金工定期报告 20251106 新价量相关性因子绩效月报 20251031 2025 年 11 月 06 日 [Table_Tag] [Table_Summary] 报告要点 证券研究报告·金融工程·金工定期报告 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 20250930》 2025-10-14 《"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 10 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 14.38% ...

- The "Rediscover Confidence 2.0" RCP factor is constructed based on behavioral finance principles, specifically addressing the common expectation bias of overconfidence. The CP factor is initially created using the time gap between rapid price increases and decreases as a proxy variable. Subsequently, the RCP factor is derived by orthogonalizing the CP factor with intraday returns, using the residuals to represent the second-generation factor[6][7] - The RCP factor is further refined by replacing ranking values with standardized factor values to preserve factor information, resulting in improved performance. This adjustment enhances the purity and effectiveness of the RCP factor[7] - The RCP factor demonstrates strong performance metrics during the backtesting period from February 2014 to October 2025. The annualized return is 17.55%, annualized volatility is 7.85%, IR is 2.24, monthly win rate is 77.30%, and maximum monthly drawdown is 7.46%[7][12] - During October 2025, the RCP factor's 10-group long portfolio achieved a return of 2.40%, the short portfolio achieved a return of 1.97%, and the long-short hedged portfolio achieved a return of 0.43%[1][10] - The RCP factor's backtesting results from January 2014 to August 2022 show an IC mean of 0.04, annualized ICIR of 3.27, annualized return of 20.69%, IR of 2.91, and a monthly win rate of 81.55%[1][6]

Investment Rating - The report indicates an "Overweight" rating for the industry, suggesting a positive outlook for the sector in the next six months [32]. Core Insights - The report highlights a significant increase in merger and acquisition (M&A) activities, with a total of 269 M&A events recorded, including 58 major transactions during the period from October 13 to November 2, 2025 [10]. - The report emphasizes the importance of policy updates aimed at enhancing the inclusivity and adaptability of capital market regulations, particularly in supporting technology innovation and meeting diverse investor needs [8]. - The restructuring index outperformed the Wind All A index by 1.61% during the reporting period, indicating a strong performance relative to the broader market [24]. Summary by Sections 1. M&A Dynamics Review - A total of 13 failed M&A events were noted, while 44 M&A transactions were completed, including 2 major ones [10][18]. 2. Policy Updates - On October 31, the Chairman of the CSRC emphasized the need for more inclusive policies for M&A and capital market operations [8]. - The Shenzhen government aims to enhance the quality of listed companies, targeting a total market value exceeding 20 trillion yuan by the end of 2027 [8]. 3. Major M&A Updates - The report lists several significant M&A transactions, including the acquisition of 100% equity in various companies across different sectors, with transaction values reaching hundreds of millions to billions of yuan [14][16]. 4. Control Changes - Six companies reported changes in actual control, indicating shifts in ownership that may impact their strategic direction and market performance [21]. 5. Market Performance - The restructuring index showed a positive trend, with a rolling 20-day return turning from negative to positive, reflecting improved investor sentiment in the sector [24].

Macro Strategy - The core view indicates that actual interest rates remain the key anchor for gold prices, with fluctuations driven by macroeconomic policies and geopolitical factors [1][11] - In November, gold prices are expected to be influenced by geopolitical situations, trade negotiations, and macro policies, with a potential for continued high-level fluctuations [1][11] - The CME interest rate futures suggest a widespread expectation of a 25 basis point rate cut by the Federal Reserve in December, which may support gold prices [1][11] Fixed Income Strategy - The report discusses a trading strategy of "long old bonds and short new bonds" based on the behavior of active bond spreads, which typically exhibit a jump during the switching process [2][12] - The active bond spread trading strategy remains profitable, with the maximum spread observed at 9.8 basis points since 2023, indicating a favorable trading environment [2][12] Food and Beverage Industry - The beer sector is currently viewed as being at a bottoming phase, with expectations for demand recovery driven by macro policy changes and improved fundamentals in 2024 [4][14] - The report highlights that the beer sector's revenue for the first three quarters of 2025 reached 617.26 billion yuan, with a year-on-year growth of 1.99% [4][15] - Key players such as Qingdao Beer and Yanjing Beer are expected to perform well, with a focus on high-growth segments and defensive strategies [4][15] Healthcare Products Industry - The healthcare products sector showed a year-on-year revenue growth of 18% and a net profit increase of 122% in Q3 2025, indicating a positive trend despite individual stock variations [16][17] - Companies like Tongrentang and Minsheng Health are highlighted for their strong performance and growth potential in the healthcare market [16][17] Nonferrous Metals Industry - The report notes that industrial metals are experiencing high-level fluctuations, with copper prices expected to strengthen after a period of consolidation due to supply disruptions and improved macro sentiment [5][19] - Aluminum prices have shown an upward trend, supported by supply stability and increased demand, particularly in the context of geopolitical developments [5][19] Media Industry - The media sector reported a revenue of 1,279 billion yuan in Q3 2025, reflecting a 7% year-on-year increase, with the gaming sector showing particularly strong performance [6][20] - The gaming segment's net profit grew by 76% year-on-year, driven by successful product launches and a stable revenue growth trajectory [6][20]

Investment Rating - The investment rating for the company is "Accumulate" [1] Core Views - The company reported a significant increase in Q3 earnings, with new orders and international expansion showing strong performance [1] - Q3 revenue reached 2.64 billion yuan, a year-on-year increase of 10.6%, while net profit for the same period was 236 million yuan, up 36.0% year-on-year [7] - The company has a robust order backlog and is benefiting from major engineering demands, particularly in the Xinjiang and Tibet markets [7] Financial Performance Summary - For the first three quarters of 2025, total revenue was 7.356 billion yuan, a year-on-year increase of 16.7%, with a net profit of 644 million yuan, up 22.9% [7] - The gross margin for Q3 improved to 27.2%, an increase of 3.3 percentage points from the previous quarter, attributed to centralized procurement and cost control [7] - The company’s operating cash flow significantly improved, reaching 883 million yuan for the first three quarters, a 173% increase year-on-year [7] Order and Market Expansion Summary - New contracts signed in Q3 amounted to 2.835 billion yuan, a year-on-year increase of 170%, with a total of 10.826 billion yuan in new contracts for the first three quarters, up 36% [7] - The company is actively pursuing international projects, including contracts in Ethiopia, Liberia, and Malaysia, with overseas revenue accounting for 4.26% of total revenue in the first half of 2025 [7] Earnings Forecast and Valuation - The company is expected to achieve net profits of 870 million yuan, 1.026 billion yuan, and 1.203 billion yuan for 2025, 2026, and 2027 respectively [1] - The projected earnings per share (EPS) for 2025 is 0.70 yuan, with a price-to-earnings (P/E) ratio of 19.69 based on the latest diluted EPS [1][8]

Investment Rating - The investment rating for the company is "Add" (maintained) [1] Core Views - The company's revenue for the first three quarters of 2025 reached 1.63 billion yuan, a year-on-year increase of 50.8%, primarily driven by the rapid growth in battery shell business revenue and increased sales in traditional equipment [7] - The company achieved a turnaround in net profit, reporting a net profit of 15 million yuan for the first three quarters, compared to a loss in the previous year, due to improved profitability in traditional equipment and increased revenue from battery shells [7] - The battery shell business has become a major revenue pillar, accounting for 67% of total revenue in the first half of 2025, with strong growth momentum and partnerships with several domestic new energy clients [7] - The company has made significant breakthroughs in the research and development of core components for robots, enhancing its competitive edge in the market [7] Financial Summary - Revenue projections for the company are as follows: 2023A: 1.651 billion yuan, 2024A: 1.512 billion yuan, 2025E: 2.507 billion yuan, 2026E: 3.538 billion yuan, 2027E: 4.681 billion yuan [1][8] - The net profit forecast for 2025-2026 has been adjusted to 50 million yuan and 110 million yuan, respectively, with a new forecast for 2027 at 210 million yuan [7] - The company's dynamic P/E ratios are projected to be 187, 95, and 47 for 2025, 2026, and 2027, respectively [7]

Investment Rating - The report maintains an "Overweight" rating for the beer sector, indicating a positive outlook for investment opportunities in this industry [2]. Core Insights - The beer sector is currently at a bottoming phase, with potential recovery driven by macro policy changes and improved fundamentals in the coming year [2][63]. - Demand resilience is expected to continue into 2024, with a focus on scene recovery in 2025 [5][46]. Summary by Sections 1. Revenue and Profit Trends - For the first three quarters of 2025, the beer sector reported revenues of 61.726 billion yuan, a year-on-year increase of 1.99%, and a net profit of 9.339 billion yuan, up 10.43% year-on-year [10]. - Quarterly revenues for 2025 were 20.043 billion yuan, 21.491 billion yuan, and 20.192 billion yuan, with year-on-year growth rates of 3.68%, 1.90%, and 0.45% respectively [10]. 2. Margins and Cost Dynamics - Despite weak sales volume and price performance, the overall gross margin has been improving due to cost elasticity, with major brands like Qingdao Beer and Yanjing Beer showing strong performance [18][19]. - Gross margins for major brands in Q3 2025 were as follows: Qingdao Beer at 43.66%, Chongqing Beer at 50.17%, Yanjing Beer at 47.19%, and Zhujiang Beer at 51.51% [19][22]. 3. Demand Resilience and Market Dynamics - The report highlights that middle-income households are experiencing faster disposable income growth, which supports beer demand at mainstream price points [46][51]. - The overall beer production is showing a recovery trend, with high-end products like Qingdao White Beer and Yanjing U8 continuing to perform well [49][54]. 4. Cash Flow and Dividend Outlook - The free cash flow of leading beer companies is expected to remain high, with steady improvements in dividend rates and payout ratios anticipated [58][59]. - The report notes that capital expenditures related to high-end beer production are expected to stabilize, further supporting cash flow sustainability [58]. 5. Investment Recommendations - The report suggests focusing on companies with strong fundamentals such as Qingdao Beer, Yanjing Beer, and China Resources Beer, which are expected to benefit from improved market conditions in 2025 [2][63].

Investment Rating - The report maintains an "Overweight" rating for the non-ferrous metals industry [1] Core Views - The non-ferrous metals sector experienced a 2.56% increase in the week from October 27 to October 31, ranking it among the top performers in all primary industries. The energy metals sector rose by 6.31%, while the industrial metals sector increased by 1.91% [14][1] - The easing of geopolitical trade tensions between China and the U.S. and the Federal Reserve's hawkish rate cuts have led to a generally optimistic sentiment for industrial metal prices, although further upward movement will depend on supply-demand dynamics [1][26] - Precious metals have seen a price correction due to the Federal Reserve's hawkish stance and the easing of trade tensions, but the overall macroeconomic framework remains favorable for long positions in precious metals [4][49] Summary by Sections Market Review - The Shanghai Composite Index rose by 0.11%, with the non-ferrous metals sector increasing by 2.56%, outperforming the index by 2.45 percentage points [14] - The report highlights that all sub-sectors within non-ferrous metals saw gains, with energy metals leading the way [14] Industrial Metals - **Copper**: LME copper closed at $10,892 per ton, down 0.51% week-on-week, while SHFE copper was at ¥87,010 per ton, down 0.81%. Supply disruptions and a new LME policy to limit large positions are expected to support copper prices in the long term [30][2] - **Aluminum**: LME aluminum rose to $2,888 per ton, up 1.10%, with SHFE aluminum at ¥21,300 per ton, up 0.35%. The EU's ban on Russian LNG is contributing to price increases [35][3] - **Zinc**: Zinc prices increased, with LME zinc at $3,050 per ton, up 1.01%. Zinc inventories have decreased, supporting price stability [39][3] - **Tin**: Tin prices rose due to ongoing supply tightness, with LME tin at $36,180 per ton, up 1.49% [45][3] Precious Metals - **Gold**: COMEX gold closed at $4,077.20 per ounce, down 1.20%, while SHFE gold was at ¥921.92 per gram, down 1.72%. The easing of geopolitical tensions has reduced safe-haven demand, leading to price corrections [48][4] - The report anticipates a significant probability of further rate cuts in December, maintaining a favorable outlook for precious metals in the medium term [49][4]

Investment Rating - The report maintains an "Accumulate" rating for the health supplement industry [1] Core Viewpoints - The health supplement sector showed positive growth in Q3 2025, with revenue and net profit increasing by 18% and 122% respectively, driven by low base effects [4][9] - The industry is undergoing a transformation with a shift towards online channels and new consumer demographics, indicating a promising outlook for growth [41][46] Summary by Sections 1. Q3 2025 Review: Stock Differentiation and Positive Operations - The health supplement sector's revenue and net profit growth reflects a recovery from low bases, with notable performances from companies like汤臣倍健 and民生健康 [4][9] -汤臣倍健 reported a Q3 revenue of 13.83 billion, up 23.45% year-on-year, marking a significant turnaround [10] -民生健康 achieved a revenue of 1.60 billion in Q3, a 30.84% increase year-on-year, indicating strong operational momentum [12] 2. Future Outlook: Focus on Quality Stocks with Valuation Space - The valuation of food additive companies is generally low, with many trading below the 50th percentile of historical PE ratios [32] - The report suggests focusing on quality leading companies that adapt to channel transformations and new consumer segments, such as H&H International Holdings and汤臣倍健 [31][56] 3. Health Supplement Industry: Strong Growth Potential - The health supplement market in China is projected to grow from 701.35 billion in 2010 to 2323.39 billion by 2024, with a CAGR of 8.93% [41] - The aging population and the rise of new consumption channels are expected to sustain growth, with an anticipated growth rate of over 6% from 2025 to 2027 [41][44] 4. Investment Recommendations: Focus on Quality Stocks - The report recommends focusing on brands with new channels and consumer logic, such as H&H International Holdings,民生健康, and汤臣倍健, which are expected to benefit from ongoing reforms and market dynamics [56]

Macro Strategy - The core view is that actual interest rates remain the key anchor for gold prices, with fluctuations in actual rates dominating the market dynamics for gold [1][22] - In October, gold prices experienced a "rise first, then fall" pattern, influenced by U.S. government shutdown concerns and subsequent economic data recovery [1][22] - The outlook for November suggests that gold prices will be driven by geopolitical situations, trade negotiations, and macro policies, with a potential for continued high-level fluctuations [1][22] Fixed Income Strategy - The report discusses a trading strategy of "long old bonds and short new bonds" based on the behavior of active bond spreads during the cutting process [2][23] - The active bond spread is expected to remain profitable, with the maximum spread observed at 9.8 basis points since the switch in 2023 [2][23] - The next active bond switch is anticipated around early January 2026, providing an opportunity to leverage the characteristics of active bond spreads for trading [2][23] Retail Industry - Baima Tea, a leader in the high-end tea market, has recently listed on the Hong Kong Stock Exchange, focusing on high-quality tea products and targeting younger consumers [4][26] - The company's revenue growth has been accompanied by a decline in profit margins, with a slight decrease in gross and net profit margins reported [4][26] - The online sales channel is increasingly significant, with its contribution to total revenue rising from 19% in 2020 to 35% in the first half of 2025 [4][26] Food and Beverage Industry - The report highlights a divergence in growth within the snack sector, with leading companies showing more sustainable growth due to channel changes and consumer shifts [5][27] - Companies like Salted Fish and Wei Long are recommended for their strong channel layouts and significant contributions from key products [5][27] - The report emphasizes the importance of continuous growth and valuation switching certainty in investment recommendations, particularly for companies like Ba Bi Food and Guo Quan [5][27]