量化大势研判 202603 3 月核心推荐预期成长风格 glmszqdatemark 执业证书： S0590525110059 邮箱： yeerle@glms.com.cn 相关研究 2026 年 03 月 04 日 [Table_Author] 分析师 叶尔乐 为了解决风格系统化轮动难题，我们开启了自下而上的量化大势研判探究。所谓 风格是资产本身的内在属性，内嵌于其产业生命周期的变化中，存在五种风格阶 段：外延成长、质量成长、质量红利、价值红利、破产价值。全局比较下来的优 势资产其特征属性，即为未来市场的主流风格。可通过 g>ROE>D 的基本优先级 进行考察，分析"有没有（好资产）"和"（好资产）贵不贵"进行优势资产的比 较判断，最后聚焦当下最具有优势的细分板块。 预期增速资产优势差继续回升，实际增速资产优势差变化不大，继续核心推荐预 期成长风格，景气类成长有待财报验证。△gf 继续保持扩张，其主要来自 Top 组 的上升，高预期增速板块依然有表现机会；△g 同样扩张但变化不大，景气类策略 虽缺乏基本面动量优势，看后续财报披露下是否会再次开启上升趋势。 ROE 的优势差回升但幅度走弱，拥挤度较低下，可挑选 ...

Core Viewpoint - Aerospace Engineering has shown significant financial activity with a notable increase in revenue and net profit, indicating strong business performance and investor interest [2][3]. Group 1: Financial Performance - As of September 30, Aerospace Engineering achieved a revenue of 2.987 billion yuan, representing a year-on-year growth of 79.16% [2]. - The net profit attributable to shareholders for the same period was 134 million yuan, reflecting a year-on-year increase of 5.42% [2]. - Cumulative cash dividends since the company's A-share listing amount to 567 million yuan, with 196 million yuan distributed over the past three years [3]. Group 2: Shareholder and Market Activity - As of February 25, the company had a total of 23,200 shareholders, an increase of 1.38% from the previous period [2]. - The average number of circulating shares per shareholder decreased by 1.36% to 23,135 shares [2]. - On February 25, the financing buy-in amounted to 66.6452 million yuan, while the financing repayment was 80.2404 million yuan, resulting in a net financing outflow of 13.5952 million yuan [1]. Group 3: Business Operations - Aerospace Engineering specializes in coal gasification technology and related equipment, with its main business revenue sources being industrial gas operations (49.87%) and clean coal utilization (46.17%) [1]. - The company has a financing balance of 4.81 billion yuan, which constitutes 2.66% of its market capitalization, indicating a high level of financing activity [1].

Group 1 - Shanxi Coking's stock price increased by 5.11%, reaching 4.73 CNY per share, with a trading volume of 285 million CNY and a turnover rate of 2.40%, resulting in a total market capitalization of 12.119 billion CNY [1] - Shanxi Coking Co., Ltd. was established on August 2, 1996, and listed on August 8, 1996. The company's main business involves the production and sales of coke and related chemical products [1] - The revenue composition of Shanxi Coking includes 63.52% from coke products, 35.95% from chemical products, 0.47% from modern services, and 0.05% from other sources [1] Group 2 - Guotai Fund's ETF, Guotai Zhongzheng Coal ETF (515220), is among the top ten circulating shareholders of Shanxi Coking, having increased its holdings by 31.12 million shares to a total of 50.9995 million shares, representing 1.99% of the circulating shares [2] - The Guotai Zhongzheng Coal ETF (515220) was established on January 20, 2020, with a current size of 8.64 billion CNY. It has achieved a year-to-date return of 11.4%, ranking 663 out of 5580 in its category, and a one-year return of 14.04%, ranking 3429 out of 4297 [2] - The fund manager of Guotai Zhongzheng Coal ETF is Wu Zhonghao, who has a total fund asset size of 24.055 billion CNY and has been in the position for 4 years and 29 days, with the best fund return during his tenure being 110.52% and the worst being -17.57% [2]

Core Viewpoint - The company has achieved significant production milestones and aims for continued growth in 2026, driven by advanced technology and strong project support [1][3]. Group 1: Production Achievements - In January, the company produced 123,000 tons of various products, with a daily urea production capacity stabilizing at 3,000 tons, exceeding production targets [1]. - The company completed a key project, the Xinjiang Zhongneng Green Source Chemical Resource Clean and Efficient Comprehensive Utilization Project, with a total investment of 8.7 billion yuan, achieving trial production in just 19 months [1]. Group 2: Technological Advancements - The company utilizes the fourth-generation aerospace coal powder pressurized gasification technology, achieving a coal conversion rate of 99% [2]. - The intelligent production line enhances efficiency and stability while promoting green transformation in the industry [2]. Group 3: Operational Plans and Community Support - The company has developed a comprehensive plan to ensure continuous production during the Spring Festival, with key technical personnel assigned to critical positions [2][3]. - Local government support has been instrumental in addressing key issues such as stable coal supply and product logistics, facilitating smooth production operations [2]. Group 4: Future Outlook - The company plans to initiate the construction of an industrial chain extension project this year, with projected annual sales revenue exceeding 4 billion yuan and the potential to create 500 stable jobs [3].

Core Viewpoint - The company has provided guarantees for its wholly-owned and controlling subsidiaries to support their operational funding needs, ensuring financial stability and control over associated risks [1][9]. Group 1: Guarantee Details - The company has signed guarantee contracts with two banks, providing a total guarantee of 1 billion yuan (10,000 million) for its wholly-owned subsidiary, Tangshan Zhonghao Chemical Co., Ltd. [1][6] - The guarantee period for the contract with the Bank of Communications is calculated based on the debt performance period, extending three years beyond the last due date of the main debt [2][6]. - For the controlling subsidiary, Tangshan Kailuan Carbon Chemical Co., Ltd., the company has provided a guarantee of 9.5 million yuan (950 million) for a fixed asset investment project, with a guarantee period of three years after the debt performance period [3][8]. Group 2: Internal Decision-Making Process - The guarantees have been approved by the company's board of directors and the annual shareholders' meeting, eliminating the need for additional decision-making procedures [3]. Group 3: Necessity and Reasonableness of Guarantees - The guarantees are deemed necessary to meet the daily operational needs of the subsidiaries, which are under the company's control, thus keeping the risk manageable [9][10]. - The company has not provided guarantees to any other related parties, ensuring compliance with regulations and protecting shareholder interests [10]. Group 4: Cumulative Guarantee Situation - As of the announcement date, the company has approved a total of 350.85 million yuan in financing guarantees for its subsidiaries, with 151.15 million yuan already utilized, leaving a remaining quota of 199.7 million yuan [12]. - The total external guarantee amount is 191.83 million yuan, representing 13.42% of the company's latest audited net assets, with no overdue or irregular guarantees reported [12].

Core Viewpoint - The Shanxi state-owned enterprise reform sector experienced a 0.8% increase compared to the previous trading day, with Shanxi Coking leading the gains [1] Market Performance - On February 11, the Shanghai Composite Index closed at 4131.98, up 0.09% - The Shenzhen Component Index closed at 14160.93, down 0.35% [1] Capital Flow - The Shanxi state-owned enterprise reform sector saw a net inflow of 266 million yuan from main funds - Retail funds experienced a net outflow of 133 million yuan, while speculative funds also saw a net outflow of 133 million yuan [1]

Group 1: Dairy Industry Developments - Inner Mongolia's Ben Teng Dairy is utilizing the "Breeding No. 1 Chip" for genetic testing, reducing the evaluation time for dairy cattle from approximately 4 years to 45 days [1] - The "Breeding No. 1 Chip," developed by the National Dairy Technology Innovation Center, signifies China's independent mastery of high-yield, disease-resistant dairy cattle genomic testing technology [1] - China's dairy industry has significantly narrowed the gap with developed countries over the past 20 years, achieving global leadership in scale, standardization, and digitalization of dairy farming [1] Group 2: Meat Processing Innovations - Inner Mongolia's sheep can now be processed into over 170 products through refined processing techniques, enhancing the value of each sheep by approximately 20% [2] - Modernized meat processing facilities in Xilin Gol League are employing advanced techniques to meet diverse culinary needs, showcasing the region's commitment to quality and safety in food production [2] Group 3: Coal and Energy Sector Advancements - The Baofeng Energy project in Ordos is the world's largest coal-to-olefins facility, producing 3 million tons of olefins annually while implementing green hydrogen technology to reduce carbon emissions [3] - Inner Mongolia's industrial output has seen an average annual growth of 7%, with over 80 products, including rare earth compounds and coal-to-olefins, leading in national production [3] - The region's total power generation capacity stands at 310 million kilowatts, with renewable energy accounting for 170 million kilowatts, maintaining the highest electricity export volume in the country for 21 consecutive years [3]

Core Viewpoint - The company has provided guarantees for its subsidiaries, indicating a strategic move to support their financing needs and maintain operational stability [1] Group 1: Guarantees and Financial Support - The company announced that it has provided a joint liability guarantee for a credit line of 50 million yuan requested by its subsidiary, Huasheng Chemical [1] - Huasheng Chemical has also provided a guarantee of 40 million yuan for a credit line of 100 million yuan requested by its associate company, Qingxu Hongbo, representing a 40% ownership stake [1] - After these guarantees, the company and its subsidiaries have a remaining guarantee limit of 3.95 billion yuan, with total guarantees to subsidiaries and associates amounting to 7.272 billion yuan, which constitutes 50.32% of the latest audited net assets attributable to the parent company [1]

Group 1 - The company, Shanxi Coking, stated its commitment to enhance communication with its affiliated companies and stakeholders [2] - The company aims to actively fulfill its shareholder obligations to improve the operational and regulatory standards of its affiliated companies [2] - The focus is on promoting high-quality development for the company [2]

- The report introduces a quantitative model framework for market trend analysis, focusing on five asset style stages: external growth, quality growth, quality dividend, value dividend, and bankruptcy value. The model evaluates assets based on their intrinsic attributes and prioritizes them using the sequence of g > ROE > D, analyzing whether there are "good assets" and whether they are "expensive" [5][8][9] - The model incorporates key factors such as expected growth (gf), actual growth (g), profitability (ROE), high dividend (D), and bankruptcy value (B/P). Each factor is associated with specific market phases, e.g., expected growth is relevant across all phases, while profitability is emphasized during maturity phases [9][12] - The quantitative model has demonstrated strong historical performance, achieving an annualized return of 27.67% since 2009. It has shown consistent excess returns in most years, particularly post-2017, with limited effectiveness in years like 2011, 2012, and 2016 [19][22] - The model's backtesting results for specific years include notable excess returns, such as 51% in 2009, 36% in 2013, and 62% in 2022. However, it also recorded underperformance in years like 2011 (-11%) and 2014 (-4%) [22] - The report details six specific strategies derived from the model, each focusing on different factors: - **Expected Growth Strategy**: Selects industries with the highest analyst-forecasted growth rates. Recent recommendations include sectors like automotive sales, lithium equipment, and tungsten [38][39] - **Actual Growth Strategy**: Focuses on industries with the highest unexpected growth (△g). Current recommendations include photovoltaic equipment, insurance, and coal chemical sectors [40][41] - **Profitability Strategy**: Targets high-ROE industries with low valuations under the PB-ROE framework. Recommended sectors include copper, liquor, and non-dairy beverages [43][44] - **Quality Dividend Strategy**: Utilizes a DP+ROE scoring system to identify industries. Current recommendations include forestry, lithium equipment, and fiberglass [46][47] - **Value Dividend Strategy**: Employs a DP+BP scoring system. Recommended sectors include security, daily chemicals, and buses [49][50] - **Bankruptcy Value Strategy**: Focuses on industries with the lowest PB+SIZE scores. Current recommendations include automotive sales, ceramics, and cotton textiles [53][54]