金融工程 证 券 研 究 报 告 【专题报告】 形态因子研究初探：基于离散形态信号构建 的形态合成因子 ❖ K 线形态与形态信号 K 线的本质内涵是多空双方资金在争夺主导权而留下来的轨迹，K 线形态学研 究的是股票价格在下跌、盘整、上升过程中的价格轨迹的图形、形态及特征， 不同 K 线组合可以表现出多重市场形态。 在之前的报告中，我们根据 1-5 日 K 线总结出了 61 种常见形态，包括正面形 态，负面形态和反转形态，对应着不同的看涨或看跌信号。这些形态信号具有 以下特点：离散化、低覆盖、多样化（同一日不同形态的信号值有重叠或相反 情况），难以因子化。针对这些特点，本报告提出一种基于离散形态信号构建 形态合成因子的方法，希望通过多种"个性"形态的综合效应，挖掘形态背后 的因子"共性"。 ❖ 形态合成因子构建 综合不同形态和不同交易日情况，考虑形态之间的相互影响，基于离散形态信 号构建形态合成因子。首先采用离散信号回归加权法，将每一期各形态的离散 信号作为哑变量，与下一期收益率进行线性回归，并基于历史一段时间的回归 系数对信号值进行加权，得到形态因子。然后将当期形态因子和滞后 d 期形态 因子等权合成，构建形 ...

债券研究 债券深度报告 2025 年 08 月 07 日 华创证券研究所 证券分析师：周冠南 电话：010-66500886 邮箱：zhouguannan@hcyjs.com 执业编号：S0360517090002 证券分析师：靳晓航 电话：010-66500819 邮箱：jinxiaohang@hcyjs.com 执业编号：S0360522080003 ——日历看债系列之二 证 券 研 究 报 告 【债券深度报告】 基本面的季节性及时点观察 证监会审核华创证券投资咨询业务资格批文号：证监许可（2009）1210 号 ❖ 2024 年以来，债券市场进入低利率区间，交易盘把握收益率运行规律愈渐重 要，本篇重点探讨基本面的季节性规律。 ❖ 一、基本面的日历效应 ❖ 一季度：聚焦经济数据"开门红"与两会定调。（1）1-2 月经济数据近年来表 现均较强势，"开门红"验证概率较高，数据空窗期需要重点关注反映春节消 费、开复工情况的高频指标。年初银行信贷投放"开门红"成色也是市场博弈 的方向，主要通过票据利率观察。（2）3 月两会确定全年经济工作任务，关注 重点包括：GDP 目标、货币政策定调、财政赤字、消费、房地产、通 ...

Group 1 - The overall recovery of existing actively managed public funds has reached 95% since the peak of the last bull market. A 5% increase in the equity fund index could correspond to a 5% rise in the Shanghai Composite Index to around 3800 points [3][17][26] - New funds have surpassed their initial average net value as of July 24, with an overall net return average of 2%. Old funds have recovered to 88% of the previous bull market peak [3][27][28] - The scale of thematic funds among the 3 trillion new funds is 500 billion, with sector allocations of 40% in consumer, 31% in manufacturing, and 19% in pharmaceuticals. New thematic funds are under greater pressure, having recovered to 94% of their initial net value average [3][30][31] Group 2 - The stability of the stock and real estate markets is crucial for improving residents' income. The bull market has facilitated the transfer of excess savings into the stock market, creating a positive feedback loop [4][12][13] - Compared to real estate, the stock market is a key foundation for the future recovery of residents' balance sheets and enhancement of property income. The current structure of second-hand housing transactions limits the consumption of residents' savings [12][13][36] - The adjustment in the stock and real estate markets over the past three years has been the main reason for the shrinkage of residents' balance sheets. Stabilizing these markets can effectively restore residents' confidence and income [12][13][36]

Investment Rating - The report maintains a "Strong Buy" rating for the company, with a target price of 363.69 CNY [2][8]. Core Insights - The company reported a total revenue of 178.9 billion CNY for the first half of 2025, representing a year-on-year growth of 7%. The net profit attributable to shareholders was 30.5 billion CNY, up 33% year-on-year, while the net profit excluding non-recurring items reached 27.2 billion CNY, growing by 36% year-on-year [2][8]. Financial Performance Summary - **Revenue Forecasts**: - 2024A: 362,013 million CNY - 2025E: 452,472 million CNY (25% growth) - 2026E: 534,949 million CNY (18.2% growth) - 2027E: 629,480 million CNY (17.7% growth) [4] - **Net Profit Forecasts**: - 2024A: 50,745 million CNY - 2025E: 66,327 million CNY (30.7% growth) - 2026E: 79,045 million CNY (19.2% growth) - 2027E: 92,083 million CNY (16.5% growth) [4] - **Earnings Per Share (EPS)**: - 2024A: 11.13 CNY - 2025E: 14.55 CNY - 2026E: 17.34 CNY - 2027E: 20.20 CNY [4] - **Valuation Ratios**: - Price-to-Earnings (P/E) ratios for 2025E, 2026E, and 2027E are projected at 18, 15, and 13 respectively [4]. Market Position and Strategy - The company achieved a battery system production of 310 GWh in the first half of 2025, with a capacity utilization rate of 89.86%. The total output of power batteries and energy storage batteries reached nearly 150 GWh, with a year-on-year growth exceeding 30% [8]. - The company continues to lead the global market with a 38.1% share in power battery usage from January to May 2025, marking a 0.6 percentage point increase year-on-year [8]. - The company is actively enhancing its battery ecosystem, with over 400 battery swap stations for passenger vehicles established by the end of July 2025, aiming for a total of 1,000 stations by year-end [8]. Innovation and Product Development - The company has launched several innovative products, including the second-generation supercharging battery and sodium-ion batteries, demonstrating strong R&D capabilities [8]. - In the solid-state battery technology sector, the company is making significant investments, with expectations for small-scale production by 2027 [8].

汽车行业分城市零售跟踪 2Q25 低线城市占比同比持续提升 证 券 研 究 报 告 中国汽车终端零售量近年在波动中增长，并在一二三四线城市中出现分化，我 们持续跟踪季度分车系分城市零售数据，以便投资者更好理解销量状态。 2Q25 零售情况： 同比角度： 绝对增量上看，自主品牌同比贡献最多，其中自主豪华增长主要来自新一线、 二线城市，自主普通在所有线级城市均有所增长，其中四线增长最多；合资豪 华在各级城市均有所下降。 环比角度： 绝对增量上看，自主和合资普通环比贡献最多，其中自主普通增长主要来自新 一线、二线城市，合资普通增长主要来自新一线、二线城市。 市占率角度： 环比变动：合资豪华≈合资普通-0.5PP<特斯拉-0.4PP<自主+0.5PP<自主 豪华+0.9PP。 自主不断蚕食合资市场，受季节性影响低线城市占比有所下滑。 详细内容可参考正文图表。 行业研究 汽车 2025 年 08 月 07 日 推荐（维持） 华创证券研究所 证券分析师：李昊岚 邮箱：lihaolan@hcyjs.com 执业编号：S0360524010003 联系人：张睿希 邮箱：zhangruixi@hcyjs.com 行业基本数据 ...

Report Industry Investment Rating No relevant content provided. Core Views of the Report - On August 6, 2025, most convertible bond industries rose, and the valuation decreased slightly compared to the previous day. The small-cap growth style was relatively dominant, and the trading sentiment in the convertible bond market increased [1]. - The central price of convertible bonds increased, and the proportion of high-priced bonds rose. The valuation was compressed, with the fitting conversion premium rate of 100-yuan parity decreasing [2]. - In the A-share market, more than half of the underlying stock industry indices rose. In the convertible bond market, 26 industries rose, and only two industries fell [3]. Summary by Relevant Catalogs Market Main Index Performance - The CSI Convertible Bond Index rose 0.58% day-on-day, the Shanghai Composite Index rose 0.45%, the Shenzhen Component Index rose 0.64%, the ChiNext Index rose 0.66%, the SSE 50 Index rose 0.24%, and the CSI 1000 Index rose 1.09% [1]. - The small-cap growth style was relatively dominant, with small-cap growth rising 1.15% [1]. - The convertible bond equal-weight index rose 0.76%, the convertible bond index rose 0.72%, the convertible bond pre - plan index rose 1.70% [7]. Market Fund Performance - The trading volume in the convertible bond market was 87.489 billion yuan, a 1.53% increase from the previous day; the total trading volume of Wind All A was 1759.242 billion yuan, an 8.88% increase [1]. - The net outflow of main funds from the Shanghai and Shenzhen stock markets was 11.049 billion yuan, and the yield of the 10-year Treasury bond decreased by 0.62bp to 1.70% [1]. Convertible Bond Valuation - The fitting conversion premium rate of 100-yuan parity was 29.47%, a 0.11pct decrease from the previous day; the overall weighted parity was 97.68 yuan, a 0.49% increase [2]. - The conversion premium rates of all types of convertible bonds by stock - bond nature increased, with the premium rate of debt - biased convertible bonds rising 1.59pct [28]. Industry Performance - In the A-share market, the top three industries in terms of gains were National Defense and Military Industry (+3.07%), Machinery and Equipment (+1.98%), and Coal (+1.89%); the top three industries in terms of losses were Pharmaceutical Biology (-0.65%), Commerce and Retail (-0.23%), and Building Materials (-0.23%) [3]. - In the convertible bond market, the top three industries in terms of gains were Media (+4.17%), National Defense and Military Industry (+2.18%), and Non - Ferrous Metals (+1.63%); the two industries with losses were Building Materials (-2.36%) and Agriculture, Forestry, Animal Husbandry and Fishery (-0.11%) [3]. - In terms of different sectors, the closing price of the large - cycle sector rose 0.56%, the manufacturing sector rose 0.76%, the technology sector rose 1.96%, the large - consumption sector rose 0.67%, and the large - finance sector rose 0.16% [3]. Industry Rotation - National Defense and Military Industry, Machinery and Equipment, and Coal led the rise. The underlying stocks of National Defense and Military Industry rose 3.07% day - on - day, and the convertible bonds rose 2.18% [52]. - The report also provided the weekly, monthly, and year - to - date price changes, as well as the valuation quantiles of different industries [52].

Investment Rating - The report maintains a "Recommendation" rating for the industry, expecting the industry index to rise more than 5% over the next 3-6 months compared to the benchmark index [23]. Core Insights - Recent capital market indicators show significant activity, with the margin trading balance surpassing 2 trillion yuan for the first time in nearly a decade as of August 5, 2025, and A and H shares achieving record daily trading volumes since 2010 [1][2]. - The current market recovery is attributed to both policy and capital flows, with a clear "policy bottom" supported by the central bank's moderately loose monetary policy and the China Securities Regulatory Commission's initiatives to boost market confidence [3]. - The influx of southbound capital has been a key driver for the Hong Kong market's recovery, with a cumulative net inflow of 824.5 billion yuan from January 1 to August 5, 2025, surpassing the total for 2024 and indicating strong demand for Hong Kong stocks from mainland investors [3]. Summary by Sections Market Activity - As of August 5, 2025, the margin trading balance reached 2,003 billion yuan, marking a return to the 2 trillion yuan level since 2015, with a more regulated use of leverage compared to previous years [2]. - The average daily trading volume for A shares from January 1 to August 5, 2025, was 14,334 billion yuan, while H shares averaged 2,273 billion yuan, leading to a combined average of 16,607 billion yuan [10]. Financial Performance - A total of 27 listed brokerages have released interim performance forecasts, with a projected year-on-year net profit growth of 63.0% to 77.2% for the first half of 2025, and a quarter-on-quarter growth of 3.8% to 21.5% for the second quarter [4]. - The current price-to-book (PB) ratio for the securities sector is 1.55x, indicating that valuations are at historically low levels, suggesting potential for recovery [4]. Investment Recommendations - The report recommends focusing on stocks with strong alpha characteristics in the medium to long term, while short-term strategies should capitalize on increased market risk appetite [4]. - Specific stocks recommended include Guotai Junan A+H, GF Securities A+H, and CITIC Securities, among others [4].

Investment Rating - The industry investment rating is "Recommended," indicating an expected increase in the industry index by more than 5% over the next 3-6 months compared to the benchmark index [19]. Core Insights - The report highlights the release of Genie 3 by Google DeepMind, which marks a significant advancement in AGI with real-time interactive simulation capabilities and the ability to generate diverse virtual environments [2][4]. - Genie 3 introduces a new feature called Promptable World Events, allowing users to create varied fictional worlds based on text inputs, enhancing the interactivity and control of virtual environments [9]. - The report emphasizes the potential of Genie 3 to integrate with other models, paving the way for a more comprehensive intelligent model that combines various modalities [9]. - The competitive landscape is noted, with both international and domestic players advancing in 3D interactive scenarios, indicating a shift towards high-fidelity, interactive, and open-source models [9]. - The report identifies key domestic and international companies across various sectors, including finance, education, and healthcare, that are leveraging AI applications [9]. Industry Data - The industry consists of 337 listed companies with a total market capitalization of 50,833.86 billion and a circulating market capitalization of 44,617.66 billion [6]. - The absolute performance of the industry over the past 12 months is reported at 77.7%, with a relative performance of 54.9% compared to the benchmark index [7].

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Report's Core View - On July 25, 2025, the China Insurance Industry Association announced a reduction in the maximum预定利率 of insurance products, which is in line with market expectations and may open up space for insurance bond allocation [2][13] - By reviewing historical adjustments and recent impacts, this paper anticipates that the current rate cut may have limited effects on premium income growth and long - term treasury bond spread compression, with local bonds being a more likely major allocation choice [9][13][50] Group 3: Summary According to the Table of Contents 1. Definition and Historical Backtracking of the预定利率 of Life Insurance Products - The预定利率 is crucial for calculating an insurance company's profit from interest margin. As the investment return rate of insurance companies decreases, there is an increasing need to lower the预定利率 [14] - The historical adjustment of the预定利率 can be divided into four stages: from 1999 - 2013, it dropped to 2.5%; from 2013 - 2019, it rose to 3.5%; from 2019 - 2024, it gradually declined to 2.5%; since 2025, a dynamic adjustment mechanism has been established [3][15][18] 2. Review of the Impact of Recent Insurance预定利率 Reductions on the Bond Market - **Premium Income**: The "scramble for expiring products" before and during the transition of insurance products led to above - seasonal growth in premium income. In 2024, this growth was more concentrated compared to 2023 [5][21] - **Insurance Bond Allocation Behavior**: In 2023 and 2024, due to the "scramble for expiring products," there was significant above - seasonal growth in insurance bond allocation in August - September. Local bonds were the main allocation, and in 2024, there was an increase in treasury bond and inter - bank certificate of deposit allocation and a decrease in bank perpetual and subordinated bond allocation [6][24][27] - **Bond Market Performance**: In 2023, the spread between 30y local bonds and 30y treasury bonds narrowed; in 2024, the 30 - 10y treasury bond spread compressed significantly, while the spread between 30y local bonds and 30y treasury bonds widened [7][32] 3. New Changes in Insurance Asset Allocation in 2025 - The growth rate of insurance premium income on the liability side has decreased significantly in 2025, but the balance of insurance funds in use has continued to grow at a high rate, and the demand for bond allocation remains strong [37][40] - Bonds are still a preferred choice for insurance institutions. The proportion of bond allocation by life insurance companies has been increasing, mainly to address the issue of "mismatching long - term funds with short - term investments" and the pressure of re - allocating high - yield assets [44] 4. Outlook on the Impact of the Current预定利率 Reduction on the Bond Market - The effect of above - seasonal growth in premium income may be weaker than in the previous two rounds. The "scramble for expiring products" time is limited, and the reduction from 2.5% to 2% may have less of a stimulating effect on consumers [9][50] - Currently, 30y local bonds have higher cost - effectiveness than 30y treasury bonds. The current预定利率 reduction may have limited impact on compressing the spread of ultra - long treasury bonds [9][50]

Investment Rating - The report maintains a "Strong Buy" rating for the company with a target price of 10 HKD [1]. Core Views - The company is expected to experience a significant decline in revenue and profits in the first half of 2025, with total revenue projected to be between 2.4 to 2.55 billion HKD, representing a year-on-year decrease of 38.3% to 41.9%. The net profit attributable to shareholders is expected to be between 570 to 580 million HKD, down 23% to 24% year-on-year [1]. - The company is focusing on inventory clearance and stabilizing its distribution channels, with a strategic shift towards launching new products to mitigate the impact of declining sales [8]. - The introduction of a flagship product, "Da Zhen," priced at 888 HKD, aims to capture market share and enhance profitability through targeted marketing strategies [8]. Financial Summary - Revenue projections for 2025 are estimated at 5.032 billion HKD, reflecting a year-on-year decline of 28.8% [4]. - Non-GAAP net profit for 2025 is forecasted at 1.151 billion HKD, a decrease of 31.31% compared to the previous year [4]. - The earnings per share (EPS) for 2025 is adjusted to 0.34 HKD, down from previous estimates [8]. Market Strategy - The company is actively adjusting its market strategy by reducing supply and focusing on core products to stabilize its market position [8]. - There is an emphasis on expanding market presence in key regions such as Guizhou, Henan, and Shandong, while also exploring new consumer trends with product diversification [8]. - The management team is experienced and has a strong understanding of market dynamics, which is expected to support long-term growth despite short-term challenges [8].