- The report introduces two quantitative strategy indices developed by China Merchants Securities: the Global Assets Risk Parity Rotation Index (GARRI) and the China Assets Risk Parity Rotation Index 2.0 (CARRI2) [3][10] - GARRI and CARRI2 indices use momentum trend tracking methods to rotate allocations among equities, bonds, and commodities globally or within China, employing risk parity, volatility control, and daily monitoring for stop-loss and take-profit to manage overall portfolio volatility [3][10] - GARRI includes 13 sub-portfolios such as stock indices, government bond futures, gold futures, and commodity futures, while CARRI2 includes 10 sub-portfolios with similar asset classes but focused on the Chinese market [11] - The indices adjust the allocation weights of each sub-portfolio monthly based on momentum factors and risk parity models [11] - The construction process involves selecting sub-portfolios based on momentum signals and adjusting initial weights according to risk parity theory, with dynamic adjustments for daily performance [12][13] - GARRI's long-term annualized return is 7.76%, with an annualized volatility of 4.05% and a maximum drawdown of 5.46% [3] - CARRI2's long-term annualized return is 7.42%, with an annualized volatility of 4.62% and a maximum drawdown of 5.66% [3] - GARRI's performance is attributed mainly to bond assets, contributing an average of 39% (63% including cash), with equities, gold, and commodities contributing 14.3%, 5.5%, and 17.0% respectively [3] - CARRI2's performance is also primarily driven by bonds, contributing 60% (72% including cash), with equities, gold, and commodities contributing 9.1%, 5.7%, and 12.8% respectively [3] - GARRI and CARRI2 indices can be used as underlying indices for various financial products such as OTC options, total return swaps, and structured notes, suitable for different types of investors [3][98] - Compared to other global asset classes, GARRI and CARRI2 indices offer higher return-to-drawdown ratios, making them cost-effective options for achieving higher absolute returns with reasonable portfolio volatility [3][110][112]

Group 1 - The financing trend around the National Day holiday typically shows a pattern of "contraction before the holiday and explosion after" [1][5][12] - Historical data indicates that the A-share market generally experiences a calendar effect, with a tendency for major indices to rebound after the holiday [5][14][22] - The probability of major indices such as the Shanghai Composite Index, CSI 300, and CSI 1000 rising after the National Day holiday exceeds 60% based on the past decade [5][14][22] Group 2 - Key sectors that are expected to perform well post-holiday include computer, communication, and electronics, with banks, non-bank financials, and automobiles also showing strong performance in the following weeks [5][18][21] - The financing balance has shown a significant increase, with a net inflow of 558.3 billion yuan since July, indicating that financing has become a major driving force for market growth [7][9][28] - The current financing balance reached 2.39 trillion yuan, which is above historical highs, although it still represents only 2.54% of the A-share market's circulating value [9][10][28] Group 3 - The Federal Reserve's recent interest rate cut of 25 basis points is part of a preventive easing strategy, which historically leads to higher probabilities of A-share and Hong Kong stock market gains [6][25][26] - The report suggests a continued focus on growth-oriented sectors, particularly in solid-state batteries, AI computing, humanoid robots, and commercial aerospace [1][25][28]

证券研究报告 | 基金研究（公募） 2025 年 9 月 20 日 A 股震荡调整，量化基金表现分化 量化基金周度跟踪（20250915-20250919） 本周（9 月 15 日-9 月 19 日）A 股震荡调整，量化基金表现分化。 本报告重点聚焦量化基金市场表现，总结近一周主要指数和量化基金业绩表现、 不同类型公募量化基金整体表现和业绩分布，以及本周收益表现较优的量化基 金，供投资者参考。 ❑市场整体表现： 本周量化基金表现分化，绝对收益方面，除 300 指增，其他指增基金绝对 收益均录得正值；主动量化和市场中性均录得负收益，主动量化平均跌 0.19%，市场中性平均跌 0.17%。超额收益方面，各类指增基金均跑输指 数，沪深 300 指增、中证 500 指增、中证 1000 指增、其他指增分别获得 -0.05%、-0.24%、-0.09%、-0.14%的超额。 ❑风险提示：图表中列示的数据结果仅为对市场及个基历史表现的客观描述，并 不预示其未来表现，亦不构成投资收益的保证或投资建议。 徐燕红 S1090524120003 xuyanhong@cmschina.com.cn 邓畅 S109052507000 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report focuses on the performance of the ETF fund market, summarizing the past week's performance and fund - flow of the overall ETF market, different popular sub - type ETF funds, and innovative theme and sub - industry ETF funds for investors' reference [1]. 3. Summary by Related Catalogs 3.1 ETF Market Overall Performance - Market performance: From September 15th to 19th, stock ETFs showed a differentiated trend. Hong Kong TMT ETFs and Hong Kong mid - stream manufacturing ETFs had relatively high gains, with an average increase of 3.67% and 3.55% for funds above a certain scale. Conversely, Shanghai - Hong Kong - Shenzhen theme ETFs and Hong Kong financial and real estate ETFs had relatively deep declines, with an average decrease of 4.69% and 4.48% for funds above a certain scale [2][5]. - Fund - flow: Funds flowed significantly into Hong Kong TMT ETFs and financial and real estate ETFs, with net inflows of 11.82 billion yuan and 11.294 billion yuan throughout the week. In contrast, A - share large - cap ETFs and A - share STAR Market and ChiNext Innovation ETFs had significant outflows, with net outflows of 6.3 billion yuan and 5.12 billion yuan throughout the week [3][8]. 3.2 Different Popular Sub - type ETF Funds Market Performance - A - share ETFs: Include various categories such as broad - based indices (full - market, large - cap/super - large - cap, small - and medium - cap, STAR Market/ChiNext), industries (TMT, new energy, consumption, pharmaceutical and biological, cyclical, financial and real estate), SmartBeta (value, growth, dividend, free cash flow), themes, etc. Each category shows different performance in terms of weekly fund - flow, weekly returns, recent one - month returns, and year - to - date returns [16][17][18]. - Hong Kong ETFs: Include broad - based indices, industries (TMT, mid - stream manufacturing, consumption, pharmaceutical and biological, financial and real estate), SmartBeta (dividend), themes, etc. Each category also shows different performance in terms of weekly fund - flow, weekly returns, recent one - month returns, and year - to - date returns [31][32][33]. - Shanghai - Hong Kong - Shenzhen ETFs: Include industries and themes, with different performance in terms of weekly fund - flow, weekly returns, recent one - month returns, and year - to - date returns [36][37]. - US ETFs: Include broad - based indices and industries, with different performance in terms of weekly fund - flow, weekly returns, recent one - month returns, and year - to - date returns [38][39]. - Other QDII - ETFs (excluding Hong Kong and US): Show different performance in terms of weekly fund - flow, weekly returns, recent one - month returns, and year - to - date returns [40]. - Bond ETFs and commodity ETFs: Bond ETFs and commodity ETFs also show different performance in terms of weekly fund - flow, weekly returns, recent one - month returns, and year - to - date returns [41][42]. 3.3 Innovative Theme and Sub - industry ETF Funds Market Performance - TMT innovative themes: Include anime and games, smart cars, semiconductor chips, etc. Each theme shows different weekly returns and year - to - date returns [45]. - Consumption sub - industries: Include tourism, household appliances, grain, livestock breeding, etc. Each sub - industry shows different weekly returns and year - to - date returns [46]. - Pharmaceutical sub - industries: Include medical care, biomedicine, innovative drugs, etc. Each sub - industry shows different weekly returns and year - to - date returns [47]. - New energy themes: Include smart electric vehicles, new energy vehicles, new energy vehicle batteries, etc. Each theme shows different weekly returns and year - to - date returns [48]. - Central and state - owned enterprise themes: Include central enterprise technology leadership, Shanghai state - owned enterprises, etc. Each theme shows different weekly returns and year - to - date returns [49]. - Steady - growth themes: Include coal, real estate, infrastructure projects, etc. Each theme shows different weekly returns and year - to - date returns [50]. - Shanghai - Hong Kong - Shenzhen/Hong Kong Stock Connect sub - industries: Include Hong Kong Stock Connect technology, Hong Kong Stock Connect Internet, etc. Each sub - industry shows different weekly returns and year - to - date returns [51]. - Dividend/dividend low - volatility index families: Include Shenzhen Dividend, CSI Dividend, Shanghai Dividend, etc. Each index shows different weekly returns and year - to - date returns [52]. - STAR Market/ChiNext index families: Include STAR Market chips, ChiNext 50, etc. Each index shows different weekly returns and year - to - date returns [53].

Investment Rating - The report maintains a positive outlook on the consumer sector, particularly focusing on leading companies in the Hong Kong stock market [1]. Core Insights - The consumer sector's performance has shown a significant recovery, with a 55.8% increase over the past 12 months, indicating strong growth potential [3]. - The report highlights the importance of consumption support policies introduced recently, which are expected to stabilize consumption growth in the upcoming quarters [7]. - Key recommendations include focusing on undervalued leading companies and sectors with significant growth potential, such as snacks, beverages, and health products [8][9]. Industry Overview - The consumer sector comprises 1,214 listed companies, with a total market capitalization of 18,636.7 billion and a circulating market value of 17,056.8 billion [1]. - The retail sales growth rate for August was 3.4%, slightly lower than expected, but the overall trend is expected to improve due to upcoming holidays and promotional events [6][7]. - The beverage sector is highlighted for its strong performance, particularly companies like Nongfu Spring, which saw over 30% sales growth in August [8]. - The snack sector is also recommended, with companies like Wei Long benefiting from back-to-school stocking, showing a 20-25% increase in sales [8]. - The health product sector is projected to grow, with companies like H&H International Holdings expected to see an upward revision in profit forecasts [8][9]. Company Recommendations - The report recommends focusing on leading companies such as Nongfu Spring in the beverage sector and Wei Long in the snack sector, both of which are expected to perform well in the near term [8][9]. - Traditional consumer leaders like Haitian Flavoring and Li Du are also highlighted for their growth potential and strategic initiatives [9]. - In the electronics sector, companies like Yadi Holdings and Aima Technology are recommended due to their low valuation and growth prospects [12]. Market Trends - The report notes a shift in consumer preferences towards high-quality and innovative products, particularly in the health and wellness sectors [18]. - The overall market sentiment is cautiously optimistic, with expectations of gradual recovery in consumer spending supported by government policies [7][18].

Investment Rating - The report gives a "Strong Buy" rating for the company with a target price of HKD 11.8, while the current stock price is HKD 7.05 [3]. Core Insights - The company, Green Tea Group, is a leader in the Chinese casual dining sector, focusing on high-cost performance fusion cuisine and expanding its restaurant network primarily in East China, North China, and Guangdong [1][7]. - The company has shown rapid growth in revenue and profit, with a significant increase in the number of restaurants, reaching 502 by mid-2025, representing a year-on-year growth of 28.7% [7]. - The Chinese casual dining market is projected to grow, with the market size expected to reach RMB 534.7 billion in 2024, reflecting a year-on-year increase of 7.4% [51]. - Green Tea's strategy includes a focus on small store formats, regional expansion, and market penetration, which is expected to drive future growth [7][26]. Financial Data and Valuation - Total revenue is projected to grow from RMB 3,589 million in 2023 to RMB 8,386 million by 2027, with a compound annual growth rate (CAGR) of 27% [2]. - The net profit attributable to shareholders is expected to increase from RMB 295 million in 2023 to RMB 785 million by 2027, with a remarkable growth rate of 1,669% in 2023 [2]. - The company’s price-to-earnings (PE) ratio is projected to decrease from 14.7 in 2023 to 5.5 by 2027, indicating an attractive valuation [2]. Market Overview - The casual dining market in China is characterized by a strong demand for cost-effective dining options, with consumer preferences shifting towards high-value meals [51][59]. - The market for casual dining restaurants is expected to continue expanding, with a projected market share increase from 16% in 2020 to 19.3% by 2029 [51]. - The competitive landscape is evolving, with a trend towards standardization and digitalization in restaurant operations, which enhances efficiency and customer experience [62][63]. Competitive Advantages - Green Tea's unique selling proposition lies in its fusion cuisine, which combines various culinary styles to attract a diverse customer base [17][18]. - The company has a robust supply chain and a strong focus on menu innovation, with significant investments in research and development to maintain customer interest [7][20]. - The small store format strategy allows for quicker returns on investment, with a payback period of approximately 14-15 months for new openings [7][26].

Investment Rating - The report maintains a "Recommendation" rating for the industry, indicating a positive outlook for the sector's fundamentals and expectations for the industry index to outperform the benchmark index [2]. Core Insights - Huawei's AI chip roadmap for the next three years was unveiled at the Huawei Connect 2025 conference, showcasing the gradual release of Ascend 950/960/970 and Kunpeng 950/960 chips, highlighting the increasing strength of domestic AI computing chips amid the US-China rivalry [1][6]. - Domestic advanced logic and memory expansion expectations are optimistic, suggesting potential investment opportunities in the AI computing industry chain and semiconductor self-sufficiency [1][6]. - The report emphasizes the growth prospects of domestic AI computing chip manufacturers, with companies like Haiguang and Cambrian setting ambitious revenue growth targets for the next three years [6][64]. Summary by Sections Huawei Connect 2025 Conference - The conference introduced the UnifiedBus protocol for supernode interconnection, aiming to redefine efficient and scalable AI computing infrastructure [12][13]. - Huawei's roadmap for Ascend chips includes the release of Ascend 950PR and 950DT in 2026, with significant performance improvements expected in subsequent models [19][20]. - The Atlas 900 A3 SuperPoD was launched, supporting up to 384 cards and achieving a computing power of 300 PFLOPS, with plans for larger configurations in future models [28][31]. Domestic Semiconductor Industry - The domestic lithography machine industry is focusing on complete machines and related components, with expectations for advanced process expansion in 2026 [6][66]. - The report highlights the increasing demand for advanced processes, with companies like SMIC and Huahong planning significant capacity expansions [68][71]. - Domestic equipment, materials, and components are expected to benefit from the expansion of advanced production lines and the push for self-sufficiency [71]. Investment Recommendations - The report suggests focusing on investment opportunities in AI computing chips, high-end chip manufacturing, packaging, storage, and related equipment and materials [6][7]. - Specific companies to watch include SMIC, Haiguang, Cambrian, and various domestic storage and EDA/IP firms [8].

Group 1 - The report discusses the impact of the Federal Reserve's interest rate cuts on A-shares and Hong Kong stocks, indicating that the current environment is favorable for these markets due to improved dollar liquidity [1][4] - The report categorizes the Federal Reserve's rate cuts into two types: preventive rate cuts and crisis rate cuts, with different implications for asset performance [1][6] - Historical data shows that A-shares and Hong Kong stocks tend to benefit from preventive rate cuts, with a 100% probability of A-shares rising in the three months following such cuts [3][28] Group 2 - The report highlights that during the preventive rate cut cycles, global stock markets, including the Nikkei 225 and Hang Seng Index, generally experience upward trends [3][21] - It notes that the current bull market phase for A-shares is driven by several factors, including low penetration rates in key sectors such as AI, humanoid robots, solid-state batteries, and semiconductors [4][1] - The report emphasizes that the upcoming phases of rate cuts may lead to repeated trading expectations, which could further enhance the liquidity environment for A-shares and Hong Kong stocks [4][1]

Investment Rating - The industry is rated as "Recommended" indicating a positive outlook for the industry fundamentals and an expectation that the industry index will outperform the benchmark index [3][51]. Core Insights - In August 2025, the total retail sales of consumer goods reached 39,668 billion yuan, with a year-on-year growth of 3.4%. The growth rate decreased by 0.3 percentage points compared to the previous month [4][10]. - The online retail sales of physical goods grew by 7.1% year-on-year in August, continuing to outpace the overall retail market. Online sales accounted for 25.0% of total retail sales [4][5]. - The performance of essential goods such as grain, oil, and daily necessities showed a year-on-year increase of 5.8% and 7.7%, respectively, which is faster than the overall retail market [4][23]. - The growth in the e-commerce sector remains robust, with a focus on high-quality, low-valuation leading companies in the internet sector [4][10]. Summary by Sections Retail Sales Performance - Total retail sales in August 2025 were 39,668 billion yuan, with a year-on-year increase of 3.4% [4][10]. - The retail sales of goods reached 35,172 billion yuan, growing by 3.6% year-on-year, while dining revenue was 4,496 billion yuan, up by 2.1% [4][10]. - Urban retail sales were 34,387 billion yuan, with a year-on-year growth of 3.2%, while rural retail sales were 5,281 billion yuan, growing by 4.6% [4][7]. E-commerce Growth - Online retail sales of physical goods increased by 7.1% year-on-year, maintaining a growth rate faster than the overall retail market [4][5]. - Categories such as food, clothing, and daily necessities saw online retail sales growth of 15.0%, 2.4%, and 5.7%, respectively [4][18]. Category Performance - Essential categories like grain and oil, and daily necessities showed strong growth, while discretionary categories like home appliances and audio-visual equipment saw a year-on-year increase of 14.3% [4][34]. - Jewelry retail sales grew by 16.8% year-on-year, indicating a recovery in discretionary spending [4][29].

Monetary Policy - The Federal Reserve lowered the federal funds target rate by 25 basis points to a range of 4.00%-4.25% on September 17, 2025, while maintaining the pace of balance sheet reduction[1] - The Fed's dot plot indicates a total of 75 basis points of rate cuts this year and 25 basis points each in the following two years, which is lower than market expectations of 75 basis points for both years[1] Economic Outlook - GDP growth for the first half of 2025 was 1.5%, down from 2.5% in 2024, indicating a slowdown in economic activity[2] - The unemployment rate is projected to be 4.5% for 2025, with a slight decrease to 4.4% in 2026, reflecting concerns about job market stability[5] Inflation Trends - Inflation risks are decreasing, with the PCE inflation rate expected to be 3.0% for 2025, unchanged from previous forecasts[5] - Commodity inflation has rebounded, while service inflation continues to decline, suggesting mixed inflationary pressures[2] Market Reactions - Following the Fed's announcement, major U.S. stock indices experienced fluctuations, with the S&P 500, Nasdaq, and Dow Jones showing changes of -0.10%, -0.33%, and +0.57% respectively[4] - The 2-year and 10-year Treasury yields rose by 1 basis point to 3.52% and 2 basis points to 4.06%, respectively, indicating market adjustments to the Fed's guidance[4] Investment Strategy - Short-term risk assets may enter a volatile phase, while the medium-term outlook remains bullish on U.S. equities, with potential opportunities for adjustments until the end of next year[4] - The focus will shift to the outcomes of U.S.-China negotiations and the stance of Trump and Congress on the fiscal policy for FY26, which could impact market dynamics[4]