[T[able Table_IndNameRptType] _IndNameRptType] 2 固定收益 固收周报 [分析师： Table_Author] 胡倩倩 执业证书号：S0010524050004 电话：13391388385 邮箱：huqianqian@hazq.com 主要观点： ⚫[Table_Summary] 近期权益市场波动率呈何种走势？ 近期市场波动率有所下降，整体波动率较低。上证 50 与沪深 300 近一个月波 动率均有所下降。A 股整体盘面波动率呈明显周期性特征，不同时间维度的表 现差异显著。市场长期波动率普遍高于短期波动率，近期有小幅度的下降，至 今处于历史低位。 同时小盘、中盘、大盘股的波动率分布类似，但波动率大小呈现显著分化，小 盘股波动率显著高于大盘股。大盘股整体波动率最低，中盘股其次，小盘股整 体波动率最高。此外，不同行业的波动率和行情表现呈现显著分化，高波动率 行业与低波动率行业之间差异显著，以稳健性为代表的银行行业与高风险的 计算机行业波动率差异高达 4.6%。 ⚫ 2023 年至今，可转债市场波动率如何变化？ 波动率下行趋势下，转债市场如何分化？ [Table_In ...

[Table_IndNameRptType]2 固定收益 固收周报 今年个券博弈的五个新规律 ——利率周记（6 月第 3 周） 报告日期： 2025-06-17 [Table_Author] 首席分析师：颜子琦 执业证书号：S0010522030002 电话：13127532070 邮箱：yanzq@hazq.com [Table_Author] 研究助理：洪子彦 执业证书号：S0010123060036 电话：15851599909 邮箱：hongziyan@hazq.com 主要观点： 敬请参阅末页重要声明及评级说明 证券研究报告 [Table_Report] [Table_CompanyRptType] 固收周报 ⚫[Table_Summary] 债市震荡+重交易，关注个券利差变化的三个新特征 今年以来，债市更加重交易。在十年国债 1.65%的背景下，资本利得占综合收 益比例较往年明显增加，债市交易的重要性提升。 在当前震荡市环境下，寻找个券的利差机会被投资者愈加重视。在以往的趋 势性行情中，同一期限段的活跃券、次活跃券以及次次活跃券收益率走势通常 整体大幅变动，其相对利差的变化影响较小，趋势性行情下博 ...

1. Report Industry Investment Rating No information regarding the report industry investment rating is provided. 2. Core Views of the Report - **Hua'an's View**: The bond market is favorable, but the odds of further decline in interest rates are limited. It is still advisable to adopt a trading mindset. The current market sentiment is rising, with investors both bullish and taking action. The fundamental factors still support the bond market, but the potential for interest rate decline is limited. Given the historical performance of the bond market in June, it is recommended to approach it with a trading perspective [2]. - **Seller's View**: More than half of the fixed - income sellers are bullish on the bond market, with a significant increase in sentiment this week [3]. - **Buyer's View**: The buyer sentiment is relatively cautious, with nearly 60% holding a neutral view. Overall, the fixed - income buyer's view is neutral with a slight bullish bias [3]. 3. Summary by Relevant Catalogs 3.1 Seller and Buyer Markets 3.1.1 Seller Market Sentiment Index and Interest - rate Bonds - The weighted sentiment index this week is 0.43, indicating a predominantly bullish view, up from last week. The unweighted index is 0.54, an increase of 0.12 from last week. Among the institutions, 16 are bullish, 12 are neutral, and 1 are bearish. 55% of the institutions are bullish, 41% are neutral, and 3% are bearish [10]. 3.1.2 Buyer Market Sentiment Index and Interest - rate Bonds - This week's buyer sentiment index is 0.23, showing a neutral - with - a - slight - bullish view, down 0.12 from last week. Among the institutions, 10 are bullish, 16 are neutral, and 1 is bearish. 37% of the institutions are bullish, 59% are neutral, and 4% are bearish [11]. 3.1.3 Credit Bonds - Market hot topics include quarter - end wealth management repatriation and central bank monetary policy. Quarter - end wealth management repatriation poses resistance to credit spread compression and disturbs the credit market in the short term. Monetary policy easing may drive interest rate changes, but the room for further spread compression is limited [16]. 3.1.4 Convertible Bonds - This week, institutions generally hold a neutral - with - a - slight - bullish view. One institution is bullish and 11 are neutral. 8% of the institutions are bullish, and 92% are neutral [17]. 3.2 Treasury Bond Futures Tracking 3.2.1 Futures Trading - As of June 13, the prices of TS/TF/T/TL contracts increased. The contract prices were 102.46 yuan, 106.18 yuan, 109.02 yuan, and 120.5 yuan respectively, up 0.01 yuan, 0.03 yuan, 0.09 yuan, and 0.72 yuan from last Friday. The contract holdings increased, while the trading volumes and trading - to - holding ratios decreased [19][20]. 3.2.2 Spot Bond Trading - On June 13, the turnover rate of 30Y treasury bonds was 3.62%, up 0.06 pct from last week and 0.10 pct from Monday, with a weekly average of 4.33%. The turnover rate of 10Y China Development Bank bonds was 5.90%, up 0.04 pct from last week. The weekly average turnover rate of interest - rate bonds decreased to 0.92% on June 13, down 0.07 pct from last week [31]. 3.2.3 Basis Trading - As of June 13, except for the TF contract, the basis of other contracts narrowed. The net basis of the TS contract narrowed, while that of others widened. The IRR of the TS contract decreased, while that of others increased [36][39]. 3.2.4 Spread Trading - As of June 13, except for the TL contract, the inter - delivery spread of other contracts narrowed. The inter - variety spreads of all main contracts widened [45].

Investment Rating - Industry Rating: Overweight [1] Core Views - The recent public tender for 4,354.33 MW wind turbine units by the National Energy Group indicates a steady advancement in offshore wind projects, with a focus on tower and pile segments [3] - The SNEC exhibition showcased a surge in new energy storage products, with Guangdong's 2025 energy storage construction plan expected to grow over 140% year-on-year [3] - The hydrogen energy sector is experiencing positive development, with an accelerated establishment of a supporting system for the industry [3] - The State Grid has emphasized enhancing power supply security ahead of the summer peak, with new emergency dispatch management proposals being discussed [3] - The electric vehicle sector is facing challenges as multiple regions suspend local vehicle replacement subsidy policies, suggesting a continued focus on high-profit companies [3] - The humanoid robot sector is gaining traction, with significant developments from key players like Tesla and Ideal, indicating a promising future for AI applications [3] Summary by Sections 1.1 Photovoltaics - June production of silicon wafers, battery cells, and modules is expected to decline, indicating short-term demand weakness [10] - The photovoltaic sector underperformed the market, with a decrease of 0.98% [10] 1.2 Wind Power - The National Energy Group announced a public tender for 4.4 GW of wind turbines, signaling a positive shift in offshore wind fundamentals [18][19] 1.3 Energy Storage - The SNEC exhibition highlighted numerous new energy storage products, with Guangdong's 2025 energy storage plan projected to exceed 41.8 GW/84.6 GWh, a 147.6% increase from 2024 [22][25] 1.4 Hydrogen Energy - The hydrogen energy industry is developing well, with a focus on the entire supply chain from production to application [27] - Significant investments are being made in hydrogen projects, such as the 346 million yuan investment in a wind-solar hydrogen methanol project [28] 1.5 Power Grid Equipment - The State Grid is enhancing power supply security measures ahead of the summer peak, with new emergency dispatch management proposals being discussed [32][34] 1.6 Electric Vehicles - Multiple regions have suspended local vehicle replacement subsidy policies, prompting a recommendation to focus on high-profit companies [35] 1.7 Humanoid Robots - The humanoid robot sector is entering a small-scale production phase, with significant investments and developments from leading companies [40][42]

Report Overview - Report Title: "Fixed Income Weekly: Bond Market Investors Shift from Bullish Sentiment to Active Buying - Weekly Report on Bond Market Institutional Behavior (Week 3 of June)" [1] - Report Date: June 15, 2025 [2] - Chief Analyst: Yan Ziqi [3] - Research Assistant: Hong Ziyan [4] Industry Investment Rating - Not provided in the report. Core Views - The bond market is experiencing a bullish and active buying trend due to three marginal changes: optimistic market sentiment, increased long - term positions and leverage by institutions, and favorable fundamental data. However, there are also three points to note, including low return odds, risks associated with extending duration, and the need to monitor signals of loose monetary policy [6]. Summary by Directory 1. This Week's Institutional Behavior Review - **Three Marginal Changes in the Bond Market** - Bond market sentiment is approaching the most optimistic level of the year [14]. - Institutions are not only bullish but also actively buying. Near the end of the half - year, the duration of medium - and long - term bond funds has increased, and funds are buying long - term bonds and increasing their purchases of medium - term notes [14]. - The overall leverage ratio of the bond market is rising and has exceeded last year's level. The liquidity in June is not tight, which has spurred institutions to increase leverage [6]. - **Three Points to Note** - In the environment of extending duration and increasing leverage, the return odds are low. The current yield curve is extremely flat, and the space for long - term bonds to reach historical lows is small [6]. - Extending duration presents both opportunities and risks. Although it is a way for institutions to seek higher returns, historical data shows that the bond market in June is often volatile [7]. - Large banks' preference for short - term bonds has become a trend. Attention should be paid to subsequent signals of loose monetary policy [16]. 1.1 Yield Curve - **Treasury Bonds**: Yields generally declined. The 1Y, 3Y, 5Y, 7Y, 10Y yields declined by 1bp, and the 15Y and 30Y yields declined by 3bp. The 1Y yield dropped to the 8% quantile, while 3Y, 5Y, 7Y, 10Y, 15Y, and 30Y dropped to the 2% quantile [17]. - **China Development Bank Bonds**: Short - term yields rose slightly, while long - term yields declined. The 15Y yield declined by 3bp, and the 30Y yield declined by 4bp. The 1Y, 3Y, 5Y, 7Y, and 10Y yields were at different quantiles [18]. 1.2 Term Spreads - **Treasury Bonds**: The spreads showed a divergent trend, with short - term spreads widening and long - term spreads narrowing. The 1Y - DR001 spread increased by 1bp, and the 1Y - DR007 spread's inversion deepened by about 1bp [19]. - **China Development Bank Bonds**: The spread inversion eased, and long - term spreads narrowed. The 1Y - DR007 spread's inversion eased by 3bp [20]. 2. Bond Market Leverage and Liquidity - **Leverage Ratio**: It rose to 107.51%. From June 9 to June 13, 2025, the leverage ratio fluctuated upward. As of June 13, it increased by 0.37 percentage points compared to last Friday [23]. - **Average Daily Turnover of Pledged Repurchase**: The average daily turnover this week was 7.9 trillion yuan, with an average overnight proportion of 89.39%. The average daily turnover increased compared to last week [30]. - **Liquidity**: Bank lending showed a fluctuating upward trend. DR007 fluctuated downward, while R007 fluctuated upward [35]. 3. Duration of Medium - and Long - Term Bond Funds - **Median Duration**: It rose to 2.78 years (ex - leverage) and 2.96 years (including leverage). As of June 13, the ex - leverage median duration increased by 0.02 years compared to last Friday [45]. - **Duration by Bond Fund Type**: The median duration of interest - rate bond funds (including leverage) remained at 3.67 years, while the median duration of credit bond funds (including leverage) rose to 2.73 years [48]. 4. Comparison of Generic Strategies - **Sino - US Yield Spread**: The overall inversion has eased. The inversion of 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, and 30Y has decreased by 4bp, 7bp, 11bp, 11bp, 10bp, 9bp, and 4bp respectively [52]. - **Implied Tax Rate**: It has generally widened. The spreads between China Development Bank bonds and treasury bonds for 1Y, 3Y, 5Y, 7Y, and 10Y have widened, while the 15Y spread changed slightly and the 30Y spread narrowed [53]. 5. Changes in Bond Lending Balances - On June 13, the lending concentration of active 10Y treasury bonds, the second - most active 10Y China Development Bank bonds, active 10Y China Development Bank bonds, and active 30Y treasury bonds showed an upward trend, while the concentration of the second - most active 10Y treasury bonds declined. All institutions showed an upward trend [58].

Investment Rating - The industry investment rating is "Overweight" [1] Core Viewpoints - The report tracks the changes in operating income, net profit margin, and capital expenditure for the automotive parts sector in 2024A and Q1 2025, indicating that precision parts, chassis components, and electronic components show relatively good growth and capital expenditure intensity [4][10] - The report emphasizes the importance of capital expenditure for manufacturing enterprises to maintain operational capabilities, suggesting that capital expenditure is a precursor to future output and can help identify investment opportunities in sectors with high growth potential [4][10] Summary by Sections 1. Growth Potential - In 2024A, the operating income growth rates are as follows: electronic components (-), chassis components (+), body components (-), exterior components (-), overall industry (+), precision parts (+), powertrain components (+), interior components (+), and molds (-) [10][13] - The net profit margin for 2024 is 5.2%, a decrease of 0.6 percentage points compared to the previous year, while Q1 2025 shows a net profit margin of 5.8%, an increase of 0.6 percentage points [15][19] - The report categorizes the growth potential into four tiers based on operating income growth and net profit margin changes, with precision parts and chassis components performing well [10][11][15] 2. Capital Expenditure Intensity - The capital expenditure as a percentage of operating income for the automotive parts sector in 2024 is 6.9%, which is an increase compared to the previous year, while Q1 2025 shows a decrease to 6.4% [22] - The report identifies different tiers of capital expenditure intensity across various segments, with electronic components and molds showing high capital expenditure intensity [22] 3. Investment Recommendations - The report suggests focusing on sectors with high capital expenditure and growth potential, particularly precision parts (gears, bearings), chassis components (steering systems, suspension), electronic components, and thermal management systems [4][10] - Recommended companies include Shuanglin Co., Guansheng Co., Jifeng Co., and Huayang Group, with additional mentions of Zhejiang Shibao, Zhongding Co., Meili Technology, and others [4][10]

Quantitative Models and Construction Methods 1. Model Name: Optimal Factor Timing Portfolio - **Model Construction Idea**: The model integrates numerous factors and predictors to construct a timing strategy, leveraging shrinkage techniques to avoid overfitting to historical data and spurious opportunities[2][3][17] - **Model Construction Process**: 1. Use the Ledoit and Wolf (2003) covariance matrix shrinkage estimator to ensure robustness even with thousands of timing portfolios. The shrinkage intensity is calculated following Schäfer and Strimmer (2005)[3][25] 2. Apply a modified version of Kozak, Nagel, and Santosh (2020) shrinkage method to estimate portfolio weights, introducing skepticism toward unrealistically high Sharpe ratio opportunities. The weight formula is: $$ \hat{W}_{t}=\left(\hat{\Sigma}_{t}+\hat{\overline{t}}_{t}\left[\begin{array}{cc}0&0\\ 0&\hat{D}_{t}\end{array}\right]\right)^{-1}\hat{\mu}_{t} $$ where $\hat{\Sigma}_{t}$ is the covariance matrix, $\hat{\mu}_{t}$ is the mean return vector, and $\lambda$ controls the shrinkage degree[27][28][29] 3. Rescale portfolio weights to ensure the absolute sum of weights equals 1 in each period, focusing on factor rotation while avoiding extreme leverage[3][30] - **Model Evaluation**: The shrinkage techniques effectively mitigate estimation errors and prevent overfitting, ensuring robust out-of-sample performance even in high-dimensional settings[3][30][80] --- Model Backtesting Results 1. Optimal Factor Timing Portfolio (Fama-French Factors) - **Mean Return**: 4.71% - **Standard Deviation**: 5.81% - **Sharpe Ratio**: 0.81 - **Appraisal Ratio**: 0.79 - **Worst 12-Month Return**: -5.62%[40][41] 2. Optimal Factor Timing Portfolio (Large-Cap Fama-French Factors) - **Mean Return**: 3.65% - **Standard Deviation**: 6.49% - **Sharpe Ratio**: 0.56 - **Appraisal Ratio**: 0.54 - **Worst 12-Month Return**: -13.70%[40][41] 3. Optimal Factor Timing Portfolio (Jensen Factors, Small Predictor Set) - **Mean Return**: 2.97% - **Standard Deviation**: 2.01% - **Sharpe Ratio**: 1.48 - **Appraisal Ratio**: 1.51 - **Worst 12-Month Return**: -1.79%[40][41] 4. Optimal Factor Timing Portfolio (Jensen Factors, Large Predictor Set) - **Mean Return**: 2.73% - **Standard Deviation**: 1.91% - **Sharpe Ratio**: 1.43 - **Appraisal Ratio**: 1.46 - **Worst 12-Month Return**: -3.17%[40][41] --- Quantitative Factors and Construction Methods 1. Factor Name: Interaction of Factors and Predictors - **Factor Construction Idea**: Factor timing portfolios are constructed by interacting lagged predictors with factor returns, transforming the time-series prediction problem into a cross-sectional mean-variance optimization problem[17][19][23] - **Factor Construction Process**: 1. Define factor timing portfolios as: $$ G_{t}=X_{t-1}F_{t} $$ where $X_{t-1}$ are lagged predictors and $F_{t}$ are factor returns[19][20] 2. The expected return of the timing portfolio is: $$ E\left[G_{t}\right]=\mathrm{Cov}\left(X_{t-1},F_{t}\right) $$ indicating that timing returns depend on the predictive power of $X_{t-1}$ for $F_{t}$[21][22] 3. Construct $KJ$ timing portfolios for $K$ factors and $J$ predictors, always including the original factors as a baseline[22][23] - **Factor Evaluation**: The interaction approach effectively captures time-varying factor exposures, enabling robust timing strategies across diverse factor-predictor combinations[23][80] --- Factor Backtesting Results 1. Fama-French Factors (Standard Version) - **Mean Return**: 4.71% - **Standard Deviation**: 5.81% - **Sharpe Ratio**: 0.81 - **Appraisal Ratio**: 0.79 - **Worst 12-Month Return**: -5.62%[40][41] 2. Fama-French Factors (Large-Cap Version) - **Mean Return**: 3.65% - **Standard Deviation**: 6.49% - **Sharpe Ratio**: 0.56 - **Appraisal Ratio**: 0.54 - **Worst 12-Month Return**: -13.70%[40][41] 3. Jensen Factors (Small Predictor Set) - **Mean Return**: 2.97% - **Standard Deviation**: 2.01% - **Sharpe Ratio**: 1.48 - **Appraisal Ratio**: 1.51 - **Worst 12-Month Return**: -1.79%[40][41] 4. Jensen Factors (Large Predictor Set) - **Mean Return**: 2.73% - **Standard Deviation**: 1.91% - **Sharpe Ratio**: 1.43 - **Appraisal Ratio**: 1.46 - **Worst 12-Month Return**: -3.17%[40][41]

证券研究报告•深度/专题 影石创新投资探讨 ——25年前瞻专题之影石创新（688775.SH） 2025. 06. 11 华安证券研究所 分析师：邓 欣 S0010524010001 dengxin@hazq.com 分析师：成浅之 S0010524100003 chengqianzhi@hazq.com 联系人：唐楚彦 S0010124070002 tangchuyan@hazq.com 核心要点 影石创新坐拥三重产品壁垒全景优势+软件突出+迭代领先，以强产品力逐步抢占GoPro全球份额，最新销量已超越手持影 像设备昔日龙一GoPro；我们认为：从投资逻辑看，公司未来在产品外延、海外抢占、成本优化三方面皆有成长空间。 定价探讨：我们看好影石创新未来产品拓展空间与全球份额空间，我们测算25-26年公司收入78/101亿元（同比 +40%/+29%），利润13.4/16.5亿元（同比+35%/+23%），参考科技消费可比标的26年平均估值21X，公司当前价格存成 长性溢价空间（远期更存云增值、第二曲线等额外长期空间），关注公司长期价值。同步建议关注产业链标的：弘景光电、 韦尔股份、虹软科技、迅雷等（详见正文）。 ...

Group 1 - The overall situation of "fixed income +" funds shows a structured risk-return layering, with low-wave funds dominated by bonds (equity position <10%), providing stable but limited returns; medium-wave funds balanced between stocks and bonds (equity position 10%-20%), showing moderate volatility and robust performance in bull markets; high-wave funds with aggressive equity exposure (equity position >20%), exhibiting significant return elasticity but high drawdown risks [2][3][6] - The market is concentrated in mixed bond secondary funds, accounting for 45.33% of the total, reflecting investors' preference for a "steady progress" strategy, while bond-mixed funds attract high-risk capital through diversified asset allocation, although they represent a smaller scale [2][3][12] Group 2 - In the bond segment, low, medium, and high-wave "fixed income +" funds exhibit distinct risk-return characteristics: low-wave funds focus on high-rated, short-duration bonds, maintaining low drawdown days (<40 days) across market environments; medium-wave funds adopt a "coupon-focused, duration-adjusted" strategy, with drawdown days (40-80 days) and return volatility reflecting a "middle route" characteristic; high-wave funds employ aggressive duration management and credit downshifting, leading to significant drawdowns during bear markets [3][6][28] - The bond holdings of low-wave funds are primarily high-rated bonds, while medium-wave funds balance between high-rated credit bonds and 3-5 year interest rate bonds, and high-wave funds focus on cyclical and growth sectors, using bonds to control drawdowns while pursuing return elasticity [4][5][20] Group 3 - The stock allocation of low, medium, and high-wave "fixed income +" funds shows significant differences: low-wave funds maintain extremely low stock positions, with convertible bond allocations generally below 3%, focusing on high-rated credit bonds for stable coupon income; medium-wave funds allocate 10%-20% to stocks and convertible bonds, targeting stable sectors for excess returns; high-wave funds allow 20%-25% equity exposure, focusing on cyclical and growth sectors [4][5][6] - The performance of these funds during bull and bear markets reveals a clear differentiation in stock allocation strategies, with low-wave funds emphasizing stability, medium-wave funds focusing on dynamic balance, and high-wave funds pursuing return elasticity [6][20] Group 4 - The risk-return characteristics of the three types of funds vary significantly, with low-wave funds showing the least volatility and drawdown, medium-wave funds maintaining a balanced approach, and high-wave funds experiencing the highest volatility and drawdown during bear markets [6][22][23] - The analysis of bond holdings and duration strategies indicates that low-wave funds maintain a conservative duration profile, medium-wave funds adjust duration based on market conditions, and high-wave funds exhibit the most aggressive duration management [28][39][42]

Report Industry Investment Rating - The report maintains a neutral view on 50Y treasury bonds [7] Core View of the Report - In the current volatile market with increasing bullish bond market catalysts, the duration advantage of 50Y treasury bonds can be considered, but due to liquidity factors and changes in demand - side institutional behavior, and limited downward space for interest rates, a neutral view is maintained [7] Summary by Related Content Market Conditions and Opportunities for 50Y Treasury Bonds - Since June, trading opportunities in the bond market have gradually increased. Market reaction to Sino - US negotiations has dulled, May's fundamental data is likely to be favorable for the bond market, large banks have increased short - bond purchases, and the upcoming Lujiazui Forum may bring trading opportunities in the capital market [2] - Compared with other bonds, 50Y treasury bonds have a duration advantage in a bull market. Their supply and liquidity are weaker than 30Y bonds. The balance of treasury bonds with a remaining maturity of 45Y - 50Y is about 50.2 billion yuan, while that of 25Y - 30Y is over 2.2 trillion yuan. The current yield - to - maturity of 50Y treasury bonds is lower than that of 30Y local government bonds [2] - Another trading opportunity for 50Y treasury bonds is the interest rate elasticity after primary issuance. Since 2017, in nearly half of the 50Y treasury bond issuances, the primary issuance rate was higher than the secondary rate, often occurring in volatile or bear markets and related to the behavior of long - term bond - allocating institutions such as insurance companies [3][6] Demand - Side Analysis - Insurance institutions are the main buyers of ultra - long - term bonds. They have steadily increased their allocation of ultra - long - term bonds over the years, while funds may extend their duration at certain times for trading purposes [6] - June is a key time for insurance institutions to potentially increase their allocation of 50Y treasury bonds, but the allocation intensity this year may be lower than in previous years. The reasons include lower premium growth from January to April this year, high government bond issuance since the first quarter leading to more primary - market bond purchases by allocation funds, and insurance institutions' preference for 30Y local government bonds due to their higher coupon rates [6]