New Stock Listings - Yunhan Xincheng (Stock Code: 301563) issued at a price of 27.00[1] - Ruili Kemi (Stock Code: 001285) issued at a price of 42.28[1] Market Alerts - The offer period for the acquisition of Shangwei New Materials (Stock Code: 688585) is from September 29, 2025, to October 28, 2025[1] - Zitian Tui (Stock Code: 300280) has 3 trading days remaining until the last trading day[1] Risk Warnings - Ruili Kemi (Stock Code: 001285) has a first-day risk warning[1] - Serious abnormal fluctuations reported for Borui Pharmaceutical (Stock Code: 688166)[1] Other Announcements - Multiple companies including *ST Yatai (Stock Code: 000691) and *ST Zhengping (Stock Code: 603843) have announcements dated September 30, 2025[1] - Various companies have reported abnormal fluctuations on September 25, 2025, including Lianmei Holdings (Stock Code: 600167) and Nanfang Road Machine (Stock Code: 603280)[3]

New Stock Issuance - New stock issuance for Daoshengtianhe (Code: 780026) priced at 5.98 RMB on September 29, 2025[1] - Offer period for the acquisition of Shangwei New Materials (Code: 688585) is from September 29, 2025, to October 28, 2025[1] Delisting and Trading Alerts - Zitian Tui (Code: 300280) is in the delisting preparation period with 4 trading days remaining until the last trading day[1] - Significant abnormal fluctuations reported for Kaipu Cloud (Code: 688228) on September 25, 2025[1] Recent Announcements - Multiple companies including Zhonghuan Hailu (Code: 301040) and Shenhuafa A (Code: 000020) have recent announcements regarding their stock activities[1] - A total of 30 companies have made announcements regarding stock fluctuations and trading activities in the past week[1]

Report Overview - The report is a weekly update on public offering funds, specifically focusing on ETF strategy index tracking as of September 29, 2025 [1] Investment Ratings - No industry investment ratings are provided in the report Core Views - The report presents several ETF strategy indices constructed with the help of ETFs, aiming to convert quantitative models or subjective views into practical investment strategies. The performance and positions of these indices are tracked on a weekly basis [12] Summary by Index 1. ETF Strategy Index Tracking - **Overall Performance Last Week**: - The Huabao Research Size Rotation ETF Strategy Index had a weekly return of 1.09%, outperforming the CSI 800 by 0.05% [13] - The Huabao Research Quantitative Firewheel ETF Strategy Index had a weekly return of 2.24%, outperforming the CSI 800 by 1.19% [13] - The Huabao Research Quantitative Balance ETF Strategy Index had a weekly return of 0.40%, underperforming the SSE 50 by 0.67% [13] - The Huabao Research SmartBeta Enhanced ETF Strategy Index had a weekly return of 1.03%, underperforming the CSI 800 by -0.02% [13] - The Huabao Research Hot - Spot Tracking ETF Strategy Index had a weekly return of -0.09%, underperforming the CSI All - Share by -0.29% [13] - The Huabao Research Bond ETF Duration Strategy Index had a weekly return of -0.02%, outperforming the ChinaBond Aggregate Index by 0.23% [13] 1.1 Huabao Research Size Rotation ETF Strategy Index - **Strategy**: Utilizes multi - dimensional technical indicators and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. It outputs weekly signals to determine positions [14] - **Performance**: As of September 26, 2025, the excess return since 2024 was 18.78%, the excess return in the past month was -0.34%, and the excess return in the past week was 0.05% [14] - **Position**: As of September 26, 2025, it held 100% of the SSE 50 ETF [19] 1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: Uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 major Barra factors [19] - **Performance**: As of September 26, 2025, the excess return since 2024 was 17.37%, the excess return in the past month was 0.49%, and the excess return in the past week was -0.02% [19] - **Position**: As of September 26, 2025, it held multiple ETFs, including the ChiNext Growth ETF (9.77%), CSI 2000 ETF (25.25%), STAR 50 ETF (23.15%), etc. [23] 1.3 Huabao Research Quantitative Firewheel ETF Strategy Index - **Strategy**: Adopts a multi - factor approach, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and crowding signals to identify industry risks [23] - **Performance**: As of September 26, 2025, the excess return since 2024 was 26.78%, the excess return in the past month was 6.01%, and the excess return in the past week was 1.19% [23] - **Position**: As of September 26, 2025, it held the New Energy ETF (21.61%), Electronics ETF (20.86%), Communication ETF (19.96%), etc. [27] 1.4 Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: Employs a multi - factor system covering economic fundamentals, liquidity, technical aspects, and investor behavior to construct a quantitative timing system for equity market trend analysis and size - style prediction [27] - **Performance**: As of September 26, 2025, the excess return since 2024 was -10.28%, the excess return in the past month was -0.99%, and the excess return in the past week was -0.67% [27] - **Position**: As of September 26, 2025, it held the 10 - Year Treasury Bond ETF (9.28%), CSI 500 Enhanced ETF (6.14%), etc. [32] 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: Tracks market sentiment, industry events, investor sentiment, professional opinions, policy changes, and historical trends to construct an ETF portfolio that captures market hot - spots [33] - **Performance**: As of September 26, 2025, the excess return in the past month was 1.15%, and the excess return in the past week was -0.29% [33] - **Position**: As of September 26, 2025, it held the Color Metals 50 ETF (33.02%), Hong Kong Stock Connect Medical ETF (24.12%), etc. [37] 1.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: Uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine learning. It adjusts long - duration positions based on expected yields [37] - **Performance**: As of September 26, 2025, the excess return in the past month was 0.53%, and the excess return in the past week was 0.23%. Since 2024, the excess return was 5.59%, and since its establishment, it was 8.80% [40] - **Position**: As of September 26, 2025, it held the Short - Term Financing ETF (50.03%), 10 - Year Treasury Bond ETF (24.99%), etc. [41]

Group 1 - The report indicates that the bond market is expected to maintain a relatively stable trend before the holiday, with seasonal pressures being manageable due to central bank support for liquidity [10][13]. - In the stock market, the approach to the upcoming holiday is characterized by increased volatility, with some investors opting to take profits and hold cash, while the risks during the holiday period are deemed manageable [3][10]. - The technology growth sector remains a focal point for investors, particularly in the context of economic pressures, with expectations of policy catalysts following significant meetings in October [3][13]. Group 2 - The report highlights that the A-share market has shown a mixed performance, with the ChiNext board continuing to perform strongly, while the overall market remains in a phase of fluctuation [10][13]. - The report notes that the average daily trading volume in the two markets has decreased to 23,132 billion yuan, reflecting a decline of 2,047 billion yuan compared to the previous week, as market activity slows ahead of the holiday [20]. - The domestic macro multi-asset model has achieved a year-to-date return of 10.82%, outperforming the benchmark by 3.72%, with a Sharpe ratio of 2.63, significantly higher than the benchmark's 1.32 [21].

New Stock Listings - The new stock "昊创瑞通" (code: 301668) is listed at an issuance price of 21.00 on September 26, 2025[1] - "上纬新材" (code: 688585) is undergoing a tender offer from September 29 to October 28, 2025[1] Market Alerts - "紫天退" (code: 300280) is in the delisting preparation period with 5 trading days remaining[1] - "开普云" (code: 688228) has reported severe abnormal fluctuations[1] Recent Announcements - "博瑞医药" (code: 688166) and "科思科技" (code: 688788) have recent announcements linked for further details[1] - "园林股份" (code: 605303) and "中环海陆" (code: 301040) also have recent disclosures available[1] Trading Insights - The report includes various stocks with their respective codes and recent trading activities, indicating a dynamic market environment[1] - The document highlights the importance of monitoring stock performance and regulatory announcements for investment decisions[1]

New Stock Listings - Jin Hua New Materials (920015) issued at a price of 18.15[1] - United Power (301656) issued at a price of 12.48[1] - Jianfa Zhixin (301584) issued at a price of 7.05[1] Rights Issues and Announcements - Offer period for Upwind New Materials (688585) from September 29 to October 28, 2025[1] - Last trading day for Zitian Tui (300280) is in 6 trading days[1] Abnormal Fluctuations - Significant abnormal fluctuations reported for multiple stocks including Xian Dao Intelligent (300450) and Hangke Technology (688006)[1] - Various stocks under observation for abnormal trading activities, including Kaipu Cloud (688228) and Zhonghuan Hailu (301040)[1]

Quantitative Factors and Construction 1. Factor Name: Market Style Factors - **Construction Idea**: The market style factors track the performance and volatility of different market styles, such as large-cap vs. small-cap and value vs. growth, to identify prevailing market trends and shifts in investor preferences [12][14] - **Construction Process**: - **Size Style**: Measure the relative performance of small-cap stocks versus large-cap stocks - **Value-Growth Style**: Measure the relative performance of value-oriented stocks versus growth-oriented stocks - **Volatility Metrics**: Calculate the volatility of each style to assess the stability of the trend - **Evaluation**: These factors provide insights into the dominant market style and its stability, which can guide portfolio allocation strategies [12][14] 2. Factor Name: Market Structure Factors - **Construction Idea**: These factors analyze the dispersion and concentration of returns across industries and stocks to understand market breadth and sector rotation [12][14] - **Construction Process**: - **Industry Excess Return Dispersion**: Measure the spread of excess returns across industry indices - **Sector Rotation Speed**: Quantify the rate at which different sectors outperform or underperform - **Stock Concentration**: Calculate the proportion of total market turnover contributed by the top 100 stocks and the top 5 industries - **Evaluation**: These factors help identify whether the market is driven by a few sectors or stocks, or if performance is more evenly distributed [12][14] 3. Factor Name: Market Activity Factors - **Construction Idea**: These factors measure the overall activity and liquidity in the market, including volatility and turnover rates, to gauge investor participation and sentiment [13][14] - **Construction Process**: - **Market Volatility**: Calculate the standard deviation of market returns over a specific period - **Turnover Rate**: Measure the trading volume relative to the total market capitalization - **Evaluation**: These factors are useful for assessing market sentiment and liquidity conditions, which are critical for timing and risk management [13][14] 4. Factor Name: Commodity Market Factors - **Construction Idea**: These factors track trends, momentum, and liquidity in commodity markets to identify opportunities and risks in different commodity sectors [24][30] - **Construction Process**: - **Trend Strength**: Measure the directional movement in commodity prices for sectors like metals, energy, and agriculture - **Basis Momentum**: Calculate the change in the basis (spot price minus futures price) over time - **Volatility**: Assess the price fluctuations in commodity indices - **Liquidity**: Measure the trading volume and bid-ask spread in commodity markets - **Evaluation**: These factors provide a comprehensive view of commodity market dynamics, aiding in asset allocation and hedging strategies [24][30] 5. Factor Name: Option Market Factors - **Construction Idea**: These factors analyze implied volatility and skewness in option markets to infer market expectations and risk sentiment [33][34] - **Construction Process**: - **Implied Volatility**: Measure the market's expectation of future volatility for indices like SSE 50 and CSI 1000 - **Option Skewness**: Calculate the difference in implied volatility between out-of-the-money calls and puts to assess directional bias - **Evaluation**: These factors are valuable for understanding market sentiment and hedging demand, especially during periods of uncertainty [33][34] 6. Factor Name: Convertible Bond Market Factors - **Construction Idea**: These factors evaluate the valuation and liquidity of convertible bonds to identify market trends and investment opportunities [36][39] - **Construction Process**: - **Conversion Premium**: Measure the difference between the market price of the bond and its conversion value - **Low Premium Proportion**: Calculate the proportion of bonds with low conversion premiums - **Market Liquidity**: Assess the trading volume and turnover in the convertible bond market - **Evaluation**: These factors provide insights into the attractiveness and liquidity of convertible bonds, which are important for fixed-income and hybrid strategies [36][39] --- Backtesting Results of Factors 1. Market Style Factors - **Size Style**: Small-cap outperformed large-cap during the week [12][14] - **Value-Growth Style**: Growth stocks outperformed value stocks during the week [12][14] - **Volatility**: Size style volatility decreased, while value-growth style volatility increased [12][14] 2. Market Structure Factors - **Industry Excess Return Dispersion**: Remained stable compared to the previous week [12][14] - **Sector Rotation Speed**: Decreased compared to the previous week [12][14] - **Stock Concentration**: Top 100 stocks and top 5 industries maintained their turnover proportions [12][14] 3. Market Activity Factors - **Market Volatility**: Slightly decreased during the week [13][14] - **Turnover Rate**: Remained at a high level over the past year [13][14] 4. Commodity Market Factors - **Trend Strength**: Increased for metals and precious metals, decreased for energy commodities [24][30] - **Basis Momentum**: Declined across all commodity sectors [24][30] - **Volatility**: Increased slightly across all commodity sectors [24][30] - **Liquidity**: Showed mixed performance across different sectors [24][30] 5. Option Market Factors - **Implied Volatility**: SSE 50 and CSI 1000 remained in a range-bound state [33][34] - **Option Skewness**: Call skewness decreased, indicating reduced bullish sentiment [33][34] 6. Convertible Bond Market Factors - **Conversion Premium**: Stable for bonds priced around par value [36][39] - **Low Premium Proportion**: Increased significantly, indicating rising demand for low-premium bonds [36][39] - **Market Liquidity**: Maintained healthy trading levels [36][39]

Group 1 - The report highlights that the A-share market has shown strong support above 3800 points, with the Shanghai Composite Index experiencing a quick pullback after approaching 3900 points, indicating a potential upward trend despite short-term fluctuations [2][3] - The Federal Reserve has restarted its interest rate cut cycle, lowering the rate range to 4%-4.25%, with a significant proportion of policymakers supporting an additional 50 basis points cut within the year, which is expected to enhance global market liquidity [2][3] - The report suggests that the current market environment allows for a gradual accumulation of positions, with a focus on strategies that can benefit from the anticipated upward movement after market consolidation [3][4] Group 2 - The quantitative strategy allocation is recommended as follows: equity enhancement strategy > overseas equity strategy > evergreen low-volatility strategy, indicating a preference for strategies that can adapt to market conditions [3][4] - The evergreen low-volatility fund strategy has shown a return of -0.726% this week, while the equity enhancement fund strategy has returned 0.186%, reflecting the current market's rapid rotation and the challenges in sustaining strong performance across styles or sectors [5][11] - The overseas equity allocation fund strategy recorded a return of 0.790% this week, benefiting from easing trade tensions and strong earnings reports from tech companies, suggesting a positive outlook for U.S. equities in the medium to long term [4][6] Group 3 - The report emphasizes the importance of constructing a diversified fund selection pool using quantitative methods to meet the varying needs of investors in different market environments and risk preferences [22][23] - The evergreen low-volatility fund strategy aims to select funds with long-term stable return characteristics, focusing on minimizing net value volatility while maintaining decent returns [25][26] - The overseas equity allocation fund strategy is designed to complement A-share investments, leveraging the global technology growth driven by artificial intelligence, thus enhancing overall portfolio returns [20][24]

New Stock Listings - YouSheng Co., Ltd. (Stock Code: 603418) listed at an issue price of 46.36 RMB on September 23, 2025[1] - ZhiTianTui (Stock Code: 300280) is in the delisting preparation period with 8 trading days remaining[1] - ZhongHuanHaiLu (Stock Code: 301040) and JiShiChuanMei (Stock Code: 601929) have recent announcements regarding trading activities[1] Trading Alerts - XianDaoZhiNeng (Stock Code: 300450) reported severe abnormal fluctuations in trading[1] - HangKeKeJi (Stock Code: 688006) and YuanLinCo (Stock Code: 605303) have recent trading alerts[1] - Multiple stocks including YunNanLvYou (Stock Code: 002059) and *STMuBang (Stock Code: 603398) have recent announcements related to trading activities[1] Market Trends - A total of 30 stocks have been flagged for abnormal trading activities in the past week, indicating increased market volatility[1] - The recent trading patterns suggest a potential shift in investor sentiment, particularly in the technology and media sectors[1]

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The report highlights a significant trend in the banking wealth management sector, with companies increasingly focusing on index-based products to enhance their offerings and meet market demands [4][11] - The collaboration between financial institutions, such as the partnership between Huaxia Wealth and Huaxia Fund, aims to create a robust index ecosystem to support high-quality development in asset management [13][14] - The report notes the successful IPO of Hesai Technology, marking a significant event in the market, with postal wealth management participating in this investment [15][16] - The introduction of the Shanghai Sci-Tech Financial Theme Wealth Management Product by Puyin Wealth Management reflects a strategic move to align with national innovation policies and support local tech enterprises [18] Summary by Sections 1. Regulatory and Industry Dynamics - Wealth management companies are actively launching index-based products, with an increase in both the number and issuance of such products in the market [4][11] - The core motivation for this shift includes reducing active management risks, enhancing strategy transparency, and meeting customized client demands through self-constructed indices [12] 2. Peer Innovation Dynamics - Huaxia Wealth and Huaxia Fund have signed a memorandum to deepen cooperation in the index business, aiming to build a market-influential index ecosystem [13][14] - Puyin Wealth Management has launched a new product focused on technology finance, raising 220 million yuan to support quality tech enterprises in Shanghai [18] 3. Yield Performance - Cash management products recorded a 7-day annualized yield of 1.29%, remaining stable compared to the previous week, while money market funds saw a slight increase to 1.19% [19][20] - The report indicates a general recovery in annualized yields for fixed-income products across various maturities [23][27] 4. Net Value Tracking - The net value ratio of banking wealth management products decreased to 2.04%, down by 0.61 percentage points, indicating a positive trend in credit spreads [29][32]