Global and A-share Market Overview - The A-share market showed mixed performance last week, with the Sci-Tech 50 Index experiencing the highest increase of 6.47% [1] - The Hong Kong stock market saw a decline, with the Hang Seng Index dropping by 1.57% [1] - The leading ETFs tracked indices primarily from the semiconductor industry [1] ETF New Issuance Statistics - A total of 9 stock ETFs were reported in the A-share market last week, with 17 new stock ETFs established [2][3] - In the US market, 12 equity ETFs were newly established, of which 11 were actively managed ETFs [2][3] Fund Flow in A-share Market - The top 10 ETFs with net inflows were dominated by the CSI A500 ETF, which saw a net inflow exceeding 10 billion yuan [2][3] - Conversely, the top 10 ETFs with net outflows included the CSI 300 ETF, indicating a shift in investor sentiment [2][3] - In the industry sector, the TMT sector ETFs recorded the highest net inflows, while the financial technology ETF led in the thematic category [2][3] Fund Flow in US Market - The AI and big data-themed ETFs in the US market experienced the highest net inflows, while multi-tech themed ETFs saw net outflows [3] - The total net inflow for ETFs investing in A-shares and Hong Kong stocks amounted to 1.95 million USD [3] ETF Strategy Performance - The diffusion index + RRG ETF rotation strategy yielded a return of 1.59%, outperforming the CSI Equal Weight and CSI 300 indices by 2.34% and 0.52% respectively [4] - The 50% base + intraday momentum strategy showed varying performance across different ETFs, with returns of 0.18%, 0.44%, 0.43%, and -0.46% for the SSE 50 ETF, CSI 300 ETF, CSI 500 ETF, and CSI 1000 ETF respectively [4]

Group 1: ETF Market Overview - As of September 12, 2025, there are 1,292 ETFs in the Shanghai and Shenzhen markets, with a total asset management scale of 52,387.73 billion [2] - The breakdown of ETFs includes 1,029 stock ETFs (35,315.17 billion), 39 bond ETFs (5,718.88 billion), 27 money market ETFs (1,564.76 billion), 17 commodity ETFs (1,611.53 billion), 173 cross-border ETFs (8,120.58 billion), and 6 unlisted ETFs (52.32 billion) [2] - In the week from September 8 to September 12, 2025, four new stock ETFs were launched, including two fintech-themed ETFs, with a total issuance scale of 5.682 billion [3][4] Group 2: ETF Performance Analysis - The median weekly return for stock ETFs was 1.97%, with the best-performing ETF being the China United Asset Management's Sci-Tech Chip Design ETF, which rose by 10.14% [3][4] - Conversely, the worst performer was the Guotai Junan Sci-Tech Innovation Drug ETF, which fell by 3.12% [4] - The average share change for stock ETFs was an increase of 6.6576 million shares, with the chemical ETF seeing the largest increase of 2.968 billion shares [4] Group 3: PB-ROE Framework and ETF Rotation Strategy - The PB-ROE framework categorizes industries into six quadrants, focusing on high PB and high ROE industries in the third quadrant and low PB and medium ROE industries in the fifth quadrant [5] - Backtesting from 2017 to February 2024 shows that only the third and fifth quadrants achieved excess returns, with annualized excess returns of 4.27% and 1.55%, respectively [5] - The combined PB-ROE rotation strategy yielded an annualized return of 11.93% and an annualized excess return of 13.22% [6] Group 4: Investment Recommendations - The report recommends focusing on the automotive, transportation, and public utilities sectors, corresponding to their respective industry ETFs [8]

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].

Core Viewpoint - The current stock market rally is expected to last for over four years starting from September 2024, with Hong Kong stocks becoming a key breakthrough point and serving as a "value anchor" for Chinese assets [2][3]. Market Outlook - The A-share market has experienced approximately four years of decline since 2021, with a potential bottoming out by September 2024. Historical data suggests that the upcoming upward cycle could mirror the previous downturn [3]. - The influx of overseas funds and a shift in China's economic expectations, alongside the Federal Reserve's interest rate cuts, are anticipated to drive capital into the Chinese stock market, transforming it into a new "water reservoir" for funds [3][4]. Investment Focus - The investment strategy will concentrate on sectors such as military industry, innovative pharmaceuticals, and financial technology, utilizing an ETF rotation strategy for timing and mainline allocation [2][5]. - The military industry is undergoing significant changes, with increased asset securitization and a shift towards performance-driven investment logic [5][6]. Sector Analysis - 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. The sector has seen a surge in external authorization transactions, indicating strong growth potential [6]. - The financial technology sector is also viewed positively, with many Hong Kong brokerage firms trading below a price-to-book ratio of 1, suggesting potential for value reassessment as digital assets and cross-border payments gain traction [6]. Investment Strategy - The ETF rotation strategy emphasizes strong timing and position management, with adjustments made based on a five-dimensional timing model that includes macroeconomic, liquidity, sentiment, technical, and overseas indicators [7][8]. - The strategy is divided into four sub-strategies: macro-driven, thematic investment, event-driven, and selective stock picking, each with distinct holding periods and risk management approaches [8].

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].