- The report analyzes the investment value of the Guotai SSE 10-Year Treasury Bond ETF, highlighting its advantages in terms of low fee rates, high transparency, and efficient tracking of the SSE 10-Year Treasury Bond Index[4][8][50] - The SSE 10-Year Treasury Bond Index (code: H11077.SH) is a bond index launched by the Shanghai Stock Exchange on March 7, 2013. It is composed of treasury bonds with remaining maturities between 6.5 and 10.25 years, calculated using a market capitalization-weighted method to reflect the overall price trend of treasury bonds in this maturity range[45][46][47] - The Guotai SSE 10-Year Treasury Bond ETF tracks the SSE 10-Year Treasury Bond Index, investing at least 90% of its net assets in the index's constituent bonds and alternative constituent bonds. The ETF aims to replicate the index's performance with minimal tracking error, providing investors with a convenient way to access a basket of high-credit-quality, liquid medium- to long-term treasury bonds[50][51][54] - The ETF demonstrates strong performance metrics: annualized return of 3.81%, annualized volatility of 2.65%, IR of 1.44, monthly win rate of 71.13%, and maximum drawdown of 3.79%. Relative to its benchmark, it achieves an annualized excess return of 2.20%, excess volatility of 0.59%, excess IR of 3.72, excess monthly win rate of 93.81%, and excess maximum drawdown of 0.73%[59][63][62] - The ETF's historical excess performance is consistently positive, with monthly excess win rates of 100% since 2021 and zero monthly excess drawdowns during the same period. For example, in 2021, the excess IR reached 13.42, and in 2023, it further improved to 21.22[63][62][59]

Macro Strategy - The report indicates that the economic situation is influenced by the upcoming measures for counter-cyclical adjustments, with a focus on the timing of restarting government bond trading and the potential for interest rate cuts depending on the economic outlook for Q4 2025 [1][12][13] - The ECI supply index is at 49.99%, showing a slight decline, while the demand index is at 49.91%, indicating a mixed economic recovery influenced by the recent holidays [12][13] - The report highlights the potential limited impact of Trump's renewed tariff threats on the US economy, while emphasizing the need to monitor retaliatory measures and the escalation of trade conflicts into critical sectors like rare earths and semiconductors [1][12][14] Fixed Income - The report discusses the recent issuance of secondary capital bonds, with one bond issued at a scale of 1.2 billion yuan, and a total trading volume of approximately 44.5 billion yuan, which is a significant decrease from the previous week [3][20] - It notes the issuance of green bonds totaling approximately 15.25 billion yuan, with a decrease in trading volume to 41.8 billion yuan, indicating a cooling in the market [4][21] - The report suggests that investors should prioritize controllable pullbacks in convertible bonds and focus on performance improvement or valuation recovery rather than getting caught up in clause negotiations [15][18] Company Analysis - Hong Kong Travel (00308.HK) is focusing on core profitable businesses by divesting its tourism real estate assets, with projected net profits of 270 million, 420 million, and 600 million HKD for 2025-2027, corresponding to PE ratios of 31, 20, and 14 times [5][7] - Guangyang Co., Ltd. (002708) is expected to achieve revenues of 2.774 billion, 3.700 billion, and 4.795 billion yuan, with net profits of 108 million, 218 million, and 363 million yuan for 2025-2027, indicating a recovery in profitability and new growth opportunities in FPC, low-altitude economy, and humanoid robots [8] - Hengyi Petrochemical (000703) anticipates net profits of 430 million, 650 million, and 820 million yuan for 2025-2027, benefiting from the recovery of the polyester industry and the upcoming production of its Qinzhou project [9] - Rongsheng Petrochemical (002493) is projected to have net profits of 1.9 billion, 2.9 billion, and 4.1 billion yuan for 2025-2027, with a focus on benefiting from stable growth policies in the petrochemical sector [11]

- The style rotation model is constructed based on the Dongwu quantitative multi-factor system, starting from micro-level stock factors. It selects 80 underlying factors as original features, including valuation, market capitalization, volatility, and momentum, and further constructs 640 micro features. The model replaces the absolute proportion division of style factors with common indices as style stock pools, creating new style returns as labels. A random forest model is trained in a rolling manner to avoid overfitting risks, optimizing features and obtaining style recommendations. The framework integrates style timing, scoring, and actual investment[9][4] - The performance of the style rotation model during the backtesting period (2017/01/01-2025/09/30) shows an annualized return of 16.41%, annualized volatility of 20.43%, IR of 0.80, monthly win rate of 58.49%, and a maximum drawdown of 25.54%. When hedging against the market benchmark, the annualized return is 10.54%, annualized volatility is 10.85%, IR is 0.97, monthly win rate is 55.66%, and the maximum drawdown is 8.79%[10][11] - The style rotation model's latest timing directions for October 2025 are value, large market capitalization, momentum, and low volatility[2][19] - The latest holdings of the style rotation model for October 2025 include indices such as CSI Central Enterprise Dividend (ETF code: 561580.SH), CSI Bank (ETF code: 512700.SH), CSI Film and Television (ETF code: 159855.SZ), CS Battery (ETF code: 159796.SZ), and CSI All Real Estate (ETF code: 512200.SH)[3][19]

Investment Rating - The report maintains an "Accumulate" rating for the environmental protection industry [1] Core Views - The report highlights the benefits of rising metal prices for companies like High Energy Environment and the performance contributions from green electricity in mining for Longjing Environmental Protection. It emphasizes the value of water and solid waste dividends [1] Industry Trends - The environmental protection industry is expected to see a significant increase in cash flow and dividends due to reduced capital expenditures and improved operational efficiency. The solid waste sector is entering a mature phase, with free cash flow turning positive in 2023 and continuing to improve in 2024 [18][20] - The report notes that the market for water services is stabilizing, with a focus on cash flow improvements and potential for high dividends, similar to the garbage incineration sector [23][24] Company Tracking - High Energy Environment is benefiting from rising metal prices and is actively expanding its resource recycling operations. Longjing Environmental Protection is seeing performance contributions from new projects in green electricity and storage equipment [5][18] - The report recommends several companies for investment, including Huanlan Environment, Green Power, and Yongxing Co., highlighting their strong dividend potential and operational improvements [5][23] Policy Tracking - The Ministry of Ecology and Environment is set to release a carbon emissions trading market allocation plan for the steel, cement, and aluminum industries, which will cover approximately 1,500 new key emission units and manage a total emission volume of 3 billion tons of CO2 equivalent [10][11]

证券研究报告·金融工程·金工定期报告 金工定期报告 20251013 从微观出发的五维行业轮动月度跟踪 202510 2025 年 10 月 13 日 [Table_Tag] [Table_Summary] 报告要点 ◼ 2025 年 10 月最新持仓行业为：基础化工、医药生物、建筑材料、银行、 煤炭、电子。 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn ◼ 模型多空对冲绩效：以 2015/01/01-2025/09/30 为回测区间，五维行业轮 动模型在申万一级行业中，六分组多空对冲的年化收益率为 21.10%，年 化波动率为 10.84%，信息比率为 1.95，月度胜率为 72.36%，历史最大 回撤为 13.30%；多头对冲全市场行业等权组合的年化收益率为 10.36%， 年化波动率为 6.57%，信息比率为 1.58，月度胜率 69.92%，历史最大回 撤为 9.36%。 ◼ 9 月模型多空收益统计：在申万一级 31 个行业中，根据五维度综合评 分等分为六组，评分最高的为多头组。2025 年 9 月份多头组合收益率为 2.00 ...

- Model Name: Expected High Dividend Portfolio; Model Construction Idea: The model uses a two-stage approach to construct the expected dividend yield indicator. The first stage calculates the dividend yield based on the annual report's profit distribution, and the second stage predicts and calculates the dividend yield using historical dividends and fundamental indicators. Additionally, two short-term factors affecting dividend yield—reversal factor and profitability factor—are used to assist in screening, and the selection is made from the CSI 300 constituent stocks to construct the expected high dividend portfolio. The portfolio holds 30 stocks each period and rebalances monthly[3][8] - Model Construction Process: 1. Exclude suspended and limit-up stocks from the CSI 300 constituent stocks to form the candidate stock pool[13] 2. Exclude the top 20% of stocks with the highest short-term momentum (i.e., the top 20% of stocks with the highest 21-day cumulative gains) from the stock pool[13] 3. Exclude stocks with declining profitability (i.e., stocks with a negative year-on-year growth rate of quarterly net profit)[13] 4. Rank the remaining stocks in the stock pool by expected dividend yield and select the top 30 stocks with the highest expected dividend yield to construct the portfolio equally weighted[9] - Model Evaluation: The model's historical performance is outstanding, with a cumulative return of 358.90% and a cumulative excess return of 107.44% relative to the CSI 300 Total Return Index. The annualized excess return is 8.87%, with a maximum rolling one-year drawdown of only 12.26% and a monthly excess win rate of 60.19%[11] Model Backtest Results - Expected High Dividend Portfolio, average return in September 2025: -5.35%, underperformed the CSI 300 Index by 8.09% and the CSI Dividend Index by 3.87%[3][14] - Best performing stocks in September 2025: CITIC Special Steel (3.81%), Yutong Bus (-0.35%), Industrial and Commercial Bank of China (-1.75%), Shuanghui Development (-1.90%)[15] Factor Construction and Evaluation - Factor Name: Expected Dividend Yield Factor; Factor Construction Idea: The factor is constructed by predicting dividend distribution using the method of dividend distribution combined with fundamental indicators. Two short-term factors affecting dividend yield—reversal factor and profitability factor—are used to assist in screening[14] - Factor Construction Process: 1. Calculate the dividend yield based on the annual report's profit distribution[8] 2. Predict and calculate the dividend yield using historical dividends and fundamental indicators[8] - Factor Evaluation: The factor is used to assist in screening and constructing the expected high dividend portfolio, which has shown outstanding historical performance[3][8] Factor Backtest Results - Expected Dividend Yield Factor, average return in September 2025: -5.35%, underperformed the CSI 300 Index by 8.09% and the CSI Dividend Index by 3.87%[3][14]

证券研究报告·行业跟踪周报·建筑装饰 建筑装饰行业跟踪周报 建筑 PMI 小幅回暖，继续推荐结构景气的专 业工程板块 增持（维持） [Table_Tag] [Table_Summary] 投资要点 ◼ 周观点： （1）9 月建筑业 PMI 小幅回升至 49.3%，反映建筑业景气水平小幅回 升。其中新订单指数为 42.2%，业务活动预期指数为 52.4%，分别比上 月上升 1.6 个百分点/0.7 个百分点，反映新订单承压的状况有所改善， 企业预期回暖。从上半年建筑板块中报情况来看，收入和利润仍然承压， 现金流有所改善，基建和地产投资弱势下使得板块整体承压，部分专业 工程领域表现相对较好；基建地产链实物需求承压，但稳增长政策仍有 潜在加力空间，可观察后续中央重大基建项目力度的增强，以及化债深 入推进后对地方投资的支撑作用，继续关注财政政策的加力节奏、以及 城市更新推动和重点工程项目对区域需求拉动；我们建议关注估值仍处 历史低位、业绩稳健的基建龙头央企和地方国企估值持续修复机会，推 荐中国交建、中国电建、中国中铁，建议关注中国核建、中国化学等。 （2）出海方向：2025 年上半年我国对外承包工程完成营业额同比增长 ...

Investment Rating - The report maintains an "Add" rating for Hong Kong Travel (00308.HK) [1] Core Views - Hong Kong Travel plans to spin off its tourism real estate assets to focus on its core profitable business, which is expected to enhance operational efficiency and reduce debt levels [7] - The company anticipates a loss of HKD 160 million due to the spin-off, primarily from the reclassification of cumulative exchange differences related to the tourism real estate business [7] - The projected net profit for the years 2025-2027 is estimated at HKD 273.34 million, HKD 415.64 million, and HKD 597.04 million respectively, with corresponding P/E ratios of 30, 20, and 14 times [7] Financial Summary - Total revenue for 2023 is projected at HKD 4,494 million, with a year-on-year growth of 48.22%, and is expected to reach HKD 5,559 million by 2027 [1][8] - The net profit for 2023 is expected to be HKD 239.55 million, recovering from a loss in the previous year, with significant growth anticipated in the following years [1][8] - The company's earnings per share (EPS) is projected to increase from HKD 0.04 in 2023 to HKD 0.11 by 2027 [1][8]

Investment Rating - The report maintains an "Overweight" rating for the non-ferrous metals sector [1]. Core Views - The non-ferrous metals sector experienced a 4.44% increase in the week from October 3 to October 10, ranking first among all primary industries. The industrial metals segment rose by 5.35%, while precious metals also saw significant gains [1][15]. - The report highlights that the ongoing decline in real interest rates, coupled with overseas fiscal and tariff pressures, has heightened risk aversion, leading to new highs in precious metals [1][48]. Summary by Sections Market Review - The Shanghai Composite Index rose by 0.37%, with the non-ferrous metals sector outperforming by 4.08 percentage points [15]. - The industrial metals sector saw a 5.35% increase, while precious metals rose by 4.00% [15]. Industrial Metals - **Copper**: As of October 10, LME copper closed at $10,374 per ton, down 3.05% week-on-week, while SHFE copper rose to ¥85,910 per ton, up 3.37% [2][31]. Supply issues persist, with Freeport indicating a reduction of approximately 470,000 tons due to an incident at Grasberg [2][31]. - **Aluminum**: LME aluminum closed at $2,746 per ton, up 1.63%, and SHFE aluminum at ¥20,980 per ton, up 1.45% [3][35]. Social inventory increased by 7.71% to 642,500 tons, indicating potential short-term pressure on prices [3][37]. - **Zinc**: LME zinc closed at $2,985 per ton, down 1.52%, while SHFE zinc rose to ¥22,270 per ton, up 2.04% [39]. Inventory levels fluctuated, with LME inventory decreasing by 4.65% [39]. - **Tin**: LME tin closed at $35,350 per ton, down 4.85%, while SHFE tin rose to ¥286,350 per ton, up 4.10% [45]. Supply constraints from Indonesia are tightening the market [45]. Precious Metals - **Gold**: COMEX gold closed at $4,035.50 per ounce, up 3.15%, and SHFE gold at ¥901.56 per gram, up 5.48% [4][48]. The report notes that the downtrend in real interest rates and ongoing fiscal pressures are beneficial for gold prices [4][48]. Economic Context - The report discusses the impact of U.S. economic data and the Federal Reserve's consensus on interest rate cuts, which are expected to further influence the metals market [26][48]. The potential for renewed tariffs on Chinese imports adds uncertainty to the market dynamics [4][49].

Investment Rating - The report maintains an "Overweight" rating for the gas industry [1] Core Viewpoints - The gas prices are stable across various regions due to sufficient storage in the US, progress in European storage, and marginal improvement in domestic demand [1][5] - The report highlights the gradual recovery of domestic gas consumption, with a year-on-year increase of 0.8% to 283.2 billion cubic meters in the first eight months of 2025 [24][27] - The report emphasizes the importance of cost optimization for gas companies and the ongoing adjustment of pricing mechanisms to stimulate demand [53] Price Tracking - As of October 10, 2025, the weekly changes in gas prices are as follows: US HH -0.9%, European TTF +0.9%, East Asia JKM +0.2%, China LNG ex-factory -0.2%, and China LNG CIF -2.7% [10][15] - The average total supply of natural gas in the US decreased by 0.1% week-on-week to 111.7 billion cubic feet per day, while total demand increased by 2.7% to 101.3 billion cubic feet per day [17] Supply and Demand Analysis - US natural gas storage increased by 800 billion cubic feet week-on-week to 36,410 billion cubic feet, showing a year-on-year increase of 0.3% [17] - European gas consumption in the first half of 2025 was 240.8 billion cubic meters, reflecting a year-on-year increase of 5.8% [18] - Domestic gas consumption in China showed a significant improvement in August 2025, with a year-on-year increase of 4% [24] Pricing Progress - Nationwide pricing adjustments have been gradually implemented, with 65% of cities having executed residential pricing adjustments, resulting in an increase of 0.21 yuan per cubic meter [38] Investment Recommendations - The report recommends focusing on companies that can optimize costs and benefit from the ongoing pricing adjustments, highlighting companies such as New Energy, China Gas, and Kunlun Energy [53] - It suggests paying attention to companies with quality long-term contracts and cost advantages, such as Jiufeng Energy and New Energy Holdings [53]