Report Industry Investment Rating No relevant content provided. Report's Core View The report updates the high - frequency data of the national economic fundamentals from October 6th to October 10th, 2025. The national high - frequency fundamental index shows an expanding year - on - year increase, while the bull - bear signal of interest - rate bonds remains unchanged. Different sectors have different trends, such as a slight decline in real - estate sales, an expanding increase in infrastructure investment, etc. [1][8][9] Summary by Directory Total Index - The national high - frequency fundamental index is 128.1 points (previous value: 128.0 points), with a year - on - year increase of 5.9 points (previous increase: 5.8 points), and the year - on - year increase is expanding. The bull - bear signal of interest - rate bonds remains unchanged, with a signal factor of 5.0% (previous value: 5.0%). [1][8][9] Production - The high - frequency industrial production index is 127.3 (previous value: 127.2), with a year - on - year increase of 5.5 points (previous increase: 5.4 points), and the year - on - year increase is expanding. The electric - furnace operating rate slightly declined, with the current rate at 59.6% (previous value: 60.3%). [1][8][14] Real - Estate Sales - The high - frequency real - estate sales index is 42.3 (previous value: 42.4), with a year - on - year decrease of 6.1 points (previous decrease: 6.2 points), and the year - on - year decline is narrowing. The land premium rate of large and medium - sized cities increased, with the current rate at 4.8% (previous value: 1.9%), while the transaction area of commercial housing in 30 large and medium - sized cities decreased to 11.4 million square meters (previous value: 25.7 million square meters). [1][9][22] Infrastructure Investment - The high - frequency infrastructure investment index is 121.8 (previous value: 121.5), with a year - on - year increase of 8.1 points (previous increase: 7.3 points), and the year - on - year increase is expanding. The daily average pig - iron output slightly declined to 241.5 tons (previous value: 241.8 tons). [1][9][36] Export - The high - frequency export index is 143.7 (previous value: 143.7), with a year - on - year increase of 1.6 points (previous increase: 1.8 points), and the year - on - year increase is narrowing. The CCFI index continued to decline to 1015 points (previous value: 1087 points), and the RJ/CRB index decreased to 299.3 points (previous value: 300.3 points). [1][9][39] Consumption - The high - frequency consumption index is 120.6 (previous value: 120.5), with a year - on - year increase of 3.6 points (previous increase: 3.5 points), and the year - on - year increase is expanding. The daily average box office of movies slightly declined to 14,803 million yuan (previous value: 15,858 million yuan). [1][9][50] CPI - The month - on - month CPI forecast remains at 0.2% (previous value: 0.2%). The average wholesale price of pork continued to decline to 18.7 yuan/kg (previous value: 19.3 yuan/kg). [2][9][57] PPI - The month - on - month PPI forecast is 0.0% (previous value: - 0.1%). The crude - oil price slightly declined, with the Brent crude - oil futures settlement price at 65 US dollars/barrel (previous value: 66 US dollars/barrel), while the copper and aluminum prices continued to rise. The LME copper spot settlement price is 10,718 US dollars/ton (previous value: 10,358 US dollars/ton), and the LME aluminum spot settlement price is 2,753 US dollars/ton (previous value: 2,685 US dollars/ton). [2][9][60] Transportation - The high - frequency transportation index is 131.5 (previous value: 131.3), with a year - on - year increase of 10.0 points (previous increase: 9.8 points), and the year - on - year increase is expanding. The subway passenger volume in first - tier cities declined to 3,097 million person - times (previous value: 3,550 million person - times). [2][9][72] Inventory - The high - frequency inventory index is 162.4 (previous value: 162.3), with a year - on - year increase of 8.5 points (previous increase: 8.6 points), and the year - on - year increase is narrowing. The electrolytic - aluminum inventory declined to 13.6 million tons (previous value: 18.8 million tons). [2][9][78] Financing - The high - frequency financing index is 239.2 (previous value: 238.6), with a year - on - year increase of 30.2 points (previous increase: 30.1 points), and the year - on - year increase is expanding. The net financing of local government bonds is negative, with a value of - 246 billion yuan (previous value: 632 billion yuan). [2][9][89]

Group 1 - The report indicates that the credit market is experiencing a compression of credit spreads, with institutions favoring short- to medium-term credit bonds due to significant adjustments in long-term bonds [1][10][15] - The overall market sentiment has been influenced by the recent stock market performance, which has increased risk appetite, alongside regulatory impacts that have led to ongoing adjustments in the bond market [2][17] - The report anticipates that the bond market will gradually enter a recovery phase in the fourth quarter, driven by fundamental factors and a potential easing of liquidity conditions [2][17] Group 2 - Seasonal factors suggest that the bond market typically experiences neutral fluctuations in October, with a smoother downward trend expected after December [3][19] - The second batch of Sci-Tech Innovation Bonds ETFs has seen limited growth in scale and lower trading activity compared to the initial batch, although the excess spread remains stable [4][24] - The current steep yield curve for credit bonds indicates that long-term credit yields are relatively high, with specific advantages noted for certain types of bonds, such as secondary capital bonds [5][16]

Investment Rating - The report maintains an "Increase" rating for the small metals industry [4]. Core Viewpoints - The strategic small metals are expected to undergo a value reassessment due to geopolitical tensions and supply constraints, leading to price increases and improved profitability for companies in this sector [2][3]. - The strategic value of small metals arises from their irreplaceable applications in AI, military, and semiconductor industries, making them critical for advanced technologies [2]. - The investment logic for strategic small metals includes fundamental drivers from supply disruptions and valuation logic based on sustained high price expectations [2]. Summary by Sections Industry Investment Rating - The report maintains an "Increase" rating for the small metals sector, indicating a positive outlook for the industry [4]. Strategic Value of Small Metals - The report highlights that small metals like germanium, gallium, antimony, tungsten, and rare earths are gaining strategic value due to China's supply dominance and their essential roles in high-tech applications [2]. - The geopolitical landscape has led to supply quotas and export controls, enhancing the scarcity and strategic importance of these metals [2]. Investment Recommendations - The report recommends focusing on specific companies within the strategic metals sector, including: - Rare Earths: China Rare Earth, Northern Rare Earth, Baotou Steel, Jien Nickel, Shenghe Resources, and Guangsheng Nonferrous [3]. - Antimony: Huayu Mining, Huaxi Nonferrous, and Hunan Gold [3]. - Tungsten: Xiamen Tungsten, Zhongtung High-tech, Jiaxin International, Zhangyuan Tungsten, and Anyuan Coal [3]. Market Trends - The report notes that small metals have shown resilience in the market, with significant price increases observed in response to external market movements, indicating a shift in investor sentiment towards these strategic assets [3].

证券研究报告 | 金融工程 gszqdatemark 2025 10 12 年 月 日 风格上，当前价值因子占优。从纯因子收益来看，本周有色金属、钢铁、 国防军工等行业因子相对市场市值加权组合跑出较高超额收益，消费 者服务、银行等行业因子回撤较多；风格因子中，价值因子超额收益较 高，Beta、残差波动率呈较为显著的负向超额收益。从近期因子表现来 看，高杠杆、高成长股表现优异，残差波动率、价值等因子表现不佳。 风险提示：量化周报观点全部基于历史统计与量化模型，存在历史规律与 量化模型失效的风险。 作者 分析师 刘富兵 执业证书编号：S0680518030007 邮箱：liufubing@gszq.com 分析师 林志朋 执业证书编号：S0680518100004 邮箱：linzhipeng@gszq.com 分析师 沈芷琦 执业证书编号：S0680521120005 邮箱：shenzhiqi@gszq.com 分析师 梁思涵 执业证书编号：S0680522070006 邮箱：liangsihan@gszq.com 分析师 张国安 执业证书编号：S0680524060003 量化周报 创业板、科创 50 短期内或 ...

Investment Rating - The report maintains a rating of "Buy" for Dongyangguang [5] Core Viewpoints - The basic chemical sector is experiencing a configuration opportunity, with the index having adjusted from a high of 9565.18 points to a low of 3876.11 points, a cumulative decline of 59.5% from September 2021 to February 2024. The sector has shown a strong performance with a cumulative increase of 20.9% from July 11 to October 10 [1][3] - Dongyangguang's strategic acquisition of Qinhuai Data is expected to enhance its capabilities in AI infrastructure and cooling solutions, positioning the company to leverage high-performance computing demands [2][7] - The integration of Qinhuai Data is anticipated to facilitate a transition from single product offerings to ecosystem development, enhancing collaboration across multiple dimensions [2] Summary by Sections Industry Trends - The basic chemical sector has seen a continuous decline in construction project growth rates, with a negative growth rate of -7.3% expected by Q1 2025. However, the sector is currently experiencing a resurgence due to a trend against excessive competition [1] - The report highlights the increasing importance of liquid cooling solutions in the context of AI infrastructure development, with Dongyangguang positioned as a leading player in the fluorochemical industry [7] Company Analysis - Dongyangguang is projected to achieve an EBITDA close to 4 billion RMB by 2025 following the acquisition of Qinhuai Data, which will provide access to major internet clients and enhance its market presence [2] - The company is focusing on developing comprehensive cooling solutions and energy management systems, leveraging its expertise in capacitors and strategic partnerships [7]

Group 1 - The report highlights that the recent escalation of tariffs between China and the US is likely a strategic move by the US to gain leverage ahead of the upcoming high-level talks at the end of October, suggesting that significant tariff increases are unlikely [4] - The report indicates that the current economic slowdown in China may lead to increased policy support in the fourth quarter, with risk assets like stocks expected to face pressure, while safe-haven assets like gold may benefit [4] - The report notes that the recent market rally has seen major indices and sectors experience a 30% increase since April, but warns that the upward trend may be nearing its end, with a potential for market consolidation [5] Group 2 - The banking sector is seeing an increase in mid-term dividend distributions, with state-owned banks expected to distribute over 200 billion yuan in dividends, reflecting their stable profitability and capital adequacy [18][20] - The report emphasizes that the expansion of bond ETFs is expected to continue, driven by regulatory changes that favor their growth, indicating a significant shift in the bond market dynamics [14][15] - The report discusses the performance of various sectors, noting that the non-ferrous metals sector has shown strong growth, with a 65.8% increase over the past year, while the coal sector has underperformed with an 8.3% decline [2] Group 3 - The report highlights the increasing importance of the renewable energy sector, particularly in wind and solar, with utilization rates exceeding 96% in August, suggesting a robust growth outlook for these industries [35] - The report indicates that the textile and apparel sector is facing challenges, with a focus on companies that demonstrate strong operational resilience, particularly in the sportswear segment [29] - The report notes that the coal market is expected to see price increases due to supply constraints, with production having declined in recent months, indicating a potential for higher coal prices by year-end [31][32] Group 4 - The report discusses the regulatory environment for the construction materials sector, emphasizing the need for price stability and the potential for supply-side adjustments in cement and glass industries [48] - The report indicates that the real estate investment trust (REITs) market is under pressure, but highlights opportunities in high-quality projects that can benefit from policy support and market recovery [37] - The report mentions the potential for significant growth in the satellite communication sector due to recent acquisitions, with expectations for substantial profit increases in the coming years [25]

Investment Rating - The report gives a "Buy" rating for the company, marking its first coverage [4]. Core Insights - The company is a leading player in Shenzhen's transportation planning and is transitioning into a comprehensive smart transportation service provider, with significant growth in its smart transportation business [1][4]. - The low-altitude economy is expected to see rapid growth due to supportive policies, with infrastructure demand anticipated to increase significantly [2][3]. - The company is deeply involved in the low-altitude construction in Shenzhen, establishing a complete "investment-construction-operation" industrial chain [3]. - The "Vehicle-Road-Cloud" initiative is gaining momentum, with expected industry growth and the company launching various smart transportation applications [4]. Summary by Sections Company Overview - The company, originally established as Shenzhen Urban Transportation Center in 1993, has undergone several transformations, becoming a state-owned enterprise in 2006 and listed on the Shenzhen Stock Exchange in 2021 [14]. - It has shifted focus towards smart transportation services, with a significant increase in the revenue contribution from this sector, rising from 7% in 2017 to 56% in 2024 [18]. Low-Altitude Industry Participation - The company is a core participant in Shenzhen's low-altitude industry, with over 70% of its revenue generated from this region [3]. - It has been involved in formulating national standards and has developed the first intelligent integrated low-altitude system in the country [3]. Vehicle-Road-Cloud Development - The "Vehicle-Road-Cloud" initiative is projected to reach a total industry output value of 2.6 trillion yuan by 2030, with the company launching the first city-level vehicle-road-cloud platform in Shenzhen [4]. Financial Analysis and Forecast - The company is expected to see a recovery in its financial performance, with projected net profits of 106 million yuan in 2025, 115 million yuan in 2026, and 123 million yuan in 2027 [4]. - The company has experienced a decline in traditional planning and design demand, but new business contracts have surged, indicating a potential stabilization in revenue [22][24].

Investment Rating - The report maintains an "Accumulate" rating for the industry [5]. Core Insights - The urgency for domestic software innovation (信创) has significantly increased due to the U.S. imposing export controls on critical software and announcing a 100% tariff on Chinese imports starting November 1 [1][10]. - The domestic software market is projected to reach a scale of 2.66 trillion yuan by 2026, with a steady replacement rhythm of "2+8+N" in 2023 [2][20]. - Companies in the software sector have shown a recovery in Q2 2025, with notable revenue and profit growth, indicating a potential bottoming out of performance [3][22]. Summary by Sections Section 1: U.S. Export Controls and Domestic Urgency - The U.S. has announced export controls on all critical software, which has heightened the urgency for domestic software innovation in China [1][10]. - The specific details of the export controls are still pending, but they are expected to primarily affect foundational and high-end industrial software [1]. Section 2: Policy and Financial Tools - The "14th Five-Year Plan" emphasizes technological self-reliance, with significant financial tools being introduced to support emerging industries and infrastructure [2][16]. - A new policy financial tool with a scale of 500 billion yuan is being directed towards sectors like digital economy and artificial intelligence [16]. Section 3: Industry Performance and Positioning - Q2 2025 performance of key software companies indicates a recovery, with revenue growth rates such as 25% for China Software and 151% for Taiji Co. [22][23]. - Despite being a core area for AI, the computer sector has seen lower institutional allocation and growth compared to other TMT sectors [3][22]. Section 4: Companies to Watch - Recommended companies include China Software, Kingsoft, Dameng Data, and Taiji Co. in the critical software space, and Cambrian, Haiguang Information, and Zhongke Shuguang in domestic computing power [4][25].

- The report introduces a timing radar framework based on six dimensions: liquidity, economic fundamentals, valuation, capital flow, technical signals, and crowding. It selects 21 indicators to generate a comprehensive timing score ranging from [-1,1][2][7][9] - **Liquidity Factors**: - **Monetary Direction Factor**: Measures the direction of monetary policy using central bank policy rates and short-term market rates. Formula: average change over 90 days. If >0, monetary policy is considered loose, scoring 1[12][14] - **Monetary Strength Factor**: Based on the "interest rate corridor" concept, calculated as deviation = DR007/7-year repo rate - 1, smoothed and z-scored. If <-1.5 standard deviations, predicts a loose environment for 120 trading days, scoring 1; if >1.5, scores -1[15][16] - **Credit Direction Factor**: Uses long-term loan data to measure credit transmission. Formula: monthly long-term loans -> 12-month increment -> YoY comparison. If upward trend compared to 3 months ago, scores 1; otherwise -1[18][20] - **Credit Strength Factor**: Captures unexpected credit changes using formula: (new RMB loans - median forecast)/forecast standard deviation. If >1.5 standard deviations, scores 1; if <-1.5, scores -1[21][22] - **Economic Factors**: - **Growth Direction Factor**: Based on PMI data (manufacturing, non-manufacturing, Caixin manufacturing). Formula: PMI -> 12-month average -> YoY comparison. If upward trend compared to 3 months ago, scores 1; otherwise -1[23][25] - **Growth Strength Factor**: Measures unexpected growth using formula: (PMI - median forecast)/forecast standard deviation. If >1.5 standard deviations, scores 1; if <-1.5, scores -1[26][28] - **Inflation Direction Factor**: Combines CPI and PPI data. Formula: 0.5 × CPI YoY smoothed + 0.5 × PPI YoY raw. If downward trend compared to 3 months ago, scores 1; otherwise -1[30][34] - **Inflation Strength Factor**: Measures unexpected inflation changes using formula: (CPI/PPI disclosed value - median forecast)/forecast standard deviation. If <-1.5 standard deviations, scores 1; if >1.5, scores -1[31][33] - **Valuation Factors**: - **Shiller ERP**: Uses inflation-adjusted average earnings over 6 years to calculate Shiller PE, then Shiller ERP = 1/Shiller PE - 10-year government bond yield. Scores are z-scored over the past 6 years[35][36][39] - **PB Factor**: PB is multiplied by -1 and z-scored over the past 6 years, with 1.5 standard deviation truncation normalized to [-1,1][37][38] - **AIAE Factor**: Measures aggregate investor allocation to equities. Formula: AIAE = total market cap/(total market cap + total debt). AIAE is multiplied by -1 and z-scored over the past 6 years[41][42] - **Capital Flow Factors**: - **Margin Financing Increment**: Measures market leverage using financing balance - short selling balance. Formula: 120-day average increment compared to 240-day average increment. If 120-day > 240-day, scores 1; otherwise -1[43][45] - **Trading Volume Trend**: Measures market activity using log trading volume. Formula: moving average distance = ma120/ma240 - 1. If max(10)=max(30)=max(60), scores 1; if min(10)=min(30)=min(60), scores -1[46][47] - **China Sovereign CDS Spread**: Represents foreign investors' pricing of China's economic and credit risk. Formula: smoothed 20-day difference of CDS spread. If <0, scores 1; otherwise -1[49][51] - **Overseas Risk Aversion Index**: Captures foreign market risk appetite using Citi RAI Index. Formula: smoothed 20-day difference. If <0, scores 1; otherwise -1[52][54] - **Technical Factors**: - **Price Trend Factor**: Measures price trends using moving average distance (ma120/ma240 - 1). Trend direction scores 1 if >0, otherwise -1. Trend strength scores 1 if max(20)=max(60), otherwise -1. Composite score = (direction + strength)/2[55][56][57] - **New Highs and Lows Factor**: Measures reversal signals using the difference between new highs and lows of index constituents. Formula: past year new lows - new highs, smoothed with ma20. If >0, scores 1; otherwise -1[58][60] - **Crowding Factors**: - **Option Implied Premium**: Derived from put-call parity, measures market sentiment. If 50ETF 5-day return <0 and percentile <30%, scores 1; if 50ETF 5-day return >0 and percentile >70%, scores -1[61][66] - **Option VIX Index**: Measures expected volatility. If 50ETF 5-day return <0 and percentile >70%, scores 1; if 50ETF 5-day return >0 and percentile >70%, scores -1[62][64][65] - **Option SKEW Index**: Measures expected skewness. If 50ETF 5-day return <0 and percentile >70%, scores 1; if 50ETF 5-day return >0 and percentile <30%, scores -1[67][68] - **Convertible Bond Pricing Deviation**: Measures market sentiment using formula: deviation = bond price/model price - 1, z-scored over past 3 years. Higher deviation indicates higher crowding, scoring lower[69][71] - **Factor Testing Results**: - **Liquidity**: Monetary direction (1), monetary strength (-1), credit direction (1), credit strength (0)[12][15][18][21] - **Economic**: Growth direction (1), growth strength (-1), inflation direction (-1), inflation strength (0)[23][26][30][31] - **Valuation**: Shiller ERP (0.03), PB (-0.56), AIAE (-0.90)[35][37][41] - **Capital Flow**: Margin financing increment (1), trading volume trend (0), CDS spread (1), risk aversion index (-1)[43][46][49][52] - **Technical**: Price trend (0), new highs and lows (-1)[55][58] - **Crowding**: Option implied premium (-1), VIX (-1), SKEW (-1), convertible bond deviation (-1)[61][62][67][69]

Investment Rating - The report maintains an "Overweight" rating for the real estate industry [4][6] Core Viewpoints - The report highlights that the current real estate policies are under pressure from the fundamental market conditions, suggesting that the policy response may exceed the measures taken in 2008 and 2014 [4] - Real estate is viewed as an early-cycle indicator, making it a key economic barometer [4] - The competitive landscape in the industry is improving, with leading state-owned enterprises and select mixed-ownership and private companies performing well in land acquisition and sales [4] - The report continues to favor investment in first-tier and select second- and third-tier cities, which have shown better performance during sales rebounds [4] - Supply-side policies, including land storage and management of idle land, are critical areas to monitor for future developments [4] Summary by Sections New Housing Transactions - In the week covering the National Day holiday, new housing transaction volume in 30 cities was 835,000 square meters, down 55.3% week-on-week and 53.4% year-on-year [11] - The decline in new housing transactions is attributed to a combination of last year's high base and the current market's sluggishness [11][12] - The report anticipates continued pressure on year-on-year data for the fourth quarter due to elevated bases from the previous year [11] Secondary Housing Transactions - In the same week, secondary housing transactions in 14 sample cities totaled 843,000 square meters, reflecting a 27.9% decrease week-on-week and a 47.9% decrease year-on-year [21] - Year-to-date, secondary housing transactions have reached 80.2 million square meters, showing a 16.1% increase compared to the previous year [21] Market Performance - The report notes that the Shenwan Real Estate Index decreased by 0.8%, underperforming the CSI 300 Index by 0.30 percentage points, ranking 23rd among 31 Shenwan primary industries [32] - The report identifies a total of 64 stocks that increased in value during the week, while 43 stocks decreased [32] Credit Bond Issuance - During the week, two credit bonds were issued by real estate companies, totaling 940 million yuan, a decrease of 11.28 billion yuan from the previous week [3]