Investment Rating - The report indicates a positive outlook for the steel industry, with a notable performance driven by policy expectations and supply-side reforms, leading to a significant increase in the CITIC Steel Index by 11.8%, outperforming the market by 9.8% [1][10]. Core Insights - The steel industry is experiencing a recovery in production and inventory levels post-Chinese New Year, with steel mills increasing their iron and steel output and conducting concentrated replenishment [1][10]. - The profitability of steel companies is reported at 39.8%, indicating a stable bottom for the industry, despite a current loss of 4.9 yuan per ton [1][10]. - The market sentiment is cautious, with expectations of weak demand in the short term, particularly in the hot-rolled coil segment, which saw a slight price decrease of 0.1% to 3780 yuan per ton [2][11]. Summary by Sections 1. Steel Industry Overview & Index Performance - The steel industry is witnessing a rebound in iron and steel production, with a decrease in iron ore inventory and an increase in finished steel inventory, indicating a concentrated replenishment effort by steel mills [1][10]. - The CITIC Steel Index has shown a significant increase of 11.8%, reflecting strong market performance driven by policy expectations [1][10]. 2. Subsector Fundamentals Steel - Steel prices remain stable, with a slight decrease in hot-rolled coil prices and an increase in overall steel inventory by 4.0% to 26.67 million tons, although the current replenishment is weaker than in previous years [2][11]. - The market is facing supply pressures, particularly in East China, with reduced demand from downstream sectors leading to a cautious outlook for future price movements [2][11]. Coking Coal and Coke - Coking coal and coke prices are stable, with a 4.4% decrease in coking coal inventory compared to the previous week, indicating a cautious market sentiment with limited trading activity [2][11]. Iron Ore - Iron ore prices have decreased by 1.2% to 760 yuan per ton, with port inventories remaining high at 178 million tons, while steel mills have reduced their iron ore inventory by 17 million tons [3][12]. - The market sentiment has shifted from a pessimistic view to a more optimistic outlook due to macroeconomic expectations, although the sustainability of this optimism remains uncertain [3][12].

Investment Rating - The industry investment rating is optimistic [1] Core Viewpoints - The report indicates a positive outlook for the steel industry, suggesting that expectations are leading the market forward [1] Price Performance - The SW Steel Index has shown a year-to-date increase of 17.8% [4] - The price of rebar (HRB400 20mm) is at 3,200 CNY per ton, reflecting a 3% weekly increase and a 6% increase since the beginning of the year [4] - Hot-rolled coil prices are at 3,260 CNY per ton, with a 9% weekly increase [4] - The iron ore price index is at 99.3 USD per ton, unchanged from the previous week [4] Inventory - The total social inventory of five major steel products is 1,294,000 tons, with a weekly increase of 9.6% and a year-to-date increase of 48.4% [6] - The total inventory at steel mills is 550,000 tons, reflecting a 32.3% weekly increase and a 42.8% year-to-date increase [6] - The port inventory of iron ore stands at 17,096,000 tons, with a 0.9% weekly increase and a 7.8% year-to-date increase [6] Supply and Demand - The weekly output of five major steel products is projected to increase, with daily molten iron production expected to rise [10] - The report highlights the operational rates of blast furnaces and electric furnaces, indicating a stable production environment [13][15]

Investment Rating - The report indicates a positive outlook for the steel industry, with a significant performance increase in the sector, as evidenced by the 11.8% rise in the CITIC Steel Index, outperforming the market by 9.8% [1][10]. Core Insights - The steel industry is experiencing a recovery in production, with an increase in iron water output and a decrease in iron ore inventory at steel mills, leading to a concentrated replenishment ahead of the Spring Festival [1][10]. - The average profit margin for steel companies stands at 39.8%, indicating a stable bottom for the steel industry's fundamentals [1][10]. - The market sentiment has shifted positively due to anticipated real estate policies and supply-side reforms, although caution remains regarding future demand and macroeconomic conditions [3][12]. Summary by Sections 1. Steel Industry Overview & Index Performance - The steel industry is witnessing a recovery in production and inventory management, with stable prices across various segments [1][10]. - The CITIC Steel Index has shown a notable increase, reflecting strong market performance [1][10]. 2. Subsector Fundamentals - Steel prices remain stable, with hot-rolled coil prices slightly decreasing by 0.1% to 3780 CNY/ton, while overall steel inventory has increased by 4.0% to 26.67 million tons [2][11]. - The coking coal and coke prices are stable, with a slight decrease in coking coal inventory by 4.4% [2][11]. - Iron ore prices have seen a minor decline of 1.2%, with port inventories remaining high at 178 million tons [3][12]. 3. Black Industry Chain Price Data Update - Steel prices are stable, with specific segments like hot-rolled and cold-rolled coils showing minor fluctuations [2][11]. - Coking coal and iron ore prices are also stable, reflecting a cautious market environment [2][11][12]. 4. Black Industry Chain Supply and Demand Data Update - Steel production and inventory levels are being closely monitored, with seasonal demand expected to rise [3][12]. - Iron ore and coking coal supply dynamics are being influenced by external market conditions and domestic demand fluctuations [3][12].

Core Insights - The report emphasizes the cyclical recovery in five key sectors: non-ferrous metals, chemicals, building materials, steel, and machinery, driven by supply constraints and the transition of demand dynamics [1][5] - The report highlights the impact of the Two Sessions and the 14th Five-Year Plan, suggesting a focus on sectors such as communication equipment, satellite communication, and robotics, which have recently seen inflows from ETFs [1][5] Market Adjustment and Sentiment - The market adjustment before the Spring Festival appears to be complete, with a noticeable recovery in trading sentiment post-holiday [4][6] - The report notes a significant decrease in the number of companies hitting the daily limit down after the Spring Festival, indicating improved market conditions [7] - Financing inflows have rebounded significantly after the holiday, suggesting a recovery in investor confidence [9] Bull Market Characteristics - The current bull market is characterized by a "slow bull, long bull" trend, with a high Sharpe ratio indicating a favorable risk-return profile [4][11] - The report identifies three main factors contributing to this high Sharpe ratio: a reversal in the financing landscape, abundant free cash flow, and a successful transition in return on equity (ROE) dynamics [10][12] - The report anticipates that the bull market will continue as inflation returns, driving earnings growth to absorb high valuations [4][10] Sector Allocation - The report recommends focusing on the cyclical sectors mentioned earlier due to tight supply constraints and the transition in demand dynamics [5][6] - It also suggests monitoring the technology sector, particularly in areas influenced by government policies and recent ETF inflows [5][6]

- The report discusses the use of convolutional neural networks (CNNs) to model price-volume data and future price trends, transforming these learned features into industry theme indices such as the CSI Smart Shipbuilding Industry Index, CSI Power Grid Equipment Theme Index, CSI Steel Index, and CSI Robotics Index[81][82][87] - The CNN model constructs standardized charts of price-volume data within specific time windows for individual stocks, which are then used to train the model to identify patterns and predict future price movements[81][82] - The CNN model's thematic allocation currently focuses on sectors like shipbuilding, power grids, steel, and robotics, as reflected in the indices mentioned above[81][82][87]

Group 1 - The report indicates that the A-share market continued its upward trend in February 2026, despite experiencing short-term fluctuations at the beginning of the month. The recommendation is to maintain a balanced investment style while slightly favoring growth, particularly in the technology sector and cyclical industries [1][7][59]. - The report highlights that the focus of China's economic strategy is shifting towards domestic demand, which is expected to drive economic recovery and stabilize property prices. This shift is seen as a long-term national strategy rather than a short-term policy [9][10][11]. - The report identifies high-prospect industries for investment, including non-ferrous metals, machinery, steel, defense, basic chemicals, and communications, suggesting a rotation strategy towards these sectors through ETFs [61]. Group 2 - The report notes that the performance of growth-style funds has outpaced that of balanced and value-style funds, with specific sectors like midstream manufacturing and upstream cyclical industries showing strong returns [44][45]. - The report mentions that in February 2026, a total of 109 new funds were established, with a total fundraising amount of 906.40 billion, marking the highest level for the same period in four years. The enthusiasm for equity funds remains high due to the recovering A-share market [51][52]. - The report emphasizes the importance of selecting funds with strong stock-picking and risk control capabilities, particularly in the context of the ongoing recovery in the A-share market [59].

Investment Rating - The report recommends a "Buy" rating for the steel sector, indicating strong potential for price appreciation due to undervaluation and favorable market conditions [2][8]. Core Insights - The report highlights that the Chinese industrialization phase is entering a bull market, with significant upward momentum expected in precious and small metals, while black metals are also gaining attention due to recent price increases [2]. - The steel sector is currently undervalued, with many companies showing strong safety margins, making them attractive investment opportunities [2][8]. - The report emphasizes the importance of valuation over price trends, suggesting that long-term asset pricing should consider cyclical factors [2]. - The steel industry's absolute valuation has improved from a low point to a moderately low level, indicating potential for absolute returns [2][8]. Supply Analysis - Daily average pig iron production increased by 28,000 tons to 233,300 tons, while overall steel production continues to decline, particularly in rebar [11][17]. - The capacity utilization rate of 247 steel mills is reported at 87.5%, reflecting a 1.1 percentage point increase from the previous week [17]. Inventory Analysis - Total steel inventory continues to accumulate, with a week-on-week increase of 7.8%, and social inventory rising by 9.6% [24][26]. - The social inventory of five major steel products reached 12.958 million tons, with rebar inventory at 5.678 million tons, indicating a significant increase [24][26]. Demand Analysis - Apparent consumption of five major steel products improved by 23.7% week-on-week, with rebar demand showing a notable recovery [39][49]. - The report notes a significant increase in rebar apparent consumption, which rose by 95.7% week-on-week [49]. Raw Material Insights - Iron ore prices have strengthened, with increased shipments from Australia and Brazil, although port inventories have slightly increased [46][57]. - The report indicates that the price index for imported iron ore (62% Fe, CFR) is at $99.8 per ton, reflecting a week-on-week increase of 3.4% [57]. Price and Profit Analysis - The comprehensive steel price index has slightly weakened, with a week-on-week decrease of 0.1% [71]. - Current costs for long-process rebar and hot-rolled coils are reported at 3,400 yuan/ton and 3,626 yuan/ton, respectively, with negative margins [71][73]. Key Stocks - The report recommends several stocks for investment, including: - Xining Special Steel (600782.SH) - Buy - Nanjing Steel (600282.SH) - Buy - Hualing Steel (000932.SZ) - Buy - Baosteel (600019.SH) - Buy - Jiuli Special Materials (002318.SZ) - Buy - Liugang (601003.SH) - Buy - Yongjin (603995.SH) - Buy - Changbao (002478.SZ) - Buy [8].

Investment Rating - The report recommends a "Buy" rating for the steel sector, indicating strong potential for price appreciation due to undervaluation and favorable market conditions [2][8]. Core Insights - The report highlights that the Chinese industrialization phase is entering a bull market, with significant upward momentum expected in precious and small metals, while black metals are also gaining attention due to recent price increases [2]. - The steel sector is currently undervalued, with many companies showing strong safety margins, making them attractive investment opportunities [2][6]. - The report emphasizes the importance of valuation over price trends, suggesting that long-term asset pricing should consider cyclical factors [2]. - The steel industry's absolute valuation has improved from a low point to a moderately low level, indicating potential for absolute returns [2][6]. Supply Analysis - Daily molten iron production has increased by 28,000 tons to 233,300 tons, while overall steel production continues to decline, particularly in rebar [11][17]. - The capacity utilization rate of 247 steel mills is reported at 87.5%, reflecting a 1.1 percentage point increase from the previous week [17]. Inventory Analysis - Total steel inventory has continued to accumulate, with a week-on-week increase of 7.8%, and social inventory rising by 9.6% [24][26]. - The social inventory of five major steel products stands at 12.958 million tons, with rebar inventory at 5.678 million tons, reflecting a 14.7% increase week-on-week [26][39]. Demand Analysis - Apparent consumption of five major steel products improved by 23.7% week-on-week, with rebar demand showing a significant recovery [39][49]. - The report notes a notable increase in rebar apparent consumption, which reached 805,000 tons, up 95.7% from the previous week [49]. Raw Material Analysis - Iron ore prices have strengthened, with the Platts 62% iron ore price index at $99.8 per ton, reflecting a 3.4% increase week-on-week [57]. - The report indicates that the supply of iron ore from Australia and Brazil has increased, while port inventories have slightly risen [46][57]. Price and Profit Analysis - The report notes a slight decline in the comprehensive steel price index, which is at 120.8, down 0.1% week-on-week [71]. - Current spot prices for rebar in Beijing and Shanghai are reported at 3,070 yuan/ton and 3,200 yuan/ton, respectively, with minor week-on-week declines [71]. Key Stocks - The report recommends several stocks for investment, including: - Xining Special Steel (600782.SH) - Buy - Nanjing Steel (600282.SH) - Buy - Hualing Steel (000932.SZ) - Buy - Baosteel (600019.SH) - Buy - Jiuli Special Materials (002318.SZ) - Buy - Liugang (601003.SH) - Buy - Yongjin (603995.SH) - Buy - Changbao (002478.SZ) - Buy [8].

全球 HALO 交易： "两会"窗口如何攻守兼备？ 证券研究报告/策略定期报告 2026 年 03 月 01 日 分析师：徐驰 执业证书编号：S0740519080003 Email：xuchi@zts.com.cn 分析师：张文宇 请务必阅读正文之后的重要声明部分 相关报告 本周科技与资源的双线行情，本质上是同一套市场逻辑的"一体两面"——前者对应 "AI 带动算力与电力需求扩张、国产替代加速"的产业景气逻辑，后者对应"PPI 回 升、反内卷政策落地、全球资源再定价"的周期修复逻辑。 2、《担保比例提至高位，资金调仓 3、《春节后科技主线行情或将如何 1）资源品方面，美伊局势升温推动国际油价假期累涨逾 5%，叠加国内 PPI 环比持续 回升与供给侧"反内卷"政策效果显现，两者共振全球资金向重资产方向切换，钢铁、 有色、稀土、基础化工等板块形成共振。2）科技方面，算力硬件与存储是本周真正 主线：SK 海力士披露 DRAM 与 NAND 库存仅剩约 4 周，全年涨价预期进一步强化， 国产存储替代逻辑同步升温；AI 应用与大模型概念则因缺乏业绩兑现支撑而明显回 撤，科技板块内部呈现"硬件强、应用弱"的结构性分化。 ...

Quantitative Models and Construction 1. Model Name: DecompGRU-based Multi-Stock Long Portfolio - **Model Construction Idea**: The model is based on the DecompGRU architecture, which integrates trend decomposition with end-to-end time-series and cross-sectional modeling for stock scoring[8] - **Model Construction Process**: - Select the top 200 stocks with the highest integrated scores from the DecompGRU model - Equally weight the selected stocks in the portfolio - Rebalance weekly on the first trading day of the week based on updated factor values from the previous Friday's close - Exclude stocks that are limit-up, limit-down, or suspended from trading - The stock selection universe is the CSI All Share Index - No transaction costs are considered - Benchmark: CSI All Share Equal Weight Index[8] - **Model Evaluation**: The model demonstrates strong performance in terms of cumulative returns and risk-adjusted metrics[10] 2. Model Name: DecompGRU-based ETF Rotation Portfolio - **Model Construction Idea**: The model aggregates individual stock scores from the DecompGRU model to construct an ETF rotation strategy[11] - **Model Construction Process**: - ETF pool includes industry and thematic ETFs - Retain only the ETF with the highest 5-day average trading volume if multiple ETFs track the same index - ETFs must meet liquidity criteria: 5-day average daily turnover > 20 million CNY and 20-day average daily turnover > 10 million CNY - Weekly rebalancing with 2-6 ETFs in the portfolio - Benchmark: Wind Thematic ETF Index[11] - **Model Evaluation**: The model shows robust cumulative returns and moderate drawdowns, indicating its effectiveness in capturing ETF-level opportunities[13] --- Model Backtesting Results 1. DecompGRU-based Multi-Stock Long Portfolio - **Cumulative Absolute Return**: 84.37%[10] - **Cumulative Excess Return (vs. CSI All Share Equal Weight Index)**: 43.11%[10] - **Maximum Drawdown**: 10.08%[10] - **Weekly Win Rate**: 65.96%[10] - **Monthly Win Rate**: 100%[10] - **February 2026 Absolute Return**: 5.41%[10] - **February 2026 Excess Return**: 1.50%[10] 2. DecompGRU-based ETF Rotation Portfolio - **Cumulative Absolute Return**: 53.40%[13] - **Cumulative Excess Return (vs. Wind Thematic ETF Index)**: 17.47%[13] - **Maximum Drawdown**: 7.82%[13] - **Weekly Win Rate**: 62.50%[13] - **Monthly Win Rate**: 72.73%[14] - **February 2026 Absolute Return**: 9.51%[14] - **February 2026 Excess Return**: 8.18%[14] --- Quantitative Factors and Construction 1. Factor Name: Sentiment Heat Factor - **Factor Construction Idea**: The factor is derived from user behavior data (e.g., browsing, watchlist additions, and clicks) to measure stock-level sentiment heat, which is aggregated to broader indices, industries, and concepts[15] - **Factor Construction Process**: - Calculate the total heat for each stock as the sum of browsing, watchlist, and click counts - Normalize the total heat as a percentage of the market total and multiply by 10,000 - Aggregate normalized heat values to broader levels (e.g., indices, industries, concepts) to derive sentiment heat proxies[15] - **Factor Evaluation**: The factor effectively captures sentiment-driven mispricing and behavioral biases, particularly at the stock level[15] 2. Factor Name: Broad-Based Index Heat Momentum - **Factor Construction Idea**: Constructed using the weekly heat change rate (smoothed with a 2-week moving average) of major broad-based indices (CSI 300, CSI 500, CSI 1000, CSI 2000, and others)[16][19] - **Factor Construction Process**: - Group all A-shares into CSI 300, CSI 500, CSI 1000, CSI 2000, and "Others" - Sum the sentiment heat for each group - Calculate the weekly heat change rate for each group and smooth using a 2-week moving average (MA2)[16][19] - **Factor Evaluation**: The factor is used to construct a rotation strategy, which has shown positive annualized returns since 2017[24] 3. Factor Name: Concept Heat Momentum - **Factor Construction Idea**: Similar to the Broad-Based Index Heat Momentum factor, this factor tracks weekly heat change rates for various market concepts[35] - **Factor Construction Process**: - Calculate the weekly heat change rate for each concept - Construct two portfolios: - **High Heat Portfolio (TOP)**: Select the top 5 concepts with the highest heat change rates, exclude the bottom 20% of stocks by market cap, and equally weight the top 10 stocks by total heat within each concept - **Low Heat Portfolio (BOTTOM)**: Select the same concepts but equally weight the bottom 10 stocks by total heat within each concept[40] - **Factor Evaluation**: The BOTTOM portfolio has historically delivered consistent excess returns, with an annualized return of 15.71% and a maximum drawdown of 28.89%[41] --- Factor Backtesting Results 1. Sentiment Heat Factor - **Broad-Based Index Heat Momentum Strategy Annualized Return (2017-2026)**: 8.74%[24] - **Maximum Drawdown**: 23.5%[24] - **2026 YTD Return**: 5.6%[24] 2. Concept Heat Momentum Factor - **BOTTOM Portfolio Annualized Return**: 15.71%[41] - **BOTTOM Portfolio Maximum Drawdown**: 28.89%[41] - **2026 YTD Return (BOTTOM Portfolio)**: 1.4%[41]