1. Report Industry Investment Rating - No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - The report tracks the daily frequency data of various ETFs, including information such as tracking index, fund name, trading code, market capitalization, RSI, net subscription, trading volume, management fee rate, institutional holding ratio, and T+0 trading availability. It is divided into two sub - tables: "Broad - based" and "Thematic" according to the type of tracked index [2][4]. 3. Summary by Related Content Data Explanation - The report tracks daily frequency data of ETFs and is divided into "Broad - based" and "Thematic" sub - tables. The "Broad - based" ETFs track mainstream broad - based indices like CSI 300, CSI 500, etc., while "Thematic" ETFs track industry/style indices such as non - bank, dividend, and China concept Internet [2]. - The fund pool is constructed by selecting one or several large - scale ETF funds in each type for analysis [2]. - The RSI calculation formula is RSI = 100 – 100 / (1 + RS), where RSI is the ratio of average gain to average loss over a certain period (12 days). RSI>70 indicates an over - bought market, and RSI<30 indicates an over - sold market [2]. - The net subscription amount is calculated as NETBUY(T) = NAV(T)–NAV(T - 1)*(1 + R(T)), where NAV(T - 1) is the previous trading day's ETF net value [2]. - The institutional holding ratio is the estimated ratio from the latest annual or semi - annual reports of ETF funds, excluding the holding ratio of corresponding linked funds, and the data may have deviations [3]. ETF Data Summary Broad - based ETFs - For CSI 300 ETFs, the largest in terms of market capitalization is Huatai - PineBridge CSI 300 ETF with a market capitalization of 41.4422 billion yuan, and it had a net subscription of - 18.92 billion yuan [4]. - Among CSI 500 ETFs, Southern CSI 500 ETF has the largest market capitalization of 13.4009 billion yuan, with a net subscription of - 5.52 billion yuan [4]. - For SSE 50 ETFs, Huaxia SSE 50 ETF has a market capitalization of 17.7023 billion yuan and a net subscription of - 4.51 billion yuan [4]. - In the case of CSI 1000 ETFs, Southern CSI 1000 ETF has a market capitalization of 7.3848 billion yuan and a net subscription of 1.70 billion yuan [4]. - For Science and Technology Innovation Board 50 ETFs, Huaxia SSE Science and Technology Innovation Board 50 ETF has a market capitalization of 7.1317 billion yuan and a net subscription of - 0.30 billion yuan [4]. Thematic ETFs - In the consumer electronics sector, Huaxia China Securities Consumer Electronics Theme ETF has a market capitalization of 443.3 million yuan and a net subscription of - 1.00 billion yuan [6]. - For non - bank financial sector ETFs, Guotai CSI All - Index Securities Company ETF has a market capitalization of 5.3151 billion yuan and a net subscription of - 3.94 billion yuan [6]. - In the banking sector, Huabao CSI Bank ETF has a market capitalization of 1.4151 billion yuan and a net subscription of 4.26 billion yuan [6]. - For dividend - themed ETFs, Huatai - PineBridge SSE Dividend ETF has a market capitalization of 1.9554 billion yuan and a net subscription of 2.56 billion yuan [6]. - In the new energy sector, GF China Securities New Energy Vehicle Battery ETF has a market capitalization of 1.2109 billion yuan and a net subscription of 2.77 billion yuan [6]. - For chip semiconductor ETFs, Huaxia China Securities Semiconductor Chip ETF has a market capitalization of 2.6115 billion yuan and a net subscription of - 6.92 billion yuan [6].

Quantitative Models and Construction Methods 1. Model Name: RSI (Relative Strength Index) - **Model Construction Idea**: RSI is used to measure the relative strength of price movements over a specific period, identifying overbought or oversold market conditions[2] - **Model Construction Process**: The RSI is calculated using the formula: $ RSI = 100 - \frac{100}{1 + RS} $ Where: - $ RS = \frac{\text{Average Gain over N periods}}{\text{Average Loss over N periods}} $ In this report, the RSI is calculated over a 12-day period. - RSI > 70 indicates an overbought market - RSI < 30 indicates an oversold market[2] - **Model Evaluation**: RSI is a widely used technical indicator for short-term market trend analysis, providing actionable insights for traders[2] 2. Model Name: Net Purchase (Net Subscription) - **Model Construction Idea**: This model calculates the net subscription amount of ETFs to track fund inflows and outflows[2] - **Model Construction Process**: The formula for Net Purchase is: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ Where: - $ NETBUY(T) $ is the net subscription amount on day T - $ NAV(T) $ is the net asset value on day T - $ R(T) $ is the return on day T[2] - **Model Evaluation**: This metric is useful for understanding investor sentiment and fund flow dynamics in the ETF market[2] --- Model Backtesting Results RSI Model - RSI values for various ETFs: - Huatai-PineBridge CSI 300 ETF: 67.83[4] - E Fund CSI 300 ETF: 73.55[4] - ChinaAMC CSI 300 ETF: 57.08[4] - Bosera CSI 500 ETF: 69.93[4] - E Fund CSI 500 ETF: 71.67[4] - E Fund SSE STAR 50 ETF: 55.07[4] Net Purchase Model - Net Purchase values for various ETFs: - Huatai-PineBridge CSI 300 ETF: -7.83 billion[4] - E Fund CSI 300 ETF: -0.03 billion[4] - ChinaAMC CSI 300 ETF: -26.34 billion[4] - Bosera CSI 500 ETF: -1.45 billion[4] - E Fund CSI 500 ETF: -0.45 billion[4] - E Fund SSE STAR 50 ETF: 1.64 billion[4] --- Quantitative Factors and Construction Methods 1. Factor Name: Institutional Holding Ratio - **Factor Construction Idea**: This factor measures the proportion of ETF holdings owned by institutional investors, reflecting institutional confidence and participation[3] - **Factor Construction Process**: The institutional holding ratio is derived from the latest annual or semi-annual reports of ETFs, excluding holdings by linked funds. The data is estimated and may have deviations due to reporting delays[3] - **Factor Evaluation**: This factor provides insights into institutional investor behavior, which is often considered a signal of market confidence[3] --- Factor Backtesting Results Institutional Holding Ratio - Institutional holding ratios for various ETFs: - Huatai-PineBridge CSI 300 ETF: 83.06%[4] - E Fund CSI 300 ETF: 88.03%[4] - ChinaAMC CSI 300 ETF: 91.03%[4] - Bosera CSI 500 ETF: 77.51%[4] - E Fund CSI 500 ETF: 78.89%[4] - E Fund SSE STAR 50 ETF: 43.66%[4]

Quantitative Factors and Construction Methods 1. Factor Name: RSI (Relative Strength Index) - **Factor Construction Idea**: RSI measures the relative strength of price movements over a specific period to identify overbought or oversold market conditions[2] - **Factor Construction Process**: - The formula for RSI is: $ RSI = 100 - \frac{100}{1 + RS} $ where $ RS $ is the ratio of the average gain to the average loss over a 12-day period[2] - RSI > 70 indicates an overbought market, while RSI < 30 indicates an oversold market[2] - **Factor Evaluation**: RSI is a widely used technical indicator for short-term market sentiment analysis[2] 2. Factor Name: Net Subscription (NETBUY) - **Factor Construction Idea**: This factor calculates the net subscription amount of ETFs to gauge investor demand[2] - **Factor Construction Process**: - The formula for NETBUY is: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ where $ NAV(T) $ is the net asset value on day T, $ NAV(T-1) $ is the net asset value on the previous day, and $ R(T) $ is the return on day T[2] - **Factor Evaluation**: This factor provides insights into the capital flow dynamics of ETFs, reflecting investor sentiment and market positioning[2] --- Factor Backtesting Results 1. RSI Factor - **HS300 ETFs**: RSI values range from 60.24 to 70.30, with most ETFs hovering around the overbought threshold of 70[4] - **CSI500 ETFs**: RSI values range from 66.04 to 66.37, indicating moderate strength[4] - **CSI800 ETFs**: RSI values range from 69.54 to 71.77, with some ETFs entering overbought territory[4] - **CSI1000 ETFs**: RSI values range from 63.76 to 64.97, suggesting neutral to slightly strong market conditions[4] - **Thematic ETFs**: RSI values vary significantly, with some themes like "New Energy" reaching as high as 74.71, while others like "Semiconductors" remain around 50[6] 2. Net Subscription Factor - **HS300 ETFs**: Net subscription values range from -6.69 billion to 1.51 billion, indicating mixed investor sentiment[4] - **CSI500 ETFs**: Net subscription values range from -2.65 billion to 0.54 billion, reflecting weak demand[4] - **CSI800 ETFs**: Net subscription values range from 0.00 billion to 0.45 billion, showing stable capital flows[4] - **CSI1000 ETFs**: Net subscription values range from -2.69 billion to 0.55 billion, indicating varied investor interest[4] - **Thematic ETFs**: Net subscription values vary widely, with some themes like "Semiconductors" showing strong inflows (up to 6.28 billion), while others like "Consumer Electronics" exhibit moderate inflows (up to 1.15 billion)[6]