors[41] - **Model Name**: First Threshold Method (Left-Side Trading) **Construction Idea**: This method triggers signals based on predefined threshold values[44] **Construction Process**: 1. Monitor the diffusion index value daily 2. Trigger a signal when the index reaches a specific threshold 3. Example: On May 8, 2025, the diffusion index value of 0.9850 triggered a sell signal[44] **Evaluation**: Provides early warning signals for market reversals[44] - **Model Name**: Delayed Threshold Method (Right-Side Trading) **Construction Idea**: Similar to the first threshold method but with delayed signal generation[46][48] **Construction Process**: 1. Monitor the diffusion index value daily 2. Trigger a signal when the index reaches a delayed threshold 3. Example: On May 15, 2025, the diffusion index value of 0.8975 triggered a sell signal[48] **Evaluation**: Offers a more conservative approach compared to the first threshold method[48] - **Model Name**: Dual Moving Average Method (Adaptive Trading) **Construction Idea**: Uses moving averages to adapt to market trends[49] **Construction Process**: 1. Calculate short-term and long-term moving averages of the diffusion index 2. Generate buy or sell signals based on the crossover of these averages 3. Example: On July 3, 2025, the method issued a buy signal[49] **Evaluation**: Effective in capturing trend reversals during adaptive market conditions[49] Model Backtesting Results - **Diffusion Index Model**: Current value is 0.89, showing an increasing trend at the bottom level[40][41] - **First Threshold Method**: Triggered a sell signal at 0.9850 on May 8, 2025[44] - **Delayed Threshold Method**: Triggered a sell signal at 0.8975 on May 15, 2025[48] - **Dual Moving Average Method**: Triggered a buy signal on July 3, 2025[49] Quantitative Factors and Construction Methods - **Factor Name**: Illiquidity Factor **Construction Idea**: Measures the impact of stock liquidity on returns[4][35] **Construction Process**: 1. Rank stocks based on their liquidity metrics 2. Calculate the rank IC (information coefficient) for the factor 3. Example: Weekly rank IC is 0.268, historical average is 0.04[4][35] **Evaluation**: Strong performance in the current week, significantly above historical averages[4][35] - **Factor Name**: Single-Quarter Net Profit Growth Factor **Construction Idea**: Evaluates the growth rate of net profit over a single quarter[4][35] **Construction Process**: 1. Calculate the quarterly net profit growth rate for each stock 2. Rank stocks based on growth rates 3. Example: Weekly rank IC is 0.062, historical average is 0.02[4][35] **Evaluation**: Moderate performance, slightly above historical averages[4][35] - **Factor Name**: Unadjusted Stock Price Factor **Construction Idea**: Uses raw stock prices without adjustments for splits or dividends[4][35] **Construction Process**: 1. Rank stocks based on their unadjusted prices 2. Calculate the rank IC for the factor 3. Example: Weekly rank IC is 0.055, historical average is -0.016[4][35] **Evaluation**: Positive performance, reversing historical negative trends[4][35] - **Factor Name**: Dividend Yield Factor **Construction Idea**: Measures the dividend yield of stocks[4][35] **Construction Process**: 1. Calculate the dividend yield for each stock 2. Rank stocks based on yield values 3. Example: Weekly rank IC is 0.046, historical average is 0.021[4][35] **Evaluation**: Consistent performance, slightly above historical averages[4][35] - **Factor Name**: PB Reciprocal Factor **Construction Idea**: Uses the reciprocal of the price-to-book ratio[4][35] **Construction Process**: 1. Calculate the reciprocal of PB for each stock 2. Rank stocks based on reciprocal values 3. Example: Weekly rank IC is 0.042, historical average is 0.033[4][35] **Evaluation**: Stable performance, aligned with historical averages[4][35] Factor Backtesting Results - **Illiquidity Factor**: Weekly rank IC is 0.268, historical average is 0.04[4][35] - **Single-Quarter Net Profit Growth Factor**: Weekly rank IC is 0.062, historical average is 0.02[4][35] - **Unadjusted Stock Price Factor**: Weekly rank IC is 0.055, historical average is -0.016[4][35] - **Dividend Yield Factor**: Weekly rank IC is 0.046, historical average is 0.021[4][35] - **PB Reciprocal Factor**: Weekly rank IC is 0.042, historical average is 0.033[4][35]

Quantitative Models and Construction Methods - **Model Name**: GRU **Model Construction Idea**: GRU is used for industry rotation and stock selection based on historical data and market trends[3][5][7] **Model Construction Process**: GRU utilizes gated recurrent units to process sequential data, capturing temporal dependencies in stock price movements and industry performance. It incorporates multiple factors such as momentum, volatility, and valuation metrics to predict future trends[3][5][7] **Model Evaluation**: GRU demonstrates strong performance in multi-factor combinations and industry rotation strategies, with notable differentiation across different stock pools[3][5][7] - **Model Name**: Barra **Model Construction Idea**: Barra focuses on style factors to explain stock returns and risks[14][15][16] **Model Construction Process**: Barra includes multiple style factors such as Beta, Size, Momentum, Volatility, Non-linear Size, Valuation, Liquidity, Profitability, Growth, and Leverage. Each factor is calculated using specific formulas: - **Beta**: Historical beta - **Size**: Natural logarithm of total market capitalization - **Momentum**: Mean of historical excess return series - **Volatility**: $0.74 \times \text{historical excess return volatility} + 0.16 \times \text{cumulative excess return deviation} + 0.1 \times \text{historical residual return volatility}$ - **Non-linear Size**: Cubic transformation of market capitalization - **Valuation**: Reciprocal of price-to-book ratio - **Liquidity**: $0.35 \times \text{monthly turnover rate} + 0.35 \times \text{quarterly turnover rate} + 0.3 \times \text{annual turnover rate}$ - **Profitability**: Weighted combination of analyst forecast earnings-price ratio, reciprocal of cash flow ratio, reciprocal of trailing twelve-month P/E ratio, and forecasted growth rates - **Growth**: Weighted combination of earnings growth rate and revenue growth rate - **Leverage**: Weighted combination of market leverage, book leverage, and debt-to-asset ratio[15] **Model Evaluation**: Barra style factors provide a comprehensive framework for analyzing stock returns, with strong differentiation in multi-factor strategies[14][15][16] Model Backtesting Results - **GRU Model**: - **open1d**: Weekly excess return 0.61%, monthly 1.56%, yearly 7.78% - **close1d**: Weekly excess return 0.02%, monthly 1.45%, yearly 7.28% - **barra1d**: Weekly excess return -0.24%, monthly -0.07%, yearly 3.61% - **barra5d**: Weekly excess return 0.06%, monthly 1.35%, yearly 8.63% - **Multi-factor combination**: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] Quantitative Factors and Construction Methods - **Factor Name**: Beta **Factor Construction Idea**: Measures historical sensitivity to market movements[15] **Factor Construction Process**: Calculated as historical beta using regression analysis of stock returns against market returns[15] - **Factor Name**: Size **Factor Construction Idea**: Captures the impact of market capitalization on stock returns[15] **Factor Construction Process**: Natural logarithm of total market capitalization[15] - **Factor Name**: Momentum **Factor Construction Idea**: Reflects the persistence of stock price trends[15] **Factor Construction Process**: Mean of historical excess return series[15] - **Factor Name**: Volatility **Factor Construction Idea**: Measures risk associated with stock price fluctuations[15] **Factor Construction Process**: $0.74 \times \text{historical excess return volatility} + 0.16 \times \text{cumulative excess return deviation} + 0.1 \times \text{historical residual return volatility}$[15] - **Factor Name**: Non-linear Size **Factor Construction Idea**: Captures non-linear effects of market capitalization on returns[15] **Factor Construction Process**: Cubic transformation of market capitalization[15] - **Factor Name**: Valuation **Factor Construction Idea**: Reflects the relative attractiveness of stock prices[15] **Factor Construction Process**: Reciprocal of price-to-book ratio[15] - **Factor Name**: Liquidity **Factor Construction Idea**: Measures ease of trading stocks[15] **Factor Construction Process**: $0.35 \times \text{monthly turnover rate} + 0.35 \times \text{quarterly turnover rate} + 0.3 \times \text{annual turnover rate}$[15] - **Factor Name**: Profitability **Factor Construction Idea**: Captures earnings quality and growth potential[15] **Factor Construction Process**: Weighted combination of analyst forecast earnings-price ratio, reciprocal of cash flow ratio, reciprocal of trailing twelve-month P/E ratio, and forecasted growth rates[15] - **Factor Name**: Growth **Factor Construction Idea**: Reflects revenue and earnings growth trends[15] **Factor Construction Process**: Weighted combination of earnings growth rate and revenue growth rate[15] - **Factor Name**: Leverage **Factor Construction Idea**: Measures financial risk associated with debt levels[15] **Factor Construction Process**: Weighted combination of market leverage, book leverage, and debt-to-asset ratio[15] Factor Backtesting Results - **Beta**: Weekly excess return -0.24%, monthly -0.07%, yearly 3.61%[31][32][33] - **Size**: Weekly excess return 0.02%, monthly 1.45%, yearly 7.28%[31][32][33] - **Momentum**: Weekly excess return 0.61%, monthly 1.56%, yearly 7.78%[31][32][33] - **Volatility**: Weekly excess return 0.06%, monthly 1.35%, yearly 8.63%[31][32][33] - **Non-linear Size**: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - **Valuation**: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - **Liquidity**: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - **Profitability**: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - **Growth**: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - **Leverage**: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33]