[Table_Page] 金融工程|定期报告 2026 年 2 月 1 日 证券研究报告 [Table_Title] 金融工程：AI 识图关注石化、化工 和有色 A 股量化择时研究报告 [Table_Summary 市场回顾（本期是指 ] 2026 年 1 月 26 日—2026 年 1 月 30 日） 结构表现 (涨幅) 中证 100 沪深 300 中证 500 中证 800 中证 1000 国证 2000 0.29% 0.08% -2.56% -0.70% -2.55% -2.76% 行业表现 强度前五：石油石化、通信、煤炭、有色金属、农林牧渔。 强度后五：国防军工、电力设备、汽车、计算机、综合。 市场估值 指数估值 ↓：深证指数 行业估值 相对 PE 较低：食品饮料、建筑装饰、电力设备、美容护理、 煤炭。 相对 PE 较高：计算机、电子、农林牧渔、钢铁、传媒。 市场情绪 新高比例 创近 60 日新高个股数占比从前一期的 16.9%降至 10.5%。 新低比例 创近 60 日新低个股数占比从前一期的 6.9%升至 9.4%。 均线结构 多头排列减空头排列个股占比从前一期的 17.6%升至 29.0%。 矿 ...

- The report introduces a quantitative model based on Convolutional Neural Networks (CNNs) to analyze price-volume data and predict future prices. The model standardizes price-volume data into graphical representations and maps learned features to industry theme indices, such as the CSI Petrochemical Industry Index, CSI Subdivision Chemical Industry Theme Index, CSI Machine Tool Index, CSI Semiconductor Material Equipment Theme Index, and CSI Nonferrous Metals Index[78][80][81] - The construction process of the CNN model involves transforming individual stock price-volume data within a specific window into standardized graphical charts. These charts are then input into the CNN for feature extraction and prediction modeling. The learned features are subsequently applied to identify and allocate industry themes[78][80] - The evaluation of the CNN model highlights its ability to capture complex patterns in price-volume data and effectively map these patterns to industry themes. This approach provides a novel perspective for quantitative investment strategies[78][81] - Backtesting results indicate that the CNN model's latest configuration suggests a focus on themes such as petrochemicals, chemicals, machine tools, semiconductors, and nonferrous metals. Specific indices include the CSI Petrochemical Industry Index, CSI Subdivision Chemical Industry Theme Index, CSI Machine Tool Index, CSI Semiconductor Material Equipment Theme Index, and CSI Nonferrous Metals Index[80][81]

Market Performance - The Sci-Tech 50 Index increased by 2.62% over the last five trading days, while the ChiNext Index decreased by 0.34%. The large-cap value index fell by 1.64%, and the large-cap growth index dropped by 1.34%. The Shanghai 50 Index declined by 1.54%, whereas the small-cap index represented by the CSI 2000 rose by 3.33%. The building materials and oil & petrochemical sectors performed well, while banks and telecommunications lagged behind [1]. Risk Premium and Valuation Levels - As of January 23, 2026, the static PE of the CSI All Share Index minus the yield of 10-year government bonds indicates a risk premium of 2.46%, with a two-standard deviation boundary at 4.68%. The valuation levels show that the CSI All Share Index's PETTM is at the 84th percentile, with the Shanghai 50 and CSI 300 at 72% and 73%, respectively. The ChiNext Index is close to 63%, while the CSI 500 and CSI 1000 are at 70% and 68%, respectively. The ChiNext Index's valuation is relatively at the historical median level [1]. ETF Fund Flow - In the last five trading days, ETF funds experienced an outflow of 326.5 billion yuan, while the financing balance increased by approximately 6.5 billion yuan. The average daily trading volume across the two markets was 27.727 billion yuan [2]. Industry Themes and Indices - The latest thematic allocation includes sectors such as petrochemicals, chemicals, machine tools, semiconductors, and non-ferrous metals. Specific indices mentioned are the CSI Petrochemical Industry Index, CSI Sub-segment Chemical Industry Theme Index, CSI Machine Tool Index, CSI Semiconductor Materials and Equipment Theme Index, and the National Non-ferrous Metals Index [2][3]. Long-term Market Sentiment - The report includes observations on the proportion of stocks above the 200-day long-term moving average, indicating market sentiment trends [13]. Financing Balance - The report tracks the financing balance, which is a critical indicator of market liquidity and investor sentiment [16]. Individual Stock Performance - A statistical distribution of individual stocks based on their return ranges since the beginning of the year is provided, highlighting performance variations across different stocks [18]. Oversold Indices - The report notes instances of indices being oversold, which may present potential buying opportunities [20].

Group 1 - The chemical sector is experiencing a capital inflow, with the chemical ETF (159870) seeing a net subscription of 137 million units, marking eight consecutive days of net inflow [1] - The core logic of the chemical industry is that capital expenditure has ended, with operating rates still at 80% to 90%. The trend remains positive despite internal competition, as only the chemical sector can achieve a healthy reduction in competition [1] Group 2 - Chemical stocks are currently in the first phase of a three-phase cycle, where EPS and commodity prices have bottomed out, indicating significant potential for future price increases [2] - Seasonal demand in the chemical industry is pronounced, with low inventory levels and strong spot market performance, suggesting that profitability will recover significantly during peak seasons [2] Group 3 - The chemical sector's leading companies are expected to see profit margins improve due to increased industry concentration and capital expansion from 2022 to 2025, which could lead to record high profits [3] - The current price-to-book (PB) ratios for leading companies differ from previous cycles, indicating potential for higher returns on equity (ROE) if leverage ratios return to historical levels [3] Group 4 - As of January 12, 2026, the CSI sub-industry chemical theme index (000813) shows mixed performance among its constituent stocks, with notable gains from companies like Guangwei Composite and Lanxiao Technology [3] - The top ten weighted stocks in the CSI sub-industry chemical theme index account for 45.31% of the index, including major players like Wanhua Chemical and Yanhua Co. [4]

Market Performance - The Sci-Tech 50 Index decreased by 0.59% and the ChiNext Index fell by 0.82% over the last five trading days, while the large-cap value index rose by 0.01% and the large-cap growth index declined by 0.39% [1] - The Shanghai Stock Exchange 50 Index increased by 0.20%, and the small-cap index represented by the CSI 2000 rose by 1.09%, with defense and military, as well as oil and petrochemical sectors performing well, while telecommunications and comprehensive sectors lagged [1] Valuation Levels - As of December 31, 2025, the static PE ratio of the CSI All Share Index is at the 82nd percentile, with the Shanghai 50 and CSI 300 both at 75%, and the ChiNext Index close to 58% [1] - The CSI 500 and CSI 1000 are at 62% and 64% respectively, indicating that the ChiNext Index's valuation is relatively at the historical median level [1] Fund Flows - In the last five trading days, ETF inflows amounted to 25.6 billion yuan, and the margin trading balance increased by approximately 23.8 billion yuan, with an average daily trading volume of 208.23 billion yuan across the two markets [2] Thematic Investment - The latest thematic allocation includes sectors such as chemicals, non-bank financials, and satellite communications, specifically focusing on sub-indices like the CSI Sub-Industry Chemical Index, the National Index for Commercial Satellite Communications, and the CSI 300 Non-Bank Financial Index [2][3] AI and Machine Learning Insights - A convolutional neural network (CNN) model has been utilized to analyze charted price and volume data, mapping learned features to industry thematic sectors, indicating a trend towards AI-driven investment strategies [11]

Group 1 - The Shenzhen Component Index rose by 0.67%, and the ChiNext Index increased by 0.54%, with the chemical sub-index up by 2.37% [1] - Individual stocks such as Hengli Petrochemical surged over 6%, and Juhua Co. rose more than 3%, with Wanhu Chemical and Salt Lake Potash also seeing gains [1] - The chemical ETF by Jiashi (159129) increased by 2.56%, with a trading volume of 20.62 million yuan and a turnover rate of 2.86% [1] Group 2 - China Galaxy Securities forecasts a negative growth in capital expenditure for the chemical industry starting in 2024, with supply expected to contract due to the "anti-involution" trend and accelerated exit of outdated overseas capacity [1] - The "14th Five-Year Plan" emphasizes expanding domestic demand, which, combined with the onset of a U.S. interest rate cut cycle, is expected to open up demand for chemical products [1] - The chemical industry has been in a down cycle for approximately 3.5 years, but with continued decline in capital expenditure and faster exit of outdated capacity, the industry is expected to enter a low growth phase [1] - The industry is anticipated to reach a cyclical turning point by 2026, transitioning from valuation recovery to earnings growth, referred to as the "Davis Double-Click" [1] Group 3 - The Jiashi Chemical ETF tracks the CSI Sub-Segmented Chemical Industry Theme Index, which selects 50 large-scale, liquid chemical listed companies from the Shanghai and Shenzhen markets [2] - The top ten weighted stocks in the index include Wanhu Chemical, Salt Lake Potash, Tianci Materials, Cangge Mining, Juhua Co., Hualu Hengsheng, Duofu Du, Hengli Petrochemical, Baofeng Energy, and Yuntianhua, collectively accounting for over 45.41% of the index [2]

Group 1 - The chemical industry has experienced a prolonged downturn since 2022, with companies now positioned at the bottom of the profitability cycle, indicating significant potential for recovery as production capacity has expanded since 2020 [1] - Wanhua Chemical's core businesses, including polyurethane and fine chemical new materials, are expected to see substantial production increases by 2025, with growth rates of 131%, 255%, and 381% compared to Q1-Q3 2020 [1] - Hualu Hengsheng's production in organic amines, fertilizers, and new energy materials is projected to grow by 45%, 109%, 161%, and 57% respectively by 2025, with significant profitability improvements anticipated through technological upgrades [1] Group 2 - Longbai Group's titanium dioxide and titanium concentrate production is expected to increase by 68% and 58% respectively by the first half of 2025, with significant capacity expansions underway [2] - Boyuan Chemical's production of soda ash and sodium bicarbonate is projected to grow by 388% and 59% respectively by the first half of 2025, with new projects contributing to future growth [2] - Xingfa Group's production in specialty chemicals, pesticides, fertilizers, and organic silicon is expected to grow by 75%, 51%, 131%, and 118% respectively by 2025, indicating strong market demand [2] Group 3 - As of December 26, 2025, the CSI Sub-Industry Chemical Theme Index has risen by 1.04%, with notable increases in stocks such as Guangwei Composites and Duofu Du, reflecting positive market sentiment [3] - The CSI Sub-Industry Chemical Theme Index is designed to track the performance of major listed companies in the chemical sector, with the top ten weighted stocks accounting for 45.41% of the index [3]

Group 1 - The chemical ETF Tianhong (159133) has reached a new high in trading price for three consecutive days, with a turnover rate of 6.45% and a transaction volume of 35.77 million yuan [1] - The underlying index, the CSI Sub-Industry Chemical Theme Index (000813), has increased by 1.55%, with constituent stocks such as Hengyi Petrochemical (000703) rising by 9.24%, Shengquan Group (605589) by 5.37%, and Luxi Chemical (000830) by 5.24% [1] - The Tianhong chemical ETF has seen significant capital inflow, with a single-day subscription of 21.5 million units, bringing its total size to 563 million yuan, a record high since its inception [1] Group 2 - Lianhong Xinke has successfully launched its 1.3 million tons/year MTO and 200,000 tons/year EVA plants, producing qualified products as of December 10, and its 4,000 tons/year lithium battery additive VC plant on December 22 [2] - The lithium battery electrolyte industry is experiencing accelerated growth due to the continuous increase in the electric vehicle market and the explosive demand for energy storage [2] - According to Everbright Securities, the chemical industry is entering a peak period for new capacity, but the actual peak has passed, leading to a reduction in capital expenditure and an improvement in supply-demand dynamics [2]

Core Viewpoint - The launch of the Tianhong Chemical ETF (159133) on November 25 marks a significant addition to the chemical sector, achieving early fundraising success within three days [1] Group 1: ETF Overview - The Tianhong Chemical ETF tracks the CSI Sub-Industry Chemical Theme Index, which encompasses various segments of the chemical industry, including phosphate, fluorine, phosphate fertilizers, and potassium fertilizers [1] - The ETF and its connected fund (Class C 015897) aim to provide investors with exposure to the overall opportunities in the chemical sector [1] Group 2: Market Performance - As of November 24, the CSI Sub-Industry Chemical Theme Index has recorded a year-to-date increase of 23.73% [1] - The latest price-to-book ratio for the index stands at 2.28, which is at the 38.05th percentile level over the past decade [1] Group 3: Investment Insights - Industrial insights from Xingye Securities suggest that core chemical assets are expected to experience profit and valuation recovery, as chemical prices and spreads are currently at low levels [1] - Leading companies in the sector are projected to maintain market share and profitability growth during the current expansion cycle, supported by their integrated operations, scale, and cost advantages [1] - There is a strong recommendation for investing in core chemical assets and leading companies in related sub-industries [1]

Group 1 - The chemical sector continued its adjustment, with the CSI sub-industry chemical theme index closing down 4.30% last Friday and down 6.47% for the week, but still showing a cumulative increase of 27.66% since the second half of the year, outperforming the Shanghai Composite Index by over 16% [1] - The Tianhong Chemical ETF (159133) will be listed on November 25, having raised a net subscription amount of 549.89 million RMB during its fundraising period from November 10 to November 12, with a total of 549.91 million shares issued [1] - The Tianhong Chemical ETF tracks the CSI sub-industry chemical theme index, covering various segments of the chemical industry, including phosphorus chemicals, fluorine chemicals, phosphorus fertilizers, and potassium fertilizers [1] Group 2 - The basic chemical industry has seen an increase in profit growth in the first three quarters, continuing its bottom recovery, with the overall gross margin at 17.69% and net margin at 6.17% for the first three quarters of 2025, both showing a slight year-on-year recovery [2] - The profitability of sub-industries within the basic chemical sector has shown significant differentiation, with improvements noted in fluorine chemicals, potassium fertilizers, synthetic resins, chlor-alkali, and compound fertilizers [2]