Export Data Summary - In May, China's exports amounted to $316.1 billion, with a year-on-year growth rate of 4.8%, down from 8.1% in the previous month[1] - Imports totaled $212.9 billion, showing a decline of 3.4%, compared to a previous decline of 0.2%[1] - The trade surplus reached $103.2 billion, an increase from $96.18 billion in the previous month[1] Trade Dynamics - Tariff fluctuations have disrupted global trade, contributing to the decline in export growth[1] - The "grab export" effect has provided some resilience, with container throughput increasing by 1.4% month-on-month and 6.5% year-on-year in May[1] - Exports to the U.S. saw a significant drop of 34.5% year-on-year, while exports to the EU increased by 12%[1][12] Sector Performance - Integrated circuits and automotive exports showed strong growth, with integrated circuits up 33.4% and automotive exports including chassis up 13.7%[3][19] - Labor-intensive product exports declined, with a notable drop in mobile phone exports by 23.2%[3][19] Future Outlook - The overall export growth for 2025 is projected to be around 1.5%, influenced by tariff impacts and global trade fragmentation[24] - Continued demand for Chinese products in ASEAN and EU markets is expected to support export resilience[25]

Group 1: CPI Analysis - In May, the CPI decreased by 0.2% month-on-month, compared to a previous increase of 0.1%[1] - Year-on-year, the CPI fell by 0.1%, slightly better than the previous value of -0.1%[1] - Core CPI remained flat month-on-month, with a year-on-year increase of 0.6%, up by 0.1 percentage points from the previous month[1] Group 2: PPI Trends - The PPI decreased by 0.4% month-on-month and by 3.3% year-on-year, widening from a previous decline of 2.7%[2] - Energy prices, particularly crude oil, significantly impacted the PPI, with oil extraction prices down by 5.6% and refined oil product prices down by 3.5%[3] - The manufacturing sector's capacity utilization rate was 74.1%, indicating weak demand and limited PPI improvement potential[2] Group 3: Food and Non-Food Prices - Food prices fell by 0.2% month-on-month, with fresh vegetables and pork prices decreasing by 5.9% and 0.7%, respectively[6] - Non-food prices also decreased by 0.2%, influenced by a 3.8% drop in gasoline prices[7] - Hotel accommodation and travel prices rose by 4.6% and 0.8%, respectively, with hotel prices reaching a ten-year high for this period[6] Group 4: Market Outlook - The overall supply of pork is expected to remain sufficient in June, with demand still in a seasonal lull[10] - The global grain production forecast for 2025/2026 is expected to reach a record high, stabilizing food prices[27] - Consumer confidence remains cautious, impacting spending and limiting core CPI recovery potential[25]

Group 1: Macro Insights - The U.S. Senate passed the GENIUS Act on May 19, 2025, officially incorporating USD stablecoins into the "digital dollar" system, marking a significant milestone for cryptocurrencies and indicating a potential explosive growth for stablecoins in the future [2][3] - The introduction of stablecoin legislation in the U.S. is seen as a victory for technological innovation, with implications for the digital economy and Web3, as it aims to modernize the U.S. payment and financial systems [2][3] Group 2: Pharmaceutical Industry - The 2025 ASCO annual meeting showcased a record number of Chinese innovative drugs, with 74 abstracts accepted, including 34 oral presentations, indicating a strong performance in the oncology sector [25][26] - The pharmaceutical sector has experienced a prolonged adjustment period, with overall valuations at low levels, and public fund holdings being underweight, suggesting a potential for sustained recovery and structural opportunities in the innovative drug sector [28] Group 3: Communication Industry - The commercial rollout of hollow-core fiber optics is expected to accelerate, driven by cost reductions and confirmed demand, with significant procurement projects announced by China Telecom [34][38] - Hollow-core fiber optics can potentially overcome two major physical limits in traditional solid-core fibers, significantly enhancing transmission capacity and reducing latency, which opens up vast application prospects in various high-demand scenarios [36][37] Group 4: Company-Specific Insights - Stone Technology (688169) is planning to issue H-shares and list on the Hong Kong Stock Exchange, which is expected to enhance its international business development and attract more attention from overseas investors [40][41] - The company is currently focusing on expanding its market share in the cleaning appliance sector, particularly in the vacuum cleaner and floor scrubber markets, despite concerns over the sustainability of government subsidy policies [43]

核心观点: 分析师 杨超 策略研究 · 周度报告 中美贸易关系缓和,港股三大指数集体回暖 2025年06月08日 ☎：010-8092-7696 网: yangchao_yj@chinastock.com.cn 分析师登记编码：S0130522030004 研究助理:周美丽 相关研究 2025-05-29，上市公司并购重组迎来哪些新变化? 2025-05-07, 关键时间节点的发布会：一揽子金融政策 稳市场稳预期 2025-04-25, 4 月中央政治局会议解读："持续稳定和 活跃资本市场"聚焦哪些方面? 2025-04-23，公募基金一季度持仓释放哪些信号? 2025-04-08, 汇金入市,坚定看多 2025-04-03, 港股 2025 年二季度投资展望: 从估值修 复到盈利兑现 2025-04-02, 2025 年二季度 A 股投资展望: 风格切换, 均衡配置 2025-03-23，港股市场 2025 年以来行情拆解 2025-02-21, 南向资金与国际资金结构同频还是分歧? 2025-02-13，地方两会对 A 股投资结构有哪些启示? 2025-02-04，春节假期热点跟踪：海外市场多变局，国 内 ...

Domestic Macro - Demand Side - As of June 6, 2025, subway passenger volume growth is 1.39% year-on-year, but down 3.67% month-on-month[1] - Retail sales of passenger cars in May reached 1.93 million units, a 13% increase year-on-year and a 10% increase month-on-month[1] - During the Dragon Boat Festival, the number of travelers increased by 26.6% compared to 2019, while travel income grew by 8.6%[1] Domestic Macro - Supply Side - As of early June, the operating rate of blast furnaces decreased by 0.6 percentage points to 83.54%[1] - The operating rate of rebar production fell to 41.95%, a month-on-month decrease of 0.35 percentage points[2] - The operating rate of pure alkali production increased by 2.19 percentage points to 80.76%[1] Price Performance - As of June 6, 2025, the average wholesale price of pork fell by 0.72% week-on-week, while the average price of 28 monitored vegetables rose by 0.52%[1] - WTI and Brent crude oil prices increased by 1.6% and 3.53% respectively during the week[3] - The PPI showed a mixed trend, with copper prices rising by 3.97% while aluminum prices fell by 0.51%[1] Fiscal and Investment - A total of 176 billion yuan in special government bonds were issued this week, bringing the cumulative issuance to 934 billion yuan[2] - The issuance progress of local special bonds (including debt relief) reached 49.4% as of June 7, 2025[2] - The investment in infrastructure is expected to rise as cement shipment rates and asphalt operating rates recover[2] Economic Data - The US economy is showing signs of slow down, with the ISM manufacturing PMI at 48.5 and non-manufacturing PMI at 49.9 for May[3] - Non-farm employment in the US increased by 139,000 in May, with the unemployment rate slightly rising to 4.24%[3] - The Eurozone's May CPI growth rate decreased to 1.9%, indicating marginal economic improvement[3]

Investment Rating - The report suggests a positive outlook for the pharmaceutical sector, indicating that the industry is expected to experience a sustained recovery and structural opportunities remain available [5][41]. Core Insights - The 2025 ASCO conference highlighted a record number of domestic new drug entries, with 74 abstracts accepted, including 34 oral presentations and 32 rapid oral presentations, marking a significant increase from 55 entries in 2024 [7][11]. - Several domestic innovative drugs demonstrated promising clinical data, particularly in oncology, with notable advancements in treatments for advanced non-small cell lung cancer, colorectal cancer, and pancreatic cancer [11][12][15]. - The pharmaceutical industry has underperformed compared to the CSI 300 index, with a rolling P/E ratio of 34.47 compared to 12.56 for the CSI 300, indicating a premium of 174.35% over the index [20][41]. Monthly Policy and Industry Updates - The ASCO 2025 conference showcased a record number of domestic new drugs, with significant clinical data released that attracted market attention [7][11]. - Multiple domestic new drugs reported impressive data, particularly in the field of cancer treatment, indicating breakthroughs in various therapies [11][12][15]. Industry Data Dynamics - The pharmaceutical sector has shown weaker performance compared to the CSI 300 index, with a decline of 14.00% in the SW pharmaceutical and biological index from early 2023 to June 5, 2025, while the CSI 300 index increased by 0.15% [20]. - The revenue growth of the pharmaceutical manufacturing industry has slowed due to the pandemic's impact, but it continues to grow faster than GDP [23]. - Outpatient expenses have risen due to the pandemic, while inpatient costs have been effectively controlled, reflecting the impact of healthcare reforms [26]. Investment Recommendations - The report emphasizes the potential for growth in the pharmaceutical sector, particularly in innovative drugs and their supply chains, as well as in medical devices and third-party medical testing [41][42]. - Specific companies to watch include innovative drug manufacturers and those involved in medical device exports, as well as companies benefiting from ongoing healthcare reforms [41][42][43].

Quantitative Models and Factor Construction Quantitative Models and Construction Methods - **Model Name**: State-Owned Enterprise (SOE) Fundamental Factor Stock Selection Strategy **Model Construction Idea**: This model selects stocks from a pool of SOEs based on fundamental factors, emphasizing dividend characteristics and industry-specific metrics to evaluate profitability, operational efficiency, and solvency [3][5][6] **Model Construction Process**: 1. Define the SOE sample pool using the CSI SOE Index constituents and SOEs listed on the Beijing Stock Exchange for over six months [3] 2. Classify industries into two categories: dividend-oriented (e.g., resources, utilities, real estate) and growth-oriented (e.g., advanced manufacturing, software services) [3][4] 3. Select general factors such as ROE (TTM), operating cash ratio, asset-liability ratio, and dividend yield, alongside industry-specific factors like ROIC, inventory turnover, and R&D intensity [5][6][7] 4. Assign weights to factors, emphasizing dividend yield for all industries and adjusting weights for growth-oriented industries (e.g., lower weight for asset-liability ratio) [9] 5. Calculate scores for each stock based on weighted averages of general and industry-specific factors, normalize the scores, and rank stocks [10] 6. Allocate weights to the top 50 stocks using the formula: $$ w_{i} = \frac{score_{i}^3}{\sum_{i=1}^{N} score_{i}^3} $$ where \( score_{i} \) represents the normalized score of stock \( i \) [10] - **Model Evaluation**: The model effectively captures the dividend and growth characteristics of SOEs, providing a balanced approach to stock selection [3][5] - **Model Name**: Technology Theme Fundamental Factor Stock Selection Strategy **Model Construction Idea**: This model identifies technology stocks with high R&D intensity and strong fundamental performance, focusing on profitability, growth, and operational efficiency [17][18][21] **Model Construction Process**: 1. Define the technology stock pool based on industry classification (e.g., electronics, communication, computing) and R&D intensity (e.g., R&D expenses > 5% of revenue or R&D personnel > 10% of total employees) [17][18][19] 2. Exclude stocks in the "shakeout" and "decline" lifecycle stages, focusing on "introduction," "growth," and "maturity" stages [20][21] 3. Select fundamental factors, including general factors (e.g., gross margin growth, net profit growth) and unique factors (e.g., R&D expense ratio, PB-ROE) [22][23] 4. Calculate scores for each stock using the formula: $$ \hat{\mathbb{E}}_{i}^{s} = \frac{1}{5} Mean(S_{i}) + \frac{Mean(S_{i})}{Std(S_{i})} $$ where \( S_{i} \) represents the scores of eight factors for stock \( i \) [23][24] 5. Adjust scores using an R&D multiplier: $$ R&D \, Multiplier = 0.9 + 0.2 \times Normalization \left( \frac{Mean_{industry}(R&D/MarketCap)}{Mean_{A\_stock}(R&D/MarketCap)} \right) $$ Adjusted scores are then used to rank stocks [25][26] 6. Allocate weights to the top 50 stocks using the formula: $$ weight_{i} = \frac{score_{i}}{\sum_{i=1}^{50} score_{i}} $$ [27] - **Model Evaluation**: The model emphasizes R&D intensity and lifecycle stages, effectively identifying high-potential technology stocks [17][21] --- Model Backtest Results - **SOE Fundamental Factor Stock Selection Strategy**: - Annualized Return: 23.09% - Annualized Volatility: 21.77% - Sharpe Ratio: 1.0648 - Calmar Ratio: 0.9799 - Maximum Drawdown: -23.56% - Excess Return (vs. CSI SOE Index): 21.01% - Excess Sharpe Ratio: 1.7000 - Excess Calmar Ratio: 1.5867 - Excess Maximum Drawdown: -13.24% [11][12] - **Technology Theme Fundamental Factor Stock Selection Strategy**: - Annualized Return: 25.25% - Annualized Volatility: 28.22% - Sharpe Ratio: 0.9404 - Calmar Ratio: 0.7476 - Maximum Drawdown: -33.78% - Excess Return (vs. Technology Stock Pool): 10.62% - Excess Sharpe Ratio: 1.4755 - Excess Calmar Ratio: 1.2638 - Excess Maximum Drawdown: -8.40% [29][30] --- Quantitative Factors and Construction Methods - **Factor Name**: SOE General Factors **Factor Construction Idea**: Evaluate SOE performance using profitability, efficiency, and solvency metrics [5][6] **Factor Construction Process**: - Dividend Yield (TTM): Reflects SOE dividend stability - ROE (TTM): Measures profitability - Operating Cash Ratio: Indicates sales quality - Asset-Liability Ratio: Reflects financial stability - Labor Productivity: Measures operational efficiency [6] - **Factor Name**: Technology General and Unique Factors **Factor Construction Idea**: Assess technology stocks based on profitability, growth, R&D intensity, and supply chain metrics [22][23] **Factor Construction Process**: - Gross Margin Growth: Reflects profitability - Net Profit Growth: Indicates growth potential - R&D Expense Ratio: Measures R&D intensity - PB-ROE: Combines valuation and profitability - Supply Chain Metrics: Evaluate upstream and downstream risks [22][23] --- Factor Backtest Results - **SOE General Factors**: Incorporated into the SOE Fundamental Factor Stock Selection Strategy, contributing to its annualized return of 23.09% and Sharpe Ratio of 1.0648 [11][12] - **Technology General and Unique Factors**: Incorporated into the Technology Theme Fundamental Factor Stock Selection Strategy, contributing to its annualized return of 25.25% and Sharpe Ratio of 0.9404 [29][30]

金融工程 · 专题报告 | 《多因子系列：因子投资手册（一）》 | | --- | | 《多因子系列：因子投资手册（二）》 | | 《多因子系列：因子投资手册（三）》 | | 《多因子系列：因子投资手册（四）》 | | 《多因子系列：因子投资手册（五）》 | F券 CGS 财务基本面解析(一) 财务报表重构-资产负债表 核心观点 分析师 吴俊鹏 ☎： 010-8092-7631 网：wujunpeng@chinastock.com.cn 分析师登记编码：S0130517090001 www.chinastock.com.cn 证券研究报告 相关研究 金融工程 · 专题报告 正券|CGS 中国银河证券|CGS 目录 Catalog | 一、财务报表重构研究 … | | --- | | 二、财务报表重构框架 | | （一）财务报表格式变更 | | (二) 新金融准则和新收入准则 … | | (三) 财务报表处理. | | 三、重构报表因子 … | | （一）资产类因子 | | （二）负债类因子 ……………………………………………………………………………………………………………………………………………………………… ...

Investment Rating - The report suggests a positive outlook for the pharmaceutical sector, indicating that the industry is expected to experience a sustained recovery and structural opportunities remain available [5][41]. Core Insights - The 2025 ASCO conference highlighted a record number of domestic new drug entries, with 74 abstracts accepted, including 34 oral presentations and 32 rapid oral presentations, marking a significant increase from 55 entries in 2024 [7][11]. - Several domestic innovative drugs demonstrated promising clinical data, particularly in oncology, with notable advancements in treatments for advanced non-small cell lung cancer, colorectal cancer, and pancreatic cancer [11][12][15]. - The pharmaceutical industry has underperformed compared to the CSI 300 index, with a rolling P/E ratio of 34.47 compared to 12.56 for the CSI 300, indicating a premium of 174.35% over the index [20][41]. Monthly Policy and Industry Updates - The ASCO 2025 conference showcased a record number of domestic new drugs, with significant clinical data released that attracted market attention [7][11]. - Multiple domestic drugs reported impressive results, particularly in cancer treatment, with specific drugs showing superior efficacy compared to existing therapies [11][12][15]. Industry Data Dynamics - The pharmaceutical sector has shown weaker performance compared to the CSI 300 index, with a decline of 14.00% in the SW pharmaceutical and biological index from early 2023 to June 5, 2025, while the CSI 300 index increased by 0.15% [20]. - The revenue growth of the pharmaceutical manufacturing industry has slowed due to the pandemic's impact, but it continues to grow faster than GDP [23]. - Outpatient expenses have risen due to the pandemic, while inpatient costs have been effectively controlled [26]. Investment Recommendations - The report emphasizes the potential for growth in the pharmaceutical sector, particularly in innovative drugs and their supply chains, as well as in medical devices and third-party medical testing [41][42]. - Specific companies are highlighted for their strong positions in the market, including those involved in innovative drug development and medical device manufacturing [41][42][43].

Investment Rating - The report maintains a "Buy" recommendation for the building materials industry [1] Core Viewpoints - The building materials industry is expected to recover in 2025, driven by government policies and market demand [7][58] - The cement market is currently facing weak demand and declining prices, but a recovery is anticipated in the second half of the year [15][18] - The retail market for consumer building materials is showing signs of recovery, with increased sales expected due to policy support [44] - The glass fiber sector is experiencing price declines in raw yarn but stable prices in electronic yarn, with a focus on high-end products [48][49] Summary by Sections 1. Industry Outlook - The building materials industry plays a crucial role in supporting various sectors, including infrastructure and defense [7] - The "14th Five-Year Plan" emphasizes green and low-carbon development, with significant goals set for 2025 [8][10] - The building materials industry index rose to 102.8 in May, indicating a recovery trend [11] 2. Market Demand and Price Trends - Cement demand has declined in May due to weak real estate activity, with prices expected to continue falling until August [15][18] - The float glass market is under pressure with declining prices and high inventory levels, indicating weak demand [31][33] - Consumer building materials retail sales increased by 2.3% year-on-year in the first four months of 2025, with a significant jump in April [38][44] 3. Policy Impact - Government policies are expected to boost the valuation recovery of the building materials sector, with a focus on infrastructure investment [52][58] - The building materials sector's valuation is currently at a historical low, suggesting potential for growth [58] 4. Financial Performance - In 2024, the building materials sector faced significant profit declines, but Q1 2025 showed a notable recovery in profits [66][67] - The overall revenue for the sector in Q1 2025 was 1355.98 billion, with a year-on-year decline of 2.39% but a significant profit recovery [67]