Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - **Model Construction Idea**: This model tracks the distance of stock prices or indices from their 250-day high to monitor market trends and identify potential market leaders. It is based on the momentum and trend-following strategy, which has been proven effective in various studies[11][18]. - **Model Construction Process**: The 250-day new high distance is calculated as follows: $ 250 \text{-day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ Where: - $\text{Close}_{t}$ represents the latest closing price - $\text{ts\_max(Close, 250)}$ represents the maximum closing price over the past 250 trading days If the latest closing price reaches a new high, the distance is 0. If the price has fallen from the high, the distance is a positive value, indicating the degree of decline[11]. - **Model Evaluation**: The model effectively identifies market trends and highlights stocks or indices that are leading the market, aligning with the principles of momentum and trend-following strategies[11][18]. 2. Model Name: Stable New High Stock Selection Model - **Model Construction Idea**: This model focuses on selecting stocks that exhibit stable price paths and consistent momentum, as smoother price trajectories are associated with stronger momentum effects[24][27]. - **Model Construction Process**: The selection process involves the following criteria: - **Analyst Attention**: At least 5 buy or overweight ratings in the past 3 months - **Relative Strength**: 250-day price change in the top 20% of the market - **Price Stability**: Stocks are ranked based on: - **Price Path Smoothness**: Ratio of price displacement to the total price path - **Sustainability of New Highs**: Average 250-day new high distance over the past 120 days - **Trend Continuity**: Average 250-day new high distance over the past 5 days The top 50 stocks based on these criteria are selected[24][27]. - **Model Evaluation**: The model emphasizes the importance of smooth price paths and consistent momentum, which are less likely to attract excessive attention and thus yield stronger returns[24][27]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45%[12][13][32] 2. Stable New High Stock Selection Model - **Selected Stocks**: 15 stocks were identified, including Heertai, Sray New Materials, and Zangge Mining. - **Sector Distribution**: - Manufacturing: 5 stocks (e.g., construction industry) - Cyclical: 5 stocks (e.g., non-ferrous metals industry)[28][33] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: This factor measures the relative distance of a stock's price from its 250-day high, serving as an indicator of momentum and trend strength[11]. - **Factor Construction Process**: The formula is: $ 250 \text{-day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ Where: - $\text{Close}_{t}$ is the latest closing price - $\text{ts\_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[11]. - **Factor Evaluation**: The factor effectively captures momentum and trend-following characteristics, making it a reliable indicator for identifying market leaders[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: This factor evaluates the smoothness of a stock's price trajectory, as smoother paths are associated with stronger momentum effects[24]. - **Factor Construction Process**: - Calculate the ratio of price displacement to the total price path over a specified period - Rank stocks based on this ratio and select the top performers[24]. - **Factor Evaluation**: The factor highlights stocks with stable momentum, which are less likely to attract excessive attention and thus yield stronger returns[24]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45%[12][13][32] 2. Price Path Smoothness Factor - **Selected Stocks**: 15 stocks were identified, including Heertai, Sray New Materials, and Zangge Mining. - **Sector Distribution**: - Manufacturing: 5 stocks (e.g., construction industry) - Cyclical: 5 stocks (e.g., non-ferrous metals industry)[28][33]

投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 姓名：涂伟华 宝城期货投资咨询部 从业资格证号：F3060359 投资咨询证号：Z0011688 电话：0571-87006873 邮箱：tuweihua@bcqhgs.com 作者声明 本人具有中国期货业协会 授予的期货从业资格证书，期 货投资咨询资格证书，本人承 诺以勤勉的职业态度，独立、 客观地出具本报告。本报告清 晰准确地反映了本人的研究观 点。本人不会因本报告中的具 体推荐意见或观点而直接或间 接接收到任何形式的报酬。 钢材&铁矿石 | 日报 2025 年 11 月 21 日 钢材&铁矿石日报 专业研究·创造价值 现实格局偏弱，钢矿延续震荡 核心观点 螺纹钢：主力期价震荡运行，录得 0.07%日涨幅，量仓收缩。现阶段， 螺纹需求有所好转，但持续性存疑，相反供应也在回升，供需双增局面 下螺纹基本面表现依旧不佳，钢价继续承压，相对利好的是估值偏低， 预计走势延续低位震荡运行态势，关注需求表现情况。 热轧卷板：主力期价震荡运行，录得 0%日跌幅，量仓收缩。目前来看， 热卷供需格局有所好转，库存再度去化，但供应压力未解，且需求韧性 存疑，基本 ...

本周的汇市中，日元成为了表现最差的主要货币，日元兑美元在周三一夜贬值1%，跌至1月以来的最低水平，日本股市在本周后半段反弹的势头也将面临考 验。 对日本央行加息前景构成挑战 日本央行是全球最后一个放弃负利率和收益率曲线控制的主要央行，其货币政策正常化的道路本就充满不确定性，这份刺激计划让这条路更加崎岖。刺激计 划会推高国内需求，可能带来更持久、由内需驱动的通胀，这将支持日本央行收紧货币政策。 但另一方面， 刺激计划导致的日元疲软会大幅推高进口成本，这是输入性通胀，会挤压家庭和企业利润，如果市场对财政失去信心导致国债收益率失控， 日本央行将被迫干预债市。所以，日本央行需要在 "对抗通胀"、"支持经济增长" 和 "维持金融市场稳定" 这三个目标之间做出艰难取舍。当前日央行的加息 计划一拖再拖，仍面临挑战。 外界预计日本政府将于周五公布期待已久的经济刺激方案，日本首相高市早苗正面临上任以来的首次重大市场考验，人们对政府即将推出的刺激计划的担忧 可能会破坏她当选后点燃的股市上涨行情。市场担忧支出计划会加剧日本的财政困境，导致政府债券价格暴跌，日元疲软的局面也进一步加剧。 彭博社指出："抛售日本"的交易可能才刚刚开始。 ...

Core Insights - A wave of tax payments has emerged among A-share listed companies, with over 60 companies announcing tax payments totaling more than 2.8 billion yuan, primarily for the years 2021 to 2024 [1][2] Group 1: Tax Compliance and Internal Control - The tax payment phenomenon has raised concerns regarding the tax compliance, internal control quality, and financial transparency of listed companies [1][2] - Most companies initiated self-inspections through tax bureau data checks, leading to tax payments primarily consisting of late fees rather than fines [1][2] - The tax payment issues are widespread across various industries, including 15 in pharmaceuticals, 11 in chemicals, 12 in semiconductors, and others [1] Group 2: Reasons for Tax Payments - Specific tax issues include adjustments in consumption tax policies for the energy and chemical industries, complex tax matters for pharmaceutical companies, and high-tech firms facing challenges related to tax incentives [1][2] - Some tax payments stem from foreign tax authorities' requirements due to differing interpretations of investment tax incentives [2] Group 3: Impact on Financial Performance - The direct impact of tax payments on financial statements and performance may pressure company operations and strategic implementation [2] - Tax payments and late fees typically affect current profits, leading to significant cash outflows that could strain operational funding [2] - Companies may face increased debt repayment pressure, and for those already experiencing tight cash flow, substantial tax payments could trigger liquidity crises [2] Group 4: Regulatory and Market Reactions - Frequent tax payment announcements may attract heightened scrutiny from regulatory bodies, leading to stricter requirements for internal controls, accounting practices, and information disclosure [3] - Investors are increasingly demanding transparency regarding tax risk management systems and potential tax disputes, prompting companies to enhance tax information disclosure [3]

Group 1: Construction Industry Overview - The construction industry is currently under pressure, with revenue and profit expected to improve in the fourth quarter of 2025 due to increased funding and project commencement [2][5] - In the first three quarters of 2025, the construction sector achieved revenue of 5.85 trillion yuan, a year-on-year decline of 5.51%, and a net profit of 123.9 billion yuan, down 10.06% [6][8] - The overall gross margin for the construction sector in 2025 Q1-3 was 9.91%, with a net margin of 2.61%, reflecting a slight decline compared to the previous year [6][7] Group 2: Central Enterprises Performance - Nine major state-owned construction enterprises accounted for 83.45% of the sector's revenue and 83.99% of net profit in the first three quarters of 2025, indicating their dominant role in the industry [8] - Excluding state-owned enterprises, the sector's revenue decline deepened to -12.37%, while the net profit decline narrowed to -5.48%, highlighting the stabilizing effect of state-owned enterprises on revenue [8][9] - The new contracts signed by state-owned enterprises in 2025 Q1-3 totaled approximately 10.5 trillion yuan, a year-on-year increase of about 1.31% [8] Group 3: Investment Recommendations - The report suggests focusing on high-dividend, low-valuation stocks in a context of loose liquidity and low interest rates, recommending companies like Jianghe Group and Sichuan Road & Bridge [9] - It also emphasizes the importance of companies that are clearly transitioning towards new energy, smart manufacturing, and digital construction, indicating a growth potential in these areas [9] Group 4: OSL Group Overview - OSL Group is a licensed digital asset trading and payment platform, recognized as the first major virtual asset trading platform in Hong Kong [12][13] - The company has developed a digital asset ecosystem comprising brokerage, payment, asset management, exchange, and institutional services, with significant revenue contributions from brokerage and payment services [13][14] - OSL is transitioning from a single trading platform to a comprehensive digital asset financial infrastructure provider, with advantages in payment services and a robust global compliance network [14][15] Group 5: Market Opportunities for OSL - The digital asset industry is expected to benefit from a shift in monetary policy, clearer global regulatory frameworks, and the entry of institutional funds, presenting growth opportunities for OSL [13][14] - The company anticipates significant revenue growth, with projected non-IFRS revenues of 467 million, 764 million, and 1.22 billion HKD for 2025-2027, reflecting a compound annual growth rate of 89% [15]

Core Insights - The construction decoration sector is projected to achieve revenue of 5.85 trillion yuan in Q1-Q3 2025, reflecting a year-on-year decline of 5.51%, with net profit attributable to shareholders at 123.9 billion yuan, down 10.06% year-on-year [1] - The overall revenue growth rate for the construction decoration sector has decreased by 0.68 percentage points compared to the same period in 2024, while the decline in net profit growth has narrowed by 1.20 percentage points [1] - The funding environment in the industry is improving due to the commencement of major projects and the acceleration of special bonds and policy financial tools, which is expected to boost profitability and industry sentiment in Q4 [1] Financial Performance - In Q1-Q3 2025, the gross margin for the construction sector was 9.91%, and the net margin was 2.61%, both showing a decline of 0.09 percentage points and 0.14 percentage points year-on-year, respectively [1] - The diluted ROE was 4.57%, down 0.78 percentage points year-on-year, with the expense ratio rising to 5.96% [1] - Cash flow showed marginal improvement, with a net cash outflow from operating activities of 420.7 billion yuan, which is 80.3 billion yuan less than the previous year [1] Sector Performance - The construction sector exhibited significant differentiation, with the steel structure segment experiencing a revenue increase of 20.85% year-on-year, driven by growth in overseas industrial building orders [2] - Other sub-sectors, including decoration, landscaping, and chemical engineering, reported positive net profit growth, with increases of 51.67%, 46.53%, and 3.07%, respectively [2] - The major state-owned enterprises (SOEs) accounted for 83.45% of the sector's revenue and 83.99% of net profit, indicating their dominant role in supporting industry performance [3] Order and Contract Trends - The new contract value for major SOEs in Q1-Q3 2025 reached approximately 10.5 trillion yuan, reflecting a year-on-year growth of about 1.31% [3] - The overseas order growth for companies like China Railway and Power Construction is exceeding 20%, indicating robust international demand [3] Investment Recommendations - The "14th Five-Year Plan" emphasizes investment opportunities in major engineering projects, with a focus on high-dividend, low-valuation stocks under a favorable liquidity environment [4] - Companies with clear transformation directions and strong growth potential in new sectors such as renewable energy and digital construction are highlighted as key investment targets [4]

Group 1 - The report from the San Francisco Federal Reserve indicates a significant decline in net immigration to the U.S., dropping to approximately 515,000 this year, a nearly 70% decrease from 2 million in 2024 [1][3] - The decline in immigration is attributed to two main factors: a reduction in undocumented immigrants and a "slightly high" outflow rate of immigrants. The estimated number of deportations this year is around 285,000, exacerbating the shrinkage of the immigrant population [3][4] - The reduction in the labor force due to declining immigration could lead to a slowdown in labor force growth or even negative growth in the coming years, posing a significant risk to economic development [1][3] Group 2 - Labor shortages are expected to become more pronounced in low-skill and specific professional sectors, particularly in industries like agriculture, construction, and healthcare, which have long relied on immigrant labor [4] - The decrease in immigration may have a potential positive impact by helping to lower core service inflation, as a tight labor supply often drives up wage levels, which in turn affects service prices [4] - The current economic environment in the U.S. is at a critical juncture between balanced growth and inflation, making labor market stability essential. The findings of the report highlight the need for policymakers to find a balance between immigration policy adjustments and labor market demands to avoid long-term economic impacts [4]

| 代码 | 名称 | 现价 | 涨跌 | 涨跌幅 | | --- | --- | --- | --- | --- | | મટા | 恒生指数 | 25999.78 | 169.13 | 0.65% | | HSTECH 恒生科技 | | 5646.28c | 39.38 | 0.70% | | HSBIO | 恒生生物科技 | 15693.12c | 80.54 | 0.52% | | HSCEI | 恒生中国企业指数 | 9203.07 c | 52.03 | 0.57% | | HSCI | 恒生综合指数 | 3995.86c | 25.49 | 0.64% | | TVDEIM | 74.600 | 2.19% | | --- | --- | --- | | 0981.HK | | | | 比亚迪电子 | 33.580 | 2.19% | | 0285.HK | | | | 地平线机器人-W | 7.630 | 1.87% | | 9660.HK | | | | 同程旅行 | 21.720 | 1.78% | | 0780.HK | | | | 京东健康 | 68.200 | 1.64% | | 6 ...

11月20日，香港恒生指数开盘涨0.65%，恒生科技指数涨0.70%。 | 代码 | 名称 | 现价 涨跌 | 涨跌幅 | | --- | --- | --- | --- | | HSI | 恒生指数 | 25999.78 169.13 | 0.65% | | HSTECH 恒生科技 | | 5646.28c 39.38 | 0.70% | | HSBIO | 恒生生物科技 | 15693.12c 80.54 | 0.52% | | HSCEI | 恒生中国企业指数 | 9203.07c 52.03 | 0.57% | | HSCl | 恒生综合指数 | 3995.86c 25.49 | 0.64% | 半导体板块走强， 华虹半导体涨超3%； 国防军工、银行、有色金属等板块涨幅居前，石油石化、建筑等少数板块下跌。百度集团涨超3%，快手、联想 集团、中芯国际涨超2%；金山软件跌超2%，小鹏汽车跌超1%。 | < W | 恒生科技(HSTECH) 5646.28 39.38 0.70% | | | | --- | --- | --- | --- | | 资料 | 成分 资讯 | 相关基金 | 月度收益 | | 名 ...

智勤控股(09913)发布公告，公司于截至2025年9月30日止六个月的纯利预计约为570万港元，较去年同 期的纯利约3140万港元大幅减少。尽管集团的电子商务业务持续增长，其建造业务却取得亏损。因此， 集团整体溢利大幅下降，原因为：鉴于中国香港建筑市场环境疲弱，集团承接的私人及公共项目减少， 导致收益下降;及与去年同期相比，劳工成本增加，降低了集团承接的建造项目溢利率。 ...