Quantitative Models and Construction 1. Model Name: Macro + Volume-Price Dual-Driver Large-Cap and Small-Cap Rotation Strategy - **Model Construction Idea**: This model integrates macroeconomic factors and micro-level volume-price factors to predict the rotation between large-cap and small-cap styles[6][7] - **Model Construction Process**: - The model uses multiple single-factor signals, including PMI seasonal average difference, social financing growth rate, monetary liquidity, US-China interest rate spread, macro adjustment momentum, and style crowding indicators[7] - Each factor is assigned a signal value: 1 for large-cap signals, -1 for small-cap signals, and 0 for no effective signal[7] - The comprehensive score is calculated by summing the signals of all factors. If the score > 0, the portfolio is fully allocated to the CSI 300 Index; if the score < 0, it is fully allocated to the CSI 1000 Index; if the score = 0, the portfolio is equally weighted between the two indices[7] - **Model Evaluation**: The model demonstrates a high backtest win rate of 82.22% as of Q1 2025, indicating strong predictive power[6] 2. Model Name: Macro + Volume-Price Dual-Driver Value-Growth Rotation Strategy - **Model Construction Idea**: This model integrates macroeconomic factors and micro-level volume-price factors to predict the rotation between value and growth styles[12][13] - **Model Construction Process**: - The model uses multiple single-factor signals, including PMI new orders seasonal average difference, PPI-CPI growth rate, 1-year government bond yield, 3-month US bond yield, macro adjustment momentum, style crowding indicators, and market sentiment[13] - Each factor is assigned a signal value: 1 for value signals, -1 for growth signals, and 0 for no effective signal[13] - The comprehensive score is calculated by summing the signals of all factors. If the score > 0, the portfolio is fully allocated to the CSI Value Index; if the score < 0, it is fully allocated to the CSI Growth Index; if the score = 0, the portfolio is equally weighted between the two indices[13] - **Model Evaluation**: The model demonstrates a backtest win rate of 77.78% as of Q1 2025, showcasing its effectiveness in predicting style rotations[12] 3. Model Name: Industry Rotation Model (Single-Factor Multi-Strategy and Composite Factor Strategy) - **Model Construction Idea**: This model evaluates industry rotation using factors from historical fundamentals, expected fundamentals, sentiment, volume-price technicals, and macroeconomics[18][19] - **Model Construction Process**: - Single-factor multi-strategy: Constructs portfolios based on individual factors and evaluates their performance[18] - Composite factor strategy: Combines multiple factors into a composite score to rank industries and construct portfolios[18] - Both strategies select the top 5 industries from the 30 first-level industries in the CITIC classification and construct equal-weighted long portfolios[18] - **Model Evaluation**: The single-factor multi-strategy outperformed the composite factor strategy in May 2025, with higher monthly absolute and excess returns[20] --- Backtest Results of Models 1. Macro + Volume-Price Dual-Driver Large-Cap and Small-Cap Rotation Strategy - **YTD Return**: -2.41%[11] - **Annualized Return**: -5.83%[11] - **Annualized Volatility**: 17.17%[11] - **Maximum Drawdown**: 10.49%[11] - **Sharpe Ratio**: -0.34[11] - **Calmar Ratio**: -0.56[11] 2. Macro + Volume-Price Dual-Driver Value-Growth Rotation Strategy - **YTD Return**: 1.79%[17] - **Annualized Return**: 4.48%[17] - **Annualized Volatility**: 18.06%[17] - **Maximum Drawdown**: 10.36%[17] - **Sharpe Ratio**: 0.25[17] - **Calmar Ratio**: 0.43[17] 3. Industry Rotation Model - **Composite Factor Strategy**: - **Monthly Absolute Return**: 2.43%[20] - **Monthly Excess Return**: -0.64%[20] - **YTD Absolute Return**: 4.81%[20] - **YTD Excess Return**: 3.98%[20] - **Single-Factor Multi-Strategy**: - **Monthly Absolute Return**: 3.31%[20] - **Monthly Excess Return**: 0.33%[20] - **YTD Absolute Return**: 4.56%[20] - **YTD Excess Return**: 3.83%[20]

报 告 摘 要 一、 事件快评 一 指数化投资迎来大发展 近几年，随着投资者对指数化投资接受程度的不断提高，指数基金规模不断提升。图1展示了2010Q1至2025Q1期间股票型ETF和普通股票型指数基金（不包含ETF）的规 模变动情况。可以看到股票型ETF规模整体呈上升趋势，2025Q1股票型ETF规模达到2.99万亿元；普通股票型指数基金（不包含ETF）受分级基金退出等因素影响规模增 速相对较低，2021Q3之后基金规模波动下行。截至2025年3月31日，股票型被动指数基金共计1305只，合计规模高达3.26万亿元。 由于指数成分股调整是根据编制规则进行的被动操作，因此若成分股的调整规模较大，则可能带来交易性的投资机会。我们对跟踪不同指数的被动产品的规模进行了统 计，仅考虑ETF、普通场外指数基金以及LOF，ETF联接不纳入考虑，其中，ETF规模截至2025年5月30日，场外基金以及LOF规模截至2025年3月31日。截至2025年5月 30日，被动产品跟踪规模超过100亿元的A股股票指数共38只，其中跟踪规模前三的指数分别为沪深300、中证A500、科创50，跟踪规模分别为10569.93、2076.83 ...

供销集团财务有限公司 风险评估报告 大信咨字2025第 1-02284 号 大信会计师事务所（特殊普通合伙） WUYIGE CERTIFIED PUBLIC ACCOUNTANTS LLP. 大信会计师事务所 WUYIGE Certified Public Accountants.LLP 电话 Telephone： +86（10）82330558 北京市海淀区知春路 1 号 Room 2206 22/F,Xueyuan International Tower 传真 Fax： +86（10）82327668 学院国际大厦 22 层 2206 No.1 Zhichun Road,Haidian Dist. 网址 Internet： www.daxincpa.com.cn 邮编 100083 Beijing,China,100083 供销集团财务有限公司 风险评估报告 大信咨字2025第 1-02284 号 北京新合作商业发展有限公司： 我们接受委托，对供销集团财务有限公司（以下简称"财务公司"）2024 年度的风险评估 发表咨询意见。根据中国证券监督管理委员会和中国银行保险监督管理委员会《关于规范上市 公司与企业 ...

Core Viewpoint - Shaanxi Natural Gas Co., Ltd. conducted a risk assessment of Shaanxi Yanchang Petroleum Finance Co., Ltd., confirming its legal status and sound operational conditions, with no significant risks identified in its management practices [1][13]. Group 1: Company Overview - Shaanxi Yanchang Petroleum Finance Co., Ltd. is a non-bank financial institution established in December 2013, with a registered capital of 287.303 million yuan, primarily owned by Shaanxi Yanchang Petroleum (Group) Co., Ltd. with an 82.087% stake [1][2]. - The company provides various financial services, including deposit acceptance, loan processing, and financial consulting for its member units [2][3]. Group 2: Internal Control and Risk Management - The company has established a robust internal control environment, with clear governance structures and responsibilities, enhancing decision-making and operational efficiency [4][5]. - A comprehensive risk management system is in place, with dedicated departments for risk assessment and internal auditing, ensuring effective risk identification and mitigation [5][6]. Group 3: Financial Performance - As of December 31, 2024, the total assets of Shaanxi Yanchang Petroleum Finance Co., Ltd. amounted to 2,292.886 million yuan, with total liabilities of 1,685.866 million yuan and owner’s equity of 607.020 million yuan [10][11]. - The company has maintained compliance with regulatory requirements, with all key financial indicators meeting the standards set forth by the relevant financial regulations [11][12].

Group 1 - The Hong Kong stock market exhibits significant and prolonged style switching, with value and growth styles frequently alternating. Growth style shows explosive potential but lacks sustainability, while value style offers more stability in adverse conditions. Large-cap stocks have higher cumulative returns across multiple cycles and better ability to traverse cycles [3][14][15] - The driving factors for style rotation include changes in liquidity, valuation recovery, and policy guidance, with southbound capital inflows, interest rate cycles, industry regulation, and macro expectations shaping dominant styles in different phases [3][15][16] - The empirical performance of the risk parity model in multi-style strategy combinations shows robust excess return capabilities and risk control advantages, achieving an annualized return of 19.77% from March 2, 2015, to April 30, 2025, with an information ratio of 1.72 [3][15][16] Group 2 - The report highlights the structural differences in industry allocation among different style indices, with large-cap indices concentrated in stable sectors like finance, consumption, and utilities, while small-cap and growth indices focus more on technology, healthcare, and manufacturing, exhibiting higher volatility but stronger elasticity [3][17] - The value strategy, based on the PB-ROE model, aims to identify undervalued stocks with a focus on fundamental and valuation mismatches, achieving an annualized return of 13.91% while maintaining a 20% exposure to the financial sector to enhance value attributes [3][23][41] - The growth strategy targets high growth rates in revenue and net profit, achieving an annualized return of 22.66%, with a recent tilt towards core assets in healthcare and technology [3][23][41] Group 3 - The quality strategy focuses on companies with stable profitability, healthy cash flow, and optimized capital structure, yielding an annualized return of 11.48%, although recent market style shifts have narrowed excess returns [3][23][41] - The report emphasizes the importance of identifying and capturing style switching points to significantly enhance portfolio returns, suggesting that effective allocation among different style strategies can provide smoother navigation through various market environments [3][9][14] - The analysis of the past decade reveals that the Hong Kong stock market has experienced notable style shifts, with the performance of value and growth styles continuously alternating [3][9][14]

Key Insights - The report highlights the upcoming launch of Huawei's foldable PC and Apple's foldable iPhone, which are expected to drive rapid development in materials for foldable devices [5] - The non-bank financial sector is seeing regulatory changes aimed at enhancing support for technology enterprises, particularly in mergers and acquisitions [8] - The report discusses the performance of various companies, including their revenue growth and profitability, indicating a positive outlook for several sectors [11][13][16] Industry Commentary - The chemical raw materials sector is experiencing growth due to the anticipated demand for materials used in foldable devices, with a notable increase in the new materials index [5] - The non-bank financial sector is undergoing reforms to improve the service capabilities for technology companies, which is expected to enhance the overall market environment [8] - The textile and apparel industry is likely to benefit from Shanghai's new consumption stimulus plan, particularly in sportswear and jewelry [5] Company Analysis - The report provides insights into the financial performance of various companies, such as: - **Zhenyu Technology**: Achieved revenue of 6.20 billion yuan in 2024, with a net profit of -1.75 billion yuan, indicating a recovery in Q1 2025 with a 23.75% year-on-year revenue increase [9][11] - **Jinxi Axle**: Reported a revenue increase in high-speed train axles, supported by its state-owned enterprise background, which enhances its diversification efforts [16] - **Shanghai Hanxun**: Expected to exceed 150 million yuan in satellite business revenue in 2024, with a significant increase in satellite launches planned for 2025 [21] Financial Performance - Companies are showing varied financial results, with some experiencing significant growth: - **Artis**: Projected to create a second growth engine through large-scale storage, with steady production expansion in the U.S. [5] - **Zhenyu Technology**: Anticipates a recovery in profitability post-transformation, with a focus on human-shaped robots and eVTOL businesses [11] - **Jinxi Axle**: Reported a 33.23% increase in railway vehicle revenue, indicating strong market demand [19] Investment Recommendations - The report suggests focusing on companies that are well-positioned to benefit from emerging trends, such as foldable device materials and advancements in AI and IoT technologies [5][27] - Companies like **Guanghe Tong** are highlighted as leaders in AI IoT, with a strong product matrix and growth potential in smart modules [27] - The overall sentiment is positive for sectors that are adapting to technological advancements and regulatory changes, indicating potential investment opportunities [8][11]

Core Viewpoint - The China Securities Index Non-Bank Financial Theme Index has shown significant growth, with a 13.63% increase over the past month and a 12.54% increase year-to-date, reflecting strong performance in the non-bank financial sector within the Hong Kong Stock Connect [1][2]. Group 1: Index Performance - The China Securities Index Non-Bank Financial Theme Index rose by 0.65% to 3292.09 points, with a trading volume of 13.164 billion yuan [1]. - Over the last three months, the index has increased by 9.80% [1]. - The index was established on November 14, 2014, with a base point of 3000.0 [1]. Group 2: Index Composition - The index includes up to 50 listed companies that meet the non-bank financial theme criteria from the Hong Kong Stock Connect [1]. - The top ten weighted companies in the index are: Hong Kong Exchanges (17.71%), AIA Group (15.97%), Ping An Insurance (13.53%), China Life Insurance (7.95%), China Pacific Insurance (7.13%), People's Insurance Group of China (6.03%), China Taiping Insurance (5.39%), New China Life Insurance (5.13%), CITIC Securities (2.41%), and China Taiping (2.6%) [1]. - The index's holdings are entirely focused on the financial sector, with a 100% allocation [2]. Group 3: Index Adjustment Mechanism - The index samples are adjusted biannually, with changes implemented on the next trading day following the second Friday of June and December [2]. - In special circumstances, the index may undergo temporary adjustments, such as when a sample company is delisted or when new companies meet the criteria for inclusion [2].

非银行金融 行业周报（20250512-20250518） 领先大市-A(维持) 并购重组办法修订，提升科技企业服务力度 2025 年 5 月 21 日 行业研究/行业周报 非银行金融行业近一年市场表现 投资要点 资料来源：最闻 【山证非银行金融】公募改革持续推进， 专 项 货 币 政 策 再 扩 容 - 行 业 周 报 （20250506-20250511）： 2025.5.14 【山证非银行金融】政策精准发力，全 面完善资本市场机制-国新办发布会点 评： 2025.5.7 请务必阅读最后股票评级说明和免责声明 1 | 执业登记编码：S0760525050002 | | --- | | 邮箱：limingyang@sxzq.com | | 孙田田 | | 执业登记编码：S0760518030001 | | 电话：0351-8686900 | | 邮箱：suntiantian@sxzq.com | | 刘丽 | | 执业登记编码：S0760511050001 | | 电话：0351--8686985 | | 邮箱：liuli2@sxzq.com | 相关报告： 证监会修改《上市公司重大资产重组管理办法》。办法 ...

大金融政策和业绩展望 20250520 摘要 • 资本市场增量资金确定性增强，主要来自中长期资金入市，如保险资金增 配权益市场和央行互换便利工具扩容试点，为权益市场带来 1,400 亿增量 资金，IPO 政策变化值得关注。 • 非银行金融机构受益于交易量改善，去年四季度至今年一季度业绩明显提 升，全年 ROE 预计维持高位，但同比增速或将下滑，高质量发展优先于增 长，稳定息差和风险控制至关重要。 • 券商 PB 处于中位数水平，估值上行需等待市场修复和政策支持；保险行 业估值修复空间更大，成本下降和收益率恢复是关键，推荐优质权重股及 红筹股，如人保财险、江苏金租等。 • 现房销售拉长房企现金流回笼时间，降低周转率和 IRR，增加资金占用， 压制净利率，中小项目受影响尤为显著，土地价款和税收延期支付等配套 政策或可缓解冲击。 • 全国现房住宅销售占比显著增加，2024 年达 33%，部分原因是小城市市 场弱势和保障性住房约束，现有 4 亿平方米现房库存压力巨大，优质房企 或受益于行业资金壁垒提高。 • 招商银行作为沪深 300 权重股，受益于主动型基金配置比例重构，高股息 优势使其内生增长稳定，无需再融资，股息 ...

Group 1: Financial Services Overview - China Oil Finance is a non-bank financial institution approved by the People's Bank of China, providing services such as payment and settlement, loans, foreign exchange trading, and financial chain services [2] - Kunlun Bank, approved by the former China Banking Regulatory Commission, primarily engages in public deposit acceptance, loan issuance, domestic and international settlement, and public securities investment fund sales [2] Group 2: Trust Business Development - Kunlun Trust focuses on three main categories: asset service trust, asset management trust, and public welfare trust, covering various services including equity investment and family trusts [3] - Future efforts will aim to enhance the proportion of actively managed trusts and increase the dividend ratio of equity investment trusts, while continuously seeking efficiency improvements and cost reductions [3] Group 3: Regulatory Impact - The revised "Management Measures for Financial Leasing Companies" by the National Financial Regulatory Administration in 2024 will positively impact Kunlun Financial Leasing [3] - Kunlun Financial Leasing has consistently adhered to regulatory requirements, and the new regulations will provide clearer guidelines for business operations, including enhanced risk management and business classification supervision [3]