Quantitative Models and Construction Methods 1. Model Name: Davis Double Hit Strategy - **Model Construction Idea**: The strategy involves buying stocks with growth potential at a low P/E ratio and selling them after the growth materializes and the P/E ratio increases, achieving a "double hit" effect through EPS growth and P/E expansion[7] - **Model Construction Process**: - Identify stocks with accelerating earnings growth - Evaluate the reasonableness of stock pricing using the PEG indicator, which considers both P/E and growth rate[7] - **Model Evaluation**: The strategy demonstrated strong stability, with annual excess returns exceeding 11% in all seven years of the backtest period from 2010 to 2017[8] 2. Model Name: Net Profit Gap Strategy - **Model Construction Idea**: This strategy combines fundamental and technical analysis, focusing on two key aspects: - "Net profit" refers to earnings surprises, typically exceeding market expectations - "Gap" refers to a significant upward price gap on the first trading day after the earnings announcement, reflecting market recognition and sentiment[11] - **Model Construction Process**: - Select stocks with earnings surprises based on earnings forecasts and financial reports from the past two months - Rank stocks by the magnitude of the price gap on the earnings announcement day - Construct an equal-weight portfolio of the top 50 stocks[11] 3. Model Name: CSI 300 Enhanced Portfolio - **Model Construction Idea**: The model is based on investor preferences, categorized into GARP (Growth at a Reasonable Price), growth, and value styles[16] - GARP investors focus on companies with strong profitability and stable growth potential at relatively low prices - Growth investors prioritize high-growth companies based on revenue, gross profit, and net profit growth - Value investors prefer companies with high and stable ROE over the long term[16] - **Model Construction Process**: - Construct the PBROE factor using the difference in percentiles between PB and ROE to identify undervalued stocks with strong profitability - Construct the PEG factor using the difference in percentiles between P/E and growth rate to find undervalued stocks with reliable growth potential[16] --- Backtest Results of Models 1. Davis Double Hit Strategy - **Annualized Return**: 26.45% (2010-2017)[8] - **Annualized Excess Return**: 21.08% (2010-2017)[8] - **YTD Absolute Return**: 16.55%[8] - **YTD Excess Return**: 14.14% (relative to CSI 500 Index)[8] - **Weekly Excess Return**: -0.15% (relative to CSI 500 Index)[8] - **Current Period Excess Return**: 1.75% (2025-05-06 to 2025-06-27)[8] 2. Net Profit Gap Strategy - **Annualized Return**: 29.21% (2010-present)[14] - **Annualized Excess Return**: 27.45% (2010-present)[14] - **YTD Absolute Return**: 27.39%[14] - **YTD Excess Return**: 24.98%[14] - **Weekly Excess Return**: 3.24%[14] 3. CSI 300 Enhanced Portfolio - **Annualized Return**: 9.75% (full sample period)[18] - **Annualized Excess Return**: 9.13% (full sample period)[18] - **YTD Absolute Return**: 12.90%[20] - **YTD Excess Return**: 13.23% (relative to CSI 300 Index)[20] - **Weekly Excess Return**: -0.10%[20] - **Monthly Excess Return**: 2.40%[20]

Investment Rating - The report gives a "Buy" rating for COFCO Technology with a target price of 6.8 CNY, based on a price-to-book (PB) ratio of 1.2 for 2025 [5][3]. Core Views - COFCO Technology is a leading player in the domestic corn deep processing industry, with its dividend value becoming more prominent as performance improves. The company has a strong cost control capability, which has allowed it to turn a profit in 2024 despite low corn prices [1][3]. - The company is focusing on sustainable business models centered around biotechnology, with significant developments in bioenergy, fermentation products, and biodegradable materials [2][3]. Summary by Sections Company Overview - COFCO Technology, controlled by COFCO Group, has established a comprehensive corn processing industry layout covering food, food ingredients, bioenergy, and biodegradable materials. It is recognized as a leading corn deep processing enterprise in terms of scale and technology [1][13]. Main Business Segments 1. **Bioenergy**: - The company is a leader in fuel ethanol production with a capacity of 1.35 million tons, accounting for 23% of the national total. The industry is currently experiencing a slowdown, prompting the company to diversify into high-end alcohol and carbon dioxide utilization [2][31]. 2. **Fermentation Products & Starch Raw Materials**: - COFCO Technology is a leading producer of starch sugars, focusing on products like fructose syrup and maltodextrin. The company plans to expand its production capacity significantly by 2025 [2][46]. 3. **Biodegradable Materials**: - The main product is polylactic acid (PLA), with applications in packaging and agriculture. The company is advancing its biodegradable materials business through subsidiaries and plans to enhance its production capabilities [2][72]. Financial Forecast & Valuation Analysis - Revenue projections for 2025-2027 are 20.62 billion, 21.25 billion, and 22.97 billion CNY, respectively. The net profit attributable to shareholders is expected to reach 1.02 million, 1.64 million, and 2.34 million CNY for the same period [3][4]. - The report highlights the company's strong recovery in profitability, with a net profit of over 40 million CNY in Q1 2025, a year-on-year increase of 63.17% [1][3]. Investment Recommendations - The report emphasizes the potential for COFCO Technology to explore sustainable development models centered on biotechnology, which could enhance its dividend value as performance improves [3][5].

Quantitative Factors and Construction Methods 1. Factor Name: Small Market Cap - **Factor Construction Idea**: This factor captures the size effect, where smaller market capitalization stocks tend to outperform larger ones over time [13] - **Factor Construction Process**: The factor is calculated as the logarithm of the market capitalization of a stock [13] - **Factor Evaluation**: The factor demonstrated strong performance in recent periods, particularly over the past week, month, and year [8][10] 2. Factor Name: Beta - **Factor Construction Idea**: This factor measures the sensitivity of a stock's returns to market returns, capturing systematic risk [13] - **Factor Construction Process**: Beta is calculated as the regression coefficient of a stock's returns against market returns over the past 490 trading days [13] - **Factor Evaluation**: The factor showed strong performance in recent periods, particularly over the past week and month [8][10] 3. Factor Name: 1-Month Specificity - **Factor Construction Idea**: This factor measures the idiosyncratic component of stock returns, independent of systematic factors [13] - **Factor Construction Process**: It is calculated as \( 1 - R^2 \), where \( R^2 \) is derived from regressing daily stock returns against the Fama-French three-factor model over the past 20 trading days [13] - **Factor Evaluation**: The factor exhibited strong performance in the past week, month, and year [8][10] 4. Factor Name: 1-Month Reversal - **Factor Construction Idea**: This factor captures the short-term reversal effect, where stocks with poor recent performance tend to rebound [13] - **Factor Construction Process**: It is calculated as the cumulative return of a stock over the past 20 trading days [13] - **Factor Evaluation**: The factor performed well over the past year [8][10] 5. Factor Name: Fama-French 1-Month Residual Volatility - **Factor Construction Idea**: This factor measures the residual volatility of stock returns after accounting for systematic factors [13] - **Factor Construction Process**: It is calculated as the standard deviation of residuals from regressing daily stock returns against the Fama-French three-factor model over the past 20 trading days [13] - **Factor Evaluation**: The factor demonstrated strong performance over the past year [8][10] --- Factor Backtesting Results 1. Small Market Cap - **IC Performance**: Weekly IC: 15.09%, Monthly IC: 6.09%, Yearly IC: 3.61%, Historical IC: 2.20% [9] - **Excess Return Performance**: Weekly: 1.67%, Monthly: 2.75%, Yearly: 18.13%, Historical Cumulative: 66.36% [11] 2. Beta - **IC Performance**: Weekly IC: 13.20%, Monthly IC: 5.67%, Yearly IC: 1.79%, Historical IC: 0.38% [9] - **Excess Return Performance**: Weekly: 1.85%, Monthly: 2.84%, Yearly: 9.25%, Historical Cumulative: -8.52% [11] 3. 1-Month Specificity - **IC Performance**: Weekly IC: 11.75%, Monthly IC: 6.36%, Yearly IC: 3.19%, Historical IC: 2.40% [9] - **Excess Return Performance**: Weekly: 1.38%, Monthly: 1.99%, Yearly: 9.59%, Historical Cumulative: 16.77% [11] 4. 1-Month Reversal - **IC Performance**: Weekly IC: 9.55%, Monthly IC: 3.46%, Yearly IC: 3.54%, Historical IC: 2.23% [9] - **Excess Return Performance**: Weekly: 1.25%, Monthly: 0.32%, Yearly: 4.73%, Historical Cumulative: -0.81% [11] 5. Fama-French 1-Month Residual Volatility - **IC Performance**: Weekly IC: 4.67%, Monthly IC: 5.09%, Yearly IC: 3.37%, Historical IC: 2.54% [9] - **Excess Return Performance**: Weekly: 0.44%, Monthly: 1.59%, Yearly: 9.67%, Historical Cumulative: 19.58% [11]

固定收益 | 固定收益专题 2025 年 06 月 27 日 作者 谭逸鸣 分析师 SAC 执业证书编号：S1110525050005 tanyiming@tfzq.com 唐海清 分析师 SAC 执业证书编号：S1110517030002 tanghaiqing@tfzq.com 裴明楠 分析师 SAC 执业证书编号：S1110525060004 peimingnan@tfzq.com 近期报告 1 《固定收益：信用主体骑乘库一览- 信用策略系列》 2025-06-26 美国经济观察 美国到"衰退"门槛还有多远？ 从 NBER 六大指标看，美国经济尚无"衰退"信号。今年 3 月以来，市场 持续下调美国经济增速预期，美国一季度 GDP 增速下修至-0.5%。美国经 济是否真的被"透支"空了呢？ NBER 采用 6 个底层指标判定"经济衰退 期"，截至今年 4 月，仅有 1 项指标进入明确下行趋势，4 项处于波动，1 项仍在上行趋势。 一季度美国 GDP 负增长是"技术性"现象。一季度美国 GDP 修正值-0.5% （季调环比折年率，下同），主因企业在关税前囤货，贸易逆差大增，"净 出口"拖累 GDP 增速 4 ...

一级发行如何？整体来看，2025 年以来城投债发行政策仍处于严监管态势 之下，未有大幅放松，仍以借新还旧为主。2025 年以来发行及偿还端较 2024 年同期均减少，净融资继续下滑，但下滑幅度不算大。 分省来看，截至 2025 年 6 月 20 日，与历年同期相比：（1）12 省中 10 省 净融资回正；（2）山东、河南、江西、福建、上海等区域净融资较去年同 期下滑较多；（3）湖南区域仍有较大的净融资缺口。 固定收益 | 固定收益专题 固定收益 证券研究报告 低票息时代下的城投资产选择 上半年城投债市场表现如何？ 二级市场表现如何？2025 年以来城投债走势可大致分为 3 个阶段： （1）年初-3 月中旬：年初受春节前影响，资金面呈现紧平衡状态。春节 后，资金面紧张格局未扭转，短端利率受影响调整幅度较大，后传导至长 端，城投债收益率随之被动抬升，信用利差因利率上行被动走阔。（2）3 月中旬-4 月：3 月下旬，MLF 操作方式调整叠加央行净投放资金，资金 面边际宽松。4 月美国对中国加征"超预期关税"及中国反制措施引发市 场避险需求，推动利率下行，带动城投债收益率同步下行，信用利差也被 动收窄。（3）5 月以 ...

Investment Rating - The investment rating for Jianghe Group is "Buy" with a target price not specified [5] Core Views - Jianghe Group has secured multiple landmark projects in Saudi Arabia, including a subcontract for the Jeddah Tower project worth approximately 2.012 billion RMB, which is expected to contribute 8.98% to the company's revenue in 2024 [1] - The company is actively expanding its overseas market presence, with a focus on regions such as Saudi Arabia, Dubai, Thailand, and Vietnam, and has established subsidiaries in Dubai and Saudi Arabia [2] - The company has achieved significant growth in overseas orders, with a total of 7.63 billion RMB in new orders for 2024, representing a year-on-year increase of 57% [2] Financial Data and Valuation - The projected revenue for Jianghe Group is expected to grow from 20,954.28 million RMB in 2023 to 28,461.95 million RMB in 2027, with a compound annual growth rate of approximately 8.77% [4] - The net profit attributable to the parent company is forecasted to be 671.74 million RMB in 2023, decreasing to 637.70 million RMB in 2024, and then gradually increasing to 747.46 million RMB by 2027 [4] - The company plans to distribute a total cash dividend of 620 million RMB for 2024, resulting in a high dividend yield of 10.2% [3] Summary of Financial Projections - Revenue growth rates are projected at 16.05% for 2023, 6.93% for 2024, and gradually increasing to 8.77% by 2027 [4] - The earnings per share (EPS) is expected to be 0.59 RMB in 2023, slightly decreasing to 0.56 RMB in 2024, and then increasing to 0.66 RMB by 2027 [4] - The price-to-earnings (P/E) ratio is projected to decrease from 9.28 in 2023 to 8.34 by 2027, indicating potential value for investors [4]

作者 谭逸鸣 分析师 SAC 执业证书编号：S1110525050005 tanyiming@tfzq.com 唐海清 分析师 SAC 执业证书编号：S1110517030002 tanghaiqing@tfzq.com 唐梦涵 分析师 SAC 执业证书编号：S1110525060002 tangmenghan@tfzq.com 近期报告 1 《固定收益：信用主体骑乘库一览- 信用策略系列》 2025-06-26 固定收益 | 固定收益专题 2025 年 06 月 27 日 2 《固定收益：固定收益专题-建筑行 业系列一》 2025-06-24 3 《固定收益：可转债周报 20250622- 近期评级调整怎么看？》 2025-06-22 可转债 2025 年中期策略 证券研究报告 顺势布局，掘金赛道 25H1，权益与转债市场行情复盘 小盘风格占优，医药与金融地产股领涨，转债资产表现优异。年初以来， 小微盘风格占优，中证 2000、可转债对应正股指数分别涨 7.53%、9.64%， 领跑市场，沪深 300、科创 50 则分别录得 2.24%、3.14%跌幅；产业链 来看，医药板块、金融地产板块分别上涨 4.60 ...

Group 1 - The report indicates a recovery in the issuance of equity public funds, with a new issuance of 269.56 million shares, an increase of 17.32% compared to the previous period [2][10][11] - Southbound capital continues to show net inflows, with a total of 290.55 billion yuan, although this is a decrease of 26.37% from the previous period [5][39] - The overall funding supply for the period was 292 billion yuan, while the funding demand reached 4,513 billion yuan, resulting in a net outflow of 4,221 billion yuan [2][9] Group 2 - The equity financing scale significantly increased to 4,307.79 billion yuan, primarily due to large-scale issuances by major banks such as Bank of China, Bank of Communications, and Postal Savings Bank, which raised 1,650 billion, 1,200 billion, and 1,300 billion yuan respectively [3][30] - The net reduction in industrial capital was 85.75 billion yuan, indicating continued selling pressure from major shareholders [3][32] - The lock-up release value for this period was 1,078.21 billion yuan, a substantial increase of 162.85% compared to the previous period, with expectations of 1,335.32 billion yuan in the next two weeks [4][35]

Group 1 - The report highlights the current trading dynamics in the financial sector, comparing the recent financial market trends with those of November 2014, emphasizing the need to assess whether the current financial narrative can support the high valuations seen in the financial sector [3][19] - It notes that the military industry has shown a good rebound rate in similar historical contexts, suggesting potential investment opportunities in this sector [3][19] - The report discusses the importance of trading volume in determining the pricing factors for brokerage firms, indicating that maintaining high trading volumes is crucial for price appreciation [3][20] Group 2 - The report outlines the recent developments from the Lujiazui Forum, focusing on financial policies aimed at enhancing cooperation and high-quality development in the context of global economic changes [4][22] - It mentions significant trends in various industries, including advancements in artificial intelligence and high-end manufacturing, which are expected to drive future growth [4][24] - The report highlights the performance of battery and stablecoin concepts, indicating strong market interest and potential investment opportunities in these areas [4][21] Group 3 - The report on the credit strategy emphasizes the potential for "riding" strategies in credit bonds, suggesting that certain issuers may offer better yield curves for investment [6][25] - It provides a list of credit issuers that may present opportunities for investors looking to capitalize on steep yield curves [6][25] - The report indicates that while liquidity in credit bonds is generally lower, selecting larger issuers can improve investment outcomes [6][25] Group 4 - The report on the communications industry discusses the critical role of switches in network interconnectivity, driven by the growth of data centers and the increasing demand for high-speed networking equipment [9] - It notes that the switch market is highly concentrated, with the top five global manufacturers holding a significant market share, indicating potential competitive advantages for these firms [9][9] - The report suggests that advancements in AI are pushing the demand for higher-speed switches, which could benefit companies involved in this technology [9][9] Group 5 - The report on the coal industry outlines the structural oversupply and external constraints facing the sector, with a focus on the increasing concentration of production capacity [10] - It discusses the transition of coal from a primary energy source to a regulatory energy source, indicating a shift in demand dynamics [10][10] - The report predicts that coal demand may plateau as the relationship between coal and electricity generation becomes more integrated [10][10] Group 6 - The report on Nanjing Light (300940) highlights the company's strategic shift from mobile phone displays to a broader range of applications, including gaming and automotive displays, driven by the launch of the Switch2 product [11][27] - It emphasizes the expected turnaround in profitability due to the successful launch of the Switch2, projecting significant revenue growth in the coming years [11][28] - The report provides a positive outlook for the company's future, with anticipated earnings growth and a target price based on projected performance [11][30]

Group 1 - The report indicates that after a broker's movement and the Shanghai Composite Index breakout, the technology sector shows a high win rate of 100% and an average return of approximately 9% over 15 trading days, making it more favorable compared to brokers [1][25]. - The current trading strategy focuses on technology sector rebounds rather than brokers, suggesting a need to assess whether the current financial market conditions are comparable to those in November 2014, with significant differences in relative returns between the financial and technology sectors since 2023 [1][25]. - The military industry, as another elastic sector, also demonstrates a good rebound win rate under similar historical conditions [1][26]. Group 2 - The report defines broker movement and Shanghai Composite Index breakout by three criteria: a broker index daily increase of over 5%, more than 10 stocks in the broker sector hitting the daily limit, and the Shanghai Composite Index reaching a new high for the past quarter [10][19]. - A notable failure in technology sector rebounds occurred on November 24, 2014, when the TMT technology style had been strong for over two years, and the blue-chip financial sector was undervalued, leading to a significant rebound driven by unexpected interest rate cuts [2][15]. - The military sector also shows promising rebound rates in similar historical scenarios, indicating its potential as an investment opportunity [18][26].