Quantitative Models and Construction GRU Model - **Model Name**: GRU baseline model [2][3][14] - **Model Construction Idea**: The GRU model is designed to extract information from historical price and volume data to predict future returns. It serves as a baseline to evaluate the impact of adding financial data [14][15]. - **Model Construction Process**: - **Data Range**: All A-share stocks (excluding Beijing Stock Exchange) from 2013-01-01 to 2025-04-30 [16]. - **Input Features**: Past 240 trading days' price and volume data, including open price, high price, low price, close price, trading volume, turnover, and turnover rate. Each feature is standardized using z-score [16]. - **Prediction Target**: Next month's standardized return (from the opening price at the beginning of the month to the closing price at the end of the month) [16]. - **Training**: Rolling training with a 4:1 split between training and validation sets over the past six years. Early stopping is applied if the loss function does not decrease for 10 consecutive iterations [16]. - **Portfolio Construction**: Enhanced portfolio based on the CSI 1000 index, with constraints on stock weight deviation (1%), style deviation (within 0.1 standard deviation), and industry deviation (1%). Monthly rebalancing with a turnover rate of 50% per side [18]. - **Model Evaluation**: The GRU model demonstrates stable performance in extracting price-volume information, achieving consistent excess returns across years [19]. GRU Model with Financial Data - **Model Name**: GRU with financial data [4][24][25] - **Model Construction Idea**: Incorporates financial data into the GRU model to enhance its ability to predict future returns by combining price-volume and fundamental information [14][24]. - **Model Construction Process**: - **Financial Data**: Includes 20 fields from income statements, such as revenue, cost of goods sold, management expenses, R&D costs, and net profit. Data is converted to TTM (trailing twelve months) values [24][25]. - **Integration**: Financial data is appended to the price-volume matrix, standardized, and input into the GRU model [25]. - **Adjustment**: To address frequency mismatches, financial data is adjusted daily based on the assumption of stable TTM growth rates. The adjustment formula is: $$ \text{Factor}_{t} = \text{Factor}_{\text{TTM}_{q}} + \text{abs}(\text{Factor}_{\text{TTM}_{q}}) \cdot \frac{90}{\text{days in quarter}} $$ where \( t \) is the trading day and \( q \) is the financial reporting quarter [36][38]. - **Model Evaluation**: Adding financial data improves performance before 2023 but weakens it afterward. Adjusting financial data enhances overall performance, especially in earlier years [42][45]. Mixed-Frequency GRU Model - **Model Name**: Mixed-frequency GRU model (barra5d + daily GRU) [5][56][65] - **Model Construction Idea**: Combines long-term and short-term prediction capabilities by integrating daily and intraday GRU models [56][65]. - **Model Construction Process**: - **Daily GRU**: Trained on 240 trading days of daily data to predict monthly returns [16]. - **Intraday GRU (barra5d)**: Trained on 240 minutes of intraday data to predict 5-day returns, neutralized for Barra style factors [56]. - **Integration**: The two models are combined to leverage their complementary strengths [65]. - **Model Evaluation**: The mixed-frequency model significantly improves stability and excess returns, addressing weaknesses in individual models [67][68]. Mixed-Frequency GRU with Financial Data - **Model Name**: Mixed-frequency GRU with financial data (barra5d + daily GRU + financial data) [5][73][74] - **Model Construction Idea**: Enhances the mixed-frequency model by incorporating selected financial data to improve stability and performance across years [73][74]. - **Model Construction Process**: - **Financial Data Selection**: Only key financial indicators, such as net profit TTM and market capitalization, are retained to avoid redundancy [45]. - **Integration**: Financial data is appended to the mixed-frequency model, following the same adjustment process as the GRU with financial data model [36][38]. - **Model Evaluation**: The addition of financial data further stabilizes annual excess returns and improves overall performance metrics [77][80]. --- Model Backtesting Results GRU Baseline Model - **Excess Annualized Return**: 8.75% [19][23] - **IR**: 2.25 [19][23] - **Maximum Drawdown**: 4.71% [19][23] GRU with Financial Data - **Excess Annualized Return**: 6.86% [32][33] - **IR**: 1.46 [32][34] - **Maximum Drawdown**: 6.14% [32][34] GRU with Adjusted Financial Data - **Excess Annualized Return**: 7.76% [41][44] - **IR**: 1.65 [41][44] - **Maximum Drawdown**: 5.40% [41][44] GRU with Selected Financial Data - **Excess Annualized Return**: 9.97% [51][52] - **IR**: 1.93 [51][52] - **Maximum Drawdown**: 5.70% [51][52] Mixed-Frequency GRU Model - **Excess Annualized Return**: 11.32% [68][69] - **IR**: 2.42 [68][69] - **Maximum Drawdown**: 8.19% [68][69] Mixed-Frequency GRU with Financial Data - **Excess Annualized Return**: 11.82% [77][78] - **IR**: 2.39 [77][78] - **Maximum Drawdown**: 5.70% [77][78]

Investment Rating - The investment rating for the company is "Buy" and is maintained [2][5]. Core Views - The company reported a 2024 annual revenue of 34.226 billion yuan, a year-on-year increase of 25.55%, and a net profit attributable to shareholders of 3.903 billion yuan, up 9.14% year-on-year [5]. - In Q1 2025, the company experienced a revenue decline of 2.59% year-on-year, with a net profit drop of 33.65% year-on-year, attributed to pressure on product prices [5]. - The company is expected to benefit from the gradual release of its production capacity and a share buyback plan, which reflects management's confidence in long-term growth [5]. Company Overview - The latest closing price is 20.86 yuan, with a total market capitalization of 44.3 billion yuan [4]. - The company has a debt-to-asset ratio of 29.6% and a price-to-earnings ratio of 11.33 [4]. Financial Performance - For 2024, the company achieved a revenue of 342 billion yuan, with projected revenues of 348 billion yuan in 2025, 385 billion yuan in 2026, and 408 billion yuan in 2027 [6]. - The net profit attributable to shareholders is projected to be 38.87 billion yuan in 2025, 44.62 billion yuan in 2026, and 50.45 billion yuan in 2027, with corresponding EPS of 1.83, 2.10, and 2.38 yuan [6][7]. - The company’s EBITDA is expected to be 77.99 billion yuan in 2025, increasing to 93.41 billion yuan by 2027 [6]. Market Position and Strategy - The company is recognized as a low-cost leader in the coal chemical industry, with ongoing projects aimed at enhancing production capabilities [5]. - The management's decision to initiate a share buyback of 200 to 300 million yuan indicates strong confidence in the company's future [5].

-17% -12% -7% -2% 3% 8% 13% 18% 23% 28% 2024-06 2024-08 2024-10 2025-01 2025-03 2025-06 社会服务 沪深300 证券研究报告：社会服务|点评报告 行业投资评级 强于大市|维持 | 行业基本情况 | | --- | | 收盘点位 | | 8037.22 | | --- | --- | --- | | 52 | 周最高 | 9343.57 | | 52 | 周最低 | 5985.5 | 行业相对指数表现（相对值） 资料来源：聚源，中邮证券研究所 研究所 交运数据：小个位数增长。据中国交通报数据，2025 年 5 月 31 日至 6 月 2 日（端午节假期期间），预计全社会跨区域人员流动量累 计 6.57 亿人次，日均 2.19 亿人次，同比去年端午增长 3.0%。其中， 铁路客运量日均同比增长2.3%，公路人员流动量日均同比增长3.14%， 水路客运量日均同比下降 1.65%，民航客运量日均同比增长 1.22%。 出入境：小个位数增长。据国家移民管理局数据，今年端午节假 期全国边检机关共计保障 590.7 万人次中外人员出入境， ...

证券研究报告：电力|点评报告 发布时间：2025-06-04 行业投资评级 强于大市 |维持 行业基本情况 | 收盘点位 | | 3180.98 | | --- | --- | --- | | 52 | 周最高 | 3359.79 | | 52 | 周最低 | 2868.51 | 行业相对指数表现（相对值） 2024-05 2024-08 2024-10 2024-12 2025-03 2025-05 -13% -10% -7% -4% -1% 2% 5% 8% 11% 14% 17% 电力 沪深300 资料来源：聚源，中邮证券研究所 研究所 分析师:杨帅波 SAC 登记编号:S1340524070002 Email:yangshuaibo@cnpsec.com 南方区域电力市场运行规则进一步完善，看好虚拟 电厂对绿电运营商的赋能 l 投资要点 事件：2025 年 5 月 23 日，国家能源局南方监管局发布《南方区 域电力市场运行规则（试行，2025 年 V1.0 版征求意见稿）》。 l 区域电力市场规则进一步完善 1.1 电能量交易_中长期(1)提升交易便捷度：缩短交易周期，提 高交易频次，实现周、多日、逐 ...

证券研究报告：电力|点评报告 发布时间：2025-06-04 强于大市 |维持 行业基本情况 | 收盘点位 | | 3180.98 | | --- | --- | --- | | 52 | 周最高 | 3359.79 | | 52 | 周最低 | 2868.51 | 行业相对指数表现（相对值） 2024-05 2024-08 2024-10 2024-12 2025-03 2025-05 -13% -10% -7% -4% -1% 2% 5% 8% 11% 14% 17% 电力 沪深300 资料来源：聚源，中邮证券研究所 研究所 分析师:杨帅波 SAC 登记编号:S1340524070002 Email:yangshuaibo@cnpsec.com 行业投资评级 1.2 电能量交易_现货（1）阻塞盈余：采用节点电价结算所产生 的阻塞盈余，可按规则分配给经营主体（2）出清价格：节点电价暂由 系统电能价格与阻塞价格两部分构成。 2 阻塞盈余的分配：初期可采用分配方式处理阻塞盈余，待条件 成熟时，可通过市场化方式拍卖输电权，由输电权拥有者获取相应的 阻塞收入。 3 结算规则（1）公式 1（中长期差价结算）：发电侧电 ...

Investment Rating - The industry investment rating is "Outperform the Market" and is maintained [2] Core Viewpoints - The agricultural sector index increased by 1.79%, ranking 4th among 31 primary industries, driven by policy expectations [4][12] - Supply pressure in the pig market remains significant, with policies aimed at stabilizing pig prices due to concerns about future price declines [5][20] - The white feather chicken market shows stable chick prices, with a focus on domestic breeding opportunities amid import uncertainties [27] Summary by Sections Market Performance - The agricultural sector index rose 1.79%, outperforming the Shanghai Composite Index, which fell by 0.03% [12] - Among sub-sectors, planting and fruit processing led the gains, while the breeding sector experienced fluctuations due to policy expectations [13] Breeding Industry Chain Tracking Pig Market - As of June 2, the average price of live pigs was 14.41 yuan/kg, remaining stable compared to the previous week [5][17] - Supply pressures are expected to continue due to an increase in breeding sows and high market weights of pigs [5][20] - Profitability for self-bred pigs is around 36 yuan per head, while purchased piglets incur losses of 84 yuan per head [18] - The industry anticipates a narrow fluctuation in pig prices for 2025, with controlled supply growth [21] White Feather Chicken - As of June 3, chick prices were stable at 3.00 yuan per chick, with meat chicken prices at 3.68 yuan/kg [27] - The industry is currently well-supplied, with high levels of parent stock, despite uncertainties in imports due to avian influenza [27] Planting Industry Chain Tracking - Sugar prices have adjusted downwards, with white sugar priced at 6090 yuan/ton as of June 3, a decrease of 65 yuan/ton [30] - The price of Brazilian soybeans was 3640 yuan/ton, reflecting a 2.0% decrease [30] - Cotton prices showed slight fluctuations, priced at 14550 yuan/ton, down 0.1% [30] - Corn prices experienced a minor decline, averaging 2332 yuan/ton [32]

Investment Rating - The industry investment rating is "Outperform the Market" and is maintained [2] Core Viewpoints - The agricultural sector index increased by 1.79%, ranking 4th among 31 primary industries, driven by policy expectations [4][12] - The supply pressure for live pigs remains significant, but policies are signaling to stabilize pig prices [5][20] - The industry is expected to experience narrow fluctuations in pig prices in 2025, with a gradual reduction in production capacity [21] Summary by Sections Industry Overview - The closing index for the agricultural sector is 2705.92, with a 52-week high of 2838.04 and a low of 2110.64 [2] Livestock Industry Tracking Swine - As of June 2, the average price of live pigs is 14.41 yuan/kg, remaining stable compared to the previous week [5][17] - The number of breeding sows has been increasing since May 2024, indicating a potential rise in pig supply in the second half of 2025 [5][20] - Profit margins for self-bred pigs are around 36 yuan per head, while purchased piglets are incurring losses of 84 yuan per head [18] - The industry is focusing on cost competition, with recommendations to prioritize companies with cost advantages [6][21] Broilers - The price of white feather broiler chicks is stable at 3.00 yuan/chick, with meat chicken prices at 3.68 yuan/kg [27] - Concerns regarding imported breeds have eased, presenting opportunities for domestic breeding companies [27] Crop Industry Tracking - Sugar prices have decreased to 6090 yuan/ton, down 65 yuan from the previous week [30] - The price of Brazilian soybeans is 3640 yuan/ton, reflecting a 2.0% decline [30] - Cotton prices are slightly down to 14550 yuan/ton, showing a 0.1% decrease [30] - Corn prices have seen a minor drop to 2332 yuan/ton, down 3 yuan [32]

Investment Rating - The report assigns a "Buy" rating for the company, marking its first coverage [1][6][7]. Core Insights - The company is a leading domestic distributor of electronic components, actively expanding into electric vehicles and AI sectors. It has over 20 years of industry experience and holds agency rights for numerous well-known upstream chip manufacturers. The company has established a silicon carbide laboratory in collaboration with upstream manufacturers and has engaged in various testing and technical cooperation [4]. - In 2024, the company expects revenue, net profit attributable to shareholders, and net profit excluding non-recurring items to reach 7.821 billion yuan, 98.43 million yuan, and 86 million yuan, respectively, representing year-on-year growth of 31.58%, 48.34%, and 58.24% [4][9]. - The company’s revenue streams are diversified, with approximately 20% from the automotive sector, 16% from industrial and new energy clients, and 36% from communication and consumer electronics [4]. Financial Projections - The company is projected to achieve revenues of 10 billion yuan in 2025, 13 billion yuan in 2026, and 17 billion yuan in 2027, with net profits of 142.33 million yuan, 189.64 million yuan, and 242.76 million yuan for the respective years [6][9]. - The expected growth rates for revenue are 27.92% in 2025, 30.08% in 2026, and 30.64% in 2027 [9][12]. - The company’s earnings per share (EPS) are forecasted to be 0.12 yuan in 2025, 0.16 yuan in 2026, and 0.21 yuan in 2027, with corresponding price-to-earnings (P/E) ratios of 77.60, 58.24, and 45.49 [9][12].

证券研究报告：房地产|行业周报 发布时间：2025-06-03 行业投资评级 行业相对指数表现 -18% -13% -8% -3% 2% 7% 12% 17% 22% 27% 32% 2024-06 2024-08 2024-10 2025-01 2025-03 2025-05 房地产 沪深300 资料来源：聚源，中邮证券研究所 研究所 分析师:高丁卉 SAC 登记编号:S1340524080001 Email:gaodinghui@cnpsec.com 近期研究报告 《存量地产行业更需要"运营商"而非 "建造者"》 - 2025.05.27 强于大市|维持 | 行业基本情况 | | --- | | 收盘点位 | | 1989.86 | | --- | --- | --- | | 52 | 周最高 | 2656.47 | | 52 | 周最低 | 1627.84 | 房地产行业报告（2025.5.26-2025.6.1） 百强房企拿地优于去年 市场延续分化 ⚫ 投资要点 根据中指院数据，25 年 1-5 月，TOP100 房企销售总额为 14436.4 亿元，同比下降 10.8%，微降 0.6pct。5 月单 ...

Industry Investment Rating - The industry investment rating is maintained as "Outperform" [1] Core Insights - The report highlights a significant increase in the approval of domestic innovative drugs, marking a harvest period for the industry. A total of 53 new drugs were approved in China from the beginning of 2025 to the end of May, including 30 domestic and 23 imported innovative drugs, covering various therapeutic areas such as oncology and rare diseases [4][12] - The pharmaceutical sector saw an increase of 2.21% this week, outperforming the CSI 300 index by 3.3 percentage points, ranking second among 31 sub-industries [16][19] - The report emphasizes the potential for valuation reshaping among domestic innovative pharmaceutical companies, which could become a key investment theme throughout the year, especially with the upcoming national medical insurance negotiations [4][12] Summary by Sections Industry Overview - The closing index for the pharmaceutical sector is at 7699.75, with a weekly high of 8490.25 and a low of 6070.89 [1] Recent Performance - The biopharmaceutical sector has shown a strong performance, with the other bioproducts sector leading with a 4.65% increase, followed by chemical preparations at 4.27% and medical research outsourcing at 4% [5][18] Recommended and Benefiting Stocks - Recommended stocks include: Yingke Medical, Maipu Medical, Yihe Jiaye, Weidian Biology, Gongdong Medical, and others [6][25] - Benefiting stocks include: Shanhaishan, Yirui Technology, and others [6][25] Sub-sector Insights - The medical device sector is expected to see significant growth due to policy changes and procurement processes, with a current P/E ratio of 37.55, indicating potential for valuation increase [21] - The IVD sector is also highlighted for its growth potential, particularly in AI-assisted diagnostics, with a current P/E ratio of 32.30 [26][27] - The blood products sector is projected to maintain stable demand, with a 10.9% year-on-year increase in domestic plasma collection [28] Market Trends - The report notes a trend of increasing approvals for innovative drugs, with a focus on the upcoming national medical insurance negotiations that could accelerate market penetration for newly approved drugs [4][12]