Core Viewpoint - The current market rally, which began in September 2024, is expected to last for over four years, with Hong Kong stocks becoming a key breakthrough point and serving as a "value anchor" for Chinese assets [4][5][6]. Market Outlook - The A-share market has experienced approximately four years of decline since 2021, with a potential bottom reached in September 2024. Historical data suggests that the upcoming upward cycle could mirror the previous downturn [5]. - The market is currently in a phase where many investors have not yet adjusted their expectations, similar to the state of the market in 2013-2014 [5]. - The anticipated influx of overseas capital and a shift in China's economic structure will likely lead to a significant transformation in the asset allocation of Chinese residents, with the stock market becoming a new "reservoir" for funds [5][6]. Hong Kong Stock Market - The Hong Kong market is expected to be a breakthrough point due to its high marketization and regulatory framework, which prevents speculation on low-quality stocks [6]. - There is an expectation of continuous foreign capital inflow into Chinese assets, particularly in the Hong Kong market, which has seen increased support from the government since the "9.24" policy [6]. - The valuation of certain H-shares is already higher than their A-share counterparts, indicating a potential premium for H-shares in the future [6]. Investment Focus Areas - The investment strategy will focus on sectors such as military industry, innovative pharmaceuticals, and financial technology, utilizing an ETF rotation strategy for timing and allocation [4][7]. - The military industry is undergoing significant changes, with increased asset securitization and a shift towards performance-driven investment logic [7]. - The innovative pharmaceutical sector is expected to replicate the rapid growth seen in the new energy vehicle sector, with leading companies potentially increasing their market capitalization significantly [8]. ETF Rotation Strategy - The ETF rotation strategy involves three main asset categories: domestic ETFs, cross-border ETFs, and derivative tools, allowing for a diverse range of investment opportunities [7]. - The strategy emphasizes strong timing and position management, utilizing a five-dimensional timing model that incorporates macroeconomic, liquidity, sentiment, technical, and overseas indicators [9][10]. - The strategy is designed to adapt to different market styles, focusing on macro-driven, thematic, event-driven, and stock selection sub-strategies, ensuring effective and accurate investment decisions [10].

Core Viewpoint - The current stock market rally, which began in September 2024, is expected to last for over four years, with Hong Kong stocks becoming a key breakthrough point and serving as a "value anchor" for Chinese assets [1][3][4]. Group 1: Market Outlook - The A-share market has experienced approximately four years of decline from 2021 until the expected bottom in September 2024, with the current year marking the second year of the rally [3]. - Historical data suggests that the upward cycle is often symmetrical with the downward cycle, indicating significant potential for future growth [3]. - Factors such as the Federal Reserve's interest rate cuts and improving economic expectations in China are anticipated to attract both overseas and domestic funds into the stock market [3][4]. Group 2: Investment Focus - Investment opportunities are concentrated in sectors such as military industry, innovative pharmaceuticals, and financial technology, with a flexible use of ETF rotation strategies for timing and allocation [1][5][6]. - The military industry is undergoing significant changes, with increased asset securitization and a shift towards performance-driven investment logic [7]. - The innovative pharmaceutical sector is expected to replicate the rapid growth seen in the new energy vehicle market, with leading companies potentially increasing their market capitalization significantly [7]. Group 3: ETF Rotation Strategy - The ETF rotation strategy involves three main asset categories: domestic ETFs, cross-border ETFs, and derivative tools, allowing for a diverse range of investment opportunities [6][9]. - The strategy emphasizes strong timing and position management, utilizing a five-dimensional timing model that incorporates macroeconomic, liquidity, sentiment, technical, and overseas indicators [9][10]. - The rotation framework includes macro-driven, thematic, event-driven, and stock selection strategies, each with distinct holding periods and risk management approaches [10].

徐刚，南开大学经济学博士，曾任中信证券执行委员会委员、中信期货董事、华夏基金董事、中信建投 （601066）证券董事、中信兴业投资总经理，现任明晟东诚执行事务合伙人委派代表。 杨辰，清华大学本硕博，核物理博士。11年证券从业经验，曾任中信建投证券军工行业分析师，期间曾 师从周金涛学习康波周期。擅长采用宏观自上而下和中观行业比较相结合的投资策略，具备扎实的学术 专业背景和丰富的权益研究经验。 中长期来看，杨辰明确看好港股市场，以及A股的科技、创新药、军工、金融等板块的结构性行情。全 球资产方面，其ETF轮动策略也会阶段性配置以纳指科技为代表的美国市场和欧洲、日本、拉美等市 场。此外，还叠加对稀土、黄金、铜等大宗商品的配置。 □本报记者 张舒琳 今年以来，股市持续走高，市场交投活跃。在上证指数站稳3600点之际，记者就市场热点采访了明晟东 诚基金创始人徐刚、基金经理杨辰。徐刚认为，始于2024年9月的本轮行情有望持续四年以上，港股将 成为关键突破口，并承担中国资产"价值锚"功能。杨辰表示，将聚焦军工、创新药、金融科技领域的投 资机会，并灵活运用ETF轮动策略进行择时和主线配置。 港股有望成为行情突破口 从2021 ...

Core Viewpoint - The report aims to construct a multi-factor weighted ETF rotation strategy and optimize the stock factor mapping framework to test for marginal improvement in performance [1][5]. Group 1: Background and Market Overview - The concept of index-based investment has gained recognition among investors, with ETFs becoming a significant tool for asset allocation due to their transparency, low fees, and ease of trading. As of April 2025, the number of ETFs listed on domestic exchanges reached 1,141, with a total market value of 4.04 trillion yuan, an increase from 3.73 trillion yuan at the end of 2024 [4]. - Previous reports have constructed product rotation strategies based on various factors such as Level 2 data, redemption data, and neural networks, while also mapping individual stock factors to indices [4]. Group 2: Single Factor Stock Selection and ETF Rotation Comparison - The report compares the performance of single-factor stock selection and ETF rotation, highlighting the differences in factor characteristics. The factors include low-frequency price-volume, fundamentals, ETF redemption fund flows, Level 2 data, and neural network-related factors [6][7]. - Backtesting results indicate that the long position in stocks achieved significant excess returns compared to broad indices, while the RANK_IC and annualized returns of the ETF rotation factors showed marginal declines [11][15]. Group 3: ETF Rotation Backtesting Framework Adjustments - The report attempts to retain only the top-weighted components by setting an upper limit on weight thresholds and applying equal-weight "non-linear mapping." The results show that adjusting to equal-weight mapping covering all components led to a marginal decline in the performance of the single-factor long position [2]. - The ETF selection process identifies ETFs with similar holdings but different names, filtering out products with lower factor values when the overlap of constituent stocks exceeds a threshold. When an 80% overlap threshold is set, the performance of the single-factor long position improves [2]. Group 4: Multi-Factor Weighted ETF Rotation Empirical Testing - The empirical testing of the multi-factor weighted ETF rotation strategy, starting from January 2021, shows that the RANK_IC and ICIR of the portfolio improved marginally with monthly rebalancing. The equal-weighted top 5 long position achieved an annualized return of 18.6%, while the IC-weighted and ICIR-weighted portfolio achieved approximately 20% annualized returns, indicating more stable performance compared to the equal-weighted portfolio [2][15]. Group 5: ETF Rotation Backtesting Empirical Results - The backtesting results for ETF rotation indicate that the RANK_IC and annualized returns of the factors showed a noticeable marginal decline, with the ICIR significantly lower than that of the stock selection backtesting results [15].

Core Viewpoint - The article emphasizes the importance of ETFs as a tool for investors to navigate the fluctuating capital markets, highlighting the need to understand economic cycles for effective investment strategies [1][3]. Group 1: ETF Strategy - ETFs serve as a conductor's score, allowing ordinary investors to participate in industry rotations [1]. - A suggested ETF allocation strategy includes 50% in broad-based ETFs, 30% in sector-specific ETFs, and 20% for opportunistic investments [1]. - The "seasonal rotation model" recommends adjusting ETF allocations quarterly based on economic indicators and seasonal trends [3]. Group 2: Risk Management - Industry ETFs typically exhibit 1.5-2 times the volatility of broad indices, necessitating dynamic stop-loss strategies [3]. - The negative correlation between Hong Kong financial ETFs and U.S. regional bank ETFs can help smooth out volatility in a portfolio [3]. - Caution is advised regarding "pseudo-liquidity" traps in niche ETFs with low daily trading volumes, which may lead to price pressure during urgent sell-offs [3]. Group 3: Data-Driven Insights - Monitoring fund inflow intensity, relative strength indicators (RSI), and valuation percentiles can enhance the timing of ETF switches [5]. - Current indicators suggest that the Hong Kong medical ETF's PEG ratio is below its ten-year average, while institutional holdings in U.S. cloud computing ETFs are rising [5]. - The article stresses that superior returns come from a deep understanding of industry changes and efficient use of tools, distinguishing professional institutions from retail investors [5].

广发证券资深金工分析师 张钰东 SAC: S0260522070006 SAC: S0260517080003 chenyuanwen@gf.com.cn 广发金工安宁宁陈原文团队 摘要 ETF市场概况： 指数化投资理念愈发受到投资者认可，ETF产品凭借透明、低费率、交易便捷等优势，成为居民资产配置的重要工具，ETF 规模持续创新高，ETF资金流变动逐渐成为市场中的关注重点。 ETF交易机制特点： ETF具有独特的双层交易机制，即一级市场的申购赎回和二级市场的买卖交易，一级申赎指用一篮子股票换取ETF份 额，申赎会直接增减ETF的总份额。本报告旨在针对申赎导致的ETF资金流数据，探索用于ETF轮动的配置效果。 zhangyudong@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发证券 资深金工分析师 陈原文 风险提示： 本专题报告所述模型用量化方法通过历史数据统计、建模和测算完成，所得结论与规律在市场政策、环境变化时可能存在失效风 险；策略在市场结构及交易行为的改变时有可能存在策略失效风险；因量化模型不同，本报告提出的 ...

Core Viewpoint - The article emphasizes the growing recognition of index-based investment strategies among investors, highlighting the advantages of ETFs such as transparency, low fees, and ease of trading, which have made them an important tool for asset allocation [4][5]. ETF Market Overview - As of April 2025, the number of ETFs listed on domestic exchanges reached 1,141, with a total market capitalization of 4.04 trillion yuan, marking a significant increase from 3.73 trillion yuan at the end of 2024 [5]. - The unique dual trading mechanism of ETFs includes primary market creation and redemption, and secondary market trading, which allows for the exchange of a basket of stocks for ETF shares [5][9]. ETF Trading Mechanism - The primary market involves physical creation and redemption, where a basket of stocks is exchanged for ETF shares, typically suited for institutional investors due to high minimum thresholds [10]. - The secondary market allows for real-time trading of ETFs like stocks, with prices determined by market supply and demand, making it accessible for retail investors [11]. ETF Fund Flow Analysis - The report constructs factors based on fund flow data from ETF creation and redemption, focusing on three dimensions: individual ETFs, tracking indices, and specific constituent stocks [26][29]. - Backtesting results indicate that factors related to ETF fund flows generally exhibit a reversal characteristic, with higher fund inflows leading to poorer subsequent market performance [39]. Performance Metrics - A long-only equal-weighted portfolio of five ETFs based on the stock flow factor achieved an annualized return of 10.2%, significantly outperforming the equity mixed fund index [3][39]. - The analysis shows that monthly rebalancing yields better results compared to weekly rebalancing, with specific factors demonstrating higher information coefficients (IC) [39][40]. Optimized Factor Construction - In 2024, significant inflows into broad-based ETFs were noted, leading to an attempt to exclude these from the analysis, resulting in improved performance metrics for the constructed factors [3]. - The annualized return for the optimized portfolio, excluding broad-based ETFs, reached 15.3%, outperforming the equity mixed fund index by 12.3% during the same period [3]. ETF Market Structure - The total scale of equity ETFs grew from approximately 200 billion yuan in 2014 to 3.47 trillion yuan by April 2025, with broad-based ETFs accounting for about 64% of the total market [17][20]. - The inflow patterns differ significantly among various types of ETFs, with industry-themed ETFs seeing substantial inflows in 2020 and 2021, while broad-based ETFs experienced notable inflows in 2023 [23].