Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model Name: Volume Timing Model - **Model Construction Idea**: The model uses volume signals to determine market timing[12] - **Model Construction Process**: - The model evaluates the volume timing signals for major indices as of February 6, 2026, and maintains a cautious view[24] - **Model Evaluation**: The model is currently signaling a cautious outlook for all major indices[24] Model Name: Momentum Sentiment Indicator - **Model Construction Idea**: The model uses the number of stocks with positive returns within an index to gauge market sentiment[24] - **Model Construction Process**: - Calculate the proportion of stocks in the CSI 300 index with positive returns over the past N days - The formula is: $ \text{CSI 300 Index N-day Upward Stock Proportion} = \frac{\text{Number of stocks with positive returns in the past N days}}{\text{Total number of stocks in the index}} $[24] - **Model Evaluation**: The indicator can quickly capture upward opportunities but may miss out on gains during sustained market exuberance and has limitations in predicting downturns[25] Model Name: Moving Average Sentiment Indicator - **Model Construction Idea**: The model uses the eight moving average system to determine the trend state of the CSI 300 index[32] - **Model Construction Process**: - Calculate the eight moving average values for the CSI 300 index closing prices with parameters 8, 13, 21, 34, 55, 89, 144, 233 - Assign values to the moving average indicator based on the moving average interval values - The formula is: $ \text{Indicator Value} = \begin{cases} -1 & \text{if interval value is 1/2/3} \\ 0 & \text{if interval value is 4/5/6} \\ 1 & \text{if interval value is 7/8/9} \end{cases} $[32] - **Model Evaluation**: The recent CSI 300 index is in a non-prosperous sentiment interval[32] Model Backtesting Results Volume Timing Model - **Signal**: Cautious for all major indices[24] Momentum Sentiment Indicator - **Current Value**: The indicator is above 60%, indicating high market sentiment[25] Moving Average Sentiment Indicator - **Current Value**: The CSI 300 index is in a non-prosperous sentiment interval[32] Quantitative Factors and Construction Methods Factor Name: Cross-sectional Volatility - **Factor Construction Idea**: The factor measures the cross-sectional volatility of index constituent stocks to assess the Alpha environment[36] - **Factor Construction Process**: - Calculate the cross-sectional volatility for the CSI 300, CSI 500, and CSI 1000 index constituent stocks - The formula is: $ \text{Cross-sectional Volatility} = \sqrt{\frac{1}{N-1} \sum_{i=1}^{N} (R_i - \bar{R})^2} $ where $ R_i $ is the return of stock i, and $ \bar{R} $ is the average return[37] - **Factor Evaluation**: The short-term Alpha environment has deteriorated, but the quarterly view shows a good Alpha environment for the CSI 300 and CSI 1000 indices[36] Factor Name: Time-series Volatility - **Factor Construction Idea**: The factor measures the time-series volatility of index constituent stocks to assess the Alpha environment[37] - **Factor Construction Process**: - Calculate the time-series volatility for the CSI 300, CSI 500, and CSI 1000 index constituent stocks - The formula is: $ \text{Time-series Volatility} = \sqrt{\frac{1}{T-1} \sum_{t=1}^{T} (R_t - \bar{R})^2} $ where $ R_t $ is the return at time t, and $ \bar{R} $ is the average return[40] - **Factor Evaluation**: The recent week shows an improvement in the Alpha environment for all indices[37] Factor Backtesting Results Cross-sectional Volatility - **CSI 300**: - Last quarter average: 2.17% - Last quarter percentile (2 years): 70.99% - Last quarter percentile (1 year): 74.07% - Last quarter percentile (6 months): 65.64%[37] - **CSI 500**: - Last quarter average: 2.48% - Last quarter percentile (2 years): 48.41% - Last quarter percentile (1 year): 53.97% - Last quarter percentile (6 months): 56.35%[37] - **CSI 1000**: - Last quarter average: 2.63% - Last quarter percentile (2 years): 66.53% - Last quarter percentile (1 year): 68.92% - Last quarter percentile (6 months): 66.14%[37] Time-series Volatility - **CSI 300**: - Last quarter average: 0.96% - Last quarter percentile (2 years): 58.02% - Last quarter percentile (1 year): 60.91% - Last quarter percentile (6 months): 47.94%[40] - **CSI 500**: - Last quarter average: 1.27% - Last quarter percentile (2 years): 50.00% - Last quarter percentile (1 year): 57.94% - Last quarter percentile (6 months): 60.32%[40] - **CSI 1000**: - Last quarter average: 1.22% - Last quarter percentile (2 years): 63.35% - Last quarter percentile (1 year): 71.31% - Last quarter percentile (6 months): 66.93%[40]

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The overall issuance volume of credit bonds decreased month - on - month, and the credit spreads of various industries showed mixed trends [1] 3. Summary by Relevant Catalogs 3.1 Primary Market 3.1.1 Issuance Statistics - From February 2nd to February 6th, 2026, a total of 432 credit bonds were issued, with a total issuance scale of 399.332 billion yuan, a month - on - month decrease of 15.10% [11] - Industrial bonds: 184 were issued, with a scale of 166.015 billion yuan, a month - on - month decrease of 30.88%, accounting for 41.57% of the total credit bond issuance [11] - Urban investment bonds: 210 were issued, with a scale of 141.497 billion yuan, a month - on - month increase of 19.61%, accounting for 35.43% of the total [11] - Financial bonds: 38 were issued, with a scale of 91.820 billion yuan, a month - on - month decrease of 17.94%, accounting for 22.99% of the total [11] - The average issuance term of credit bonds was 2.82 years, with industrial bonds at 2.29 years, urban investment bonds at 3.49 years, and financial bonds at 2.19 years [13] - The average issuance coupon rate of credit bonds was 2.13%, with industrial bonds at 2.03%, urban investment bonds at 2.25%, and financial bonds at 1.91% [17] 3.1.2 Cancellation of Issuance Statistics - Four credit bonds cancelled their issuance this week [22] 3.2 Secondary Market 3.2.1 Credit Spread Tracking - In Shenwan's first - level industries, the largest upward movement in AAA - rated industry credit spreads was in the food and beverage industry (2.2BP), and the largest downward movement was in the light manufacturing industry (1.2BP). For AA + - rated industries, the largest upward movement was in non - ferrous metals (5.6BP), and the largest downward movement was in agriculture, forestry, animal husbandry and fishery (2.4BP). For AA - rated industries, the largest upward movement was in non - bank finance (1.8BP), and the largest downward movement was in the computer industry (6.3BP) [24] - In terms of urban investment bonds by region, for AAA - rated bonds, the largest upward movement was in Jilin (5.9BP), and the largest downward movement was in Inner Mongolia (2.1BP). For AA + - rated bonds, the largest upward movement was in Beijing (5.8BP), and the largest downward movement was in Fujian (2.7BP). For AA - rated bonds, the largest upward movement was in Guangxi (1.5BP), and the largest downward movement was in Yunnan (6.7BP) [26] - Coal credit spreads showed mixed trends, and steel credit spreads generally increased. For coal, AAA, AA +, and AA - rated credit spreads increased by 1.5BP, decreased by 0.9BP, and increased by 1.1BP respectively. For steel, AAA and AA + - rated credit spreads increased by 1.5BP and 5BP respectively [24] - Urban investment credit spreads of various levels showed mixed trends, and non - urban investment credit spreads generally increased. The three - level urban investment credit spreads increased by 0.1BP, decreased by 0.6BP, and decreased by 0.8BP respectively; the three - level non - urban investment credit spreads increased by 0.6BP, increased by 0.8BP, and remained flat respectively [24] - State - owned enterprise credit spreads showed mixed trends, and private enterprise credit spreads generally decreased. For central state - owned enterprises, the three - level credit spreads increased by 1.5BP, decreased by 0.7BP, and decreased by 0.9BP respectively; for local state - owned enterprises, the three - level credit spreads increased by 0.2BP, decreased by 0.2BP, and decreased by 1.4BP respectively; for AAA and AA + - rated private enterprises, credit spreads decreased by 0.4BP and 1BP respectively [25] 3.2.2 Trading Volume Statistics - The total trading volume of credit bonds was 147.0414 billion yuan, a month - on - month decrease of 8.17%. The top three in terms of trading volume were commercial bank bonds, corporate bonds, and medium - term notes. Commercial bank bonds had a trading volume of 49.7061 billion yuan, a month - on - month decrease of 8.95%, accounting for 33.80% of the total. Corporate bonds had a trading volume of 41.3421 billion yuan, a month - on - month decrease of 9.23%, accounting for 28.12% of the total. Medium - term notes had a trading volume of 31.2069 billion yuan, a month - on - month decrease of 7.75%, accounting for 21.22% of the total [27] 3.2.3 Actively Traded Bonds This Week - The report selects the top 20 urban investment bonds, industrial bonds, and financial bonds in terms of trading volume this week for investors' reference [29]

Group 1 - The A-share market experienced fluctuations and adjustments, with major indices generally declining, particularly the ChiNext and CSI 500, while the Shanghai 50 and SME 100 saw smaller declines. The current valuation of the Sci-Tech 50 and Wind All A indices is relatively high, with their PE(TTM) percentile above 90% since 2010 as of February 6, 2026 [1][11][14] - The report highlights a positive outlook for the upcoming spring market, suggesting that favorable policies and fundamental factors may emerge in the coming months. However, a short-term correction is anticipated before the Spring Festival due to tightening liquidity and reduced trading enthusiasm among investors [3][25] - The report emphasizes the importance of maintaining positions during the holiday period, as historical data indicates that the market tends to perform well in the 20 trading days following the Spring Festival [3][31] Group 2 - Key industries to focus on include electronics, power equipment, machinery, non-ferrous metals, communications, and computers, which are expected to show growth and independent prosperity in February. The report suggests that investors should pay attention to these sectors [4][34][35] - The report identifies short-term investment opportunities in the "price increase" theme, particularly in chemical raw materials and petroleum and petrochemical sectors, while recommending a mid-term strategy to accumulate positions in the metals sector after it stabilizes [4][35] - The report notes that the second-hand housing market in several key cities showed signs of recovery in January, with significant year-on-year increases in transaction volumes, indicating a potential rebound in the real estate sector [21][22]

Investment Rating - The report maintains a "Buy" rating for the company [5] Core Insights - The company is positioned to benefit from the acceleration of domestic aircraft deliveries and the development opportunities in commercial aerospace, with significant projects and contracts in place [1][2] - The company has increased its R&D investments and is focusing on high-quality, low-cost development in emerging sectors such as commercial aerospace and low-altitude economy, despite facing short-term profit pressures [3] Summary by Sections Aerospace and Commercial Opportunities - The domestic large aircraft delivery is expected to speed up, with 15 C919 aircraft projected to be delivered in 2025, an increase from 2024 [1] - The company has secured contracts for composite material components and tooling, including a 246.3 million yuan project with AVIC [1] - The company is actively involved in the manufacturing of composite parts for major domestic aircraft manufacturers, including components for the C919 and CJ-1000 engines [1] Satellite Communication and Emerging Markets - The company has completed key satellite communication products and is positioned as a core supplier for ground systems, which is expected to benefit from the growing demand in commercial aerospace [2] - The company plans to enhance its R&D efforts in integrated aerospace products and communication technologies to expand its product offerings [2] Financial Performance and Projections - The company anticipates a significant decline in net profit for 2025, projecting approximately 41 million yuan, a decrease of about 59.63% year-on-year due to increased R&D costs and customer budget cuts [3] - Revenue forecasts for 2025 and 2026 have been adjusted to 532 million yuan and 746 million yuan, respectively, with a new projection for 2027 at 1.018 billion yuan [4] - The expected EPS for 2025, 2026, and 2027 is 0.10 yuan, 0.32 yuan, and 0.46 yuan, respectively [4]

2026 年 2 月 6 日 晨会速递 【债券】中长端信用债表现优于短端，机构博弈摊余成本法债基"定开潮"——信用 债月度观察（2026.1） 整体来看，受摊余成本法债基集中定开、年初配置盘支撑等因素的影响，2026 年 1 月中长端信用债表现整体优于短端信用债，3-15 年期中短期票据收益率下行显著。 具体来看，产业债 3-5 年期品种表现突出。城投债短期限下沉策略表现较为突出，AA- 级 2–3 年期城投债表现强势，收益率于本月下行 12bp 左右；同时中高等级城投债的 拉长久期策略也较为突出。 公司研究 【海外 TMT】FY26Q1 业绩符合预期， 内存短缺拖累下游需求——高通（QCOM.O） FY26Q1 业绩点评(增持) 高通 FY26Q1 业绩符合预期，FY26Q2 指引不及预期，主要系内存短缺&涨价对下游 需求产生不利影响。。维持对公司 FY2026-2028GAAP 归母净利润 115 亿/125 亿/130 亿美元的预测，分别同比增长 108%/8%/4%，现价对应 FY2026-2028 PE 分别为 14X、 13X、12X，维持"增持"评级。 【纺服】潮领风尚，厚积薄发——潮宏基（00 ...

Investment Rating - The report maintains a "Buy" rating for Qualcomm (QCOM.O) [6] Core Insights - Qualcomm's FY26Q1 performance met expectations, but the guidance for FY26Q2 fell short due to adverse impacts from memory shortages and price increases affecting downstream demand [1] - FY26Q1 Non-GAAP revenue was $12.252 billion, a 5% year-over-year increase, with Non-GAAP net profit at $3.781 billion [1] - The guidance for FY26Q2 is projected Non-GAAP revenue of $10.2 to $11 billion, below the consensus estimate of $11.16 billion [1] Summary by Sections QCT Mobile Business - FY26Q1 mobile business revenue was $7.824 billion, up 3% year-over-year, driven by increased shipments of Snapdragon chips [2] - Qualcomm secured a 75% supply share for high-end smartphone chips for Samsung's upcoming series [2] - The guidance for FY26Q2 mobile revenue is approximately $6 billion, with expectations of growth being constrained by memory chip shortages [2] QCT IoT Business - FY26Q1 IoT revenue reached $1.688 billion, a 9% year-over-year increase, primarily due to higher shipments in edge networking and consumer products [3] - The company continues to expand into vertical applications in edge networking and industrial IoT, with new products launched at CES 2026 [3] - The PC segment saw the release of the Snapdragon X2 Plus chip, enhancing performance significantly [3] QCT Automotive Business - FY26Q1 automotive revenue was $1.101 billion, a 15% year-over-year increase, attributed to higher shipments of vehicles equipped with Qualcomm's smart cockpit technology [4] - Qualcomm signed a long-term supply agreement with Volkswagen Group, expanding its supply to brands like Audi and Porsche [4] - The company is collaborating with CARIAD and Bosch to develop autonomous driving systems [4] Financial Forecast and Valuation - The report forecasts GAAP net profits of $11.5 billion, $12.5 billion, and $13 billion for FY2026, FY2027, and FY2028 respectively, with growth rates of 107.7%, 8.4%, and 4.2% [4] - The current price corresponds to FY2026-2028 P/E ratios of 14X, 13X, and 12X [4]

Investment Rating - The report maintains a "Buy" rating for Yum China (9987.HK) [1] Core Insights - The company reported Q4 2025 revenue of $2.823 billion, a year-on-year increase of 9% (or 7% excluding foreign currency effects), and operating profit of $187 million, up 25% (or 23% excluding foreign currency effects) [5][6] - Same-store sales growth accelerated in Q4 2025, with system sales up 7% year-on-year, and same-store sales up 3% [6] - The company plans to exceed 20,000 stores by 2026, with a net addition of over 1,900 stores, accelerating from 2025 [7] Revenue Performance - Q4 2025 same-store sales growth was driven by KFC and Pizza Hut, with KFC's same-store sales up 3% and Pizza Hut's up 1% [6] - The company expects continued growth in same-store revenue and system sales in 2026, projecting high single-digit growth [6] Store Expansion - In Q4 2025, the company added 587 new stores, bringing the total to 18,101 [7] - The company achieved a net addition of 1,706 stores in 2025, meeting its target of 1,600-1,800 new stores [7] Profitability Improvement - Q4 2025 restaurant profit margin improved to 13.0%, up 0.7 percentage points year-on-year [8] - The core operating profit for Q4 2025 was $185 million, a 23% increase year-on-year, driven by operational efficiency and favorable commodity prices [8] New Business Developments - The company made significant progress in new business initiatives, including the expansion of KFC Coffee and KPRO, which contributed to sales growth [9] - New product offerings, such as KFC's spicy chicken and Pizza Hut's handmade thin-crust pizza, attracted younger consumers and drove sales [9] Financial Forecast and Valuation - The report raises the net profit forecast for 2026-2027 to $1.027 billion and $1.109 billion, respectively, with an EPS of $2.90 for 2026 [10] - The current stock price corresponds to a P/E ratio of 17x for 2026, indicating strong growth potential for the leading Western fast-food company [10]

2026 年 2 月 5 日 总量研究 一、出海浪潮仍处于上升阶段 2025 年我国对外直接投资规模小幅提升，更多中小企业加入出海行列。政策方 面展现全球化布局拉动外需、促进供给侧改革的意图。 二、哪些行业海外营收大幅增长？ 从一级行业看，轻工制造、家用电器海外营收占比高。电子、机械产业链以及服 务贸易的海外营收同比增长较快。从二级行业来看，电子、机械相关行业海外营 收占比高。电子通信、金融和游戏行业的海外竞争力提升明显。 轻工制造、汽车等对外敞口高的行业，其股价表现相对更优。民营企业对外积极 性持续走高，"十五五"期间民企可能成为海外业务收入的最主要贡献项。 2025 年我国制造业出海进程如何？ ——《见微知著》系列第二十九篇 要点 核心观点： 当前我国制造业出海进程如何？未来哪些行业是出海主力军？人民币升值背景 下出海如何影响出口和投资？本篇报告主要分析了这三方面问题。 三、高海外毛利率是出海的动力 上市公司的海外毛利率较高。一是，海外需求旺盛，出口成为拉动经济增长主要 贡献项。二是，企业加速产能出海，带来产品附加值提升。2025 年上半年，计 算机、医药生物、美容护理、机械设备等行业海外毛利率较高。 海 ...

晨会速递 分析师点评 市场数据 总量研究 2026 年 2 月 5 日 【房地产】TOP10 房企开年销售表现相对较好——百强房企销售跟踪（2026 年 1 月） (增持) 1 月 TOP10 房企全口径销售额同比-12%，TOP100 同比-25%，各梯队房企销售表现 分化；全口径/权益口径销售金额同比表现较好的有：中海地产+20.5%/+20.4%、中 国金茂+13.3%/+13.4%。2026 开年《求是》集中刊文，明确改善和稳定房地产预期； 政府直接收购二手旧房促进以旧换新，加快销售去化，地产板块迎来情绪曙光，推荐 招商蛇口、中国金茂等。 公司研究 【石化】实控人首次增持公司股份，彰显未来发展信心——恒力石化（600346.SH） 公告点评(买入) 考虑到炼化行业景气度修复程度不及我们此前预期，因此我们下调公司 2025-2027 年盈利预测，预计公司 2025-2027 年归母净利润分别为 71.72（下调 14%）/90.70 （下调 7%）/103.58（下调 3%）亿元，对应 EPS 分别为 1.02/1.29/1.47 元，公司 新产能逐步投产，依然具备较高成长性，持续实施高分红政策打造价值 ...

Investment Rating - The report maintains a "Buy" rating for the banking industry, indicating an expected investment return exceeding the market benchmark index by over 15% in the next 6-12 months [1][29]. Core Insights - The January "opening red" season for loans is expected to be moderate, with stable liquidity conditions. The projected new RMB loans for January are around 5 trillion, with a growth rate of approximately 6.2%, slightly lower than the same period last year [4][5]. - The report anticipates a total social financing (社融) of about 7.5 trillion in January, reflecting a growth rate of around 8.3%, which is consistent with the end of the previous year [9]. - The M1 growth rate is expected to increase, while M2 may see a slight decline, indicating a favorable deposit growth trend [9][10]. Summary by Sections Loan Market - January's new RMB loans are projected at approximately 5 trillion, with a growth rate around 6.2%. The manufacturing PMI has dropped to 49.3%, indicating a contraction in business activity, but banks are expected to maintain strong loan issuance due to seasonal demand [4][5]. - The corporate sector is expected to be the main driver of loan growth, with significant short-term loans and bill financing anticipated. The demand for loans is expected to remain strong despite some pressures from maturing loans [6][7]. Social Financing - The report estimates that social financing will reach about 7.5 trillion in January, which is higher than the previous year's 7 trillion, with a stable growth rate of 8.3% [9]. - Direct financing, including government and corporate bonds, is expected to contribute positively to social financing growth, with a notable increase in net financing from local government bonds [10]. Monetary Conditions - The liquidity in the banking system is expected to remain stable, with the central bank's policies supporting a sufficient liquidity environment. The report notes that the interbank rates have shown less volatility compared to the previous year [12][13]. - The report highlights that the deposit growth is better than expected, with banks managing to retain customer deposits effectively, minimizing the risk of significant outflows [10][11].