Group 1 - The market is entering a new and more vibrant phase, with the Shanghai Composite Index approaching 4000 points, indicating a potential for a sustained upward trend, contingent on solid economic fundamentals and improved corporate earnings [2] - Huabao Fund has launched three major broad-based ETFs tracking the CSI A50, A100, and A500 indices, providing investors with diverse options to invest in China's market [2] - The A50 ETF focuses on the top 50 leading companies, while the A100 ETF encompasses the top 100 industry leaders, and the A500 ETF targets the top 500 companies in the A-share market [2] Group 2 - The total trading volume in the two markets reached 2.34 trillion yuan, an increase of 365.9 billion yuan from the previous day, indicating heightened market activity [1] - The number of stocks that rose and fell in the market was 3361, with 217 stocks increasing and 1862 stocks decreasing, reflecting a mixed market sentiment [1] - The top three industries with net capital inflow were electronics, non-ferrous metals, and another unspecified sector, with inflows of 58.69 billion yuan, 139.46 billion yuan, and 62.80 billion yuan respectively [2]

ETF Market Overview - As of October 24, the performance of ETF products varied, with the Shanghai 50 index showing the highest increase among major broad-based ETFs, while the dividend-themed ETFs had the largest gains among industry and thematic products [2][9] - In the past two weeks, major broad-based ETFs such as the CSI A50, CSI 2000, and Shanghai 50 saw net inflows, while the CSI A500 ETF experienced the largest net outflow [2][9] - The recent trend indicates a shift in fund flows, with the New Energy ETF moving from net inflow to net outflow, while the Pharmaceutical ETF transitioned from net outflow to net inflow [16] ETF Fund Flow Analysis - The cumulative fund flow for major broad-based ETFs has shown a trend of outflows turning into inflows and then back to outflows since the beginning of 2025, with significant inflows into the CSI 300 ETF in April, followed by continued outflows in subsequent months [10][12] - Recent data indicates that, apart from the Shanghai 50 ETF, which shifted from net outflow to net inflow, other major broad-based ETFs have transitioned from net inflows to net outflows in the past two weeks [10][12] Thematic ETF Tracking - For technology-themed ETFs, those tracking the Hang Seng Technology index saw significant net inflows, while products tracking the CS Artificial Intelligence index experienced net outflows [32] - Dividend-themed ETFs tracking the low-volatility dividend index had the highest net inflows, whereas those tracking the dividend index saw net outflows [35] New ETF Products and Market Growth - In the past two weeks, a total of 8 new ETFs were launched, with a combined issuance of 2.997 billion shares, all of which were stock ETFs [26] - Compared to the end of 2024, the scale of various ETFs has increased significantly, with bond ETFs, commodity ETFs, industry + dividend ETFs, QDII ETFs, and broad-based ETFs growing by 293.33%, 197.82%, 112.34%, 52.18%, and 13.97% respectively [26] Fund Management Scale Distribution - As of October 24, Huaxia Fund has the largest ETF scale at 912.812 billion, with E Fund's ETF management scale expanding by over 250 billion compared to the previous year [27][28]

Core Insights - The fifth "Mother Fund · Ba Ren Hui" conference was held in Wuhan, focusing on the new industrial pattern driven by mother funds, under the theme "Hundred Lakes Linking the Yangtze River, Capital Converging in Jiangcheng" [1][2] - The evolution of the conference themes over the years reflects the changing dynamics of the mother fund industry, transitioning from exploring future directions to adapting to state-owned capital leadership and focusing on technological innovation [2] Group 1 - The conference is organized by various governmental and financial institutions, highlighting Wuhan's strategic importance in the Yangtze River Economic Belt and its strong momentum in industrial funds and technological innovation [1][2] - The event has grown significantly, from 27 participants in its first year to 236 attendees in the fifth edition, showcasing the industry's robust development and the platform's cohesion [7] - The guest list included representatives from national mother funds, state-owned and government-guided funds, financial central enterprises, family offices, and leaders from listed companies and industrial groups, indicating a diverse and influential gathering [8] Group 2 - Wuhan's government is focused on enhancing fund scale and optimizing the investment system, aiming to create a high-level platform for industry-finance integration and a comprehensive network covering technological innovation and industrial implementation [3] - The chairman of Wutong Tree Capital emphasized the critical role of mother funds as a bridge between capital and industry, particularly in promoting the transformation of technological achievements and nurturing future industries [4] - The successful hosting of the conference is expected to inject strong momentum into Wuhan's development of a "capital + industry" dual-driven growth model, positioning it as a national center for technological innovation and industrial capital [24]

Quantitative Models and Construction - **Model Name**: Diffusion Index Model **Construction Idea**: The model monitors the future diffusion index's critical points to predict market changes[39][40] **Construction Process**: The diffusion index is calculated based on the relative price changes of constituent stocks over a specific time window. The horizontal axis represents the future price change percentage (from +10% to -10%), while the vertical axis represents the review period length (from 20 days to 10 days). For example, at a horizontal axis value of 0.95 and a vertical axis value of 15 days, the diffusion index is 0.42, indicating that if all constituent stocks drop by 5% after 5 days, the diffusion index value will be 0.42[39][41] **Evaluation**: The model is effective in identifying potential turning points in the market[40] - **Model Name**: First Threshold Method (Left-Side Trading) **Construction Idea**: This method triggers a buy signal when the diffusion index reaches a predefined threshold[43] **Construction Process**: The first threshold method triggered a buy signal on September 23, 2025, when the diffusion index reached 0.0575[43] **Evaluation**: The method is suitable for early-stage market entry[43] - **Model Name**: Delayed Threshold Method (Right-Side Trading) **Construction Idea**: This method provides a buy signal after the diffusion index stabilizes above the threshold[46] **Construction Process**: The delayed threshold method triggered a buy signal on September 25, 2025, when the diffusion index reached 0.1825[46] **Evaluation**: The method is more conservative and reduces false signals compared to the first threshold method[46] - **Model Name**: Dual Moving Average Method (Adaptive Trading) **Construction Idea**: This method uses two moving averages to generate trading signals based on their crossover[47] **Construction Process**: The dual moving average method provided a buy signal on October 13, 2025, at the market close[47] **Evaluation**: The method adapts to market trends and is effective in capturing medium-term signals[47] Model Backtesting Results - **Diffusion Index Model**: Current diffusion index value is 0.67, indicating a medium-high level. If the market rises by 4% next week, it will trigger the risk threshold[39][40] - **First Threshold Method**: Triggered buy signal at diffusion index value of 0.0575[43] - **Delayed Threshold Method**: Triggered buy signal at diffusion index value of 0.1825[46] - **Dual Moving Average Method**: Triggered buy signal on October 13, 2025[47] Quantitative Factors and Construction - **Factor Name**: Non-Liquidity Factor **Construction Idea**: Measures the illiquidity of stocks to predict their future performance[5][33] **Construction Process**: The rank IC for this factor is calculated weekly. This week, the rank IC is 0.147, compared to the historical average of 0.04[5][33] **Evaluation**: The factor shows strong predictive power this week[5][33] - **Factor Name**: Beta Factor **Construction Idea**: Captures the sensitivity of stock returns to market movements[5][33] **Construction Process**: The rank IC for this factor is 0.134 this week, compared to the historical average of 0.004[5][33] **Evaluation**: The factor demonstrates significant improvement in predictive ability this week[5][33] - **Factor Name**: Standardized Expected Earnings Factor **Construction Idea**: Reflects the expected profitability of stocks[5][33] **Construction Process**: The rank IC for this factor is 0.132 this week, compared to the historical average of 0.014[5][33] **Evaluation**: The factor is effective in identifying profitable stocks[5][33] - **Factor Name**: Single-Quarter Net Profit Growth Factor **Construction Idea**: Measures the growth rate of net profit in a single quarter[5][33] **Construction Process**: The rank IC for this factor is 0.088 this week, compared to the historical average of 0.02[5][33] **Evaluation**: The factor is moderately effective in predicting stock performance[5][33] - **Factor Name**: Single-Quarter ROE Factor **Construction Idea**: Reflects the return on equity for a single quarter[5][33] **Construction Process**: The rank IC for this factor is 0.045 this week, compared to the historical average of 0.022[5][33] **Evaluation**: The factor shows limited predictive power this week[5][33] Factor Backtesting Results - **Non-Liquidity Factor**: Rank IC 0.147, historical average 0.04[5][33] - **Beta Factor**: Rank IC 0.134, historical average 0.004[5][33] - **Standardized Expected Earnings Factor**: Rank IC 0.132, historical average 0.014[5][33] - **Single-Quarter Net Profit Growth Factor**: Rank IC 0.088, historical average 0.02[5][33] - **Single-Quarter ROE Factor**: Rank IC 0.045, historical average 0.022[5][33] Composite Strategy and Construction - **Strategy Name**: Small-Cap Low-Volatility 50 Strategy **Construction Idea**: Selects 50 stocks with small market capitalization and low volatility from micro-cap stocks[8][17][35] **Construction Process**: The strategy rebalances every two weeks. In 2024, the strategy achieved a return of 7.07% with an excess return of -2.93%. In 2025, the YTD return is 71.25%, with a weekly excess return of 2.65%. The benchmark is the Wind Micro-Cap Index (8841431.WI), and transaction costs are 0.3% on both sides[8][17][35] **Evaluation**: The strategy is highly effective in capturing the performance of small-cap stocks in 2025[8][17][35] Strategy Backtesting Results - **Small-Cap Low-Volatility 50 Strategy**: - 2024 Return: 7.07%, Excess Return: -2.93%[8][17][35] - 2025 YTD Return: 71.25%, Weekly Excess Return: 2.65%[8][17][35]

Report Summary Market Overview - On October 27, 2025, the Shanghai Composite Index rose 1.18% to 3996.94 points, the Shenzhen Component Index rose 1.51% to 13489.40 points, and the ChiNext Index rose 1.98% to 3234.45 points. The total trading volume of A-shares in the two markets was 2356.8 billion yuan. The top-performing sectors were communication (3.22%), electronics (2.96%), and comprehensive (2.68%), while the bottom-performing sectors were media (-0.95%), food and beverage (-0.20%), and real estate (-0.11%) [2][6]. Stock ETFs - The top-traded stock ETFs on this day were Huaxia SSE STAR 50 ETF, which rose 1.50% with a discount rate of 1.48%; Harvest SSE STAR Market Chip ETF, which rose 1.96% with a discount rate of 1.85%; and Huaxia CSI A500 ETF, which rose 1.28% with a discount rate of 1.33% [3][7]. Bond ETFs - The top-traded bond ETFs were Haifutong CSI Short-term Financing Bond ETF, which fell 0.00% with a discount rate of 0.00%; Cathay CSI AAA Sci-tech Innovation Corporate Bond ETF, which rose 0.02% with a discount rate of -0.03%; and Huaxia SSE Benchmark Market-making Corporate Bond ETF, which rose 0.06% with a discount rate of -0.31% [4][9]. Gold ETFs - Gold AU9999 fell 0.51% and Shanghai Gold fell 0.47%. The top-traded gold ETFs were Huaan Gold ETF, which fell 0.40% with a discount rate of -0.41%; Boshi Gold ETF, which fell 0.40% with a discount rate of -0.44%; and E Fund Gold ETF, which fell 0.46% with a discount rate of -0.44% [12]. Commodity Futures ETFs - Dacheng Non-ferrous Metals Futures ETF rose 0.72% with a discount rate of 1.30%; Jianxin Yisheng Zhengzhou Commodity Exchange Energy and Chemical Futures ETF rose 1.04% with a discount rate of 0.71%; and Huaxia Feed Soybean Meal Futures ETF rose 0.77% with a discount rate of 4.30% [15]. Cross-border ETFs - The previous trading day, the Dow Jones Industrial Average rose 1.01%, the Nasdaq rose 1.15%, the S&P 500 rose 0.79%, and the German DAX rose 0.13%. On this day, the Hang Seng Index rose 1.05% and the Hang Seng China Enterprises Index rose 1.10%. The top-traded cross-border ETFs were E Fund CSI Hong Kong Securities Investment Theme ETF, which rose 2.45% with a discount rate of 1.49%; Huatai-PineBridge Hang Seng Tech ETF, which rose 1.99% with a discount rate of 2.15%; and Huatai-PineBridge CSI KRX China-South Korea Semiconductor ETF, which rose 4.58% with a discount rate of 4.61% [18]. Money ETFs - The top-traded money ETFs were Yin Hua Ri Li ETF, Hua Bao Tian Yi ETF, and Money ETF Jian Xin Tian Yi [20].

Core Insights - The total trading volume of the SSE 50 Index ETF reached 3.323 billion yuan today, an increase of 794 million yuan from the previous trading day, representing a growth rate of 31.38% [1] Trading Performance - The Huaxia SSE 50 ETF (510050) had a trading volume of 3.043 billion yuan today, up by 873 million yuan from the previous day, with a growth rate of 40.21% [1] - The GF SSE 50 ETF (510950) recorded a trading volume of 18.1936 million yuan, an increase of 8.8147 million yuan, with a growth rate of 93.98% [1] - The Tianhong SSE 50 ETF (530000) saw a trading volume of 5.7914 million yuan, up by 3.8692 million yuan, marking a growth rate of 201.29% [1] Market Performance - As of market close, the SSE 50 Index (000016) rose by 0.78%, while the average increase of related ETFs tracking the SSE 50 Index was 0.86% [1] - The top performers included the E Fund SSE 50 Enhanced Strategy ETF (563090) and the SSE 50 ETF Dongcai (530050), which increased by 1.45% and 1.18% respectively [1] Detailed Trading Data - The trading data for various ETFs shows significant increases in trading volumes and price changes, with the Tianhong SSE 50 ETF leading in growth percentage [1]

- The report tracks the performance of long-term industry-themed fund indices, showing that TMT-themed funds had the most significant net value increase this week, with a weekly return of 7.24%[37][38][39] - Among actively managed equity funds, the median weekly return was 3.2%, with the top-performing fund being Manulife Revival Industry A (001170.OF), achieving a weekly return of 18.24%[40][41] - For stock passive index funds, the median weekly return was 3.28%, with the best-performing fund being Communication ETF (515880.SH), which recorded a weekly return of 13.88%[42][43] - The REITs comprehensive index rose by 0.25% this week, with the water infrastructure REITs index leading the gains at 3.23%[51][52][53] - ESG funds showed strong performance, with actively managed equity ESG funds achieving a median weekly return of 4.51%, and low-carbon economy-themed funds standing out with returns as high as 14.77%[84][85]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the option market data of various underlying assets on October 27, 2025, including the T - type quotes, trading volume, open interest, and implied volatility of different options. It also provides volatility trading suggestions and no - risk arbitrage analysis for different underlying assets in the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][29] 3. Summary According to the Catalog 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 729,525 lots, the open interest is 697,585 lots, the trading volume ratio of call options to put options is 1.77, and the weighted average implied volatility is 16.49% [19][21]. - **Volatility Trading**: Suggestions are to sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [22]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 4.06% at the settlement price and 0.10% at the counter - price [26][28]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options is 757,818 lots, the open interest is 610,749 lots, the trading volume ratio of call options to put options is 1.59, and the weighted average implied volatility is 17.01% [29][31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [35]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.17% at the settlement price [38]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options is 1,351,429 lots, the open interest is 655,953 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 20.42% [42][44]. - **Volatility Trading**: The same trading suggestions as above [48]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 41.2% at the settlement price and 8.83% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Science and Technology Innovation Board 50ETF options is 1,226,032 lots, the open interest is 932,708 lots, the trading volume ratio of call options to put options is 1.73, and the weighted average implied volatility is 35.69% [54][56]. - **Volatility Trading**: Follow the general volatility trading suggestions [58]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 20.9% at the settlement price and 5.46% at the counter - price [62][64]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Science and Technology Innovation Board 50ETF options is 225,924 lots, the open interest is 247,620 lots, the trading volume ratio of call options to put options is 1.72, and the weighted average implied volatility is 35.78% [65][67]. - **Volatility Trading**: Adopt the same volatility trading strategies [69]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 21.5% at the settlement price and 5.52% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options is 103,927 lots, the open interest is 115,747 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 18.79% [76][78]. - **Volatility Trading**: Use the same volatility trading suggestions as other options [81]. - **No - Risk Arbitrage**: No relevant content provided.

Market Overview - The A-share market saw a broad increase last week, with the ChiNext Index, STAR Market 50, and Shenzhen Component Index leading gains at 8.05%, 7.27%, and 4.73% respectively, while the Shanghai Composite Index, CSI 300, and CSI 1000 lagged behind with returns of 2.88%, 3.24%, and 3.25% [1] - Trading volume for major indices decreased last week, with the communication, electronics, and machinery sectors performing well, returning 11.56%, 8.11%, and 4.8% respectively, while agriculture, food and beverage, and retail sectors underperformed with returns of -1.59%, -0.81%, and -0.28% [1] - Domestic and international equity markets performed well, with the ChiNext Index, Hang Seng Index, NASDAQ, and Nikkei 225 recording significant gains of 8.05%, 3.62%, 2.31%, and 3.61% respectively, leading to a rise in equity and QDII funds by 3.75% and 1.33% respectively [1] Fund Flow - The ETF market experienced a net inflow of 132.29 billion yuan last week, with stock ETFs seeing a net outflow of 264.97 billion yuan, while commodity ETFs and bond ETFs recorded net inflows of 153.25 billion yuan and 53.75 billion yuan respectively [2] - Notable net inflows were observed in money market funds, SGE Gold 9999, and CSI Short Bond, with inflows of 137.55 billion yuan, 120.65 billion yuan, and 37.53 billion yuan respectively [4] - Conversely, the ChiNext Index, CSI 300, and CSI A500 saw net outflows of 55.28 billion yuan, 44.97 billion yuan, and 39.81 billion yuan respectively [2][8] ETF Performance - Last week, stock ETFs generally rose, with A-share TMT ETFs, growth ETFs, and dual innovation ETFs showing high returns, averaging increases of 7.55%, 7.53%, and 7.30% respectively [11] - The top-performing ETFs included various ChiNext AI ETFs and communication ETFs, which surged over 13% [12] - In contrast, several robot-themed ETFs experienced declines, with the worst performers dropping between 9.34% and 10.03% [16][18] Fund Issuance - A total of 55 funds were reported last week, an increase from the previous week, including 3 FOFs and 4 QDIIs, with notable products such as the Guangfa CSI A50 ETF and Qianhai Kaiyuan STAR Market Semiconductor Equipment Theme ETF [20] - The total issuance scale of newly launched funds reached 154.96 billion yuan, with stock funds accounting for 82.38 billion yuan, mixed funds for 53.06 billion yuan, and bond funds for 19.52 billion yuan [20] - Last week, 28 new funds were established, with passive index funds and mixed FOFs being the most common types [20] Hot News - A public fund performance benchmark rule draft is set to be released [21] - Huatai-PineBridge's Yingtai Stable 3-Month Holding FOF completed fundraising in just one day, exceeding 50 billion yuan [21] - QDII funds tracking the NASDAQ and S&P 500 indices are facing purchase limits, with over 73% of funds limiting amounts to below 10,000 yuan [21]

Core Viewpoint - The A-share innovation index ended the third quarter with a 49.02% increase, but the fourth quarter faces multiple variables, including renewed US-China trade tensions, fluctuating expectations for Federal Reserve interest rate cuts, and the approaching "accounting period" for institutions, leading experts to warn of increased risks while maintaining a "slow bull" market outlook [1][2][5]. Market Trends - Experts agree that the "slow bull" market pattern remains intact, but opportunities for easy gains are diminishing, and volatility is expected to increase significantly in the fourth quarter [2][3]. Fund Flow and Market Sentiment - Current market conditions show that retail investors have not entered the market on a large scale, and institutions remain hesitant, indicating that the core logic of the slow bull market is still valid. However, the previous trend of "buying the right sectors to make big profits" is unlikely to be replicated in the fourth quarter, with faster sector rotations expected [3][4]. Macro Perspective - From a macroeconomic perspective, the underlying factors supporting the slow bull market, such as marginal improvements in corporate profits and continued policy support for new consumption and high-end manufacturing, remain unchanged. Short-term events like trade policies and Federal Reserve interest rate changes are seen as catalysts rather than trends [4][5]. Identified Risks - Two major risks for the fourth quarter have been highlighted: 1. The "accounting period selling pressure" from absolute return funds, particularly affecting high-valuation sectors like technology and new consumption [6]. 2. Increasing divergence in Federal Reserve interest rate expectations, which could impact global asset pricing and lead to volatility in A-shares and other markets [6][8]. Investment Strategies - Experts recommend a balanced approach to investment, emphasizing "long-term views with short-term actions" and a "barbell strategy" to manage risk and returns. This involves allocating to both high-valuation sectors with long-term potential and low-valuation defensive assets [9][10]. - Monthly portfolio reviews and clear definitions of acceptable drawdown limits are advised to avoid impulsive trading decisions [10]. Focus Areas for Investment - Investors are encouraged to focus on three asset categories: 1. New consumption and high-end manufacturing sectors benefiting from policy support 2. Low-valuation high-dividend assets in Hong Kong and A-share markets 3. Safe-haven assets like gold ETFs and public REITs [10][11]. Conclusion - The fourth quarter is characterized as a period of volatility within a slow bull market, requiring investors to enhance their asset allocation skills and maintain a focus on managing drawdowns while seizing structural opportunities [10][11].