金融工程行业景气月报：能繁母猪存栏持稳，煤炭行业景气度同比下降-20250604

Quantitative Models and Construction 1. Model Name: Coal Industry Profit Forecast Model - Model Construction Idea: The model estimates the revenue and profit growth rate of the coal industry based on changes in price and capacity factors[10] - Model Construction Process: - The pricing mechanism is determined by the long-term contract system, where the sales price for the next month is based on the last price index of the current month[10] - The model uses the year-on-year changes in price and capacity factors to estimate monthly revenue and profit growth rates[10] - Model Evaluation: The model provides a systematic approach to track and predict industry profitability, but it relies heavily on the stability of the pricing mechanism and external factors like market demand[10][14] 2. Model Name: Hog Supply-Demand Gap Estimation Model - Model Construction Idea: The model predicts the hog supply-demand gap six months ahead based on the breeding sow inventory and historical slaughter coefficients[15] - Model Construction Process: - The slaughter coefficient is calculated as: $ \text{Slaughter Coefficient} = \frac{\text{Quarterly Hog Slaughter}}{\text{Breeding Sow Inventory (Lagged 6 Months)}} $[15] - The potential supply six months later is estimated as: $ \text{Potential Supply (t+6)} = \text{Breeding Sow Inventory (t)} \times \text{Slaughter Coefficient (t+6, YoY)} $[15] - The potential demand six months later is estimated as: $ \text{Potential Demand (t+6)} = \text{Hog Slaughter (t+6, YoY)} $[16] - Model Evaluation: Historical data shows that this model effectively identifies hog price upward cycles, making it a valuable tool for supply-demand analysis[16] 3. Model Name: Steel Industry Profit Forecast Model - Model Construction Idea: The model predicts monthly profit growth and per-ton profit for the steel industry by integrating steel prices and raw material costs[18] - Model Construction Process: - The model incorporates comprehensive steel prices and costs of raw materials such as iron ore, coke, pulverized coal, and scrap steel to estimate profit growth rates[18] - Model Evaluation: The model provides a detailed profit analysis but is sensitive to fluctuations in raw material prices and global demand[22] 4. Model Name: Glass and Cement Industry Profitability Tracking Model - Model Construction Idea: The model tracks profitability changes in the glass and cement industries using price and cost indicators[23] - Model Construction Process: - The model monitors price and cost indicators to assess profitability changes and generate allocation signals[23] - Model Evaluation: The model is effective in identifying short-term profitability trends but requires additional macroeconomic indicators for long-term predictions[30] 5. Model Name: Refining and Oilfield Services Profitability Model - Model Construction Idea: The model estimates profit growth and cracking spreads for the refining industry based on changes in fuel prices, crude oil prices, and new drilling activities[31] - Model Construction Process: - The model calculates profit growth rates and cracking spreads using variations in fuel and crude oil prices[31] - Allocation signals are designed based on oil prices, cracking spreads, and new drilling activity[31] - Model Evaluation: The model provides a comprehensive view of industry profitability but is highly dependent on volatile oil price movements[35] --- Backtesting Results of Models 1. Coal Industry Profit Forecast Model - Profit Growth Forecast: Predicted a year-on-year profit decline for June 2025 due to lower coal prices compared to the previous year[14] 2. Hog Supply-Demand Gap Estimation Model - Supply-Demand Balance: Predicted a balanced supply-demand scenario for Q4 2025, with potential supply and demand both estimated at 18,226 million hogs[17] 3. Steel Industry Profit Forecast Model - Profit Growth Forecast: Predicted a slight year-on-year profit decline for May 2025, with PMI rolling averages remaining flat[22] 4. Glass and Cement Industry Profitability Tracking Model - Glass Industry: Predicted a year-on-year decline in gross profit for May 2025[30] - Cement Industry: Predicted a year-on-year profit growth for May 2025, driven by price recovery[30] 5. Refining and Oilfield Services Profitability Model - Refining Industry: Predicted a year-on-year profit decline for May 2025 due to lower oil prices compared to the previous year[35] - Oilfield Services: Observed stable new drilling activity and lower oil prices compared to the previous year, maintaining a neutral outlook[38]