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]