Macro Strategy - The macroeconomic indicators show a structural differentiation in domestic demand while external demand remains stable overall. The focus of monetary policy is still on improving the efficiency of fund utilization [1][5] - The ECI supply index is at 50.12%, down 0.03 percentage points from last week, while the demand index is at 49.94%, up 0.01 percentage points. The investment index is at 49.97%, up 0.01 percentage points, and the consumption index is at 49.74%, down 0.02 percentage points [5] - The U.S. GDP growth forecast for Q2 has been significantly revised upward, maintaining expectations for the Fed's first rate cut in Q3 and two cuts throughout the year [1][7] Fixed Income - The report compares the holding structures and strategies of innovation bonds in China and overseas markets, highlighting that Chinese institutional investors prioritize liquidity in their selection strategies, while overseas investors adopt more aggressive strategies [2][10] - U.S. institutional investors favor duration strategies, while Japanese investors prioritize both duration and coupon strategies. European investors show a balanced approach across all strategies [10][12] Company Analysis - The report focuses on Derlin Holdings (01709.HK), which is positioned as a leading financial service platform for family offices in the Asia-Pacific region. The company has expanded its wealth management services and is expected to see significant growth in its family office business [4][14] - Derlin Holdings' projected net profits for the fiscal years 2026-2028 are estimated at HKD 1.38 billion, 1.53 billion, and 1.65 billion, with corresponding year-on-year growth rates of 0.81%, 11.18%, and 7.84% [4][15] - The company is leveraging AI technology to enhance its financial services, aiming to democratize access to wealth management for a broader range of investors [14][15]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Bo 25 Convertible Bond (113696.SH) started online subscription on July 1, 2025, with a total issuance scale of 2.802 billion yuan. After deducting issuance fees, the net proceeds will be used for multiple projects and to supplement working capital [3]. - The current bond floor valuation is 98.81 yuan, with a YTM of 2.16%. The conversion parity is 96.64 yuan, and the parity premium rate is 3.47%. The convertible bond terms are average, and the total share capital dilution rate is 8.10%, with relatively small dilution pressure on the equity [3][12][13]. - It is expected that the listing price of the Bo 25 Convertible Bond on the first day will be between 118.12 - 131.40 yuan, and the subscription success rate is expected to be 0.0122%. It is recommended to actively subscribe [3][14][15]. - Since 2019, the company's revenue and net profit attributable to the parent have steadily increased, with a compound growth rate of 25.78% and 24.66% respectively from 2019 - 2024. As of Q1 2025, the company's operating income and net profit attributable to the parent reached 2.638 billion yuan and 270 million yuan respectively [3][19]. 3. Summary According to the Directory 3.1 Convertible Bond Basic Information - **Issuance and Subscription Schedule**: The issuance and subscription of the Bo 25 Convertible Bond started on July 1, 2025, with a series of scheduled events from T - 2 to T + 4 [9]. - **Basic Terms**: The convertible bond has a 6 - year term, an AA/AA credit rating, an initial conversion price of 52.42 yuan/share, and various条款 such as the downward revision clause, redemption clause, and put - back clause [10]. - **Use of Raised Funds**: The raised funds will be used for six projects, including the R & D and industrialization of electronic mechanical brakes, and to supplement working capital, with a total planned investment of 3.3694905 billion yuan and a proposed investment of raised funds of 2.802 billion yuan [11]. - **Bond and Equity Indicators**: The pure bond value is 98.81 yuan, the pure bond premium rate is 1.2%, the conversion parity is 96.64 yuan, and the parity premium rate is 3.47% [12][13]. 3.2 Investment Subscription Suggestion - **Expected Listing Price**: Based on comparable targets and an empirical model, it is expected that the listing price of the Bo 25 Convertible Bond on the first day will be between 118.12 - 131.40 yuan, with an expected conversion premium rate of around 29% [14][15][16]. - **Expected Subscription Success Rate**: The expected priority subscription ratio of original shareholders is 65.55%, and the expected online subscription success rate is 0.0122% [17]. 3.3 Positive Stock Fundamental Analysis 3.3.1 Financial Data Analysis - **Revenue and Profit Growth**: Since 2019, the company's revenue and net profit attributable to the parent have shown a steady growth trend, with a compound growth rate of 25.78% and 24.66% respectively from 2019 - 2024. In 2024, the net profit attributable to the parent reached 1.209 billion yuan, a year - on - year increase of 35.60%. As of Q1 2025, the operating income and net profit attributable to the parent were 2.638 billion yuan and 270 million yuan respectively [3][19]. - **Business Composition**: From 2022 to 2024, the company's main business revenue accounted for over 96% of the operating income, showing a high proportion and a rapid growth trend [20]. - **Profitability and Cost**: The company's sales net profit margin and gross profit margin have slowly declined, while the sales expense ratio has remained low. The financial expense ratio is lower than the industry average and negative, and the management expense ratio is significantly lower than the industry average [25]. 3.3.2 Company Highlights - **Technological Innovation and Product Development**: The company has the independent forward - development ability for mechanical braking systems, mechanical steering systems, and intelligent electronic control systems, and has mastered the independent intellectual property rights of a full range of chassis braking system products [25]. - **Awards and Honors**: In 2024, the company won multiple awards and honors, and was also included in the "Top 100 Chinese Auto Parts Enterprises" and "Top 100 Anhui Manufacturing Enterprises" [34].

Investment Rating - The report assigns an "Accumulate" rating for the first time to Derlin Holdings (01709.HK) [1] Core Views - Derlin Holdings is positioned as a leading financial services platform in Asia focused on family office business, with a strong emphasis on wealth management and technology-driven solutions [9][14] - The company is expected to see significant growth in its family office business, driven by increasing demand from high-net-worth individuals and supportive policies in Hong Kong [9][45] - The integration of AI technology into financial services is a core strategy for Derlin, aiming to democratize access to wealth management services [9][58] Summary by Sections Company Overview - Derlin Holdings, formerly known as Derlin Securities, has evolved into a comprehensive financial services provider since its establishment in 2011, focusing on high-net-worth families and businesses [14][15] - The company has successfully completed a reverse takeover and has been actively expanding its service offerings through acquisitions [15][17] Business Performance - The company reported a revenue of HKD 1.90 billion for the fiscal year ending March 31, 2025, a decrease of 6.4% year-on-year, while net profit increased by 36.9% to HKD 1.37 billion [9][26] - The family office business has shown significant growth, with service fees from investment management reaching HKD 58.08 million in FY2023, up from HKD 18.70 million in FY2022 [56] Market Opportunities - The number of high-net-worth individuals in China is increasing, with a total of 3.16 million individuals holding investable assets of HKD 101 trillion as of 2022, creating a growing market for family office services [38][40] - Hong Kong is positioned to become a hub for family offices due to its favorable regulatory environment and the increasing number of ultra-high-net-worth individuals [45][49] Technological Integration - Derlin Holdings is committed to using AI to enhance its service offerings, having launched Asia's first AI family office, which aims to provide personalized wealth management solutions [58][62] - The company has introduced Synapse Technology, a project designed to create an intelligent financial ecosystem that leverages AI for investment and financial services [62][64] Financial Projections - The report forecasts Derlin Holdings' net profit to reach HKD 1.38 billion, HKD 1.53 billion, and HKD 1.65 billion for the fiscal years 2026, 2027, and 2028, respectively, with corresponding growth rates of 0.81%, 11.18%, and 7.84% [1][9]

1. Report Industry Investment Rating No information about the industry investment rating is provided in the given content. 2. Report's Core View - The international three major institutions (IEA, EIA, OPEC) have adjusted their forecasts for global crude oil supply, demand, and inventory in 2025 in their June reports. The average forecast for inventory change is flat compared to last month, while the supply forecasts have increased, and the demand forecasts have mixed changes. Non - OECD countries, represented by China, are expected to be the main contributors to the global crude oil demand growth in 2025 [2][99][111]. 3. Summary According to Relevant Catalogs 3.1 Global Crude Oil Inventory - IEA, EIA, and OPEC predict 2025 global crude oil inventory changes to be +110, +82, and - 132 barrels per day respectively, with changes of -10, -5, and +15 barrels per day compared to May 2025 forecasts. The average forecast for 2025 inventory change is +20 barrels per day, unchanged from last month's average [2]. 3.2 Global Crude Oil Supply 3.2.1 Global Crude Oil Supply Overview - IEA, EIA, and OPEC predict 2025 crude oil supply to be 10490, 10434, and 10382 barrels per day respectively, an increase of 190, 159, and 147 barrels per day compared to 2024. Compared to May 2025 forecasts, the increases are 30, 22, and 4 barrels per day respectively [16]. 3.2.2 Global Major Regional Crude Oil Supply Situations - **Three - institution Regional Supply Increment Forecasts**: IEA expects the 2025 global crude oil supply increment to be concentrated in OPEC, American OECD countries, and Latin American countries; EIA expects it to be in North American and Central & South American countries; OPEC expects it to be in DoC and American OECD countries [29][31][35]. - **OPEC+**: In May 2025, the total crude oil production of 12 OPEC countries averaged 2702 barrels per day, a month - on - month increase of 18.3 barrels per day, due to production changes in Iran, Iraq, and Saudi Arabia. The total remaining capacity of OPEC+ is 619 barrels per day, a month - on - month decrease of 16 barrels per day [37][41]. - **Russia**: In May 2025, Russia's total export volume was 730 barrels per day, a year - on - year decrease of 30 barrels per day [54]. - **USA**: EIA predicts that the average crude oil production in the US in 2025 will be 1341 barrels per day, an increase of 21 barrels per day compared to 2024 and unchanged from the May 2025 forecast. As of June 2024, the total production of the seven major shale oil producing regions in the US was 985 barrels per day, a month - on - month increase of 1.7 barrels per day; the shale oil production in the Permian region was 619 barrels per day, a month - on - month increase of 1.8 barrels per day [63][69]. 3.3 Global Crude Oil Demand 3.3.1 Global Crude Oil Demand Overview - IEA, EIA, and OPEC predict 2025 crude oil demand to be 10380, 10353, and 10513 barrels per day respectively, an increase of 80, 79, and 138 barrels per day compared to 2024. Compared to May 2025 forecasts, the changes are -10, -19, and +14 barrels per day respectively. Non - OECD countries represented by China are expected to be the main contributors to the demand increment, while OECD countries' demand growth is expected to be weak [99][111]. 3.3.2 Global Different Petroleum Product Demand Situations - IEA expects the demand for chemical oil to recover significantly in 2025. Globally, the demand for aviation kerosene, diesel, and gasoline is expected to increase by 13, 4, and 12 barrels per day respectively compared to 2024; the demand for LPG and ethane, and naphtha in the chemical product sector will increase by 30 and 20 barrels per day respectively. In China, the demand for chemical oil is also expected to recover, with changes in the demand for aviation kerosene, diesel, and gasoline being +2, -3, and -13 barrels per day respectively, and the demand for LPG and ethane, and naphtha increasing by 6 and 15 barrels per day respectively [117][119]. 3.4 Related Listed Companies - Recommended companies include CNOOC Limited (600938.SH/0883.HK), PetroChina Company Limited (601857.SH/0857.HK), Sinopec Corp. (600028.SH/0386.HK), CNOOC Energy Technology & Services Limited (601808.SH), Offshore Oil Engineering Co., Ltd. (600583.SH), and CNOOC Development Co., Ltd. (600968.SH). Companies to be concerned about include Sinopec Oilfield Service Corporation (600871.SH/1033.HK), China Petroleum Engineering & Construction Corporation (600339.SH), and Sinopec Mechanical Engineering Co., Ltd. (000852.SZ) [3].

Macro Strategy - The core viewpoint indicates that internal demand continues to show structural differentiation while external demand remains stable overall, with monetary policy focusing on improving the efficiency of fund utilization [1][7] - The ECI supply index is at 50.12%, down 0.03 percentage points from last week, while the demand index is at 49.94%, up 0.01 percentage points [7] - The U.S. GDP growth forecast for Q2 has been significantly revised upward due to the end of "import grabbing" behavior among wholesalers [1][8] Fixed Income - The report compares the holding structures and strategies of domestic and overseas innovation bonds, highlighting that domestic institutional investors prioritize liquidity, while overseas investors adopt more aggressive strategies [2][11] - U.S. institutional investors favor duration strategies, while Japanese investors prioritize both duration and coupon strategies, and European investors show a balanced approach across strategies [11][12] Company Analysis China Gas (00384.HK) - For the fiscal year 2024/25, the company reported total revenue of HKD 80.25 billion, a decrease of 1.96% year-on-year, while net profit attributable to shareholders increased by 2.09% to HKD 3.252 billion [4][14] - The company has adjusted its profit forecasts for FY2026-FY2027, with net profit estimates for FY2028 at HKD 3.477 billion, HKD 3.726 billion, and HKD 3.997 billion, reflecting a year-on-year growth of 6.9%, 7.2%, and 7.3% respectively [4][14] Small Commodity City (600415) - The company expects a net profit of RMB 1.63 to 1.70 billion for the first half of 2025, representing a year-on-year increase of 12.6% to 17.4% [5][15] - The strong performance in import and export trade in Yiwu is a key driver for the company's market growth, with a reported 23.7% year-on-year increase in total import and export value [15] Nengke Technology (603859) - The company is positioned as a leader in industrial software and AI, with projected revenue growth of 21%, 20%, and 17% for 2025 to 2027, respectively [6] - The net profit forecast for the same period is expected to grow by 32%, 25%, and 24%, with a "buy" rating assigned [6]

Investment Rating - The report maintains a "Buy" rating for the company [1] Core Views - The company reported a total revenue of HKD 80.25 billion for the fiscal year 2024/25, a decrease of 1.96% year-on-year, while the net profit attributable to shareholders increased by 2.09% to HKD 3.25 billion [8] - The company has improved its free cash flow, reaching HKD 4.66 billion, which exceeds the planned dividend payout of HKD 2.72 billion, indicating a sustained ability to distribute dividends [8] - The report highlights that retail gas sales volume faced pressure, but the progress in pricing adjustments was slightly better than expected [8] Summary by Sections Financial Performance - Total revenue for FY2024A is projected at HKD 81.86 billion, with a year-on-year decrease of 11.43% [1] - Net profit for FY2024A is estimated at HKD 3.19 billion, reflecting a year-on-year decrease of 25.82% [1] - The earnings per share (EPS) for FY2024A is projected at HKD 0.58, with a price-to-earnings (P/E) ratio of 12.54 [1] Business Segments - Natural gas sales segment profit increased by 7.94% to HKD 3.31 billion, but retail gas volume only grew by 0.02% to 23.52 billion cubic meters [8] - The connection business segment profit decreased by 25.39% to HKD 508 million, with residential connections declining by 15.5% [8] - The LPG sales segment profit dropped by 56.68% to HKD 52 million, influenced by international market conditions [8] - Value-added services segment profit grew by 10.59% to HKD 1.75 billion, supported by new business initiatives [8] Future Projections - The report projects net profit for FY2026E at HKD 3.48 billion, with a year-on-year growth of 6.93% [1] - The company aims to achieve a retail gas gross margin of HKD 0.55 per cubic meter and a retail gas volume growth of 2%+ for FY2026 [8] - The report introduces FY2028 profit forecasts of HKD 3.99 billion, with a projected P/E ratio of 9.99 [1]

Group 1: Overview of Overseas Innovation Bond Market - The structure of institutional holders for US innovation bonds is primarily composed of funds and insurance companies, providing liquidity and stability for the market [6][17][19] - In Japan, insurance companies and funds are the main holders of innovation bonds, with banks and brokerages having a significantly lower participation rate [8][31][32] - European innovation bonds are also mainly held by funds and insurance companies, with a notable difference in the activity level of funds compared to Japan and the US [7][44][50] Group 2: US Innovation Bond Market Analysis - As of June 5, 2025, US institutional investors held innovation bonds worth approximately $526.09 billion, accounting for 20.45% of the total market [17] - The credit rating distribution of US-held innovation bonds is broad, with a significant portion in the BBB range, indicating a neutral risk preference among investors [21][25] - The remaining maturity of US-held innovation bonds is primarily concentrated in the medium to long term, aligning with the lifecycle of innovation enterprises [22][24] Group 3: Japan Innovation Bond Market Analysis - As of June 5, 2025, Japan's institutional investors held innovation bonds worth approximately $10.79 billion, representing 7.80% of the total market [31] - The credit ratings of Japanese-held innovation bonds are highly concentrated in the BBB+ to BBB range, reflecting a cautious risk preference [32][36] - The remaining maturity of Japanese-held innovation bonds is also skewed towards the medium to long term, despite a larger proportion of short-term bonds in the overall market [35] Group 4: European Innovation Bond Market Analysis - As of June 5, 2025, European institutional investors held innovation bonds worth approximately $226.61 billion, accounting for 21.38% of the total market [44] - The credit rating distribution of European-held innovation bonds is similar to that of the US, with a focus on BBB+ to BB- ratings, indicating a balanced risk-return strategy [45][50] - The remaining maturity of European-held innovation bonds is evenly distributed, with significant holdings in both long-term and short-term bonds [49][50] Group 5: Comparison of Domestic and Overseas Innovation Bond Strategies - Domestic institutional investors prioritize liquidity in their selection of innovation bonds, showing caution towards yield and duration strategies [9][8] - In contrast, overseas investors exhibit more aggressive strategies, with a focus on duration and yield, reflecting the maturity of their respective markets [9][8] - The development stage of the innovation bond market influences the strategies adopted by institutional investors, with domestic investors facing limitations due to the current market structure [9][8]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250701 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 庞格致 执业证书：S0600524090003 panggz@dwzq.com.cn 证券分析师 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 新价量相关性因子绩效月报 20250630 2025 年 07 月 01 日 [Table_Tag] [Table_Summary] 报告要点 《 新 价 量 相 关 性 因 子 绩 效 月 报 20250530》 2025-06-06 《"技术分析拥抱选股因子"系列研究 （十四）：RPV 聪明版——聪明换手率 是更好的配料》 2023-09-27 东吴证券研究所 1 / 7 请务必阅读正文之后的免责声明部分 ◼ 新价量相关性 RPV 因子多空对冲绩效（全市场）：2014 年 1 月至 2025 年 6 月，新价量相关性 RPV 因子在全体 A 股（剔除北交所股票）中， 10 分组多空对冲的年化收益为 14.57%， ...

Quantitative Models and Construction Methods 1. Model Name: "Day and Night Convergence" New Momentum Factor - **Model Construction Idea**: This model improves traditional momentum factors by incorporating the price-volume relationship during intraday and overnight trading periods. It aims to capture distinct characteristics and logic in these two periods to enhance the stability and effectiveness of momentum signals [6][7]. - **Model Construction Process**: 1. The trading session is divided into intraday and overnight periods. 2. The price-volume relationship is separately analyzed for each period. 3. Based on these analyses, the intraday and overnight factors are improved and synthesized into a new momentum factor [7]. - **Model Evaluation**: The model demonstrates significant stock selection ability, outperforming traditional momentum factors in terms of stability and performance [6][7]. --- Model Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - **Annualized Return**: 18.15% [7][14] - **Annualized Volatility**: 8.79% [7][14] - **Information Ratio (IR)**: 2.07 [7][14] - **Monthly Win Rate**: 77.37% [7][14] - **Maximum Drawdown**: 9.07% [7][14] --- Quantitative Factors and Construction Methods 1. Factor Name: "Day and Night Convergence" New Momentum Factor - **Factor Construction Idea**: The factor is based on the price-volume relationship during intraday and overnight trading periods. It leverages the distinct characteristics of these periods to refine momentum signals [7]. - **Factor Construction Process**: 1. Divide the trading session into intraday and overnight periods. 2. Analyze the price-volume relationship for each period. 3. Construct separate momentum factors for intraday and overnight periods. 4. Synthesize the two factors into a new momentum factor [7]. - **Factor Evaluation**: The factor shows superior performance compared to traditional momentum factors, with higher stability and stock selection capability [6][7]. --- Factor Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - **Annualized Return**: 22.64% [6] - **Information Ratio (IR)**: 2.85 [6] - **Monthly Win Rate**: 83.33% [6] - **Maximum Drawdown**: 5.79% [6]

Quantitative Factors and Construction Methods 1. Factor Name: CP (Overconfidence Factor) - **Construction Idea**: Based on the behavioral finance concept of overconfidence, the factor uses the time difference between rapid price increases and decreases as a proxy variable to measure investor overconfidence [6] - **Construction Process**: - The factor is derived from the DHS model, which posits that investor overconfidence impacts stock prices - The time difference between rapid price increases (positive news) and rapid price decreases (negative news) is calculated to quantify overconfidence [6] - **Evaluation**: The CP factor innovatively captures overconfidence behavior but does not account for subsequent overcorrections in stock prices [6] 2. Factor Name: RCP (Reclaimed Confidence Factor) - **Construction Idea**: Extends the CP factor by considering potential overcorrections (excessive pessimism) during price pullbacks, followed by subsequent rebounds due to positive news [6] - **Construction Process**: - The CP factor is orthogonalized with intraday returns to remove noise - The residual term from this process is used to construct the RCP factor, which represents reclaimed confidence after overcorrection [6] - In the 2.0 version, standardized factor values replace ranking values to retain more factor information, improving the purity and effectiveness of the RCP factor [7] - **Evaluation**: The RCP factor demonstrates superior performance compared to traditional factor-based portfolio construction methods, particularly after the 2.0 enhancements [6][7] --- Factor Backtesting Results 1. CP Factor - No specific backtesting results provided for the CP factor in the report 2. RCP Factor (2.0 Version) - **Annualized Return**: 18.45% [7][10] - **Annualized Volatility**: 7.69% [7][10] - **Information Ratio (IR)**: 2.40 [7][10] - **Monthly Win Rate**: 78.10% [7][10] - **Maximum Drawdown**: 5.89% [7][10] 3. June 2025 Performance (RCP Factor) - **Long Portfolio Return**: 4.75% [11] - **Short Portfolio Return**: 5.64% [11] - **Long-Short Portfolio Return**: -0.89% [11]