Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - **Model Construction Idea**: This model tracks the distance of stock prices or indices from their 250-day high to identify market trends and momentum. It is based on the principle that stocks or indices closer to their recent highs tend to exhibit stronger momentum and potential for future gains[11][19]. - **Model Construction Process**: The 250-day new high distance is calculated as follows: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ ts\_max(Close, 250) $ is the maximum closing price over the past 250 trading days If the latest closing price reaches a new high, the distance is 0. If the price has fallen from the high, the distance is a positive value representing the percentage drop[11]. - **Model Evaluation**: The model effectively captures momentum and trend-following characteristics, aligning with prior research on the predictive power of stocks near their 52-week highs[11][19]. 2. Model Name: Stable New High Stock Selection Model - **Model Construction Idea**: This model identifies stocks with stable price movements and consistent new highs, leveraging the idea that smoother price paths and sustained momentum yield better returns[27][29]. - **Model Construction Process**: Stocks are selected based on the following criteria: 1. **Analyst Attention**: At least five "Buy" or "Overweight" ratings in the past three months 2. **Relative Strength**: Top 20% in terms of 250-day price performance 3. **Price Stability**: - **Price Path Smoothness**: Measured by the ratio of price displacement to total price movement over the past 120 days - **Momentum Consistency**: Average 250-day new high distance over the past 120 days 4. **Trend Continuation**: Average 250-day new high distance over the past five days Stocks meeting these criteria are ranked, and the top 50 are selected[27][29]. - **Model Evaluation**: The model emphasizes the importance of smooth price paths and consistent momentum, which are less likely to attract excessive attention and thus may yield stronger returns[27]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite: 0.70% - Shenzhen Component: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Stable New High Stock Selection Model - **Selected Stocks**: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - **Sector Distribution**: - Cyclical Sector: 23 stocks (e.g., Basic Chemicals) - Technology Sector: 18 stocks (e.g., Electronics)[30][35] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: Measures the proximity of a stock's price to its 250-day high, capturing momentum and trend-following characteristics[11]. - **Factor Construction Process**: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ ts\_max(Close, 250) $ is the maximum closing price over the past 250 trading days[11]. - **Factor Evaluation**: The factor is widely supported by academic research and practical applications, demonstrating strong predictive power for momentum strategies[11][19]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Quantifies the smoothness of a stock's price movement, as smoother paths are associated with stronger momentum effects[27]. - **Factor Construction Process**: $ Price\ Path\ Smoothness = \frac{Price\ Displacement}{Total\ Price\ Movement} $ Where: - $ Price\ Displacement $ is the absolute change in price over 120 days - $ Total\ Price\ Movement $ is the sum of absolute daily price changes over 120 days[27]. - **Factor Evaluation**: This factor highlights the importance of consistent price movements, which are less likely to attract excessive attention and thus may yield stronger returns[27]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance**: - Shanghai Composite: 0.70% - Shenzhen Component: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Price Path Smoothness Factor - **Selected Stocks**: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - **Sector Distribution**: - Cyclical Sector: 23 stocks (e.g., Basic Chemicals) - Technology Sector: 18 stocks (e.g., Electronics)[30][35]

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - **Model Construction Idea**: This model tracks the distance of stock prices or indices from their 250-day high to identify market trends and hotspots. It is based on the momentum and trend-following strategy, which has been validated by various studies[11][19]. - **Model Construction Process**: The 250-day new high distance is calculated as: $ 250 \text{-day new high distance} = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ ts\_max(Close, 250) $ is the maximum closing price over the past 250 trading days If the latest closing price reaches a new high, the distance is 0. If the price falls from the high, the distance is a positive value representing the degree of decline[11]. - **Model Evaluation**: The model effectively identifies stocks or indices with strong momentum and highlights market leaders, aligning with the principles of momentum investing[11][19]. 2. Model Name: Stable New High Stock Selection Model - **Model Construction Idea**: This model refines the momentum strategy by focusing on stocks with smooth price paths and consistent new highs, leveraging the "smooth momentum" effect[27]. - **Model Construction Process**: Stocks are selected based on the following criteria: - Analyst Attention: At least 5 buy or overweight ratings in the past 3 months - Relative Strength: Top 20% in 250-day price performance - Price Stability: - Price path smoothness: Ratio of price displacement to total price movement - Consistency of new highs: Average 250-day new high distance over the past 120 days - Trend Continuation: Average 250-day new high distance over the past 5 days The top 50 stocks meeting these criteria are selected[27][29]. - **Model Evaluation**: The model emphasizes stocks with stable momentum and consistent performance, which are less likely to experience sharp reversals, making it a robust enhancement to traditional momentum strategies[27][29]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.70% - Shenzhen Component Index: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Stable New High Stock Selection Model - **Selected Stocks**: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - **Sector Distribution**: - Cyclical Sector: 23 stocks, with the highest concentration in basic chemicals - Technology Sector: 18 stocks, with the highest concentration in electronics[30][35] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: Measures the relative position of a stock's price to its 250-day high, capturing momentum and trend-following characteristics[11]. - **Factor Construction Process**: $ 250 \text{-day new high distance} = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ ts\_max(Close, 250) $ is the maximum closing price over the past 250 trading days[11]. - **Factor Evaluation**: The factor is widely recognized for its ability to identify stocks with strong momentum and potential for continued outperformance[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Quantifies the stability of a stock's price movement, favoring stocks with smoother trajectories[27]. - **Factor Construction Process**: - Price path smoothness is calculated as the ratio of price displacement to the total price movement over a given period[27]. - **Factor Evaluation**: This factor enhances the momentum strategy by reducing exposure to volatile stocks, improving risk-adjusted returns[27]. 3. Factor Name: Consistency of New Highs - **Factor Construction Idea**: Measures the persistence of a stock's new high performance over time, emphasizing sustained momentum[27]. - **Factor Construction Process**: - Average 250-day new high distance over the past 120 days is used as a proxy for consistency[27]. - **Factor Evaluation**: This factor ensures that selected stocks exhibit reliable momentum, reducing the likelihood of short-term reversals[27]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.70% - Shenzhen Component Index: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Price Path Smoothness Factor - **Selected Stocks**: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - **Sector Distribution**: - Cyclical Sector: 23 stocks, with the highest concentration in basic chemicals - Technology Sector: 18 stocks, with the highest concentration in electronics[30][35] 3. Consistency of New Highs Factor - **Selected Stocks**: Same as the Price Path Smoothness Factor, as it is part of the composite selection criteria[30][35]

2026年01月22日 证券研究报告 | 2026年01月23日 商业航天深度报告 火箭回收"黎明将至" ，商业航天"千帆竞发" 商业航天深度报告 火箭回收"黎明将至" ，商业航天"千 帆竞发" 行业研究 · 行业专题 商业航天 · 价值分析 投资评级：优于大市（维持） 证券分析师：李聪 licong3@guosen.com.cn S0980525080006 请务必阅读正文之后的免责声明及其项下所有内容 内容摘要 请务必阅读正文之后的免责声明及其项下所有内容 Ø "政策+技术+资本+市场"四重共振驱动商业航天蓬勃发展：1）政策顶层设计清晰，架构逐渐完善：商业航天连续两年被写入政府工 作报告、国家航天局设立商业航天司、科创板第9号指引出台、无线电创新院成立等一系列重大政策及措施的推出和落实，勾勒商业航 天的"上层建筑"；我国一次性申报卫星20万颗，展示国家发展商业航天的坚定意志。2）技术突破拐点在即：火箭端蓝箭航天等多家 公司竞速开展可回收火箭验证试验，可回收火箭技术突破指日可待；卫星端"政企"联合建设多个超级工厂，旨在突破卫星产能极限。 3）资本端热度高涨，市场化融资活跃：2025年商业航天融资总额再创新高 ...

证券研究报告 | 2026年01月23日 钾肥行业点评 全球氯化钾供需紧张，2026 年需求、价格有望超预期 |  行业研究·行业快评 | | |  石油石化 |  投资评级：优于大市（维持） | | --- | --- | --- | --- | --- | | 证券分析师： | 杨林 | 010-88005379 | yanglin6@guosen.com.cn | 执证编码：S0980520120002 | | 证券分析师： | 薛聪 | 010-88005107 | xuecong@guosen.com.cn | 执证编码：S0980520120001 | 事项： 近期，国内钾肥价格较年初已经上涨 50-100 元/吨，目前国产 60%白钾 3300 元/吨，边贸 62%白钾 3400 元 /吨，港口 62%白钾 3500 元/吨。 1）国内钾肥库存低位，看好春耕钾肥价格上行。根据百川盈孚数据，2025 国内氯化钾合计产量 582 万吨， 同比-38 万吨（yoy-6%）；截至 1 月 15 日，国内氯化钾港口库存 251 万吨，环比+3 万吨，同比-45 万吨， 且国储仍需 150 万吨补库需 ...

| 晨会纪要 | | --- | | 数据日期:2026-01-22 | 上证综指 | 深证成指沪深 | 300 指数 | 中小板综指 | 创业板综指 | 科创 50 | | --- | --- | --- | --- | --- | --- | --- | | 收盘指数（点） | 4122.57 | 14327.04 | 4723.70 | 15645.58 | 4174.99 | 1541.63 | | 涨跌幅度（%） | 0.13 | 0.50 | 0.01 | 0.70 | 0.87 | 0.40 | | 成交金额（亿元） | 12017.64 | 14899.68 | 6902.35 | 5337.35 | 6815.35 | 1144.71 | 【常规内容】 证券研究报告 | 2026年01月23日 江苏金租(600901.SH) 财报点评:双轮锚定价值，稳健穿越周期 周大福(01929.HK) 公司快评:销售增长进一步加速，定价首饰占比提升 利好毛利率 苏农银行(603323.SH) 财报点评:收利润增速平稳，资产质量稳健 兴业银行(601166.SH) 财报点评:营收增速由负转正 立高食品(3 ...

证券研究报告 | 2026年01月22日 寻找中国保险的 Alpha 系列之四 优于大市 从保单到数据：新能源车险的价值跃迁 产业周期看财险：我国新能源车险已步入"量价齐升"的黄金发展期。在"双 碳"目标的国家战略指引与延续性的购置税减免等政策激励下，我国新能源 汽车市场渗透率持续快速提升。2024 年，我国新能源汽车销量占总新车销量 的比例已高达 40.9%，零售渗透率逼近 50%，其销量增速显著超越传统燃油 车，这为车险保费增长提供了坚实的原生动力。与此同时，"高级驾驶辅助 系统（ADAS）"渗透率超过 50%以及"基于使用行为的保险（UBI）"等创 新模式的普及，正从技术层面重塑车险的风险管理与定价逻辑，为行业破解 成本困局提供了关键工具。 | 证券分析师：孔祥 | 证券分析师：王京灵 | | --- | --- | | 021-60375452 | 0755-22941150 | | kongxiang@guosen.com.cn | wangjingling@guosen.com.cn | | S0980523060004 | S0980525070007 | 新能源车险高增长背后是当前"高成本、高 ...

Investment Rating - The investment rating for Yanzhou Coal Mining Company (兖矿能源) is "Outperform" [1] Core Views - Yanzhou Coal Mining Company has established itself as a leading coal enterprise with a strong focus on growth and high dividends, supported by a diversified business model that includes mining, high-end chemical materials, high-end equipment manufacturing, smart logistics, and new energy [2][4] - The company has significant coal resources and production capacity, with a total coal resource of 889.74 billion tons and an exploitable reserve of 177.44 billion tons as of the end of 2024 [2][10] - The coal quality is excellent, characterized by low ash, low sulfur, and high calorific value, which enhances its market reputation [2][55] - The coal chemical business is technologically advanced and poised for growth, with plans to expand production capacity significantly in the coming years [2][4] - The company is actively pursuing acquisitions to enhance its resource base and operational capabilities, including recent acquisitions of mining assets [22][24] Summary by Sections 1. Company Overview - Yanzhou Coal Mining Company was founded in 1997 and has listings in multiple stock exchanges, becoming an international energy company with a diversified portfolio [2][10] - The company aims to create green energy and lead energy transformation, focusing on five main industries: mining, high-end chemical materials, new energy, high-end equipment manufacturing, and smart logistics [10][21] 2. Coal Resource and Production Capacity - The company has a rich distribution of coal resources across various regions, including Shandong, Shaanxi, Inner Mongolia, Xinjiang, and Australia, with a total coal resource of 464.3 billion tons and an exploitable reserve of 60.05 billion tons [2][55] - The company plans to achieve a coal production target of 300 million tons per year, with significant capacity expansions expected from new mines in the coming years [2][4] 3. Coal Chemical Business - The coal chemical segment is a key growth area, with advanced technologies and plans for new projects that will enhance production capacity and product diversity [2][4] - The company is set to launch several high-end coal chemical projects, including an 80,000-ton ethylene project and a 50,000-ton high-temperature Fischer-Tropsch project [2][4] 4. Other Business Segments - The company is diversifying into non-coal mining, logistics, and equipment manufacturing, with significant resources in molybdenum and potassium salts [2][4] - Recent acquisitions have strengthened the company's logistics capabilities, enhancing its integrated logistics system [22][24] 5. Financial Forecast and Valuation - Revenue projections for 2025-2027 are estimated at 135.8 billion, 145.7 billion, and 147.4 billion yuan, with net profits of 10.6 billion, 13.3 billion, and 13.4 billion yuan respectively [2][4] - The stock is expected to have a reasonable valuation range of 15.9 to 17.2 yuan by 2026, indicating a potential upside of 15% to 24% compared to the closing price on January 19, 2026 [2][4]

Investment Rating - The automotive industry is rated as "Outperform" [1][4][5] Core Insights - The report explores the relationship between the automotive industry's prosperity (sales growth) and the valuation of the automotive sector, indicating that while the industry faces pressures from diminishing total growth, it also encounters transformative opportunities from rapid AI model iterations [1][2] - The correlation between industry prosperity and sector valuation has weakened since 2019, leading to two key effects: decoupling effect and asymmetric effect, where high prosperity can drive valuation increases, but low prosperity does not necessarily lead to valuation declines [2][21] - The automotive industry is transitioning to a low growth phase, with total sales expected to stabilize, while structural opportunities arise from exports, smart vehicles, and robotics [3][52] Summary by Sections Relationship Between Valuation and Prosperity - There is a long-term positive correlation between automotive sector valuation and industry prosperity, with valuation showing a leading indicator effect on sales growth [11][15] - Monthly valuation of the automotive sector has a strong correlation with monthly sales growth, indicating that current valuations reflect future sales growth expectations [19][15] Decoupling and Asymmetric Effects - The relationship between prosperity and valuation has decoupled since 2019, with high prosperity not being a necessary condition for high valuation [21][23] - High prosperity can enhance valuation, while low prosperity does not necessarily suppress it, indicating a structural shift in valuation dynamics [35][36] Three-Cycle Theory - The automotive industry is influenced by three cycles: macroeconomic cycle, industrial technology cycle, and policy cycle, which together affect the industry's fundamentals and valuation [39][48] - The shift in dominant cycles from macroeconomic and policy cycles to industrial technology cycles has led to a redefinition of valuation logic, emphasizing structural opportunities over total growth [40][49] Future Outlook - The automotive industry is expected to enter a phase of normalized low growth, with total sales projected to stabilize around 34.89 million units in 2025, reflecting a growth rate of approximately 11% [52][56] - The report highlights the potential for structural growth driven by advancements in AI and smart vehicle technologies, which are anticipated to become new engines of valuation growth [3][52]

Investment Rating - The investment rating for the company is "Outperform the Market" (maintained) [2][9]. Core Insights - The increase in Indonesia's crude palm oil export levy from 10% to 12.5% is expected to enhance the profitability per ton for the company's operations in Indonesia [3][4]. - The company is positioned as a leading enterprise in domestic oil chemical, surfactants, and personal care processing, with significant production capacities exceeding 1 million tons per year for oil chemical products and over 1.2 million tons for surfactants [3][9]. - The company anticipates revenue growth of 39% in 2025, followed by 16% in 2026 and 8% in 2027, with net profit projections of 3.0 billion, 4.1 billion, and 5.1 billion yuan respectively during the same period [3][9]. Summary by Relevant Sections Tax Rate Impact - The increase in the export levy is expected to boost the absolute tax amount paid, thereby enhancing the profitability of the company's Indonesian subsidiary, Dukuda [4][6]. Production Capacity and Profitability - Dukuda's new production capacity is being released in an orderly manner, and the combination of increased tax revenue and production capacity is expected to lead to simultaneous volume and price increases, enhancing overall profitability [6][9]. - The utilization rates for surfactants and OEM/ODM processing are steadily improving, which is anticipated to drive profitability upward [7]. Future Growth Potential - The company is focusing on the gradual ramp-up of OPO structured fat production, which is projected to achieve sales in the kiloton range within the year [8]. - The company has secured contracts with major clients such as White Cat and Unilever, which will help improve the operational rates of its processing capacity [7].

Investment Rating - The investment rating for the company is "Neutral" [4][2] Core Views - The company's revenue growth has turned positive, with a total revenue of 212.7 billion yuan in 2025, reflecting a year-on-year increase of 0.24%. The net profit attributable to shareholders reached 77.5 billion yuan, up 0.34% year-on-year [1][2] - The revenue growth improvement is attributed to two main factors: a narrowing decline in net interest margin leading to an increase in net interest income, and a reduction in the decline of non-interest income, with net commission income turning positive [1][2] - The company's total assets at the end of the period were 11.09 trillion yuan, with total loans amounting to 5.95 trillion yuan, showing growth of 5.57% and 3.70% respectively compared to the beginning of the year [1] Financial Performance Summary - The company reported a net bad loan balance of 64.25 billion yuan at the end of the period, with a non-performing loan ratio of 1.08%, unchanged from the end of September [2] - The provision coverage ratio stood at 228.41%, showing a slight increase from the end of September but a decrease of 9.4 percentage points from the beginning of the year [2] - The forecast for net profit attributable to shareholders for 2025-2027 is 77.6 billion, 80.3 billion, and 84.6 billion yuan respectively, with corresponding year-on-year growth rates of 0.5%, 3.5%, and 5.4% [2][3]