Core Insights - The report emphasizes the construction of a strategy portfolio based on industry and thematic ETFs, leveraging insights from previous strategy reports on industry rotation and ETF market overview [2]. Strategy Update - The strategy portfolio includes various ETFs with specific holdings and weightings, such as: - Wine ETF with a market value of 184.16 billion, holding a significant position in the liquor industry (84.84%) [3]. - Real Estate ETF valued at 6.61 billion, fully invested in real estate development (100%) [3]. - Tourism ETF at 88.57 billion, primarily focused on the aviation and airport sector (33.21%) [3]. - New additions include Agriculture and Fishery ETF and Grain ETF, with respective holdings in aquaculture (46.89%) and planting (49.63%) [3]. - The strategy's performance for the period from February 9 to February 13, 2026, showed a cumulative net return of approximately -0.38%, underperforming the CSI 300 ETF by about -0.85% [3]. Performance Tracking - Since October 14, 2024, the strategy has achieved a cumulative return of approximately 37.93%, outperforming the CSI 300 ETF by about 14.43% [3][4]. - The report includes a performance chart illustrating the cumulative return of the industry rotation ETF strategy since its inception [4]. Weekly Holdings and Performance - The report details the weekly performance of various ETFs, indicating that the strategy will continue to hold Wine, Real Estate, Tourism, and Traditional Chinese Medicine ETFs while adding Agriculture and Grain ETFs [11]. - The average return of the ETF portfolio for the week was -0.38%, with a notable underperformance compared to the CSI 300 ETF [11].

Core Insights - The banking sector is showing strength, with the largest bank ETF (512800) rising by 1.67% and achieving a trading volume of 1.071 billion yuan on February 5, 2026, indicating a potential recovery window for heavyweight stocks as the recent ETF redemption wave appears to be ending [6][18] - The food and beverage sector is also performing well, with the food and beverage ETF (515710) increasing by 1%, driven by improving demand for liquor and a recovering macro environment, suggesting potential investment opportunities in the sector for 2026 [7][18] Industry Performance - The top-performing sectors on February 5, 2026, included: - Beauty and personal care: +3.21% - Food and beverage: +1.57% - Banking: +1.31% [3][15] - The sectors with the largest capital inflows were: - Media: 864 million yuan - Agriculture, forestry, animal husbandry, and fishery: 564 million yuan - Textile and apparel: 240 million yuan [3][15] - The sectors with the largest capital outflows were: - Power equipment: -12.671 billion yuan - Non-ferrous metals: -11.937 billion yuan - Electronics: -5.951 billion yuan [3][15] ETF Performance - The bank ETF (512800) has a turnover rate of 8.48% and a net subscription of 210.43 million yuan, indicating strong investor interest [5][17] - The food and beverage ETF (515710) has a recent performance of -0.66% over the past six months, reflecting some volatility in the sector [4][17] - The consumer leader ETF (516130) has shown a positive trend with a 3.52% increase over the same period [4][17] Market Trends - A shift in market dynamics is occurring, with funds moving from small-cap stocks to large-cap stocks and from thematic styles to quality styles, indicating a broader market trend towards stability and quality investments [6][18] - The historical performance of the banking sector shows a high win rate before the Spring Festival, suggesting seasonal trends that could influence future performance [18]

Market Overview - The market is currently experiencing a temperature check with a significant portion of the indices showing a long-term signal of 75% [1] - The Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index have shown varying performance, with the latter two indices experiencing declines of 1.62% and 0.77% respectively [1] Sector Performance - The chemical sector has shown a strong rebound, with a notable increase in the index closing over 1% higher, driven by a net capital inflow of over 144 billion yuan in the past 60 days [4][6] - The media sector led the inflow of funds with 1.072 billion yuan, while the computer sector faced the largest outflow of 89.79 billion yuan [2] Investment Signals - The chemical and financial technology sectors are highlighted as having significant potential for investment, with the chemical sector benefiting from policy expectations and valuation recovery [6] - The recent implementation of the stablecoin regulations in Hong Kong is expected to create opportunities in the fintech sector, particularly for those obtaining the first batch of licenses [6] ETF Performance - The chemical ETF has shown a 10.60% increase over the past six months, indicating strong performance in this sector [4] - The financial technology ETF has also demonstrated robust growth, with a notable increase in trading volume and turnover [4] Future Outlook - The chemical sector's future performance will depend on actual improvements in the fundamental aspects of the industry, despite the current positive sentiment [6] - The fintech sector is expected to gain traction as stablecoin regulations take effect, with a focus on platforms that can create use cases for stablecoins [6]

Market Overview - As of May 15, 2025, the Shanghai Composite Index closed down 0.68% at 3380.82 points, the Shenzhen Component Index down 1.62% at 10186.45 points, and the ChiNext Index down 1.92% at 2043.25 points, with a total market turnover of 1.15 trillion yuan [1] Sector Performance - The top three sectors in terms of gains were cosmetics, personal care products, and fisheries, with increases of 4.56%, 3.09%, and 2.43% respectively [1] - The sectors with the largest declines were IT services, software development, and other power equipment, with decreases of 3.36%, 3.12%, and 2.99% respectively [1] ETF Performance - A total of 52 non-currency ETFs rose, with an increase ratio of 5% [1] - The Medical Innovation ETF (516820.SH) rose by 0.59%, while the Utility ETF increased by 0.71% [1] - The Medical Innovation ETF has a total share size of 4.668 billion shares and closely tracks the CSI Medical and Medical Device Innovation Index [4] - The Green Power ETF (562550.SH) has a total share size of 1.57 billion shares and closely tracks the CSI Green Power Index [4] Valuation Metrics - The CSI Medical and Medical Device Innovation Index has a current P/E ratio (PE-TTM) of 31.01, which is below 99.48% of the time over the past three years [4] - The CSI Green Power Index has a current P/E ratio (PE-TTM) of 17.43, below 14.19% of the time over the past three years [5] - The CSI Pension Industry Index has a current P/E ratio (PE-TTM) of 14.28, below 6.38% of the time over the past three years [5] Declining ETFs - A total of 1050 non-currency ETFs declined, with a decrease ratio of 93% [5] - The top three declining ETFs included the S&P Consumption ETF, which fell by 5.54%, and the Saudi ETF, which dropped by 4.32% [7] Premium Rates - The S&P Consumption ETF closed with a premium of 22.97%, while the S&P 500 ETF had a premium of 12.35% [8]

证券研究报告|金融工程专题报告 5月建议关注 科创人工智能ETF华宝、养老ETF、券商ETF等产品 资料来源：Wind，华西证券研究所 2 ——华宝指数产品配置月报202505 张立宁 SAC NO：S1120520070006 杨国平 SAC NO：S1120520070002 2025年5月6日 请仔细阅读在本报告尾部的重要法律声明 1 华宝基金在指数产品领域布局丰富 华宝基金旗下指数产品布局丰富，从目前已成立产品来看，基本覆盖了A股大中小盘指 数、主要的行业及主题指数、跨境指数、SmartBeta指数，为投资者提供了丰富的选择 品种。 | | JE FRIDES | 创业板 | | | | | | --- | --- | --- | --- | --- | --- | --- | | | 科创芯片 | | | | | | | | | 人工智能 | | | | | | | 标普A股红利 | 科创AI | | | | | | | 中证信创 | 绿色能源 | | | | | | | 国证治理 | 农牧渔 | | | | | | | 中证800地产 | 养老产业 | | | | | | | 深创100 | 有色 ...

- Model Name: Multi-Dimensional Information Scoring Model; Model Construction Idea: The model scores target indices based on multiple dimensions including historical performance, consensus expectations, and historical momentum[7]; Model Construction Process: The model integrates various factors such as ROE improvement, operating profit improvement, net profit improvement, momentum continuity, expected ROE change, and expected net profit change to score the indices[8][9][10]; Model Evaluation: The model effectively distinguishes between different target indices[9] - Factor Name: Historical Performance; Factor Construction Idea: The factor evaluates the historical performance of indices; Factor Construction Process: The factor includes ROE_TTM quarter-on-quarter change, operating profit TTM quarter-on-quarter growth rate, and net profit attributable to parent TTM quarter-on-quarter growth rate[9]; Factor Evaluation: The factor shows good differentiation ability among different target indices[9] - Factor Name: Consensus Expectations; Factor Construction Idea: The factor assesses the consensus expectations of index constituent stocks; Factor Construction Process: The factor aggregates the consensus expected net profit and consensus expected ROE of index constituent stocks weighted by market capitalization, and observes the marginal changes in analyst expectations through quarter-on-quarter changes[10] - Factor Name: Momentum Continuity; Factor Construction Idea: The factor measures the continuity of momentum; Factor Construction Process: The factor strips out the maximum increase in the interval based on the Sharpe ratio to further characterize momentum continuity, with long-term differentiation ability in the recent 6-month and 12-month momentum continuity factors[11] - The multi-dimensional information scoring model suggested focusing on the following ETFs in April: Sci-Tech Artificial Intelligence ETF Huabao, Pension ETF, Securities ETF, Financial Technology ETF, and GEM Artificial Intelligence ETF[15][17] - The Huabao index product portfolio outperformed the GEM index in the first three months of 2025, with a decline of 1.55%, but underperformed the CSI 300 index[12][14]