Investment Rating - The industry investment rating is "Strongly Outperform the Market" and is maintained [1] Core Viewpoints - The current focus in the petrochemical sector is on crude oil prices, which are primarily influenced by geopolitical factors, including developments in Iran, U.S. military actions, and negotiations regarding the Strait of Hormuz [2] - This week, the petrochemical index performed relatively well, closing at 2248.68 points, with a decrease of 1.03% compared to last week, while the oilfield services sector saw the best performance with a rise of 4.53% [3][2] - Crude oil prices have increased this week, with a decline in U.S. crude oil inventories and an increase in refined oil inventories [5][10] - Polyester prices, particularly for polyester filament yarn, have risen, with inventory days decreasing and operating rates declining in Jiangsu and Zhejiang [12][18] - Polyolefin prices remained stable, with a decrease in inventory levels during the week [20][24] Summary by Sections Crude Oil - Crude oil prices have risen, with U.S. crude oil inventories decreasing and refined oil inventories increasing [5][10] - As of June 20, Brent crude futures and TTF natural gas futures closed at $76.52 per barrel and €40.94 per MWh, respectively, marking increases of 4.1% and 9.0% compared to the previous week [8] Polyester - Polyester filament yarn prices have increased, with POY, DTY, and FDY prices at 7150, 8350, and 7430 yuan per ton, respectively, showing price differentials that have expanded [14][12] - Inventory days for polyester filament yarn in Jiangsu and Zhejiang have decreased, with operating rates at 90.6% and 60.7% for filament yarn and downstream weaving machines, respectively [18][12] Polyolefins - Sample prices for polyethylene and polypropylene were 7700 and 8076 yuan per ton, with slight changes of 0% and -0.20% respectively [24] - Polyolefin inventory stood at 740,000 tons, down by 70,000 tons from the previous week [24]

Group 1 - The core focus of the petrochemical sector is currently on crude oil prices, which are influenced by geopolitical factors, including U.S. military actions in Iran and negotiations regarding the Strait of Hormuz [2][3] - This week, the Shenyin Wanguo first-level industry index for the petrochemical sector performed relatively well, closing at 2248.68 points, a decrease of 1.03% compared to last week [2][3] - The oilfield services sector showed the best performance within the petrochemical industry this week, with a price increase of 4.53% [2][3] Group 2 - Crude oil prices increased this week, with a decrease in U.S. crude oil inventories and an increase in refined oil inventories [3] - In the polyester segment, the price of polyester filament rose, leading to an expansion in price differentials, while the inventory days for polyester filament in Jiangsu and Zhejiang decreased, and the operating rate of weaving machines declined [3] - For olefins, the spot prices of sample polyolefins remained stable, with a decrease in inventory during the week [4]

| 行情 | 资金净流入 | 涨跌分布 | | --- | --- | --- | | 上证指数 | 深证成指 | 北证50 | | 3365.07 | 9988.66 | 1354.36 | | +5.17 +0.15% -16.37 -0.16% +6.90 +0.51% | | | | 科创50 | 创业板指 | 万得全A | | 960.12 | 2003.26 | 5097.28 | | +2.25 +0.24% -6.63 -0.33% +10.02 +0.20% | | | | 沪深300 | 中证500 | 中证A500 | | 3838.86 | 5642.26 | 4487.16 | | -7.78 -0.20% +2.75 +0.05% | | -5.38 -0.12% | | 中证1000 | 深证100 | 中证红利 | | 6030.48 | 4375.10 | 5394.26 | | +30.89 +0.51% | -23.28 -0.53% | +0.55 +0.01% | 若按照申万一级行业分类，煤炭板块领涨，板块涨幅超过1%。石油石化、国防军工、有色金属等板块涨幅居前。 A ...

Group 1 - China National Petroleum Corporation (CNPC) has launched a new model for agricultural support during the "Three Summer" season, providing a full-process oil delivery service from storage to farmers in Hebei province [1] - CNPC has organized 1,811 oil delivery trips, achieving a 67% increase in response speed and a 55% increase in delivery volume, while also reducing transportation losses through large-scale scheduling [1] - A collaborative working group has been established among five provinces to streamline oil supply for agricultural machinery, focusing on efficient resource allocation and market development [1] Group 2 - China Petroleum and Chemical Corporation (Sinopec) has set up 11,000 supply stations and 12,000 green channels, serving over 4 million agricultural machinery users during the "Three Summer" period [2] - Sinopec has increased domestic gasoline and diesel supply, ensuring that essential agricultural materials are readily available at 1,200 gas stations in Jiangsu province, with 24-hour service for farmers [2] - A strategic cooperation agreement has been signed between Sinopec Hubei and the Hubei Agricultural Development Center to manage 100,000 tons of subsidized diesel, enhancing support for local agricultural production [2]

Group 1 - International oil prices have risen significantly, with Brent crude increasing by 2.48% and WTI by 2.7%, both showing over 20% gains since June, primarily driven by the Israel-Iran conflict [3][5] - The oil and gas resource ETF (159309) has seen a substantial inflow of capital, with over 7 million shares net subscribed and a total of over 64 million yuan raised in the past 10 days [1][3] - Major stocks within the oil and gas ETF have experienced significant price increases, with Tongyuan Petroleum rising over 10% and China National Offshore Oil Corporation (CNOOC) showing a slight increase of 0.90% [3][4] Group 2 - The geopolitical tensions, particularly the U.S. attacks on Iranian nuclear facilities, have escalated risks in the region, with potential implications for oil supply and prices [5][6] - Goldman Sachs has indicated that while they do not foresee major supply disruptions, the risks of supply decline and price increases have risen, predicting Brent crude could reach around 90 USD per barrel if Iranian oil supply decreases by 1.75 million barrels per day [6][7] - The strategic importance of the Strait of Hormuz is highlighted, as approximately 11% of global maritime trade passes through it, including significant percentages of oil and gas exports [8]

Quantitative Models and Construction Methods 1. Model Name: Broad-based Index Heat Rotation Strategy - **Model Construction Idea**: The strategy is based on the weekly heat change rate (MA2) of broad-based indices. By identifying the index with the highest heat change rate, the strategy aims to capture short-term market sentiment shifts[7][13][16] - **Model Construction Process**: 1. Group all A-share stocks into five categories: CSI 300, CSI 500, CSI 1000, CSI 2000, and "Others" 2. Calculate the total heat indicator for each group by summing the heat indicators of constituent stocks 3. Compute the weekly heat change rate for each group and apply a 2-week moving average (MA2) for smoothing 4. At the end of each week, invest in the index with the highest heat change rate (MA2). If the "Others" group has the highest rate, remain in cash[8][11][13] - **Model Evaluation**: The strategy demonstrates the ability to capture short-term sentiment-driven opportunities in the market[13] --- Backtesting Results of Models 1. Broad-based Index Heat Rotation Strategy - **Annualized Return**: 8.74% since 2017[16] - **Maximum Drawdown**: 23.5%[16] - **Cumulative Return (2025)**: 9.6%[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Total Heat Indicator - **Factor Construction Idea**: The total heat indicator is used as a proxy for market sentiment, aggregating the attention metrics of individual stocks[7] - **Factor Construction Process**: 1. Define the total heat indicator for individual stocks as the sum of browsing, watchlist additions, and click counts 2. Normalize the indicator by dividing it by the total market value on the same day 3. Multiply the normalized value by 10,000 to scale the indicator within the range [0, 10,000][7] - **Factor Evaluation**: The factor effectively captures market sentiment at the stock level and can be aggregated to broader categories like indices, industries, or concepts[7] 2. Factor Name: Weekly Heat Change Rate (MA2) - **Factor Construction Idea**: This factor measures the short-term change in market sentiment by tracking the weekly variation in the total heat indicator[13] - **Factor Construction Process**: 1. Calculate the weekly change rate of the total heat indicator for each stock or group 2. Apply a 2-week moving average (MA2) to smooth out short-term fluctuations[13][20] - **Factor Evaluation**: The MA2 smoothing enhances the stability of the factor, making it suitable for identifying trends in market sentiment[13] 3. Factor Name: Concept Heat Ranking - **Factor Construction Idea**: This factor identifies the hottest and coldest concepts based on their weekly heat change rates, enabling the construction of sentiment-driven portfolios[31] - **Factor Construction Process**: 1. Rank concepts by their weekly heat change rates 2. Select the top 5 concepts with the highest heat change rates 3. Construct two portfolios: - **TOP Portfolio**: Select the top 10 stocks with the highest total heat within each concept - **BOTTOM Portfolio**: Select the bottom 10 stocks with the lowest total heat within each concept[31] - **Factor Evaluation**: The factor highlights the potential for excess returns by exploiting sentiment-driven mispricing in concept stocks[31] --- Backtesting Results of Factors 1. Total Heat Indicator - **No specific backtesting results provided** 2. Weekly Heat Change Rate (MA2) - **No specific backtesting results provided** 3. Concept Heat Ranking - **BOTTOM Portfolio Annualized Return**: 15.71%[33] - **BOTTOM Portfolio Maximum Drawdown**: 28.89%[33] - **BOTTOM Portfolio Cumulative Return (2025)**: 18%[33]

Investment Rating - The report maintains a "Strong Outperform" rating for the oil and petrochemical sector [1]. Core Viewpoints - The ongoing conflict between Iran and Israel is causing oil prices to fluctuate strongly, with WTI crude futures closing up 0.22% and Brent crude futures up 2.89% during the specified period [6]. - The geopolitical situation is tense, with the U.S. potentially escalating its involvement, which could further disrupt oil supply through the Strait of Hormuz, a critical passage for approximately 20% of global oil trade [6]. - In the fluorochemical sector, strong demand from the air conditioning industry is supporting high prices for fluorinated refrigerants, with R32 prices continuing to rise and R134a prices remaining stable [6]. Summary by Sections Oil and Petrochemicals - The report highlights the impact of the Iran-Israel conflict on oil prices, with potential U.S. intervention increasing risks of supply disruptions [6][7]. - The report notes that domestic oil companies are diversifying their energy sources and enhancing upstream and downstream integration to mitigate the impact of volatile oil prices [7]. Fluorochemicals - The report indicates that the production of second-generation refrigerants is being reduced, while the supply of third-generation refrigerants is limited, leading to a favorable supply-demand balance [6][7]. - The air conditioning sector is experiencing strong production growth driven by government subsidies, with expected year-on-year increases of 29.3% and 22.8% in June and July 2025, respectively [6]. Semiconductor Materials - The semiconductor materials sector is showing signs of recovery, with inventory levels decreasing and end-market fundamentals improving, suggesting a potential upward trend in the industry index [7].

Quantitative Models and Construction - **Model Name**: Three-dimensional Timing Framework **Construction Idea**: The model integrates liquidity, divergence, and prosperity indicators to assess market timing and risk levels[7][14][16] **Construction Process**: 1. **Liquidity Index**: Tracks market liquidity trends[22] 2. **Divergence Index**: Measures market disagreement levels[20] 3. **Prosperity Index**: Evaluates industrial prosperity trends[26] 4. Combines these three dimensions to form a comprehensive timing framework[14] **Evaluation**: Demonstrates stable performance in identifying market timing opportunities[16] - **Model Name**: Financing-Active Large Order Flow Intersection Strategy **Construction Idea**: Combines financing and large order flows to identify industries with strong capital inflows[34][40] **Construction Process**: 1. **Financing Flow Factor**: Neutralizes market capitalization and calculates the net financing buy-sell difference over a 50-day average[40] 2. **Active Large Order Flow Factor**: Neutralizes transaction volume and ranks net inflows over the past year, using a 10-day average[40] 3. Filters extreme industries and integrates both factors to enhance stability[40] **Evaluation**: Achieves stable annualized excess returns with reduced drawdowns compared to other strategies[40] Quantitative Models Backtesting Results - **Three-dimensional Timing Framework**: Historical performance shows stable risk assessment and timing capabilities[16] - **Financing-Active Large Order Flow Intersection Strategy**: - Annualized excess return: 13.5% - IR: 1.7[40] - Weekly absolute return: -1.6% - Weekly excess return: -0.1%[40] Quantitative Factors and Construction - **Factor Name**: Valuation Factors **Construction Idea**: Focuses on valuation metrics such as earnings yield and book-to-market ratios[46][47] **Construction Process**: 1. **Earnings Yield (ep_fy3)**: $ ep\_fy3 = \frac{1}{PE\_FY3} $ 2. **Book-to-Market Ratio (bp)**: $ bp = \frac{Shareholder\_Equity}{Market\_Value} $ 3. Neutralizes industry and market capitalization effects[46][48] **Evaluation**: Demonstrates strong performance across multiple timeframes and indices[46][48] - **Factor Name**: Growth Factors **Construction Idea**: Captures growth metrics such as revenue and profit growth rates[46][49] **Construction Process**: 1. **Revenue Growth (yoy_or)**: $ yoy\_or = \frac{Current\_Revenue - Previous\_Revenue}{Previous\_Revenue} $ 2. **Profit Growth (yoy_np)**: $ yoy\_np = \frac{Current\_Net\_Profit - Previous\_Net\_Profit}{Previous\_Net\_Profit} $ 3. Neutralizes industry and market capitalization effects[46][50] **Evaluation**: Performs better in large-cap indices and shows consistent excess returns[49][50] Quantitative Factors Backtesting Results - **Valuation Factors**: - Weekly excess return: 1.5%-2.18% - Monthly excess return: 1.46%-3.85%[48] - **Growth Factors**: - Weekly excess return: 1.52%-3.89% - Monthly excess return: 0.79%-3.02%[50] Quantitative Portfolios and Construction - **Portfolio Name**: Index Enhancement Portfolios **Construction Idea**: Adjusts factor selection based on research coverage to enhance index performance[51] **Construction Process**: 1. Divides stocks into high and low research coverage domains[51] 2. Applies suitable factors for each domain to optimize portfolio construction[51] **Evaluation**: Outperforms original index selection methods in terms of excess returns[51] Quantitative Portfolios Backtesting Results - **Index Enhancement Portfolios**: - **HS300**: - Weekly absolute return: -0.89% - Weekly excess return: 0.03% - Annualized excess return: 7.77%[52] - **CSI500**: - Weekly absolute return: 0.16% - Weekly excess return: 0.40% - Annualized excess return: 9.82%[52] - **CSI1000**: - Weekly absolute return: -0.58% - Weekly excess return: -0.74% - Annualized excess return: 9.26%[52]

证券研究报告|宏观研究报告 [Table_Date] 2025 年 06 月 22 日 [Table_Title] 地缘冲突的涟漪 [Table_Title2] 类权益周报 [Table_Summary] ► 行情回顾：地缘冲突的涟漪 6 月 9-13 日，权益市场高位回落。截至 2025 年 6 月 20 日， 万得全 A 收盘价为 5087.26，较 6 月 13 日下跌 1.07%。 小微盘行情显著承压，是本周市场较为关键的边际变化，这 或是在主动调和积累已久的结构性矛盾。5 月底中证 2000 拥 挤度达到历史高位，这对小微盘行情的支撑逻辑提出了更高 的要求。而地缘冲突的加剧则给了市场主动释放风险的窗 口，中证 2000 加速下跌。 ► 海外线索：以伊冲突延续，美联储继续暂停降息 本周以伊冲突延续，未见缓和迹象。同时，美联储继续暂停 降息，表态略偏鹰，预测偏向"滞胀"，推动美元走强。此 外，美国核心零售韧性仍存，汽车零售大幅放缓。日本方 面，日本央行维持利率不变，明年起削减购债规模。 整体来看，海外"乱纪元"的叙事并未改变，继关税之后， 中东地缘冲突爆发，美国搅入其中，进一步推升不确定性。 此外，距离 ...

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