Quantitative Models and Factor Analysis Quantitative Models and Construction Methods Model Name: Guosen JinGong Index Enhanced Portfolio - **Model Construction Idea**: The model aims to outperform its respective benchmarks by constructing enhanced portfolios based on multiple factors[10]. - **Model Construction Process**: - **Return Prediction**: Predicting the returns of stocks within the benchmark index. - **Risk Control**: Implementing risk control measures to manage the portfolio's risk exposure. - **Portfolio Optimization**: Optimizing the portfolio to maximize returns while adhering to the risk constraints[11]. - **Model Evaluation**: The model is designed to consistently outperform its benchmarks by leveraging multiple factors and optimizing the portfolio accordingly[10][11]. Model Backtesting Results - **Guosen JinGong Index Enhanced Portfolio**: - **CSI 300 Index Enhanced Portfolio**: Weekly excess return 0.51%, annual excess return 21.85%[4][13]. - **CSI 500 Index Enhanced Portfolio**: Weekly excess return -0.73%, annual excess return 6.17%[4][13]. - **CSI 1000 Index Enhanced Portfolio**: Weekly excess return -1.12%, annual excess return 15.93%[4][13]. - **CSI A500 Index Enhanced Portfolio**: Weekly excess return -0.28%, annual excess return 10.62%[4][13]. Quantitative Factors and Construction Methods Factor Name: Momentum - **Factor Construction Idea**: The momentum factor captures the tendency of stocks that have performed well in the past to continue performing well in the future[15]. - **Factor Construction Process**: - **One-Year Momentum**: Calculated as the return of a stock over the past year, excluding the most recent month[15]. - **Formula**: $ \text{One-Year Momentum} = \text{Return}_{t-12} - \text{Return}_{t-1} $[15]. - **Factor Evaluation**: The momentum factor is effective in identifying stocks with strong past performance that are likely to continue performing well[15]. Factor Name: Standardized Unexpected Earnings (SUE) - **Factor Construction Idea**: The SUE factor measures the difference between actual and expected earnings, standardized by the standard deviation of expected earnings[15]. - **Factor Construction Process**: - **SUE Calculation**: $ \text{SUE} = \frac{\text{Actual Earnings} - \text{Expected Earnings}}{\text{Standard Deviation of Expected Earnings}} $[15]. - **Factor Evaluation**: The SUE factor is useful in identifying stocks with earnings surprises, which can lead to significant price movements[15]. Factor Name: Expected Net Profit QoQ - **Factor Construction Idea**: This factor measures the quarter-over-quarter change in expected net profit[15]. - **Factor Construction Process**: - **Calculation**: $ \text{Expected Net Profit QoQ} = \frac{\text{Expected Net Profit}_{t} - \text{Expected Net Profit}_{t-1}}{\text{Expected Net Profit}_{t-1}} $[15]. - **Factor Evaluation**: The factor is effective in identifying stocks with improving earnings expectations, which can lead to positive price movements[15]. Factor Backtesting Results - **CSI 300 Index**: - **One-Year Momentum**: Weekly excess return 1.09%, monthly excess return 2.08%, annual excess return 3.27%, historical annualized return 2.75%[18]. - **Standardized Unexpected Earnings**: Weekly excess return 0.87%, monthly excess return 2.24%, annual excess return 12.16%, historical annualized return 4.18%[18]. - **Expected Net Profit QoQ**: Weekly excess return 0.86%, monthly excess return 1.50%, annual excess return 6.56%, historical annualized return 1.72%[18]. - **CSI 500 Index**: - **Expected Net Profit QoQ**: Weekly excess return 0.73%, monthly excess return 1.98%, annual excess return 15.82%, historical annualized return 4.80%[20]. - **Standardized Unexpected Earnings**: Weekly excess return 0.72%, monthly excess return 2.48%, annual excess return 18.17%, historical annualized return 4.51%[20]. - **DELTAROE**: Weekly excess return 0.57%, monthly excess return 2.27%, annual excess return 11.09%, historical annualized return 5.36%[20]. - **CSI 1000 Index**: - **One-Month Reversal**: Weekly excess return 1.23%, monthly excess return 0.00%, annual excess return -2.94%, historical annualized return -3.76%[22]. - **Single-Quarter Revenue YoY Growth**: Weekly excess return 1.08%, monthly excess return 3.27%, annual excess return 23.01%, historical annualized return 5.16%[22]. - **Standardized Unexpected Revenue**: Weekly excess return 0.66%, monthly excess return 2.21%, annual excess return 21.47%, historical annualized return 6.55%[22]. - **CSI A500 Index**: - **Expected Net Profit QoQ**: Weekly excess return 1.89%, monthly excess return 1.49%, annual excess return 8.61%, historical annualized return 3.73%[24]. - **One-Year Momentum**: Weekly excess return 1.39%, monthly excess return 2.42%, annual excess return 2.76%, historical annualized return 1.81%[24]. - **Standardized Unexpected Earnings**: Weekly excess return 1.28%, monthly excess return 3.29%, annual excess return 14.02%, historical annualized return 5.92%[24]. - **Public Fund Heavyweight Index**: - **One-Year Momentum**: Weekly excess return 1.61%, monthly excess return 2.90%, annual excess return 4.13%, historical annualized return 15.48%[26]. - **Expected Net Profit QoQ**: Weekly excess return 0.70%, monthly excess return 2.31%, annual excess return 3.36%, historical annualized return 11.90%[26]. - **Single-Quarter Net Profit YoY Growth**: Weekly excess return 0.58%, monthly excess return 2.13%, annual excess return 2.95%, historical annualized return 9.10%[26].

Core Insights - The report highlights that the four active quantitative strategies have outperformed the stock-based index this week, with the technology innovation sector leading the gains [1][12] - The report tracks the performance of various active quantitative strategies, including the Excellent Fund Performance Enhancement Portfolio, the Exceeding Expectations Selected Portfolio, the Broker's Golden Stock Performance Enhancement Portfolio, and the Growth Stability Portfolio [12][13] Excellent Fund Performance Enhancement Portfolio - This portfolio achieved an absolute return of 3.01% this week and a year-to-date return of 32.05, ranking in the 48.34 percentile among active stock funds [1][23] - The strategy aims to outperform the median return of active stock funds by utilizing a quantitative approach based on the holdings of top-performing funds [3][19] Exceeding Expectations Selected Portfolio - The portfolio recorded an absolute return of 2.92% this week and 44.40% year-to-date, ranking in the 28.39 percentile among active stock funds [1][31] - It selects stocks based on exceeding expectations events and combines fundamental and technical analysis to identify stocks with strong support [4][24] Broker's Golden Stock Performance Enhancement Portfolio - This portfolio achieved an absolute return of 4.59% this week and 41.60% year-to-date, ranking in the 32.69 percentile among active stock funds [1][38] - The strategy focuses on optimizing a selection of stocks from the broker's golden stock pool to ensure alignment with the performance of active stock funds [5][59] Growth Stability Portfolio - The portfolio achieved an absolute return of 3.07% this week and 55.51% year-to-date, ranking in the 15.80 percentile among active stock funds [2][43] - It employs a two-dimensional evaluation system for growth stocks, prioritizing those closer to their earnings report dates to capture potential excess returns [6][39] Market Performance Overview - The median return for stocks this week was 0.97%, with 63% of stocks rising and 37% falling; for active stock funds, the median return was 2.78%, with 86% rising and 14% falling [2][44] - Year-to-date, the median return for stocks was 23.42%, with 80% rising and 20% falling; for active stock funds, the median return was 31.65%, with 97% rising and 3% falling [2][44]

- The report tracks stocks, industries, and sectors that have reached new highs, which are considered market indicators[11] - The report uses a 250-day high distance metric to represent new highs, calculated as follows: $ 250 \text{ day high distance} = 1 - \frac{Closet}{ts\_max(Close, 250)} $ where Closet is the latest closing price and ts_max(Close, 250) is the maximum closing price over the past 250 trading days[11] - As of December 26, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 1.63%, Shenzhen Component Index 0.89%, CSI 300 1.91%, CSI 500 1.19%, CSI 1000 0.56%, CSI 2000 0.05%, ChiNext Index 2.42%, STAR 50 Index 12.56%[12] - The 250-day high distances for CITIC Level 1 industry indices are: National Defense and Military Industry 0.00%, Nonferrous Metals 0.00%, Building Materials 0.00%, Machinery 0.00%, Light Manufacturing 0.44%[13] - The 250-day high distances for some concept indices are: Forestry, Aerospace and Military Industry, Wind Power, Top Ten Military Groups, HJT Battery, Metals and Nonmetals, Gold[15] - As of December 26, 2025, 726 stocks reached new 250-day highs in the past 20 trading days, with the most in the Machinery, Electronics, and Basic Chemicals industries[19] - The highest proportions of new high stocks are in the National Defense and Military Industry, Petroleum and Petrochemicals, and Nonferrous Metals industries[19] - By sector, the most new high stocks are in Manufacturing and Technology, with 261 and 176 stocks respectively[20] - By index, the proportions of new high stocks are: CSI 2000 14.65%, CSI 1000 11.50%, CSI 500 15.20%, CSI 300 15.33%, ChiNext Index 15.00%, STAR 50 Index 6.00%[20] - The report identifies 50 "stable new high" stocks based on analyst attention, relative strength, trend continuity, price path stability, and new high persistence[24][27] - The most stable new high stocks are in the Cyclical and Technology sectors, with 21 and 15 stocks respectively[28]

- The report introduces a quantitative model named "250-day new high distance" to track market trends and identify hot sectors. The model is based on momentum and trend-following strategies, which have been proven effective in previous studies[11][18][19] - The construction process of the "250-day new high distance" model is as follows: Formula: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ Explanation: - $ Close_t $ represents the latest closing price - $ ts\_max(Close, 250) $ represents the maximum closing price over the past 250 trading days If the latest closing price reaches a new high, the distance equals 0; otherwise, it is a positive value indicating the degree of pullback from the high[11] - The model evaluates the proximity of major indices to their 250-day highs. For example, as of December 26, 2025, the 250-day new high distances for indices such as the Shanghai Composite Index and the ChiNext Index are 1.63% and 12.56%, respectively[12][31] - The report highlights the effectiveness of tracking stocks that consistently hit new highs, as these stocks often lead market trends. This approach aligns with the principles discussed in "The Stock Wizard" and other momentum-based studies[18][19] - A screening method for "stable new high stocks" is introduced, focusing on factors such as analyst attention, relative stock strength, price path smoothness, and trend sustainability. Stocks are selected based on their performance over the past 120 days and their ability to maintain a stable upward trajectory[24][27] - The screening process includes specific metrics: - Analyst attention: At least five buy or overweight ratings in the past three months - Relative stock strength: Top 20% in market performance over the past 250 days - Price path smoothness: Evaluated using metrics like price displacement ratio - Trend sustainability: Average 250-day new high distance over the past 120 days and the last five days[27] - The report identifies 50 "stable new high stocks" for the week, including companies like Zhongji Xuchuang, Yingweike, and Xinyisheng. These stocks are primarily concentrated in cyclical and technology sectors, with the highest representation in industries like non-ferrous metals and renewable energy equipment[28][32] - Backtesting results show that the "250-day new high distance" model effectively captures market trends and identifies leading stocks. For instance, indices closer to their 250-day highs often exhibit stronger momentum, and stocks with stable new highs demonstrate consistent upward trajectories[12][31][32]

Investment Rating - The report gives an "Outperform the Market" rating for the company [5][40]. Core Insights - The company is a leader in touch display modules and is positioned to benefit from the growth in automotive electronics and the adoption of new technologies such as foldable screens [3][32]. - The company has a strong market presence, being the largest manufacturer of ITO conductive glass globally and holding a 50% market share in TFT LCD substrate thinning [1][7]. - The automotive electronics segment is highlighted as a key growth area, with the company providing integrated touch display modules for over 70% of global vehicle brands [2][32]. Summary by Sections Company Overview - Founded in 2000 and listed on the Shenzhen Stock Exchange in 2010, the company specializes in the research, production, and sales of key components for flat panel displays, including ITO conductive glass and touch sensors [1][7]. - The company has established itself as a significant player in the automotive touch display market, with a comprehensive product range that includes 3D curved automotive cover plates and display modules [2][3]. Financial Projections - The company is expected to achieve revenues of 88.89 billion, 110.58 billion, and 119.43 billion CNY for the years 2023, 2024, and 2025 respectively, with year-on-year growth rates of 27.2%, 24.4%, and 8.0% [4][35]. - Net profit projections for 2025, 2026, and 2027 are 3.92 billion, 5.17 billion, and 7.12 billion CNY, reflecting growth rates of 10.0%, 31.8%, and 37.6% [3][35]. Valuation - The report estimates a reasonable valuation range for the company's stock between 6.95 and 7.37 CNY, indicating a potential upside of 17.42% to 24.54% from the current price of 6.07 CNY [5][40]. - The valuation is based on a relative valuation method, comparing the company to similar firms in the industry [38][40]. Market Position and Competitive Advantage - The company is the only supplier in mainland China certified for thinning business by a major North American client, which enhances its competitive edge [1][2]. - The company has a robust client base, including major brands like Huawei, OPPO, and VIVO, which positions it well for future growth in high-end markets [1][2].

Investment Rating - The investment rating for the cleanroom engineering sector is "Outperform the Market" (maintained) [2][3]. Core Insights - The cleanroom engineering sector is becoming a key focus in AI infrastructure as capital expenditures shift towards engineering investments, with cleanroom projects representing a significant portion of this trend [5][6]. - Major companies in the cleanroom sector, such as Yaxiang Integration and Shenghui Integration, are positioned to benefit from the increasing demand for cleanroom construction driven by the urgent expansion needs of leading firms like Micron [5][28]. - The cleanroom engineering segment is critical for the AI computing industry, accounting for approximately 60% of engineering investments related to chip production [16][18]. Summary by Sections Market Performance - From December to the present, major cleanroom sector stocks have seen significant increases, with Yaxiang Integration rising by 74%, Shenghui Integration by 60%, and Meiyai Technology by 52% [4]. Industry Dynamics - The cleanroom engineering industry is experiencing explosive growth in demand due to the global AI capacity expansion, which is currently constrained by limited construction capabilities [22][23]. - The complexity and customization of cleanroom projects create high entry barriers, resulting in strong customer loyalty and long-term relationships between clients and engineering service providers [25][27]. Future Outlook - As AI infrastructure transitions from procurement to construction, the proportion of capital expenditure directed towards engineering will significantly increase, making cleanroom engineering a central component of this evolution [6][28]. - The cleanroom engineering market is expected to continue its upward trajectory, driven by the urgent needs of major clients and the limited supply of qualified engineering resources [23][28].

Investment Rating - The investment rating for the cleanroom engineering industry is "Outperform the Market" (maintained) [2][3]. Core Insights - The cleanroom engineering sector is becoming a key focus in AI infrastructure as capital expenditures shift towards engineering investments, with cleanroom projects representing a significant portion of this trend [5][6]. - Major players in the cleanroom sector, such as Yaxiang Integration and Shenghui Integration, are positioned to benefit from the urgent expansion needs of leading companies like Micron, which are willing to pay a premium for expedited construction [5][28]. - The cleanroom engineering segment is critical for the AI computing supply chain, accounting for approximately 60% of engineering investments related to chip production [16][18]. Summary by Sections Market Performance - From December to the present, key cleanroom stocks have seen significant price increases, with Yaxiang Integration rising by 74%, Shenghui Integration by 60%, and Meiyai Technology by 52% [4]. Industry Dynamics - The transition from procurement to construction in AI infrastructure is leading to structural changes in capital expenditures, with a notable increase in engineering investment proportions [5][6]. - The cleanroom construction capacity is currently a bottleneck for global AI production expansion, driven by surging demand and limited supply of qualified engineers [22][23]. Client Relationships - High customer loyalty creates significant entry barriers in the cleanroom engineering industry, as clients are sensitive to quality and timelines, leading to strong binding relationships with a few trusted suppliers [25][27]. Investment Recommendations - The report recommends investing in Shenghui Integration and Yaxiang Integration, as they are uniquely positioned to leverage their parent companies' resources and technology in overseas markets [28].

证券研究报告 | 2025年12月26日 | 晨会纪要 | | --- | 行业与公司 | 数据日期:2025-12-25 | 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） | 3959.62 | 13531.41 | 4642.53 | 14517.25 | 3938.41 | 1349.05 | | 涨跌幅度（%） | 0.47 | 0.33 | 0.18 | 0.70 | 0.69 | -0.22 | | 成交金额（亿元） | 7850.18 | 11395.04 | 3853.56 | 4151.46 | 5262.93 | 448.28 | 【常规内容】 中国神华(601088.SH) 公司快评:千亿规模收购助力未来发展，龙头行稳 致远 中国海油(600938.SH) 公司快评:渤海海域获得亿吨级油田发现，国内油 气持续上产 金融工程 金融工程周报:股指分红点位监控周报-股指期货主力合约贴水幅度收窄 金融工程日报:沪指震荡攀升录得六连阳，商业 ...

| 数据日期:2025-12-25 | 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） | 3959.62 | 13531.41 | 4642.53 | 14517.25 | 3938.41 | 1349.05 | | 涨跌幅度（%） | 0.47 | 0.33 | 0.18 | 0.70 | 0.69 | -0.22 | | 成交金额（亿元） | 7850.18 | 11395.04 | 3853.56 | 4151.46 | 5262.93 | 448.28 | 【常规内容】 行业与公司 医药生物行业 2025 年 12 月投资策略：推荐关注 CXO 板块 证券研究报告 | 2025年12月26日 | 晨会纪要 | | --- | 中国神华(601088.SH) 公司快评:千亿规模收购助力未来发展，龙头行稳 致远 中国海油(600938.SH) 公司快评:渤海海域获得亿吨级油田发现，国内油 气持续上产 金融工程 金融工程周报:股指分红点位监控周报-股 ...

Investment Rating - The investment rating for the company is "Outperform the Market" [2][29] Core Views - The company has secured mining rights for a significant phosphate resource, enhancing its competitive edge and cost structure [3][5] - The phosphate resource acquired is one of the few large, high-quality phosphate mines in China, with a resource volume of approximately 2.438 billion tons and an average grade of 22.54% [3][6] - The demand for phosphate rock is expected to rise due to its scarcity and the increasing need for energy storage and power batteries [8][9] Summary by Sections Company Overview - Yuntianhua's subsidiary, Yunnan Yuntianhua Phosphate New Materials Co., Ltd., obtained mining rights for the Zhenxiong phosphate mine, covering an area of 23.1564 square kilometers with a mining period until December 2040 [3][5] - The company currently holds a 35% stake in the subsidiary, with plans for control to be transferred to the listed company within three years [3][5] Financial Projections - The projected net profit for the company from 2025 to 2027 is estimated at 5.523 billion, 5.574 billion, and 5.709 billion yuan, respectively, with corresponding EPS of 3.01, 3.04, and 3.11 yuan [4][29] - The current price-to-earnings ratio (PE) is projected to be 10.5, 10.4, and 10.1 for the years 2025 to 2027 [4][29] Industry Insights - The phosphate rock supply in China is tightening due to environmental regulations and the depletion of high-grade resources, leading to a long-term high price expectation for phosphate rock [8][9][13] - The consumption structure of phosphate rock is evolving, with traditional agricultural demand decreasing while demand from new energy materials is rapidly increasing [11][23] - The company is well-positioned to benefit from the growing demand for high-grade phosphate rock in the energy storage and battery sectors, particularly for lithium iron phosphate batteries [25][28]