Group 1: Market Overview and Strategy - The report discusses trading clues for June, suggesting that thematic trading can gradually increase risk appetite [3] - A-shares experienced a pullback, confirming resistance levels, while sentiment showed marginal recovery [3] - Global equity markets mostly declined, with US indices leading the drop [3] - Gold prices rebounded strongly, while the US dollar index saw a significant decline [3] - Domestic economic data showed a decline in April, and trade tensions resurfaced with tariff discussions [3] Group 2: Fixed Income and Industrial Products - The basic frequency index for industrial products is at 125.8 points, showing a year-on-year increase of 4.9 points [3] - The signal for interest rate bonds indicates a bullish trend, with a signal factor of 6.3% [3] Group 3: Company-Specific Insights - Crystal Technology (02228.HK) is positioned as a leader in AI for Science, having won the Pfizer blind test competition and significantly accelerating drug development during the COVID-19 pandemic [4][5] - The company has over 500 scientists and technical experts, with cash assets of HKD 6 billion, and has established partnerships with major investors like Tencent and SoftBank [5] - The AI for Science market is projected to grow into a multi-billion dollar industry, with China being a potential leader due to its comprehensive chemical manufacturing capabilities [6] - The company is expected to see significant revenue growth driven by AI drug development and new material collaborations, with projected revenues of 422 million, 684 million, and 954 million RMB for 2025-2027 [7] Group 4: Automotive Industry Insights - The report highlights the growth of autonomous driving in China, with companies like BYD and Xpeng showing strong sales and technological advancements [9][10][11] - Xpeng's Q1 performance exceeded expectations, with significant sales growth and a narrowing net loss, indicating potential for long-term profitability [12][13] Group 5: Pharmaceutical Sector Insights - Yipinhong (300723.SZ) is advancing its innovative drug AR882 for gout treatment, with clinical trials progressing smoothly and potential market demand being high [14]

Group 1 - The report highlights that the performance of industries in June has historically shown weak correlation with May and the first five months of the year, indicating that linear extrapolation may not be applicable for current trading strategies [2][17]. - In recent years, leading industries in June have been closely tied to event-driven catalysts, with 2020 seeing diverse industrial events, 2021 driven by the "dual carbon" initiatives in the new energy sector, and 2023 focused on AIGC and robotics [20][22][23]. - For June 2024, the market lacks significant catalysts and major sectoral momentum, leading to a division among event-driven catalysts, industrial prosperity, and macro narratives [20][22]. Group 2 - The report suggests that maintaining a balanced allocation remains crucial, especially as only a few sub-sectors exhibit favorable conditions, similar to the situation in June 2024 [3][30]. - It recommends gradually increasing risk appetite for thematic trading as June has historically been a strong month for such strategies, particularly in sectors like innovative pharmaceuticals and IP economy [31]. - Defensive assets such as banks, insurance, and utilities are advised as core holdings, while sectors like transportation and consumer goods with rising dividend yields should also be monitored [31]. Group 3 - The A-share market has recently experienced a rebound followed by a pullback, indicating technical resistance at higher levels, with the index facing pressure from external factors such as U.S. market fluctuations [33][42]. - The report notes that the overall market sentiment has slightly improved, with a marginal recovery in risk appetite, although net outflows of incremental funds were observed [45][51]. - The valuation of the A-share market has generally declined, with most industry valuations also trending downward, particularly in sectors like real estate and technology [56][59].

Investment Rating - The report initiates coverage with a "Buy" rating for the company [3] Core Viewpoints - The company is a leader in the AI for Science paradigm revolution, leveraging AI and robotics to reshape chemical research and development [1][13] - The AI for Science market is projected to grow into a multi-billion dollar industry, with significant potential for the company due to its unique capabilities and market positioning [2][35] - The company has established strategic partnerships with major pharmaceutical and material companies, enhancing its revenue growth prospects [3][5] Summary by Sections Company Overview - Founded in 2015 by three MIT physicists, the company has become a global leader in AI-driven chemical research, winning the Pfizer blind test competition in 2016 and assisting in the rapid development of COVID-19 treatments [1][13] - The company has over 500 scientists and technical experts and has raised significant capital from top-tier investors including Tencent, Sequoia, and SoftBank, with cash assets exceeding 6 billion HKD [1][3][27] Market Potential - The AI for Science market is expected to reach a size of approximately 1 trillion USD, with China being a fertile ground for the emergence of global leaders in this field [2][35] - The company is positioned to benefit from the increasing penetration of AI in the pharmaceutical industry, with 16 of the top 20 global pharmaceutical companies as clients [1][2] Financial Projections - Revenue is projected to grow significantly, with estimates of 422 million RMB in 2025, 684 million RMB in 2026, and 954 million RMB in 2027, reflecting a compound annual growth rate of 58.6% from 2025 to 2026 [4][3] - The company is expected to achieve profitability by 2027, with a net profit of 76 million RMB [4][3] Business Model - The company employs a unique business model that combines high-throughput experimentation with AI-driven data analysis, creating a feedback loop that enhances research efficiency [15][18] - The company has developed over 200 AI models that facilitate various aspects of drug discovery and materials research, significantly improving the speed and accuracy of these processes [18][34] Strategic Partnerships - The company has formed strategic collaborations with leading firms in both the pharmaceutical and materials sectors, which are expected to drive revenue growth and innovation [3][5] - Notable partnerships include agreements with major players like Pfizer and GCL-Poly, indicating strong market confidence in the company's capabilities [1][3]

Investment Rating - The report maintains a "Buy" rating for the company [4] Core Views - The company has acquired the remaining 15.25% stake in its subsidiary, Guangzhou Rui'an Bo, making it a wholly-owned subsidiary, which enhances its control over the innovative drug AR882 [1][2] - The clinical trials for AR882 are progressing smoothly, with significant milestones achieved, including FDA's Fast Track designation and completion of patient enrollment for key Phase III trials [2] - The company has a diverse pipeline with 71 projects under development, focusing on metabolic, inflammatory, and neurological diseases, which positions it for long-term competitive advantage [3] Financial Projections - The company is projected to achieve net profits of CNY 200 million, CNY 255 million, and CNY 321 million for the years 2025 to 2027, representing growth rates of 137%, 27.5%, and 25.8% respectively [3][8] - The expected P/E ratios for 2025, 2026, and 2027 are 112X, 88X, and 70X respectively [3] Stock Information - As of May 23, the closing price was CNY 49.45, with a total market capitalization of CNY 22,336.21 million [4]

Investment Rating - The report indicates a positive outlook for the smart driving industry, highlighting the rapid growth and adoption of intelligent driving systems in China [7]. Core Insights - The report emphasizes the emergence of Chinese players in the smart driving sector, with significant advancements in technology and sales performance [9]. - It notes that various companies are launching new models and enhancing their intelligent driving capabilities, aiming for substantial sales targets in the coming years [9][17]. Summary by Sections Hongmeng Zhixing - Hongmeng Zhixing aims to challenge a sales target of 1 million vehicles by 2025, having already delivered over 444,956 vehicles in 2024, leading the new force in China's automotive market [9][12]. - The company reported a total of 2.64 billion kilometers driven using its intelligent driving assistance, with a user activity rate of 88.62% [12][14]. BYD - BYD has launched its advanced driving system "Tianshen Zhi Yan," which will be standard across all models priced above 100,000 yuan, marking a significant shift towards intelligent driving as a core purchasing criterion [16][17]. - In April 2025, BYD achieved a monthly sales figure of 213,325 intelligent driving vehicles, with a penetration rate of 71%, significantly outperforming competitors [17]. Xiaopeng Motors - Xiaopeng Motors reported a first-quarter revenue of 15.81 billion yuan in 2025, a year-on-year increase of 141.5%, with total deliveries reaching 94,000 units, marking a historical high [20][21]. - The company is set to launch the MONA M03 Max, featuring the AI Tianji system 5.7.0, which includes over 300 new functionalities [21]. Li Auto - Li Auto has refreshed its L series models, focusing on upgrades in design, chassis, and intelligent driving features, and plans to introduce a new generation of its VLA driver model later this year [25]. - The founder of Li Auto shared insights on the future of AI in driving, categorizing AI tools into three levels, emphasizing the potential for AI to evolve from information tools to production tools [25]. Recommendations - The report suggests monitoring several companies, including Huawei's smart vehicle initiatives and the Tesla supply chain, as well as various domestic players in the autonomous driving industry [26].

Investment Rating - The report indicates a positive outlook for the smart driving industry, highlighting significant advancements and sales growth among key players [7][26]. Core Insights - The report emphasizes the rapid development and adoption of smart driving technologies in China, with companies like Hongmeng Zhixing, BYD, Xiaopeng Motors, and Li Auto leading the charge [9][16][20][25]. - Hongmeng Zhixing aims to achieve a sales target of 1 million vehicles by 2025, having already delivered over 444,956 vehicles in 2024, making it the top seller among new forces in the Chinese automotive market [9][12]. - BYD's high-level smart driving system "Tianshen Zhi Yan" is set to become a standard feature across its models, with a penetration rate of 71% in April 2025, significantly outperforming competitors [17][19]. - Xiaopeng Motors reported a record high delivery of 94,000 vehicles in Q1 2025, with a revenue increase of 141.5% year-on-year, showcasing strong market demand [20][21]. - Li Auto continues to innovate with its L series models, focusing on enhancing smart driving capabilities and integrating advanced AI technologies [25]. Summary by Sections Hongmeng Zhixing - The company is set to challenge the 1 million vehicle sales target by 2025, having achieved a delivery of 444,956 vehicles in 2024, leading the new forces in the market [9][12]. - In April 2025, the total mileage of smart driving assistance reached 264 million kilometers, with a user activity rate of 88.62% [12][14]. BYD - BYD launched its "Tianshen Zhi Yan" high-level smart driving system, which will be standard across all models priced above 100,000 yuan, indicating a shift towards smart driving as a core purchasing criterion [16][17]. - In April 2025, BYD sold 213,325 smart driving vehicles, achieving a 71% penetration rate, which is double that of its competitors [17][19]. Xiaopeng Motors - Xiaopeng Motors reported a Q1 2025 revenue of 15.81 billion yuan, a 141.5% increase year-on-year, with a total delivery of 94,000 vehicles, marking a historical high [20][21]. - The company is set to launch the MONA M03 Max, featuring the AI Tianji system 5.7.0, which includes over 300 new functionalities [21][24]. Li Auto - Li Auto has refreshed its L series models, focusing on advanced smart driving features and AI integration, with plans to introduce a new generation of driver models [25]. - The company is enhancing its smart driving capabilities with the support of advanced chips and AI technologies [25]. Suggested Focus Areas - Attention is recommended on companies involved in Huawei's smart vehicle initiatives, Tesla's supply chain, and the domestic autonomous driving industry [26].

Group 1 - The report emphasizes that the current market adjustment is not a cause for concern, as the market has confirmed an upward trend and many indices and sectors are still in the early stages of recovery [8] - It is noted that the A-share market is currently at a mid-high odds level, with a favorable risk-reward ratio, indicating high investment value [18] - The report highlights that the 中证 A500 index is expected to yield a return of 22% over the next year, driven by significant valuation recovery and strong earnings support [16] Group 2 - The coal sector is identified as having reached a favorable configuration time, with the 中信煤炭指数 showing a positive trend despite recent price declines in coal [41] - The report recommends key coal enterprises such as 中国神华 and 中煤能源, indicating a potential for performance improvement in the sector [42] - The report suggests that the traditional consumption sectors, particularly in the agricultural sector, are showing better-than-expected performance, indicating potential long-term investment opportunities [26] Group 3 - The report discusses the performance of 海信视像, highlighting its dual-brand strategy and strong market presence in both domestic and international markets [37] - It is noted that the profitability of 海信 is expected to improve due to stable panel prices and a shift towards high-end products like MiniLED [38] - The report projects that the company will achieve significant revenue growth in its TV segment, driven by the increasing market share of high-end products [38] Group 4 - The report indicates that the food and beverage sector, particularly the snack industry represented by 盐津铺子, is focusing on core product development and expanding its market presence [40] - It highlights the importance of adapting to rapid changes in retail channels and enhancing supply chain efficiency to maintain profitability [40] - The report suggests that the pet-related industry is emerging as a new consumption trend, with significant growth potential in the coming years [27]

Quantitative Models and Construction Methods - **Model Name**: CSI 500 Enhanced Portfolio **Model Construction Idea**: The model aims to generate excess returns relative to the CSI 500 Index by leveraging quantitative strategies and factor models[60][61] **Model Construction Process**: The portfolio is constructed based on a strategy model that selects stocks with specific characteristics and allocates weights accordingly. The detailed holdings include stocks like Changjiang Securities (4.43%), Ganli Pharmaceutical (3.36%), and others, with weights ranging from 0.02% to 4.43%[64][66] **Model Evaluation**: The model has demonstrated consistent outperformance relative to its benchmark, indicating effective factor selection and portfolio construction[60][63] - **Model Name**: CSI 300 Enhanced Portfolio **Model Construction Idea**: Similar to the CSI 500 Enhanced Portfolio, this model seeks to outperform the CSI 300 Index using quantitative strategies and factor exposures[67][69] **Model Construction Process**: The portfolio is built by selecting stocks with favorable factor exposures and assigning weights. Key holdings include COSCO Shipping (8.96%), New Hope (6.23%), and others, with weights ranging from 0.01% to 8.96%[70][71] **Model Evaluation**: The model has shown stable excess returns over the benchmark, reflecting robust strategy implementation[67][69] Model Backtesting Results - **CSI 500 Enhanced Portfolio**: - Weekly return: -0.48% - Outperformance over benchmark: +0.62% - Cumulative excess return since 2020: +41.95% - Maximum drawdown: -4.99%[60][61][63] - **CSI 300 Enhanced Portfolio**: - Weekly return: -0.07% - Outperformance over benchmark: +0.11% - Cumulative excess return since 2020: +26.69% - Maximum drawdown: -5.86%[67][69][71] Quantitative Factors and Construction Methods - **Factor Name**: Momentum (MOM) **Factor Construction Idea**: Captures the tendency of stocks with strong past performance to continue performing well in the short term[72][73] **Factor Construction Process**: The factor is calculated based on the relative performance of stocks over a specific lookback period. It is part of the ten style factors constructed using the BARRA model, which also includes Size, Beta, Residual Volatility, Nonlinear Size, Value, Liquidity, Earnings Yield, Growth, and Leverage[72][76] **Factor Evaluation**: Momentum factor exhibited the highest positive excess return among style factors during the week, indicating strong market preference for this style[73][75] - **Factor Name**: Beta **Factor Construction Idea**: Measures the sensitivity of a stock's returns to market movements, often used to gauge risk exposure[72][73] **Factor Construction Process**: Beta is calculated as the covariance of a stock's returns with the market returns, divided by the variance of the market returns. It is negatively correlated with other factors like Value and Residual Volatility[72][76] **Factor Evaluation**: Beta factor showed significant negative excess returns during the week, reflecting a market preference for low-beta stocks[73][75] - **Factor Name**: Residual Volatility (RESVOL) **Factor Construction Idea**: Represents the idiosyncratic risk of a stock, independent of market movements[72][73] **Factor Construction Process**: Residual Volatility is derived from the standard deviation of the residuals in a stock's return regression against market returns. It is positively correlated with Momentum and Liquidity factors[72][76] **Factor Evaluation**: Residual Volatility factor also exhibited negative excess returns, indicating a market aversion to high-volatility stocks[73][75] Factor Backtesting Results - **Momentum Factor**: - Weekly pure factor return: Positive and significant[73][75] - **Beta Factor**: - Weekly pure factor return: Negative and significant[73][75] - **Residual Volatility Factor**: - Weekly pure factor return: Negative and significant[73][75]

Quantitative Models and Construction Methods - **Model Name**: Steady Buyback Stock Pool **Construction Idea**: Categorize companies based on cash flow sources for buybacks, aiming to identify firms with sustainable shareholder returns[2][33][45] **Construction Process**: 1. Use the cash flow statement to calculate free cash flow to the firm (FCFF) and other financing metrics - Formula: $ FCFF = Operating Cash Flow + Interest Expense - Capital Expenditure $ **Explanation**: Operating cash flow represents cash generated from core business activities; interest expense accounts for debt costs; capital expenditure reflects investments in fixed assets[36][41] 2. Categorize companies into 8 groups based on FCFF, equity financing, and debt financing conditions[43][44] 3. Select stocks from groups 1, 2, and 5 (healthy shareholder return groups) to construct the pool[45][46] **Evaluation**: Represents a sustainable shareholder return strategy with relatively healthy financial conditions[46] - **Model Name**: Enhanced Steady Buyback Stock Pool **Construction Idea**: Improve the performance of the steady buyback stock pool using quality and valuation factors[59][62] **Construction Process**: 1. **Quality Factor**: Cash/Total Assets - Formula: $ Cash/Total Assets = Cash / Total Assets $ **Explanation**: Measures a company's liquidity and risk resistance[59][60] 2. **Valuation Factor**: EP-ROIC - Formula: $ EP-ROIC = Earnings Per Share (EP) - Return on Invested Capital (ROIC) $ **Explanation**: Evaluates the potential return from buybacks versus reinvestment opportunities[62][67] 3. Combine the two factors by standardizing and equally weighting them to select the top 50 stocks for the enhanced pool[63][68] **Evaluation**: Combines strong risk resistance and capital allocation ability, achieving higher returns with reduced drawdowns[68] Model Backtesting Results - **Steady Buyback Stock Pool**: - Annualized Return: 11.93% - Excess Return vs. Huazheng A-Share Buyback Index: 5.56%[45][51][54] - **Enhanced Steady Buyback Stock Pool**: - Annualized Return: 19.85% - Maximum Drawdown: 31.08% - Average Annual Excess Return vs. Huazheng A-Share Buyback Index (2020-2024): 14.65%[68][69][71] Quantitative Factors and Construction Methods - **Factor Name**: Buyback Ratio **Construction Idea**: Measure the proportion of buyback amount relative to market capitalization[15] **Construction Process**: - Formula: $ Buyback Ratio = Buyback Amount / Total Market Capitalization $ **Explanation**: Indicates the intensity of buyback activity[15][16] **Evaluation**: Limited differentiation among stocks, challenging to achieve excess returns through factor-based selection[17][20] - **Factor Name**: Cash/Total Assets **Construction Idea**: Assess liquidity and risk resistance of companies[59] **Construction Process**: - Formula: $ Cash/Total Assets = Cash / Total Assets $ **Explanation**: Higher values indicate stronger financial stability[59][60] **Evaluation**: Demonstrates significant excess returns in the steady buyback stock pool[60] - **Factor Name**: EP-ROIC **Construction Idea**: Evaluate capital allocation efficiency during buybacks[62] **Construction Process**: - Formula: $ EP-ROIC = Earnings Per Share (EP) - Return on Invested Capital (ROIC) $ **Explanation**: Higher values suggest undervaluation and better buyback opportunities[62][67] **Evaluation**: Shows strong excess returns in the steady buyback stock pool[67] Factor Backtesting Results - **Buyback Ratio**: No significant differentiation or excess returns observed[17][20] - **Cash/Total Assets**: - Annualized Return: 20.30% - Enhanced performance with minimal increase in volatility[60] - **EP-ROIC**: - Annualized Return: 18.58% - Demonstrates excess returns for companies with strong capital allocation ability[67] Additional Discussions - **Buyback ROI and Effectiveness**: **Construction Idea**: Measure the return and efficiency of buyback activities over a specific period[78] **Construction Process**: - Formula: $ Buyback ROI = (Final Buyback Value + Dividends Avoided - Buyback Cost) / Buyback Cost $ **Explanation**: Evaluates the financial impact of buybacks, including avoided dividends and stock price changes[78][79] **Evaluation**: Limited effectiveness in A-shares due to inconsistent buyback practices[78][80] - **Impact of Buyback Purpose**: **Observation**: Companies with profit compensation as the buyback purpose underperform market benchmarks[74][75] **Evaluation**: Filtering out such companies improves portfolio performance[75] - **Dividend Timing Mismatch**: **Observation**: Adjusting dividend timing for grouping has minimal impact on results[76][77] **Evaluation**: Grouping based on cash flow remains robust despite timing differences[77]

证券研究报告 | 金融工程 gszqdatemark 2025 05 24 年 月 日 量化分析报告 择时雷达六面图：本周各维度变化不大，维持中性偏多 择时雷达六面图：基于多维视角的择时框架。权益市场的表现受到多维度 指标因素的共同影响，我们尝试从流动性、经济面、估值面、资金面、技 术面、拥挤度选取二十一个指标对市场进行刻画，并将其概括为"估值性 价比"、"宏观基本面"、"资金&趋势"、"拥挤度&反转"四大类，从而生成 [-1,1]之间的综合择时分数。 本周综合打分。本周市场的估值性价比、宏观基本面、资金&趋势、拥挤 度&反转这四个维度分数均变化不大，综合打分位于[-1,1]之间，当前的综 合打分为 0.18 分，整体为中性偏多观点。当前六面图各个维度的观点如 下： 流动性。本周货币强度、信用方向、信用强度发出看空信号，货币方向 发出看多信号，当前流动性得分为-0.50 分，综合来看发出看空信号。 经济面。本周增长方向、通胀方向与通胀强度指标发出看多信号，当前 经济面得分为 0.75 分，综合来看发出看多信号。 估值面。本周席勒 ERP、PB 与 AIAE 指标的分数变化不大，当前市场 的估值面得分为 0.2 ...