Report Investment Rating No investment rating information is provided in the report. Core Viewpoints - Last week (2025.08.25 - 2025.08.29), the bond market continued to fluctuate with improved sentiment, while the stock - bond relationship showed some desensitization. The 1 - year Treasury yield dropped to 1.37%, and the 10 - year yield rose to 1.84%. Credit spreads and term spreads of credit bonds diverged [2][9]. - US Treasury yields declined last week, with the 1 - year yield at 3.83%, the 2 - year at 3.59%, and the 10 - year at 4.23%, due to concerns about Fed independence and strong demand for 2 - year US Treasuries [9]. - The REITs market recovered last week, with the CSI REITs Total Return Index rising 1.06%. The rental housing and consumer infrastructure sectors had the largest rebounds, while the transportation and energy sectors showed defensive characteristics [2][10]. - The approval of "equity - containing" hybrid funds and secondary bond funds has accelerated [2][11]. Summary by Directory 1. Weekly Market Observation 1.1. Pan - Fixed - Income Market Review and Observation - **Bond Market**: Last week, the bond market was volatile with improved sentiment. The 1 - year Treasury yield decreased by 0.09BP to 1.37%, and the 10 - year yield increased by 5.61BP to 1.84%. Credit bonds showed an overall oscillatory recovery, with term spreads and credit spreads diverging. The short - term possibility of further yield decline is low, and the bullish sentiment in the bond market has generally declined. The 10 - year Treasury yield mainly fluctuated between 1.75% - 1.8%. To reduce volatility, one can moderately reduce duration or increase attention to high - coupon assets [2][9]. - **US Treasury Bonds**: Last week, US Treasury yields declined. The 1 - year yield dropped to 3.83%, the 2 - year to 3.59%, and the 10 - year to 4.23%. This was due to concerns about Fed independence after Trump's dismissal of Fed Governor Cook and strong demand for 2 - year US Treasuries [9]. - **REITs Market**: Last week, the REITs market recovered, with the CSI REITs Total Return Index rising 1.06%. The rental housing and consumer infrastructure sectors had the largest rebounds, while the transportation and energy sectors showed low volatility. In the issuance market, 15 REITs have been successfully issued this year as of August 29, 2025. Last week, 2 new - issue and 2 expansion - issue REITs made progress [2][10]. 1.2. Public Fund Market Dynamics - The approval of "equity - containing" hybrid funds and secondary bond funds has accelerated. According to the latest "Institutional Supervision Situation Bulletin" on August 28, 2025, the regulatory authorities have improved the public fund product registration arrangement. The approval speed is set according to the equity position of the product. For example, stock ETFs are registered within 5 working days, active - management equity funds and off - exchange broad - based stock index funds within 10 working days, and hybrid funds and secondary bond funds with a certain minimum stock position within 15 working days. There is also a "rewarding the excellent and supporting the new" regulatory orientation [11]. 2. Pan - Fixed - Income Fund Index Performance Tracking | Index Classification | Last Week | Since Inception | | --- | --- | --- | | Money Enhancement Index | +0.03% | +3.99% | | Short - Term Bond Fund Selection | - 0.03% | +4.15% | | Medium - and Long - Term Bond Fund Selection | +0.07% | +6.21% | | Low - Volatility Fixed - Income + Fund Selection | +0.20% | +3.72% | | Medium - Volatility Fixed - Income + Fund Selection | +0.53% | +4.79% | | High - Volatility Fixed - Income + Fund Selection | +0.23% | +6.29% | | Convertible Bond Fund Selection | - 1.28% | +18.45% | | QDII Bond Fund Selection | +0.20% | +9.13% | 2.1. Money Enhancement Index Tracking - **Index Positioning**: The money enhancement strategy index aims at liquidity management, seeking a curve that outperforms money funds. It mainly invests in money market funds and inter - bank certificate of deposit index funds. The performance benchmark is the CSI Money Fund Index [14]. 2.2. Pure Bond Index Tracking - **Short - Term Bond Fund Selection Index**: It focuses on liquidity management, aiming for a smooth curve with controlled drawdowns. It mainly invests in 5 funds with stable long - term returns, strict drawdown control, and significant absolute - return capabilities. The performance benchmark is 50% Short - Term Pure Bond Fund Index + 50% Ordinary Money Fund Index [15][17]. - **Medium - and Long - Term Bond Fund Selection Index**: It invests in medium - and long - term pure bond funds, aiming for stable returns and controlling drawdowns. It selects 5 funds, balancing coupon strategies and band - trading operations, and adjusting the ratio of credit bond funds and interest - rate bond funds according to market conditions [18]. 2.3. Fixed - Income + Index Tracking - **Low - Volatility Fixed - Income + Selection Index**: The equity center is set at 10%, and 10 funds are selected each period. It focuses on funds with an equity position within 15% in the past three years and recently. The performance benchmark is 10% CSI 800 Index + 90% CBA New Comprehensive Full - Price Index [22]. - **Medium - Volatility Fixed - Income + Selection Index**: The equity center is 20%, and 5 funds are selected each period. It selects funds with an equity position between 15% - 25% in the past three years and recently, emphasizing performance elasticity [25]. - **High - Volatility Fixed - Income + Selection Index**: The equity center is 30%, and 5 funds are selected each period. It selects funds with an equity position between 25% - 35% in the past three years and recently, focusing on performance elasticity and strong stock - picking ability in the equity segment [28]. 2.4. Convertible Bond Fund Selection Index - **Index Positioning**: The sample space consists of bond funds with an average convertible bond investment ratio of at least 60% in the latest period and at least 80% in the past four quarters. An evaluation system is established from multiple dimensions to select 5 funds [30]. 2.5. QDII Bond Fund Selection Index Tracking - **Index Positioning**: The underlying assets of QDII bond funds are overseas bonds, covering regions such as the world, Asia, and emerging markets. Six funds with stable returns and good risk control are selected to form the index [33].

New Stock Issuance - New stock issuance for AiFenda (301575) is priced at 27.69 RMB, effective from September 1, 2025[1] - Fushun Special Steel (600399) is undergoing a tender offer from August 12 to September 10, 2025[1] - KaiPu Cloud (688228) has a recent announcement regarding its stock[1] Market Alerts - Significant abnormal fluctuations reported for Siquan New Materials (301489) on August 22, 2025[1] - New announcements for various stocks including Xinhua Jin (600735) and Jishi Media (601929) on August 30, 2025[1] - Multiple stocks including ST Guohua (000004) and ST Huayang (603825) have recent updates as of August 29, 2025[1] Trading Insights - The report includes links to detailed announcements for stocks experiencing significant market activity, such as ST Zhongji (000972) and ST Yilanzhong (300096)[1] - The document highlights the importance of monitoring stock performance and related announcements for investment decisions[1]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis. By using ETFs, users can easily transform quantitative models or subjective views into practical investment strategies [12]. 3. Summary by Directory 3.1 ETF Strategy Index Tracking - **Performance in the Last Week (2025/8/22 - 2025/8/29)**: - **HuaBao Research Size Rotation ETF Strategy Index**: Index return was 2.77%, benchmark (CSI 800) return was 2.85%, with an excess return of - 0.08% [13]. - **HuaBao Research Quantitative Fire - Wheel ETF Strategy Index**: Index return was 6.21%, benchmark (CSI 800) return was 2.85%, with an excess return of 3.36% [13]. - **HuaBao Research Quantitative Balance ETF Strategy Index**: Index return was 1.04%, benchmark (CSI 300) return was 2.71%, with an excess return of - 1.67% [13]. - **HuaBao Research SmartBeta Enhanced ETF Strategy Index**: Index return was 3.58%, benchmark (CSI 800) return was 2.85%, with an excess return of 0.73% [13]. - **HuaBao Research Hot - Spot Tracking ETF Strategy Index**: Index return was 0.98%, benchmark (CSI All - Share) return was 1.84%, with an excess return of - 0.87% [13]. - **HuaBao Research Bond ETF Duration Strategy Index**: Index return was 0.03%, benchmark (ChinaBond Aggregate Index) return was 0.00%, with an excess return of 0.04% [13]. 3.2 HuaBao Research Size Rotation ETF Strategy Index - **Strategy Principle**: It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. The model outputs weekly signals to predict the strength of the indices in the next week and determines the holdings accordingly to obtain excess returns [4][14]. - **Performance**: As of 2025/8/29, the excess return since 2024 was 18.99%, the excess return in the last month was - 0.45%, and the excess return in the last week was - 0.08%. The current holding is 100% CSI 300ETF [4][14][17]. 3.3 HuaBao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time self - built Barra factors and maps the timing signals to ETFs based on their exposure to 9 major Barra factors to achieve returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4]. - **Performance**: As of 2025/8/29, the excess return since 2024 was 16.39%, the excess return in the last month was - 1.13%, and the excess return in the last week was 0.73%. The current holdings include CSI 500ETF (8.71%), Science and Technology Innovation 50ETF (47.87%), CSI 2000ETF (26.16%), and CSI 1000ETF (17.26%) [4][20][21]. 3.4 HuaBao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behavior of various market participants. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs out potential sectors to obtain excess returns [5][21]. - **Performance**: As of 2025/8/29, the excess return since 2024 was 17.58%, the excess return in the last month was 7.45%, and the excess return in the last week was 3.36%. The current holdings include Communication ETF (24.97%), Industrial Mother Machine ETF (20.08%), Non - ferrous Metals ETF (20.02%), Building Materials ETF (17.53%), and Medical and Health ETF (17.40%) [5][21][24]. 3.5 HuaBao Research Quantitative Balance ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for trend judgment of the equity market. It also establishes a prediction model for the market's large - and small - cap styles to adjust the equity market position distribution and comprehensively obtains excess returns through timing and rotation [5][24]. - **Performance**: As of 2025/8/29, the excess return since 2024 was - 8.96%, the excess return in the last month was - 6.43%, and the excess return in the last week was - 1.67%. The current holdings include 10 - Year Treasury Bond ETF (9.36%), Enhanced 500ETF (5.99%), CSI 1000ETF (5.98%), Enhanced 300ETF (32.05%), Government Bond ETF (23.34%), and Short - Term Financing ETF (23.27%) [5][24][29]. 3.6 HuaBao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and mines hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional views, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot - spots in time, providing investors with references for short - term market trends and helping them make more informed investment decisions [6][30]. - **Performance**: As of 2025/8/29, the excess return in the last month was - 4.48%, and the excess return in the last week was - 0.87%. The current holdings include Colorful 50ETF (31.61%), Bosera Hong Kong Stock Dividend ETF (24.77%), Hong Kong Stock Connect Medical ETF (23.50%), and Short - Term Financing ETF (20.12%) [6][30][39]. 3.7 HuaBao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is below a certain threshold, it reduces the position of long - duration bonds in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [6][35]. - **Performance**: As of 2025/8/29, the excess return in the last month was 0.43%, and the excess return in the last week was 0.04%. The current holding is 100% Short - Term Financing ETF [6][35][40].

New Stock Offerings - Fushun Special Steel (600399) has a tender offer period from August 12, 2025, to September 10, 2025[1] - Dongxin Co., Ltd. (688110) reported severe abnormal fluctuations on August 16, 2025[1] - Broadcom Integrated (603068) announced abnormal fluctuations on August 29, 2025[1] Market Alerts - ST Guohua (000004) and ST Gohong (000851) both reported abnormal fluctuations on August 29, 2025[1] - ST Huayang (603825) and ST Zhongji (000972) also indicated abnormal fluctuations on August 29, 2025[1] - ST Yanzhen (603389) reported abnormal fluctuations on August 26, 2025[1] Company Announcements - Zhaoxin Technology (603377) announced abnormal fluctuations on August 27, 2025[1] - Longyang Electronics (301396) reported significant fluctuations on August 28, 2025[1] - ST Dongshi (603377) indicated abnormal fluctuations on August 22, 2025[1]

New Stock Listings - Balanshi (920112) listed at an issuance price of 15.78 on August 28, 2025[1] - Fushun Special Steel (600399) has a tender offer period from August 12 to September 10, 2025[1] - ST Gaohong (000851) reported severe abnormal fluctuations on August 26, 2025[1] Market Alerts - Dongxin Co. (688110) reported severe abnormal fluctuations on August 16, 2025[1] - Dechuang Environmental (603177) and Nengke Technology (603859) both reported significant announcements on August 28, 2025[1] - ST Huicheng (002168) and Qiming Information (002232) also had announcements on August 28, 2025[1] Other Notable Stocks - ST Ruihe (002620) and Guoguang Chain (605188) had announcements on August 28, 2025[1] - Aonong Biological (603363) and Haiyang Technology (603382) reported on August 28, 2025[1] - Changjiang Materials (001296) and Wanbangde (002082) had announcements on August 28, 2025[1]

New Stock Offerings - Shenke Co., Ltd. (002633) has an offer period from July 29, 2025, to August 27, 2025[1] - Fushun Special Steel (600399) has an offer period from August 12, 2025, to September 10, 2025[1] - ST Gaohong (000851) has an announcement on August 26, 2025[1] Market Volatility - Great Wall Military Industry (601606) reported severe abnormal fluctuations on August 14, 2025[1] - Dongxin Co., Ltd. (688110) had an announcement on August 16, 2025, regarding market conditions[1] - Changfei Optical Fiber (601869) has an announcement dated August 27, 2025, related to market performance[1] Company Announcements - ST Dehao (002005) has an announcement on August 27, 2025, regarding its market status[1] - China Satellite (600118) announced updates on August 27, 2025[1] - ST Yizhong (603389) has an announcement dated August 26, 2025, regarding its market activities[1]

Report Industry Investment Rating No information provided. Core Viewpoints of the Report - The A-share equity market showed strong performance throughout the week, with the Shanghai Composite Index rising 3.49%. The market sentiment remained high, and the fund strategy index of domestic equities also recorded varying degrees of gains. The stock fund enhancement strategy is recommended, followed by overseas equity strategy, and then the evergreen low-volatility strategy [2][3]. - The A-share market is expected to maintain an upward trend. The stock fund enhancement portfolio has more room for growth, while the evergreen low-volatility strategy can be used as a bottom position. The defensive sectors such as banks have increased in cost-effectiveness after adjustment [3]. - The US stock market has been rising due to factors such as the easing of tariff expectations, trade agreements, strong earnings reports of some technology companies, and increasing expectations of interest rate cuts. Although it showed high-level fluctuations in August, it is expected to regain upward momentum in September, and the long-term upward trend is still optimistic [4]. Summary by Relevant Catalogs 1. Tool - based Fund Portfolio Performance Tracking - **Evergreen Low - Volatility Fund Portfolio**: It has maintained low - volatility characteristics, with both portfolio volatility and maximum drawdown significantly better than the CSI Active Stock Fund Index. Since the strategy started on July 31, 2023, it has continued its low - volatility and small - drawdown attributes, with significant excess returns. It combines offensive capabilities while maintaining a defensive nature [13][15]. - **Stock Fund Enhancement Fund Portfolio**: The strategy has been running for a relatively short time, and its performance is close to the CSI Active Stock Fund Index. It is expected to have stronger elasticity when the market environment improves. It maintains a similar trend to the benchmark in a weak market environment [13][17]. - **Cash Enhancement Fund Portfolio**: After double screening of risk elimination and scoring optimization, it continuously outperforms the benchmark. Since the strategy started in late July 2023, the excess return has been continuously accumulated, with a cumulative excess return of more than 0.41% [13][18]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, in the context of the Fed's interest rate cut cycle and the boost of artificial intelligence on global technology stocks, it has accumulated a high level of excess returns. Global allocation can increase the return of the equity investment portfolio [13][22]. 2. Tool - based Fund Portfolio Construction Ideas - **Evergreen Low - Volatility Fund Portfolio**: It aims to select funds with long - term stable returns from high - equity - position actively managed funds. By adding restrictions on fund valuation levels, it constructs an actively managed equity fund portfolio with low - volatility characteristics from the two dimensions of net value performance and holding characteristics [24][27]. - **Stock Fund Enhancement Fund Portfolio**: It aims to meet the needs of equity fund investors with different risk preferences. By analyzing the source of fund returns and splitting the industry return and stock - selection excess ability of fund allocation, it constructs a portfolio strategy based on the significant persistence of alpha returns, which shows a high winning rate in the back - testing period [25][28]. - **Cash Enhancement Fund Portfolio**: It constructs a money fund selection system by comprehensively considering various money fund factors, helping investors obtain higher returns and reduce return volatility risks when investing in money funds [25][29]. - **Overseas Equity Allocation Fund Portfolio**: Based on overseas equity market indices, it selects QDII equity funds corresponding to the indices to construct an overseas market selection portfolio through long - term momentum and short - term reversal factors, providing an auxiliary tool for investors to expand global investment [26][30].

Group 1 - The core viewpoint of the report emphasizes the effectiveness of grid trading strategies, which are based on price fluctuations rather than predicting market trends, making them suitable for volatile markets [3][13] - The report identifies key characteristics for suitable grid trading targets, including low trading costs, good liquidity, and significant volatility, suggesting that equity ETFs are appropriate for this strategy [3][13] Group 2 - The report highlights specific ETFs for grid trading, including the S&P Consumer ETF (159529.SZ), which benefits from the anticipated interest rate cut by the Federal Reserve, potentially boosting consumer demand in the U.S. [5][14] - The Hang Seng Technology Index ETF (513180.SH) is noted for its improved liquidity and valuation attractiveness, making it a target for foreign capital allocation amid the Fed's rate cut expectations [6][17] - The New Economy ETF (159822.SZ) is positioned to capture new economic growth drivers in China, supported by policy incentives and industrial upgrades, making it a passive index tool for diversified regional exposure [7][19]

New Stock Issuance - The new stock issuance for Sanxie Electric (证券代码: 920100) is priced at 8.83[1] - Shenkou Co. (证券代码: 002633) has a tender offer period from July 29, 2025, to August 27, 2025[1] - Fushun Special Steel (证券代码: 600399) has a tender offer period from August 12, 2025, to September 10, 2025[1] Market Alerts - Changcheng Military Industry (证券代码: 601606) is experiencing severe abnormal fluctuations[1] - ST Yanzhen (证券代码: 603389) has reported significant trading anomalies[1] - ST Zhongdi (证券代码: 000609) has been flagged for unusual trading activity[1] Other Notable Stocks - Zhanjiang Development (证券代码: 000753) and Pudong Construction (证券代码: 600284) are also under scrutiny for trading irregularities[1] - The stock of Zhaoyi Innovation (证券代码: 603986) is being monitored for potential volatility[1] - The stock of ST Suwu (证券代码: 600200) has been highlighted for its trading behavior[1]

New Stock Issuance - New stock issuance for Huaxin Jingke at a price of 18.60 on August 25, 2025[1] - Shenkou Co. (stock code: 002633) has a tender offer period from July 29 to August 27, 2025[1] - Fushun Special Steel (stock code: 600399) has a tender offer period from August 12 to September 10, 2025[1] Market Alerts - Dongxin Co. (stock code: 688110) reported severe abnormal fluctuations on August 16, 2025[1] - ST Suwu (stock code: 600200) and ST Zhongdi (stock code: 000609) both have announcements dated August 25, 2025[1] - Multiple companies including Zhehai Deman (stock code: 688577) and Huaguang Huaneng (stock code: 600475) have announcements related to abnormal fluctuations on August 23, 2025[1] Additional Information - The report includes links to detailed announcements for various companies, providing transparency and access to further information[1] - The document highlights the importance of monitoring stock performance and market trends for informed investment decisions[1]