金融工程行业景气月报：能繁母猪存栏微增，炼化行业景气度同比持稳-20250702

Quantitative Models and Construction Methods 1. Model Name: Coal Industry Profit Forecast Model - Model Construction Idea: The model estimates monthly revenue and profit growth rates for the coal industry based on changes in price and capacity factors[10] - Model Construction Process: - The pricing mechanism is determined by the last price index of the previous month, which sets the sales price for the next month[10] - The model incorporates price factors and capacity factors to estimate revenue and profit growth rates on a monthly basis[10] - Model Evaluation: The model provides a systematic approach to track and predict industry profitability trends, but no significant improvement signals were observed for July 2025[13] 2. Model Name: Hog Supply-Demand Gap Estimation Model - Model Construction Idea: The model leverages the stable proportional relationship between hog slaughter and sow inventory lagged by six months to estimate future supply-demand gaps[14] - Model Construction Process: - The slaughter coefficient is calculated as: $ \text{Slaughter Coefficient} = \text{Quarterly Hog Slaughter} / \text{Sow Inventory (Lagged 6 Months)} $[14] - Future potential supply is estimated as: $ \text{6-Month Potential Supply} = \text{Current Sow Inventory} \times \text{Slaughter Coefficient (6 Months Ago)} $[15] - Future demand is projected based on historical quarterly slaughter data[15] - Model Evaluation: Historical data shows that this method effectively identifies hog price upward cycles[15] 3. Model Name: Steel Industry Profit Forecast Model - Model Construction Idea: The model predicts monthly profit growth rates and calculates per-ton profit for the steel industry by considering steel prices and raw material costs[17] - Model Construction Process: - The model integrates steel prices with the costs of raw materials such as iron ore, coke, pulverized coal, and scrap steel to estimate profit growth rates[17] - Model Evaluation: The model highlights the industry's profit trends but indicates a negative profit growth rate for June 2025[21] 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, and designs allocation signals based on these changes[23] - Model Construction Process: - For the glass industry, the model calculates gross profit based on price and cost data[27] - For the cement industry, the model incorporates coal fuel price changes to predict profit growth rates[27] - Model Evaluation: The model effectively tracks profitability trends but maintains a neutral signal for both industries due to the lack of significant positive indicators[27] 5. Model Name: Refining and Oilfield Services Profitability Model - Model Construction Idea: The model estimates profit growth rates and cracking spreads for the refining industry based on changes in fuel prices, crude oil prices, and new drilling activity[28] - Model Construction Process: - The model uses variations in fuel and crude oil prices to calculate profit growth rates and cracking spreads[28] - Allocation signals are designed based on observed changes in oil prices, cracking spreads, and new drilling activity[28] - Model Evaluation: The model predicts stable profit growth for June 2025 but maintains a neutral signal due to the lack of significant upward trends in oil prices and drilling activity[35][38] --- Backtesting Results of Models 1. Coal Industry Profit Forecast Model - Excess Return: The model tracks the historical excess return of the coal industry relative to the Wind All-A Index, showing a declining profit trend for July 2025[13] 2. Hog Supply-Demand Gap Estimation Model - Supply-Demand Balance: The model predicts a balanced supply-demand scenario for Q4 2025, with potential supply at 18,226 million heads and demand at 18,244 million heads[16] 3. Steel Industry Profit Forecast Model - Profit Growth: The model forecasts a negative profit growth rate for June 2025, with no significant improvement in PMI rolling averages[21] 4. Glass and Cement Industry Profitability Tracking Model - Glass Industry: Gross profit for float glass continues to decline year-on-year as of June 2025[27] - Cement Industry: Profit growth is predicted to be positive for June 2025, driven by lower coal fuel prices[27] 5. Refining and Oilfield Services Profitability Model - Profit Growth: The model predicts stable profit growth for the refining industry in June 2025, with oil prices and new drilling activity showing no significant upward trends[35][38]