Group 1 - The core idea of the report emphasizes the grid trading strategy, which is a high buy-low sell approach that capitalizes on price fluctuations rather than predicting market trends, making it suitable for volatile markets [3][11] - The report identifies key characteristics for suitable grid trading targets, including selecting on-market assets, stable long-term trends, low transaction costs, good liquidity, and high volatility, with equity ETFs being particularly appropriate [3][11] Group 2 - The report highlights two main ETFs for grid trading: - The New Economy ETF (159822.SZ), which focuses on high-quality new economy leaders in China, aligning with government initiatives to promote technological and industrial innovation, and indirectly tracks the S&P China New Economy Index [3][12] - The Financial ETF (510230.SH), which provides a defensive high dividend yield through banks and captures performance recovery through securities and insurance sectors, with banks showing a dividend yield of 5.86% as of June 30, 2025, significantly above market averages [4][14] - The report suggests that investors can enhance returns by combining multiple ETFs with low correlation, such as mixing broad-based and sector-specific ETFs or combining A-shares and Hong Kong stocks [14][16]

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - The Shanghai Composite Index approached the 3900 - point mark last week but was dragged down by leading stocks in heavy - weight sectors. The market was high - level volatile, with a structural profit - making effect. High - quality industry leaders, especially globally competitive companies, showed strength. The growth style outperformed the value style, and the market activity increased. The "going global" trend may present a structural opportunity [13]. - The "catch - up" trend of the Hang Seng Tech Index can be attributed to the upward revision of the profit expectations of the Hong Kong stock technology sector and factors on the denominator side such as a stable geopolitical environment and interest - rate cut expectations. If the Fed cuts interest rates continuously in Q4, Chinese assets represented by Hong Kong stocks may attract more foreign capital [5][14]. - The valuation logic of upstream resource stocks has shifted from a cyclical to a DCF model. After the short - term speculative funds withdraw, the resource sector is expected to return to fundamental - driven growth. The photovoltaic sector has rebounded, and the subsequent development depends on policy implementation. The energy - storage sector has opportunities for valuation restoration [5][15]. 3. Summary by Relevant Catalogs 3.1 Equity Market Review and Observation - **Market Performance**: From September 15 - 19, 2025, the Shanghai Composite Index neared 3900 points but was pulled down by heavy - weight sectors. The growth style outperformed the value style, with the Shanghai Composite Index down 1.30%, the ChiNext Index up 2.34%, and the Hang Seng Tech Index up 5.09%. The market activity increased, with the average daily trading volume of the whole A - shares reaching 2.5163 trillion [13]. - **Policy and Opportunities**: The Sino - US leaders' phone call and previous policies may drive the "going global" trend as a structural opportunity. The market is re - pricing high - quality industry leaders [13]. - **Sector Analysis** - **Hang Seng Tech**: The profit expectations of the Hong Kong stock technology sector are rising, and factors like a stable geopolitical environment and interest - rate cut expectations are driving the "catch - up" trend. If the Fed cuts interest rates in Q4, more foreign capital may flow in [5][14]. - **Resources**: The valuation logic of resource stocks has shifted. After short - term speculative funds leave, the sector will be driven by fundamentals [5][15]. - **Photovoltaic and Energy Storage**: The photovoltaic sector has rebounded due to anti - involution efforts, and the energy - storage sector has opportunities for valuation restoration driven by policies and improved sentiment [5][15]. 3.2 Active Equity Fund Index Performance Tracking - **Performance of Different Indexes** - **Active Stock Fund Preferred Index**: Up 0.80% last week, with a cumulative excess return of 13.06% since its establishment [7]. - **Value Stock Fund Preferred Index**: Down 0.48% last week, with a cumulative excess return of 5.03% since its establishment [7]. - **Balanced Stock Fund Preferred Index**: Up 0.62% last week, with a cumulative excess return of 9.60% since its establishment [7]. - **Growth Stock Fund Preferred Index**: Up 1.18% last week, with a cumulative excess return of 15.85% since its establishment [7]. - **Pharmaceutical Stock Fund Preferred Index**: Down 2.53% last week, with a cumulative excess return of 20.73% since its establishment [7]. - **Consumer Stock Fund Preferred Index**: Up 0.77% last week, with a cumulative excess return of 22.39% since its establishment [7]. - **Technology Stock Fund Preferred Index**: Up 2.12% last week, with a cumulative excess return of 21.07% since its establishment [7]. - **High - end Manufacturing Stock Fund Preferred Index**: Up 2.13% last week, with a cumulative excess return of - 3.47% since its establishment [7]. - **Cyclical Stock Fund Preferred Index**: Down 4.24% last week, with a cumulative excess return of - 2.77% since its establishment [7]. - **Index Positioning and Benchmarks** - **Active Stock Fund Preferred Index**: Selects 15 funds equally weighted, with the core positions selected based on performance competitiveness and style stability, and balanced according to the style distribution of the CSI Active Equity Fund Index. The benchmark is the Active Stock Fund Index (930980.CSI) [17]. - **Value Stock Fund Preferred Index**: Selects 10 funds with deep - value, quality - value, and balanced - value styles. The benchmark is the CSI 800 Value Index (H30356.CSI) [19][20]. - **Balanced Stock Fund Preferred Index**: Selects 10 relatively balanced and value - growth style funds. The benchmark is the CSI 800 Index (000906.SH) [20]. - **Growth Stock Fund Preferred Index**: Selects 10 actively - growing, quality - growing, and balanced - growing style funds. The benchmark is the 800 Growth Index (H30355.CSI) [23][25]. - **Pharmaceutical Stock Fund Preferred Index**: Selects 15 funds based on the intersection of equity holdings and the pharmaceutical index, with a benchmark of the pharmaceutical theme fund index [24]. - **Consumer Stock Fund Preferred Index**: Selects 10 funds based on the intersection of equity holdings and consumer - related indexes, with a benchmark of the consumer theme fund index [28]. - **Technology Stock Fund Preferred Index**: Selects 10 funds based on the intersection of equity holdings and technology - related indexes, with a benchmark of the technology theme fund index [30]. - **High - end Manufacturing Stock Fund Preferred Index**: Selects 10 funds based on the intersection of equity holdings and high - end manufacturing - related indexes, with a benchmark of the high - end manufacturing theme fund index [34]. - **Cyclical Stock Fund Preferred Index**: Selects 5 funds based on the intersection of equity holdings and cyclical - related indexes, with a benchmark of the cyclical theme fund index [36][38].

Report Investment Rating No investment rating information is provided in the report. Core Viewpoints - The bond market in China showed a pattern of rising first and then falling last week, with large yield fluctuations throughout the week. The domestic bond market is likely to maintain a volatile trend in the short - term, and the 10 - year Treasury yield may oscillate around the 1.75% - 1.80% range. [10] - The US Treasury yield curve rose last week. After the Federal Reserve cut interest rates, the yield went up due to various factors. [11] - The REITs market had a dull performance last week, with the CSI REITs Total Return Index rising slightly, and different types of REITs showing mixed performance. Policy support for REITs issuance in certain consumption infrastructure projects was introduced. [11] Summary by Directory 1. Weekly Market Observation 1.1. Pan - Fixed - Income Market Review and Observation - **Domestic Bond Market**: From September 15 - 19, 2025, the 1 - year Treasury yield dropped 1BP to 1.39%, the 10 - year yield rose 1.19BP to 1.88%, and the 30 - year yield rose 1.56BP to 2.20%. The market sentiment was affected by factors such as central bank bond - buying expectations and bond issuance results. [10] - **US Treasury Bonds**: The 1 - year US Treasury yield dropped 6BP to 3.60%, the 2 - year yield rose 1BP to 3.57%, and the 10 - year yield rose 8BP to 4.14%. The yield was influenced by economic data, the Federal Reserve's interest - rate cut, and labor - market data. [11] - **REITs Market**: The CSI REITs Total Return Index rose 0.12% to 1071.34 points. Different types of REITs had mixed performance, with data centers and warehousing logistics performing relatively well. As of September 19, 2025, 16 REITs were successfully issued this year, with a total issuance scale of 33.65 billion yuan. One new public offering REIT was established last week. [11][12] 1.2. Public Fund Market Dynamics - On September 12, Guozheng Index announced the release of the Guozheng Free Cash Flow Market - Making Bond Mixed Index series on September 17, including four indices with different asset - allocation weights. [13] 2. Pan - Fixed - Income Fund Index Performance Tracking | Index Type | Last Week's Return | One - Month Return | YTD Return | Cumulative Return Since Inception | | --- | --- | --- | --- | --- | | Money Enhancement Index | 0.03% | 0.12% | 1.10% | 4.07% | | Short - Term Bond Fund Selection | 0.03% | 0.09% | 0.79% | 4.20% | | Medium - and Long - Term Bond Fund Selection | 0.04% | 0.00% | 0.48% | 6.11% | | Low - Volatility Fixed - Income + Fund Selection | - 0.05% | 0.48% | 2.51% | 3.80% | | Medium - Volatility Fixed - Income + Fund Selection | 0.03% | 1.20% | 4.59% | 5.12% | | High - Volatility Fixed - Income + Fund Selection | - 0.07% | 1.20% | 7.06% | 6.80% | | Convertible Bond Fund Selection | - 1.37% | 0.44% | 15.60% | 19.22% | | QDII Bond Fund Selection | 0.11% | 0.99% | 5.05% | 10.13% | | REITs Fund Selection | - 1.01% | 3.62% | 27.09% | 36.17% | [5][14][15] 2.1. Money Enhancement Index Tracking - The money enhancement strategy index aims for liquidity management and a curve that outperforms money - market funds. It mainly invests in money - market funds and inter - bank certificate of deposit index funds, with a benchmark of the CSI Money Fund Index. [16] 2.2. Pure Bond Index Tracking - **Short - Term Bond Fund Selection Index**: It focuses on liquidity management and risk control, mainly investing in five funds with stable long - term returns and strict risk control, with a benchmark of 50% Short - Term Pure Bond Fund Index + 50% Ordinary Money - Market Fund Index. [19] - **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 funds with both return and risk - control capabilities and adjusts the portfolio according to market conditions. [21] 2.3. Fixed - Income + Index Tracking - **Low - Volatility Fixed - Income + Selection Index**: With an equity central position of 10%, it selects 10 fixed - income + funds with an equity position within 15%, aiming for a balance between risk and return and a good holding experience, with a benchmark of 10% CSI 800 Index + 90% ChinaBond New Composite Full - Price Index. [24] - **Medium - Volatility Fixed - Income + Selection Index**: With an equity central position of 20%, it selects five fixed - income + funds with an equity position between 15% - 25%, emphasizing performance elasticity on the basis of risk - return ratio, with a benchmark of 20% CSI 800 Index + 80% ChinaBond New Composite Full - Price Index. [25] - **High - Volatility Fixed - Income + Selection Index**: With an equity central position of 30%, it selects five fixed - income + funds with an equity position between 25% - 35%, focusing on funds with strong stock - selection ability on the equity side and stable bond - end returns, with a benchmark of 30% CSI 800 Index + 70% ChinaBond New Composite Full - Price Index. [28] 2.4. Convertible Bond Fund Selection Index - It selects bond - type funds with a high proportion of convertible - bond investment as the sample space, and constructs an evaluation system from multiple dimensions to select five funds to form the index. [28][31] 2.5. QDII Bond Fund Selection Index Tracking - It selects six QDII bond funds with stable returns and good risk control based on credit and duration conditions, with underlying assets of overseas bonds. [32] 2.6. REITs Fund Selection Index Tracking - It selects ten REITs funds with stable operation, reasonable valuation, and certain elasticity based on the type of underlying assets, which are mainly infrastructure projects with stable cash - flow expectations. [35]

Report Overview - The report is a weekly update on public - offering funds, specifically focusing on the tracking of ETF strategy indices as of September 22, 2025 [1] Core Viewpoints - By leveraging ETFs, it is convenient to transform quantitative models or subjective views into practical investment strategies. The report presents several ETF - based strategy indices and tracks their performance and positions on a weekly basis [12] Index - Specific Summaries 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices from September 12 - 19, 2025, including their weekly returns, benchmark returns, and excess returns [13] 1.1. Huabao Research Large - Small Cap Rotation ETF Strategy Index - **Strategy**: Utilizes 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. It outputs weekly signals to determine positions and obtain excess returns. - **Performance**: As of September 19, 2025, the excess return since 2024 is 18.52%, the recent one - month excess return is - 0.48%, and the recent one - week excess return is - 0.17% [14] 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 exposures to 9 major Barra factors to outperform the market. - **Performance**: As of September 19, 2025, the excess return since 2024 is 17.22%, the recent one - month excess return is 1.25%, and the recent one - week excess return is 0.83% [18] 1.3. Huabao Research Quantitative Windmill 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' behaviors. It uses valuation and crowding signals to indicate industry risks and identify potential sectors. - **Performance**: As of September 19, 2025, the excess return since 2024 is 24.66%, the recent one - month excess return is 8.37%, and the recent one - week excess return is 1.07% [22] 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 build a quantitative timing system for equity market trend analysis. It also predicts the large - small cap style to adjust equity market positions. - **Performance**: As of September 19, 2025, the excess return since 2024 is - 9.37%, the recent one - month excess return is - 2.00%, and the recent one - week excess return is 0.28% [27] 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: Tracks market sentiment, major industry events, investor sentiment, professional opinions, policy changes, and historical trends to identify hot - spot index products and build an ETF portfolio to capture market trends. - **Performance**: As of September 19, 2025, the recent one - month excess return is 0.59%, and the recent one - week excess return is - 1.88% [30] 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 reduces long - duration positions when expected yields are below a certain threshold. - **Performance**: As of September 19, 2025, the recent one - month excess return is 0.34%, and the recent one - week excess return is 0.04% [33]

New Stock Issuance - New stock issuance for Aomeisen (证券代码: 920080) is priced at 8.25 RMB per share[1] - The last trading day for Zitian (证券代码: 300280) is in 9 trading days[1] - Zhonghuan Hailu (证券代码: 301040) and Jishi Media (证券代码: 601929) have recent announcements regarding their stock status[1] Market Alerts - Significant abnormal fluctuations reported for Xian Dao Intelligent (证券代码: 300450) and Hangke Technology (证券代码: 688006)[2] - ST Green Kang (证券代码: 002868) and ST Gao Hong (证券代码: 000851) are under scrutiny due to recent trading activities[1] - ST Xin Tong (证券代码: 600289) and ST Ya Zhen (证券代码: 603389) have also been flagged for unusual market behavior[1] Trading Insights - The report includes links to detailed announcements for various stocks, indicating ongoing market monitoring and regulatory compliance[1] - The document highlights the importance of tracking stock performance and regulatory updates for informed investment decisions[1]

Core Insights - The report indicates that the market is expected to continue its oscillation and structural trends as the long holiday approaches, with economic data showing a continuous decline impacting cyclical sectors negatively, while growth styles remain resilient supported by industry trends and performance outlooks [3][10][13] Debt Market Analysis - The debt market is likely to maintain a range-bound oscillation, with a focus on credit bond coupon income. Current economic data has not provided substantial positive signals, leading to a weak market sentiment. The 10-year government bond yield is expected to fluctuate within the 1.75%-1.80% range, suggesting a strategy of range trading and consideration of high-rated 3-5 year credit bonds [3][10][13] Equity Market Analysis - The equity market is anticipated to experience continued oscillation and structural trends. The cyclical sectors are underperforming due to declining economic data, necessitating additional policy support. In contrast, growth styles, particularly in sectors like new energy and technology, are expected to perform well, with the upcoming October meetings likely to provide policy catalysts [3][10][13] Weekly Market Review - The report highlights that the A-share market is in a phase of oscillation, with the index showing slight adjustments while the ChiNext remains strong. The market is characterized by a rotation towards growth sectors such as new energy and AI, which are performing relatively well [10][11][19] Important Events Recap - Key events include discussions between Chinese and U.S. trade representatives aimed at resolving economic issues, and the announcement of a 25 basis point interest rate cut by the Federal Reserve, which is expected to influence market sentiment positively [9][10] Asset Allocation Performance - The domestic macro multi-asset model has achieved a year-to-date return of 10.27%, outperforming its benchmark by 4.50%. The global macro multi-asset model has a year-to-date return of 8.41%, also exceeding its benchmark by 1.64% [20][23]

New Stock Issuance - New stock issuance includes Yunhan Xincheng at an issuance price of 27.00 and Ruili Kemi at 42.28[1] - New stock listing includes Shichang Co., Ltd. at an issuance price of 10.90[1] Cash Options and Delisting - Cash option declaration period for *ST Tianmao is from September 15 to September 19, 2025[1] - *ST Zitian is in the delisting arrangement period with 10 trading days remaining[1] Abnormal Fluctuations - Abnormal fluctuations reported for multiple stocks including Xian Dao Intelligent and Hangke Technology[2] - Significant trading volume changes noted for stocks such as Ji Shi Media and Yunnan Tourism[1] Market Insights - The report highlights the importance of monitoring new stock listings and cash options for investment strategies[1] - Investors are advised to pay attention to stocks under abnormal fluctuations as potential investment opportunities[2]

Group 1: New Stock Issuances - Cash option declaration period for *ST Tianmao (000627) is from September 15 to September 19, 2025[1] - *ST Zitian (300280) has 11 trading days remaining until the last trading day during the delisting arrangement period[1] - *ST Dongtong (300379) has reported severe abnormal fluctuations in stock price[1] Group 2: Market Alerts - Jiushi Media (601929) has experienced significant abnormal fluctuations in stock price[1] - Xian Dao Intelligent (300450) has reported severe abnormal fluctuations in stock price[1] - Hangke Technology (688006) has issued a notice regarding stock performance[1] Group 3: Trading Notifications - Shanghai Construction (600170) has issued a trading notification on September 18, 2025[1] - Junsheng Electronics (600699) has issued a trading notification on September 18, 2025[1] - ST Changyuan (600525) has issued a trading notification on September 18, 2025[1]

Quantitative Factors and Construction Methods 1. Factor Name: Market Style Factor - **Construction Idea**: This factor tracks the market's preference for different styles, such as large-cap vs. small-cap and value vs. growth, as well as the volatility of these styles[13][15] - **Construction Process**: - **Size Style**: Measure the relative performance of small-cap stocks against large-cap stocks - **Value-Growth Style**: Measure the relative performance of growth stocks against value stocks - **Volatility**: Calculate the changes in the above style preferences over time to assess their stability[13][15] - **Evaluation**: The factor effectively captures the market's shifting preferences and provides insights into style rotations[13][15] 2. Factor Name: Market Structure Factor - **Construction Idea**: This factor evaluates the dispersion and rotation within industry indices, as well as the concentration of trading activity[13][15] - **Construction Process**: - **Industry Dispersion**: Calculate the excess return dispersion across industry indices - **Industry Rotation**: Measure the speed of rotation among industries - **Trading Concentration**: Assess the proportion of trading volume concentrated in the top 100 stocks and the top 5 industries[13][15] - **Evaluation**: The factor provides a comprehensive view of market dynamics, including sectoral shifts and trading behavior[13][15] 3. Factor Name: Market Activity Factor - **Construction Idea**: This factor tracks the overall market activity through volatility and turnover rates[14][15] - **Construction Process**: - **Volatility**: Measure the index-level volatility over the observation period - **Turnover Rate**: Calculate the turnover rate of the market index to gauge trading activity[14][15] - **Evaluation**: The factor is useful for understanding the market's risk appetite and liquidity conditions[14][15] 4. Factor Name: Commodity Market Factor - **Construction Idea**: This factor evaluates the performance and dynamics of commodity markets, focusing on trend strength, basis momentum, volatility, and liquidity[21][26] - **Construction Process**: - **Trend Strength**: Assess the strength of price trends in commodity sectors like metals and energy - **Basis Momentum**: Measure the changes in the basis (spot price vs. futures price) across sectors - **Volatility**: Calculate the price volatility for each commodity sector - **Liquidity**: Evaluate the trading liquidity and its fluctuations across sectors[21][26] - **Evaluation**: The factor provides a detailed view of commodity market conditions, highlighting sector-specific trends and risks[21][26] 5. Factor Name: Option Market Factor - **Construction Idea**: This factor analyzes the implied volatility and skewness in the options market, focusing on indices like SSE 50 and CSI 1000[30] - **Construction Process**: - **Implied Volatility**: Track the implied volatility levels for SSE 50 and CSI 1000 options - **Skewness**: Measure the skewness in the implied volatility distribution to assess market sentiment[30] - **Evaluation**: The factor captures market sentiment and risk perception, particularly in large-cap and small-cap indices[30] 6. Factor Name: Convertible Bond Market Factor - **Construction Idea**: This factor evaluates the performance and valuation of the convertible bond market, focusing on premium rates and trading activity[33] - **Construction Process**: - **Premium Rates**: Analyze the parity premium and low-premium bond proportions - **Trading Activity**: Measure the total trading volume and its changes over time[33] - **Evaluation**: The factor provides insights into the convertible bond market's valuation and liquidity conditions[33] --- Factor Backtesting Results 1. Market Style Factor - **Size Style**: Small-cap preference increased - **Value-Growth Style**: Growth style outperformed value - **Volatility**: Size style volatility increased, while value-growth style volatility decreased[15] 2. Market Structure Factor - **Industry Dispersion**: Increased - **Industry Rotation**: Accelerated - **Trading Concentration**: Top 100 stocks' trading share rose, while top 5 industries' share remained stable[15] 3. Market Activity Factor - **Volatility**: Increased - **Turnover Rate**: Increased[15] 4. Commodity Market Factor - **Trend Strength**: Metals and energy sectors strengthened - **Basis Momentum**: Declined across all sectors - **Volatility**: Declined in the black sector, stable in others - **Liquidity**: Fluctuated but remained stable overall[26] 5. Option Market Factor - **Implied Volatility**: SSE 50 remained stable, CSI 1000 declined - **Skewness**: CSI 1000 skewness and implied volatility recovered quickly[30] 6. Convertible Bond Market Factor - **Premium Rates**: Parity premium remained stable, low-premium bond proportion unchanged - **Trading Activity**: Slight decline in trading volume, but still supported[33]

New Stock Issuance - Cash option declaration period for *ST Tianmao (000627) is from September 15 to September 19, 2025[1] - *ST Zitian (300280) has 12 trading days remaining until the last trading day during the delisting arrangement period[1] Trading Alerts - *ST Jishi Media (601929) reported severe abnormal fluctuations in stock price[1] - *ST Yushun (002289) and *ST Weier (002058) are under scrutiny due to abnormal trading activities[1] Company Announcements - *ST Gao Hong (000851) and *ST Dongtong (300379) have recent announcements regarding their financial status[1] - Shanghai Construction (600170) and Zhongke Shuguang (603019) have disclosed important updates on their operations[1] Market Trends - The report indicates a trend of increased scrutiny on companies with abnormal trading patterns, reflecting a tightening regulatory environment[2] - The number of companies under cash option declarations and delisting arrangements suggests a potential increase in market volatility[1]