Report Industry Investment Rating No relevant content provided. Core View of the Report In July 2025, liquidity is expected to remain relatively loose. From the perspective of bank assets and liabilities, July is not a traditional large credit month, and the maturity scale of inter - bank certificates of deposit (ICDs) in July is significantly lower than that in June. From the perspective of central bank liquidity injection, considering the external uncertainties caused by trade frictions, the central bank is expected to maintain a supportive attitude in terms of liquidity injection. However, the long - term bond yield is still at a relatively low level, and the leverage ratio in the inter - bank bond market has risen above 108% as the funding rate declines, so the room for further loosening of the funding situation is limited [8]. Summary by Relevant Catalogs 1. Funding Situation - **Central Bank's Net Injection**: From June 23 to June 27, 2025, the central bank's full - scale net injection was 126.72 billion yuan. The open - market reverse repurchase of 2027.5 billion yuan will expire from June 30 to July 4. In June, the MLF net injection was 11.8 billion yuan, and the net injection of outright reverse repurchase was 20 billion yuan [6]. - **Funding Rate**: From June 23 to June 27, 2025, the average values of DR001 and R001 were 1.37% and 1.44% respectively, with a decrease of 0.5 basis points and an increase of 0.6 basis points compared to June 16 - 20. The average values of DR007 and R007 were 1.65% and 1.82% respectively, with an increase of 12.8 basis points and 24.0 basis points compared to June 16 - 20 [7]. - **Government Bond Net Payment**: From June 23 to June 29, 2025, the government bond net payment scale was about 78.98 billion yuan, an increase of about 31.56 billion yuan compared to June 16 - 22. From June 30 to July 6, the government bond net payment scale is expected to be about - 0.594 billion yuan [7]. 2. Inter - bank Certificates of Deposit (ICDs) - **Yield Changes**: As of June 27, 2025, the maturity yields of 1M and 3M ICDs were 1.6650% and 1.6150% respectively, rising 4 basis points and 1 basis point compared to June 20, while the 1Y ICD yield was basically the same as that on June 20 [9]. - **Maturity Scale**: The ICDs have passed the peak maturity period. The maturity scale of ICDs in July is about 2.8 trillion yuan. From June 23 to June 29, 2025, the net financing of ICDs was about - 41.14 billion yuan [9]. 3. Institutional Behavior The leverage ratio in the inter - bank bond market increased. From June 23 to June 27, 2025, the average calculated leverage ratio in the inter - bank bond market was 108.45%, compared with 108.25% from June 16 to June 20 [10].

Quantitative Models and Construction Methods 1. Model Name: Optimization Replication - **Model Construction Idea**: Simplify the replication of index returns into an optimization model that minimizes tracking error[31][32] - **Model Construction Process**: 1. Define the return sequence of the portfolio as: $ \tilde{R}_{t} = \Sigma_{i=1}^{M} \widetilde{W}_{i,t} \cdot Y_{i,t} = Y_{t} \cdot \overline{W}_{t} $ where $ \widetilde{W}_{i,t} $ represents the weight of asset $i$ at time $t$, and $Y_{i,t}$ is the return of asset $i$ at time $t$[31] 2. Minimize the tracking error (TE): $ w = arg\,min\;TE $ $ TE = \frac{1}{T} \Sigma_{t=1}^{T} (\tilde{R}_{t} - R_{t})^2 $ where $R_{t}$ is the benchmark return at time $t$[32] 3. Add constraints: - Full investment: $ \Sigma_{i=1}^{N} w_{i} = 1 $ - Non-negativity: $ 0 \leq w_{i} \leq 1 $[33][35] 4. Incorporate style and industry neutrality constraints to reduce overfitting: $ z_{low} \leq \frac{X_{s}^{T}w - X_{s}^{T}\tilde{w}}{s_{b}} \leq z_{up} $ $ w_{low}^{I} \leq X_{I}^{T}w - X_{I}^{T}\bar{w} \leq w_{up}^{I} $[36] 5. Solve the optimization problem to determine the weights of individual stocks[37] 2. Model Name: Pair Trading - **Model Construction Idea**: Identify pairs of stocks or sectors with similar trends and exploit mean-reversion characteristics to generate excess returns[57] - **Model Construction Process**: 1. Identify pairs of stocks or sectors with stable relationships based on quantitative or fundamental analysis 2. Overweight weaker-performing assets and underweight stronger-performing ones 3. Capture excess returns when the price spread reverts to its mean, particularly during events like macroeconomic data releases or seasonal effects[57] --- Model Backtesting Results 1. Optimization Replication - **Annualized Return**: 5.76% - **Excess Return**: 3.74% - **Sharpe Ratio**: 0.41 - **Excess Drawdown**: 3.86% - **Excess Win Rate**: 72% - **Information Ratio (IR)**: 1.51 - **Tracking Error**: 2.22%[23][27] --- Quantitative Factors and Construction Methods 1. Factor Name: Quantitative Multi-Factor - **Factor Construction Idea**: Select long-term effective alpha factors and construct a multi-factor portfolio to achieve stable excess returns[46] - **Factor Construction Process**: 1. Define the multi-factor model: $ \begin{bmatrix} r_{1} \\ r_{2} \\ \vdots \\ r_{n} \end{bmatrix} = \begin{bmatrix} x_{11} \\ x_{21} \\ \vdots \\ x_{n1} \end{bmatrix} f_{1} + \begin{bmatrix} x_{12} \\ x_{22} \\ \vdots \\ x_{n2} \end{bmatrix} f_{2} + \cdots + \begin{bmatrix} x_{1m} \\ x_{2m} \\ \vdots \\ x_{nm} \end{bmatrix} f_{m} + \begin{bmatrix} u_{1} \\ u_{2} \\ \vdots \\ u_{n} \end{bmatrix} $ where $r_{i}$ is the excess return of stock $i$, $x_{ij}$ is the exposure of stock $i$ to factor $j$, and $f_{j}$ is the return of factor $j$[46] 2. Select effective single factors, such as volatility, short-selling intention, and liquidity, based on theoretical direction and empirical validation[48] 3. Construct a multi-factor portfolio by combining these factors and optimizing weights[47] 2. Factor Name: Negative Enhancement - **Factor Construction Idea**: Underweight stocks expected to underperform or incur losses, leveraging negative factors or events to generate stable excess returns[56] - **Factor Construction Process**: 1. Identify stocks with negative attributes, such as analyst downgrades, equity pledges, or poor earnings reports 2. Underweight these stocks in the portfolio to reduce potential losses and achieve alpha[56] 3. Factor Name: Machine Learning-Based Alpha - **Factor Construction Idea**: Use deep learning models like TCN (Temporal Convolutional Networks) to extract complex and effective alpha factors from price and volume data[52] - **Factor Construction Process**: 1. Train neural networks on historical price and volume data to identify patterns and relationships 2. Generate alpha factors that outperform traditional genetic programming methods in terms of depth and complexity[51][52] --- Factor Backtesting Results 1. Quantitative Multi-Factor - **Excess Return**: Stable across long-term horizons - **Key Factors**: Volatility, short-selling intention, liquidity, and local pricing[48] 2. Negative Enhancement - **Excess Return**: Achieved through underweighting stocks with negative attributes or events[56] 3. Machine Learning-Based Alpha - **Performance**: Demonstrated superior results compared to traditional factor generation methods[52] --- Index Enhancement Methods 1. IPO Enhancement - **Annualized Return**: 2.13% in 2025 - **Segment Performance**: Sci-Tech Innovation Board (4.34%), ChiNext (2.52%)[67][68] 2. Stock Index Futures - **Annualized Basis Spread**: - CSI 300: -6.75% - SSE 50: -2.48% - CSI 500: -13.60% - CSI 1000: -18.09%[72][73] 3. Block Trades - **Median Discount Rate**: 5.38% (2017-2025), 8.23% in 2025[74][75] 4. Private Placements - **Median Discount Rate**: 14.55% (2017-2025), 11.87% in 2025[77]

丨证券研究报告丨 固收资产配置丨点评报告 [Table_Title] 从波动率把握转债的机会区间 ——可转债周报 20250628 报告要点 [Table_Summary] 当周（2025 年 6 月 23 日–2025 年 6 月 28 日），可转债市场回暖，指数整体走强，市场风格 转向高弹性博弈。估值端，低平价区间个券有所分化，中高平价区间个券估值普遍拉升，市场 风险偏好温和回升，隐含波动率小幅抬升，交易情绪有所改善。当前万得全 A 风险溢价处于高 分位，权益市场相对债市或具备一定性价比。我们认为，转债市场波动率相关指标均有所回升， 反映市场情绪温和回暖。整体来看，当前转债市场风格自防御向进攻切换，建议兼顾弹性与安 全边际，关注具备事件驱动与业绩兑现预期的结构性机会。 分析师及联系人 [Table_Author] 赵增辉 熊锋 SAC：S0490524080003 SAC：S0490524120004 SFC：BVN394 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 从波动率把握转债的机会区间 2] ——可转债周报 202506 ...

Investment Rating - The investment rating for the company is "Buy" and is maintained [8]. Core Views - The company has officially entered the production phase for its COC project, with qualified products successfully produced. This project has passed safety facility acceptance review and is now registered with government departments [2][6][11]. - The COC project is expected to significantly expand the company's market opportunities, as it is the first domestic company to achieve mass production of COC/COP, which has previously been reliant on imports [11]. - The company has implemented an equity incentive plan to motivate core personnel, which is expected to support the steady progress of COC product production and sales [11]. Summary by Sections Company Overview - The current stock price is 46.44 yuan, with a total share capital of 95.7 million shares. The net asset per share is 9.68 yuan, and the highest and lowest prices in the last 12 months were 51.48 yuan and 30.98 yuan, respectively [8]. Financial Projections - The projected net profits for the company from 2025 to 2027 are 0.35 billion yuan, 2.64 billion yuan, and 4.61 billion yuan, respectively. The corresponding price-to-earnings ratios for these years are 125.5X, 16.9X, and 9.7X [11][16]. Market Potential - The COC product has superior optical performance and high technical barriers, with the domestic market currently being unfilled. The pricing for similar products from Japanese manufacturers ranges from 120,000 to 160,000 yuan per ton, indicating a significant opportunity for domestic production to lower costs and expand application fields [11].

Investment Rating - The industry investment rating is "Positive" and maintained [13] Core Viewpoints - The upgrade of AI special glass fiber is accelerating, with a focus on the volume increase of high-end products [6][10] - Cement prices continue to decline, while glass inventory has decreased month-on-month [8][9] - Recommended investment in domestic substitution chains and African chains, with existing leading companies as the main line for the year [10] Summary by Relevant Sections Cement Market - In late June, the average shipping rate of national cement enterprises was 43%, down approximately 0.8 percentage points month-on-month and 2.4 percentage points year-on-year [8] - The national average cement price decreased by 1.0% month-on-month, with most regions experiencing price declines [8][26] - The national cement average price was 357.74 yuan/ton, down 3.71 yuan/ton month-on-month and down 37.90 yuan/ton year-on-year [26] Glass Market - The domestic float glass market saw a slight improvement in transactions, but prices remained stable [9] - The total inventory of monitored provinces was 59 million weight boxes, a decrease of 1.52 million weight boxes, with a decline of 2.51% [38][39] - The national average glass price was 69.17 yuan/weight box, down 0.81 yuan/weight box month-on-month and down 18.17 yuan/weight box year-on-year [39] Special Glass Fiber - China National Materials Technology is a leading domestic supplier of special glass fiber, benefiting from the upgrade trend [7] - The company is expected to achieve a monthly production capacity of 6 million meters by the end of 2026, with a projected performance of approximately 3.8 billion yuan in 2025-2026 [7] - The upgrade from M8 to M9 in copper-clad laminates is expected to drive the scale increase of high-end products [6] Recommended Companies - Recommended companies include China National Materials Technology, Meijia Xincai, and Punaite Co., Ltd. for domestic substitution [10] - Keda Manufacturing is recommended for the African chain, benefiting from local market advantages [10] - The report also highlights the potential of Sanhe Tree and Rabbit Baby in the existing stock chain [10]

Investment Rating - The report maintains a "Positive" investment rating for the polyester industrial yarn industry [12]. Core Viewpoints - The polyester industrial yarn industry is experiencing a gradual recovery in market conditions due to a slowdown in supply and steady growth in demand, with potential investment opportunities in related companies [10][54]. Demand Side Summary - Domestic demand for polyester industrial yarn is steadily increasing, with a projected apparent consumption of 1.773 million tons in 2024, representing a year-on-year growth of 14.1% and a compound annual growth rate (CAGR) of 5.3% from 2014 to 2024 [7][24]. - The export volume is expected to reach 560,000 tons in 2024, with a year-on-year increase of 7.6% and a CAGR of 4.4% from 2014 to 2024 [7][29]. - The main application areas include automotive (45% share) and non-automotive sectors (55% share), with growth driven by the automotive industry and diversification into new fields such as deep-sea technology [22][24]. Supply Side Summary - China holds over 70% of the global polyester industrial yarn production capacity, with an annual capacity of 3.34 million tons expected by the end of 2024 [8][35]. - The capacity expansion phase has ended, with no new capacity expected after 2023, and the industry concentration is increasing due to the exit of smaller players [8][37]. - The top five companies in the industry account for 65.2% of the market share, indicating a high level of concentration [8][37]. Market Conditions Summary - The market conditions for polyester industrial yarn are showing signs of recovery, with prices for ordinary yarn reaching 9,050 yuan per ton as of July 1, 2025, reflecting a 7.7% increase since the beginning of 2025 [9][46]. - The profit margins for melt-spinning and chip-spinning processes have also improved significantly, indicating a positive trend in the industry's profitability [9][46]. Investment Recommendations - The report recommends focusing on investment opportunities within the polyester industrial yarn sector, highlighting the favorable supply-demand dynamics and the potential for gradual market recovery [10][54].

Investment Rating - The investment rating for the company is "Buy" and is maintained [9] Core Insights - On June 26, 2025, the company held a robot strategy launch event, showcasing its "trinity" strategic layout in the robotics industry, four core advantages, assembly lines, product matrix, and the latest achievements in the development of robot application scenarios [2][6] - The company is a leading global supplier of AI terminal hardware, focusing on providing comprehensive intelligent manufacturing services and solutions to global customers. The launch event signifies the company's further focus on cutting-edge fields such as "human-eye-folding" to build comprehensive product solution capabilities in the future AI terminal market [2][6] Summary by Relevant Sections Company Overview - The company is positioned as a global leader in AI terminal hardware, emphasizing the integration of applications, solutions, and services in the context of vertical integration in the future AI terminal market [12] Robotics Strategy - The company defines its robotics business as "trinity" intelligence, focusing on core component and assembly design, comprehensive hardware services, and complete industrial application scenario development. The company has accumulated relevant technology since 2009 and has established a full-chain system for precision components, core modules, joint assemblies, complete machine assembly, and performance testing [12] Financial Projections - The projected net profits for the company from 2025 to 2027 are estimated to be 2.437 billion, 2.947 billion, and 3.987 billion respectively [12]

Investment Rating - The report maintains a "Positive" investment rating for the industry [7]. Core Insights - The computer sector experienced a significant increase of 8.18% last week, outperforming the overall market, which rose by 1.91% [2][4]. - The report highlights the active interest in stablecoins and financial IT concepts, particularly following regulatory developments in Hong Kong [6][49]. - Key recommendations include focusing on companies with issuance qualifications, those with technological expertise in blockchain, and firms holding relevant licenses [6][49]. Summary by Sections Market Performance - The computer sector ranked first among major industries, with a trading volume accounting for 12.44% of the total market [4][12]. - Notable stocks in the sector included Tianli Technology (+58.40%), Jingbeifang (+39.90%), and others, reflecting strong performance in financial IT and stablecoin-related themes [14][15]. Stablecoin Focus - The Hong Kong government has approved regulations to enhance the trading of virtual assets, including stablecoins, which are expected to grow rapidly [6][38]. - As of May 1, 2025, the total market size of stablecoins reached approximately $227.37 billion, marking a year-on-year growth of 46.5% [38][40]. - Stablecoins are increasingly being utilized in cross-border remittances, offering faster and cheaper transactions compared to traditional methods [44]. Technological Developments - Tesla's Robotaxi service has launched, potentially accelerating the commercialization of autonomous taxi services [17][25]. - Neuralink has made significant advancements in brain-machine interface technology, showcasing its potential to improve the quality of life for individuals with disabilities [26][35].

Investment Rating - The industry investment rating is "Positive" and maintained [14]. Core Insights - The supply of land is increasingly concentrated in core areas, with both the scale and quality of land supply declining since Q1 2025. In the first five months of 2025, the cumulative launched residential land area in 300 cities decreased by 16.9% year-on-year, with first-tier cities seeing an increase of 33.8% [3][7]. - The transaction volume and premium rates for land have also decreased in April and May 2025, primarily due to declining supply quality and uncertain absorption rates. The cumulative transaction area and amount in the first five months of 2025 for 300 cities showed a year-on-year decrease of 6.3% and an increase of 24.6%, respectively [8][11]. - Leading real estate companies such as Poly, China Resources, and Zhaoshang have increased their land acquisition efforts, while companies like Jinmao and Yuexiu have shown strong performance in both land acquisition and sales [9][11]. Summary by Sections Supply Side - The land supply has further concentrated in core areas, with a notable decline in both scale and quality since Q1. In May 2025, the launched residential land area in 300 cities decreased by 13.0% month-on-month compared to April, and the core six cities saw a 16.8% increase in launched area [7][8]. Transaction Side - The transaction volume and premium rates have decreased, with the cumulative transaction area in the first five months of 2025 showing a year-on-year decline of 6.3%. The core six cities experienced significant increases in transaction amounts, with a year-on-year increase of 156.1% [8][11]. Real Estate Companies - In May 2025, leading companies such as Poly, China Resources, and Zhaoshang were active in the land market, with total acquisition amounts of 11.1 billion, 9.8 billion, and 5.3 billion respectively. The top three companies in cumulative land acquisition amounts from January to May 2025 were China Resources, Poly, and Greentown, with amounts of 42.7 billion, 42.0 billion, and 37.5 billion respectively [9][11]. Quality of Land Acquisition - In April and May 2025, companies like Yuexiu and Greentown demonstrated superior land acquisition quality. The overall land acquisition quality scores indicated that companies such as China Resources, Yuexiu, and Greentown had higher regional capability and expected profitability [10][11].

Investment Rating - The report maintains a "Positive" investment rating for the industry [5]. Core Insights - Neuralink, a leading brain-computer interface company, showcased significant advancements in its technology, indicating a potential acceleration in the commercialization of brain-computer interfaces [2][10]. - The report suggests focusing on three main investment themes: 1) domestic mapping of the advanced overseas invasive brain-computer interface supply chain; 2) product deployment of non-invasive brain-computer interfaces in consumer scenarios; 3) downstream application targets related to brain-computer interfaces [10]. Summary by Sections Event Description - On June 27, Neuralink released a one-hour video demonstrating its latest research achievements and product development directions [3]. Event Commentary - The report highlights the impressive progress of Neuralink's brain-computer interface technology, which has significantly improved the quality of life for its seven trial participants, including patients with spinal cord injuries and ALS [10]. - Future plans include the development of a "full brain interface" with milestones set for 2025 to 2027, aiming to decode conscious speech and restore vision [10]. Product Overview - Neuralink currently has three products targeting different scenarios: 1) "Telepathy" for patients with motor disabilities; 2) "Blindsight" for visually impaired individuals; 3) "Deep" for neurological disorders [10].