Investment Rating - The report maintains a "Positive" investment rating for the coal industry [10] Core Insights - The recent notice from the National Energy Administration regarding coal mine production checks is interpreted as a significant policy move to curb overproduction, potentially leading to a marginal reduction in coal supply of 140 million tons in the second half of the year, which represents 3% of the projected national coal output for 2024 [2][7] - The coal index (Yangtze) increased by 7.93% this week, outperforming the CSI 300 index by 6.24 percentage points, indicating strong market performance [6][20] - The price of thermal coal at Qinhuangdao port reached 653 RMB/ton, an increase of 11 RMB/ton week-on-week, while coking coal prices at Jingtang port rose to 1680 RMB/ton, up 240 RMB/ton week-on-week [6][20] Summary by Sections Policy and Production Impact - The policy aims to stabilize coal prices above long-term contract prices by enforcing stricter production limits, with annual coal output not exceeding announced capacity and monthly output limited to 110% of announced capacity [8] - The production check will cover eight provinces, including Shanxi, Inner Mongolia, and Xinjiang, with significant overproduction noted in Xinjiang and some months exceeding 100% capacity utilization in Shaanxi and Inner Mongolia [8][14] Market Performance - The coal sector's strong performance is attributed to favorable fundamentals and expectations of reduced supply due to the production checks, leading to a positive outlook for coal prices in the short term [6][20] - The report highlights that the demand for thermal coal is expected to rise due to high temperatures increasing electricity consumption, further supporting price increases [20] Investment Recommendations - The report recommends several companies based on their potential for growth and stability, including: - Elastic stocks: Lu'an Energy, Pingmei Shenma, Huabei Mining, Shanxi Coking Coal, Yanzhou Coal, and Shanxi Coal International - Long-term stable profit leaders: China Coal Energy (A+H), China Shenhua (A+H), and Shaanxi Coal and Chemical - Transitioning growth companies: Electric Power Investment Energy and New Energy [9]

Valuation Summary - The overall PE of the A-share market is 20.2 times, positioned at the historical 82nd percentile [2][5] - The PE of the Shanghai 50 Index is 11.4 times, at the historical 59th percentile [2][5] - The PE of the ChiNext Index is 34.8 times, at the historical 20th percentile [2][5] - The PE of the Science and Technology Innovation 50 Index is 146.2 times, at the historical 100th percentile [2][5] Industry Valuation Comparison - Industries with PE valuations above the historical 85th percentile include Real Estate, Steel, Building Materials, Electric Equipment (Photovoltaic Equipment), National Defense and Military Industry, Aviation and Airports, Light Industry Manufacturing, Chemical Pharmaceuticals, and IT Services [2][6] - The Passenger Vehicle industry has a PB valuation above the historical 85th percentile [2][6] - The Shipping and Port industry has both PE and PB valuations below the historical 15th percentile [2][6] Industry Midstream Prosperity Tracking New Energy - Photovoltaics: The price of polysilicon futures increased by 15.2% to 50,000 yuan, while the price of silicon wafers rose by 10.5% [2] - Battery materials: The prices of cobalt and nickel increased by 2.3% and 2.6%, respectively, while lithium prices saw increases of 7.1% for lithium hexafluorophosphate and 9.0% for lithium carbonate [2] Financial Sector - Insurance: The cumulative year-on-year growth of various insurance premiums was 5.3% for the first half of 2025, with an expected further reduction in the preset interest rate for life insurance products [3] Real Estate Chain - Steel: The spot price of rebar rose by 5.4%, and the futures price increased by 6.6% [3] - Cement: The national cement price index fell by 1.5% due to weak demand [3] Consumer Sector - Pork: The average price of live pigs decreased by 0.8%, while the wholesale price of pork increased by 1.0% [3] - Alcohol: The wholesale price index for liquor remained stable, with a slight decrease in the price of Moutai [3] Midstream Manufacturing - Excavators: Sales of excavators increased by 13.3% year-on-year in June 2025, with domestic sales up by 6.2% and exports up by 19.3% [3] Technology TMT - Optical Communication Modules: Exports decreased by 11.2% year-on-year, with a significant drop in export prices [3] Cyclical Industries - Precious Metals: COMEX gold and silver prices fell by 0.5% and 0.3%, respectively [3] - Coal: The price of thermal coal rose by 1.7%, while coking coal prices increased by 9.5% [3]

Core Viewpoint - The market is expected to experience a volatile upward trend, with a focus on three main lines of investment, particularly in the technology sector and the potential for a rebound in the STAR Market [1][3]. Group 1: Market Performance - The Shanghai Composite Index rose by 1.67% this week, the Shenzhen Component Index increased by 2.33%, and the ChiNext Index gained 2.76% [1]. - The current market has shown characteristics typical of a "water buffalo" trend, indicating a potential for further upward movement [1]. Group 2: Investment Strategies - Citic Securities suggests that the STAR Market may see a rebound due to the accumulation of retail investor inflows and the strengthening narrative of "anti-involution" [1]. - The recommendation includes focusing on sectors such as non-ferrous metals, telecommunications, innovative pharmaceuticals, military industry, and gaming during the upcoming reporting season [2]. Group 3: Sector Focus - Everbright Securities highlights three main lines for medium to long-term investment: domestic consumption, technological self-reliance, and dividend stocks [3]. - Xiangcai Securities emphasizes the importance of defensive dividend stocks, particularly in banking and insurance, as well as consumer-related sectors like education and passenger vehicles [4]. Group 4: Policy Impact - Huajin Securities notes that the current cycle of rising sectors is driven by policy improvements in fundamental expectations and low valuations in certain industries [5]. - Suggested industries benefiting from the "anti-involution" policy include automotive, new energy, chemicals, construction, and coal [5].

本周，A股三大指数全线上涨，上证指数周涨幅1.67%，深证成指涨2.33%，创业板指涨2.76%。此外，在半导体、AI等科技股带动下，科创50指数领涨市 场，周涨幅4.63%。Go-Goal ETF数据显示，本周ETF市场呈现"债基避险+港股科技吸金"的格局。稀有金属、稀土等相关ETF品种继续爆发，"反内卷"方 向的煤炭、建材类ETF均大涨近10%。跌幅方面，多只银行相关ETF回调幅度在3%左右。 上证报中国证券网讯（记者 汪友若）本周，A股三大指数全线上涨，上证指数周涨幅1.67%，深证成指涨2.33%，创业板指涨2.76%。此外，在半导体、AI 等科技股带动下，科创50指数领涨市场，周涨幅4.63%。 Go-Goal ETF数据显示，本周ETF市场呈现"债基避险+港股科技吸金"的格局。稀有金属、稀土等相关ETF品种继续爆发，"反内卷"方向的煤炭、建材类 ETF均大涨近10%。跌幅方面，多只银行相关ETF回调幅度在3%左右。 | | 女XI后不厉。 00-00d155m | | | 女X1店丈利用JPJ. ZVZJ-VI-ZJ | | --- | --- | --- | --- | --- | | 序号 代 ...

Quantitative Models and Construction Methods 1. Model Name: Commodity Term Structure Strategy - **Model Construction Idea**: This strategy utilizes the roll yield factor to capture the contango or backwardation state of commodities, dynamically going long on commodities with high roll yields and shorting those with low roll yields[51] - **Model Construction Process**: - The roll yield factor is calculated based on the term structure of commodity futures prices - The strategy dynamically adjusts positions to go long on commodities with high roll yields and short on those with low roll yields[51] - **Model Evaluation**: The strategy is designed to exploit the carry factor in commodity markets, providing a systematic approach to capturing term structure-related returns[51] 2. Model Name: Commodity Time-Series Momentum Strategy - **Model Construction Idea**: This strategy uses multiple technical indicators to capture medium- to long-term trends in domestic commodities, dynamically going long on assets with upward trends and shorting those with downward trends[51] - **Model Construction Process**: - Technical indicators such as moving averages and momentum signals are used to identify trends - Positions are dynamically adjusted based on the identified trends, with long positions in upward-trending assets and short positions in downward-trending assets[51] - **Model Evaluation**: The strategy systematically captures momentum effects in commodity markets, leveraging trend-following behavior[51] 3. Model Name: Commodity Cross-Sectional Inventory Strategy - **Model Construction Idea**: This strategy uses inventory factors to capture changes in the fundamentals of domestic commodities, dynamically going long on assets with declining inventories and shorting those with increasing inventories[51] - **Model Construction Process**: - Inventory data is used to construct factors reflecting supply-demand dynamics - Positions are dynamically adjusted to go long on commodities with declining inventories and short on those with increasing inventories[51] - **Model Evaluation**: The strategy effectively captures fundamental changes in commodity markets, providing a systematic approach to exploiting inventory-related signals[51] 4. Model Name: Commodity Fusion Strategy - **Model Construction Idea**: This strategy combines the above three sub-strategies (term structure, time-series momentum, and cross-sectional inventory) using equal weighting to create a diversified commodity investment approach[49] - **Model Construction Process**: - The three sub-strategies are equally weighted to form a composite strategy - The combined strategy dynamically adjusts positions based on the signals from the sub-strategies[49] - **Model Evaluation**: The fusion strategy aims to diversify risk and enhance returns by integrating multiple sources of alpha in commodity markets[49] --- Model Backtesting Results 1. Commodity Term Structure Strategy - **Two-Week Return**: -1.39%[54] - **Year-to-Date Return**: 1.38%[56] 2. Commodity Time-Series Momentum Strategy - **Two-Week Return**: 1.99%[54] - **Year-to-Date Return**: -1.97%[61] 3. Commodity Cross-Sectional Inventory Strategy - **Two-Week Return**: -0.26%[54] - **Year-to-Date Return**: 4.00%[68] 4. Commodity Fusion Strategy - **Two-Week Return**: 0.12%[49] - **Year-to-Date Return**: 1.14%[49] --- Quantitative Factors and Construction Methods 1. Factor Name: Roll Yield Factor - **Factor Construction Idea**: Measures the contango or backwardation state of commodity futures markets[51] - **Factor Construction Process**: - Calculated based on the difference between near-month and far-month futures prices - Positive roll yield indicates backwardation, while negative roll yield indicates contango[51] 2. Factor Name: Momentum Factor - **Factor Construction Idea**: Captures the trend-following behavior in commodity prices[51] - **Factor Construction Process**: - Derived from technical indicators such as moving averages and momentum signals - Positive momentum indicates an upward trend, while negative momentum indicates a downward trend[51] 3. Factor Name: Inventory Factor - **Factor Construction Idea**: Reflects supply-demand dynamics in commodity markets[51] - **Factor Construction Process**: - Based on changes in inventory levels - Declining inventories indicate tightening supply, while increasing inventories indicate loosening supply[51] --- Factor Backtesting Results 1. Roll Yield Factor - **Performance**: Contributed positively to the term structure strategy, with key contributors being iron ore, ethylene glycol, and methanol[58] 2. Momentum Factor - **Performance**: Contributed positively to the time-series momentum strategy, with key contributors being hot-rolled coil, rebar, and zinc[67] 3. Inventory Factor - **Performance**: Contributed positively to the cross-sectional inventory strategy, with key contributors being PVC, zinc, and rubber[73]

南华期货焦煤焦炭周报 ——当头一棒 2025/07/27 南华研究院 黑色研究团队 张泫：Z0022723 投资咨询业务资格：证监许可【2011】1290号 周度观点 【盘面回顾】本周焦煤现货继续上涨，蒙5#原煤报价1050-1100元/吨，安泽低硫主焦报价1400-1450元/吨， 周内焦炭现货三轮提涨落地，周日焦化厂开启四轮提涨，预计下周一正式落地。周内双焦盘面经历暴涨爆 跌，价格波动极大，煤焦月差价差波动较大，JM9-1月差-59.5(-10)，J9-1月差-48(-3)。 【产业表现】 焦煤：国内方面，前期因环保、顶库等原因减停产的煤矿陆续复产，但复产速度偏慢。进口方面，本周口岸 蒙煤通关量900-1100车/天，通关已恢复正常。海煤进口利润持续改善，预计将体现在1-2月后的到港量上。 需求方面，盘面反弹带动期现投机需求，焦煤现货快速涨价，刺激下游焦化厂补充原料库存。期现锁货+刚需 采购提振煤焦短期需求，部分显性库存转移至表外，焦煤现货流动性收紧，库存结构明显改善。 焦炭：因现货焦煤疯狂涨价，焦化厂亏损幅度扩大，焦炭生产积极性一般。目前三轮提涨已经落地，焦企正 在争取第四轮提涨，现阶段钢材现货利润相当 ...

Investment Rating - The report maintains a "Buy" rating for several coal companies, including Jin控煤业, 华阳股份, and others, while providing cautious recommendations for some [4][10][14]. Core Insights - The coal industry is experiencing a supply contraction due to government inspections and policies aimed at reducing overproduction, particularly affecting thermal coal [2][8]. - Demand is expected to exceed expectations due to increased electricity consumption and infrastructure investments, with projected coal prices potentially reaching 750 RMB/ton in mid-August [3][9]. - The report highlights the self-regulating nature of supply and demand in the coal market, aided by government policies [2][8]. Summary by Sections Industry Overview - The National Energy Administration has initiated inspections of coal mines, particularly in eight key provinces, leading to a potential reduction of approximately 224 million tons in annual coal production due to overproduction [2][8]. - The report notes that the cost curve for coal production is steep, with high-cost regions like Xinjiang and Indonesia reducing output, contributing to a tighter supply [2][8]. Demand Dynamics - Electricity demand has shown signs of recovery, with national power generation growth reaching 7.89% year-on-year in early July, which is expected to drive coal demand higher [3][9]. - Non-electric chemical demand has also increased, with growth rates climbing from 10% to nearly 20% since early May, further supporting coal consumption [3][9]. Investment Recommendations - The report suggests focusing on companies with stable earnings and growth potential, such as Jin控煤业 and 华阳股份, as well as those with high spot market exposure like 潞安环能 [4][10][14]. - It also recommends monitoring companies that are expected to benefit from production recovery, such as 山煤国际, and industry leaders like 陕西煤业 and 中国神华 [4][10][14]. Market Performance - As of July 25, the coal sector has outperformed the broader market, with a weekly increase of 8.0% compared to 1.7% for the Shanghai Composite Index [15][17]. - Specific companies like 潞安环能 and 晋控煤业 have seen significant stock price increases, indicating strong market sentiment [21][22].

Core Viewpoint - The recent surge in industrial commodity prices, driven by the "anti-involution" sentiment, has attracted significant attention, with some commodities experiencing price increases exceeding 50% within a week. However, regulatory measures have been implemented to curb excessive speculation, leading to a sudden market reversal [1][2][8]. Group 1: Market Dynamics - From June 3 to July 25, coal futures prices surged by 73%, while polysilicon, glass, and lithium carbonate saw increases of 56%, 35%, and 30%, respectively [2][8]. - On July 25, a wave of price increases was observed in industrial commodities, including coal and lithium carbonate, which were the market's focal points [2][5]. - Following the price surge, a significant market reversal occurred on the night of July 25, with coal futures dropping by 7.76% and other commodities also experiencing declines of over 6% [5][6][10]. Group 2: Regulatory Impact - Regulatory bodies have responded to the price volatility by increasing margin requirements and transaction fees for various commodities, including industrial silicon and lithium carbonate, to mitigate excessive speculation [8][15]. - The Dalian Commodity Exchange announced limits on daily opening positions for coal futures starting July 29, further tightening liquidity in the market [8][15]. Group 3: Sector Analysis - The "anti-involution" policy is expected to have a significant impact on both the futures and stock markets, particularly in sectors such as photovoltaic, building materials, and coal [15][22]. - Historical trends indicate that sectors facing severe losses are likely to see intensified supply-side reforms, which could lead to speculative trading opportunities [15][19]. - The chemical industry has also been quick to respond to the "anti-involution" policy, with signs of improvement in fixed asset investment and demand due to domestic economic recovery [22][23][24]. Group 4: Investment Opportunities - Despite the recent market volatility, there are potential investment opportunities in sectors like lithium and polysilicon, particularly for companies with cost advantages in production [19][20]. - The average production cost for lithium salt companies is projected to be around 66,700 yuan per ton, while lithium carbonate prices have exceeded 70,000 yuan per ton, indicating a significant profit margin [19][20]. - The ongoing consolidation efforts among major polysilicon producers aim to address overcapacity issues, with plans to store 1.5 million tons of polysilicon capacity [20][21].

煤炭行业周报 能源局政策催化板块情绪，板块震荡向 上格局或已现 2025 年 07 月 27 日 【投资要点】 挖掘价值 投资成长 强于大市（维持） 《煤炭行业 2016 年供给侧改革梳理》 2025.07.23 《旺季叠加新一轮"供给侧"政策，板块 情绪或进一步升温》 2025.07.20 《中电联预计全年全社会用电量增速 5% 以上，下半年需求将显著回升》 2025.07.13 东方财富证券研究所 证券分析师：李淼 证书编号：S1160524120006 证券分析师：王涛 证书编号：S1160525020003 证券分析师：朱彤 证书编号：S1160525030006 相对指数表现 -20% -10% 0% 10% 20% 30% 2024/7 2025/1 2025/7 煤炭 沪深300 相关研究 《国内反内卷+印尼调配额，中长期看供给 优化或支撑上游价格》 2025.07.06 《煤价如期企稳回升，关注旺季节奏》 2025.06.29 业 研 究 / 煤 炭 / 证 券 研 究 报 告 铁水产量维持高位+政策催化，焦炭两轮提涨落地+焦煤延续大幅反弹。（1）截 至 7 月 25 日，京唐港主焦煤价格 1 ...

煤焦周度报告 国泰君安期货研究所·刘豫武 投资咨询从业资格号：Z0021518 日期：2025年7月27日 Guotai Junan Futures all rights reserved, please do not reprint 煤焦：情绪兑现，宽幅震荡 ◆ 1、供应：供给收缩预期扰动 ◆ 4、观点: ➢ 近期焦煤再度成为市场关注热点，主要系源自前期关于能源局发布的一则通知，对于八个主要产区的煤矿开展核查工作，炒作核心在于前期煤矿是否存在生产计划 不合理的情况，即单月产量不能超过公告产能的10%。但以第三方资讯商测算口径为准，主要煤炭生产省份超产相对较少，仅新疆在6月原煤产量有出现超产情况。 所以就近期煤焦盘面价格所呈现出的上涨或更多来自于情绪宏观扰动为主。从7月1号反内卷首次被提及以来，包括上周五工信部出台的文件，反复在强化后续相关 行业相关政策落地的可能，吹风会的频繁召开也是进一步地加强了市场信心。此外，从基本面供需角度来看同样给予了价格上涨的必要条件，一方面国内供应受政 策约束强化以及安检形势仍存的影响，焦煤产量继6月煤矿安全生产月之后整体恢复较为缓慢，另一方面随着终端盈利能力同步增强，下游及贸易 ...