行业 MEG 日报 日期 2025 年 08 月 07 日 料油） 021-60635738 lijie@ccb.ccbfutures.com 期货从业资格号：F3031215 021-60635737 renjunchi@ccb.ccbfutures.com 期货从业资格号：F3037892 业硅）028-8663 0631 penghaozhou@ccb.ccbfutures.c om期货从业资格号：F3065843 021-60635740 pengjinglin@ccb.ccbfutures.c om期货从业资格号：F3075681 021-60635570 liuyouran@ccb.ccbfutures.com 期货从业资格号：F03094925 021-60635727 fengzeren@ccb.ccbfutures.com 能源化工研究团队 研究员：李捷,CFA（原油燃 研究员：任俊弛（PTA、MEG） 研究员：彭浩洲（尿素、工 研究员：彭婧霖（聚烯烃） 研究员：刘悠然（纸浆） 研究员：冯泽仁（玻璃纯碱） 期货从业资格号：F03134307 请阅读正文后的声明 | 表1：期货行情 | | | ...

贝伦贝格多资产策略与研究主管Ulrich Urbahn表示：市场情绪依然脆弱，因为投资者正在判断关税对盈 利能力和供应链的真正影响。然而，优质欧洲股票具有韧性的基本面，以及美联储即将降息的预期，均 有助于稳定风险偏好。 ...

Core Viewpoint - The strong rebound in the U.S. stock market may soon cool down, raising concerns among bulls as the Bloomberg Intelligence Market Pulse Index indicates that investor sentiment may be overheated [1][4]. Group 1: Market Sentiment and Indicators - The Bloomberg Intelligence Market Pulse Index reached the "euphoria" zone last month, suggesting that investor sentiment is at a high level, which historically leads to weaker returns in the following three months [1][4]. - The S&P 500 index rebounded nearly 30% from its April low, despite signs of weakness in the U.S. economy and labor market [1]. - The index recorded a value of 0.6 in July, remaining in the "euphoria" zone for the second consecutive month, which historically correlates with lower average returns for the Russell 3000 index in the following three months [4][5]. Group 2: Historical Context and Predictions - Historical data shows that when the Market Pulse Index enters the "euphoria" zone, the average return for the Russell 3000 index over the next three months is only 2.9%, while it can reach 9% when in the "panic" zone [4]. - Analysts from Morgan Stanley and Evercore predict potential market corrections of 10% and 15%, respectively, indicating a consensus on the likelihood of a downturn [4][5]. - Seasonal factors are also a concern, as August and September are historically the worst-performing months for the S&P 500 index [4]. Group 3: Investor Behavior and Market Dynamics - The recent surge in the Market Pulse Index is partly attributed to a resurgence in meme stocks, with retail investors flocking to speculative stocks like Opendoor Technologies and Kohl's [5]. - The Market Pulse Index is based on six indicators, including price breadth and high-yield bond spreads, with a reading of 0.7 in July indicating extreme risk appetite [6]. - Continuous readings above 0.6 typically suggest mean reversion in the stock market, with small-cap stocks expected to underperform large-cap stocks in the following months [7].

Report Industry Investment Ratings - Urea: ★☆☆ (Predicted to have a bullish trend, but the market is not very operable) [1] - Methanol: ★★★ (Predicted to have a clear bullish trend, and there are still relatively appropriate investment opportunities) [1] - Pure Benzene: ★☆☆ (Predicted to have a bullish trend, but the market is not very operable) [1] - Styrene: ★★★ (Predicted to have a clear bullish trend, and there are still relatively appropriate investment opportunities) [1] - Polypropylene: ☆☆☆ (The short - term long/short trend is in a relatively balanced state, and the market is not very operable, it is recommended to wait and see) [1] - Plastic: ★☆☆ (Predicted to have a bullish trend, but the market is not very operable) [1] - PVC: ★☆☆ (Predicted to have a bullish trend, but the market is not very operable) [1] - Caustic Soda: ★★★ (Predicted to have a clear bearish trend, and there are still relatively appropriate investment opportunities) [1] - PX: ★★★ (Predicted to have a clear bullish trend, and there are still relatively appropriate investment opportunities) [1] - PTA: ☆☆☆ (The short - term long/short trend is in a relatively balanced state, and the market is not very operable, it is recommended to wait and see) [1] - Ethylene Glycol: ★★★ (Predicted to have a clear bullish trend, and there are still relatively appropriate investment opportunities) [1] - Short Fiber: ★☆☆ (Predicted to have a bullish trend, but the market is not very operable) [1] - Glass: ★☆☆ (Predicted to have a bullish trend, but the market is not very operable) [1] - Soda Ash: ☆☆☆ (The short - term long/short trend is in a relatively balanced state, and the market is not very operable, it is recommended to wait and see) [1] - Bottle Chip: ★★★ (Predicted to have a clear bullish trend, and there are still relatively appropriate investment opportunities) [1] - Propylene: ★★★ (Predicted to have a clear bullish trend, and there are still relatively appropriate investment opportunities) [1] Core Viewpoints - The report analyzes the market conditions of various chemical products, including supply, demand, price trends, and provides corresponding investment ratings based on these factors [1][2][3][5][6][7][8] Summary by Related Catalogs Olefins - Polyolefins - Propylene futures fluctuated around the 5 - day moving average. Low prices, improved downstream product profits, and reduced supply due to unexpected shutdowns of local PDH plants supported the price [2] - Polyolefin futures had a narrow - range intraday fluctuation. Polyethylene's short - term production is expected to increase, with both supply and demand rising recently. Polypropylene's prices are stable, and some offers are tentatively raised, but downstream procurement is weak [2] Pure Benzene - Styrene - Pure benzene prices rebounded. Domestic supply increased, demand was weak, but port inventory decreased. There is an expected improvement in supply - demand in the third - quarter and pressure in the fourth - quarter [3] - Styrene futures prices declined. The expected output of a new plant may have a negative impact, and the supply - demand fundamentals are weak [3] Polyester - PTA prices rebounded. New plant production and increased output from existing plants pressured the supply, but production cuts may boost the market. PX may face demand decline if PTA production cuts increase [5] - Ethylene glycol prices rebounded. Supply is expected to continue to rise, and there is an expected increase in demand [5] - Short fiber prices followed the raw materials and sales improved. There is limited new capacity this year, and the peak - season demand is expected to boost the industry [5] - Bottle chip's low - start operation led to stable inventory, but over - capacity is a long - term pressure [5] Coal Chemical Industry - Methanol prices rose slightly. Coastal olefin plants have low operation rates, and ports are expected to accumulate inventory. In the long - term, the approaching peak - season demand should be monitored [6] - Urea market sentiment cooled. The Indian tender price boosted the spot market, but short - term supply - demand is loose, and the focus is on export policy changes [6] Chlor - Alkali - PVC prices fluctuated strongly. Cost support increased, but supply increased and demand was weak, so short - term prices are expected to fluctuate weakly [7] - Caustic soda prices fluctuated weakly. Comprehensive profit improved, but long - term supply pressure remains, and prices are expected to be under pressure [7] Soda Ash - Glass - Soda ash prices fluctuated. High - price resistance led to a downward shift. Supply is high, and the long - term market is weak, but prices are unlikely to fall below the previous low [8] - Glass prices fluctuated. Mid - stream sales led to a decline in spot prices, and the market is in a state of inventory accumulation [8]

1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core Views - **Overall**: The black - series market has entered a high - level consolidation period due to the disappointment of policy increment expectations from important domestic meetings. The market trading focus has returned to the industrial fundamentals [12]. - **Steel Products**: The short - term market fluctuations are large, and it is recommended to wait and see. Attention should be paid to macro - policies and downstream demand [9]. - **Iron Ore**: In the short term, it will operate within a range. After the disappointment of policy expectations, the market will enter a policy vacuum period, and the price will fluctuate at a high level. The i2601 contract price is expected to be in the range of 745 yuan/ton - 780 yuan/ton, and the outer - market FE09 contract price is in the range of 98.5 - 103 US dollars/ton [12]. - **Coking Coal and Coke**: The market speculation sentiment has cooled down, and the short - term price fluctuations have intensified. It is recommended to wait and see. Attention should be paid to coal production data, the sustainability of high daily iron - water production of steel mills, and changes in imported coal clearance [13]. - **Ferroalloys**: After important meetings, the market sentiment has cooled down. The alloy price is expected to follow the black - metal market trend, and the short - term fluctuation range may increase. Attention should be paid to steel procurement and supply - side policy implementation [14]. 3. Summary by Directory 3.1 Week - on - Week Market Review - **Futures Prices**: The prices of most varieties in the black - series futures market declined last week. For example, the price of rebar RB2510 dropped from 3356 yuan/ton on July 25th to 3203 yuan/ton on August 1st, a decrease of 4.56%. The price of coking coal JM2601 dropped from 1318.5 yuan/ton to 1092.5 yuan/ton, a decrease of 17.14% [7]. - **Spot Prices**: The spot prices of most varieties also showed a downward trend. For example, the price of HRB400E Φ20 rebar in Shanghai dropped from 3430 yuan/ton to 3360 yuan/ton, a decrease of 2.04%. The price of Rizhao Port's quasi - first - grade coke dropped from 1430 yuan/ton to 1380 yuan/ton, a decrease of 3.50% [7]. 3.2 This Week's Black - Series Market Forecast - **Steel Products** - **Logic**: The macro - sentiment has a greater impact on the market. The blast - furnace utilization rate and daily iron - water output of 247 steel mills decreased slightly, while the average capacity utilization rate and operating rate of 90 independent electric - arc furnace steel mills increased. The fundamentals of steel products are neutral to bearish, and the market is mainly influenced by macro and market sentiment [9]. - **View**: Wait and see due to large short - term fluctuations [9]. - **Attention Points**: Macro - policies and downstream demand [9]. - **Iron Ore** - **Logic**: The policy expectations have failed to materialize. On the supply side, the support from external mines is gradually weakening, and the supply may increase in the medium term. On the demand side, the daily iron - water output has declined, but the demand still has some resilience. The inventory is expected to be stable or increase slightly in the short term [12]. - **View**: It will operate within a range in the short term, and the price will fluctuate at a high level [12]. - **Attention Points**: Military parade production - restriction policies, the Fed's interest - rate cut expectations, and the supply recovery speed [11]. - **Coking Coal and Coke** - **Logic**: The market speculation sentiment has cooled down. The coal - coke futures prices have oscillated and declined. The production of some Shanxi coal mines has decreased, and the demand for coking coal still has some resilience. The inventory is affected by factors such as production and demand [13]. - **View**: Wait and see due to intensified short - term price fluctuations [13]. - **Attention Points**: Coal production data, the sustainability of high daily iron - water production of steel mills, and changes in imported coal clearance [13]. - **Ferroalloys** - **Logic**: The market sentiment has cooled down. On the supply side, the production of silicon - manganese and silicon - iron has increased. On the demand side, the demand for silicon - manganese has increased slightly, while the demand for silicon - iron has decreased. The inventory situation of the two is different. The cost side has certain support [14]. - **View**: The price will follow the black - metal market trend, and the short - term fluctuation range may increase [14]. - **Attention Points**: Tariff policy changes, domestic macro - policies, terminal demand, steel mill profits and production, and domestic production - restriction policies [14]. 3.3 Product Data - **Steel Products** - **Rebar**: Last week, the output was 211.06 tons (a week - on - week decrease of 0.9 tons), the apparent demand was 203.41 tons (a week - on - week decrease of 13.17 tons), and the total inventory increased by 7.65 tons [16]. - **Hot - Rolled Coil**: Last week, the output was 322.79 tons (a week - on - week increase of 5.3 tons), the apparent demand was 320 tons (a week - on - week increase of 4.76 tons), and the total inventory increased by 2.79 tons [33]. - **Iron Ore** - **Port Inventory**: The total inventory of imported ore at 45 ports was 13657.90 tons last week, a week - on - week decrease of 132.48 tons [47]. - **Steel Mill Inventory and Consumption**: The inventory of 247 steel mills was 9012.09 tons, a week - on - week increase of 126.87 tons, and the daily consumption was 299.46 tons/ day, a week - on - week decrease of 1.64 tons [55]. - **Global Shipment**: The global total shipment was 3200.9 tons last week, a week - on - week increase of 91.8 tons [69]. - **Coking Coal and Coke** - **Inventory**: The total inventory of coke was 915.4 tons last week, a week - on - week decrease of 2.83 tons; the total inventory of coking coal was 2493.29 tons, a week - on - week decrease of 37.96 tons [98][106]. - **Profit and Utilization Rate**: The average profit per ton of coke for independent coking enterprises was - 45 yuan last week, a week - on - week increase of 9 yuan, and the capacity utilization rate was 73.7%, a week - on - week increase of 0.2% [115]. - **Ferroalloys** - **Spot Price**: The price of semi - carbonate manganese ore in Tianjin Port was 35 yuan/dry ton - degree last week, a week - on - week increase of 0.5 yuan; the price of silicon - manganese was 5720 yuan/ton, a week - on - week increase of 20 yuan; the price of silicon - iron was 5500 yuan/ton, unchanged from the previous week [131]. - **Production and Demand**: The output of silicon - manganese was 190820 tons last week, a week - on - week increase of 4340 tons; the demand for silicon - manganese was 123715 tons, a week - on - week increase of 45 tons [137][144]. - **Inventory**: The inventory of silicon - manganese was 164000 tons on August 1st, a week - on - week decrease of 41000 tons; the inventory of silicon - iron was 65590 tons, a week - on - week increase of 3460 tons [148].

7 月份，投资者们纷纷涌入美国股市，使得标普500指数在一个月内创下了10次历史新高，但有一个重 要的群体却与他们背道而驰：企业高管们。据Washington Service收集的数据，上个月仅在151家标普500 指数成分公司中，有内部人员自行购入了公司股票，这一数字是至少自2018年以来的最低水平。尽管企 业内部人员在7月份的抛售行为较6月份有所放缓，但购入量的下降幅度更大，使得购销比达到了一年来 的最低水平。 与市场情绪分化 高管们的偏好下降是在股市上涨势头似乎逐渐减弱之时发生的，甚至在周五的抛售之前就已经如此。在 经历了6月份5%的涨幅和5月份6.2%的涨幅之后，标准普尔500指数在7月份上涨了2.2%。不过，这三个 月的上涨行情突然使得标普500指数估值过高，其市盈率已接近23倍(远高于10年平均值约18倍)。 因此，企业领导层采取谨慎态度(因为他们最了解自己的企业状况)这一现象，可能表明他们对自身市场 估值存在担忧，同时也担心特朗普总统实施的全面全球关税政策会对公司业绩造成负面影响。 Roundhill Investments首席执行官Dave Mazza表示："目前，企业高管们的行事方式与机构投 ...

Group 1 - The market sentiment index has risen to 3.2, up from 1.8 the previous week, indicating a bullish outlook, but caution is advised as high sentiment levels can lead to sensitive directional changes [10][4][8] - The price-volume consistency indicator has increased, suggesting higher capital activity and reduced divergence in market sentiment, while the financing ratio continues to decline [13][4] - The total trading volume for the week remained high, with the peak on Thursday at 1961.849 billion RMB and a significant drop on Friday to 1619.884 billion RMB [17][4] Group 2 - The industry performance shows a clear upward trend in anti-involution related sectors, with basic chemicals and electronics leading the gains, while automotive, environmental, and oil sectors lag behind [26][29] - The short-term scores for most industries have generally decreased, with computer, media, communication, and food and beverage sectors showing slight increases [33][34] - The model indicates a preference for small-cap growth styles, with the RSI model also suggesting a growth style advantage, although the 5-day RSI has decreased compared to the 20-day RSI [36][37]

1. Report Industry Investment Rating There is no relevant content provided in the report. 2. Core Viewpoints of the Report - This week, the inventory of the five major steel products increased by 153,900 tons to 1.35189 million tons, ending a four - week decline and reaching a seven - week high. The social inventory increased by 153,900 tons, and the steel mill inventory increased slightly by 1,000 tons. Specifically, the social inventory of rebar increased by 111,700 tons, while the steel mill inventory decreased by 35,200 tons. The weekly output decreased slightly, and the apparent demand decreased by 6.08% or 131,700 tons to 2.0341 million tons, the lowest in five months. The output increase of hot - rolled coils was greater than the inventory increase, and the apparent demand rebounded by 47,600 tons to 3.2 million tons. The apparent demand for cold - rolled and medium - thick plates fluctuated relatively little [2]. - Currently, the proportion of industrial logic is gradually increasing, and policy expectations are decreasing. After important events such as Sino - US tariff negotiations, the Politburo meeting, and the US interest - rate meeting have concluded, market sentiment has significantly cooled. In the short term, prices have entered a period of volatile consolidation, but the upward trend is expected to remain unchanged, although the momentum has slowed. In the later stage, attention should be paid to whether terminal demand can show better - than - expected performance [2]. - In the short term, the market will experience volatile consolidation, while in the long term, the upward trend remains unchanged [2]. 3. Summary According to the Catalog 3.1 Market Review and Price Performance 3.1.1 Futures and Spot Trend Review - Futures market: This week, the main RB2510 rebar contract retraced, closing at 3,205 yuan/ton, a week - on - week decrease of 89 yuan/ton, with a position of 1.816 million lots, a decrease of 90,000 lots. The main HC2510 hot - rolled coil contract slightly retraced, closing at 33,902 yuan/ton, a week - on - week decrease of 66 yuan/ton, with a position of 1.4339 million lots, a decrease of 73,800 lots [5]. - Spot market: This week, the spot price of rebar moved lower. As of July 31, the price of HRB400E 20MM in Beijing decreased by 60 yuan/ton to 3,270 yuan/ton compared with last week. The spot price of hot - rolled coils also moved lower. As of July 31, the price of Benxi Steel 5.75*1500*C:Q235B in Tianjin decreased by 30 yuan/ton to 3,370 yuan/ton compared with last week [6]. 3.1.2 Spread Changes - Futures - spot spread: This week, the basis of the main RB2510 rebar contract compared with the HRB400E 20MM spot in Shanghai was 165 yuan/ton, a change of +91 yuan/ton compared with the previous week. The basis of the main HC2510 hot - rolled coil contract compared with the 5.5*1500*C:Q235B:Ansteel spot in Shanghai was 40 yuan/ton, a change of +57 yuan/ton compared with the previous week [11]. - Inter - monthly spread: This week, the RB2601 - RB2510 spread was 56 yuan/ton, a change of +13 yuan/ton compared with the previous week. The HC2601 - HC2510 spread was 7 yuan/ton, a change of - 4 yuan/ton compared with the previous week [12]. - Rebar - hot - rolled coil spread: This week, the HC2510 - RB2510 spread was 185 yuan/ton, a change of +34 yuan/ton compared with the previous week. The HC2601 - RB2601 spread was 136 yuan/ton, a change of +17 yuan/ton compared with the previous week [13]. 3.2 Supply - Demand Situation Analysis 3.2.1 Supply - This week, the blast furnace operating rate of 247 steel mills surveyed by Mysteel was 83.46%, unchanged from last week and 2.18 percentage points higher than last year. The steel mill profitability rate was 65.37%, an increase of 1.73 percentage points from last week and 58.88 percentage points higher than last year. The daily average pig iron output was 2.4071 million tons, a decrease of 15,200 tons from last week but an increase of 40,900 tons compared with last year [20]. - The total weekly output of the five major steel products was 867,420 tons, a week - on - week increase of 450 tons. The increase was mainly in cold - and hot - rolled coils, while the output of other varieties decreased to varying degrees [20]. - The profitability rate of 247 steel mills continued to increase to 65.37%, reaching a high in more than nine months. The blast furnace operating rate remained unchanged at 83.46% for the third consecutive week. The blast furnace iron - making capacity utilization rate decreased to 90.24%, and the daily average pig iron output continued to decline by 15,200 tons to 2.4071 million tons, but the year - on - year increase still reached 1.73% [20]. 3.2.2 Demand - Recently, the State Council approved the construction of a hydropower project in the lower reaches of the Yarlung Zangbo River with a total investment of 1.2 trillion yuan, indicating good prospects for future infrastructure steel demand. - On the 31st, the third round of Sino - US economic and trade negotiations ended, and both sides agreed to extend the tariff truce period originally due to expire on August 12 by 90 days. The tariffs on China remained the same as before. There are signs of easing in Sino - US trade frictions and expectations of future Fed rate cuts. It is expected that the path for the implementation of the off - season logic will be less smooth, and demand will maintain a certain level of resilience. Currently, the demand for hot - rolled coils is still stronger than that for rebar, and this pattern is expected to continue for some time due to the arrival of the seasonal off - season for building materials [30]. 3.2.3 Inventory - This week, the social inventory of steel products in major cities across the country was 942,370 tons, a week - on - week increase of 152,900 tons. The inventory of steel mills by variety was 409,520 tons, a week - on - week increase of 1,000 tons. The total inventory of social and steel mills was 1.35189 million tons, a week - on - week increase of 153,900 tons. The overall inventory is at a low level compared with the same period, and steel mills have significantly reduced their inventory, transferring it downstream, continuing a certain de - stocking trend [36]. 3.2.4 Profit - The profitability rate of 247 steel mills continued to increase to 65.37%, reaching a high in more than nine months. The blast furnace operating rate remained unchanged at 83.46% for the third consecutive week. The blast furnace iron - making capacity utilization rate decreased to 90.24%, and the daily average pig iron output continued to decline by 15,200 tons to 2.4071 million tons, but the year - on - year increase still reached 1.73% [47]. - With the recovery of profits, electric - arc furnace steel mills continued to increase production and resume production, resulting in a significant increase in the operating rate and capacity utilization rate. However, due to poor steel sales, the overall recovery amplitude narrowed. As of July 30, the average operating rate of 87 independent electric - arc furnace steel mills in the country increased by 2.19% to 74.21%, and the capacity utilization rate increased by 1.56% to 57.05%, both reaching an eight - week high [47]. 3.2.5 Raw Material Prices - Affected by domestic policies this week, the prices of major raw materials fluctuated significantly. The price of Tangshan steel billets decreased by 100 yuan/ton to 3,097 yuan/ton, and the price of 61.5% PB powder decreased by 17 yuan/ton to 765 yuan/ton [56]. 3.3 Summary and Investment Suggestions - This week, the inventory of the five major steel products increased by 153,900 tons to 1.35189 million tons, ending a four - week decline and reaching a seven - week high. The social inventory increased by 153,900 tons, and the steel mill inventory increased slightly by 1,000 tons. Specifically, the social inventory of rebar increased by 111,700 tons, while the steel mill inventory decreased by 35,200 tons. The weekly output decreased slightly, and the apparent demand decreased by 6.08% or 131,700 tons to 2.0341 million tons, the lowest in five months. The output increase of hot - rolled coils was greater than the inventory increase, and the apparent demand rebounded by 47,600 tons to 3.2 million tons. The apparent demand for cold - rolled and medium - thick plates fluctuated relatively little [60]. - Currently, the proportion of industrial logic is gradually increasing, and policy expectations are decreasing. After important events such as Sino - US tariff negotiations, the Politburo meeting, and the US interest - rate meeting have concluded, market sentiment has significantly cooled. In the short term, prices have entered a period of volatile consolidation, but the upward trend is expected to remain unchanged, although the momentum has slowed. In the later stage, attention should be paid to whether terminal demand can show better - than - expected performance [60].

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Strategy - **Model Construction Idea**: The core idea is to identify expectation gaps in the market and enhance portfolio returns by incorporating surprise expectation factors (e.g., SUE, ROE YoY growth) [31] - **Model Construction Process**: - Based on the PB-ROE pricing model derived by Wilcox (1984), stocks with significant expectation gaps are selected to form a pool - From this pool, 50 stocks are selected using factors such as standardized unexpected earnings (SUE) and ROE YoY growth to construct the PB-ROE-50 portfolio [31] - **Model Evaluation**: The strategy achieved positive excess returns across different stock pools, demonstrating its effectiveness in capturing market expectation gaps [31] 2. Model Name: Institutional Research Strategy - **Model Construction Idea**: This strategy leverages public and private institutional research data to extract alpha by analyzing the frequency of company visits and stock performance relative to benchmarks before the visits [39] - **Model Construction Process**: - Public Research Selection: Stocks are selected based on the number of visits by public institutions and their relative performance to the CSI 800 index - Private Research Tracking: Stocks are selected based on the number of visits by well-known private institutions and their relative performance to the CSI 800 index [39] - **Model Evaluation**: Both public and private research strategies generated significant positive excess returns, indicating the value of institutional research data in stock selection [39] --- Model Backtesting Results 1. PB-ROE-50 Strategy - **Excess Return (YTD)**: - CSI 500: 3.62% - CSI 800: 9.73% - All Market: 10.36% [35] - **Excess Return (Last Month)**: - CSI 500: 0.59% - CSI 800: 2.91% - All Market: 2.34% [35] - **Absolute Return (YTD)**: - CSI 500: 12.68% - CSI 800: 15.10% - All Market: 20.07% [35] - **Absolute Return (Last Month)**: - CSI 500: 5.88% - CSI 800: 7.02% - All Market: 6.77% [35] 2. Institutional Research Strategy - **Excess Return (YTD)**: - Public Research: 7.03% - Private Research: 18.00% [42] - **Excess Return (Last Month)**: - Public Research: 3.66% - Private Research: 5.58% [42] - **Absolute Return (YTD)**: - Public Research: 12.26% - Private Research: 23.77% [42] - **Absolute Return (Last Month)**: - Public Research: 7.80% - Private Research: 9.80% [42] --- Quantitative Factors and Construction Methods 1. Factor Name: Percentage of Advancing Stocks (Market Sentiment Indicator) - **Factor Construction Idea**: Strong-performing stocks often exhibit a demonstration effect, and the percentage of advancing stocks can reflect market sentiment. A higher percentage indicates optimism, while an overly high percentage may signal overheating [12] - **Factor Construction Process**: - Formula: $ \text{Percentage of Advancing Stocks (N days)} = \frac{\text{Number of CSI 300 stocks with positive returns over N days}}{\text{Total number of CSI 300 stocks}} $ - The indicator is smoothed using two moving averages (N1 = 50, N2 = 35). When the short-term average (fast line) exceeds the long-term average (slow line), it signals a bullish market sentiment [12][13][15] - **Factor Evaluation**: The indicator effectively captures upward opportunities but struggles to avoid risks in declining markets. It may also miss gains during prolonged market exuberance [12] 2. Factor Name: Moving Average Sentiment Indicator - **Factor Construction Idea**: This factor uses an eight-moving-average system to assess the trend state of the CSI 300 index. By assigning values to different ranges of the moving average, the relationship between indicator states and index trends becomes clearer [20] - **Factor Construction Process**: - Calculate the eight moving averages of the CSI 300 closing price (parameters: 8, 13, 21, 34, 55, 89, 144, 233) - Assign values based on the range of the moving averages: - Range 1/2/3: -1 - Range 4/5/6: 0 - Range 7/8/9: 1 - A bullish signal is generated when the number of moving averages below the current price exceeds 5 [20][26] - **Factor Evaluation**: The indicator provides a clear relationship between sentiment states and index trends, aiding in market timing [20] 3. Factor Name: Leverage Ratios (Debt Indicators) - **Factor Construction Idea**: High leverage ratios indicate greater debt pressure and liquidity risks. Three calculation methods (traditional, strict, and relaxed) are used to assess leverage comprehensively [44] - **Factor Construction Process**: - Traditional Leverage Ratio: $ \text{Traditional Leverage Ratio} = \frac{\text{Short-term Debt + Long-term Debt + Bonds Payable}}{\text{Total Assets}} $ - Strict Leverage Ratio: $ \text{Strict Leverage Ratio} = \frac{\text{Short-term Debt + Interest Payable + Financial Liabilities + Short-term Bonds + Lease Liabilities + Long-term Debt + Bonds Payable + Long-term Payables}}{\text{Total Assets}} $ - Relaxed Leverage Ratio: $ \text{Relaxed Leverage Ratio} = \frac{\text{Strict Leverage Components + Other Current Liabilities + Liabilities Held for Sale + Non-current Liabilities Due Within One Year}}{\text{Total Assets}} $ [44] - **Factor Evaluation**: The relaxed leverage ratio provides more opportunities for short positions compared to traditional metrics [44] 4. Factor Name: Financial Cost Burden Ratio - **Factor Construction Idea**: This factor measures the pressure of interest payments on companies by isolating interest expenses from financial costs, providing a clearer view of financial burdens [48] - **Factor Construction Process**: - Formula: $ \text{Financial Cost Burden Ratio} = \frac{\text{Interest Expenses}}{\text{EBIT}} $ [48] - **Factor Evaluation**: The factor effectively highlights companies with high financial stress, aiding in risk identification [48] --- Factor Backtesting Results 1. Percentage of Advancing Stocks - **Latest Value**: Above 70% as of July 31, 2025, indicating high market sentiment [12] 2. Moving Average Sentiment Indicator - **Latest State**: CSI 300 index is in a sentiment boom zone as of July 31, 2025 [20] 3. Leverage Ratios - **Top Stocks by Relaxed Leverage Ratio**: - Example: Dizhiyiyao-U (64.10%), Shenzhouxibao (64.06%), Zhongyida (59.68%) [45] 4. Financial Cost Burden Ratio - **Top Stocks by Financial Cost Burden**: - Example: Liaoning Chengda (241084.42), Yinbaoshanxin (2314.41), Ashichuang (69.43) [49]

Core Viewpoint - The company's stock price is influenced by multiple factors including macroeconomic conditions and market sentiment, and it has established a comprehensive performance evaluation system for management that links assessment results to compensation and promotions [1] Group 1 - The company has developed a multidimensional management assessment system covering financial indicators, business expansion, and team management [1] - The assessment results are directly tied to compensation and promotion, ensuring alignment with performance [1] - The company is committed to continuously optimizing its management practices to enhance operational efficiency [1]