基金分析专题报告(深度) 证券研究报告 2025/4/7 资产配置 收益贡献拆分 持有人结构 持仓特征 1 2 3 4 大固收体系（主动管理） 现金管理策略 纯债策略 混合资产策略 货币市场基金 短期纯债基金 中长期纯债基金 一级债基 转债型基金 转债风格型基金 二级债基 "固收+转债" "固收+权益" 偏债混合型基金 灵活配置-偏债 分类说明：wind二级分类为"可转换债券型基金"及"兴全可转债"判定为"可转债型基金"；近4个季度转债持仓（占资产净值比）均值在40%以上且不为"转债型基金"的判断为"转债风格型基 金"；基金类型为灵活配置型，近1年权益仓位均值小于40%，且近1年债券仓位均值大于60%的，判定为灵活配置型-偏债基金。 2 3 4 5 6 | 证券代码 | 证券简称 | 基金成立日 | 基金经理 | 基金规 | 机构持有份 | | 近1年回报(%) | 近1年回报排名 | 近1年年化波动率(%) 近1年波动率排 | | 名（由小到大） 近3年回报(%) 近3年回报排 | | 近3年年化波 | 近3年波动率排 | 基金类型 | | --- | --- | --- | --- | --- | --- ...

qqqqqqqqqqqqqqqqqqq 股指期货市场概况 从整体表现来看，上周四大期指均有一定程度下跌，沪深 300 期指跌幅最大，幅度-1.37%，上证 50 期指跌幅最小， 幅度为-0.84%。上周 IF、IC 和 IM 主力合约贴水幅度均收窄，IH 主力合约贴水幅度加深。IF、IC、IM 和 IH 期指均为 贴水状态。 全部合约角度看，较上周而言，四大期指当月、下月、当季和下季合约的平均成交量有升有降，其中 IH 上升幅度最 大，为 2.84%，IM 下降幅度最大，为-2.77%。四大期指上周最后一个交易日的合计持仓量均上升，其中 IF 上升幅度 最小，为 6.43%，IM 上升幅度最大，为 10.86%。 基差水平方面，截至上周四收盘，IF、IC、IM 和 IH 当季合约的年化基差率分别为-3.14%、-11.27%、-13.66%和- 0.79%，较上周最后一个交易日，IH 期指贴水幅度有所加深，IF、IC 和 IM 期指贴水幅度均有所收窄。指数分红影响 已被定价较为充分，关注基差结构变化展示的交易情绪指引。 跨期价差方面，截至上周四收盘，IF、IC、IM 和 IH 新的当月合约与下月合约的跨期价差 ...

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]. Core Insights - The company reported a significant decline in profits for Q1 2025, with pre-tax and post-tax profits of 260 million and 190 million CNY, respectively, representing year-on-year decreases of 36.3% and 43.4% [2]. - The overseas compliance trend is improving, and the proprietary brand business is expected to continue performing well, driven by stricter regulations on illegal vaping products and market expansion [2][4]. - Increased marketing investments in proprietary brand business and rising stock incentive amortization and R&D expenses are impacting short-term profit performance, but the long-term outlook remains positive [3][4]. Financial Performance Summary - For 2025-2027, the expected EPS is 0.20, 0.40, and 0.56 CNY, with corresponding PE ratios of 46, 23, and 17 times [4]. - Revenue projections show a growth trajectory from 11,168 million CNY in 2023 to 19,489 million CNY by 2027, with a compound annual growth rate (CAGR) of approximately 20.45% [7]. - The net profit is expected to recover from 1,303 million CNY in 2024 to 3,451 million CNY in 2027, indicating a strong rebound in profitability [7].

ETF 轮动因子跟踪 1. 以上结果通过历史数据统计、建模和测算完成，在政策、市场环境发生变化时模型存在失效的风险。 2. 策略依据一定的假设通过历史数据回测得到，当交易成本提高或其他条件改变时，可能导致策略收益下降甚至出 现亏损。 敬请参阅最后一页特别声明 1 我们对前期使用 GBDT+NN 机器学习因子构建的 ETF 轮动策略进行跟踪测试，发现因子在样本外表现出色：上周 IC 值 达 26.88%，多头超额收益率为 1.46%。策略的年化超额收益率为 11.89%，信息比率为 0.68 ，超额最大回撤为 17.31%， 上周超额收益率 1.05%，本月以来超额收益率 0.56%，今年以来超额收益率-0.72%，近期表现优异。 高频因子跟踪 我们对前期挖掘的高频选股因子进行跟踪测试，发现因子在样本外整体表现出色。就上周表现来看，价格区间因子多 头超额收益率-0.25%，价量背离因子 0.66%，遗憾规避因子 0.55%，斜率凸性因子 0.55%。本月以来，价格区间因子多 头超额收益率为-0.25%，价量背离因子 0.66%，遗憾规避因子 0.55%，斜率凸性因子 0.55%。今年以来高频因子表现整 体都比较 ...

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]. Core Views - The company reported a significant decline in profits for Q1 2025, with pre-tax and post-tax profits of 260 million and 190 million CNY, respectively, representing year-on-year decreases of 36.3% and 43.4% [2]. - The overseas compliance trend is improving, and the proprietary brand business is expected to continue performing well. The revenue is anticipated to grow due to stricter regulations on illegal vaping products and the expansion of the compliant market [2]. - Increased marketing investments in proprietary brand business and rising stock incentive amortization and R&D expenses are impacting short-term profit performance, but the overall profit impact is seen as temporary [3]. - The company is rationally addressing tariff impacts on its HNB (Heat-not-Burn) business, with a focus on markets in Japan and Europe, while the growth logic for HNB remains unchanged [4]. Financial Performance Summary - The company’s revenue for 2023 was 11,168 million CNY, with a projected growth rate of -8.04% for 2024, followed by a recovery with growth rates of 10.79%, 23.78%, and 20.45% for 2025, 2026, and 2027, respectively [7]. - The net profit attributable to the parent company for 2023 was 1,645 million CNY, with a significant decline of 34.47% expected in 2024, followed by a gradual recovery [7]. - The diluted EPS is projected to be 0.20, 0.40, and 0.56 CNY for 2025, 2026, and 2027, respectively, with corresponding P/E ratios of 46, 23, and 17 [4][7].

- The global asset allocation model uses machine learning to score and rank assets based on factor investment principles, constructing a monthly quantitative equal-weight strategy for global asset allocation[39][43][44] - The model's historical performance from January 2021 to March 2025 shows an annualized return of 6.45%, Sharpe ratio of 1.01, maximum drawdown of 6.66%, and excess annualized return of 1.28%, outperforming the benchmark across all dimensions[39][44][45] - The dynamic macro event factor-based stock-bond rotation strategy includes three risk preference models (conservative, balanced, aggressive), with April stock weights of 0%, 13.73%, and 25%, respectively[45][46][47] - The macro timing module and risk budget framework signal strengths for April are 50% for monetary liquidity and 0% for economic growth[45][46][48] - Historical performance of the stock-bond rotation strategy from January 2005 to March 2025 shows annualized returns of 20.02% (aggressive), 11.02% (balanced), and 6.03% (conservative), all outperforming the benchmark[45][51][47] - The dividend timing model recommends a 100% allocation to the CSI Dividend Index for April, with economic growth indicators mostly bearish and monetary liquidity signals positive[53][54][52] - The dividend timing strategy achieves an annualized return of 16.86%, maximum drawdown of -21.22%, and Sharpe ratio of 0.95, significantly improving stability compared to the CSI Dividend Total Return Index[53][54][52]

近期美国经济的负面冲击开始逐渐共振，且当下像是过去几年的镜像：(几乎)所有消息都是坏消息，衰退压力也带来 了美股的连续下跌，美债利率的持续下行，以及波动率的飙升。 基本内容 毫无疑问，关税是当前美国经济（甚至全球经济）的主要矛盾，也是衰退冲击的最大来源。如果"对等关税"全额落 地，将看到 1907 年以来最高的美国平均关税税率，美国贸易需求将迅速萎缩，将美国经济推向衰退。 但关税压力并非美国经济唯一逆风，即使特朗普在关税有所收敛，美国还将面临多重衰退冲击的共振。 这意味着我们需要更认真地对待美国经济衰退，甚至不能完全排除全球经济衰退的可能性。放在一个季度或者半年前， 都难以想象在 2025 年提及"全球经济衰退"。但当下，我们需要把美国衰退当作基准情形，把全球衰退当作最坏情形， 直到特朗普发生"自我纠偏"。 风险提示 1）特朗普强硬推进关税计划 2）美国预防式储蓄更为激进 3）美国通胀飙升带来特朗普进一步政策加码可能 敬请参阅最后一页特别声明 1 扫码获取更多服务 宏观经济点评 近期美国经济的负面冲击开始逐渐共振:从马斯克依然咬定一万亿美元的减支幅度，到新一轮联邦裁员的开启，再到 特朗普的"对等关税"幅度大超 ...

前期报告提要与市场聚焦 前期观点回顾：特朗普关税 2.0，将加速美国"衰退"与美股趋势性调整。特朗普 2.0 关税影响：加速美国经济"衰 退"甚至"滞胀"，美股趋势性调整。一是美国通胀上行幅度将远胜于上一轮贸易摩擦。二是加速美国经济"硬着陆" 甚至"滞胀"风险开启。三是美股调整是趋势，而非暂时性。四是全球权益市场或共振调整。 当下市场聚焦：1、美国 4 月 2 日"对等关税"措施公布，对于权益市场影响几何？如何看待后续 A 股表现？2、对比 海外黄金股，股价高弹性的核心驱动力主要是什么？3、对比哈莫尼和巴里克基本面，我们可以得到什么规律？4、 如何筛选 A 股黄金股公司？ 美国滞胀风险升温，权益市场"波动率"上升 美国"对等关税"幅度和力度均远超市场预期。从本次"对等关税"措施来看：（1）本次"对等关税"的加征力度 远超市场预期，尤其是对"对美贸易逆差大"的国家所征收的关税水平更高；（2）对美贸易顺差较大的一些亚洲经 济体和欧盟受到的加征力度明显偏高，或反映特朗普旨在通过关税政策达到增加财政收入，缩减贸易逆差，以及促 进制造业回流的三大目标。我参考关税 1.0 的经验，本轮特朗普 2.0 关税政策将大概率加速 ...

Investment Rating - The report maintains a "Buy" rating for the company, expecting significant price appreciation in the next 6-12 months [6]. Core Views - The company anticipates a substantial increase in net profit for Q1 2025, projecting a range of RMB 28.22 billion to RMB 32.26 billion, representing a year-on-year growth of 180% to 220% [2][3]. - The demand for high-speed trains is recovering, with expectations for continued revenue growth in the company's train business due to increased bidding and delivery volumes [4][5]. - The maintenance and repair segment of the railway equipment is expected to see a rise in revenue, with a projected growth of 25.2% in 2024 [5]. Summary by Sections Event - On April 7, the company announced an expected net profit for Q1 2025 of RMB 28.22 billion to RMB 32.26 billion, marking a significant increase from the previous year [2]. Operational Analysis - The increase in product delivery volumes and the substantial rise in train bids from the national railway group are key drivers for the company's revenue growth in the train segment [3]. - The national railway's target for passenger volume and infrastructure investment in 2025 indicates a positive outlook for railway equipment demand [4]. Profit Forecast, Valuation, and Rating - Revenue projections for the company are RMB 266.7 billion, RMB 287.1 billion, and RMB 308.4 billion for 2025, 2026, and 2027 respectively, with net profits expected to be RMB 13.48 billion, RMB 14.67 billion, and RMB 15.94 billion [6].

Quantitative Models and Construction Methods - **Model Name**: Macro Timing Strategy **Construction Idea**: The model evaluates macroeconomic and liquidity signals to determine equity allocation recommendations[28] **Construction Process**: 1. The model uses dynamic macro event factors to assess economic growth and monetary liquidity signals[28] 2. Signal strength is calculated for each dimension, such as economic growth (0%) and monetary liquidity (50%) for April[28][29] 3. Equity allocation is recommended based on aggregated signals, with March equity allocation set at 25%[28][29] **Evaluation**: The model provides stable configuration recommendations based on macroeconomic and liquidity conditions[28][29] - **Model Name**: Micro-Cap Timing Model **Construction Idea**: The model uses risk warning indicators and trend signals to monitor micro-cap stock performance[32] **Construction Process**: 1. Trend signals are derived from the relative net value of micro-cap stocks and the rolling 20-day slope of closing prices[32][38][40] 2. Risk warning indicators include: - Ten-year government bond yield YoY (-20.45%) compared to a risk threshold of 0.3[32][33][34] - Volatility congestion YoY (-50.09%) compared to a risk threshold[32][33][35] **Evaluation**: The model effectively monitors risk and provides insights into micro-cap stock trends[32][33][34] Model Backtesting Results - **Macro Timing Strategy**: - Year-to-date return: 1.06% - Benchmark (Wind All A): 1.90%[28] - **Micro-Cap Timing Model**: - Ten-year government bond yield YoY: -28.69%[33] - Volatility congestion YoY: -50.09%[33] Quantitative Factors and Construction Methods - **Factor Name**: Stock Selection Factors **Construction Idea**: Eight major stock selection factors are tracked across different stock pools[43] **Construction Process**: 1. Factors include value, size, growth, reversal, quality, technical, volatility, and consensus expectations[43][55] 2. Definitions: - **Value**: Metrics like SP_TTM (revenue/market cap) and EP_FY0 (expected net profit/market cap)[55] - **Size**: LN_MktCap (logarithm of market cap)[55] - **Growth**: ROE_FTTM (expected net profit/shareholder equity)[55] - **Quality**: OCF2CurrentDebt (operating cash flow/current debt)[55] - **Consensus Expectations**: TargetReturn_180D (expected price return)[55] - **Technical**: Skewness_240D (240-day return skewness)[55] - **Volatility**: IV_FF (Fama-French residual volatility)[55] - **Reversal**: Price_Chg120D (120-day return)[55] **Evaluation**: Factors provide diverse perspectives for stock selection and portfolio optimization[43][55] - **Factor Name**: Convertible Bond Factors **Construction Idea**: Factors are derived from the relationship between convertible bonds and their underlying stocks[47] **Construction Process**: 1. Factors include: - **Stock Consensus Expectations** - **Stock Growth** - **Stock Financial Quality** - **Stock Value** - **Convertible Bond Valuation** (e.g., parity premium rate)[47][50][51] **Evaluation**: Factors effectively capture convertible bond valuation and stock-related dynamics[47][50] Factor Backtesting Results - **Stock Selection Factors**: - IC Mean (All A Stocks): - Value: 16.95% - Size: 14.47% - Growth: 0.93% - Reversal: 9.10% - Quality: 1.75% - Technical: 3.90% - Volatility: 5.70% - Consensus Expectations: 4.29%[45] - Multi-Long-Short Returns (All A Stocks): - Value: 1.42% - Size: 1.84% - Growth: 0.77% - Reversal: 0.30% - Quality: 0.02% - Technical: 0.23% - Volatility: 0.13% - Consensus Expectations: 1.05%[45] - **Convertible Bond Factors**: - Multi-Long-Short Returns: - Stock Consensus Expectations: Positive - Stock Growth: Positive - Stock Financial Quality: Positive - Stock Value: Positive - Convertible Bond Valuation: Positive[47][50][51]