证券研究报告 | 2025年06月23日 原油行业事件点评 中东局势紧张加剧，原油价格大幅上升 行业研究·行业快评 石油石化 投资评级：优于大市（维持） 证券分析师： 杨林 010-88005379 yanglin6@guosen.com.cn 执证编码：S0980520120002 证券分析师： 薛聪 010-88005107 xuecong@guosen.com.cn 执证编码：S0980520120001 证券分析师： 董丙旭 0755-81982570 dongbingxu@guosen.com.cn 执证编码：S0980524090002 评论： 伊朗议会赞成关闭霍尔木兹海峡，国际原油供给或受冲击 2025 年 6 月 22 日，美国对伊朗核设施发动了空袭。在美国袭击发生后，伊朗总统及外长均做出强硬表态。 中央广播电视总台记者当地时间 22 日获悉，伊朗议会国家安全委员会委员库萨里表示，伊朗议会已得出 结论，认为应关闭霍尔木兹海峡，但最终决定权在伊朗最高国家安全委员会手中。 霍尔木兹海峡位于阿曼和伊朗之间，连接了东部的阿曼湾和西部的波斯湾，是海湾地区石油输往世界各地 的唯一海上通道。2024 年，通 ...

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]

《OpenAI 发布 o3-pro，Mistral 推出推 理模型 Magistral ——AI 动态汇总 20250616【中邮金工】》 - 2025.06.16 《融资资金持续大幅净流入医药，GRU 行业轮动调出银行——行业轮动周报 20250615》 – 2025.6.16 《资金博弈停牌个股大幅流入信创 ETF，概念轮动速度较快——行业轮动 周报 20250608》 - 2025.06.09 《综合金融受益于稳定币表现突出， ETF 资金逢高净流出医药和消费——行 业轮动周报 20250601》 – 2025.06.02 《退潮周期情绪仍需等待恢复，ETF 净 流 入 国 防 军 工 — — 行 业 轮 动 周 报 20250525》 – 2025.05.26 《ETF 大幅流出红利，成长 GRU 行业因 子得分提升较大——行业轮动周报 20250518》 – 2025.05.19 《各大宽基指数成功补缺，融资资金大 幅净流出银行，GRU 模型偏防守——行 业轮动周报 20250511》 - 2025.05.12 《上证指数振幅持续缩小，目标仍为补 缺，机器人 ETF 持续净流入——行业轮 动周报 2 ...

| 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]

核心观点： 行 业 报 告 行 业 报 告 行 业 深 度 报 行 业 深 度 报 行 业 周 报 石油石化 2025 年 6 月 22 日 石油石化周报 伊以冲突持续，油价偏强震荡 强于大市（维持） 行情走势图 -30% -20% -10% 0% 10% 20% 30% 24/01 24/03 24/05 24/07 24/09 24/11 25/01 25/03 25/05 沪深300 石油石化 基础化工 证券分析师 证 券 研 究 报 告 告 告 陈潇榕 投资咨询资格编号 S1060523110001 chenxiaorong186@pingan.com.cn 马书蕾 投资咨询资格编号 S1060524070002 mashulei362@pingan.com.cn 石油石化：伊以冲突持续，油价偏强震荡。据 ifind 数据，2025 年 6 月 13 日-2025 年 6 月 20 日，WTI原油期货收盘价(连续)上涨 0.22%， 布伦特油期货价上涨 2.89%。地缘局势方面：伊朗和以色列的相互攻 击仍在激烈进行，当地时间 6 月 21 日，美国投掷了六枚掩体炸弹用 于袭击伊朗福尔多，同时向伊朗其他 ...

量化周报 市场整体风险较低 2025 年 06 月 22 日 ➢ 择时观点：市场整体风险较低。当下流动性保持上行趋势，分歧度保持下行 趋势，景气度保持上行趋势，ERP 保持极值状态，三维择时框架继续满仓。从技 术形态来看，上涨波段的中断减弱了短期内突破的可能性，但整体回调表现出缩 量特征且未突破前期低点，并且不远处有支撑，整体风险较低。 ➢ 指数监测：国证信创大幅流入。通过对同一指数对应的 ETF 规模进行合并并 剔除涨跌幅影响，我们计算了各指数 ETF 产品总体申购/赎回份额情况。近 1 周 ETF 产品申购流入增速快的有：国证信创、港股通医药、中证信创、科创 AI、国 证油气。近 1 周国证信创、深证红利、中证信创、国证价值、细分机械份额流出 最多。 ➢ 资金共振：推荐交通运输，石油石化，电子与非银行金融。我们监控两融与 大单资金的共振情绪，选择两类资金都看好的行业。两融资金流上周在医药中净 流入最多，净流入 12 亿元；大单资金上周在银行中净流入最多，净流入 22.2 亿 元。根据融资融券净流入与主动大单资金的净流入情况，本周推荐交通运输，石 油石化，电子与非银行金融。 ➢ 因子跟踪：估值和成长因子表现 ...