港股通非银ETF（513750）业绩比较基准为同期中证港股通非银行金融主题指数收益率(使用估值汇率 折算)，管理人为广发基金管理有限公司，基金经理为罗国庆、曹世宇，成立（2023-11-10）以来回报为 65.79%，近一个月回报为-2.00%。 风险提示：市场有风险，投资需谨慎。本文为AI大模型自动发布，任何在本文出现的信息（包括但不 限于个股、评论、预测、图表、指标、理论、任何形式的表述等）均只作为参考，不构成个人投资建 议。 10月9日，港股通非银ETF（513750）涨0.00%，成交额12.00亿元。当日份额减少900.00万份，最新份额 为119.63亿份，近20个交易日份额增加8650.00万份。最新资产净值计算值为198.38亿元。 来源：新浪基金∞工作室 ...

Core Insights - The report presents two industry rotation models: one based on similar expected return differentials and another based on changes in analyst expectations, both aimed at identifying investment opportunities in various sectors [11][22]. Group 1: Similar Expected Return Differential Model - The latest configuration suggests focusing on sectors such as coal, communication, basic chemicals, automotive, real estate, and machinery [21]. - In September 2025, the model achieved a monthly return of +4.56%, outperforming the equal-weighted industry index by +3.66% [21]. - The historical backtest from December 2016 to September 2025 shows that the model has a mean Information Coefficient (IC) of 0.09, indicating strong selection ability [14][15]. Group 2: Analyst Expectation Change Model - The latest configuration highlights sectors including non-bank financials, non-ferrous metals, agriculture, communication, steel, and computers [33]. - In September 2025, the model recorded a monthly return of +1.03%, with an excess return of +0.13% over the equal-weighted industry index [33]. - The historical backtest from December 2016 to September 2025 indicates a mean IC of 0.06, demonstrating significant industry selection capability [23][24]. Group 3: ETF Portfolio Construction - The recommended ETF portfolio for October 2025 includes sectors such as non-bank financials, non-ferrous metals, communication, basic chemicals, and automotive [35]. - Specific ETFs listed include the Huabao CSI All-Share Securities Company ETF and the Southern CSI Non-Ferrous Metals ETF, among others, with significant fund shares [35].

[Table_Title] 研究报告 Research Report 28 Sep 2025 2025 年 9 月 26 日，海通国际举办香港投资者小范围的资产通证化 (亦称为代币化，asset tokenization)专家会，特邀 专注于现实世界资产资产（RWA）通证化的金融科技公司 Asseto Fintech 联合创始人兼 CEO Bridget Li 出席。会上，嘉 宾重点分享了资产通证化产品的发行流程和行业未来发展方向等关键实践经验。 点评 香港非银行金融 Hong Kong Non-Bank Financials 资产通证化专家会：标准证券类资产或成核心方向，拆解流程与价值 Expert Talk: Asset Tokenization Explained Ling Tan ling.ml.tan@htisec.com [Table_yemei1] 热点速评 Flash Analysis [Table_summary] (Please see APPENDIX 1 for English summary) 事件 证券类资产通证化与数字资产分属不同监管类别，证券类资产监管明确：证券类资产通证化是将 ...

Core Viewpoint - UBS predicts that the Federal Reserve will further cut interest rates in the coming months, which will boost Asian currencies and U.S. stocks, particularly favoring Chinese technology companies [1] Group 1: Federal Reserve and Market Impact - UBS forecasts a total of 75 basis points in rate cuts by the end of Q1 2026, following the first rate cut of the year last week [1] - The firm expects that the U.S. economy will not enter a recession, with U.S. stocks projected to achieve mid-single-digit percentage gains by mid-2026 [1] Group 2: Chinese Market Outlook - UBS maintains an "overweight" rating on Chinese stocks, anticipating further upward movement in the Chinese stock market as household savings flow into the market [1] - The report indicates that the average appreciation of Asian currencies against the U.S. dollar is expected to be 4% over the next 12 months [1] Group 3: Company Performance and Sector Analysis - Companies included in the MSCI China Index are projected to see a 3% year-on-year increase in earnings by Q2 2025, with stable revenue growth [1] - Non-bank financial, technology, and healthcare sectors are expected to perform well, with internet companies showing double-digit growth in quarterly earnings [1] - Chinese companies are optimistic about their operational conditions, emphasizing cost control and pricing strategies [1]

Core Viewpoint - Tongrun Equipment has approved a financial service agreement with Zhengtai Financial Company, which requires shareholder approval, indicating a strategic move to enhance financial management and resource utilization [1] Group 1: Agreement Details - The agreement is set to be effective from 2026 to 2028, with a total credit and maximum deposit balance not exceeding 500 million yuan [1] - Zhengtai Financial Company will provide credit, deposits, and fund settlement services to Tongrun Equipment and its subsidiaries, with pricing based on market principles [1] Group 2: Financial Position - Currently, Tongrun Equipment and its subsidiaries have a deposit balance of 0 yuan and a loan balance of 10.01 million yuan [1] Group 3: Risk Management - The company believes the transaction risks are controllable and has developed a risk disposal plan, which suggests a proactive approach to managing potential financial risks [1]

军工、航天等行业项目通常存在周期长、前期建设所需资金量大等特点，在寻求资源支持过程中，金融 资源尤其是信贷资源实现供需匹配尤为关键。记者在采访中了解到，财务公司作为依托集团、服务集团 的非银行金融机构，一方面通过创设专项贷款产品，更精准支持军工实体产业发展；另一方面发挥贴近 产业、贴近集团成员单位优势，整合内外部资源，为成员单位提供综合资金解决方案，加速向"服务 型"财务公司转型升级。 兵工财务有限责任公司（下称"兵工财务公司"）党委书记、董事长王世新日前接受记者采访时表示，对 于军工单位的一些国拨资金尚未到位项目，公司会采取"急用先行"原则，在确保合规的前提下，优先提 供资金支持，从而更好服务军品科研、生产、销售、项目建设以及支持保军企业的正常运营。在充分调 研客户需求的基础上，兵工财务公司以较优惠的价格设立多个领域的贷款专项，并为企业正常运营提供 专项资金支持。 兵工财务公司副总经理石忠林介绍，兵工财务公司积极推行客户经理制，从管理制度、业务流程、人力 资源配置、服务内容等方面与集团成员企业建立稳定的金融服务关系。近年来又在这一制度基础上，进 一步了解各子集团和直管单位年度生产经营规划、财务变化情况和资金 ...

Performance Overview - Since 2025, the annualized excess return median for enhanced index funds is 2.82%, with the 75th percentile reaching 8.21%, significantly higher than levels from 2022 to 2024[11] - The annualized excess return median for broad-based enhanced index funds is 3%, an increase of 0.68% compared to 2024[11] - The China Securities A500 Index has shown a remarkable annualized return of 48.97% over the past year, with a total return index close to 52.65%[2] Fund Performance - The China Europe A500 Enhanced Index Fund has achieved a cumulative return of 25.94% since its establishment, outperforming the A500 Index by 7.73%[46] - The fund ranks second among eight similar A500 enhanced funds in terms of performance since inception[46] - The fund's annualized excess return is approximately 11.1%, with a 1-month and 3-month performance ranking first among peers[6] Investment Strategy - The fund employs a "active + quantitative" management model, integrating subjective research with quantitative tools to enhance alpha generation[21] - The investment philosophy is based on GARP (Growth at a Reasonable Price), focusing on identifying quality companies with growth potential within reasonable price ranges[31] - The fund maintains a high index tracking ratio while leveraging active stock selection to contribute diversified alpha, with a correlation of daily excess returns to similar funds generally below 0.4 over the past six months[46] Risk Factors - Key risk factors include macroeconomic downturns, increased stock market volatility, and unexpected tightening of financial regulations[5] - The fund is classified as a high-risk, high-reward equity fund, and past performance does not guarantee future results[5] Fund Composition - As of mid-2025, the fund's total scale is 4.4 billion yuan, with a stock position of 92.73%[55] - The fund is diversified across various sectors, with significant allocations to machinery, agriculture, electronics, and utilities, while underweighting sectors like non-ferrous metals and transportation[55]

Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Industry Rotation Model - **Model Construction Idea**: The model is based on the principle of price momentum, aiming to capture upward trends in industries through a diffusion index[26][27] - **Model Construction Process**: 1. Calculate the diffusion index for each industry based on price momentum 2. Rank industries by their diffusion index values 3. Select top industries for allocation based on their rankings 4. Adjust the portfolio monthly or weekly based on updated diffusion index rankings[26][27] - **Model Evaluation**: The model has shown stable performance in certain years (e.g., 2022 with an annual excess return of 6.12%) but struggled during market reversals or concentrated market themes, such as in 2024 and 2025[26][33] 2. Model Name: GRU Factor Industry Rotation Model - **Model Construction Idea**: This model leverages GRU (Gated Recurrent Unit) deep learning networks to process high-frequency volume and price data, aiming to identify industry rotation opportunities[38] - **Model Construction Process**: 1. Input high-frequency volume and price data into the GRU network 2. Train the GRU model on historical data to identify patterns in industry rotation 3. Generate factor scores for industries based on the GRU model's output 4. Rank industries by their GRU factor scores and allocate to top-ranked industries[38][34] - **Model Evaluation**: The model performs well in short cycles but struggles in long cycles or extreme market conditions. It has shown difficulty in capturing excess returns in concentrated market themes during 2025[33][38] --- Model Backtesting Results 1. Diffusion Index Industry Rotation Model - **Weekly Average Return**: -1.74%[30] - **Excess Return (Weekly)**: -1.41%[30] - **Excess Return (September 2025)**: -1.88%[30] - **Excess Return (2025 YTD)**: 2.76%[25][30] 2. GRU Factor Industry Rotation Model - **Weekly Average Return**: -0.72%[36] - **Excess Return (Weekly)**: -0.38%[36] - **Excess Return (September 2025)**: -0.10%[36] - **Excess Return (2025 YTD)**: -7.78%[33][36] --- Quantitative Factors and Construction Methods 1. Factor Name: Diffusion Index - **Factor Construction Idea**: Measures the breadth of price momentum across industries to identify upward trends[26][27] - **Factor Construction Process**: 1. Calculate the proportion of stocks in an industry with positive price momentum 2. Aggregate these proportions to derive the diffusion index for the industry 3. Rank industries based on their diffusion index values[27][28] - **Factor Evaluation**: Effective in capturing upward trends but vulnerable to reversals and underperformance in counter-trend markets[26][33] 2. Factor Name: GRU Factor - **Factor Construction Idea**: Utilizes GRU deep learning to analyze high-frequency trading data and generate predictive scores for industry rotation[38] - **Factor Construction Process**: 1. Input high-frequency trading data into the GRU network 2. Train the model to recognize patterns in industry rotation 3. Output factor scores for industries based on the model's predictions[38][34] - **Factor Evaluation**: Strong in short-term predictions but less effective in long-term or extreme market conditions[33][38] --- Factor Backtesting Results 1. Diffusion Index - **Top Industries (Weekly)**: Non-ferrous Metals (0.978), Banking (0.968), Communication (0.946), Electronics (0.877), Automotive (0.874), Retail (0.873)[27] - **Bottom Industries (Weekly)**: Food & Beverage (0.354), Real Estate (0.46), Coal (0.487), Transportation (0.543), Construction (0.574), Building Materials (0.618)[27] 2. GRU Factor - **Top Industries (Weekly)**: Non-ferrous Metals (7.4), Petrochemicals (5.38), Coal (4.17), Steel (4.15), Building Materials (3.46), Non-banking Financials (3.08)[34] - **Bottom Industries (Weekly)**: Comprehensive Finance (-19.42), Utilities (-13.41), Electronics (-13.18), Pharmaceuticals (-11.14), Automotive (-10.07), Consumer Services (-10.04)[34]

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with significant positions in non-bank financials (11.7%), steel (11.0%), and comprehensive sectors (10.1%) [1] - The average weekly return for the CITIC primary industries was -0.4%, while the average return over the past month was 2.3% [3][10] - The report identifies the top-performing industries for the week as automotive (4.4%), electronics (4.4%), and electric equipment and new energy (4.1%), while the worst performers were banking (-5.6%), non-bank financials (-4.4%), and food and beverage (-3.6%) [3][10] Industry Performance Review - The report provides a detailed performance review of CITIC primary industries, indicating that the automotive sector has a year-to-date return of 34.4%, while electronics and electric equipment and new energy have returns of 48.0% and 36.0%, respectively [11] - The report notes that the composite strategy has achieved a cumulative return of 24.5% year-to-date, outperforming the CITIC primary industry equal-weight benchmark return of 22.2% by 2.2% [3] Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, identifying industries with a PB ratio above the 95th percentile as overvalued [12][13] - Currently, the industries triggering high valuation warnings include retail, media, computing, and automotive, with their PB ratios exceeding the 95th percentile [13] Single Strategy Rankings and Recent Performance - The report outlines the top three industries based on the high profitability tracking strategy as non-bank financials, agriculture, and steel [15][16] - The report also details the performance of various strategies, with the S2 strategy (implied sentiment momentum tracking) highlighting mechanical, electric equipment and new energy, and comprehensive sectors as the top three industries [20] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries based on current macro indicators as comprehensive finance, computing, communication, national defense, electronics, and media [24] - The report emphasizes the importance of macroeconomic indicators in predicting industry performance, utilizing a multi-factor approach to assess industry exposure to various macroeconomic styles [22][23]

Group 1 - The Federal Reserve has lowered the federal funds rate target range by 25 basis points to between 4.00% and 4.25%, which is expected to create a more favorable external environment for Chinese assets, enhancing their attractiveness [2] - Multiple institutions, including Invesco and Fidelity International, express optimism about investment opportunities in non-US markets, particularly in China, Japan, and Europe, following the Fed's rate cut [2] - Emerging market equities are viewed as having good investment value, with current valuations being only one-third of developed markets, supported by a weaker dollar and easing monetary policies in the Asia-Pacific region [2] Group 2 - The easing of external constraints is expected to enhance the People's Bank of China's operational flexibility in monetary policy tools, such as MLF/LPR and structural instruments [3] - As the US economy shows signs of weakening and the Fed's independence comes under scrutiny, a gradual shift to a rate-cutting cycle is anticipated, which may lead to a significant increase in foreign capital inflow into A-shares and Hong Kong stocks [4] - Key investment themes identified by Manulife include high-growth sectors like AI and robotics, sectors benefiting directly from liquidity easing, and industries with improving fundamentals due to policy changes, such as power equipment and chemicals [4]