基于动态宏观事件因子的中证港股通大消费指数择时策略 为了探索中国宏观经济对香港大消费主题上市公司整体状况和走势的影响，我们选取中证港股通大消费主题指数作为 研究对象，尝试从动态宏观事件因子的角度构建择时策略框架。我们用经济、通胀、货币和信用四维度的 20 余个宏 观数据指标，基于数据样本内时间段的收益率胜率指标和开仓波动调整收益率指标数值，筛选出这些宏观数据每期最 优的事件因子和最优的数据处理方式，并且从中挑选出了 5 个对中证港股通大消费主题指数择时效果较好的宏观因 子。 在选定了最终使用的宏观指标之后，我们使用这些宏观数据构建的宏观事件因子来搭建择时策略：当大于 2/3 的因子 发出看多信号，则当期该大类因子的信号标记为 1；当少于 1/3 的因子发出看多信号时，则当期大类因子信号标记为 0；若当因子发出看多信号的比例处于两个区间之后，则大类因子标记为对应具体的比例。将每期大类因子的得分作 为当期的择时仓位信号。 建议关注标的介绍：泰康中证港股通大消费 A（006786.OF） 目前跟踪中证港股通大消费主题指数的基金为泰康中证港股通大消费主题基金，是择时策略可投资的标的，该基金成 立于 2019 年 5 ...

Investment Rating - Buy: Expected industry growth exceeding 15% over the next 3-6 months [7] - Hold: Expected industry growth between -5% and 5% over the next 3-6 months [7] Core Insights - The centralized procurement of high-value medical consumables, including drug-coated balloons and urological intervention materials, is set to be implemented by May 2026, following the announcement of selected results [1] - A total of 12 types of medical consumables were included in the procurement, with a high selection rate among mainstream enterprises, ensuring supply stability in the industry [2] - Domestic listed companies performed well in the selection process, with several products selected at competitive prices, indicating potential for rapid market share expansion [3] - The procurement rules reflect principles aimed at stabilizing clinical use, ensuring quality, and preventing price undercutting, which is expected to mature over time [4] - The implementation of this procurement is likely to standardize purchasing behaviors and improve the industry ecosystem, although short-term price declines may impact profit margins for some companies [5]

Investment Rating - The report initiates coverage with a "Buy" rating and sets a target price of 155.6 RMB based on a 100x PE valuation [4]. Core Insights - The company has over 20 years of experience in the micro-drive sector, establishing a leading technology and experience platform, focusing on components with dimensions less than 1mm [2]. - The integrated micro-drive system market is expected to reach 204.9 billion RMB by 2029, with a CAGR of 13.3%, and a domestic CAGR of 17.3% [2]. - The automotive electronics segment is a significant revenue driver, contributing 62.9% of total revenue in the first three quarters of 2025 [3]. - The company is expanding its product offerings in the robotics sector, particularly in dexterous hands, which have a high value proportion [3]. Summary by Sections Company Overview - The company has been deeply involved in the micro-drive system industry since its establishment in 2001, initially supplying precision components to major clients like Panasonic and Nikon [14]. - The company has a concentrated and stable shareholding structure, with the actual controller holding 18.18% directly and controlling entities holding a combined 45.7% [18]. - The business is segmented into three main areas: micro-drive systems, precision parts, and precision molds, with micro-drive systems being the primary revenue contributor [21][22]. Market Potential - The integrated micro-drive and drive system market has high technical barriers and broad downstream applications, with significant growth potential in smart automotive and robotics sectors [2][39]. - The global market for integrated micro-drive systems is projected to grow from 782 billion RMB in 2020 to 2049 billion RMB by 2029, with a CAGR of 13.3% [48]. - The company ranks fourth globally in the integrated micro-drive system market, with a 1.4% market share, and is the leading player in China with a 3.9% market share [59]. Competitive Advantages - The company has established a vertically integrated manufacturing system that covers the entire value chain, enhancing its cost and technical barriers [61]. - It has mastered key manufacturing processes such as injection molding, powder metallurgy, and metal injection molding, allowing for high-volume production of complex metal components [63]. - The company has developed a comprehensive product matrix that caters to various high-precision industries, including automotive electronics, smart medical devices, and robotics [22][66]. Financial Projections - Revenue is projected to reach 18.8 billion RMB in 2025, with a year-on-year growth of 23%, and net profit is expected to be 2.77 billion RMB, also reflecting a 23% increase [4]. - The company has maintained a stable gross margin of around 30% over the past five years, with revenue growth driven primarily by the automotive and advanced manufacturing sectors [28].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the week from January 5 - 9, 2026, the ultra - long credit bonds showed a downward trend. Affected by multiple factors such as the stock - bond seesaw effect, the withdrawal of impulsive funds, and the supply pressure of long - term bonds, the yields of ultra - long credit bonds generally increased. The number of outstanding ultra - long credit bonds with yields above 2.8% increased to 174 [2][13]. - The supply of ultra - long industrial bonds dropped to a low point. This week, the total supply of new ultra - long credit bonds was 5.03 billion, with issuers highly concentrated in urban investment platforms. The interest rate of new ultra - long urban investment bonds rose to around 3%, but the subscription enthusiasm remained low [3][22]. - The ultra - long credit bond index continued to decline. The sharp rise of the stock market this week impacted the bond market pricing. Most medium - and long - term general credit bond full - price index prices fell, with the price of AA + credit bonds over 10 years dropping by 0.05%. However, the trading activity of ultra - long credit bonds rebounded, and the average trading yield of general credit bonds over 10 years rose above 2.65%. After the New Year, the number of trading transactions of ultra - long credit bonds rebounded to over 350 [4][29][31]. - From a more microscopic perspective, the spread between 7 - 10 - year active ultra - long credit bonds and government bonds of similar maturities was 58bp this week, with good coupon value. In late January, the opening of amortized - cost bond funds may bring local benefits to the ultra - long credit bond market [5][43]. 3. Summary According to the Directory 3.1 Stock Market Characteristics - Ultra - long credit bonds declined. Affected by multiple factors, the yields of ultra - long credit bonds generally increased, and the number of outstanding ultra - long credit bonds with yields above 2.8% increased to 174 compared with last week [2][13]. 3.2 Primary Issuance Situation - The supply of ultra - long industrial bonds dropped to a low point. This week, the total supply of new ultra - long credit bonds was 5.03 billion, with issuers highly concentrated in urban investment platforms [3][22]. - In terms of issuance interest rates, in the context of overall bond market fluctuations and fragile investor sentiment, the market demanded a higher risk premium for ultra - long credit bonds. The interest rate of new ultra - long urban investment bonds rose to around 3% this week. Despite the continuous increase in coupon rates, the subscription enthusiasm for ultra - long urban investment bonds remained low, and market concerns about the uncertainty of ultra - long urban investment bonds with maturities spanning the debt - resolution node intensified [3][22]. 3.3 Secondary Trading Performance - The ultra - long credit bond index continued to decline. The sharp rise of the stock market this week impacted the bond market pricing. Most medium - and long - term general credit bond full - price index prices fell, with the price of AA + credit bonds over 10 years dropping by 0.05% [4][29]. - The trading activity of ultra - long credit bonds rebounded. The supply pressure of government bonds and the warming of stock market sentiment continuously disturbed long - term interest rates. The secondary - market trading yield of ultra - long credit bonds continued to fluctuate. The average trading yield of general credit bonds over 10 years rose above 2.65%. After the New Year, the number of trading transactions of ultra - long credit bonds rebounded to over 350, partly driven by the market pattern of "credit is better than interest rates" this week. Due to the overcrowded trading of short - and medium - term credit products, some asset allocations shifted to the long - end [4][31]. - Corresponding to the secondary - market trading performance, the TKN ratio of general credit bonds over 10 years rebounded to 60%. The certain high coupon attracted funds to flow from more volatile long - term interest - rate bonds to credit bonds [4][36]. - In terms of investor structure, wealth - management funds have the motivation to extend the duration to increase returns, but their behavior is constrained by net - value fluctuations and tends to be cautious during the interest - rate increase period. Public funds with stronger trading attributes have recently shown a continuous attitude of reducing or holding off on long - duration credit bonds. Traditional allocation players such as insurance companies have承接, but the intensity has weakened, and they may reserve more positions for newly issued local government bonds [4][41].

- The report tracks the performance of active equity and enhanced index funds, highlighting the top-performing funds in the past week, including those with the highest returns[5][6][32] - The report provides detailed statistics on the net inflows and outflows of various types of ETFs, including cross-border, commodity, stock, and bond ETFs, as well as specific sector and theme ETFs[3][13][14] - The report includes a comprehensive list of newly issued and listed ETFs, covering various themes such as non-ferrous metals, food, and technology[4][26][30] - The report tracks the performance of enhanced strategy ETFs, noting that 11 out of 54 enhanced strategy ETFs outperformed their benchmarks in the past week, with detailed performance metrics for each[24][25] - The report provides a detailed analysis of the trading activity of ETFs in the secondary market, including the top traded ETFs and their respective trading volumes and financing net purchases[15][18][20]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week (January 5 - January 9), bond - type ETFs had a net capital outflow of 63.1 billion yuan. Credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs had net outflows of 56.1 billion yuan, 9.6 billion yuan, and a net inflow of 2.7 billion yuan respectively. Compared with the previous week, the weekly cumulative unit - net - value changes of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs were - 0.01%, - 0.17%, and +3.86% respectively [2][4][13]. 3. Summaries According to Relevant Catalogs 3.1 Issuance Progress Tracking - There were no newly issued bond ETFs last week [17]. 3.2 Existing Product Tracking - As of January 9, 2026, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were 142.2 billion yuan, 404.5 billion yuan, and 66.3 billion yuan respectively, with credit - bond ETFs accounting for 60.6%. The circulating market values of Haifutong CSI Short - term Finance ETF and Boshi Convertible - bond ETF ranked top two, at 61.829 billion yuan and 55.556 billion yuan respectively. Compared with the previous week, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs decreased by 10.5 billion yuan, 38.6 billion yuan, and increased by 5.3 billion yuan respectively. Products with significant scale reduction last week included Harvest CSI AAA Science and Technology Innovation Corporate Bond ETF, Science and Technology Innovation Bond ETF Yin Hua, and Fullgoal CSI AAA Science and Technology Innovation Corporate Bond ETF, with a month - on - month decrease of over 6 billion yuan each [19][20]. - Among credit - bond ETFs, the circulating market values of benchmark - market - making credit - bond ETFs and science - and - technology innovation bond ETFs were 119.9 billion yuan and 311 billion yuan respectively, decreasing by 7.1 billion yuan and 44 billion yuan compared with the previous week [23]. 3.3 ETF Performance Tracking - Based on the average trends of the cumulative unit net values of 16 interest - rate bond ETFs and 35 credit - bond ETFs, the cumulative unit net values of interest - rate bond ETFs and credit - bond ETFs closed at 1.18 and 1.03 respectively. In terms of cumulative returns, the return rate of benchmark - market - making credit - bond ETFs since their establishment has been stable at around 1.20%, while the return rate of science - and - technology innovation bond ETFs has marginally declined to 0.21% [26][28]. 3.4 Premium/Discount Rate Tracking - From a broad - category perspective, last week, the average premium/discount rates of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs were - 0.25%, - 0.03%, and +0.03% respectively. The average trading price of credit - bond ETFs was lower than the fund's unit net value, indicating low allocation sentiment. Specifically, the weekly average premium/discount rates of benchmark - market - making credit - bond ETFs and science - and - technology innovation bond ETFs were - 0.39% and - 0.22% respectively [34]. 3.5 Turnover Rate Tracking - The weekly turnover rates of interest - rate bond ETFs, convertible - bond ETFs, and credit - bond ETFs were calculated by dividing the weekly trading volume of ETFs by the fund shares. Last week, the turnover rates showed the order of interest - rate bond ETFs > convertible - bond ETFs > credit - bond ETFs, and the weekly turnover rates of all three types of products increased marginally, reaching 141%, 112%, and 91% respectively. Specifically, products such as Huaxia Shanghai Stock Exchange Benchmark - Market - Making Treasury Bond ETF, Guotai CSI AAA Science and Technology Innovation Corporate Bond ETF, and Haifutong CSI Short - term Finance ETF had relatively high turnover rates [39].

Investment Rating - The report assigns a "Buy" rating to the company with a target price of 10.60 RMB, based on a projected PE of 13 times for 2026 [5]. Core Insights - The company is a leading player in the wool and cashmere yarn industry in China, with production advantages that support market share growth. Revenue for the first three quarters of 2025 reached 3.894 billion RMB, a year-on-year increase of 0.60%, while net profit attributable to shareholders was 377 million RMB, up 1.98% year-on-year [2][14]. - The company is expected to benefit from a "Davis Double Play" as wool prices rise, driven by supply constraints and low inventory levels. The price of Australian 19-micron fine wool was 1,096 cents per kilogram in September 2025, reflecting a 20% year-on-year increase [3][25]. - The company has implemented a wide-band strategy since 2021, which has helped maintain a good capacity utilization rate and is expected to enhance profit margins compared to previous cycles [4][20]. Company Overview - The company focuses on the research, production, and sales of fine wool yarn and wool tops, establishing an integrated spinning industry chain. In 2024, it achieved a revenue of 4.841 billion RMB, a year-on-year growth of 9.07%, and a net profit of 428 million RMB, up 5.96% year-on-year [14][15]. - The company has expanded its production capacity significantly, with a current capacity of approximately 194,000 spindles, including over 32,000 tons of cashmere yarn [2][23]. Production Capacity and Expansion Plans - The company has diversified its production capacity across regions, including Zhejiang, Ningxia, and Vietnam, with ongoing projects to enhance production capabilities. The first phase of a 50,000 spindle high-end fine wool project in Vietnam is expected to be fully operational by June 2025 [22][24]. - Future expansion plans include further capacity increases in Vietnam and Ningxia, aligning with the global trend towards high-end and functional products [22][24]. Profitability Outlook - The rising wool prices are anticipated to drive profit elasticity for the company, with stable growth in both costs and product prices expected to be around 50%-60% during the wool price upcycle [4][41]. - The company has maintained a high dividend payout ratio of over 50% in recent years, with a current dividend yield exceeding 4% [4][5]. Market Trends - The report highlights a significant supply shortage in the wool market, with Australian wool production declining to historical lows. This supply contraction is expected to support higher wool prices in the coming years [25][27]. - Demand for wool is projected to recover, particularly in the sportswear segment, which is expected to further bolster wool prices as inventory levels remain low [33][35].

- The report discusses a rotation model for micro-cap stocks, which uses the relative net value of micro-cap stocks to the "Mao Index" as a key indicator. If the relative net value is above its 243-day moving average, the model suggests investing in micro-cap stocks; otherwise, it recommends switching to the Mao Index. Additionally, the 20-day closing price slope of both indices is considered, and the model opts for the index with a positive slope when their directions diverge [19][25][27] - A timing indicator is constructed based on the 10-year government bond yield (threshold: 0.3) and the volatility crowding degree of micro-cap stocks (threshold: 0.55). If either indicator reaches its threshold, a closing signal is triggered [19][25] - The macro timing model recommends a 60% equity allocation for January, with signal strengths of 50% for economic growth and 60% for monetary liquidity. The model's year-to-date return is 14.59%, compared to 26.87% for the Wind All A Index [44][45][47] - Eight major stock selection factors are tracked across different stock pools (All A-shares, CSI 300, CSI 500, and CSI 1000). Growth (2.15%) and consensus expectation (0.54%) factors performed well in terms of IC mean, while technical, value, and volatility factors underperformed [49][50][52] - Convertible bond selection factors are constructed based on the relationship between the underlying stock and the convertible bond. The valuation factor uses the parity-to-floor premium rate. Last week, the IC mean of the consensus expectation and growth factors for underlying stocks was relatively high [57][59][60]

Macro Liquidity - The US dollar index continued to rise, and the degree of "inversion" in the China-US interest rate spread has narrowed. The nominal and real yields of 10Y US Treasuries both fell, indicating a rebound in inflation expectations [1][13][19]. Market Trading Activity, Volatility, and Liquidity - Market trading activity has continued to rise, with most industry trading heat above the 90th percentile. Specifically, sectors such as military, light industry, chemicals, media, and textiles are all above this threshold [2][25]. - The volatility of major indices has also increased, with the communication sector's volatility remaining above the 80th historical percentile [2][31]. - Market liquidity indicators have improved, although all sectors remain below the 60th historical percentile [2][35]. Institutional Research - The electronic, pharmaceutical, computer, machinery, and electric new energy sectors have seen high research activity, while sectors like oil and petrochemicals, agriculture, military, and automotive have also experienced rising research interest [3][41]. Analyst Forecasts - The net profit forecast for the entire A-share market in 2026 has been downgraded. However, the profit forecasts for sectors such as non-ferrous metals, chemicals, transportation, consumer services, and textiles have been upgraded. The net profit forecasts for the Shanghai 50 and CSI 300 indices have also been raised, while those for the ChiNext and CSI 500 indices have been lowered [3][4][4.1][4.2][4.3][4.4]. Northbound Trading Activity - Northbound trading activity has continued to rise, with significant net purchases of A-shares. The trading volume ratio in sectors like home appliances, media, and non-bank financials has increased, while it has decreased in communication, electronics, and banking [4][5][5.1][5.2]. Margin Financing Activity - Margin financing activity has reached its highest point since November 2025, with a net purchase of 857.75 billion yuan last week. Key sectors for net purchases include electronics, military, and non-ferrous metals, while net sales were seen in food and beverage, consumer services, and utilities [6][6.1][6.2][6.3]. Active Equity Funds and ETFs - The positions of actively managed equity funds have decreased, while ETFs have seen renewed net subscriptions, primarily driven by institutional ETFs. The main net purchases in ETFs were in sectors like non-ferrous metals, military, and chemicals, while electronics, electric new energy, and banking saw net sales [8][8.1][8.4][8.5].

Investment Rating - The report maintains a "Buy" rating for the company, expecting a price increase of over 15% in the next 6-12 months [4][11]. Core Insights - The international version of the game "Heartopia" has achieved impressive initial download numbers, ranking first in the Apple Store free charts in 10 countries and within the top 20 in 30 countries as of January 11, 2026 [3]. - The game has accumulated over 1.6 million downloads on Google Play and approximately 1 million downloads on the Apple Store, with total downloads expected to exceed 3 million when including PC downloads [3]. - The game's strong user base and social interaction focus are crucial for its long-term monetization potential, supported by its early download success [3]. - The game's presence on social media platforms is growing, with significant increases in followers and engagement, which is expected to further expand its user base [3]. - The international version of "Heartopia" is projected to surpass the domestic version in active users and annual revenue, potentially becoming the company's top revenue-generating game [4]. Financial Projections - The company forecasts net profits of 1.704 billion, 2.119 billion, and 2.553 billion RMB for the years 2025, 2026, and 2027 respectively, with corresponding PE ratios of 20.16, 16.21, and 13.45 [4]. - Revenue is expected to grow from 3.389 billion RMB in 2023 to 8.843 billion RMB by 2027, reflecting a compound annual growth rate (CAGR) of approximately 14.20% [9]. - The net profit margin is projected to improve significantly, with net profit growth rates of 85.00%, 1077.29%, and 109.95% for the years 2024, 2025, and 2026 respectively [9].