Group 1 - F5G concept declined by 4.87%, ranking among the top declines in concept sectors, with companies like Cambridge Technology, Huagong Technology, and Guangxun Technology hitting the limit down [1] - Major funds saw a net outflow of 5.911 billion yuan from the F5G concept sector today, with 29 stocks experiencing net outflows, and 11 stocks seeing outflows exceeding 100 million yuan [2] - The stock with the highest net outflow was Zhongji Xuchuang, with a net outflow of 2.003 billion yuan, followed by Huagong Technology, Taicheng Light, and Cambridge Technology [2] Group 2 - The top gainers in the F5G concept sector included Chuangwei Digital and Meiansen, with increases of 4.56% and 0.67% respectively [3] - The overall market performance showed that the F5G concept was among the sectors with significant losses, alongside sectors like CPO and advanced packaging [2] - The trading volume for Zhongji Xuchuang was 8.49%, indicating a high turnover rate despite the decline [3]

Group 1 - The Shanghai Composite Index fell by 1.25% to 3765.88 points, the Shenzhen Component Index decreased by 2.83% to 12118.7 points, and the ChiNext Index dropped by 4.25% to 2776.25 points as of September 4 [1] - A total of 40 stocks in the A-share market hit the daily limit up, with the top three strong stocks being Guoguang Chain (605188), China Ruilin (603257), and Eurasia Group (600697) [1] - The top 10 strong stocks are detailed in the accompanying table [1] Group 2 - The top three concept sectors with the highest gains were Dairy Industry (2.95%), Duty-Free Shops (2.57%), and Prepared Dishes (2.36%) [2] - Other notable sectors included Ice and Snow Industry (1.93%), Chicken Farming (1.89%), and Internet Celebrity Economy (1.84%) [2] - The top 10 concept sectors are listed in the accompanying table [2]

Market Performance - The three major A-share indices all recorded gains in July, with the Shanghai Composite Index rising by 3.74% to 3573 points, marking a three-month consecutive increase [1] - The Shenzhen Component Index increased by 5.2% to 11009 points, while the ChiNext Index surged by 8.14% to 2328 points [1] Sector Performance - The top five performing sectors over the past 20 trading days were: - Hydropower concept up 27.35% - Tibet sector up 25.85% - Engineering machinery up 19.88% - Medical services up 18.17% - CRO concept up 17.36% [1] - The bottom five performing sectors were: - Insurance down 6.27% - Precious metals down 3.57% - Banking down 3.41% - Guangdong Free Trade Zone down 2.23% - Food processing and manufacturing down 1.36% [1] Individual Stock Performance - The top five individual stocks in terms of gains for July were: - Shangwei New Materials up 1083.42% - N Dingjia up 479.12% - C Hanguo up 290.08% - Shanda Electric Power up 228.04% - Guangshengtang up 218.94% [1] - The bottom five individual stocks in terms of losses were: - *ST Zitian down 68.65% - *ST Suwu down 48.02% - *ST Tianmao down 44.16% - Yuandao Communication down 31.83% - ST Yundong down 31.77% [1]

Quantitative Models and Construction Methods - **Model Name**: Broad-based Index Heat Rotation Strategy - **Model Construction Idea**: The model uses the weekly heat change rate (MA2) of broad-based indices to construct a rotation strategy. The idea is to buy the index with the highest heat change rate at the end of each week, or stay in cash if the "Others" group has the highest rate[7][13]. - **Model Construction Process**: 1. Calculate the total heat of constituent stocks for each broad-based index (CSI 300, CSI 500, CSI 1000, CSI 2000, and "Others") by summing up their individual heat indicators[8][11]. 2. Compute the weekly heat change rate for each group and smooth it using a 2-week moving average (MA2)[11][13]. 3. At the end of each week, invest in the index with the highest heat change rate (MA2). If the "Others" group has the highest rate, remain in cash[13]. - **Model Evaluation**: The strategy demonstrates a reasonable annualized return and manageable drawdown, indicating its potential effectiveness in capturing short-term market sentiment[16]. Model Backtesting Results - **Broad-based Index Heat Rotation Strategy**: - Annualized Return: 8.74% (since 2017)[16] - Maximum Drawdown: 23.5%[16] - 2025 YTD Return: 10.1%[16] Quantitative Factors and Construction Methods - **Factor Name**: Total Heat Indicator - **Factor Construction Idea**: The total heat indicator aggregates the attention metrics (e.g., browsing, watchlist additions, and clicks) of individual stocks, normalized as a percentage of the market total, to serve as a proxy for market sentiment[7]. - **Factor Construction Process**: 1. For each stock, calculate the sum of browsing, watchlist additions, and clicks[7]. 2. Normalize the value as a percentage of the total market activity for the same day[7]. 3. Multiply the normalized value by 10,000 to scale the indicator within the range [0, 10,000][7]. - **Factor Evaluation**: The factor effectively captures market sentiment and is used as a proxy for emotional intensity in broader market or sector-level analysis[7]. - **Factor Name**: Weekly Heat Change Rate (MA2) - **Factor Construction Idea**: This factor measures the weekly change in the total heat indicator, smoothed using a 2-week moving average, to identify trends in market sentiment[11][13]. - **Factor Construction Process**: 1. Compute the weekly change rate of the total heat indicator for each stock or group[11]. 2. Apply a 2-week moving average (MA2) to smooth the weekly change rate[11][13]. - **Factor Evaluation**: The smoothed heat change rate provides a stable and actionable signal for rotation strategies and sentiment analysis[13]. Factor Backtesting Results - **Total Heat Indicator**: - Range: [0, 10,000][7] - **Weekly Heat Change Rate (MA2)**: - CSI 300: +7.76% (highest among broad-based indices for the week)[16] - "Others" Group: -3% (lowest among broad-based indices for the week)[16] - **Concept Heat TOP/BOTTOM Portfolios**: - BOTTOM Portfolio Annualized Return: 15.71%[33] - BOTTOM Portfolio Maximum Drawdown: 28.89%[33] - 2025 YTD Return for BOTTOM Portfolio: 21.1%[33]