Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The Industrial and Commercial Bank of China (ICBC) Credit Suisse Active Quantitative Team has an adequate number of personnel and diverse research directions, with the "ARC" investment navigation system at its core, enabling it to actively seize certain investment opportunities [1][8][14]. - The team's investment framework features a forward - looking perspective and diverse strategies, including multi - factor and SmartBeta strategies, which are characterized by "forward - looking perspectives" and "diverse methods" [1][19]. - The team manages a wide range of products across different quantitative tracks, each with distinct features, aiming to provide investors with specialized solutions and generate excess returns in different tracks [38]. Summary According to the Table of Contents 1. ICBC Active Quantitative Team - Forward - looking Perspective + Diverse Coverage, Actively Seize Certain Investment Opportunities 1.1 Team Overview: Adequate Personnel, Diverse Research Directions, Centered on the "ARC" Concept - The ICBC Credit Suisse Fund Index and Quantitative Investment Department has 15 research and investment personnel, including 8 investment and 7 research staff, led by Mr. Jiao Wenlong. The team members are clearly divided in their responsibilities, covering multiple areas in passive and active quantitative fields [8]. - The core members of the team, such as Jiao Wenlong, He Shun, Zhang Letao, and Liu Zihao, have rich experience in securities and investment management, with different research focuses [9]. - The team's investment philosophy is based on the "ARC" investment navigation system, where A stands for Active, R for Reversion, and C for Certainty, which can maximize its effectiveness given the sufficient personnel and diverse research directions [14]. 1.2 Active Quantitative Investment Framework: Forward - looking Perspective, Diverse Strategy Methods - The team's fund managers adopt various investment methods, including multi - factor and SmartBeta strategies, with "forward - looking perspectives" and "diverse methods" as prominent features [19]. - In the multi - factor investment framework, factors are constructed using both manual and algorithmic mining methods, which are then combined to enhance efficiency. A domain - learning model system is also used to improve factor combination efficiency [20][23][25]. - In SmartBeta product investment, there are four decision - making steps: strategy definition, multi - factor stock selection, fundamental confirmation, and deep - learning - assisted trading [30]. 1.3 Active Quantitative Product Line: Comprehensive Categories, Diverse Product Types - The team manages 11 active products across multiple quantitative tracks, such as SmartBeta enhancement, fixed - income plus, broad - based index enhancement, and long - short strategies, each with distinct features [38]. - The diverse product positioning can meet different investment needs of investors and generate excess returns in different tracks by integrating various quantitative strategies [40]. 2. Analysis of Investment Characteristics of Representative Products of ICBC Active Quantitative 2.1 ICBC Juxiang: Quantitative Strategy Fixed - income Plus Product - Since February 2024, ICBC Juxiang has significantly outperformed its performance benchmark, achieving a return of over 23.4% from 2024 to May 31, 2025 [43]. - The product is positioned as a high - position fixed - income plus product, mainly investing in small - cap stocks in the equity segment, with a moderate turnover rate and low concentration [45][50]. - The product's industry allocation has remained stable and diversified since H2 2023, with no significant industry rotation [54]. 2.2 ICBC Credit Suisse CSI 1000 Index Enhancement: Trading Turnover Contributes Significant Excess Returns - Since He Shun took over the product on May 15, 2024, it has achieved significant excess returns over the CSI 1000 index, with an excess return of over 12.6% as of May 31, 2025 [56]. - The product's excess returns mainly come from stock turnover, with a high turnover rate of over 8 times in H2 2024. It moderately invests in micro - cap stocks [60][63]. - The product has moderate industry deviations and makes small adjustments in industry allocation between periods, with relatively mild style factor exposures that also have small adjustments [67][68]. 2.3 ICBC New Value: Quality Dividend SmartBeta Enhancement - Since 2024, ICBC New Value has outperformed its performance benchmark, with strong performance stability [72]. - The product adopts a low - turnover and moderately diversified investment style, with a preference for large - cap stocks and moderate industry adjustments [73][76]. - The product's excess returns mainly come from stock selection, with diverse sources of absolute returns and strong relative return - capturing ability in the cycle and advanced manufacturing sectors [81][85].

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core Views - Currently, Hong Kong stock ETFs can be classified into four categories: broad - based, industry, theme, and SmartBeta. There is an obvious concentrated layout among large - scale Hong Kong stock ETFs, and the 20 largest Hong Kong stock ETFs generally have the characteristics of technology industry ETFs. Some ETFs in the Hong Kong stock market are eligible securities for the Hong Kong Stock Connect and can be purchased by investors through the Hong Kong Stock Connect. The T + 0 trading and T + 0 subscription confirmation mode under RTGS make it easier to seize short - term trading opportunities [4]. - Each type of Hong Kong stock ETF has its own characteristics and configuration value. For example, broad - based ETFs have a first - mover advantage in layout scale and have misaligned consumption attributes; technology ETFs show high - elasticity characteristics in 2020 and have unique layout opportunities; pharmaceutical ETFs have core differences in concentration, industry structure, and unique Hong Kong stocks; consumer ETFs have significant differences within the consumer - related indices; financial and real - estate ETFs show low - drawdown value characteristics; SmartBeta ETFs can achieve positive returns in 2021 and 2023; theme ETFs track indices with central state - owned enterprise and new - economy attributes and show outstanding returns at different times [4]. Group 3: Summary by Directory I. Hong Kong Stock ETF: Starting from the Cross - market ETF Period and Developing Rapidly after the Full Opening of the Hong Kong Stock Connect 1.1 The Starting and Development of Hong Kong Stock ETFs - Hong Kong stock ETFs started in 2012 when cross - market ETFs represented by the CSI 300 ETF emerged. The Huaxia Hang Seng ETF and E Fund Hang Seng H - Share ETF were established on the same day, using the QDII channel to invest in Hong Kong stocks. - Hong Kong stock ETFs showed phased development characteristics. After the pilot of the Hong Kong Stock Connect in 2014, some ETF products based on the Hong Kong Stock Connect channel appeared but developed slowly until 2020. In the first quarter of 2021, with a significant net inflow of Hong Kong Stock Connect funds, new products and types of Hong Kong stock ETFs gradually increased, and the industry - type and SmartBeta - type Hong Kong stock ETF products expanded rapidly [8]. 1.2 Current Classification and Layout of Hong Kong Stock ETFs - Hong Kong stock ETFs can be classified into four categories: broad - based, industry, theme, and SmartBeta. Among them, technology - related industry ETFs have a prominent scale share. For example, the total scale of technology - related industry ETFs is 1477.28 billion yuan, with the Hang Seng Technology Index having a tracking scale of 790.17 billion yuan [9]. - Broad - based indices are relatively wide, and the Hang Seng Index and the Hong Kong Stock Connect 50 have the highest tracking scales, with relatively low numbers of constituent stocks. Industry - type funds cover various sectors except for the cyclical sector, and technology - type funds have the highest scale share. Theme - type funds are mainly composed of central state - owned enterprise and new - economy themes, and SmartBeta products are all high - dividend products [10]. 1.3 Large - scale Hong Kong Stock ETFs - There is an obvious concentrated layout among large - scale Hong Kong stock ETFs. Among the 20 largest Hong Kong stock ETFs, 15 track technology - related indices, and some high - dividend products also have relatively high scales [11]. 1.4 Hong Kong Stock ETFs Eligible for Purchase through the Hong Kong Stock Connect - In addition to ETFs in the A - share market, some ETFs listed in the Hong Kong market are eligible securities for the Hong Kong Stock Connect. Currently, 16 Hong Kong stock ETFs are included in the Hong Kong Stock Connect list, with categories generally overlapping with those of mainland ETFs. The Huaxia Hang Seng ESG is relatively unique as it tracks the ESG theme [12]. 1.5 Trading Mechanism Differences of Hong Kong Stock ETFs - Cross - border ETFs can implement same - day reversal trading (T + 0). There is no obvious difference in trading mechanisms between investing in Hong Kong stock ETFs in the A - share market and buying Hong Kong - listed ETFs through the Hong Kong Stock Connect, but differences in settlement times between the two markets can affect actual investment returns [15]. 1.6 Subscription and Redemption Differences of Hong Kong Stock ETFs - As cross - market ETFs, Hong Kong stock ETFs must use full cash substitution for subscription and redemption. Some Hong Kong stock ETFs can achieve T + 0 subscription through RTGS. When investors' accounts have sufficient funds and brokers confirm orders in real - time, fund share settlement is carried out in real - time, allowing investors to sell or redeem on the same day (T + 0). Otherwise, the settlement will be carried out at the end of the day, enabling fund share trading on T + 1 [18]. II. Detailed Explanation of Hong Kong Stock ETF Types: Analysis of Compilation Methods and Configuration Values 2.2 Overview of Hong Kong Stock Broad - based ETFs - Hong Kong stock broad - based ETFs have small performance differences and similar industry structures. They generally experienced significant declines from 2021 - 2023 and prominent increases from 2024 - 2025. The top ten constituent stocks have a high concentration, focusing on industries such as banking, non - banking finance, media, and retail [22][23]. - The compilation methods of Hong Kong stock broad - based ETFs have small differences, mainly using Hong Kong Stock Connect stocks as the sample pool and average daily total market value as the screening basis. The Hang Seng Index is the most recognized index [24]. - Compared with mainland broad - based indices, Hong Kong stock broad - based ETFs generally allocate more in industries such as "media", "commercial retail", and "social services", with misaligned consumption attributes. The allocation of industries such as social services, media, and banking is an important layout opportunity for Hong Kong stock broad - based ETFs, with significant contribution to returns [27][29]. 2.3 Overview of Hong Kong Stock Technology ETFs - Hong Kong stock technology ETFs showed highly prominent elasticity in 2020, and only a few indices have outperformed the Hang Seng Index since this year. The top ten constituent stocks have a high concentration, focusing on industries such as electronics, media, and commercial retail [33][35]. - Hong Kong stock technology - related indices generally add fundamental requirements to the technology attribute, only screening technology stocks with strong R & D investment or strong revenue growth. These indices have highly similar heavy - weight stocks, and most of these stocks do not have corresponding stocks in the A - share market, presenting unique layout opportunities [38][39]. - Hong Kong stock technology - related indices generally perform well during the downward phase of US Treasury yields, benefiting from the improvement of the international trade environment [43]. 2.4 Overview of Hong Kong Stock Pharmaceutical ETFs - Hong Kong stock pharmaceutical ETFs have been the most prominent group of Hong Kong stock ETFs this year. Although their previous performance was not outstanding, they have achieved significant increases in 2025, far exceeding other comparable Hong Kong stock indices. The top ten constituent stocks have a high concentration, mainly investing in pharmaceutical - biological stocks [44][45]. - Innovation - drug indices are superior in both theme market and medium - to - long - term performance, mainly due to the screening of business. The differences in concentration and industry structure are the core reasons for the performance differences among indices. Compared with domestic indices, Hong Kong Stock Connect pharmaceutical indices showed stronger performance during historical theme periods, and there is an arbitrage space in valuation [46][52]. 2.5 Overview of Hong Kong Stock Consumer ETFs and Automobile ETFs - The performance of consumer sub - indices varies greatly. The Hong Kong Stock Connect Consumer Index has stronger elasticity characteristics, with more excess returns compared to the Hang Seng Consumer Index in 2020, 2024, and 2025. The Hang Seng Consumer Index has relatively weak elasticity. The top ten constituent stocks have a high concentration, and there are significant differences in industry structure [54][55]. - The core difference among consumer - related indices lies in the industry screening logic. The Hang Seng Consumer Index focuses on traditional consumption, the CSI Hong Kong Stock Connect Consumer Theme Index includes media and other technology - related industries, and the Hong Kong Stock Connect Automobile Index focuses on the automobile industry [56]. - The Hang Seng Consumer Index has a high correlation with the mainland consumer index, while the Hong Kong Stock Connect Consumer Index is similar to the Hang Seng Technology Index, showing high - elasticity and high - volatility characteristics. There are valuation - regression layout opportunities for the Hong Kong Stock Connect Consumer Index [61][62]. 2.6 Overview of Hong Kong Stock Financial and Real - Estate ETFs - Financial and real - estate ETFs had outstanding performance in 2024 and showed low - drawdown value attributes in the early stage. Compared with other industry - theme funds, financial and real - estate indices generally had lower declines from 2021 - 2023. Currently, these ETFs mainly focus on financial industries such as banking, non - banking, and securities, with little involvement in real estate. The top ten constituent stocks have a high concentration [65][68]. - The differences among financial and real - estate indices mainly lie in the industry scope and liquidity restrictions [69].

ETF Industry News - The three major indices collectively rose, with the Shanghai Composite Index increasing by 0.38%, the Shenzhen Component Index by 0.77%, and the ChiNext Index by 0.77. Multiple innovative drug ETFs saw gains exceeding 2%, including the Innovative Drug Shanghai-Hong Kong ETF (517110.SH) which rose by 3.11% [1][3] - The market is transitioning from performance focus to industry and company fundamentals as it enters a performance vacuum period starting in May. The innovative drug sector is expected to be a key investment theme through 2025, driven by significant R&D progress [1][2] Fund Issuance and Market Trends - The issuance of equity funds is accelerating, with 14 new index products expected to launch this week. Approximately 70% of the new products are equity-related, with an average subscription period of 12.56 days [2] - This week, 16 equity products include stock, mixed, and fund of funds (FOF) products, with a focus on index or enhanced index funds [2] Market Performance Overview - The overall performance of ETFs shows that cross-border ETFs had the best average return at 1.61%, while commodity ETFs had the worst at -0.22% [8] - The top-performing ETFs in the stock category included the Innovative Drug Shanghai-Hong Kong ETF (517110.SH) with a return of 3.11%, followed by the Innovative Drug Hong Kong-Shanghai ETF (517380.SH) at 2.60% and the Huatai-PB Innovative Drug ETF (517120.SH) at 2.55% [10][11] Sector Performance - In the sector performance analysis, beauty care, comprehensive, and media sectors ranked highest with daily increases of 2.5%, 2.12%, and 1.98%, respectively. Conversely, defense, coal, and steel sectors lagged behind with declines [5] - Over the past five trading days, the comprehensive, beauty care, and retail sectors showed strong performance, while defense, computer, and electronics sectors experienced declines [5] ETF Trading Activity - The top three ETFs by trading volume included the A500 ETF (512050.SH) with a trading volume of 3.114 billion, the A500 Index ETF (159351.SH) at 2.393 billion, and the CSI 300 ETF (510300.SH) at 2.199 billion [13][14]

Report Industry Investment Rating No relevant content provided. Core View of the Report The report focuses on Dongzheng Ronghui's fund manager Wei Jiang, who has rich quantitative investment research experience and manages the Dongzheng Ronghui Growth Preferred Fund. The fund uses a multi - dimensional quantitative approach to select stocks and enhance returns, achieving excellent performance in terms of return - risk characteristics and investment style, and has the potential to capture long - term growth and alpha returns [1][6]. Summary by Directory 1. Dongzheng Ronghui Wei Jiang: Three - Dimensional Quantitative Stock Selection Enhancement for Growth + Alpha in the Long Run - **1.1 Fund Manager's Basic Information: A Veteran with Over 7 Years of Quantitative Investment Experience** - Wei Jiang, a master of financial engineering from Shanghai University of Finance and Economics, has 9 years of quantitative investment research experience, including 7 years of quantitative investment experience. He currently manages the Dongzheng Ronghui Growth Preferred Fund with a total managed scale of 160 million yuan. Since taking over the product, the cumulative return is 21.36%, the annualized return is 5.98%, and the maximum drawdown is - 31.34%, outperforming the CSI 1000 Index [1][6]. - **1.2 Fund Manager's Investment Framework: Multi - Dimensional Quantification to Create a SmartBeta Product Focused on Growth Alpha** - The Dongzheng Ronghui Growth Preferred is an index - enhanced product benchmarked against the CSI 1000. Based on the SmartBeta strategy, it focuses on the growth of companies, selects high - growth potential and high - quality stocks, and conducts quantitative stock selection and enhancement from long - term, medium - term, and short - term dimensions [10][11]. 2. Return - Risk Characteristics: A Rare Quantitative Fund with Four - Year Outstanding Performance, Outstanding in High - Growth Elasticity Periods - **2.1 Basic Return - Risk Characteristics: A Rare Quantitative Fund with Four - Year Outstanding Performance** - Among active equity products, only 25 products have maintained performance in the top 20% of their peers for four consecutive years, and there are only 2 quantitative fund managers achieving long - term excellent performance, including Wei Jiang [13]. - **2.2 Fund's Environmental Adaptability: Balancing Growth Elasticity and Alpha Enhancement Effect** - In periods when growth significantly dominates, the performance of Dongzheng Ronghui Growth Preferred is generally in the top 10% of active equity funds. In periods when growth is generally at a disadvantage, its performance can also be in the top 25% of active equity funds [16]. - **2.3 Profitability: Outstanding in Holding Excess Return and Winning Rate Compared to the CSI 1000 Index** - As the holding period lengthens, the winning rate and excess return of Dongzheng Ronghui Growth Preferred compared to the CSI 1000 Index increase. After holding for three consecutive years, the winning rate reaches 100%, with an average holding - period return of 26.48% and a holding - period excess return of 39.20% [23]. 3. Investment Style: Industry Rotation + High - Frequency Stock Selection Enhancement, Achieving Growth + Alpha with Attention to Industry Deviation - **3.1 Asset Allocation: Downplaying Position Allocation and Seeking Alpha with High Positions** - Dongzheng Ronghui Growth Preferred maintains a long - term stable position, with an average stock position of 89.71%, and allocates cash and bonds as liquidity assets [24]. - **3.2 Industry Allocation Characteristics: Dynamic Industry Rotation and Emphasis on Deviation** - The fund has a dynamic industry rotation characteristic. Except for a relatively stable allocation in the advanced manufacturing sector, it conducts moderate rotation in other industries. It also emphasizes industry deviation and can obtain long - term excess returns through industry under - over - allocation and rotation [28][37]. - **3.3 Stock - Holding Characteristics and Investment Style: High - Frequency Trading, Focus on Small - Cap Stocks, and Outstanding Stock - Selection Excess Contribution** - The fund has a highly diversified stock - holding structure with a high annual turnover rate. Its top ten heavy - holding stocks change frequently but can create long - term excess returns compared to the CSI 1000. It mainly focuses on small - and medium - cap stocks, with a long - term high proportion of small - cap stocks [40][46][52]. - **3.4 Expertise in Industry Analysis: Relatively Balanced Industry Distribution, Jointly Providing Absolute/Relative Returns for the Fund** - Industries such as power equipment, communication, and basic chemicals can contribute both high absolute and relative returns, providing stable excess returns in the long run [57].