Core Insights - The market is experiencing a significant shift in ETF fund preferences, with a notable net redemption of over 200 billion yuan in ETFs this year, excluding state-owned enterprises' increases [1] - Despite the overall market facing redemption pressures, the CSI 2000 Enhanced ETF (159552) has seen a remarkable net inflow of 1.154 billion yuan this year, with a share increase of over 5000%, making it the fastest-growing ETF in the market [1][9] Group 1: Market Dynamics - The recent market uptrend is primarily driven by three types of active funds: retail investors, leveraged funds, and private equity [2] - Retail investors have shown caution, with new A-share accounts in July remaining flat at 1.96 million, significantly lower than the levels seen in February and March [6] - Leveraged funds have seen a continuous net inflow since late June, with a cumulative scale exceeding 200 billion yuan, pushing the financing balance above 2 trillion yuan [5] Group 2: Retail Investor Behavior - Retail investors are exhibiting a "fear of heights" sentiment, leading to limited participation in the current market rally [6] - The net inflow of small retail funds has been marginal, with a recent weekly net inflow of 113.4 billion yuan, still below the average of 131.2 billion yuan seen in the first quarter [8] - There has been a significant redemption of ETFs, with a total net redemption exceeding 200 billion yuan this year, and a recent weekly outflow of 16.1 billion yuan, marking a new high for 2024 [8] Group 3: Enhanced ETF Performance - The CSI 2000 Enhanced ETF (159552) has achieved a year-to-date growth in scale, with a share increase of over 50 times, driven by its outstanding performance [9] - As of August 11, the ETF has recorded a one-year return of 111.83%, outperforming the benchmark index by 34.43% [9][12] - The ETF's ability to provide excess returns makes it an attractive option for investors seeking certainty amid market volatility [12] Group 4: Future Capital Inflows - Despite low retail participation, there is a broader trend of asset allocation towards equity markets, driven by a low-interest-rate environment [13] - There are indications of a shift in resident deposits, with a decrease of 1.1 trillion yuan in July, suggesting funds are moving towards capital markets [13][14] - Institutional funds, including foreign and insurance capital, are expected to continue flowing into the market, providing solid support [14][15]

同壁：近一年涨超110%！中证2000增强ETF午盘再度"吸金"近5000万 金融界、同花顺：杠杠资金加速涌入，投资小盘应该注意些什么？ 午盘三大指数集体收红，沪深两市半日成交额高达1.57万亿，较上个交易日放量591亿。 在高成交额与高杠杆的背景下，资金加速流入小盘的趋势不减。 数据显示，年内宽基ETF涨幅NO.1的中证2000增强ETF（159552），今天上午微调期间再度强势"吸金"将近5000万。最近10个交易日内，ETF有8天保持净 流入，区间强势吸金4.9亿元，年初至今规模增加超11.8亿！ | 中证2000增强ETF | | 159552 | | --- | --- | --- | | 2.015 | -0.010 -0.49% 1 0 + | | | SZSE CNY 11:30:00 不市 | | | | 净值走势 | 招商中证2000增强策略ETF | | | 交生 | 54.64% 120日 34.07% | | | 5日 | 4.78% 250日 109.24% | | | 20日 | 11.88% 52周高 | 2.03 | | 60日 | 29.58% 52周低 | 0.93 | ...

Core Insights - The small-cap market continues to show strong performance, with the CSI 2000 Enhanced ETF (159552) nearing a historical high of 1.2 billion, reflecting a year-to-date growth of 7247.70% [1] Group 1: Market Trends - The current channels for resident capital entering the market include rising financing balances, increasing private fund sizes, and active individual investor account openings, contributing to a positive feedback loop for incremental capital [1] - The market is exhibiting a clear preference for technology growth styles (represented by the Sci-Tech 200 and ChiNext Index) and small-cap styles (represented by the CSI 1000 and CSI 2000), which are expected to continue dominating until other types of external capital enter the market [1]

本文源自：金融界 作者：ETF前线 风险提示：文中提及的指数成份股仅作展示，个股描述不作为任何形式的投资建议。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，投资 人须对任何自主决定的投资行为负责。基金投资有风险，基金的过往业绩并不代表其未来表现，基金管 理人管理的其他基金的业绩并不构成基金业绩表现的保证，基金投资须谨慎。 中小盘持续表现。8月18日，"小盘之星"中证2000增强ETF(159552)周线录得9连阳，获资金连续11周净 流入。年内规模增长72倍有余，迭创新高。 市场分析人士表示，中小盘风格本轮显著跑赢大盘主要受益于四大因素：首先，全球流动性宽松预期持 续强化，弱美元环境下外资持续增配A股；其次，科技产业政策主线明确，资金持续涌入相关板块；再 次，市场普涨格局带动估值中枢上移，低位品种迎来补涨行情；最后，股指期货贴水幅度显著收窄，反 映市场风险偏好持续改善。不过，分析人士也提醒，当前需警惕基本面与市场表现之间的背离风险。 ...

Group 1 - The market sentiment has improved, with small-cap stocks regaining momentum, as evidenced by the performance of the CSI 2000 Enhanced ETF and the 1000 ETF, which rose by 0.83% and 0.92% respectively, with a peak increase of 0.99% and 1.00% [1] - In the recent stock index rally, small-cap stocks have significantly outperformed large-cap stocks due to four main reasons: 1) expectations of domestic and international liquidity easing, with a weaker dollar facilitating foreign capital inflow into A-shares, benefiting small-cap stocks; 2) a strengthened narrative around technology and other industries, with clear policy direction attracting continuous capital inflow; 3) a broad market rally lifting the overall market baseline, with policy expectations catalyzing a rebound in low-priced stocks; 4) a significant narrowing of the basis for stock index futures, indicating a recovery in market risk appetite [1] - Over the past 10 days, small-cap ETFs have attracted nearly 800 million yuan in capital inflow, reflecting strong investor interest in this segment [1]

Core Viewpoint - The Shanghai Composite Index reached a nearly four-year high on August 13, with trading volume in both markets exceeding 2 trillion yuan, indicating strong market momentum and investor confidence [1]. Group 1: Market Performance - The CSI 2000 Enhanced ETF (159552) achieved a year-to-date return of over 50%, becoming the first broad-based ETF to surpass this threshold in 2023 [1]. - The fund's share volume expanded more than 45 times this year, making it the ETF with the largest share increase in the market [1]. Group 2: Market Drivers - Four main factors contributed to the outperformance of small-cap stocks compared to large-cap stocks: 1. Expectations of domestic and international liquidity easing, with a weaker dollar facilitating foreign capital inflow into A-shares, benefiting small-cap stocks [1]. 2. Strengthened narratives around technology and other industries, with clear policy directions leading to sustained capital inflow [1]. 3. A general market rally raising the overall market baseline, with policy expectations catalyzing a rebound in previously undervalued stocks [1]. 4. The significant narrowing of the basis for IC and IM futures contracts, reflecting a recovery in market risk appetite [1]. Group 3: Market Outlook - There is a need to monitor the uncertainty arising from the divergence between fundamentals and market performance [1].

Core Insights - The small-cap stocks have paused while large-cap stocks take the lead in the market rally, with significant capital inflow into the market [1] - The CSI 2000 Enhanced ETF (159552) has attracted over 140 million in capital, reaching a historical high, and its fund size has surpassed 1 billion [1] - The CSI 2000 Enhanced ETF has increased over 100% in the past year and nearly 50% year-to-date, leading the market in broad index ETFs [1] - The ETF has consistently generated excess returns each quarter since its inception, totaling over 40%, earning it the title of "King of Index Enhancements" [1] Market Conditions - The high volatility of small-cap stocks has been fully released due to the dual stimulus of a low-interest-rate environment and policies favoring specialized and innovative enterprises [1] - The rolling price-to-earnings ratio of the CSI 2000 index is nearing 140 times, which is at a historical high over the past decade, indicating a potential risk for investors [1] Investment Strategy - Professional institutions recommend a strategy of gradually building positions during market pullbacks rather than chasing high prices [1] - It is advised to allocate some investments to large-cap blue-chip stocks with more attractive valuations to achieve risk hedging in investment portfolios [1]

Core Viewpoint - The small-cap stocks are experiencing a rebound, with the CSI 2000 Enhanced ETF showing significant performance and trading activity, indicating strong market interest despite external uncertainties [1]. Market Performance - As of August 12, the CSI 2000 Enhanced ETF (159552) narrowed its decline to 0.15% after previously dropping by 1.29% - Over the past 10 days, the ETF has increased by 5.66%, and over the past 20 days, it has risen by 10.66% - Year-to-date, the ETF has gained 48.96%, leading the performance among broad market ETFs [1]. Trading Activity - Trading volume has increased, with a turnover rate of 21.24% and a transaction value of approximately 170 million - This represents a 19.01% increase in trading volume compared to the previous day - The net inflow during the trading session was about 110 million, marking a historical high [1]. Market Outlook - The second-quarter report for the CSI 2000 Enhanced ETF indicates that external uncertainties remain high, which may lead to fluctuations in market confidence - The small-cap style has been strong in the first half of the year, but this also increases the risk associated with market capitalization styles - The report emphasizes the need to closely monitor market volatility and prepare for risk management in the context of heavy speculative sentiment [1].

| ITESB00002ETF | | | 159552 | | --- | --- | --- | --- | | | | -0.018 -0.93% | | | SZSE CNY 11:14:03 交易中 | | | 28 + | | 除状圆类 | 招商中证2000增强策略ETF | | | | 中 | 47.81% 120H | | 35.92% | | 5日 | 2.61% 250日 | | 94.94% | | 20日 | 9.81% 52周高 | | 1.95 | | 60日 | 22.83% 52周低 | | 0.93 | | 实时申购陵回信息 | 甲四 | | 摩回 | | 笔数 | 29 | | 0 | | 金额 | 0 | | 0 | | 份额 | 4350万 | | 0 | | 申陵清单 | | | | | 最小申赎单位份额 | | | 1,500,000 | | 现金替代比例上限 | | | 50% | | 申购赎回允许情况 | | 申购赎回皆允许 | | | T日预估现金差额 | | | -183.84元 | | T-1日单位申赎资产 | | 2909664.16元 | | | 近5 ...

Quantitative Models and Construction Methods 1. Model Name: Wantushi AI Model - **Model Construction Idea**: The Wantushi AI model evaluates indices based on their potential upward probability and selects ETFs with favorable characteristics for investment[6] - **Model Construction Process**: 1. The model assigns a score to indices based on their upward probability. Indices with scores above 0.8 are selected[6] 2. For each selected index, the corresponding ETFs are identified[6] 3. Among these ETFs, those with a 30-day average daily trading volume exceeding 30 million RMB are retained[6] 4. Finally, the ETF with the lowest IOPV premium rate for each index is chosen[6] - **Model Evaluation**: The model systematically filters ETFs based on liquidity and valuation metrics, ensuring a focus on high-quality investment options[6] --- Backtesting Results of Models 1. Wantushi AI Model - **Index Code: 932000 (CSI)** - Upward Probability: 93.52% - Selected ETF: 159552 (CSI 2000 Enhanced ETF)[7] - **Index Code: 399006 (SZ)** - Upward Probability: 93.37% - Selected ETF: 159977 (Tianhong ChiNext ETF)[7] - **Index Code: 399673 (SZ)** - Upward Probability: 92.49% - Selected ETF: 159682 (ChiNext 50 ETF)[7] - **Index Code: 399850 (SZ)** - Upward Probability: 90.15% - Selected ETF: 159350 (Shenzhen 50 ETF by Fuguo)[7] - **Index Code: 000852 (SH)** - Upward Probability: 85.86% - Selected ETF: 159680 (1000 Enhanced ETF)[7] - **Index Code: 399303 (SZ)** - Upward Probability: 85.82% - Selected ETF: 159628 (Guozheng 2000 ETF)[7] - **Index Code: 399293 (SZ)** - Upward Probability: 85.03% - Selected ETF: 159814 (ChiNext Large Cap ETF)[7] - **Index Code: 399330 (SZ)** - Upward Probability: 84.81% - Selected ETF: 159901 (Shenzhen 100 ETF)[7] - **Index Code: 399296 (SZ)** - Upward Probability: 84.46% - Selected ETF: 159967 (ChiNext Growth ETF)[7] - **Index Code: 000905 (SH)** - Upward Probability: 83.23% - Selected ETF: 510580 (CSI 500 ETF by E Fund)[7] - **Index Code: 000906 (SH)** - Upward Probability: 81.05% - Selected ETF: 515800 (800 ETF)[7]