金融工程| 证券研究报告 —周报 2024 年 7 月 14 日 机构调研活跃度 长期口径活跃度：当前机构调研活跃度居前的行业为电力及公用事业、 交通运输、消费者服务，机构调研活跃度居后的行业为医药、传媒、食 品饮料。 A 股风格跟踪 风格表现：风格指数普遍上涨；成长较红利占优，小盘较大盘占优，基 金重仓较微盘股占优，反转较动量占优。 中银量化大类资产周报 预期定价基本充分，风险偏好企稳，成长相对 占优 资产概览 A 股行情及成交热度跟踪 估值与股债性价比 资金面跟踪 风格拥挤度与配置性价比： 红利 vs 成长：红利风格拥挤度及超额净值当前仍处于历史高点，本周 拥挤度上升；成长风格拥挤度及超额净值持续处于历史低位。 大盘 vs 小盘：大盘风格当前配置风险较低；大盘拥挤度处于历史较低分 位，小盘风格拥挤度处于历史极低分位，当前配置性价比较高。 微盘股 vs 基金重仓：微盘股拥挤度持续处于历史极高分位，当前配置风 险较高；基金重仓拥挤度近期持续上升，当前配置风险较高。 资金面与动量/反转风格：当前资金总量处于长期下降阶段，反转较动量 长期占优，与经验一致；本周资金总量上升，反转较动量占优，与长期 经验背离；本月资 ...

公司名称 股票代码 股价 讲级 天士力 600535.SH 人民币 12.63 买入 足药集团 600422.SH 人民币 16.89 买入 马应龙 600993.SH 人民币 25.77 买入 寿仙谷 603896.SH 人民币 22.30 增持 资料来源:Wind,中银证券 医药生物 | 证券研究报告 -- 行业深度 2024年7月14日 中药 OTC 行业专题报告 需求与政策共驱,改革与拓展并进,引领高质量新篇章 中药 OTC 行业在政策与市场需求的双轮驱动下，实现稳健增长。中医药政策落 地推动行业发展进程,人口老龄化趋势加剧及公众健康意识提升促进市场需求保 持旺盛。在公司展面,中药企业顺应国全改革浪潮,拓宽销售渠道,在企业具备 较高自主定价权的背景下,有望实现量价齐升。基于此,我们预计未来中药行业 将保持快速增长态势。 支撑评级的要点 中药 OTC 行业稳健增长与消费驱动。凭借深厚的文化底蕴和独特的诊疗体 系,更得益于消费者健康意识的提升及国家政策的持续扶持,中药OTC 销售 额实现稳健增长,满足消费者健康保健和疾病治疗的双重需求。在市场竞争 日益激烈的背景下,中药OTC产品凭借集采免疫和较高定价自主 ...

Loan and Financing Data - In June, new loans amounted to 21,300 billion RMB, a year-on-year decrease of 9,200 billion RMB[3] - Corporate loans contributed 16,300 billion RMB, down 6,503 billion RMB year-on-year, with medium to long-term loans decreasing by 6,223 billion RMB[3] - Household loans increased by 5,709 billion RMB, but this was a decrease of 3,930 billion RMB year-on-year, with medium to long-term loans down 1,428 billion RMB[3] Social Financing and Monetary Supply - The total social financing increment in June was 32,982 billion RMB, a year-on-year decrease of 9,283 billion RMB, with a stock growth of 8.1%[21] - Government bonds increased by 8,487 billion RMB, up 3,116 billion RMB year-on-year, remaining a key support for social financing[21] - M2 growth was recorded at 6.2%, down 0.8 percentage points from the previous month, while M1 decreased by 5.0%[24] Deposit Trends - In June, household deposits rose by 21,400 billion RMB, a decrease of 5,336 billion RMB year-on-year, while corporate deposits increased by 10,000 billion RMB, down 10,601 billion RMB year-on-year[5] - Fiscal deposits decreased by 8,193 billion RMB, indicating a significant reduction in government financing activity[5] Economic Outlook and Risks - The report highlights increasing economic downward pressure and potential liquidity tightening beyond expectations, with concerns about the real estate recovery not meeting expectations[7]

金融工程 | 证券研究报告 — 周报 2024 年 7 月 13 日 中银量化多策略行业轮动 周报 – 20240712 下周(20240711-20240718):汽车(18.2%)、有色金属(13.6%)、银行 (13.6%)、消费者服务(9.1%)、农林牧渔(9.1%)、电子(9.1%)、 通信(9.1%)、石油石化(4.5%)、煤炭(4.5%)、房地产(4.5%)、家 电(4.5%) 业绩回顾:中信一级行业平均周收益率 1.1%,近 1 月平均收益率3.4%。本周(20240704-20240711,下文同)收益率表现最好的三个行 业是电子(6.5%)、有色金属(5.6%)、汽车(5.1%)。收益率表现最 差的三个行业是煤炭(-4.2%)、建筑(-1.6%)、房地产(-1.5%)。 模型表现:截至 2024/7/11,行业轮动策略获得累计收益-2.04%,中信一 级行业等权基准收益-8.98%,对应累计超额收益 6.94%。Wind 普通股票 型基金指数基准收益-5.40%,对应累计超额收益 3.36%。其中:行业盈 利景气度追踪策略较中信行业等权超额收益为 15.43%,未证伪情绪跟 踪策略超额收益 ...

(%) 10.0 9.0 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 022-1 2021 美国:核心CPE用此 图表 2. CPI 与核心 CPI 环比 (%) 1.5 1.0 0.5 0.0 (05) (1.0) 024-02 021-1 022-0: 0214 0224 021- 吴国:CPI:李调:环比 吴国:桂心CP还李调:环比 资料来源: Wind, 中银证券 | --- | --- | |-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------------------------------- ...

强于大市 电力设备 | 证券研究报告 — 行业周报 2024 年 7 月 7 日 电力设备与新能源行业 7月 第 1 周周报 多家新势力 6 月交付量创新高 光伏方面,硅料库存开始提升,价格预计短期磨底,产能出清价格信号已明 确,具体出清时间点仍未明确。主产业链产能出清仍在进行时,建议优先配 置行业格局较优、成本优势较为明显的行业细分环节。风电方面,海风项目 建设有序推进,国外海风有望逐步放量,带动出海需求,建议优先配置受益 于海风、海外逻辑的塔筒桩基与海缆环节,以及存在渗透率提升逻辑的国产 化与新技术环节。新能源车方面,多家新势力 6 月交付量创历史新高,随着 新能源汽车消费进入旺季,产品力进一步加强,全年销量有望保持高景气。 电池环节盈利确定性较高,中游材料多数环节价格企稳,随着落后产能逐步 出清,各环节盈利有望回归合理。新技术方面固态电池产业化加速,有望在 25 年迎来放量,在相关领域有布局的材料和设备企业有望受益。建议优先布 局格局较优的电芯环节,海外客户放量以及一体化布局较优的部分中游材料 环节。电力设备领域,国内持续推动电力体制改革,《国家能源局关于做好 新能源消纳工作 保障新能源高质量发展的通知 ...

金融工程 | 证券研究报告 — 周报 2024 年 7 月 7 日 中银量化多策略行业轮动 周报 – 20240705 下周(20240704-20240711):银行(16.7%)、电力及公用事业(8.3%)、 石油石化(8.3%)、煤炭(8.3%)、有色金属(8.3%)、汽车(8.3%)、 家 电( 8.3% ) 、农林牧 渔( 8.3% ) 、房地 产( 8.3% )、 交通运输 (8.3%)、电子(8.3%) 业绩回顾:中信一级行业平均周收益率 -0.7%,近 1 月平均收益率4.3%。本周(20240627-20240704,下文同)收益率表现最好的三个行 业是石油石化(3.2%)、电力及公用事业(2.9%)、银行(2.7%)。收 益率表现最差的三个行业是计算机(-4.4%)、医药(-3.6%)、电力设 备及新能源(-3.0%)。 模型表现:截至 2024/7/04,行业轮动策略获得累计收益-6.34%,中信一 级行业等权基准收益-9.96%,对应累计超额收益 3.62%。Wind 普通股票 型基金指数基准收益-7.19%,对应累计超额收益 0.85%。其中:行业盈 利景气度追踪策略较中信行业等权超 ...

Investment Rating - The report maintains a cautious outlook on the real estate industry, suggesting a focus on companies with solid fundamentals and liquidity [1]. Core Insights - The real estate market is showing signs of improvement, with new home transaction areas increasing by 61.6% month-on-month, although year-on-year declines remain significant at 20.6% [1][11]. - The report highlights the impact of recent policy changes in major cities, including reduced down payment ratios and lower mortgage interest rates, which are expected to stimulate demand [1][11]. - The overall sentiment in the market is still cautious, with a need for sustained policy support to restore confidence and expectations among consumers [1][11]. Summary by Sections 1) New Home Market Tracking - In the week of June 22 to June 28, 2024, new home transaction volumes in 40 cities reached 42,000 units, a 61.5% increase from the previous week, but a 20.3% decrease year-on-year [12][38]. - The new home inventory in 12 cities was recorded at 1.561 million units, with a slight decrease of 0.4% month-on-month and a 2.5% decrease year-on-year [24][34]. 2) Second-Hand Home Market Tracking - The second-hand home market saw transactions of 22,000 units in 18 cities, reflecting a 0.8% increase month-on-month and a 15.4% increase year-on-year [38][41]. - The transaction area for second-hand homes was 195.9 million square meters, up 2.4% month-on-month but down 6.6% year-on-year [38][41]. 3) Land Market Tracking - The total area of land transactions across 100 cities was 10.65 million square meters, a 2.2% increase month-on-month but a significant 68.8% decrease year-on-year [44][45]. - The total land transaction value was 21.09 billion yuan, down 27.0% month-on-month and 70.8% year-on-year [44][45]. 4) Policy Review - Recent policies aimed at easing credit conditions have been implemented in major cities, with expectations for further measures to support the market [1][11]. - The report emphasizes the importance of the effective implementation of these policies to ensure a stable recovery in the real estate sector [1][11]. 5) Company Performance - The report suggests focusing on companies with no liquidity risks and solid sales fundamentals, such as China Merchants Shekou, China Resources Land, and Poly Developments [1][11]. - Companies expected to show significant improvement in performance include Vanke and Longfor Group, which are positioned to benefit from the market recovery [1][11].

Timing Analysis - The "National Team" funding intensity changes are negatively correlated with the CSI 800 index movements, indicating that the "National Team" tends to enter the market at low points and exit at high points[2] - Significant inflows from the "National Team" were observed in 2015-2016, 2018-2019, and 2023-2024, with inflows exceeding two standard deviations, corroborated by announcements[2] Factor Construction - Three factors were constructed to assess "National Team" stock selection: Factor 1 measures changes in holding market value, Factor 2 assesses potential price space, and Factor 3 evaluates current holding market value[154] - Factor 1 showed superior excess returns when using market value changes compared to share ratio changes, suggesting a preference for the former in strategy implementation[15] Performance Metrics - The strategy achieved an annualized excess return of 9.9% relative to the CSI 300 index, 10.8% relative to the CSI 500 index, and 10.4% relative to the CSI 800 index[62][63] - The model demonstrated stable excess returns across most years, with notable performance in 2015 (38.6% excess return for CSI 800) and 2023 (16.6% for CSI 800)[43] Sensitivity Testing - Sensitivity tests indicated that not normalizing for industry and market capitalization resulted in higher annualized excess returns, particularly for the CSI 300 (9.9% vs. 7.2% when normalized)[46] - The analysis confirmed that the "National Team" has a preference for specific industries and large-cap stocks, which should be retained in the factor construction[139]

Macro Environment - The industrial capacity utilization rate in Q1 2024 was recorded at 73.6%, a decline of 2.3 percentage points from the end of 2023[7] - In 2023, 24 industries saw an average capacity utilization increase of 5.53%, while 12 industries experienced a decline averaging 2.52%[7] - The central economic work conference highlighted the need to address capacity issues in certain industries, particularly in the photovoltaic sector[7] Trade and Investment Trends - Since 2018, the average tariff on Chinese imports to the U.S. rose from 3.1% to 19.3%, peaking at 21.0%[39] - In 2022, China's outward foreign direct investment (OFDI) flow was $163.12 billion, ranking second globally, with a stock of $2.75 trillion[31] - The manufacturing sector's OFDI is concentrated in North America, Southeast Asia, and South America, with significant investments in equipment manufacturing[31] Industry Shifts - The top three sectors for greenfield investment in 2023 were electronic components, automotive OEM, and renewable energy, with investments of $17.615 billion, $6.078 billion, and $4.287 billion respectively[46] - The transition from labor-intensive to technology-intensive industries is evident in the changing landscape of greenfield investments[46] - The global supply chain is undergoing a fifth round of industrial transfer, with manufacturing increasingly moving to Southeast Asia and India due to rising labor costs in China[11] Strategic Considerations - Companies are considering capacity relocation to avoid high tariffs and benefit from local export tax incentives in host countries[39] - The trend of "nearshoring" and "friendshoring" is gaining traction, driven by geopolitical uncertainties and the need for resilient supply chains[50] - The historical context of industrial transfer indicates a shift in China's role from a recipient to a provider of industrial capacity, particularly in the context of the Belt and Road Initiative[53]