Quantitative Models and Construction Methods 1. Model Name: Hang Seng Index R Timing Model - **Model Construction Idea**: The model integrates macroeconomic indicators, liquidity, inflation, and market sentiment to predict the monthly rise or fall of the Hang Seng Index R using a Logit regression approach. It transforms continuous variables into binary variables for prediction purposes[3][8][91] - **Model Construction Process**: - Selected four key variables as inputs: 1. Directional variable: USDHKD expectation revision lag_2 2. Threshold variable: CPI expectation revision lag_1 3. Directional variable: Citi China Economic Surprise Index monthly average lag_3 4. Volatility variable: Hang Seng Index put-call ratio change[8][85][87] - Applied Logit regression to train the model using 80% of the data as the training set and 20% as the test set - The regression equation is as follows: $ Return+1 = α + β1 + β2−1 + β3−2 + β4−3 + β5 + β6ℎ + β7 + β8 $ - Where `Return` is the binary variable representing the rise (1) or fall (0) of the Hang Seng Index R - `Var` represents the continuous variable transformed into a binary state variable - `Duration` is the state duration variable - `Change` is the state change variable (1 for change, 0 for no change) - `Entropy` is the information entropy over the past six periods - `Quarter` encodes the quarter of the variable (0 to 3 for Q1 to Q4)[39][91] - The model generates buy (1) or hold (0) signals based on the predicted value of the dependent variable[93] - **Model Evaluation**: The model demonstrates strong predictive ability with an out-of-sample AUC of approximately 0.70. Overfitting is controlled, with a degree of overfitting around 9.15%. The USDHKD expectation revision lag_2 is identified as the most significant variable, indicating that marginal changes in liquidity expectations dominate the prediction of Hang Seng Index R movements[8][91][95] --- Model Backtesting Results 1. Hang Seng Index R Timing Model - **Annualized Excess Return**: Approximately 10.74% from 2015 to January 2026[3][8][95] - **Monthly Win Rate**: About 81.95%[3][8][95] - **Annual Win Rate**: About 81.82%[3][8][95] - **Out-of-Sample AUC**: Approximately 0.70[3][8][91] - **Performance by Year**: - 2015: Annualized return 6.46%, excess annualized return 11.34%, IR 0.64 - 2016: Annualized return 9.16%, excess annualized return 4.66%, IR 0.28 - 2017: Annualized return 36.35%, excess annualized return -3.50%, IR -0.74 - 2018: Annualized return -8.06%, excess annualized return 4.16%, IR 0.45 - 2019: Annualized return 17.23%, excess annualized return 2.33%, IR 0.13 - 2020: Annualized return 21.20%, excess annualized return 21.55%, IR 1.39 - 2021: Annualized return 10.12%, excess annualized return 24.89%, IR 1.79 - 2022: Annualized return 5.59%, excess annualized return 20.74%, IR 0.78 - 2023: Annualized return 18.39%, excess annualized return 32.21%, IR 1.70 - 2024: Annualized return 37.07%, excess annualized return 11.50%, IR 0.78 - 2025: Annualized return 21.74%, excess annualized return -8.13%, IR -0.70 - 2026 (up to January): Annualized return 6.88%, excess annualized return 0.00%, IR 1.10[95][96] --- Quantitative Factors and Construction Methods 1. Factor Name: USDHKD Expectation Revision (lag_2) - **Factor Construction Idea**: Captures the marginal changes in liquidity expectations driven by USDHKD exchange rate revisions[3][8][46] - **Factor Construction Process**: - Calculated as the difference between the current month's forecast and the previous month's forecast for the USDHKD exchange rate - Transformed into a binary variable using a directional approach: positive values are set to 1, and negative values to 0[42][46] - **Factor Evaluation**: Demonstrates strong predictive ability with an out-of-sample AUC of 0.75 and a beta coefficient of -2.41, indicating that a slowdown in USD appreciation or an acceleration in depreciation increases the probability of Hang Seng Index R rising[46][61][63] 2. Factor Name: CPI Expectation Revision (lag_1) - **Factor Construction Idea**: Reflects inflation expectations and their impact on market sentiment and economic conditions[3][8][46] - **Factor Construction Process**: - Calculated as the difference between the current month's forecast and the previous month's forecast for CPI - Transformed into a binary variable using a threshold approach: values below the 20th percentile of the past 12 months are set to 1, and others to 0[42][46] - **Factor Evaluation**: Shows good predictive ability with an out-of-sample AUC of 0.66 and a beta coefficient of -1.42, indicating that a slowdown in inflation expectations increases the probability of Hang Seng Index R rising[46][53][55] 3. Factor Name: Citi China Economic Surprise Index Monthly Average (lag_3) - **Factor Construction Idea**: Measures the extent to which economic data exceeds or falls short of expectations, indicating economic momentum[3][8][56] - **Factor Construction Process**: - Calculated as the monthly average of the Citi China Economic Surprise Index - Transformed into a binary variable using a directional approach: positive values are set to 1, and negative values to 0[42][56] - **Factor Evaluation**: Demonstrates strong predictive ability with an out-of-sample AUC of 0.69 and a beta coefficient of 1.55, indicating that better-than-expected economic data increases the probability of Hang Seng Index R rising[56][61][64] 4. Factor Name: Hang Seng Index Put-Call Ratio Change - **Factor Construction Idea**: Captures market sentiment and risk aversion through changes in the put-call ratio of Hang Seng Index options[3][8][83] - **Factor Construction Process**: - Calculated as the change in the put-call ratio over the past six periods - Transformed into a binary variable using a volatility approach: values falling below the 20th percentile of the past 12 periods are set to 1, and others to 0[42][83] - **Factor Evaluation**: Provides incremental information for risk management, particularly in avoiding rapid market downturns. However, it has limited predictive ability for medium- to long-term trends, with an out-of-sample AUC of 0.48 and a beta coefficient of -1.71[83][85] --- Factor Backtesting Results 1. USDHKD Expectation Revision (lag_2) - **Out-of-Sample AUC**: 0.75 - **Beta**: -2.41 - **P-value**: 0.0006[61][63] 2. CPI Expectation Revision (lag_1) - **Out-of-Sample AUC**: 0.66 - **Beta**: -1.42 - **P-value**: 0.0333[45][46] 3. Citi China Economic Surprise Index Monthly Average (lag_3) - **Out-of-Sample AUC**: 0.69 - **Beta**: 1.55 - **P-value**: 0.0027[61][64] 4. Hang Seng Index Put-Call Ratio Change - **Out-of-Sample AUC**: 0.48 - **Beta**: -1.71 - **P-value**: 0.0053[80][83]

[Table_scodeMsg1] 公司研究丨深度报告丨古麒绒材（001390.SZ） [Table_Title] "织"道系列 11——古麒绒材：国产羽绒材料 龙头，拓产开启增长新篇章 %% %% %% %% research.95579.com 1 丨证券研究报告丨 报告要点 [Table_Summary] 本篇报告针对古麒绒材这一国内高规格羽绒材料供应商龙头进行复盘，公司位于全国羽绒羽毛 材料出口大省安徽，具有显著区位优势，历史上原材料价格传导顺畅。依托强工艺水平，古麒 绒材积极参与多项国家标准制定，于 2017 年直接对接品牌客户后持续拓客&提份额，实现对头 部品牌客户的深度绑定，近年来产品结构优化显著，毛利率及净利率稳步提升，公司 2025 年 上市募资，新产能投放后有望打开更大市场空间。 分析师及联系人 [Table_Author] SAC：S0490518020002 SAC：S0490524110001 SFC：BUU942 于旭辉 柯睿 请阅读最后评级说明和重要声明 2 / 23 %% %% %% %% research.95579.com 2 [Table_scodeMsg2] 古麒绒材（ ...

[Table_scodeMsg1] 公司研究丨深度报告丨古麒绒材（001390.SZ） [Table_Title] "织"道系列 11——古麒绒材：国产羽绒材料 龙头，拓产开启增长新篇章 %% %% %% %% research.95579.com 1 丨证券研究报告丨 2 [Table_scodeMsg2] 古麒绒材（001390.SZ） cjzqdt11111 报告要点 [Table_Summary] 本篇报告针对古麒绒材这一国内高规格羽绒材料供应商龙头进行复盘，公司位于全国羽绒羽毛 材料出口大省安徽，具有显著区位优势，历史上原材料价格传导顺畅。依托强工艺水平，古麒 绒材积极参与多项国家标准制定，于 2017 年直接对接品牌客户后持续拓客&提份额，实现对头 部品牌客户的深度绑定，近年来产品结构优化显著，毛利率及净利率稳步提升，公司 2025 年 上市募资，新产能投放后有望打开更大市场空间。 分析师及联系人 [Table_Author] 于旭辉 柯睿 SAC：S0490518020002 SAC：S0490524110001 SFC：BUU942 请阅读最后评级说明和重要声明 2 / 23 %% %% %% ...

丨证券研究报告丨 行业研究丨专题报告丨海运 [Table_Title] 油轮的搅局者：长锦商船 报告要点 [Table_Summary] 地缘波动加快需求合规化进程，韩国长锦商船的"搅局"创造了有效供给的真空期。短期内， 长锦商船将自身控制运力提升至 118 艘（占合规市场份额 16%），同时有意延迟接货，控制运 力投放，带动即期运价不断创新高。节奏上，季节性、VLCC 交付节奏和油轮周转次数是核心 因素，二季度或是观察长锦"停航挺价"策略如何转变的核心窗口期。油轮股地缘期权的强化， 以及长锦商船"搅局"带来格局端超预期发展。投资上，油轮进入周期股的盈利弹性释放期， 继续推荐核心标的招商轮船、中远海能。 分析师及联系人 [Table_Author] 韩轶超 SAC：S0490512020001 SFC：BQK468 %% %% research.95579.com 1 海运 cjzqdt11111 [Table_Title2] 油轮的搅局者：长锦商船 [Table_Summary2] 为什么要关注长锦商船？——接力需求的供给端搅局者 历史上，VLCC-TCE（超大型油轮等效期租水平）有两次达到约 25 万美元 ...

Investment Rating - The report emphasizes the strategic significance of the humanoid robot industry, indicating a strong investment outlook as the industry transitions from the "0-1" stage to the "1-10" stage of development [3][6]. Core Insights - The 2026 Spring Festival Gala marked a historic milestone for the humanoid robot industry, showcasing advanced technologies and commercial opportunities, which have significantly increased consumer interest and market potential [17][20]. - The report outlines the evolution of the humanoid robot industry through four key stages, highlighting the transition from academic exploration to commercial mass production [27]. - The establishment of a specialized humanoid robot index is crucial for guiding capital towards core segments of the industry and aligning with national strategic directives [27][28]. Summary by Sections Industry Overview - The humanoid robot industry is experiencing rapid growth, driven by advancements in AI and robotics, with significant public interest generated by high-profile events like the Spring Festival Gala [20][24]. - The report identifies key technological advancements in humanoid robots, including dynamic control, AI integration, and physical interaction capabilities [20][24]. Key Sectors and Companies - **Rare Earth Materials**: Essential for high-performance motors used in humanoid robots, providing stability and efficiency [7]. - **Chemicals**: The development of AI and related hardware is expected to increase demand for semiconductor materials and cooling solutions [7]. - **New Energy**: Focus on core components like reducers and screws, with companies developing batteries specifically for humanoid robots [7]. - **Automotive**: The automotive industry is heavily involved in the production of humanoid robots, leveraging existing manufacturing capabilities [8]. - **Home Appliances**: Companies like Midea are exploring humanoid robots for both B2B and consumer applications [8]. - **Electronics**: The report highlights the importance of machine vision in humanoid robots, distinguishing them from other types of robots [8]. - **Computing**: The integration of large AI models is seen as critical for enhancing the capabilities of humanoid robots [9]. Investment Opportunities - The report suggests that investors should focus on companies with strong technological barriers and high-profit margins in core components, as these will likely yield the best returns as the industry scales [38]. - The humanoid robot index will help investors identify key players and trends within the rapidly evolving market [27][39]. Index Performance - The humanoid robot indices have outperformed broader market benchmarks, particularly in 2023 and 2025, indicating strong investor interest and market confidence in this sector [40][41].

Investment Rating - The report maintains a "Positive" investment rating for the software and services industry [7] Core Insights - The computer sector experienced a rebound, with an overall increase of 4.21%, ranking second among major industries in the Yangtze River region, and accounting for 8.04% of total market turnover. The AI authenticity concept is gaining traction [2][4] - Domestic model capabilities are leading investment opportunities, focusing on three main investment themes: new super entry points, domestic foundational resources, and AI agents [2][6] - The domestic model market is entering a demand era, with leading firms like Zhipu and MiniMax showing significant stock performance post-IPO, with Zhipu's stock up 523.92% and MiniMax's up 487.88% relative to their issue prices [6][47] Summary by Sections Market Performance - The computer sector saw a 4.21% increase last week, with the Shanghai Composite Index fluctuating around the 4100-point mark, closing at 4082.07 points, reflecting a 0.41% rise [4][14] Key Recommendations - Focus on applications and foundational resources as domestic models enter a demand era. The report suggests monitoring the commercialization of new entry points and large models, domestic chips (CPU+GPU), and the restructuring of software by agents [6][47] Investment Opportunities - The report highlights the potential in AI content review and the robot industry, particularly following the impressive performances of robots at the Spring Festival Gala, indicating a shift from concept to practical application in the humanoid robot sector [28][34] - The launch of Tesla's Cybercab marks a significant step in the commercialization of autonomous driving, with plans for large-scale production and deployment [35][40]

Investment Rating - The investment rating for the company is "Buy" and is maintained [5]. Core Insights - The company plans to acquire 60% equity in the Hungarian paper packaging company Gelbert for €6.54 million, which corresponds to a valuation of 6.4 times the audited EBITDA for 2024 [2][8]. - The acquisition is structured with a retention payment mechanism linked to the financial performance of Gelbert in 2026-2027, ensuring that if the company does not meet specified revenue and EBITDA targets, the parent company can withhold certain payments [2][8]. - This acquisition marks a new phase in the company's global expansion strategy, following its initial focus on Southeast Asia, and aims to enhance its presence in the European market [8]. Summary by Relevant Sections Acquisition Details - The acquiring entity is the wholly-owned subsidiary Hong Kong Yutong [2]. - The acquisition price for the 60% stake is €6.54 million, equivalent to approximately ¥53.48 million based on the exchange rate as of February 24 [8]. - The retention payment of €820,000 will be paid in two installments, contingent on meeting financial performance criteria [2][8]. Financial Performance of Gelbert - Gelbert is a mature printing and packaging enterprise in Hungary, with projected revenues of ¥63.13 million and an EBITDA of ¥13.94 million for 2024, reflecting an EBITDA margin of 22% [8]. - For the first five months of 2025, Gelbert's revenue is projected at ¥24.19 million with an EBITDA of ¥4.36 million, resulting in an EBITDA margin of 18% [8]. Strategic Implications - The acquisition is expected to facilitate deeper penetration into local markets for consumer goods and personal care products, leveraging Yutong's advanced manufacturing capabilities [8]. - The company has established a significant global footprint with over 40 production bases and service centers across 10 countries, and this acquisition will further enhance its operational network in Europe [8]. - The company anticipates that overseas revenue will continue to grow, with higher profit margins compared to domestic operations, thereby improving its overall profitability structure [8]. Financial Projections - The company forecasts net profits of ¥1.7 billion, ¥1.9 billion, and ¥2.2 billion for 2025, 2026, and 2027 respectively, with a corresponding PE ratio of 17, 15, and 13 times [8].

Investment Rating - The investment rating for the company is "Buy" and is maintained [7]. Core Views - The company is expected to achieve a revenue of 22.772 billion yuan in 2025, representing a year-on-year increase of 1.54%. However, the net profit attributable to shareholders is projected to decline by 6.58% to 2.097 billion yuan, and the net profit after deducting non-recurring items is expected to decrease by 7.30% to 1.914 billion yuan [2][4]. - For Q4 2025, the company anticipates a revenue of 5.874 billion yuan, a slight decrease of 0.68% year-on-year, with a net profit of 731 million yuan, down 9.98% year-on-year [2][4]. - The company maintains a leading market share in the domestic market, with a stable revenue growth driven by continuous innovation and strong channel advantages. However, there has been a slight decline in export orders [9][9]. - The company has implemented cost reduction and efficiency improvement measures, resulting in a slight increase in overall gross margin. Despite increased marketing expenses to support domestic sales growth, the company continues to invest in R&D to enhance product competitiveness [9][9]. - The company is expected to maintain steady growth in scale and improve profitability efficiency, with projected net profits of 2.097 billion yuan, 2.345 billion yuan, and 2.511 billion yuan for 2025, 2026, and 2027, respectively [9][9]. Financial Summary - The company’s total revenue for 2025 is projected at 22.772 billion yuan, with a gross profit of 5.621 billion yuan, resulting in a gross margin of approximately 25% [13]. - The net profit margin is expected to be 9.21%, reflecting a decrease of 0.80 percentage points year-on-year [9]. - The company’s earnings per share (EPS) for 2025 is estimated at 2.62 yuan, with a price-to-earnings (PE) ratio of 16.86 [13].

Investment Rating - The industry investment rating is "Positive" and is maintained [10] Core Insights - The "Draft of the Ecological Environment Code of the People's Republic of China" is set to be reviewed at the fourth session of the 14th National People's Congress in March 2026, marking the beginning of a "codification" era in environmental law in China [2][6] - The draft consists of five parts, focusing on general principles, pollution prevention, ecological protection, green low-carbon development, and legal responsibilities, with a significant emphasis on green low-carbon development as a key area for the 14th Five-Year Plan [2][6] - The report anticipates a continued deepening of pollution reduction efforts, highlighting opportunities in waste incineration, water services, and air quality management, with a positive outlook on the performance and value reassessment of these sectors [2][6] Summary by Sections Legislative Framework - The draft code has undergone three reviews and will be formally presented for approval, establishing a comprehensive legal framework for ecological and environmental governance [6][10] - It includes 1242 articles across five sections, aiming to consolidate existing laws and regulations into a unified legal structure to support the goals of the 14th Five-Year Plan [6] Green Low-Carbon Development - The draft establishes a separate section for green low-carbon development, indicating a focus on reducing carbon emissions and promoting renewable energy sources [2][6] - Key opportunities identified include non-electric renewable energy, biomass energy, and the recycling of resources, which are expected to benefit from policy-driven growth [2][6] Pollution Reduction - The report emphasizes the stability of core business operations in waste incineration, water services, and air quality management, with ongoing reforms expected to enhance cash flow and industry valuations [2][6] - Specific companies in waste incineration and water services are highlighted as potential beneficiaries of these trends, including leading firms in the sector [2][6]

金融工程丨深度报告 research.95579.com 1 丨证券研究报告丨 报告要点 [Table_Title] 高频因子（十八）：收益来源基础的因子挖掘方 法论一——维度匹配因子 %% %% %% %% [Table_Summary] 高频因子的计算过程可拆解成若干个数据变换和 K 线聚合的步骤，根据最后一步的 K 线聚合时 单维度聚合还是匹配聚合又可分为维度匹配和维度计算因子，本文就维度匹配方法，给出高频 因子挖掘的讨论。 分析师及联系人 [Table_Author] 郑起 刘胜利 SAC：S0490520060001 SAC：S0490517070006 SFC：BWH883 请阅读最后评级说明和重要声明 2 / 23 %% %% %% %% research.95579.com 2 [Table_Title 高频因子（十八）：收益来源基础的因子挖掘方 2] 法论一——维度匹配因子 [Table_Summary2] 高频因子的计算过程可拆解成若干个数据变换和 K 线聚合步骤 数据变换即对维度数据做函数映射，本质为交易信息的局部处理；K 线聚合即对维度数据按照 一定频率进行聚合计算，本质为交易信息的局 ...