Investment Rating - The report maintains a positive outlook on the power and gas sectors, indicating a favorable investment environment due to policy improvements and market dynamics [1]. Core Insights - The report highlights the recent improvements in the capacity pricing mechanism for power generation, which aims to stabilize revenue and enhance the profitability of various power sources [6][10]. - It notes a slight increase in natural gas consumption in 2025, with a projected growth of 0.1% year-on-year, indicating a stable demand outlook for the gas sector [32]. Summary by Sections 1. Power Sector: Capacity Pricing Mechanism Improvement - The National Development and Reform Commission and the National Energy Administration have issued a notification to enhance the capacity pricing mechanism for power generation, addressing mismatches in supply and demand within the new energy system [6]. - The new mechanism introduces differentiated pricing for various types of regulatory power sources, ensuring that their capacity value is adequately compensated [7]. - A unified compensation standard for peak capacity across different power sources is established, promoting rational investment and resource allocation in the power sector [8][10]. 2. Gas Sector: Continued Growth in Natural Gas Consumption - Natural gas consumption in China is expected to reach 385.7 billion cubic meters by December 2025, reflecting a year-on-year increase of 1.9% [32]. - The report emphasizes the impact of cold weather on gas prices, with global prices remaining high, particularly in the U.S. and Europe, which supports the profitability of gas companies [13][19]. - The report suggests that the gas sector will benefit from a combination of lower costs and improved demand, particularly for city gas companies, with recommendations for several key players in the market [34]. 3. Weekly Market Review - The report notes that the public utility, power, gas, and environmental sectors underperformed relative to the Shanghai and Shenzhen 300 index during the week of January 24 to January 30, 2026 [36]. 4. Company and Industry Dynamics - As of the end of 2025, the total installed power generation capacity in China reached 3.89 billion kilowatts, a year-on-year increase of 16.1%, with significant growth in solar and wind power installations [43]. - The report includes various company announcements, highlighting performance forecasts and operational updates from key players in the energy sector [44].

邓虎 A0230520070003 denghu@swsresearch.com 联系人 邓虎 A0230520070003 denghu@swsresearch.com 2026 年 02 月 02 日 行业轮动模型的因子化：减少当前 超额回撤的思路之一 ——申万金工因子观察第 2 期 20260201 相关研究 证券分析师 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 股 票 基 金 - ⚫ 传统量价因子的集体失效与其整体偏反转的逻辑相关，为偏动量特征的行业轮动模型的因 子化提供了场景。 2026 年以来，低波、反转、市值、低流动性因子反向，对策略超额 影响较大，其集体失效的原因与行情热度持续、逻辑偏反转的因子失效。如果能有一个偏 动量特征的因子进行一定的调和，或许能增强组合超额的稳定性。 ⚫ 量化行业轮动模型追求的超额稳健性，为行业轮动模型的因子化提供了基础。一直以来， 量化的行业轮动模型缺乏较好的使用场景，量化策略追求超额的稳定性，使得行业轮动模 型所选出的行业往往不会很极致，而这个稳健特征如果只是对标所有行 ...

Group 1: Commercial Aerospace - The commercial aerospace industry is experiencing upward trends due to accelerated progress in domestic and international computing constellations[5] - Key focus areas include satellite payloads, satellite platforms, space photovoltaics, application terminals, operational services, and rocket support[3] - The China Aerospace Science and Technology Corporation has significant external assets, indicating strong expectations for mergers and acquisitions[3] Group 2: Photovoltaic Industry - Rising silver prices are increasing cost pressures in the photovoltaic industry, making "de-silvering" a critical demand for battery mass production[3] - The adoption of N-type batteries has become mainstream, with silver paste costs in components rising to 21.4% by January 2026[30] - The laser technology is pivotal in supporting the de-silvering transition, enhancing efficiency and reducing material costs[31] Group 3: AI Glasses Market - Global sales of AI glasses are rapidly increasing, with Meta contributing significantly to growth, projecting 6 million units sold in 2025[3] - By 2026, global AI glasses sales are expected to reach 16 million units, with non-display AI audio and photography glasses being major contributors[40] - In Q4 2025, domestic and overseas sales of AI glasses were 24.5 million and 425 million units, respectively[40]

Group 1 - The report indicates a return of low volatility factors, forming a resonance in the current market environment, with economic indicators showing a weakening trend, liquidity slightly easing, and credit indicators remaining weak [2][8][11] - The report emphasizes the selection of factors that are insensitive to economic changes but sensitive to liquidity and credit, highlighting the low volatility factor in the CSI 300 as a key resonant factor [5][9][11] - The macroeconomic outlook suggests a continued downtrend in economic indicators, with the economic forecast model indicating that February 2026 is at the beginning of a decline that started in December 2025 [11][12][13] Group 2 - The liquidity environment is assessed as slightly easing, with short-term interest rates declining and monetary supply showing a neutral signal, while excess reserves are decreasing [18][21][23] - Credit indicators are showing a weakening trend, with credit spreads widening and overall credit metrics declining, indicating a contraction in credit availability [24][25] - The asset allocation strategy suggests a slight allocation to US stocks, with a neutral stance on A-shares and a positive outlook on gold based on momentum [26][28] Group 3 - The report identifies PPI as the most closely monitored variable, with inflation concerns rising and liquidity becoming a significant focus for the market [28] - The industry selection is biased towards TMT (Technology, Media, and Telecommunications) and consumer sectors, based on macroeconomic indicators and their sensitivity to economic changes [29]

Investment Rating - The report maintains a "Buy" rating for the company [6] Core Insights - The company has exceeded performance expectations, with shipbuilding and diesel generator contributions showing significant elasticity. The dividend yield is seen as a protective moat [6] - The company expects a 2025 net profit of 1.355 billion yuan, representing an 18% year-on-year increase, with a strong Q4 performance [8] - The shipbuilding segment is projected to benefit from declining steel prices, with expected revenue growth of 14% in 2025 [8] - The diesel generator segment shows strong market competitiveness, with several key projects won, indicating robust performance [8] - The company's diversified operations and global layout provide stability against market fluctuations [8] - The dividend payout ratio is projected at 42%, leading to an estimated dividend yield of approximately 3.7% to 4.1% for 2025 and 2026 [8] - The 2025 net profit forecast has been raised to 1.4 billion yuan, with maintained projections for 2026 and 2027 [8] Financial Data and Profit Forecast - Total revenue is projected to be 117.803 billion yuan in 2025, with a year-on-year growth rate of 0.5% [7] - The net profit attributable to the parent company is expected to reach 1.355 billion yuan in 2025, with a growth rate of 18% [7] - Earnings per share are forecasted to be 1.04 yuan in 2025, increasing to 1.13 yuan in 2026 [7] - The company's return on equity (ROE) is projected to be 15.9% in 2025 [7]

Investment Rating - The report maintains a "Buy" rating for the company, indicating a positive outlook for its stock performance in the coming months [6]. Core Insights - The company, Fulian Transportation, has announced an expected increase in net profit attributable to shareholders for 2025, projected to be between 165 million to 196 million yuan, representing a year-on-year growth of 35% to 60% [4]. - The growth in performance is primarily attributed to the confirmation of land reserves and an increase in investment income, exceeding expectations [4]. - The company is strategically expanding into low-altitude logistics and has formed a joint venture with a leading manufacturer of unmanned logistics vehicles, which is expected to open new growth avenues [6]. Financial Data and Profit Forecast - Total revenue for 2025 is estimated at 851 million yuan, with a slight year-on-year decline of 0.5% [5]. - The net profit attributable to shareholders for 2025 is forecasted at 180 million yuan, reflecting a significant year-on-year increase of 47.3% [5]. - The company anticipates a steady increase in net profit over the next few years, with projections of 226 million yuan in 2026 and 277 million yuan in 2027 [5][7].

证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 2026 年 02 月 02 日 低波因子表现回归、形成共振 ——量化资产配置月报 202602 化 策 略 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 博时基金 博时基金管理有限公司(researchreport@bosera.com) 使用。1 权 益 量 化 研 究 量 相关研究 - | 1. 低波因子表现回归、形成共振 4 | | | --- | --- | | 2. 各宏观指标方向与资产配置观点 6 | | | 2.1 经济前瞻指标：维持下行判断 6 | | | 2.2 流动性：维持略偏松 9 | | | 2.3 综合信用指标 | 10 | | 2.4 大类配置观点：小幅配置美股 | 11 | | 3. 市场关注点：PPI 关注度维持最高 11 | | | 4. 宏观视角下的行业选择 ...

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - In January 2026, the REITs market started the year strongly, with the CSI REITs Total Return Index rising 4.2%, outperforming the CSI 300. Various asset REITs indices generally increased, with IDC, consumption, industrial parks, utilities, and warehousing leading the gains. The liquidity of the market improved, and most asset valuations significantly increased, while the REITs dividend yield narrowed compared to long - term bonds [4]. - The first batch of 8 commercial real - estate REITs were declared, showing six characteristics: diverse asset types, wide geographical distribution, state - owned dominance with participation from private and foreign enterprises, large issuance scale, different valuation safety margins for different asset types, and differentiated operating performance [4]. - In January, there were no new REITs issuances in the primary market, but two REITs' additional issuance shares were listed. China Nuclear Clean Energy REIT will be listed on February 2nd, and the offline issuance part will be fully tradable on the listing day. Five infrastructure REITs projects were terminated, and Hua'an Waigaoqiao REIT announced a planned additional issuance [4]. 3. Summary by Relevant Catalogs 3.1 First Batch of Commercial Real - Estate REITs Accepted, Six Characteristics Reviewed - **Asset Types and Geographical Distribution**: The first batch of 8 commercial real - estate REITs involve various asset types such as office buildings, commercial retail, and hotels, with the first - time appearance of mixed - asset offerings in public REITs. The projects are located in first - tier, new first - tier, provincial capitals, and regional core cities, and Hua'an Jinjiang Commercial REIT's underlying assets are mainly in second - and third - tier cities [10]. - **Fund - raising Scale and Valuation**: The average planned fund - raising amount of the 8 REITs is 3.934 billion yuan, much higher than that of infrastructure REITs in the pipeline. The valuation safety margin of commercial retail is relatively high, while that of office buildings is low [13]. - **Operation Performance**: Commercial retail has a stable high occupancy rate, office buildings show regional differentiation, and the hotel business has large operating fluctuations [13]. - **Individual Project Analysis**: Analyze the characteristics, performance, and risks of 8 REITs projects such as CICC Vipshop Commercial REIT, Huaxia CapitaLand Commercial REIT, etc. [15][19][22] - **Listed Companies' Plans**: As of January 30, 2026, 3 A - share listed companies (Poly Developments, Maoye Commercial, and Everbright Jiabao) announced plans to apply for commercial real - estate REITs, and Poly Developments' project has been accepted by the Shanghai Stock Exchange [50]. 3.2 January Market Flourished, with Differentiated Gains under Performance Growth - **Overall Market Performance**: In January 2026, the equity market was mediocre, the CSI 300 Total Return Index rose 1.8%, and the CSI Dividend Total Return Index rose 3.8%. The CSI REITs Total Return Index rose 4.2%, outperforming the CSI 300 and the CSI Dividend Total Return Index. Long - term bond yields declined [58]. - **REITs Asset Performance**: All types of REITs assets rose in January. IDC, consumption, industrial parks, utilities, and warehousing had the top five gains. The gains of utilities and consumption REITs indices widened significantly compared to December 2025 [64]. - **Individual Bond Performance**: 96% of REITs bonds rose, and only 3 fell. Hua'an Bailian Consumption REIT led the gains and triggered a trading halt [69]. - **Liquidity**: The average daily turnover rate of Shanghai and Shenzhen REITs was 0.55%, up 0.15 pcts month - on - month. The liquidity of IDC and consumption REITs improved significantly, while that of rent - protected housing and energy improved limitedly, and the trading of transportation REITs was still dull [74]. - **Dividend Yield and Valuation**: As of January 30, 2026, the dividend yield of equity - type REITs was 4.46%, and that of concession - type REITs was 8.58%. The spread between equity - type REITs and 10 - year treasury bonds narrowed, while the spread with CSI Dividend stocks widened. The P/NAV of equity - type REITs was at the 87% quantile, and the P/FFO of concession - type REITs was at the 52% quantile [75][85][86]. - **Internal Rate of Return (IRR)**: The IRR of equity - type REITs was 3.8%, and that of concession - type REITs was 5.0%, both lower than the previous period [96]. 3.3 No New Issuance This Month, China Nuclear Clean Energy to Be Listed on February 2nd - **Primary Market and Additional Issuance**: In January 2026, there were no new REITs issuances in the primary market, and the additional issuance shares of Huaxia Fund China Resources Youchao REIT and AVIC Jingneng Photovoltaic REIT were listed [100]. - **New Listing**: China Nuclear Clean Energy REIT will be listed on February 2nd, and the offline issuance part will be fully tradable on the listing day [104]. - **Queuing Projects**: Two projects (China International Capital Corporation Xiamen Torch Industrial Park REIT and AVIC Beijing Changping Rent - protected Housing REIT) are under the first - round inquiry, and 5 projects are terminated [107]. - **Bidding Projects**: Hubei Cultural Tourism Group Co., Ltd. plans to issue public REITs for its cultural and tourism assets, and Huatai - PineBridge Fund won the bid for the public REIT project of Shanghai Real Estate (Group) Co., Ltd. [111] 3.4 JD Warehousing to Be Unlocked on February 8th, Hua'an Waigaoqiao Plans Additional Issuance - **Unlocking and Additional Issuance**: The strategic placement shares of Harvest JD Warehousing REIT will be unlocked on February 8th. Hua'an Waigaoqiao REIT plans to conduct an additional issuance and purchase two real - estate projects in Pudong New Area, Shanghai [116]. - **Market - making Services**: In the first half of January, Industrial Securities provided market - making services for some public REITs. Huaxia Nanjing Transportation Expressway REIT's original equity holder changed the use of the recovered funds [120].

Investment Rating - The report maintains a "Buy" rating for the company, indicating a positive outlook for its stock performance relative to the market [6]. Core Insights - The company, Fulin Transportation, has announced an expected increase in net profit for 2025, projecting a range of CNY 165 million to CNY 196 million, representing a year-on-year growth of 35% to 60% [4]. - The growth in performance is attributed to the confirmation of land reserves and an increase in investment income, exceeding expectations [4]. - The traditional road transportation business remains stable, with significant operational assets including 29 passenger stations and over 6,000 operational vehicles [6]. - The company is strategically positioning itself in the low-altitude logistics sector, leveraging partnerships to enhance efficiency and reduce costs in mountainous regions of Sichuan [6]. - A joint venture with a leading manufacturer of autonomous logistics vehicles aims to accelerate the company's entry into the unmanned freight sector, potentially creating a new growth trajectory [6]. - The financial forecasts for 2025 to 2027 indicate a steady increase in net profit, with projections of CNY 180 million, CNY 226 million, and CNY 277 million respectively, alongside a corresponding decrease in price-to-earnings ratios [5][6]. Financial Data and Profit Forecast - Total revenue for 2025 is estimated at CNY 851 million, with a slight year-on-year decline of 0.5% [5]. - The gross profit margin is expected to improve from 19.1% in 2025 to 25.5% by 2027, reflecting operational efficiencies [5]. - Return on equity (ROE) is projected to rise from 10.4% in 2025 to 13.0% in 2027, indicating enhanced profitability [5].

| 指数 | 收盘 | | 涨跌（％） | | | --- | --- | --- | --- | --- | | 名称 | （点） | 1 日 | 5 日 | 1 月 | | 上证指数 | 4118 | -0.96 | 3.85 | -0.44 | | 深证综指 | 2684 | -0.78 | 5.71 | -2.27 | | 风格指数 | 昨日 | 近 1 个月 | 近 6 个月 | | --- | --- | --- | --- | | (％) | | | | | 大盘指数 | -0.81 | 0.63 | 13.2 | | 中盘指数 | -1.67 | 10.42 | 31.3 | | 小盘指数 | -1.05 | 8.78 | 24.7 | 涨幅居前 行业(％) 昨日 近 1 个月 近 6 个月 通信设备 4.32 4.7 87.85 种植业 3.61 12.69 19.72 渔业 3.35 10.96 8.63 影视院线 2.39 12.32 5.47 橡胶 2.07 10.83 17.04 跌幅居前 行业(％) 昨日 近 1 个月 近 6 个月 贵金属 -8.87 59.71 116.25 工 ...