Quantitative Models and Construction Methods 1. Model Name: Short-term Quantitative Timing Model - **Model Construction Idea**: The model integrates macroeconomic fundamentals, valuation, sentiment, and liquidity indicators to generate short-term market timing signals[24][25][26] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Manufacturing PMI: Current value at 49.70, 44.92% percentile over the past 5 years, indicating neutral sentiment[24] - Long-term RMB loan growth: 0.00% percentile, indicating weak credit growth and cautious signals[24] - M1 growth rate: 94.92% percentile, indicating strong growth and optimistic signals[24] - **Valuation**: - PE median: 43.18, 97.19% percentile, indicating high valuation and neutral signals[25] - PB median: 2.85, 86.77% percentile, indicating high valuation and neutral signals[25] - **Sentiment**: - Beta dispersion: -0.59%, 40.68% percentile, indicating neutral sentiment[25] - Volume sentiment score: 0.98, 99.59% percentile, indicating strong sentiment and optimism[25] - Volatility: 7.53% (annualized), 0.17% percentile, indicating optimism[25] - **Liquidity**: - Monetary rate: -0.10, 33.90% percentile, indicating relative ease and optimism[26] - Exchange rate expectations: -0.09%, 40.68% percentile, indicating neutrality[26] - 5-day average financing: 50.66 billion RMB, 95.53% percentile, indicating neutral leverage signals[26] - **Model Evaluation**: The model demonstrates strong performance with significant excess returns and reduced drawdowns compared to benchmarks[26][30] 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: The model evaluates growth and value styles based on macroeconomic fundamentals, valuation, and sentiment indicators to recommend allocation[35] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Profit cycle slope: High, favoring growth[37] - Interest rate cycle: High, favoring value[37] - Credit cycle: Weak, favoring value[37] - **Valuation**: - PE difference: 19.57% percentile, favoring growth[37] - PB difference: 38.03% percentile, favoring growth[37] - **Sentiment**: - Turnover difference: 38.13% percentile, favoring value[37] - Volatility difference: 17.73% percentile, favoring balanced allocation[37] - **Model Evaluation**: The model has historically delivered significant excess returns over benchmarks, though recent performance has been mixed[36][39] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: The model assesses small-cap and large-cap styles using macroeconomic fundamentals, valuation, and sentiment indicators to suggest balanced allocation[40] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Profit cycle slope: High, favoring small-cap[42] - Interest rate cycle: High, favoring large-cap[42] - Credit cycle: Weak, favoring large-cap[42] - **Valuation**: - PE difference: 78.86% percentile, favoring large-cap[42] - PB difference: 96.59% percentile, favoring large-cap[42] - **Sentiment**: - Turnover difference: 72.56% percentile, favoring small-cap[42] - Volatility difference: 62.60% percentile, favoring large-cap[42] - **Model Evaluation**: The model has consistently outperformed benchmarks, delivering significant excess returns over time[41][44] 4. Model Name: Four-Style Rotation Model - **Model Construction Idea**: Combines insights from growth-value and small-cap-large-cap models to allocate across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value[45] - **Model Construction Process**: - Allocation recommendation: Small-cap growth (12.5%), small-cap value (37.5%), large-cap growth (12.5%), large-cap value (37.5%)[45] - **Model Evaluation**: The model has historically generated significant excess returns, though recent performance has been slightly below benchmarks[45][46] --- Model Backtest Results 1. Short-term Quantitative Timing Model - Annualized return: 16.98% - Annualized volatility: 14.55% - Maximum drawdown: 27.70% - Sharpe ratio: 1.0138 - Excess return (2024 onwards): 2.26%[26][30][33] 2. Growth-Value Style Rotation Model - Annualized return: 11.82% - Annualized volatility: 20.79% - Maximum drawdown: 43.07% - Sharpe ratio: 0.5457 - Excess return (2025 YTD): -2.32%[36][39] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized return: 12.38% - Annualized volatility: 22.69% - Maximum drawdown: 50.65% - Sharpe ratio: 0.5408 - Excess return (2025 YTD): -5.11%[41][44] 4. Four-Style Rotation Model - Annualized return: 13.29% - Annualized volatility: 21.53% - Maximum drawdown: 47.91% - Sharpe ratio: 0.6001 - Excess return (2025 YTD): -3.25%[45][46]

证券研究报告 | 公司点评报告 2025 年 07 月 27 日 西部矿业（601168.SH） 玉龙驱动利润增长 三期打开未来增长空间 周期/金属及材料 公司公布 2025 年中报。2025 年上半年收入和归母净利润分别 316.19、18.69 亿元，分别增长 26.59%、15.35%。Q2 单季度净利润 10.62 亿元，同比、环比 分别增 20.1%、31.4%。 铜量增价涨贡献主要利润增长：2025H1 主要矿产金属产量全面增长，且产量 全面超预期。矿产铜、锌、铅、钼产量分别 9.2 万吨、6.3 万吨、3.5 万吨、 2525 吨，分别同比增 7.65%、18.61%、24.63%、31.1%。其中铜精矿全年 产量目标 16.8 万吨，上半年产量超预期。其中玉龙铜矿产量 8.3 万吨，获各 琦铜矿 0.7 万吨。上半年电解铜价格 77770 元/吨，同比上涨 4.3%。 2025Q2 矿产铜产量 4.8 万吨，同比环比分别增 2.1%、8.1%；矿产锌产量 3.3 万吨，同比环比分别增 19%、9.9%；矿产铅产量 1.8 万吨，同比环比分别增 14.3%、10.4%；矿产钼产量 1277 吨， ...

Investment Rating - The report maintains a recommendation for the chemical industry, indicating a positive outlook due to the anticipated benefits from anti-involution policies [2]. Core Insights - The chemical industry is expected to benefit from the implementation of anti-involution policies, which aim to reduce unhealthy competition and improve pricing structures [13][14]. - The report highlights that certain chemical products are currently at historical low prices, suggesting potential for price recovery as market conditions improve [15]. - The focus is on eight specific products with significant price recovery potential: spandex, organic silicon, PVC, titanium dioxide, soda ash, propylene oxide, glyphosate, and TDI [15]. Summary by Sections Anti-Involution Policies - The government is committed to addressing "involution-style" competition, with plans for new policies to stabilize key industries including chemicals [13][14]. - The aim is to eliminate low-cost sales practices that have led to unsustainable pricing and profitability issues within the industry [14]. Spandex Market - Spandex prices have reached historical lows, with a steady increase in production and inventory pressures [19][22]. - The spandex market is dominated by major players such as Huafeng Chemical and Xinxiang Chemical Fiber, which hold significant market shares [29][40]. Organic Silicon Market - Organic silicon prices are at a five-year low, with a diverse range of applications across various industries [44][49]. - The industry is characterized by limited new capacity additions, with major producers like Hoshine Silicon and Dongyue Group leading the market [55]. PVC Market - PVC is a widely used plastic, primarily in the real estate sector, and is expected to benefit from the consolidation of production capacity [6][19]. - Key companies in the PVC market include Zhongtai Chemical and Xinjiang Tianye, which are positioned to capitalize on market recovery [6]. Titanium Dioxide Market - Titanium dioxide prices have hit five-year lows, with high inventory levels impacting profitability [6][19]. - Major players in this sector include China Nuclear Titanium Dioxide and Longbai Group, which are expected to navigate the challenging market conditions [6]. Soda Ash Market - The soda ash market is facing high inventory levels, with significant applications in real estate and photovoltaic industries [6][19]. - Key companies include Boyuan Chemical and Shandong Haihua, which are well-positioned to benefit from future demand recovery [6]. Propylene Oxide Market - Propylene oxide has a low concentration of production capacity, with broad applications across various sectors [6][19]. - Key players include Binhai Chemical and Weiyuan Chemical, which are expected to benefit from market dynamics [6]. Glyphosate Market - Glyphosate is the most widely used herbicide globally, with increasing demand driven by rising agricultural output [6][19]. - Major companies in this space include Xingfa Group and Jiangshan Chemical, which are positioned to benefit from a favorable market environment [6]. TDI Market - TDI supply-demand dynamics remain tight due to production disruptions, with significant barriers to entry for new players [6][19]. - Key companies include Cangzhou Dahua and Wanhua Chemical, which are expected to maintain strong market positions [6].

Group 1 - The current supply-side reform has transitioned from "Three Reductions and One Supplement" to a new paradigm of "Anti-Involution + Supply Optimization," with the core goal shifting from resolving excess capacity to enhancing total factor productivity [6][27][41] - The "Anti-Involution" reform is expected to reshape the long-term pricing logic of commodity markets, benefiting technology-intensive manufacturing and enterprises with strong "new quality productivity" [6][27][41] - The structural upgrade of excess capacity is evident, with new sectors such as new energy vehicles and photovoltaics becoming significant areas of concern, indicating a shift from primary products to complex manufactured goods [6][27][41] Group 2 - The 2015 supply-side reform primarily targeted excess capacity in basic raw material industries, while the current reform addresses structural excess capacity across the entire industrial chain [6][27][41] - The "Anti-Involution" policies are expected to lead to improved terminal profits through reduced downstream supply, which will drive upstream price declines, resulting in a transfer of industry profits to downstream sectors [6][27][39] - The head enterprises are likely to emerge from the downturn first, initiating an upward cycle in the market [6][27][39] Group 3 - The historical context shows that both the 2015 and current reforms were prompted by prolonged periods of negative PPI, indicating a persistent oversupply issue [41] - The current economic backdrop includes a decline in real estate and weak external demand, leading to structural overcapacity in various sectors, including traditional industries and emerging sectors [41][39] - The "Anti-Involution" reform aims to correct market failures and establish a unified national market, addressing issues of low-price disorderly competition and promoting high-quality development [27][28][39]

Investment Rating - The report maintains a "Recommendation" rating for the automotive industry, indicating a positive outlook for the industry's fundamentals [6]. Core Insights - Tesla's Q2 2025 performance met expectations, with a Non-GAAP net profit of $1.39 billion, reflecting a year-over-year decline of 23.1% but a quarter-over-quarter increase of 49.1% [3][5]. - Revenue for Q2 2025 was $22.5 billion, with automotive revenue at $16.66 billion, showing a year-over-year decline of 16.2% but a quarter-over-quarter increase of 19.3% [3]. - The gross margin was reported at 17.2%, exceeding market expectations of 16.5%, with automotive sales gross margin at 14.1% [3][5]. - The report highlights a recovery in profitability, with single-vehicle revenue at $41,000 and single-vehicle Non-GAAP net profit at $2,484, marking significant quarter-over-quarter increases [3][4]. Summary by Sections Financial Performance - Q2 2025 delivered a total revenue of $22.5 billion, with automotive business revenue at $16.66 billion, reflecting a year-over-year decline of 16.2% but a quarter-over-quarter increase of 19.3% [3]. - Non-GAAP net profit was $1.39 billion, with GAAP net profit at $1.17 billion, both meeting expectations [3][5]. - The gross margin was 17.2%, higher than the market expectation of 16.5%, indicating better-than-expected performance [3][5]. Delivery and Production - Tesla delivered 384,100 vehicles in Q2 2025, showing a year-over-year decline of 13.5% but a quarter-over-quarter increase of 14.1% [4]. - The report mentions the production of a low-cost vehicle starting in June, with a launch planned for Q4 2025 [10]. Future Outlook - The report discusses the introduction of the Optimus 3 prototype by the end of the year, with a production target of 1 million units annually within five years [6]. - The Robotaxi service aims to cover half of the U.S. population by the end of the year, pending regulatory approval [6]. - The report anticipates significant financial impacts from Robotaxi services by the end of next year [6].

Quantitative Models and Construction Methods 1. Model Name: CRR Pricing Model for Convertible Bonds - **Model Construction Idea**: The CRR pricing model uses a binomial tree framework to calculate the theoretical value of convertible bonds, incorporating embedded options, credit spreads, and other factors to improve pricing accuracy compared to traditional models like BSM[15][44]. - **Model Construction Process**: 1. Use the CRR binomial tree model to calculate the theoretical value of convertible bonds. 2. Define the "pricing deviation" as the difference between the CRR theoretical price and the market price. 3. Select bonds with the highest pricing deviation for portfolio construction. 4. Rebalance the portfolio monthly with equal weighting[15][44][45]. - **Model Evaluation**: The CRR model is more precise than traditional models like BSM due to its consideration of embedded clauses and credit spreads[15][44]. 2. Model Name: Low Valuation Momentum Strategy - **Model Construction Idea**: This strategy combines low valuation metrics (e.g., low conversion premium) with momentum indicators (e.g., short-term stock price trends) to identify undervalued convertible bonds with upward potential[48][49]. - **Model Construction Process**: 1. Screen bonds based on criteria such as credit rating (AA- or above), liquidity, and absence of negative historical events. 2. Classify bonds into equity-like, balanced, and debt-like categories based on parity levels. 3. Score bonds within each category based on valuation metrics and momentum indicators. 4. Select the top 10 bonds from each category for portfolio inclusion. 5. Rebalance the portfolio monthly with equal weighting[48][49][51]. - **Model Evaluation**: The strategy effectively combines valuation and momentum factors to capture both undervaluation and positive price trends[48][49]. --- Model Backtesting Results 1. CRR Pricing Model - **Absolute Return (June)**: 3.73% - **Annualized Return (Since 2017)**: 15.56% - **Maximum Drawdown**: 12.08% - **Return-to-Volatility Ratio**: 1.22 - **Return-to-Drawdown Ratio**: 1.29 - **Monthly Win Rate**: 62.22%[44][48]. 2. Low Valuation Momentum Strategy - **Absolute Return (June)**: 2.91% - **Annualized Return (Since 2017)**: 15.39% - **Maximum Drawdown**: 11.26% - **Return-to-Volatility Ratio**: 1.21 - **Return-to-Drawdown Ratio**: 1.37 - **Monthly Win Rate**: 65.56%[49][55]. --- Quantitative Factors and Construction Methods 1. Factor Name: Conversion Premium - **Factor Construction Idea**: The conversion premium measures the relative overvaluation of a convertible bond compared to its parity value, serving as a valuation indicator[13][15]. - **Factor Construction Process**: 1. Use a power function model to fit the relationship between parity value and conversion premium. 2. Calculate the median conversion premium for equity-like, balanced, and debt-like bonds. 3. Track changes in the conversion premium curve over time[13][15]. 2. Factor Name: Implied Volatility - **Factor Construction Idea**: Implied volatility reflects the market's expectations of future stock price fluctuations, derived from convertible bond prices using the BSM model[35][36]. - **Factor Construction Process**: 1. Use the BSM model to reverse-calculate implied volatility from convertible bond prices. 2. Aggregate implied volatility data to calculate the median and weighted average for the market. 3. Monitor changes in implied volatility over time to assess market sentiment[35][36]. --- Factor Backtesting Results 1. Conversion Premium - **Equity-like Bonds**: Median premium increased from 7.72% to 9.18% (+1.46%) - **Balanced Bonds**: Median premium increased from 23.67% to 26.05% (+2.37%) - **Debt-like Bonds**: Median premium increased from 57.49% to 62.77% (+5.28%)[15][18]. 2. Implied Volatility - **Market Median**: Increased from 32.25% to 35.35% (+3.10%) - **Weighted Average**: Increased from 28.93% to 35.24% (+6.41%)[35][36].

Core Insights - The report highlights a significant rebound in prices for black commodities, as well as the new energy and photovoltaic industry chains, driven by expectations of "anti-involution" policies [1][2][21] - Key price increases are observed in steel, coal, glass, and certain metals, with many currently at historical lows, indicating potential for recovery [2][21] - The report recommends focusing on sectors with high or improving sentiment, including coke, steel, building materials, non-ferrous metals, batteries, silicon materials, semiconductors, telecommunications, and securities [1][2][21] Industry Overview Upstream Resources - Recent price increases in steel, coal, and glass are attributed to "anti-involution" policies, with coke and coal futures rising by 13.1% and 22.7% respectively [13][21] - Steel prices have also seen a rise, with rebar prices increasing by 4.2% and steel billet prices by 6.1% [13][21] New Energy and Photovoltaics - The new energy and photovoltaic sectors have experienced rapid price increases, with DMC and lithium carbonate prices rising by 13.5% and 8.5% respectively [16][21] - The photovoltaic industry composite price index has increased by 16.2%, with silicon wafers and polysilicon prices rising by 39.4% and 19.5% respectively [16][21] Metals - Industrial metals such as copper, aluminum, zinc, and tin have generally increased in price, driven by robust downstream demand and supply constraints [14][21] - Precious metals have shown strong performance, with COMEX gold and silver prices rising by 3.4% and 4.4% respectively [14][21] Agricultural Products - Seasonal demand has led to a significant increase in egg prices, which rose by 14.8% [18][21] - High temperatures have impacted supply, resulting in increases in soybean and soybean oil prices by 2.3% and 2.1% respectively [18][21]

Investment Rating - The report maintains a recommendation for the securities and insurance sectors, indicating a positive outlook despite potential challenges from trade friction and economic pressures [6]. Core Insights - The non-bank financial sector saw a significant increase in holdings, with the insurance sector's holdings rising to 1.54%, up 0.63 percentage points from the previous quarter, while the brokerage sector's holdings reached 0.90%, up 0.36 percentage points [5][21]. - The total market value of public funds reached 6,285.3 billion, with a year-on-year increase of 10% and a quarter-on-quarter increase of 7% [2]. - The insurance sector is benefiting from a recovery in premium income, with a cumulative premium income of 30,602 billion from January to May, reflecting a year-on-year growth of 3.8% [20]. Summary by Sections Public Fund Market Size - In Q2 2025, the total net value of funds was 33.7 trillion, with a year-on-year increase of 10% and a quarter-on-quarter increase of 7% [10]. - The non-monetary fund scale was 19.5 trillion, up 11% year-on-year and 7% quarter-on-quarter [10]. High Dividend Stock Holdings Analysis - The holdings of banks, electric equipment, transportation, public utilities, oil and petrochemicals, and coal showed varied changes, with bank holdings increasing by 16% [16]. Non-Bank Sector Holdings Analysis Brokerage Sector - The brokerage sector's holdings increased to 0.90%, with a 58% rise in shareholding volume to 669 million shares [18][19]. - The average daily trading volume for equity funds reached 1.49 trillion, a year-on-year increase of 57% [18]. Insurance Sector - The insurance sector's holdings increased significantly, with a notable rise in individual stock holdings for major companies like China Ping An and China Taiping [21]. - The insurance sector's holdings are still below the standard allocation of 1.91%, indicating potential for further investment [21]. Investment Recommendations - The report suggests focusing on key brokerage firms such as CITIC Securities and Guotai Junan, as well as insurance companies like China Taiping and China Ping An, due to their potential for growth in the current market environment [6].

Report Summary 1. Investment Rating of the Reported Industry There is no information provided regarding the investment rating of the reported industry in the given content. 2. Core Viewpoints of the Report The report analyzes the performance, scale changes, and portfolio configurations of active equity - biased funds in Q2 2025. It shows that in Q2, the North -交所 continued to lead the gains, the large - cap value style was dominant, and the average return of active equity - biased funds was 2.9%. The scale of equity - biased funds declined, the new fund issuance market improved, and the overall stock positions of equity - biased funds increased. Additionally, the funds continued to increase their positions in Hong Kong stocks, with changes in market - value styles and industry distributions [1][4]. 3. Summary According to the Table of Contents I. Active Equity - Biased Fund Market Review - **Performance Overview**: In Q2, the North -交所 led the gains, the large - cap value style was dominant, and the average return of active equity - biased funds was 2.9%. 70% of the funds had positive returns, and most single - quarter returns were between 0% and 5%. Funds heavily invested in innovative drugs, computing power, and the North -交所 performed outstandingly. The Hang Seng Index rose 4.1%, while the Hang Seng Tech Index declined 1.7%. Industries such as comprehensive finance and national defense and military industry led the gains, while the food and beverage industry had a large decline [4][9]. - **Scale Change**: At the end of Q2, the scale of equity - biased funds declined again, decreasing by 1% compared to the end of the previous quarter. The decline was mainly due to the redemption of fund shares. Funds with relatively large scale increases were mainly those heavily invested in military industry, innovative drugs, computing power, and new consumption. The scales of top - tier funds over 20 billion yuan all shrank to varying degrees [4][19]. - **New Fund Issuance Market**: The new fund issuance market improved, with a significant increase in the number and scale of newly issued funds in 2025Q2. A total of 72 active equity - biased funds were established, with a total scale of 37.419 billion yuan. The largest - scale newly established fund in Q2 was Dongfanghong Core Value, with a scale exceeding 1.9 billion yuan [29][35]. II. Position Analysis - **Position Analysis**: At the end of Q2, the overall stock positions of common stock, equity - biased hybrid, flexible allocation, and balanced hybrid funds were 90.10%, 88.49%, 85.77%, and 65.99% respectively, increasing by 0.75, 0.33, 0.87, and 3.21 percentage points compared to the end of the previous quarter [4][38]. - **AH Market Selection**: Active equity - biased funds that can invest in Hong Kong stocks continued to increase their positions in Hong Kong stocks in Q2, with the proportion of Hong Kong stocks in the stock investment market value increasing by about 1.6 percentage points. The Hong Kong stock positions have been increasing for 6 consecutive quarters [4][46]. - **Market - Value Style**: The proportion of the main board continued to decline slightly, while the proportions of the Science and Technology Innovation Board and the Growth Enterprise Market increased. The proportion of small - and medium - cap stocks below 5 billion yuan further increased by 0.76 percentage points [4][51]. - **Industry Distribution**: Active equity - biased funds increased their positions in TMT and financial real estate sectors and reduced their positions in consumption and mid - stream manufacturing sectors. Among the first - tier industries, the industries with the largest increase in heavy - position market value were communications, banking, and national defense and military industry, while the industries with the largest decrease were food and beverage, automobiles, and power equipment and new energy [4][56]. - **Heavy - Positioned Stocks**: At the end of Q2 2025, Tencent Holdings remained the largest heavy - positioned stock of active equity - biased funds, followed by CATL and Kweichow Moutai. Tencent Holdings was significantly reduced, while Inphi and Xinyisheng received the most increases in positions [4][64].

证券研究报告 | 行业点评报告 2025 年 07 月 22 日 2025 年 2 季度基金持仓点评 有增持，更欠配 总量研究/银行 公募基金发布二季度重仓持股数据，主动偏股基金银行股仓位上升，由"量增+ 价涨" 共同推动，但欠配幅度也有所扩大。我们解读如下（详细图表见正文）： 银行股仓位上升，主动偏股基金进一步增持：25Q2 主动偏股基金持有银行股的 比例为 4.87%，为 2021 年 2 季度以来的的最高水平，环比一季度提升 1.12pct， 仓位增幅显著。这一变化由"量增"与"价涨"共同推动：一方面，二季度银 行板块跑赢大盘（中信银行指数上涨 12.62%，分别跑赢万得全 A、沪深 300 全 收益指数 8.76、10.24 个百分点），带动基金持仓市值被动扩大；另一方面， 基金主动增持趋势明确，二季度末主动基金持有上市银行流通股数达 48.7 亿股， 环比增持 6.5 亿股，增幅 15.3%。值得注意的是，银行仓位 30%左右的升幅已 超过板块相对收益，进一步印证基金主动加仓是银行仓位提高的主要动力。 不过主动偏股基金对银行板块的欠配幅度也在进一步扩大。以沪深 300 为例， 25Q2 主动基金相对 ...