Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents several ETF strategy indices developed by Huabao Research, aiming to help investors convert quantitative models or subjective views into practical investment strategies. It tracks the performance and positions of these indices on a weekly basis [12]. 3. Summary by Directory 3.1 ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices for the week ending October 31, 2025, including their returns, benchmark returns, and excess returns [13]. | Index Name | Last Week Index Return | Comparison Benchmark | Last Week Benchmark Return | Excess Return | | --- | --- | --- | --- | --- | | Huabao Research Size Rotation ETF Strategy Index | -0.41% | CSI 800 | -0.05% | -0.36% | | Huabao Research SmartBeta Enhanced ETF Strategy Index | -0.01% | CSI 800 | -0.05% | 0.04% | | Huabao Research Quantitative Fire - Wheel ETF Strategy Index | 1.15% | CSI 800 | -0.05% | 1.20% | | Huabao Research Quantitative Balance ETF Strategy Index | 0.12% | SSE 50 | -0.43% | 0.55% | | Huabao Research Hot - Spot Tracking ETF Strategy Index | 0.87% | CSI All - Share Index | 0.41% | 0.46% | | Huabao Research Bond ETF Duration Strategy Index | 0.26% | ChinaBond Aggregate Index | 0.41% | -0.15% | 3.2 Specific Index Analyses - **Huabao Research Size Rotation ETF Strategy Index**: Uses 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. As of October 31, 2025, the excess return since 2024 was 19.72%, 0.52% in the past month, and - 0.36% in the past week. The current position is 100% in the SSE 50 ETF [14][17]. - **Huabao Research SmartBeta Enhanced ETF Strategy Index**: Utilizes price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposures to 9 Barra factors. As of October 31, 2025, the excess return since 2024 was 16.75%, - 3.43% in the past month, and 0.04% in the past week. The positions include several ETFs such as the 800 Free Cash Flow ETF, 800 Dividend Low - Volatility ETF, etc. [16][17]. - **Huabao Research Quantitative Fire - Wheel ETF Strategy Index**: Adopts a multi - factor approach, considering mid - to long - term fundamentals, short - term market trends, and market participants' behaviors. It uses valuation and congestion signals to identify industry risks and potential sectors. As of October 31, 2025, the excess return since 2024 was 31.54%, 2.17% in the past month, and 1.20% in the past week. The positions cover ETFs in sectors like non - ferrous metals, communications, etc. [22][23]. - **Huabao Research Quantitative Balance ETF Strategy Index**: Employs a multi - factor system including economic fundamentals, liquidity, technicals, and investor behavior to build a quantitative timing system for equity market trend analysis. It also predicts the market's large - and small - cap styles to adjust equity positions. As of October 31, 2025, the excess return since 2024 was - 11.35%, - 0.11% in the past month, and 0.55% in the past week. The positions include various bond and equity ETFs [25][29]. - **Huabao Research Hot - Spot Tracking ETF Strategy Index**: Tracks market sentiment, industry events, investor sentiment, policies, and historical trends to identify hot - spot index products and build an ETF portfolio. As of October 31, 2025, the excess return in the past month was 2.99% and 0.46% in the past week. The positions are similar to the Quantitative Balance ETF Strategy Index [29][34]. - **Huabao Research Bond ETF Duration Strategy Index**: Uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine learning. When the expected yield is below a certain threshold, it reduces long - duration positions. As of October 31, 2025, the excess return in the past month was - 0.07% and - 0.15% in the past week. The positions mainly consist of short - term and long - term bond ETFs [34][37].

Core Insights - The ETF market is experiencing significant growth, with brokers focusing on transforming retail investors into institutional investors through comprehensive ETF services [1][2][5] - Major brokers are enhancing their competitive edge by upgrading from basic ETF trading to a full-fledged investment ecosystem, leveraging their research capabilities [1][3][6] Market Overview - As of September 2025, the total number of ETFs in the Shanghai market reached 760, with a total market value of 4 trillion yuan, reflecting a 7.65% increase [3] - The leading brokers in ETF holdings are Galaxy Securities and Shenwan Hongyuan, holding a combined market share of approximately 39.49% [3][4] Broker Performance - In terms of trading volume, CITIC Securities led the Shanghai market with an 11.24% share, followed closely by Huatai Securities at 11.09% [4] - Huabao Securities has established a comprehensive service system around ETFs, indicating its strategic importance to the firm [4][6] Strategic Developments - Brokers are increasingly focusing on creating an ETF ecosystem, integrating research, distribution, and custody services to enhance collaboration [2][7] - The shift towards a comprehensive investment ecosystem is evident, with firms like Guotai Junan and招商证券 developing tools and community platforms to support investors throughout the investment process [6][7] Future Outlook - The ETF market is expected to continue its robust growth, with brokers that effectively leverage AI and deepen business collaboration likely to gain a competitive advantage [2][5] - Analysts suggest that ETFs serve not only as investment products but also as a vehicle for brokers to transition retail investors into a more structured investment framework [7]

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core View of the Report The report presents several ETF strategy indices constructed with the help of ETFs, and tracks the performance and holdings of these indices on a weekly basis. These indices aim to obtain excess returns relative to the market through different strategies [12]. 3. Summary by Relevant Catalog 1. ETF Strategy Index Tracking - **Overall Performance Last Week** - The table shows the performance of various ETF strategy indices last week, including their index returns, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a last - week index return of 3.34%, a benchmark (CSI 800) return of 3.30%, and an excess return of 0.04% [13]. - **Huabao Research Size Rotation ETF Strategy Index** - 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. As of October 24, 2025, the excess return since 2024 was 20.29%, the excess return in the past month was 0.96%, and the excess return in the past week was 0.04%. The current holding is 100% of the CSI 300 ETF [14][18]. - **Huabao Research SmartBeta Enhanced ETF Strategy Index** - It 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. As of October 24, 2025, the excess return since 2024 was 16.69%, the excess return in the past month was - 3.36%, and the excess return in the past week was - 1.71%. The holdings include the Central State - owned Enterprise Dividend ETF, 800 Free Cash Flow ETF, High - Dividend ETF, and Dividend ETF [18][22]. - **Huabao Research Quantitative Fire - Wheel ETF Strategy Index** - It starts from a multi - factor perspective, 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 indicate industry risks and multi - dimensionally digs out potential sectors. As of October 24, 2025, the excess return since 2024 was 29.58%, the excess return in the past month was 3.36%, and the excess return in the past week was 1.45%. The holdings include the Non - Ferrous Metals ETF, Real Estate ETF, Communication ETF, Home Appliance ETF, and New Energy ETF [22][26]. - **Huabao Research Quantitative Balance - Art ETF Strategy Index** - It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend judgment. It also builds a prediction model for market size - style to adjust the equity market position distribution. As of October 24, 2025, the excess return since 2024 was - 12.08%, the excess return in the past month was - 2.08%, and the excess return in the past week was - 1.83%. The holdings include the 10 - Year Treasury Bond ETF, 500ETF Enhanced, CSI 1000ETF, 300 Enhanced ETF, Government - Financial Bond ETF, and Short - Term Financing ETF [26][29]. - **Huabao Research Hot - Spot Tracking ETF Strategy Index** - It tracks and mines hot - spot index target products in a timely manner through strategies such as market sentiment analysis, industry 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. As of October 24, 2025, the excess return in the past month was 1.88%, and the excess return in the past week was - 2.60%. The holdings include the Non - Ferrous 50ETF, Hong Kong Stock Dividend ETF Boshi, Hong Kong Stock Connect Medical ETF, and Short - Term Financing ETF [29][33]. - **Huabao Research Bond ETF Duration Strategy Index** - 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 long - duration positions in the bond investment portfolio. As of October 24, 2025, the excess return in the past month was 0.45%, and the excess return in the past week was 0.06%. The holdings include the Short - Term Financing ETF, 10 - Year Treasury Bond ETF, Government - Financial Bond ETF, and Treasury Bond ETF [33][36].

Core Insights - The ETF market in September continued to show high activity and growth, with significant increases in total market value and trading volume for both Shanghai and Shenzhen stock exchanges [1][2] Market Overview - As of the end of September, the total market value of ETFs in the Shanghai market surpassed 4 trillion yuan, while in Shenzhen, it exceeded 1.6 trillion yuan, indicating a notable increase in market size and liquidity [1][2] - The total number of ETF products reached 760 in Shanghai and 555 in Shenzhen, with cumulative trading amounts of 75,383.12 billion yuan and 27,674.53 billion yuan respectively for the month [2] Competitive Landscape - The competition among leading brokerages in the ETF space has intensified, with CITIC Securities leading the market with an 11.24% share, closely followed by Huatai Securities at 11.09% [2] - The market concentration remains high, with the top three brokerages (CITIC, Huatai, and Guotai Junan) forming a core competitive group, while the second tier, including Huabao Securities, Dongfang Securities, and China Galaxy, also showed strong performance with market shares exceeding 4% [2] Long-term Strength Indicators - In terms of ETF holding scale, China Galaxy leads with a 22.75% market share, followed by Shenwan Hongyuan at 16.74% and Guotai Junan at 8.04% [3] Niche Market Strategies - Smaller brokerages have demonstrated competitive strength in niche markets through deep operational capabilities and targeted internet strategies [4] - In Shanghai, Huabao Securities' Dongda Ming Road branch led with a 4.72% share of trading volume, while CITIC and Dongfang Securities also performed well [4] Client Engagement - The number of ETF trading accounts reflects differentiated competition, with Huatai Securities holding a 10.29% market share, followed by Dongfang Wealth at 9.94% and Guotai Junan at 6.24% [5] - The ETF business is seen as a crucial area for transformation in brokerage services, emphasizing the need for product development, trading service optimization, and investor education [6]

Core Insights - The ETF market in September continued to show high activity and growth, with significant increases in total market value and trading volume for both Shanghai and Shenzhen stock exchanges [1][2] - Competition among brokerage firms in the ETF sector has intensified, particularly among leading firms, as they increase their investments in this area [1][2] Market Overview - As of the end of September, the total market value of ETFs in the Shanghai market exceeded 4 trillion yuan, while in Shenzhen it surpassed 1.6 trillion yuan, indicating a robust market expansion [1][2] - The total number of ETF products reached 760 in Shanghai and 555 in Shenzhen, with significant month-on-month growth rates of 7.65% and 14.93% respectively [2] Competitive Landscape - In terms of ETF trading volume, CITIC Securities led the market with an 11.24% share, closely followed by Huatai Securities at 11.09%, highlighting a very tight competition at the top [2] - The market concentration remains high, with the top three firms (CITIC, Huatai, and Guotai Junan) forming a core competitive group, while other firms like Huabao Securities, Dongfang Securities, and China Galaxy also showed strong performances [2] Long-term Strength Indicators - When evaluating long-term business strength through ETF holding scale, China Galaxy holds the top position with a 22.75% market share, followed by Shenwan Hongyuan at 16.74% [3] - Guotai Junan has made significant progress, ranking third with an 8.04% market share [3] Niche Market Strategies - Smaller brokerage firms have demonstrated competitive strength in niche markets through deep operational capabilities and targeted internet channels [4] - In Shanghai, Huabao Securities' Dongda Ming Road branch led in trading volume with a 4.72% share, while CITIC and Dongfang Securities also performed well [4] Client Engagement and Account Activity - The number of ETF trading accounts reflects a competitive landscape, with Huatai Securities leading at 10.29% market share, followed closely by Dongfang Wealth at 9.94% [5] - Guotai Junan also ranked third with a 6.24% share, indicating a strong client engagement strategy among leading firms [5] Strategic Recommendations - Brokerages are advised to focus on product development, trading services, and investor education to capitalize on ETF market opportunities [6] - Enhancing collaboration with fund companies, improving trading system efficiency, and educating clients on asset allocation are key strategies for growth in the ETF sector [6]

Core Insights - The ETF market in Shanghai and Shenzhen has shown strong growth, with total market size exceeding 5.6 trillion yuan as of the end of September [1][2] - The competition landscape among brokerage firms in the ETF business is stabilizing, with leading firms maintaining their positions [2][3] - ETF business is recognized as a core engine for the transformation of brokerage firms, contributing significantly to various revenue streams [1][4] Market Overview - As of September, there are 760 ETFs in Shanghai with a total market value of 40,003.11 billion yuan, and 555 ETFs in Shenzhen with a total market value of 16,255.16 billion yuan, reflecting a 7.65% increase [1] - The total asset management scale of funds in Shanghai is 40,881.95 billion yuan, while in Shenzhen it is 16,638.58 billion yuan [1] Brokerage Performance - In September, the top five brokerage firms by trading volume in Shanghai's ETF market were CITIC Securities, Huatai Securities, Guotai Junan, Huabao Securities, and Dongfang Securities, with market shares of 11.24%, 11.09%, 9.45%, 6.46%, and 5.92% respectively [2] - In Shenzhen, the leading firms were Northeast Securities, Dongfang Wealth, Dongfang Securities, Dongwu Securities, and Founder Securities, maintaining the same ranking as the previous month [2] Strategic Importance of ETF Business - The ETF business is crucial for the wealth management transformation of brokerage firms, aligning with the shift from "sell-side sales" to "buy-side advisory" [3][4] - It serves as a key source of diversified income for brokerages, linking various business lines such as custody, settlement, and market-making [4] - ETFs attract both retail and institutional investors, helping brokerages integrate their retail and institutional services [4] Future Outlook - The competition in the ETF business is expected to become more intense, focusing on comprehensive service capabilities and strategic foresight [4] - With regulatory encouragement for long-term investments and the emergence of innovative products, brokerages need to prepare for new opportunities [4]

Core Viewpoint - The yields of money market funds, represented by Yu'ebao, have significantly declined, with many products now showing a 7-day annualized yield below 1.5%, leading to a shift in investor sentiment and a search for alternative investment options [2][4][10] Summary by Sections Current Yield Situation - As of July 10, 2023, 182 out of 364 money market funds have a 7-day annualized yield below 1.5%, marking a significant drop from earlier in the year when over 80% of products yielded more than 2% [2][4] - The largest money market fund, Tianhong Yu'ebao, reported a yield of only 1.478% on July 10, down from a peak of 2.453% earlier in the year [4] Reasons for Yield Decline - The decline in money market fund yields is attributed to a relatively loose monetary policy and an overall decline in the yields of underlying assets such as bank deposits and short-term bonds [6][10] - Analysts indicate that the current economic environment, characterized by slow recovery and abundant liquidity in the interbank market, is contributing to the downward trend in yields [6][10] Investor Behavior and Demand - Despite the declining yields, there remains strong demand for money market funds as investors seek low-risk options amid a volatile stock market [7][10] - The continuous decrease in bank deposit rates has led to a shift of funds from banks to money market funds, as investors prioritize capital safety [7] Alternative Investment Options - With the attractiveness of money market funds waning, investors are exploring alternatives such as short-term bond funds and interbank certificate funds, which offer higher yields while maintaining low risk [10][11] - Short-term bond funds are highlighted as a viable option due to their higher potential returns compared to money market funds, although they may have slightly less liquidity [10][11]

Core Insights - The banking wealth management market experienced significant fluctuations in Q3, with the total scale of existing wealth management products decreasing to 30.82 trillion yuan by the end of September, down 151.47 billion yuan from the end of June, and the average annualized return dropping to 2.47% [2][3] - The market saw a structural differentiation in product performance, with fixed-income products losing attractiveness compared to equity assets, leading to a shift in investor behavior [3][4] Market Performance - The overall wealth management market showed a "rise and fall" trend in Q3, with a notable increase in July and August followed by a significant decline in September, resulting in a total decrease of over 150 billion yuan compared to the end of Q2 [3] - The "stock-bond seesaw" effect was a major factor, as the equity market continued to recover, with the Shanghai Composite Index surpassing the 3,800-point mark, while the bond market experienced volatility [3][4] Product Performance - The average annualized return for closed-end fixed-income products was 2.73%, underperforming the benchmark by 0.12 percentage points, while open-end fixed-income products had an average return of only 2.54%, falling short of the benchmark by 0.28 percentage points [4][5] - Cash management products and fixed-income products saw average annualized returns of 1.45% and 2.48%, respectively, both declining from June [7] Structural Changes - Mixed and equity products performed well, with average annualized returns reaching 5.03% and 13.72%, respectively, significantly increasing by 1.89 and 9.97 percentage points from June [7] - The issuance of equity-related products surged, with 12 equity products issued by the end of September, a sixfold increase compared to the previous year, and 202 mixed products, up by 33 from the previous year [7] Future Outlook - The wealth management market is expected to continue expanding steadily, with an anticipated monthly increase of over 1 trillion yuan in October, driven by the optimization of product structures by wealth management subsidiaries [9] - The low-interest-rate environment is likely to sustain the growth of "fixed income plus" products, which are expected to remain a key growth driver in the wealth management market [8][9]

Core Viewpoint - The banking wealth management market experienced significant fluctuations in Q3, with a notable decline in the total scale of wealth management products and a drop in average annualized returns, leading to structural differentiation among different products [3][4][5]. Group 1: Market Performance - As of the end of September, the total scale of bank wealth management stood at 30.82 trillion yuan, a decrease of 151.47 billion yuan compared to the end of June, with average annualized returns dropping to 2.47% [3][4]. - The market showed a "rise and fall" trend, with an initial increase in July and August followed by a significant decline in September, resulting in a total market size reduction of over 150 billion yuan [5][6]. - The "stock-bond seesaw" effect was a major factor, as the equity market continued to recover, leading to a shift in investor preference away from fixed-income products [6][7]. Group 2: Structural Changes in Products - Despite the overall pressure on returns, there was a structural differentiation in product performance, with cash management products averaging an annualized return of 1.45% and fixed-income products at 2.48%, both declining from June [10]. - In contrast, mixed and equity products performed well, with average annualized returns reaching 5.03% and 13.72%, respectively, significantly increasing from June [10][11]. - The issuance of products containing equity assets surged, with 12 equity products issued by the end of September, a sixfold increase compared to the previous year [10]. Group 3: Future Outlook - Looking ahead to Q4, the wealth management market is expected to continue its trend of steady expansion in scale, with a projected monthly increase in October potentially exceeding 1 trillion yuan [12][13]. - The low-interest-rate environment is anticipated to sustain the growth of "fixed income plus" products, which are expected to remain a key growth driver in the wealth management market [11][13].

Core Insights - The bank wealth management market experienced significant fluctuations in Q3, with total outstanding scale decreasing to 30.82 trillion yuan, down 151.47 billion yuan from the end of Q2, and average annualized returns dropping to 2.47% [1][2] - The "stock-bond seesaw" effect led to a shift in investor preferences, with funds moving towards bank on-balance sheet assets rather than a large-scale transition to equity markets [2][3] - Despite the overall decline in wealth management returns, "fixed income plus" products and equity-related products showed strong performance, with average annualized returns of 5.03% and 13.72% respectively [7] Market Trends - The overall wealth management scale showed a "rise and fall" trend in Q3, with a notable drop in September after a rise in July and August, resulting in a total market decrease of over 150 billion yuan [2][3] - The bond market faced volatility, with fixed income products underperforming compared to equity assets, prompting some investors to redeem their wealth management products [2][3] - The average annualized return for closed-end fixed income products was 2.73%, while open-end fixed income products yielded only 2.54%, both underperforming their benchmarks [3][6] Product Performance - Cash management products and fixed income products saw average annualized returns decline to 1.45% and 2.48% respectively, influenced by the downward shift in bond yields [6] - In contrast, mixed and equity-related wealth management products experienced significant increases in returns, with mixed products rising by 1.89 percentage points and equity products by 9.97 percentage points compared to June [7] - The issuance of equity-related products surged, with 12 new equity products launched in 2023 compared to only 2 in the previous year, indicating a growing trend towards equity allocation [7] Future Outlook - The wealth management market is expected to continue its trend of steady expansion in scale, with October projected to see an increase of over 1 trillion yuan, driven by the optimization of product structures by wealth management subsidiaries [8] - The low interest rate environment is anticipated to keep "fixed income plus" products as a key growth driver in the wealth management sector, with expectations for the total wealth management scale to reach over 33.5 trillion yuan by the end of the year [8]