Quantitative Models and Construction Methods Model Name: Hong Kong Stock Selection 20 Portfolio - **Model Construction Idea**: The model aims to track the monthly performance of a long portfolio by selecting the top 20 stocks with the highest scores based on multiple factors. The benchmark is the Hong Kong Composite Index (HKD) (930930.CSI) [40][42] - **Model Construction Process**: - The model uses four types of factors: technical, capital, fundamental, and analyst expectations [40][41] - At the end of each month, the top 20 stocks with the highest scores are selected and equally weighted to construct the Hong Kong Stock Selection 20 Portfolio [42] - **Model Evaluation**: The model has shown excellent performance in the Hong Kong Stock Connect sample stocks [40] Model Backtesting Results - **Hong Kong Stock Selection 20 Portfolio**: - **July 2025**: Portfolio return 11.6%, benchmark index return 4.8%, excess return 6.8% [42] - **Overall Period (2015.1~2025.7)**: Excess annualized return 13.9%, excess return volatility ratio 1.0 [42][44] Quantitative Factors and Construction Methods Factor Name: Technical, Capital, Fundamental, Analyst Expectations - **Factor Construction Idea**: These factors are used to evaluate the performance of Hong Kong Stock Connect sample stocks [40] - **Factor Construction Process**: - **Technical**: Based on stock price movements and technical indicators - **Capital**: Based on capital flow and trading volume - **Fundamental**: Based on financial metrics such as PE ratio, ROE, etc. - **Analyst Expectations**: Based on analyst ratings and forecasts [40][41] - **Factor Evaluation**: These factors have shown excellent performance in the Hong Kong Stock Connect sample stocks [40] Factor Backtesting Results - **Technical, Capital, Fundamental, Analyst Expectations**: - **July 2025**: Excess annualized return 13.9%, excess return volatility ratio 1.0 [42][44]

宏观经济点评 就业市场走弱，通胀成为美联储降息关键掣肘 宏观研究团队 ——美国 7 月非农就业数据点评 | 何宁（分析师） | 潘纬桢（分析师） | | --- | --- | | hening@kysec.cn | panweizhen@kysec.cn | | 证书编号：S0790522110002 | 证书编号：S0790524040006 | 事件：美国公布 7 月非农就业数据。新增非农就业 7.3 万，低于市场预期；失 业率为 4.2%，符合市场预期；平均时薪同比增长 3.9%，高于市场预期。 新增非农就业下行较多，失业率上行，前值大幅下修 1. 新增非农就业超预期下行，且前值经历大幅下修 7 月美国新增非农就业 7.3 万人，较 6 月份初值（14.7 万）下降较多，且低于市 场预期的 10.4 万。5 月、6 月累计大幅下修 25.8 万，较为罕见 。趋势上看，近 3 个月平均新增就业 3.5 万人，下行斜率趋陡，美国劳动力市场出现了较为明显 的降温。结构上看，私人部门方面，商品制造减少了 1.3 万就业，教育和保健 服务、零售业新增就业较 6 月上升较多。政府就业在 7 月减少了 1.0 万， ...

Quantitative Models and Construction Methods - **Model Name**: Real-time Public Fund Positioning **Model Construction Idea**: This model estimates the real-time positioning of public funds based on publicly available market information such as fund net value, disclosed holdings, and research activities[3][20] **Model Construction Process**: The process involves complex data processing of public market information, including fund net value, disclosed holdings, and research activities. Detailed methodology is referenced in the report "偏股混合型基金指数（885001.WI）：优势、复制与超越"[20] - **Model Name**: ETF Fund Positioning **Model Construction Idea**: This model tracks the dynamics of ETF fund holdings as a key indicator of market fund flows, reflecting the growing importance of index investment in the A-share market[3][21] **Model Construction Process**: The model calculates the proportion of ETF holdings relative to the market capitalization of PCB sector stocks. As of Q2 2025, the total scale of public ETF funds exceeded 4.3 trillion yuan, with ETF holdings in the PCB sector at a historical high, accounting for 2.6% of the sector's market capitalization[21][23] - **Model Name**: Financing Balance Dynamics **Model Construction Idea**: This model uses financing balance as a proxy for investor sentiment, where an increase in financing balance indicates a bullish outlook on the market[3][25] **Model Construction Process**: The model tracks the total amount of outstanding financing in margin trading. The PCB sector's financing balance is at a historical high, while the short-selling balance remains at a low level[25][27] - **Model Name**: Chip Yield Characteristics **Model Construction Idea**: This model evaluates the profitability of the PCB sector based on chip yield, which measures the return of current prices relative to historical chip costs. It identifies momentum effects in strong markets and reversal effects in weak markets[3][26] **Model Construction Process**: The model estimates the average holding cost of funds at different price levels and calculates chip yield as the return of current prices relative to historical chip costs. The PCB sector's current profitability is 22.95%[26][28] Model Backtesting Results - **Real-time Public Fund Positioning**: No specific quantitative backtesting results provided - **ETF Fund Positioning**: ETF holdings account for 2.6% of the PCB sector's market capitalization[23] - **Financing Balance Dynamics**: Financing balance is at a historical high, while short-selling balance is at a low level[25][27] - **Chip Yield Characteristics**: Current profitability of the PCB sector is 22.95%[26][28] Quantitative Factors and Construction Methods - **Factor Name**: Chip Yield **Factor Construction Idea**: This factor measures the profitability of the PCB sector based on the return of current prices relative to historical chip costs[3][26] **Factor Construction Process**: The factor is calculated as the return of current prices relative to historical chip costs. It reflects momentum effects in strong markets and reversal effects in weak markets. The PCB sector's current chip yield is 22.95%[26][28] Factor Backtesting Results - **Chip Yield**: Current profitability of the PCB sector is 22.95%[26][28]

Investment Rating - The investment rating for Hisense Home Appliances is "Buy" (maintained) [1] Core Views - In H1 2025, the company achieved operating revenue of 49.34 billion yuan (up 1.4% year-on-year) and a net profit attributable to shareholders of 2.08 billion yuan (up 3.0%) [4] - The company has adjusted its profit forecast for 2025-2027, expecting net profits of 3.61 billion, 4.15 billion, and 4.69 billion yuan respectively, with corresponding EPS of 2.60, 2.99, and 3.38 yuan [4] - Despite challenges in the central air conditioning sector and ongoing price wars, the company remains optimistic about profit improvement driven by strong overseas business growth [4] Financial Performance Summary - In H1 2025, the air conditioning segment generated revenue of 23.69 billion yuan (up 4.1%), while the ice washing segment saw revenue of 15.39 billion yuan (up 4.8%) with a significant improvement in profitability [5] - The gross margin for the air conditioning segment was 27.1% (down 1.6 percentage points), while the ice washing segment's gross margin improved to 18.7% (up 2.1 percentage points) [5] - Domestic revenue was 25.25 billion yuan (down 0.3%), while overseas revenue reached 20.45 billion yuan (up 12.3%), with notable growth in Europe (23%), the Americas (26%), and the Middle East and Africa (23%) [5] Profitability and Cost Management - The overall gross margin for H1 2025 was 21.5% (up 0.7 percentage points), with significant improvements in profitability from overseas and ice washing businesses [6] - The sales net profit margin for H1 2025 was 6.1% (up 0.5 percentage points), indicating stable cost management despite external pressures [6] Financial Projections - The company projects operating revenues of 97.18 billion yuan for 2025, with a year-on-year growth rate of 4.8% [7] - The projected net profit for 2025 is 3.61 billion yuan, reflecting a year-on-year increase of 7.8% [7] - The estimated P/E ratios for 2025, 2026, and 2027 are 10.6, 9.2, and 8.2 respectively, indicating a favorable valuation trend [7]

Investment Rating - The industry investment rating is "Positive" (maintained) [2] Core Insights - Since 2025, banks have shown a new characteristic of using short-term loans to replace bills for credit expansion, with significant seasonal growth in short-term loans [4][14] - The volatility of bill rates has decreased, and there is a notable inversion between short and long-term rates [24][34] - Investment recommendations focus on state-owned banks with controllable retail risks, joint-stock banks with high safety margins, and city and rural commercial banks with strong profit growth potential [7][36] Summary by Sections 1. New Characteristics of Credit Expansion - In 2025, banks have not prominently used bills to boost loans, but short-term loans have seen significant growth, with new additions of 1.44 trillion and 1.16 trillion yuan in March and June, respectively, exceeding historical averages [14][18] - Bill financing saw a notable contraction in June, with a decrease of 4.109 trillion yuan, significantly higher than the three-year average [14][18] 2. Decreased Volatility of Bill Rates - In the first half of 2025, the 6M national stock bill discount rate fluctuated between 0.98% and 1.60%, showing reduced volatility compared to 170 basis points in 2023 and 105 basis points in 2024 [24][29] - The weakening of the credit attribute of bills is attributed to banks preferring short-term loans for credit scale, leading to a lack of significant fluctuations in bill rates [24][29] 3. Investment Recommendations - Recommended stocks include state-owned banks with controllable retail risks, such as China Construction Bank and Agricultural Bank of China [36] - Joint-stock banks with high safety margins and signs of clearing existing risks, such as CITIC Bank and China Merchants Bank, are also recommended [36] - City and rural commercial banks with growth potential and strong provisioning capabilities, including Jiangsu Bank and Hangzhou Bank, are highlighted [36]

Investment Rating - The industry investment rating is "Overweight" (maintained) [1] Core Viewpoints - The recent security risks associated with Nvidia's H20 chip have drawn regulatory attention, highlighting the importance of a self-controlled supply chain in China [4][5] - The incident reflects the ongoing technological competition between China and the US, which may temporarily suppress capital expenditure from domestic internet companies but could ultimately drive the development of a stable and healthy AI industry in China [5] - Domestic internet companies are expected to accelerate their transition to local supply chains due to the uncertainties surrounding Nvidia's H20 supply [6] Summary by Sections Industry Trends - The AI chip industry in China is rapidly developing, with products like Huawei's Ascend 910B/910C surpassing Nvidia's H20 in computing performance [7] - Domestic manufacturers are making significant progress in technology and ecosystem development, with companies like Moore Threads and Huawei achieving breakthroughs [7] Supply Chain Challenges - The supply bottleneck in China's AI industry is becoming more pronounced, with domestic chip production facing limitations due to EUV export restrictions and TSMC's foundry constraints [7] - The production yield of domestic semiconductor equipment remains low due to developmental bottlenecks and lack of experience [7] Investment Recommendations - Beneficiaries in the AI chip sector include companies like Cambricon [8] - In the wafer foundry segment, companies such as SMIC and Hua Hong Semiconductor are recommended [8] - For lithography equipment, companies like Fuchuang Precision and Maolai Optics are highlighted [8] - Other recommended companies in front-end process equipment include North China Innovation and Zhongwei Technology [8] - In advanced packaging, companies like Chipbond and Huahai Qingke are suggested [8] - EDA beneficiaries include companies like Huada Jiutian and Gai Lun Electronics [8]

Investment Rating - The industry investment rating is "Positive" (maintained) [1] Core Insights - The report emphasizes the significant growth potential in the AI application sector, particularly in the design field, as evidenced by Figma's successful IPO and strong revenue growth [4][5][8] - Figma's revenue growth remains robust, with 2024 and Q1 2025 revenues of $749 million and $228 million respectively, reflecting year-on-year growth rates of 48% and 46% [5] - The report highlights the importance of cloud-based collaborative design as Figma's core philosophy, showcasing a strong customer base and high customer retention rates [6] Summary by Sections Industry Overview - The report indicates a positive outlook for the AI design sector, driven by Figma's market performance and the increasing adoption of AI technologies [8] Company Performance - Figma's stock price surged to $115.5 per share, marking a 250% increase and a market capitalization of approximately $56.3 billion, making it the largest IPO in the U.S. for 2025 [4] - The company maintains a high gross margin of around 90% since 2023, with non-GAAP operating profit margins reaching 17-18% in 2024 and Q1 2025 [5] Customer Metrics - Figma's Dollar-Based Net Retention rate was 134% in 2024, up from 122% in 2023, indicating strong product stickiness and expansion strategies [6] - The number of customers contributing over $100,000 in annual recurring revenue (ARR) increased by nearly 47% from 701 in 2024 to 1,031 in Q1 2025 [6] Product Development - Figma is expanding its product matrix with the introduction of AI-driven tools such as Figma Make, Figma Draw, Figma Sites, and Figma Buzz in 2025 [7] Investment Recommendations - The report suggests a continued positive outlook for AI applications, recommending various companies in the AI design and computing sectors as potential beneficiaries [8]

Quantitative Models and Construction - **Model Name**: "Kaiyuan JinGong Optimal Stock Portfolio" **Model Construction Idea**: This model is based on the observation that newly recommended stocks ("newly entered stocks") outperform repeatedly recommended stocks ("repeated stocks"). It incorporates the "Surprise in Earnings" (SUE) factor to select stocks with strong earnings surprises, aiming to enhance portfolio returns[23][25]. **Model Construction Process**: 1. Use newly recommended stocks as the sample universe. 2. Select the top 30 stocks with the highest SUE factor values. 3. Weight the portfolio based on the number of recommendations by brokers. **Model Evaluation**: The model demonstrates superior performance compared to the overall stock portfolio and benchmark indices, indicating its effectiveness in capturing excess returns[23][25]. Model Backtesting Results - **Kaiyuan JinGong Optimal Stock Portfolio**: - **July Return**: 5.8%[25] - **2025 YTD Return**: 18.0%[25] - **Annualized Return**: 20.8%[25] - **Annualized Volatility**: 25.2%[25] - **Sharpe Ratio (Return-to-Volatility)**: 0.82[25] - **Maximum Drawdown**: 24.6%[25] - **Overall Stock Portfolio**: - **July Return**: 7.7%[21] - **2025 YTD Return**: 18.5%[21] - **Annualized Return**: 12.2%[21] - **Annualized Volatility**: 23.4%[21] - **Sharpe Ratio (Return-to-Volatility)**: 0.52[21] - **Maximum Drawdown**: 42.6%[21] - **Benchmark Indices**: - **CSI 300**: - **July Return**: 3.5%[21] - **2025 YTD Return**: 3.6%[21] - **Annualized Return**: 2.4%[21] - **Annualized Volatility**: 21.2%[21] - **Sharpe Ratio (Return-to-Volatility)**: 0.11[21] - **Maximum Drawdown**: 40.6%[21] - **CSI 500**: - **July Return**: 5.3%[21] - **2025 YTD Return**: 8.7%[21] - **Annualized Return**: 0.1%[21] - **Annualized Volatility**: 23.7%[21] - **Sharpe Ratio (Return-to-Volatility)**: 0.01[21] - **Maximum Drawdown**: 37.5%[21] Quantitative Factors and Construction - **Factor Name**: Surprise in Earnings (SUE) Factor **Factor Construction Idea**: The SUE factor measures the degree of earnings surprise, which is a key indicator of stock performance. Stocks with higher earnings surprises are expected to outperform[23]. **Factor Construction Process**: 1. Calculate the earnings surprise for each stock based on the difference between actual and expected earnings. 2. Rank stocks by their SUE values. 3. Select the top stocks with the highest SUE values for portfolio inclusion[23]. **Factor Evaluation**: The SUE factor demonstrates strong stock selection ability, particularly within the newly recommended stock universe, contributing to the superior performance of the optimal stock portfolio[23]. Factor Backtesting Results - **SUE Factor**: - Integrated into the "Kaiyuan JinGong Optimal Stock Portfolio," contributing to its superior performance metrics as detailed above[23][25].

Investment Rating - The industry investment rating is "Positive" (maintained) [1] Core Insights - The report highlights a positive outlook for the basic chemical industry, driven by supply optimization and recovery in profitability [3][4] - The demand for Sustainable Aviation Fuel (SAF) is expected to grow steadily due to continuous support from multiple countries [4] - The price of Used Cooking Oil (UCO) is anticipated to rise further due to increasing demand and carbon tax prices [5] - The European Union has confirmed that there is no evidence of fraud in the import of biodiesel from China, which may boost demand [6] Summary by Sections Industry Trends - The basic chemical industry is projected to outperform the overall market, with a positive investment rating [1] - The industry has shown a significant price increase for SAF, with EU and China prices rising by 10% and 3% respectively since the beginning of 2025 [4][10] Demand Drivers - The demand for UCO is increasing, driven by the growth in SAF and Hydrotreated Vegetable Oil (HVO) requirements [5] - The HVO demand in Germany is expected to increase by 1.5 million tons by 2026, nearly quadrupling the 2025 levels [5] Beneficiary Companies - Companies such as Shandong Hi-Speed Energy and Jiaao Environmental Protection are positioned to benefit from the growing SAF market and UCO production [7] - Shandong Hi-Speed Energy plans to increase its waste processing capacity, which will double its UCO output [7] - Jiaao Environmental Protection is set to gain market share in the domestic SAF sector with new capital investments [7]

Group 1: National Fertility Subsidy - The national fertility subsidy covers a wider range, with a total subsidy of 10,800 CNY per newborn over three years, compared to a median of 6,600 CNY and an average of 8,700 CNY for local subsidies[3][16] - The first-year budget for the national fertility subsidy is approximately 100 billion CNY, expected to promote the birth of about 330,000 newborns[4][16] - The short-term leverage effect of the subsidy is estimated at 0.9 times, potentially increasing to about 1.4 times in the medium to long term, with a GDP increase of 926 billion CNY in 2025[4][19] Group 2: Manufacturing Sector - The manufacturing PMI for July is reported at 49.3%, down 0.4 percentage points from the previous month, indicating a decline in manufacturing activity[5][13] - The production PMI decreased by 0.5 percentage points to 50.5%, while new orders, new export orders, and imports fell to 49.4%, 47.1%, and 44.7% respectively[5][22] - The "anti-involution" trend is expected to boost commodity prices, with July PPI projected to improve slightly to -3.0% year-on-year[5][29] Group 3: Non-Manufacturing Sector - The construction PMI fell by 2.2 percentage points to 50.6%, indicating a potential continuation of the slowdown in infrastructure investment[6][35] - The service sector remains relatively stable, with a service PMI of 50.0%, down 0.1 percentage points, and new orders declining to 46.3%[6][42] - Infrastructure investment may be affected by high base effects in Q3 and Q4, requiring policy measures to mitigate the impact[6][35] Group 4: Risks and Economic Outlook - Risks include unexpected policy changes and a potential recession in the U.S. economy[7][45] - The overall economic impact of the fertility subsidy includes direct boosts to consumer spending and indirect effects on child-rearing and housing demand[4][18]