Group 1: US-Japan Trade Negotiations - Since April, multiple contacts between the US and Japan have not yielded results, with negotiations covering goods, finance, energy, and military security[3] - The US aims to increase exports to Japan, particularly in agricultural products and automobiles, while Japan has high tariffs on US agricultural imports, averaging 80% for grains and 200% for rice[10] - The potential outcome of "market access for tariff concessions" could significantly impact China, especially if Japan increases imports of US agricultural products and automobiles[3] Group 2: Impact on China - If Japan expands imports of US agricultural products, it may reduce China's exports of vegetables, fruits, and seafood to Japan, with China's exports of fish products to Japan valued at approximately $260 million in 2024[15] - The US's total agricultural exports are projected to reach $177.78 billion in 2024, with soybeans, grains, and meat being the top three categories, potentially alleviating export pressure on the US to China[16] - Japan's increased imports of US automobiles could affect China's high-end vehicle exports, with Japan's average import price for US cars around $64,000, impacting Chinese brands like NIO and Li Auto[19] Group 3: Risks and Considerations - Risks include unexpected fluctuations in overseas economies and policy changes, as well as potential delays in the availability of public data used in the report[21] - Japan's direct investment in the US manufacturing sector reached approximately $23.96 billion in 2023, which could enhance Japanese companies' competitive advantages in non-US markets[20]

Investment Rating - The report maintains an "Overweight" rating for the chemical industry, highlighting potential opportunities in glyphosate and solid-state battery materials [4]. Core Insights - The report emphasizes the potential price increase for glyphosate and glufosinate due to Bayer's possible bankruptcy of Monsanto, which could create a supply gap that benefits domestic producers [6][7]. - The report also notes the acceleration of solid-state battery material industrialization, driven by technological advancements and policy support [8]. Summary by Sections Market Overview - The chemical industry consists of 430 listed companies with a total market capitalization of 3,440.285 billion yuan and a circulating market value of 3,068.106 billion yuan [2]. - The report indicates a decline in the chemical product price index, with a week-on-week decrease of 1.4% as of May 23, 2025 [15]. Price Trends - The report identifies significant price increases in certain chemical products, such as a 22.2% rise in glyphosate and an 18.7% rise in industrial-grade sodium [16]. - Conversely, some products experienced price declines, including liquid chlorine, which fell by 16.7% [16]. Key Companies and Recommendations - The report recommends several companies based on their performance and market position, including: - Wanhua Chemical: Buy rating with an EPS forecast of 5.36 yuan for 2023 [4]. - Hualu Hengsheng: Buy rating with an EPS forecast of 1.68 yuan for 2023 [4]. - Baofeng Energy: Buy rating with an EPS forecast of 0.77 yuan for 2023 [4]. - Longbai Group: Buy rating with an EPS forecast of 1.35 yuan for 2023 [4]. Sector-Specific Insights - The report highlights the potential for increased domestic production and exports due to favorable tariff policies between China and the U.S. [6]. - It also notes the strengthening demand for civil explosives driven by infrastructure investments and mining activities [6]. New Materials Focus - The report stresses the importance of new materials, particularly in AI and solid-state battery technologies, as key growth areas for investment [8][9].

Quantitative Models and Construction Methods - **Model Name**: DTW Expected Return Factor **Model Construction Idea**: The model uses the Dynamic Time Warping (DTW) algorithm to measure the similarity between return sequences over a specific time range. It identifies sequences with high similarity and calculates their returns as a proxy for expected future returns. This approach serves as an alternative to traditional momentum factors, especially when the number of cross-sectional assets is limited [4][30][33] **Model Construction Process**: 1. For each asset, take the past 20-day return sequence \( s \) [33] 2. Compute DTW distances between \( s \) and the 20-day return sequences of all assets over a rolling window of 5–120 days [33] 3. Select the top 10% of sequences with the smallest DTW distances [33] 4. Calculate the average return of these sequences over the next 5 days as the factor value [33] 5. Constraints: - Minimum lookback window of 5 days to avoid overly correlated sequences due to close time intervals [33] - Maximum lookback window of 120 days to prevent factor failure caused by market regime shifts [33] **Formula**: DTW cost function: $$ \operatorname{cost}(i,j) = d(i,j) + \operatorname*{min} \begin{cases} \operatorname{cost}(i-1,j) \\ \operatorname{cost}(i,j-1) \\ \operatorname{cost}(i-1,j-1) \end{cases} $$ where \( d(i,j) \) represents the pointwise distance between two sequences [17] **Model Evaluation**: The DTW Expected Return Factor demonstrates strong trend-following characteristics and provides significant advantages over traditional momentum factors, especially in scenarios with fewer cross-sectional assets [4][30][33] Factor Backtesting Results - **ETF Rotation Portfolio**: - **IC Mean**: 0.034 - **ICIR**: 0.128 - **Maximum Drawdown**: 16.2% - **Turnover Rate**: 73% [35] - **STAR 50 Constituents**: - **IC Mean**: 0.053 - **ICIR**: 0.251 - **Maximum Drawdown**: 51.0% - **Turnover Rate**: 72% [40] Quantitative Factors and Construction Methods - **Factor Name**: DTW Expected Return Factor **Factor Construction Idea**: The factor leverages DTW to identify sequences with high similarity across assets and uses their subsequent returns as a proxy for expected returns. This approach captures price inertia while addressing limitations of traditional momentum factors [4][30][33] **Factor Construction Process**: 1. Extract the past 20-day return sequence for each asset [33] 2. Compute DTW distances between the sequence and all other assets' 20-day return sequences over a rolling window of 5–120 days [33] 3. Select the top 10% of sequences with the smallest DTW distances [33] 4. Calculate the average return of these sequences over the next 5 days as the factor value [33] **Formula**: DTW cost function: $$ \operatorname{cost}(i,j) = d(i,j) + \operatorname*{min} \begin{cases} \operatorname{cost}(i-1,j) \\ \operatorname{cost}(i,j-1) \\ \operatorname{cost}(i-1,j-1) \end{cases} $$ where \( d(i,j) \) represents the pointwise distance between two sequences [17] **Factor Evaluation**: The factor exhibits strong trend-following characteristics and performs well in scenarios with fewer cross-sectional assets. It also shows robustness when combined with trend-based timing strategies [4][30][33] Factor Backtesting Results - **ETF Rotation Portfolio**: - **IC Mean**: 0.034 - **ICIR**: 0.128 - **Maximum Drawdown**: 16.2% - **Turnover Rate**: 73% [35] - **STAR 50 Constituents**: - **IC Mean**: 0.053 - **ICIR**: 0.251 - **Maximum Drawdown**: 51.0% - **Turnover Rate**: 72% [40]

Email：houxd@zts.com.cn 房地产 证券研究报告/行业定期报告 2025 年 05 月 24 日 | 增持（维持） 评级： | 重点公司基本状况 | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 简称 | 股价 | | EPS | | | | PE | | | 评级 | | 分析师：由子沛 | | (元) | 2023A | 2024A | 2025E | 2026E | 2023A | 2024A | 2025E | 2026E | | | 执业证书编号：S0740523020005 | 保利发展 | 8.09 | 1.0 | 0.4 | 1.21 | 1.27 | 8.0 | 19.3 | 6.7 | 6.4 | 买入 | | | 招商蛇口 | 8.71 | 0.7 | 0.4 | 1.07 | 1.15 | 13.4 | 23.5 | 8.1 | 7.6 | 买入 | | Email：youzp@zts.com.cn | 招商积余 | 1 ...

——ETF市场周报2025.05.23 李倩云 证券分析师执业证书编号：S0740520050001 邮 箱：liqy02@zts.com 汤伟杰 中 泰 证 券 研 究 所 专 业 ｜ 领 先 ｜ 深 度 ｜ 诚 信 ｜ 证 券 研 究 报 告 ｜ 科技及高制板块交易最热， 科技及高制板块资金流入最多 证券分析师执业证书编号：S0740523050001 邮 箱：xiongjy01@zts.com 熊婧妍 证券分析师执业证书编号：S0740523110005 邮 箱：xiongjy01@zts.com 2 0 2 5 . 0 5 . 2 4 1 投资要点 风险提示：历史数据不代表未来；政策及经济超预期波动；流动性冲击影响市场，研报信息更新不及时的风险。 2 n ETF市场规模：当前市场上共有1178只ETF，总规模为41087.35亿元。股票型ETF数量最多，为 948只，规模为29638.73亿元，占市场规模的72.14%，其次是跨境ETF。股票型ETF中，主题指数 ETF数量最多，为448只，规模为4560.88亿元，其次为规模指数ETF。 n 权益ETF估值：A股市场上，ETF跟踪规模最高的30个指数 ...

Investment Rating - The report indicates a bullish probability of 62% for the coal industry and 61% for the media industry [4]. Core Insights - The report highlights significant inflows in the food and beverage, as well as mechanical equipment sectors [5]. - The active equity funds have increased their positions notably in the beauty and personal care sector [5]. - The ETF share growth is particularly high in the military industry, while the automotive sector has seen a decrease in share [4]. Summary by Relevant Sections Industry Investment Rating - The coal industry has a bullish probability of 62% and the media industry has a probability of 61% [4]. Fund Flow Insights - The food and beverage sector ranks first in net inflows, while mechanical equipment ranks second [4]. - Active equity funds have increased their positions in the beauty and personal care sector, indicating a positive outlook [5]. ETF Insights - The report identifies ETFs with high growth potential based on the AI model scoring above 0.8, focusing on those with a recent average daily trading volume exceeding 30 million [7]. - Specific ETFs highlighted include the Hong Kong Dividend Low Volatility ETF and the Hong Kong Medical ETF [8].

Investment Rating - The report maintains an "Accumulate" rating for the industry, indicating an expected increase in performance relative to the benchmark index over the next 6 to 12 months [20]. Core Insights - The first nationwide public company bond supporting small and micro enterprises was successfully issued on the Beijing Stock Exchange, with a total issuance scale of 500 million yuan and an interest rate of 2.50% [1][16]. - Of the raised funds, 350 million yuan is allocated to support the development of small and micro enterprises related to the industry chain, while 150 million yuan is designated for replenishing working capital [1][16]. - The issuance aims to alleviate the financing difficulties faced by small and micro enterprises by providing liquidity support [1][16]. Summary by Sections 1. Nationwide First Public Company Bond for Small and Micro Enterprises - The bond was issued by Jiangxi Financial Holding Group on April 23, 2025, with a term of 3+N years [1][16]. - The issuance is a significant step towards promoting inclusive finance and addressing the financing challenges of small and micro enterprises [1][16]. 2. Beijing Stock Exchange Bond Market Situation - The bond market officially opened on January 15, 2024, and has developed a product system that includes 10 specialized types of bonds [2][17]. - The exchange has conducted targeted research and training to align financial resources with the needs of small and micro enterprises [2][17]. 3. Investment Strategy for the Beijing Stock Exchange - The report highlights several sectors to watch in 2025, including: - Data Centers: Companies like Clait and Shuguang Data Creation are noted for their advantages in nuclear power and liquid cooling technology [6][14]. - Robotics: Key players include Suzhou Axis and Audiwei, focusing on bearings and sensors [6][14]. - Semiconductors: Hualing and Kaide Quartz are recognized as leaders in third-party testing and quartz devices [6][14]. - Consumer Goods: Companies such as Taihu Snow and Lusi are highlighted for their innovative products [6][14]. - Military Information Technology: Chengdian Guangxin and Xingtuzhihui are expected to benefit from advancements in military and aerospace sectors [6][14].

Investment Rating - The investment rating for the company is "Buy" (maintained) [2][9] Core Views - The company has signed a licensing agreement with Pfizer for the PD1×VEGF dual antibody SSGJ707, receiving an upfront payment of $1.25 billion, which is the largest for a Chinese innovative drug license-out, along with potential milestone payments of $4.8 billion and double-digit royalties on net sales [4][6] - The company is expected to achieve revenue growth of 12% to 14% from 2025 to 2027, with projected revenues of 102.01 billion, 114.94 billion, and 131.53 billion yuan respectively [6] - The net profit forecast for the same period is 23.45 billion, 26.48 billion, and 30.27 billion yuan, reflecting a growth rate of 12.2% to 14.3% [6] Summary by Sections Financial Performance - The company is projected to have operating revenues of 7,836 million yuan in 2023, increasing to 10,201 million yuan in 2025, with a year-on-year growth rate of 14% in 2023 and 12% in 2025 [2] - The net profit attributable to the parent company is expected to rise from 1,549 million yuan in 2023 to 2,345 million yuan in 2025, with a significant increase of 35% in 2024 [2] - Earnings per share (EPS) is forecasted to grow from 0.65 yuan in 2023 to 0.98 yuan in 2025 [2] Market Position and Prospects - The PD1×VEGF dual antibody market is expected to grow significantly, with SSGJ707 showing promising clinical data and a strong partnership with Pfizer, which enhances the clinical development speed in the U.S. [6] - The company has a robust pipeline with four mid-to-late stage monoclonal antibodies, including IL17, which is expected to be commercialized in 2025, indicating a strong potential for revenue generation [6] Valuation Metrics - The price-to-earnings (P/E) ratio is projected to decrease from 28.5 in 2023 to 18.9 in 2025, indicating an improving valuation as earnings grow [2] - The price-to-book (P/B) ratio is expected to decline from 3.2 in 2023 to 2.4 in 2025, reflecting a more attractive valuation over time [2]

Investment Rating - The investment rating for the company is "Buy" (maintained) [2][9] Core Views - The company has signed a licensing agreement with Pfizer for the PD1×VEGF dual antibody SSGJ707, receiving an upfront payment of $1.25 billion, which is the largest for a Chinese innovative drug license-out, along with potential milestone payments of $4.8 billion and double-digit royalties on net sales [4][6] - The company is expected to achieve revenue growth of 12% to 14% from 2025 to 2027, with projected revenues of 102.01 billion, 114.94 billion, and 131.53 billion yuan respectively [6] - The company is anticipated to see a significant acceleration in domestic revenue due to multiple late-stage clinical assets, including IL17 monoclonal antibody expected to commercialize in 2025 [6] Summary by Sections Financial Forecasts - Projected operating revenue (in million yuan): 7,836 (2023A), 9,108 (2024A), 10,201 (2025E), 11,494 (2026E), 13,153 (2027E) with growth rates of 14%, 16%, 12%, 13%, and 14% respectively [2] - Expected net profit attributable to shareholders (in million yuan): 1,549 (2023A), 2,090 (2024A), 2,345 (2025E), 2,648 (2026E), 3,027 (2027E) with growth rates of -19%, 35%, 12%, 13%, and 14% respectively [2] - Earnings per share (in yuan): 0.65 (2023A), 0.87 (2024A), 0.98 (2025E), 1.10 (2026E), 1.26 (2027E) [2] Market Position and Development - The PD1×VEGF dual antibody market is validated, with significant clinical results from competitors enhancing the outlook for SSGJ707 [6] - The company’s collaboration with Pfizer is expected to accelerate clinical development in the U.S. due to Pfizer's robust clinical and commercialization capabilities [6] Valuation Metrics - Projected P/E ratios: 28.5 (2023A), 21.2 (2024A), 18.9 (2025E), 16.7 (2026E), 14.6 (2027E) [2] - Projected P/B ratios: 3.2 (2023A), 2.9 (2024A), 2.4 (2025E), 2.0 (2026E), 1.7 (2027E) [2]

Investment Rating - The investment rating for the company is "Buy" (maintained) [3][8] Core Views - The company has strong revenue growth and is on the verge of breakthroughs in its clinical pipeline [4][5] - The recent licensing agreement with Pfizer for the PD1×VEGF dual antibody SSGJ707 is a significant milestone, with an upfront payment of $1.25 billion and potential milestone payments of up to $4.8 billion, along with double-digit royalties on net sales [4][5] - The company is expected to achieve substantial revenue growth from its main business, with key products in late-stage clinical development [5] Financial Summary - Projected revenue for 2023A is 1,014 million, with a growth rate of 23% year-over-year; expected revenue for 2025E is 1,370 million, with a growth rate of 15% [3] - Projected net profit for 2023A is 295 million, with a staggering growth rate of 498% year-over-year; expected net profit for 2025E is 300 million, reflecting a decline of 57% [3] - Earnings per share (EPS) is projected to be 0.48 for 2023A and 0.49 for 2025E [3] Clinical Pipeline and Market Potential - The company has four mid-to-late stage clinical assets, each expected to generate over 1 billion in revenue, with the IL17 monoclonal antibody anticipated to be commercialized in 2025 [5] - The IL1β monoclonal antibody is expected to submit its NDA in 2025, targeting a large patient population with limited treatment options [5] Valuation Metrics - The company is projected to have a P/E ratio of 116.5 for 2025E and a P/B ratio of 6.1 for the same year [3] - The net asset return rate (ROE) is expected to be 5% for 2025E, with a net profit margin of 21.5% [7]