Quantitative Factors and Construction Factor Name: Stability of Turnover Rate (STR) - **Factor Construction Idea**: The STR factor is designed to evaluate the stability of daily turnover rates. It aims to identify stocks with stable turnover rates, as opposed to focusing solely on low or high turnover rates. This approach addresses the limitations of traditional turnover rate factors, which may misjudge stocks with high turnover but significant future returns [1][8]. - **Factor Construction Process**: - The STR factor is constructed using daily turnover rate data. - The stability of turnover rates is calculated, inspired by the Uniformity of Turnover Rate Distribution (UTD) factor, which measures turnover rate volatility at the minute level. - The STR factor is then adjusted to remove the influence of common market styles and industry effects, ensuring a "pure" factor signal [8]. - **Factor Evaluation**: The STR factor demonstrates strong stock selection capabilities, even after controlling for market and industry influences. It is considered an effective and straightforward factor [6][8]. Traditional Turnover Rate Factor (Turn20) - **Factor Construction Idea**: The Turn20 factor calculates the average daily turnover rate over the past 20 trading days. It assumes that stocks with lower turnover rates are more likely to outperform in the future, while those with higher turnover rates are more likely to underperform [6][7]. - **Factor Construction Process**: - At the end of each month, the daily turnover rates of all stocks over the past 20 trading days are averaged. - The resulting values are neutralized for market capitalization to eliminate size effects [6]. - **Factor Evaluation**: While the Turn20 factor has historically performed well, its logic has limitations. Specifically, stocks with high turnover rates exhibit significant variability in future returns, leading to potential misjudgments of high-performing stocks within this group [7]. --- Backtesting Results of Factors STR Factor - **Annualized Return**: 40.75% [9][10] - **Annualized Volatility**: 14.44% [9][10] - **Information Ratio (IR)**: 2.82 [9][10] - **Monthly Win Rate**: 77.02% [9][10] - **Maximum Drawdown**: 9.96% [9][10] - **July 2025 Performance**: - Long Portfolio Return: 1.29% [10] - Short Portfolio Return: -0.02% [10] - Long-Short Portfolio Return: 1.32% [10] Turn20 Factor - **Monthly IC Mean**: -0.072 [6] - **Annualized ICIR**: -2.10 [6] - **Annualized Return**: 33.41% [6] - **Information Ratio (IR)**: 1.90 [6] - **Monthly Win Rate**: 71.58% [6]

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - Microguide Convertible Bonds (118058.SH) started online subscription on August 6, 2025, with a total issuance scale of 1.17 billion yuan. After deducting issuance fees, the net raised funds will be used for the construction project of an intelligent factory for semiconductor thin - film deposition equipment [3]. - The current bond floor valuation is 99.08 yuan, and the YTM is 2.25%. The conversion parity is 100.6 yuan, and the parity premium rate is - 0.62%. The bond floor protection is good, and the terms of the convertible bonds are standard. The dilution rate of the total share capital is 7.03%, with relatively small dilution pressure on the equity [3]. - It is expected that the listing price of Microguide Convertible Bonds on the first day will be between 128.84 - 143.03 yuan, and the subscription rate is expected to be 0.0036%. It is recommended to actively subscribe [3]. Group 3: Summary by Directory 1. Convertible Bond Basic Information - The issuance and subscription schedule of Microguide Convertible Bonds is from August 4 to August 12, 2025, including steps such as publishing announcements, online roadshows, priority subscription for original shareholders, and online subscription [9]. - The basic terms of Microguide Convertible Bonds include a 6 - year term, AA/AA credit rating, a face value of 100 yuan, specific coupon rates from the first to the sixth year, and corresponding down - revision, redemption, and put - back terms [10]. - The raised funds will be used for the construction of an intelligent factory for semiconductor thin - film deposition equipment, the expansion of a R & D laboratory, and supplementary working capital [11]. - The bond - related indicators show a pure bond value of 99.08 yuan, a pure bond premium rate of 0.93%, and a pure bond YTM of 2.25%. The equity - related indicators show a conversion parity of 100.63 yuan and a parity premium rate of - 0.62% [11]. 2. Investment Subscription Suggestions - By referring to comparable targets in terms of parity, rating, and scale, as well as recent listed convertible bonds and an established empirical model, it is expected that the conversion premium rate of Microguide Convertible Bonds on the first - day of listing will be around 35%, and the listing price will be between 128.84 - 143.03 yuan [14][15]. - It is expected that the priority subscription ratio of original shareholders will be 74.28%, and the online subscription rate will be 0.0036% [16]. 3. Analysis of the Underlying Stock's Fundamental Aspects 3.1 Financial Data Analysis - Microguide Nano is a global high - end micro - nano equipment manufacturer in the semiconductor and pan - semiconductor fields. Its products have achieved large - scale industrial applications in the semiconductor and photovoltaic sectors [17]. - Since 2020, the company's revenue has steadily increased, with a compound growth rate of 71.44% from 2020 - 2024. In 2024, the revenue was 2.7 billion yuan, a year - on - year increase of 60.74%. In Q1 2025, the revenue and net profit attributable to the parent company were 510 million yuan and 84 million yuan respectively [18][19]. - The company's revenue mainly comes from photovoltaic and semiconductor equipment, with an annual adjustment in product structure. The proportion of photovoltaic sales revenue in the main business revenue has slightly decreased, while the sales scale of semiconductors has gradually increased [20]. - The company's net sales margin has recently rebounded, the gross sales margin has decreased, the sales expense ratio has decreased, the financial expense ratio has recently increased, and the management expense ratio has recently decreased [24]. 3.2 Company Highlights - Microguide Nano is a leader in providing efficient battery technology and equipment. It emphasizes R & D, has formed 11 core technologies in the thin - film deposition technology field centered around ALD technology, and has achieved deep integration of scientific and technological achievements and the industry [29].

Quantitative Factors and Construction Methods 1. Factor Name: UTR (U-Turnover Rate) - **Construction Idea**: The UTR factor combines two sub-factors, "Turn20" (volume-small factor) and "STR" (volume-stable factor), using a scoring method to address the issue of "1+1<2" in factor integration. The key idea is to prioritize stocks with stable volumes while favoring higher turnover within this stable group [6] - **Construction Process**: 1. At the end of each month, calculate the "Turn20" and "STR" values for all stocks [6] 2. Rank all stocks by the "STR" factor in ascending order and assign scores from 1 to N (N is the total number of stocks), referred to as "Score 1" [6] 3. For the top 50% of stocks ranked by "STR", rank them by "Turn20" in descending order and assign scores from 1 to N/2, referred to as "Score 2". The final score for these stocks is "Score 1 + Score 2" [6] 4. For the bottom 50% of stocks ranked by "STR", rank them by "Turn20" in ascending order and assign scores from 1 to N/2, referred to as "Score 3". The final score for these stocks is "Score 1 + Score 3" [6] 5. The resulting factor is named "UTR" [6] - **Evaluation**: The UTR factor effectively integrates the two sub-factors, achieving the goal of favoring higher turnover within stable-volume stocks [6] 2. Factor Name: UTR2.0 (U-Turnover Rate 2.0) - **Construction Idea**: UTR2.0 improves upon the original UTR factor by transitioning from ordinal scale to ratio scale for factor values. Additionally, it introduces a coefficient for the "Turn20" factor, which is a function of "STR", to better capture the varying impact of "Turn20" across different stability levels. The softsign activation function from neural networks is used to model this relationship [7] - **Construction Process**: 1. Transition from ordinal scale to ratio scale for factor values to retain more information [7] 2. Define the coefficient for "Turn20" as a function of "STR", where the coefficient increases with stability (positive impact) and decreases with instability (negative impact) [7] 3. Use the softsign activation function to model the relationship: $$ \mathrm{UTR2.0} = \mathrm{STR} + \text{softsign}(\mathrm{STR}) \cdot \mathrm{Turn20} $$ $$ \text{softsign}(x) = \frac{x}{1 + |x|} $$ [7] - **Evaluation**: Compared to the original UTR factor, UTR2.0 achieves lower returns but demonstrates superior volatility, information ratio (IR), and monthly win rate, making it a more robust factor [7][9] --- Factor Backtesting Results 1. UTR2.0 Factor - **Annualized Return**: 40.36% [9] - **Annualized Volatility**: 14.97% [9] - **Information Ratio (IR)**: 2.70 [9] - **Monthly Win Rate**: 75.74% [9] - **Maximum Drawdown**: 11.03% [9] 2. July 2025 Performance (UTR2.0 Factor) - **Long Portfolio Return**: 1.29% [9] - **Short Portfolio Return**: -0.06% [9] - **Long-Short Portfolio Return**: 1.35% [9]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250806 换手率变化率的稳定 GTR 选股因子绩效月 报 20250731 [Table_Tag] [Table_Summary] 报告要点 2025 年 08 月 06 日 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 《换手率变化率的稳定 GTR 因子— —助推换手率的所有家族成员》 2023-05-16 《换手率变化率的稳定 GTR 选股因 子绩效月报 20250430》 2025-05-07 东吴证券研究所 1 / 8 请务必阅读正文之后的免责声明部分 ◼ 换手率变化率的稳定 GTR 因子多空对冲绩效（全市场）：2006 年 1 月 至 2025 年 7 月，换手率变化率的稳定 GTR 因子在全体 A 股中，10 分 组多空对冲的年化收益率为 13.29%，年化波动为 10.24%，信息比率为 1.30，月度胜率为 67.09%，月度最大回撤为 10.81%； ...

证券研究报告·金融工程·金工定期报告 金工定期报告 20250806 TPS 与 SPS 选股因子绩效月报 20250731 2025 年 08 月 06 日 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 凌志杰 2022-08-16 《 TPS 与 SPS 选股因子绩效月报 20250430》 2025-05-07 东吴证券研究所 1 / 9 请务必阅读正文之后的免责声明部分 [Table_Tag] [Table_Summary] ◼ TPS 因子多空对冲绩效（全市场）： 2006 年 1 月至 2025 年 7 月，TPS 因子在全体 A 股中，10 分组多空对冲的年化收益率为 39.56%，年化波 动为 15.70%，信息比率为 2.52，月度胜率为 77.78%，月度最大回撤为 18.19%。 ◼ SPS 因子多空对冲绩效（全市场）： 2006 年 1 月至 2025 年 7 月，SPS 因子在全体 A 股中，10 分组多空对冲的年化收益率为 43.26%，年化波 动为 13.15%，信息比率为 3.29，月度胜率 ...

Investment Rating - The report maintains a "Buy" rating for the company [1] Core Insights - The ASC30 pipeline has successfully completed patient enrollment for the Phase IIa trial, with top-line data expected in Q4 2025. This compound has patent protection in the U.S. and globally until 2044 [7] - ASC30 has shown superior efficacy in previous trials, achieving a maximum weight loss of 6.5% over four weeks, outperforming a competitor's product [7] - The company has multiple promising pipelines, including ASC47 and ASC50, which are expected to have strong business development potential [7] - Revenue forecasts for 2025-2027 are projected at 0, 0.4, and 1 billion RMB respectively, with an updated target price of 14.02 RMB [7] Financial Summary - Total revenue for 2023 is projected at 566.9 million RMB, with a significant decline expected in 2024 [1] - The company is expected to incur net losses, with a projected net profit of -300.94 million RMB in 2024 and -454.44 million RMB in 2025 [1] - The price-to-earnings ratio is forecasted to improve from -49.48 in 2023 to -15.76 in 2025 [1][8]

Macro Strategy - The report analyzes three historical cases of capacity adjustment over a century, highlighting the transition from imbalance to rebalancing in supply and demand [1][13] - It concludes that capacity imbalance can lead to a negative feedback loop lasting 20-30 years if not controlled, emphasizing the need for government intervention rather than relying solely on market forces [1][13] - Effective rebalancing requires simultaneous efforts in controlling capacity, restoring credit, and stabilizing employment, rather than relying on supply or demand policies alone [1][13] Fixed Income - The report discusses the current state of urban investment bonds in Shaanxi Province, noting that the bond market is experiencing a downward trend due to macroeconomic uncertainties, but urban investment bonds still hold strong allocation value [2][14] - Shaanxi's GDP is projected to reach approximately 3.55 trillion yuan in 2024, with a growth rate of 5.30%, indicating a robust economic environment [2][14] - The report suggests a cautious approach to investing in lower-rated bonds due to compressed credit spreads, recommending a focus on higher-rated bonds with good liquidity [2][16] Industry Analysis - The report highlights Scale AI as a leading company in the AI data labeling sector, with significant revenue growth driven by demand from large enterprises and government [4][16] - Scale AI's revenue is projected to reach $20 billion by 2025, with a gross margin of 49%, indicating strong market potential despite current EBITDA losses [4][16] - The report emphasizes the importance of data quality and neutrality in the AI training data market, recommending investment in leading companies in high-quality data sets [4][16] Stock Recommendations - Pony.ai is identified as a leader in the Robotaxi sector, with significant cost reductions and safety improvements expected to drive commercialization [5][18] - Revenue forecasts for Pony.ai are projected at $0.78 billion, $1.05 billion, and $3.42 billion for 2025-2027, with a "buy" rating based on strong growth potential [5][18] - Yutong Bus is expected to maintain revenue growth of 15%-16% from 2025 to 2027, with a "buy" rating supported by a strong market position and recent contract wins [6][19]

Investment Rating - The investment rating for the company is "Buy" (maintained) [1] Core Views - The company reported a 42.6% year-on-year increase in net profit attributable to shareholders for the first half of 2025, driven by rapid growth in its proprietary brands [8] - The company is optimizing its product structure and accelerating overseas expansion, with significant revenue contributions from both domestic and international markets [8] - The gross margin has improved significantly due to the increased revenue share from higher-margin staple foods [8] - The company is developing a differentiated brand matrix and continuously upgrading its proprietary brands, enhancing brand recognition through various marketing strategies [8] - The company is expected to maintain stable growth with a forecasted net profit of 4.5 billion, 5.5 billion, and 6.5 billion RMB for 2025, 2026, and 2027 respectively, reflecting year-on-year growth rates of 14%, 23%, and 18% [8] Financial Summary - Total revenue for 2023 is projected at 3,747 million RMB, with a year-on-year growth of 15.37% [1] - The net profit attributable to shareholders for 2023 is estimated at 233.16 million RMB, with a significant year-on-year increase of 120.12% [1] - The earnings per share (EPS) for 2023 is projected to be 0.77 RMB, with a price-to-earnings (P/E) ratio of 76.65 [1] - The company’s gross margin for the first half of 2025 reached 31.4%, an increase of 3.4 percentage points year-on-year [8] - The net profit margin for the first half of 2025 was 9.2%, reflecting a year-on-year increase of 1.3 percentage points [8]

Investment Rating - The report assigns a "Buy" rating for the company, marking its first coverage [1]. Core Views - The company is positioned to leverage its foundation in water treatment specialty chemicals to create a second growth curve in the new energy sector, with a focus on advanced materials and solutions for data center cooling systems [8][13]. - The company has demonstrated strong growth potential, with significant increases in net profit projected for 2025-2027, driven by new business lines in silicon-carbon and solid-state battery materials [8][10]. Summary by Sections 1. Water Treatment Specialty Chemicals - The company is a leading provider in the domestic water treatment sector, serving over 3,500 clients, including more than 150 Fortune 500 companies [13][16]. - The business model encompasses three core areas: specialty chemicals and customized equipment for water treatment, cooling systems for data centers, and advanced materials for solid-state batteries [13][16]. 2. Silicon-Carbon Materials - The company collaborates with top research teams to develop leading silicon-carbon anode materials, achieving stable mass production and validation from major battery manufacturers [8][10]. - The silicon-carbon materials are expected to open new market opportunities due to their energy density advantages and technological breakthroughs [8][10]. 3. Solid-State Batteries - The company has made significant advancements in solid-state battery materials, including the industrial-scale production of oxide and halide electrolytes [8][10]. - Partnerships with research institutions have strengthened the company's competitive edge in solid-state battery technology [8][10]. 4. Financial Projections - The company forecasts net profits of 1.42 billion, 2.03 billion, and 6.29 billion yuan for 2025, 2026, and 2027 respectively, reflecting year-on-year growth rates of 229.5%, 43.6%, and 209.3% [1][8]. - The projected price-to-earnings ratios for the same years are 85.24, 59.36, and 19.19, indicating a favorable valuation outlook as the company expands its new energy business [1][8]. 5. Market Data - The company's closing price is reported at 72.40 yuan, with a market capitalization of approximately 12.7 billion yuan [5][6]. - The company maintains a stable financial structure with a debt-to-asset ratio of 34.49% and a net asset value per share of 5.53 yuan [6][5].

Investment Rating - The report assigns a "Buy" rating for the company, marking its first coverage [1]. Core Insights - The company is positioned as a leader in the Robotaxi sector, expected to benefit from improved policy frameworks, breakthroughs in autonomous driving technology, and cost reductions across the industry. The unit economic model is anticipated to turn positive, enabling rapid scaling and profitability [9][14]. - The company has a strong technical foundation and is actively expanding its market presence both domestically and internationally, with significant partnerships and operational licenses in key cities [9][14]. Summary by Sections 1. Company Overview - The company was established in December 2016 and focuses on providing safe and advanced autonomous driving technology. Its core businesses include autonomous ride-hailing services, autonomous truck logistics, and intelligent driving solutions [14]. - The company launched the first Robotaxi service in China in 2018 and has since achieved significant milestones, including being the first to receive a taxi operating license for autonomous vehicles [14][18]. 2. Financial Projections - Revenue projections for the company are as follows: - 2023: $71.90 million - 2024: $75.03 million - 2025: $77.58 million - 2026: $104.91 million - 2027: $342.42 million - The company is expected to experience a revenue growth rate of 226.39% from 2026 to 2027 [1]. 3. Cost Reduction and Safety Improvements - The company has achieved significant cost reductions in its Robotaxi operations, with the BOM cost decreasing to around 300,000 yuan. This is attributed to mass production and advancements in technology [9][57]. - The safety of the autonomous driving system has been enhanced through a multi-sensor fusion approach, which significantly reduces accident rates compared to human drivers [44][52]. 4. Market Expansion and Partnerships - The company is focusing on expanding its operations in major cities like Beijing, Shanghai, Guangzhou, and Shenzhen, while also pursuing international opportunities in markets such as the United States and Singapore [9][14]. - Strategic partnerships with major players like Uber and local transportation companies are being leveraged to enhance market penetration and operational efficiency [9][14]. 5. Technical Advancements - The company has developed a robust technical framework, including the PonyWorld system, which has generated over 10 billion kilometers of testing data, contributing to the safety and reliability of its autonomous driving solutions [9][14]. - The seventh-generation autonomous driving system is set to enter mass production, further solidifying the company's position in the market [9][14].