Investment Rating - The industry investment rating is optimistic [1] Core Viewpoints - The report indicates that the steel sector remains resilient despite macroeconomic fluctuations [1] - The overall performance of the steel sector is expected to outperform the Shanghai and Shenzhen 300 Index by over 10% in the next six months [21] Price Performance - The SW Steel Index has shown a year-to-date increase of 7.1% [4] - The price of rebar (HRB400 20mm) is at 3,240 CNY per ton, with a weekly change of -0.6% and a year-to-date change of -2.4% [4] - The iron ore price index is at 104 USD per ton, reflecting a year-to-date increase of 4.0% [4] Inventory - The total social inventory of the five major steel products is 8.9 million tons, with a weekly increase of 2.6% and a year-to-date increase of 21% [5] - The total inventory at steel mills is 3.88 million tons, with a weekly change of 0% and a year-to-date change of 0.6% [5] - The port inventory of iron ore stands at 17.019 million tons, with a weekly increase of 1.5% and a year-to-date increase of 7.3% [5] Supply and Demand - The weekly output of the five major steel products is projected to be around 2.5 million tons [9] - The average daily molten iron production is expected to be approximately 2.4 million tons [9] - The operating rate of blast furnaces across 247 steel mills is a critical indicator of supply dynamics [11]

Quantitative Models and Factor Analysis Quantitative Models and Construction Methods Model 1: ETF Hot Trend Strategy - **Model Name**: ETF Hot Trend Strategy - **Model Construction Idea**: The strategy is based on selecting ETFs with the highest and lowest prices in an upward trend and further filtering them based on the steepness of the regression coefficients of the highest and lowest prices over the past 20 days[31] - **Model Construction Process**: 1. Select ETFs where both the highest and lowest prices are in an upward trend 2. Construct support and resistance factors based on the steepness of the regression coefficients of the highest and lowest prices over the past 20 days 3. Choose the top 10 ETFs with the highest turnover rate in the past 5 days relative to the past 20 days to construct a risk parity portfolio[31] - **Model Evaluation**: The strategy achieved a return of 61.41% since 2025, with an excess return of 38.22% compared to the CSI 300 Index[31] Model 2: ETF Three-Strategy Fusion - **Model Name**: ETF Three-Strategy Fusion - **Model Construction Idea**: The strategy combines three industry rotation strategies driven by quantitative fundamentals, quality low volatility, and distressed reversal to achieve factor and style complementarity and reduce the risk of a single strategy[34] - **Model Construction Process**: 1. Construct industry rotation strategies based on quantitative fundamentals, quality low volatility, and distressed reversal 2. Combine the three strategies in equal weights to select industries from different dimensions[34] - **Model Evaluation**: The strategy achieved a cumulative return of 12.24% from April 10, 2017, to January 30, 2026, with a Sharpe ratio of 0.74[39] Model 3: All-Weather Strategy - **Model Name**: All-Weather Strategy - **Model Construction Idea**: The strategy aims to achieve stable returns by avoiding the "prediction" dilemma through diversified risk. It follows three basic principles: asset selection, risk adjustment, and structural hedging[53] - **Model Construction Process**: 1. Select assets 2. Adjust risks 3. Perform structural hedging to achieve balanced allocation and smooth out volatility[53] - **Model Evaluation**: The high-volatility version achieved an annualized return of 11.8% with an average maximum drawdown of 3.6% and a Sharpe ratio of 2.3. The low-volatility version achieved an annualized return of 8.8% with an average maximum drawdown of 2.0% and a Sharpe ratio of 3.4[61] Model Backtesting Results ETF Hot Trend Strategy - **Return**: 61.41% since 2025[31] - **Excess Return**: 38.22% compared to CSI 300 Index[31] ETF Three-Strategy Fusion - **Cumulative Return**: 12.24% from April 10, 2017, to January 30, 2026[39] - **Sharpe Ratio**: 0.74[39] All-Weather Strategy - **High-Volatility Version**: - **Annualized Return**: 11.8%[61] - **Average Maximum Drawdown**: 3.6%[61] - **Sharpe Ratio**: 2.3[61] - **Low-Volatility Version**: - **Annualized Return**: 8.8%[61] - **Average Maximum Drawdown**: 2.0%[61] - **Sharpe Ratio**: 3.4[61] Quantitative Factors and Construction Methods Factor 1: Profitability Yield Factor - **Factor Name**: Profitability Yield Factor - **Factor Construction Idea**: Measures the profitability of stocks to identify high-profitability stocks[63] - **Factor Construction Process**: Calculate the profitability yield of stocks and select those with the highest profitability yield[63] - **Factor Evaluation**: Achieved a positive return of 3.24% this week, indicating that high-profitability stocks regained market favor[63] Factor 2: Value Factor - **Factor Name**: Value Factor - **Factor Construction Idea**: Measures the value of stocks to identify high-value stocks[63] - **Factor Construction Process**: Calculate the value of stocks and select those with the highest value[63] - **Factor Evaluation**: Achieved a positive return of 2.67% this week, reflecting that high-value stocks gained market attention[63] Factor 3: Leverage Factor - **Factor Name**: Leverage Factor - **Factor Construction Idea**: Measures the leverage of stocks to identify high-leverage stocks[63] - **Factor Construction Process**: Calculate the leverage of stocks and select those with the highest leverage[63] - **Factor Evaluation**: Achieved a positive return of 1.32% this week, indicating that high-leverage stocks gained market attention[63] Factor Backtesting Results Profitability Yield Factor - **Weekly Return**: 3.24%[63] Value Factor - **Weekly Return**: 2.67%[63] Leverage Factor - **Weekly Return**: 1.32%[63]

策 华福证券 2026 年 02 月 01 日 略 研 究 策 略 定 期 报 美国的战略收缩形态可能已经逐步形成——周观 点 投资要点： 近期观点 1、 新美联储主席人选或进一步指向美国正在进行战略收缩并试 图内部改革。 2、 美国或正从世界秩序的管理者滑落为新秩序的参与者。 3、 美联储试图挽救美元信用并配合美国政府重建生产力，但是 变革最大阻力或依旧来自以美股为代表的金融资本。 4、 美国政府部门债务扩张的可能性不大，密切关注居民和企业 部门债务变化，以判断科技股和商品市场的变化。 9、 长期看好保险，央国企，反内卷，中概互联网。 华福证券 团队成员 分析师： 李浩(S0210524050003) lh30530@hfzq.com.cn 分析师： 李刘魁(S0210524050006) llk30550@hfzq.com.cn 相关报告 1、市场状态高频数据库——1 月第 3 周—— 2026.01.26 2、地缘扰动、"抛售美债"与金银——2026.01.26 3、海外科技和商品是对美元债务的避险，中国定 研 究 风险提示 告 5、 美元贬值趋势下，人民币信用或将在全球出现非线性加速扩 张，节奏关注美 ...

Investment Rating - The report maintains an "Overweight" rating for the steel industry [5]. Core Insights - Demand is expected to gradually stabilize, while supply-side constraints are anticipated to continue, leading to a potential recovery in the steel industry's fundamentals. If supply policies are implemented, the contraction in supply may accelerate, facilitating a quicker industry upturn [3][4]. Summary by Sections Steel Market Overview - Steel prices have decreased, with the Shanghai rebar price dropping by 20 CNY/ton to 3240 CNY/ton, a decline of 0.61%. The total inventory of steel has increased by 1.70% to 12.7851 million tons [8][12]. - Apparent consumption of five major steel products was 8.0174 million tons, down 0.96% week-on-week but up 28.96% year-on-year [21]. - The production of five major steel products was 8.2317 million tons, an increase of 0.44% week-on-week [12][37]. Supply and Demand Dynamics - Approximately 60% of steel companies are currently operating at a loss, indicating a market-driven supply clearance is beginning to occur [4]. - The construction sector's demand for steel is expected to stabilize, while demand from infrastructure and manufacturing is projected to grow steadily [4]. Profitability and Production Margins - The average gross profit for rebar was 196.9 CNY/ton, down 11.7 CNY/ton from the previous week, while hot-rolled coil profit increased by 2.3 CNY/ton to 46.9 CNY/ton [39]. - The profitability rate of 247 steel companies was 39.39%, a decrease of 1.3% from the previous week [28]. Recommendations - The report recommends focusing on companies with leading technology and product structures, such as Baosteel and Hualing Steel, as well as low-cost firms like Fangda Special Steel and New Steel [4]. - It also highlights the potential of upstream resource companies like Hebei Resources and Erdos, which may benefit from a recovery in demand [4].

Investment Rating - The report maintains a "Positive" outlook on the metals and new materials industry [3]. Core Insights - The report highlights increased volatility in the metals sector due to intensified capital competition, with the non-ferrous metals index outperforming the broader market indices [2][5]. - The report suggests that the precious metals sector is poised for recovery, driven by central bank gold purchases and a favorable long-term outlook for gold prices [4][24]. - Industrial metals, particularly copper and aluminum, are expected to see price increases due to stable supply-demand dynamics and significant infrastructure investments [4][48]. Weekly Market Review - The Shanghai Composite Index fell by 0.44%, while the Shenzhen Component Index dropped by 1.62%. In contrast, the non-ferrous metals index rose by 3.37%, outperforming the CSI 300 Index by 3.29 percentage points [5][8]. - Year-to-date, the non-ferrous metals index has increased by 22.59%, surpassing the CSI 300 Index by 20.94 percentage points [9]. Price Changes - The report details price fluctuations for various metals, with copper prices increasing by 0.32% and aluminum prices decreasing by 0.79% week-on-week [16]. - Precious metals saw significant price changes, with gold prices down by 1.52% and silver prices down by 17.44% [16]. Inventory Changes - Copper inventories in domestic markets decreased by 0.7 million tons, while exchange inventories increased by 2.5 million tons [33]. - Aluminum social inventories totaled 102.55 million tons, reflecting a week-on-week increase of 6.05 million tons [49]. Sector-Specific Insights - **Precious Metals**: The report emphasizes the potential for gold prices to rise due to increased central bank purchases and a favorable economic outlook [24]. - **Industrial Metals**: Copper demand is expected to remain strong, supported by infrastructure investments and a stable supply chain [4][33]. - **Aluminum**: The report notes a decrease in the operating rates of downstream processing enterprises, indicating potential supply constraints [48]. Growth Cycle Investment Analysis - The report recommends focusing on stable supply-demand dynamics in the new energy manufacturing sector, highlighting companies such as Huafeng Aluminum and Baowu Magnesium [4].

Core Viewpoint - In 2025, despite a continuous decline in demand for the fifth consecutive year, the overall profit of China's steel industry experienced a significant rebound, with profits reaching 109.83 billion yuan, a year-on-year increase of 299.2% [1] Group 1: Industry Performance - The steel industry is witnessing a divergence in performance among A-share listed companies, with some like Shougang Co. and Shandong Steel turning losses into profits due to product optimization and cost reduction, while others like Ansteel and Chongqing Steel remain in the loss zone [1][3] - The significant drop in raw material costs, including an 8% decrease in imported iron ore and a 27% drop in coking coal, has aided some leading steel companies in reducing losses [2] - The shift from construction steel to manufacturing steel marks a historic transition in the industry, driven by the retreat of real estate profits and the necessity for high-end transformation [1][5] Group 2: Company-Specific Insights - Shandong Steel is projected to achieve a net profit of approximately 100 million yuan in 2025, a turnaround from a loss of 2.891 billion yuan the previous year, aided by deep collaboration with China Baowu and cost-saving measures [2] - Shougang Co. expects a net profit between 920 million and 1.06 billion yuan, reflecting a significant growth of 95.29% to 125.01% year-on-year, driven by a high-end and differentiated product strategy [3] - Ansteel anticipates a loss of around 4.077 billion yuan, a reduction of 42.75% from the previous year's loss, while Chongqing Steel expects a loss between 2.5 billion and 2.8 billion yuan, indicating ongoing challenges despite some improvements [4] Group 3: Market Dynamics - The demand structure in the steel industry has fundamentally reversed, with the proportion of steel used in construction dropping from 53% in 2020 to 36% in 2025, while manufacturing steel usage rose from 42% to 53% [6] - The export of steel reached 119 million tons in 2025, a year-on-year increase of 7.5%, although the average export price fell by 8.1% to 694 USD per ton, indicating a competitive "volume for price" scenario [7] - The industry faces a challenging market environment, with domestic steel demand declining for five consecutive years and a strong supply-demand imbalance [7][8]

新兴产业、未来产业激活新动能。福建在新型储能、生物制造等工业新兴领域培育国家级中小企业特色 产业集群，紧盯氢能、核技术应用、具身智能等未来产业赛道加强谋划，推动新兴产业规模扩大。今 年，江西重点布局未来能源等六大未来产业，瞄准金属新材料、脑机接口、固态电池等新赛道，加速形 成一批千亿元级未来产业集群。江苏聚焦生物制造、航空航天等领域，组织省科技重大专项40项攻关任 务，同时围绕人工智能产业布局一批场景开放创新中心，加速算法模型研发，加大数据资源供给。 央视网消息（新闻联播）：新年开新局。各地相继出台务实有力新举措，促进产业升级，激活发展新动 能。 传统制造业焕发新活力。今年，辽宁围绕22个重点产业集群、100条以上产业链、1000家以上重点企 业，全力推进数字化转型，梯度培育智能工厂，构建"技术创新—中试转化—产业应用"全链条体系。甘 肃今年启动实施"万企联网"工程，推动人工智能融入传统制造业，在工艺优化、流程改造等场景引入数 字化转型解决方案，促进传统制造业焕新升级。河北推动制造业重大技术改造升级和大规模设备更新， 以人工智能赋能钢铁、化工等重点产业，一体推进制造业数字化、网络化、智能化转型。 ...

Investment Rating - The report maintains an "Overweight" rating for the steel industry [5] Core Viewpoints - Demand is expected to gradually stabilize, while supply-side constraints are anticipated to continue, leading to a potential recovery in the steel industry's fundamentals [3][5] - The industry has been experiencing prolonged micro-profit conditions, and market-driven supply adjustments have begun to emerge [3][5] - The report highlights that approximately 60% of steel companies are currently operating at a loss, indicating ongoing supply-side challenges [5] Summary by Sections Steel - Steel prices have decreased week-on-week, with the Shanghai rebar price dropping by 20 CNY/ton to 3240 CNY/ton, a decline of 0.61% [8] - The apparent consumption of five major steel products was 8.0174 million tons, down 0.96% week-on-week but up 28.96% year-on-year [21] - The total inventory of steel reached 12.7851 million tons, increasing by 1.70% week-on-week, maintaining a low level [5][12] - The operating rate of blast furnaces among 247 steel mills rose to 79%, an increase of 0.32 percentage points from the previous week [28] - The average gross profit for rebar was 196.9 CNY/ton, down 11.7 CNY/ton from the previous week, while hot-rolled coil profit increased by 2.3 CNY/ton to 46.9 CNY/ton [39] Raw Materials - Iron ore spot prices decreased, with the price for PB powder (61.5% iron content) at 792 CNY/ton, down 9 CNY/ton [46] - The port inventory of iron ore rose to 17.022 million tons, an increase of 1.53% [50] - The total shipment volume of major iron ore producers increased, with Brazil's shipment at 4.852 million tons, up 1.06% week-on-week [51] Investment Recommendations - The report recommends focusing on companies with leading technology and product structures, such as Baosteel and Hualing Steel, as well as low-cost firms like Fangda Special Steel and New Steel [5] - It also highlights the potential of upstream resource companies benefiting from demand recovery trends, recommending Hebei Resources and Erdos among others [5]

Group 1 - The new Federal Reserve Chairman Kevin Warsh's policies may lead to a stronger US dollar, impacting global asset pricing, with a notable reaction seen in precious metals [4][12][17] - The report highlights three main channels through which exchange rates affect equity markets: corporate cost and profit elasticity, capital flow and asset pricing, and macroeconomic expectations and risk appetite [20][21][22] - The report suggests that during the current phase of the global dollar cycle, Chinese equity assets are in a favorable revaluation window due to the transition to a mild appreciation of the RMB and foreign capital inflows [4][19][60] Group 2 - The analysis indicates a significant negative correlation between the US dollar and the S&P 500 index, where a weaker dollar often corresponds with a rising stock market [25][27][33] - The report discusses the unique "devaluation—foreign capital inflow—transaction expansion—valuation increase" model in Japan, where yen depreciation enhances export competitiveness and EPS for Japanese companies [39][42] - In the Eurozone, the report notes a weak coupling between the euro and European stock markets, with euro depreciation benefiting export-oriented sectors but being diluted by internal economic disparities [47][53] Group 3 - The report identifies specific industries that benefit from RMB appreciation, including aviation, paper manufacturing, basic chemicals, semiconductors, and banks, due to reduced import costs and improved financial conditions [21][22][60] - The analysis of Brazil's IBOVESPA index shows a high correlation with the Brazilian real, indicating that currency fluctuations significantly impact asset pricing in emerging markets [54][56][58] - The report emphasizes the importance of incorporating exchange rate logic into asset allocation strategies, particularly in the context of RMB appreciation and its effects on A-shares and Hong Kong stocks [59][63]

Investment Rating - The report does not explicitly state an investment rating for the steel industry, but it discusses various performance metrics and market conditions that may influence investment decisions [96]. Core Insights - The steel industry is currently in a raw material stocking phase, with steel mills increasing iron ore imports while steel inventories remain low, indicating a cautious approach to production amid weak price differentials and expectations of low post-holiday activity [1][11]. - Raw material prices have remained stable, with external prices driven higher by export policies while domestic prices face downward pressure, leading to a current loss of 37.9 yuan per ton for steel mills [1][11]. - The profitability of steel companies has slightly decreased to 39.4%, reflecting the impact of rising raw material costs on financial performance [1][11]. - The CITIC Steel Index has decreased by 2.0% this week, underperforming the broader market by 1.6%, although the performance of general steel stocks has remained relatively stable [1][11]. Summary by Sections 1. Steel Industry Overview & Index Performance - Steel mills are in a raw material stocking phase, with increasing iron ore imports and low steel inventories [1][11]. - The domestic steel price differential has decreased by 2.9 yuan, indicating financial strain on steel mills [1][11]. - The CITIC Steel Index has shown a decline, reflecting broader market trends [1][11]. 2. Sub-Industry Fundamentals - Hot-rolled coil prices have slightly decreased, with the average price for 3.0mm hot-rolled coil at 3355 yuan per ton, down 1 yuan from last week [2][12]. - Social inventory of hot-rolled coils has decreased, with a total of 278.33 million tons, down 2.82 million tons week-on-week [2][12]. 3. Black Industry Chain Price Data Update - The price index for metallurgical coke has remained stable, with trade-out prices for first-grade coke at 1470 yuan per ton [3][13]. - The average daily production of iron concentrate has increased slightly to 469,500 tons, with iron ore prices showing mixed trends [4][14]. 4. Black Industry Chain Supply and Demand Data Update - Iron ore inventory at ports continues to rise, indicating a supply-side pressure on prices [4][14]. - The report highlights the need to monitor the recovery speed of coal mines and its impact on coke prices post-holiday [3][13].