Quantitative Models and Construction Methods Model Name: Timing Radar Six-Factor Model - **Model Construction Idea**: The model aims to capture the performance of the equity market through multiple dimensions, including liquidity, economic conditions, valuation, capital flows, technical indicators, and crowding. It summarizes these into four categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score between [-1,1][1][6]. - **Model Construction Process**: - **Liquidity**: Includes indicators like monetary strength and credit strength. For example, the monetary direction factor is calculated based on the average change in central bank policy rates and short-term market rates over the past 90 days[12][15][18][21]. - **Economic Conditions**: Includes indicators like inflation direction and growth direction. For instance, the growth direction factor is based on PMI data, calculated as the 12-month moving average and year-over-year change[22][26][27][31]. - **Valuation**: Includes indicators like Shiller ERP, PB, and AIAE. For example, Shiller ERP is calculated as 1/Shiller PE minus the 10-year government bond yield, with a z-score over the past three years[32][36][39]. - **Capital Flows**: Includes indicators like margin trading increment and trading volume trend. For example, the margin trading increment is calculated as the difference between the 120-day and 240-day moving averages of financing balance minus short selling balance[41][44][47][49]. - **Technical Indicators**: Includes indicators like price trend and new highs and lows. For example, the price trend is measured using the distance between the 120-day and 240-day moving averages[51][54]. - **Crowding**: Includes indicators like implied premium/discount from derivatives and convertible bond pricing deviation. For example, the implied premium/discount is derived from the put-call parity relationship in options[57][62][65]. - **Model Evaluation**: The model provides a comprehensive view of market conditions by integrating multiple dimensions, making it a robust tool for market timing[1][6]. Model Backtesting Results - **Current Comprehensive Score**: -0.10, indicating a neutral view overall[1][6]. - **Liquidity Score**: 0.00, indicating a neutral signal[8]. - **Economic Conditions Score**: 0.00, indicating a neutral signal[8]. - **Valuation Score**: -0.11, indicating a slightly bearish signal[8]. - **Capital Flows Score**: 0.00, indicating a neutral signal[8]. - **Technical Indicators Score**: -0.50, indicating a bearish signal[8]. - **Crowding Score**: -0.13, indicating a slightly bearish signal[8]. Quantitative Factors and Construction Methods Factor Name: Monetary Direction Factor - **Factor Construction Idea**: To determine the direction of current monetary policy by comparing central bank policy rates and short-term market rates over the past 90 days[12]. - **Factor Construction Process**: - Calculate the average change in central bank policy rates and short-term market rates over the past 90 days. - If the factor is greater than 0, it indicates a loose monetary policy; if less than 0, it indicates a tight monetary policy[12]. - **Factor Evaluation**: Provides a clear indication of the monetary policy direction, which is crucial for market timing[12]. Factor Name: Credit Direction Factor - **Factor Construction Idea**: To measure the tightness of credit transmission from commercial banks to the real economy using long-term loan indicators[18]. - **Factor Construction Process**: - Calculate the monthly value of long-term loans. - Compute the year-over-year change over the past 12 months. - If the factor is rising compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[18]. - **Factor Evaluation**: Effectively captures the credit conditions in the economy, which is vital for assessing market liquidity[18]. Factor Backtesting Results - **Monetary Direction Factor**: Score of 1, indicating a bullish signal[12]. - **Credit Direction Factor**: Score of 1, indicating a bullish signal[18]. - **Monetary Strength Factor**: Score of -1, indicating a bearish signal[15]. - **Credit Strength Factor**: Score of -1, indicating a bearish signal[21]. - **Growth Direction Factor**: Score of -1, indicating a bearish signal[22]. - **Growth Strength Factor**: Score of -1, indicating a bearish signal[26]. - **Inflation Direction Factor**: Score of 1, indicating a bullish signal[27]. - **Inflation Strength Factor**: Score of 1, indicating a bullish signal[31]. - **Shiller ERP**: Score of 0.16, indicating a slightly bearish signal[32]. - **PB**: Score of -0.38, indicating a bearish signal[36]. - **AIAE**: Score of -0.11, indicating a slightly bearish signal[39]. - **Margin Trading Increment**: Score of -1, indicating a bearish signal[41]. - **Trading Volume Trend**: Score of -1, indicating a bearish signal[44]. - **China Sovereign CDS Spread**: Score of 1, indicating a bullish signal[47]. - **Overseas Risk Aversion Index**: Score of 1, indicating a bullish signal[49]. - **Price Trend**: Score of 0, indicating a neutral signal[51]. - **New Highs and Lows**: Score of -1, indicating a bearish signal[54]. - **Implied Premium/Discount**: Score of 1, indicating a bullish signal[57]. - **Implied Volatility (VIX)**: Score of 0, indicating a neutral signal[58]. - **Implied Skewness (SKEW)**: Score of -1, indicating a bearish signal[62]. - **Convertible Bond Pricing Deviation**: Score of -0.51, indicating a bearish signal[65].

证券研究报告 | 金融工程 gszqdatemark 2025 06 29 年 月 日 量化周报 沪深 300、深证成指、创业板指确认日线级别上涨 沪深 300、深证成指、创业板指确认日线级别上涨。本周（6.23-6.27）， 大盘震荡上行，上证指数全周收涨 1.91%。在此背景下，沪深 300、深证 成指、创业板指、中小 100、军工、电子、计算机纷纷确认日线级别上涨。 当下，我们认为市场再次回到 4 月 7 日低点的概率基本不存在了。由于上 证指数、上证 50、沪深 300、中证 500、中证 1000、深证成指、创业板 指仍处于日线级别上涨中，且还有部分指数和板块没有确认日线上涨，因 此我们认为市场的日线级别上涨还要持续一段时间，后续市场有望继续上 涨。中期来看，上证指数、上证 50、沪深 300、中证 500、深证成指、创 业板指、科创 50 纷纷确认周线级别上涨，而且在日线上只走出了 1-3 浪 结构，中期牛市刚刚开始；此外，已有 21 个行业处于周线级别上涨中， 且 7 个行业周线上涨只走了 1 浪结构，因此我们认为本轮牛市刚刚开始， 而且还是个普涨格局。中期对于投资者而言，仍然可以逆势布局。 A ...

Investment Rating - The report maintains a "Buy" rating for several key companies in the textile and apparel sector, including Anta Sports, Xtep International, and Bosideng [4][12][33]. Core Insights - Nike's FY2025Q4 revenue decreased by 12% year-on-year, with net profit dropping by 86% due to increased discounts and marketing expenses [1][16]. - The company is focusing on inventory reduction, expecting to normalize inventory levels by the end of FY2026H1 [2][21]. - The report emphasizes the resilience of the sportswear sector, predicting a recovery in performance and valuation in 2025, driven by outdoor and running demand [7][29]. Summary by Sections Nike's Performance - Nike's FY2025Q4 revenue was $11.1 billion, with a 12% year-on-year decline; direct sales fell by 14% and wholesale by 9% [1][16]. - The gross margin decreased by 4.4 percentage points to 40.3%, while SG&A expenses rose by 5 percentage points to 37.4% [1][16]. - For FY2025, Nike's total revenue was $46.3 billion, down 9% year-on-year, and net profit fell 44% to $3.2 billion [1][16]. Inventory Management - As of May 2025, Nike's inventory remained high at $7.5 billion, but the company is implementing various strategies to reduce it [2][21]. - The report notes that all major regions are actively working on inventory reduction, with strong sales in running and training categories [3][24]. Regional Performance - North America: FY2025Q4 revenue decreased by 11%, with significant progress in inventory reduction despite challenges from new supply and tariffs [28]. - EMEA: Revenue fell by 10%, but inventory levels remained stable, with running and training categories showing growth [28]. - Greater China: Revenue dropped by 20%, with a focus on deep inventory clearance through discounts [28]. - APLA: Revenue decreased by 3%, with a shift towards full-price sales in e-commerce [28]. Investment Recommendations - The report recommends focusing on companies with strong fundamentals and quality brands, anticipating performance recovery and valuation increases in 2025 [7][29]. - Key companies highlighted include Anta Sports, Xtep International, and Bosideng, with respective PE ratios for 2025 of 18x, 11x, and 12x [12][33].

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The C-REITs market is experiencing a correction in the existing market, while newly issued products have reached their upper limit in price increase [1][5] - The C-REITs total market capitalization is approximately 206.07 billion, with an average market value of about 3 billion per REIT [3][12] - The C-REITs total return index has increased by 14.59% year-to-date, ranking second among various indices [2][10] REITs Index Performance - The CSI REITs total return index fell by 1.38% this week, closing at 1109.1 points, while the CSI REITs closing index decreased by 1.46%, closing at 880.9 points [1][10] - Year-to-date performance shows the CSI REITs total return index up by 14.59%, while the CSI REITs closing index is up by 11.57% [2][10] REITs Secondary Market Performance - The secondary market for C-REITs saw a decline this week, with 8 REITs rising and 60 falling, resulting in an average weekly decline of 0.86% [3][12] - The sectors with the smallest declines include energy infrastructure and ecological environmental REITs, while warehousing logistics and consumer infrastructure REITs led the decline [3][12] REITs Trading Activity - The municipal water conservancy sector exhibited the highest trading activity this week, with an average daily turnover rate of 0.8% across listed REITs [4] - The average daily trading volume for listed REITs was 1.795 million shares [4] REITs Valuation Performance - The report indicates that the internal rate of return (IRR) for listed REITs is relatively low, with some REITs like the ICBC Mengneng Clean Energy REIT showing an IRR of -2.3% [5] - The price-to-net asset value (P/NAV) ratio for listed REITs ranges from 0.7 to 1.9, with the lowest being the China Communications Construction REIT at 0.7 [5]

Investment Rating - The industry investment rating is maintained as "Increase" [4][3] Core Views - The "136 Document" catalyzes rapid growth in new energy this year, with accelerated electricity market reforms and the southern regional market starting continuous settlement, leading to more flexible electricity pricing reflecting supply and demand changes [3][10] - The cumulative installed capacity of solar power reached 1.08 billion kilowatts by the end of May, with a year-on-year increase of 56.9%, while the share of thermal power generation capacity decreased to approximately 40% [15][67] - The southern regional electricity market officially transitioned to continuous settlement, allowing for daily trading and better reflection of supply-demand dynamics [15][10] Summary by Sections Industry Overview - As of the end of May, the total installed power generation capacity in China reached 3.61 billion kilowatts, a year-on-year increase of 18.8% [15][67] - In the first five months of the year, solar power added 197.85 GW of new capacity, a year-on-year increase of 149.97%, while wind power added 46.28 GW, a year-on-year increase of 134.21% [15][67] Market Dynamics - The average daily trading volume in the southern regional electricity market is expected to reach 3.8 billion kilowatt-hours after the transition to continuous settlement [15][10] - The coal price rebounded to 620 yuan per ton, impacting the thermal power sector [11][3] Key Stocks - Recommended stocks include Huaneng International, Jingtou Energy, Huadian International, Sheneng Co., and Baoneng New Energy, focusing on those with flexible quarterly performance [3][7] - Emphasis on undervalued green electricity operators, particularly in Hong Kong stocks and wind power operators, such as Xintian Green Energy and Zhongmin Energy [3][7] Carbon Market - The national carbon market trading price increased by 4.83% this week, with a total trading volume of 6.68 billion tons and a cumulative trading amount of 458.99 billion yuan [52][69]

证券研究报告 | 行业周报 gszqdatemark 2025 06 29 年 月 日 有色金属 需求淡季不淡，看好工业金属价格上行 黄金：地缘与关税担忧降温引发金价回调，长期牛市格局不改。近期由于地缘与关税的缓和， 黄金价格震荡整理，市场近期转向美联储降息交易。过去一周，由于美联储理事沃勒和鲍曼 的表态，市场对美联储降息预期一度上升。但紧随其后，包括美联储主席鲍威尔、纽约联储 主席威廉姆斯、旧金山联储主席戴利纷纷为降息预期降温。关税对通胀的实际影响仍有待观 察，7 月议息会议前，美国就业和通胀数据将提供重要依据。此外，市场也在关注美联储" 影 子主席人选"，特朗普偏好的更" 鸽派"的" 影子主席"会导致更激进的降息前景。影响黄金 走势的中短期因素多空交织，短期黄金或继续震荡整理。但中长期央行购金、美国高财政赤 字、美元走弱等趋势未变，黄金长期牛市格局不改。建议关注：紫金矿业、山东黄金、赤峰 黄金、银泰黄金、招金矿业等。 工业金属：（1）铜：库存结构性短缺，警惕逼仓风险。①宏观方面：地缘与关税边际缓和、 美联储部分官员释放降息信号，宏观对铜的压制近期有所缓解；②库存端：本周全球铜库存 50.3 万吨，环比-1 ...

Investment Rating - The industry is rated as "Buy" for key stocks such as Xining Steel, Nanjing Steel, Hualing Steel, and Baosteel, with a recommendation to increase holdings in New Steel Pipe and Ningjin Steel [6][9]. Core Insights - The black metallurgy industry is gradually recovering its profitability, with a total profit of 31.69 billion yuan from January to May 2025, compared to a loss of 12.72 billion yuan in the same period last year [4][13]. - The average daily pig iron production has slightly increased to 2.423 million tons, indicating a recovery in production capacity utilization [12][18]. - The total inventory of steel has shifted from a decrease to an increase, with social inventory showing a slower depletion rate [25][39]. - The demand for steel products has weakened, with apparent consumption of major steel varieties decreasing by 0.5% week-on-week [39][50]. - The iron ore price has slightly rebounded, with the Platts 62% iron ore price index at 94.4 USD/ton, reflecting a week-on-week increase of 1.5% [57][70]. Summary by Sections Supply - Daily pig iron production has increased by 0.1 million tons to 2.423 million tons, with a slight rise in production capacity utilization for blast furnaces [12][18]. Inventory - The total inventory of five major steel varieties has increased by 0.1%, with social inventory decreasing by 0.7% year-on-year [25][27]. Demand - Apparent consumption of five major steel varieties has decreased by 0.5% week-on-week, with rebar consumption slightly increasing by 0.3% [39][50]. Raw Materials - Iron ore prices have shown a slight increase, while coke prices have decreased, indicating potential pressure on raw material costs [50][57]. Prices and Profits - The current steel price index has slightly declined, but immediate gross margins have improved, with long-process steel products showing a cost of 3,177 yuan/ton and a loss of 77 yuan/ton [69][71].

Investment Rating - The report maintains a "Buy" rating for key companies in the AI and computing power sector, specifically recommending companies like Zhongji Xuchuang and Xinyi Sheng [13]. Core Insights - The report emphasizes that AI is transitioning from a conceptual phase to a productivity tool, with significant contributions to enterprise revenue and user engagement [2][25]. - The demand for computing power is surging, with a notable supply-demand imbalance in the optical chip industry, leading to increased pressure on the supply chain [3][26]. - The report highlights the increasing willingness of users to pay for AI services, indicating a shift towards commercial viability for leading firms like OpenAI [28]. Summary by Sections Investment Strategy - The report suggests focusing on the computing power sector, particularly in optical communication and related technologies, as the market shows signs of recovery and growth potential [10][16]. Market Trends - The report notes a significant increase in the stock prices of domestic computing power companies, driven by the strong performance of Nvidia and the overall AI market resurgence [1][19]. Supply and Demand Dynamics - The report identifies a critical shortage in the supply of optical components, with leading manufacturers unable to meet the growing demand for high-speed optical modules [3][26][27]. - It also points out that the top manufacturers in the optical device market are gaining competitive advantages due to supply constraints [27]. User Engagement and Commercialization - The report highlights a doubling of active users for ChatGPT within two months, reflecting a growing acceptance and willingness to pay for AI services [28]. - It suggests that cloud service providers are accelerating their computing power investments to attract more customers [28]. A-Share Market Outlook - The report anticipates a shift in valuation for AI-related companies in the A-share market from traditional low PE ratios to a growth stock valuation model as AI commercialization progresses [31].

Investment Rating - The report maintains an "Accumulate" rating for the industry [5] Core Insights - The demand for pre-training and inference remains strong, with significant updates expected for top models like GPT-5 and Grok 4, which are anticipated to enhance capabilities in natural language processing and coding [1][11] - The rapid advancement in coding applications is evident, with companies like Cursor achieving a valuation of $9.9 billion and an annual recurring revenue (ARR) exceeding $500 million, reflecting a 60% increase in just two months [2][19] - The launch of Ant Group's AI health application AQ marks a significant step in the application of AI in healthcare, providing over 100 services and connecting with numerous hospitals and doctors [3][28] Summary by Sections Pre-training and Inference Demand - OpenAI's CEO announced the potential release of GPT-5, which will integrate features from previous models to create a more powerful system [1][11] - Grok 4 is set to be released soon, focusing on programming capabilities [1][11] - The training data and computational power for models like Qwen3 have significantly increased, with Qwen3 utilizing approximately 36 trillion tokens, nearly double that of its predecessor [1][13][14] Coding Applications and Market Growth - Cursor's rapid commercialization has led to a valuation increase to $9.9 billion, with an ARR surpassing $500 million, indicating a strong market demand for AI programming tools [2][19] - The adoption rate of AI in U.S. enterprises is projected to reach 9.2% by May 2025, up from 7.4% in Q4 2024 [2][20] AI in Healthcare - Ant Group's AQ application offers extensive health management services and has been recognized for its advanced AI capabilities, including multi-modal interactions [3][28][29] - The application has been developed using over one trillion tokens of medical data, achieving high standards in safety and privacy assessments [3][29] Investment Opportunities - The report suggests focusing on companies involved in computing power, including Cambricon, Alibaba, and others, as they are expected to benefit from the growing demand for AI applications [4][31]

Investment Rating - The industry investment rating is "Increase" [5][7]. Core Viewpoints - The current coal price adjustment has been ongoing for nearly four years since the historical peak in Q4 2021, and the market is well aware of the price decline. The industry is at a critical stage of price bottoming, and the bottom may not be far off. It is essential to grasp the intrinsic attributes of the industry and maintain confidence and determination [3]. - Domestic coal companies are increasingly facing losses, with over half (54.8%) of coal enterprises reporting losses as of March 2025. This situation may lead to a higher probability of both passive and active production cuts as prices continue to decline [3]. - The report emphasizes the potential for a rebound in coal prices due to the high costs of overseas coal mines, which may lead to reduced imports and a subsequent increase in domestic coal prices [3]. Summary by Sections Coal Mining - The European coal market is experiencing a price decline, with ARA port coal prices at $103.4 per ton, down $3.7 per ton (-3.4%) from the previous week. Newcastle port coal prices are at $106.5 per ton, down $0.1 per ton (-0.1%) [1][3]. - The report highlights the impact of geopolitical tensions on natural gas prices, which have led to a simultaneous increase in coal and natural gas prices in Europe by 7-9% [6][3]. Key Recommendations - The report recommends key coal enterprises such as China Shenhua (H+A), China Coal Energy (H+A), and China Qinfa, which is expected to reverse its current difficulties. Other recommended companies include Xinjie Energy, Shaanxi Coal, and Yanzhou Coal, which are expected to perform well [3][7].