证券研究报告 | 定期报告 2024年6月27日 国内量化私募行业周报 定期报告 更新至 2024 年 6 月 21 日 国内量化私募已经在国内私募证券投资基金中的占比已经提升到较高的水平， 对市场的影响也已经举足轻重。 在本系列周报中，我们将回顾近期市场的表现，着重考察头部量化私募的近期 业绩情况，供投资者参详。 ❑ 截至 2024 年6月21日，当周股票市场震荡下跌，通信、电子上涨。 ❑ 此外，我们统计了市场典型量化私募基金的近期业绩、超额收益、超额收益的 相关性以及产品超额因子暴露，供投资者参详。 风险提示：本报告仅对国内量化私募市场情况进行统计和分析，不构成任何 投资建议。私募产品的信息披露并不像公募数据完整和及时，所以有些产品 的净值可能存在更新不及时或者阶段性缺失，产品类型划分的界限也并不十 分明晰，需要引起注意。 任瞳 S1090519080004 rentong@cmschina.com.cn 罗星辰 S1090522070001 luoxingchen@cmschina.com.cn ...

2024 年 07 月 01 日 深度研究 金融工程研究 研究所： [Table_Title] 中证 量化基金持续两月录得显著正向超额 500 证券分析师： 李杨 S0350522070001 liy19@ghzq.com.cn 证券分析师： 何佳玮 S0350524030004 ——量化基金月度跟踪（2024 年 7 月） hejw@ghzq.com.cn 相关报告 投资要点 : 《行业配置策略月度报告(2024/7)：6月动态平衡 策略超额达5.84%，7月推荐关注交通运输、石油  主动量化基金收益分析 宽基类主动量化基金共跟踪14种宽基指数， 石化*李杨，熊颖瑜，何佳玮》——2024-06-30 其中跟踪沪深300、中证500、中证800指数的量化基金在6月份超额 《极致风格下的高beta策略探讨*李杨，何佳玮， 收益均值分别为-0.32%、2.1%和0.6%；行业主题类基金中，跟踪中证 熊颖瑜》——2024-06-26 主要消费、中证新能、中证主要消费的量化基金超额收益位列前3位； 《量化基金月度跟踪（2024年6月）：5月中证500 smart beta类基金跟踪中证红利风格指数的量化基金本月超额 ...

证券研究报告·基金动态报告 量化产品周报：指增超额延续强势，大盘价值类 基金研究 产品表现稳健 核心观点 本周A股市场缩量下跌，主要宽基指数普遍下跌，银行指数 姚紫薇 表现亮眼（2.48%），波动风格因子表现突出（-0.89%）。市场指 yaoziwei@csc.com.cn 标显示当前量化超额环境偏中性。指增产品超额表现优异，300 SAC 编号：S1440524040001 增强中位超额为 0.48%，500 增强中位超额为 1.02%，1000 增强 中位超额为 0.82%。主动量化基金中，大盘价值类产品本周收益 王西之 排名靠前，其中长盛量化红利策略A表现较优（0.82%）。 wangxizhi@csc.com.cn S AC编号：S1440522070003 市场表现回顾 发布日期： 2024年06月29日 本周（2024.6.24-2024.6.28）A 股市场延续缩量下跌、呈现横盘 的走势。宽基指数普遍下跌，上证50 涨幅最高（-0.17%）；行业 市场表现 指数普跌格局，银行指数涨幅最高（2.48%）；风格指数表现各 19% 异，稳定指数涨幅突出（1.15%）。市场指标显示：分化度适 14% ...

Financial Data and Key Indicator Changes - In May 2024, the number of newly issued private equity funds decreased to 507, a month-on-month decline of 22.36% due to fluctuations in the A-share market [8][12] - The average yield for bond strategies in May was 1.08%, while futures and derivatives strategies achieved an average yield of 0.32% [14][41] - The average return for equity long strategies was -0.26% in May, with a negative average return of -7.67% over the past year [15][20] Business Line Data and Key Indicator Changes - Bond strategies outperformed with an average return of 1.08% in May, while equity long strategies showed a negative average return of -0.26% [14][20] - The average return for market-neutral strategies was 0.82% in May, outperforming public mixed funds which had an average return of 0.34% [31][44] - The pure bond strategy had an impressive average return of 10.98% over the past year, while the solid income enhancement strategy yielded 8.61% [15][41] Market Data and Key Indicator Changes - The number of billion-level private equity firms decreased to 92, down by 8 from the end of Q1 2024 [7] - The A-share market showed a slight decline in May, with the Shanghai Composite Index down 0.58% and the Shenzhen Component Index down 2.32% [17][20] - The commodity market saw an overall increase, with the South China Commodity Index rising by 1.68% in May [34] Company Strategy and Development Direction - The company suggests a focus on high-end manufacturing as a mid-term main line in the stock market, emphasizing the importance of export competitiveness and technological advancements [44] - The investment strategy for stocks is slightly higher than standard allocation, while fixed income strategies are recommended at standard allocation [44][46] Management's Comments on Operating Environment and Future Outlook - Management highlighted the need for private equity firms to enhance their research capabilities and maintain compliance amidst increasing competition and regulatory scrutiny [7] - The report indicates a cautious outlook on interest rate cuts, suggesting that the timing for such actions may still require further observation [45] Other Important Information - The report emphasizes the importance of monitoring the performance of private equity funds, as there is significant differentiation among them [22][31] - Risk warnings include the potential impact of monetary policy and uncertainties in the securities market [47] Q&A Session Summary Question: What are the key trends in private equity fund issuance? - The number of newly issued private equity funds decreased significantly in May 2024, reflecting the impact of market fluctuations [8] Question: How did different strategies perform in May? - Bond strategies led with an average return of 1.08%, while equity long strategies faced a decline of -0.26% [14][20] Question: What is the outlook for the bond market? - The bond market is expected to remain stable, with a focus on short to medium-term bonds while monitoring economic signals for potential interest rate changes [45]

Financial Data and Key Metrics Changes - The company reported a revenue increase of approximately 10% for the upcoming year, with an overall revenue growth projection of 11% [2] - The revenue from electric tools is expected to double this year, reaching around 20 billion, with projections of approximately 34 billion next year, indicating a growth rate of over 70% [3][4] - The company anticipates maintaining a revenue growth contribution of around 10% annually over the next few years [3] Business Line Data and Key Metrics Changes - The company plans to categorize its products into three main categories: hand tools, industrial equipment, and electric tools, with electric tools currently accounting for 8% of total revenue [1][2] - The introduction of 20-volt electric tools marks a significant shift from the previous 12-volt offerings, expanding the market potential to over 20 billion [4][5] - The electric tools segment is expected to see substantial growth due to new orders and expanded product lines, with a projected order volume of 300 million to 300 million USD next year [6][7] Market Data and Key Metrics Changes - The market for 20-volt electric tools is estimated to be around 10 billion USD, with the potential to exceed 20 billion USD as the company expands its offerings [5] - The company has secured significant orders from major retailers, contributing to its rapid growth in the electric tools market [7] Company Strategy and Development Direction - The company is focusing on expanding its product categories and distribution channels to enhance market penetration in the electric tools segment [10][11] - There is a clear strategy to improve valuation by demonstrating growth in the electric tools market, which has historically been underrepresented [10][11] Management Comments on Operating Environment and Future Outlook - Management expressed optimism about the recovery of the market, particularly in the electric tools segment, driven by a rebound in the real estate sector and overall economic conditions [12] - The company expects to adjust its earnings forecast upwards by 100 to 200 million due to accelerated capacity expansion and strong growth in electric tools [13] Other Important Information - The company has been recognized for its technological advancements in electric tools, which are expected to lead to a higher valuation compared to historical averages [10][11] - The company is positioned as a strong investment opportunity, with a stable performance record over recent years [12] Q&A Session Summary Question: Is the company's second-quarter performance above expectations? - Management confirmed that the performance exceeded expectations and indicated that an upward adjustment of 100 to 200 million is reasonable due to significant changes in capacity and product growth [13]

Financial Data and Key Metrics Changes - The company is facing pressure due to inventory reduction in the industry, but the actual terminal demand has not decreased, indicating potential for future growth once inventory levels stabilize [12][57][60] - The company aims for a profit target of over 1 billion this year, contingent on inventory management and market conditions [55][57] Business Line Data and Key Metrics Changes - The company has a dedicated team of 500 people for the promotion of its new product, indicating strong resource allocation for market penetration [3] - The sales of the quadrivalent vaccine are stable, with expectations for a potential increase in demand due to changes in immunization schedules [31][32] Market Data and Key Metrics Changes - The company has signed contracts with over a dozen countries for vaccine exports, particularly in Southeast Asia, South Asia, North Africa, and South America, indicating significant market expansion potential [4][17] - The penetration rate for the 13-valent vaccine in the domestic market has reached approximately 30%, with expectations for slower growth as it approaches higher penetration levels [14][15] Company Strategy and Development Direction - The company is focusing on market education rather than aggressive sales tactics in the current regulatory environment, which is seen as a more sustainable approach [2] - The company is exploring partnerships with major pharmaceutical firms to enhance its market presence and expedite entry into new markets [44][61] Management's Comments on Operating Environment and Future Outlook - Management expressed confidence in the long-term demand for vaccines despite current inventory pressures, emphasizing the importance of maintaining consumer trust in the vaccine market [12][60] - The company anticipates that the adult vaccine market in China has significant untapped potential, which could provide growth opportunities in the future [63] Other Important Information - The company is preparing for potential product price adjustments in response to market dynamics, but it believes its diverse product lineup mitigates risks associated with price competition [36][38] - The company is actively working on regulatory approvals and local partnerships to facilitate faster market entry for its vaccines [6][61] Q&A Session Summary Question: What is the current status of the diploid vaccine sales and terminal sales performance? - The company indicated that the sales data for June is not yet available, but it expects the performance to align with inventory levels in the market [9] Question: Will the company adjust the price of convertible bonds based on stock performance? - Management stated that the decision regarding convertible bonds will depend on market conditions and will be announced on July 4 [10] Question: How does the company view competition in the 13-valent vaccine market? - The company believes it has a competitive edge due to its pricing and product quality, despite new entrants in the market [15][17] Question: What are the expectations for the 13-valent vaccine's sales in overseas markets? - Management expressed that while significant sales growth in the short term is challenging, they expect gradual increases over the next few years [18] Question: How is the company addressing the impact of price reductions in the vaccine market? - The company noted that not all products are affected by price reductions, and it has strategically priced its offerings to maintain competitiveness [36][38] Question: What is the company's outlook for the hepatitis B vaccine market? - The company anticipates stable growth in the hepatitis B vaccine segment, with ongoing efforts to capture a larger market share [49][50]

Financial Data and Key Metrics Changes - The company has approximately 6 billion RMB in self-owned funds, along with a bank credit line totaling about 30 billion RMB, which supports liquidity needs and debt repayment risks [2] - The current pledge rate is around 50%, indicating that risks are manageable [2] Business Line Data and Key Metrics Changes - The ODM business reported a loss of approximately 350 million RMB in Q1, primarily due to low order prices, rising raw material costs, and high labor wages [4][9] - The semiconductor business experienced a slight decline in revenue and gross margin in Q1, but market demand improved in Q2, leading to expectations of revenue and margin recovery [10][11] Market Data and Key Metrics Changes - The power semiconductor market demand has shown slight improvement, with the consumer electronics and automotive markets gradually recovering, which is expected to drive the company's semiconductor business growth [7][22] Company Strategy and Development Direction - The company plans to invest 200 million USD in expanding production lines for potassium nitride and silicon carbide at its Hamburg plant, with a focus on upgrading from a 6-inch to an 8-inch production line [1][3] - The company aims to optimize its product structure to drive future growth, particularly in the electric vehicle sector, where it collaborates with major domestic brands [15][17] Management Comments on Operating Environment and Future Outlook - Management noted that while there has been some recovery in demand in Q2, it is not significantly pronounced, and future industry demand is not expected to show double-digit growth [11] - The company is focused on reducing manufacturing costs and improving factory utilization rates to enhance overall performance [10][12] Other Important Information - The company is currently conducting automotive qualification tests at its Lingang wafer factory, with a planned capacity of 30,000 wafers per month by the end of the year [3][6] - The company is also developing new products, including IGBT, silicon carbide, and silicon nitride, to enhance its competitive position in the market [14][19] Q&A Session Summary Question: What are the details of the recent 200 million USD expansion plan? - The expansion plan involves building production lines for potassium nitride and silicon carbide at the Hamburg plant, currently in the planning stage [3] Question: What is the current capacity situation for silicon carbide and potassium nitride? - The current production is mainly experimental or small-scale, with plans to upgrade to an 8-inch line [4] Question: How is the company's ODM business performing? - The ODM business faced a loss of 350 million RMB in Q1 due to low order prices and rising costs, with efforts underway to adjust pricing [9] Question: What is the outlook for the semiconductor business in Q2? - The semiconductor business is expected to see improvements in revenue and gross margin due to recovering market demand [10] Question: What is the company's market position in the electric vehicle sector? - The company collaborates with major domestic brands and aims to enhance its product offerings in the electric vehicle market [18]

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更多资料加入知识星球：水木调研纪要 关注公众号：水木纪要 [Table_Page] 投资策略|中期报告 2024年6月30日 证券研究报告 [中Table_国Title] 资产 ROE 如何实现层级跃迁 ——2024 年中期策略 [分Ta析ble师_A：uth or]刘 晨明 [Table_Summary] SAC 执证号：S0260524020001 报告摘要： liuchenming@gf.com.cn ⚫ 中国资产ROE如何实现层级跃迁。全球长时序的经验显示，高且稳定 分析师： 郑恺 的 ROE 对于资产回报率有着决定性作用，而目前中国与日韩国家的 SAC 执证号：S0260515090004 ROE普遍落在6%-8%（对应PB1-1.5倍）的低区。参考美、日、德经 SFC CE No. BUU989 验，龙头公司能够实现高且稳定ROE的两个条件：①反内卷，②全球 zhengkai@gf.com.cn 化。虽然很难，但这似乎是部分中国资产未来实现ROE层级跃迁的必 分析师： 余可骋 经之路，在总需求缺乏大的β的背景条件下，也将对应着下一个时代的 SAC 执证号：S0260524030007 核心资产。 ...

证券研究报告 拐点临近，景气上行 ——国防军工行业2024半年度策略 行业评级：看好 2024年6月23日 ...