Quantitative Models and Construction Methods 1. Model Name: Industry Crowdedness Monitoring Model - **Model Construction Idea**: This model is designed to monitor the crowdedness levels of Shenwan First-Level Industry Indices on a daily basis, identifying industries with high or low crowdedness levels to provide insights for potential investment opportunities[3] - **Model Construction Process**: The model calculates the crowdedness levels of various industries based on daily data. It identifies industries with significant changes in crowdedness levels and tracks the inflow and outflow of major funds in these industries. For example, on the previous trading day, industries such as non-ferrous metals, electrical equipment, and electronics had high crowdedness levels, while food and beverage, as well as beauty care, exhibited lower levels[3] - **Model Evaluation**: The model provides a useful tool for identifying industry trends and fund flow dynamics, which can help investors make informed decisions[3] 2. Model Name: Premium Rate Z-Score Model - **Model Construction Idea**: This model is used to screen ETF products with potential arbitrage opportunities by calculating the Z-score of their premium rates over a rolling window[4] - **Model Construction Process**: The model involves the following steps: 1. Calculate the premium rate of an ETF product as the percentage difference between its market price and its net asset value (NAV) 2. Compute the Z-score of the premium rate over a rolling window to identify deviations from the mean 3. Highlight ETF products with significant Z-scores as potential arbitrage opportunities while also flagging the risk of price corrections[4] - **Model Evaluation**: The model effectively identifies ETFs with potential mispricing, offering opportunities for arbitrage while cautioning about associated risks[4] --- Backtesting Results of Models 1. Industry Crowdedness Monitoring Model - **Key Observations**: - Non-ferrous metals, electrical equipment, and electronics had the highest crowdedness levels on the previous trading day[3] - Food and beverage, as well as beauty care, exhibited the lowest crowdedness levels[3] - Significant changes in crowdedness were observed in the automotive and light industry sectors[3] 2. Premium Rate Z-Score Model - **Key Observations**: - The model flagged ETF products with significant Z-scores as potential arbitrage opportunities[4] - Specific ETFs and their associated signals were not detailed in the report[4] --- Quantitative Factors and Construction Methods No specific quantitative factors were explicitly mentioned in the report. The focus was primarily on the construction and application of the two models described above. --- Backtesting Results of Factors No explicit backtesting results for individual factors were provided in the report. The analysis was centered on the models and their outputs.

Summary of Key Points Core Viewpoint - The total trading volume of the Shanghai and Shenzhen Stock Connect reached 287.3 billion, with Cambricon and CATL leading in trading volume for the Shanghai and Shenzhen markets respectively [1]. Trading Volume - The total trading amount for the Shanghai Stock Connect was 130.77 billion, while the Shenzhen Stock Connect was 156.54 billion [2]. Top Trading Stocks - In the Shanghai Stock Connect, Cambricon ranked first with a trading volume of 3.132 billion, followed by Haiguang Information and Industrial Fulian [3]. - In the Shenzhen Stock Connect, CATL led with a trading volume of 6.759 billion, followed by Luxshare Precision and Shenghong Technology [3]. Sector Performance - The transportation equipment sector saw the highest net inflow of funds, amounting to 2.977 billion, while the electronic sector experienced the largest net outflow of 8.911 billion [4][5]. ETF Trading - The Tianhong ChiNext ETF (159977) saw a significant increase in trading volume, with a 145% increase compared to the previous day, making it the top performer [9]. - The Rare Metals ETF (562800) also experienced a substantial increase of 142% in trading volume [9]. Futures Positioning - All four major futures contracts (IH, IF, IC, IM) saw both long and short positions reduced, with a notable decrease in short positions for the IC contract [13]. Institutional Trading Activity - Institutional trading was active, with significant purchases in automotive stocks and a notable buy of 597 million in Cambricon by one institution [15]. - Several battery-related stocks faced substantial selling pressure from institutions, including a sell-off of 207 million in Shangtai Technology [16]. Quantitative Trading Activity - Quantitative funds showed active trading, with Cambricon receiving a buy of 125 million from one quantitative seat, while another seat sold 203 million [18].

Group 1 - A-shares experienced a strong upward trend on September 15, with the ChiNext Index leading the gains, particularly in the new energy sectors such as lithium batteries and energy storage [1] - The Tianhong ChiNext ETF (159977) saw an intraday increase of over 2.6%, reaching a new high since early 2022, with a trading volume exceeding 60 million yuan [1] - Key stocks in the ChiNext ETF included Hunan YN (301358) hitting the daily limit, and significant gains for companies like Ningde Times (300750) and Sunshine Power (300274), all showing increases of over 9% [1] Group 2 - The Tianhong ChiNext ETF (159977) has achieved six consecutive weekly gains, focusing on new productivity sectors, with top industries being power equipment, communication, and electronics [2] - The ETF's top ten weighted stocks include leading tech firms such as Ningde Times and Dongfang Wealth (300059), indicating a strong growth style [2] - A fund share split was announced for the Tianhong ChiNext ETF, with a ratio of 1:2, aimed at making the fund more accessible to small investors by lowering the unit net value [2] Group 3 - The downstream new energy vehicle market is entering a traditional peak season, with expectations for increased demand for power batteries and sustained high growth in energy storage [3] - The ongoing "anti-involution" trend is expected to accelerate the elimination of outdated production capacity, benefiting companies with technological and cost advantages [3] - Market analysts suggest that while there may be short-term fluctuations due to various domestic and international events, the long-term outlook remains positive, supported by improved liquidity and performance expectations [3]

Group 1 - The ChiNext Index has become a market focus with a year-to-date increase of 41% and a cumulative rise of 50% since June 23, outperforming the CSI 300 Index by nearly 33 percentage points [1][2] - The ChiNext Index's valuation remains advantageous, with a 10-year price-to-earnings (P/E) ratio percentile of 40%, significantly lower than other major indices [1][2] - Key sectors contributing to the ChiNext Index's performance include power equipment and communication, each contributing 32% to the index's rise since June 23 [8][6] Group 2 - The recent surge in the ChiNext Index is attributed to its unique industry structure and a shift in market style, driven by low valuations, policy expectations, and technological innovation [3][5] - The power equipment sector is the largest weight in the ChiNext Index, followed by technology, with significant contributions from the AI technology sector [4][11] - The market's risk appetite has shifted, with a focus on themes such as anti-involution policies and high computing power, leading to a concentration of funds in the ChiNext Index [4][5] Group 3 - The overall market valuation has recovered, but future growth will depend on the realization of fundamental improvements, particularly in AI applications and the new energy sector [9][10] - The ChiNext Index is expected to have structural opportunities, with potential for rotation and supplementary gains in key sectors such as power equipment, biopharmaceuticals, and non-bank financials [10][11] - The investment strategy should focus on three main themes: technology trends, anti-involution policies, and dividend assets, while maintaining a long-term perspective [12][13] Group 4 - Tianhong Fund has launched a series of products focused on the ChiNext Index, providing diverse investment options for investors [14][15] - The ChiNext ETF has shown strong performance since its launch, with a cumulative increase of 94.71% as of September 12, 2025 [16]

Core Viewpoint - The recent performance of the ChiNext ETF Tianhong (159977) and the Photovoltaic ETF (159857) indicates significant growth and investor interest in these sectors, driven by market dynamics and policy support [5][6][11]. Group 1: ETF Performance - As of September 12, 2025, the ChiNext ETF Tianhong (159977) recorded a transaction volume of 115 million yuan, with constituent stocks like Beijing Junzheng (300223) rising by 16.60% [3]. - The Photovoltaic ETF (159857) saw a turnover of 215 million yuan with a turnover rate of 8.19%, featuring stocks such as Kehua Data (002335) leading with a 10.01% increase [4]. - Over the past week, the ChiNext ETF Tianhong (159977) experienced a scale increase of 13.8 million yuan, indicating notable growth [5]. Group 2: Fund Size and Share Split - The Photovoltaic ETF (159857) achieved a cumulative increase of 7.29% over the past week, ranking first among comparable funds, with a scale increase of 15.4 million yuan and a share increase of 22.5 million shares [6]. - The ChiNext ETF Tianhong (159977) is set to implement a share split on September 12, 2025, with a ratio of 1:2, aimed at addressing investor concerns regarding high net asset values and lowering the purchase threshold for retail investors [7][8]. Group 3: Sector Focus and Highlights - The ChiNext ETF Tianhong (159977) focuses on new productivity sectors, with significant weights in electric equipment (27.4%), communications (17.4%), and electronics (14.3%), featuring leading tech stocks like CATL and Dongfang Wealth [9]. - The Photovoltaic ETF (159857) closely tracks the CSI Photovoltaic Industry Index, selecting up to 50 representative companies across the photovoltaic industry chain to reflect overall performance [9]. Group 4: Market and Policy Insights - The National Development and Reform Commission and the National Energy Administration have issued a plan for large-scale construction of new energy storage from 2025 to 2027, aiming for a total installed capacity of over 180 million kilowatts and direct investment of approximately 250 billion yuan [11]. - Analysts express optimism for the technology sector, citing factors such as lower-than-expected overseas policy impacts and strong quarterly outlooks, while the photovoltaic industry faces challenges from rapid capacity expansion and competitive pressures [12].

Group 1 - The ChiNext Index showed strong performance with an intraday increase of 4.6% on September 11, indicating a bullish market trend [1] - The Tianhong ChiNext ETF (159977) rose by 4.18% with a trading volume exceeding 200 million, highlighting significant investor interest in high-growth stocks [1] - Key stocks within the ChiNext ETF, such as Shenghong Technology and Zhongji Xuchuang, experienced gains exceeding 10%, reflecting strong market sentiment [1] Group 2 - The Tianhong CSI A500 ETF (159360) increased by 1.77% with a trading volume over 88 million, indicating active trading and investor engagement [1] - The CSI A500 Index, which the Tianhong ETF tracks, consists of 500 large-cap, liquid stocks across various industries, providing a broad representation of the market [1] - Recent low funding rates and a generally loose monetary environment have contributed to increased trading volumes in the A-share market, surpassing 2 trillion for several consecutive days [1] Group 3 - Dongguan Securities noted that the A-share market has experienced high-level fluctuations due to profit-taking after five months of gains, but the core logic for continued market growth remains intact [2] - Tianfeng Securities highlighted the gradual commercialization of AI in China, with internet companies reporting substantial returns on AI investments, suggesting a rapid iteration cycle for AI applications [2]

Core Insights - The Tianhong ChiNext ETF (code: 159977) has seen a 2.06% increase, marking three consecutive days of gains with a trading volume of 113 million yuan [6] - The Tianhong Sci-Tech Index ETF (code: 589860) rose by 1.90%, with a turnover rate of 12.1% and a trading volume of 49.59 million yuan, indicating active market participation [6] - The Tianhong CSI A500 ETF (code: 159360) increased by 0.50%, also achieving three consecutive days of gains, with a turnover rate of 3.54% and a trading volume of 63.59 million yuan [6] Fund Performance - As of September 1, 2025, the Tianhong ChiNext ETF (159977) reached a new high in scale at 9.655 billion yuan, the highest in the past six months [7] - The Tianhong ChiNext ETF encompasses four high-growth sectors: pharmaceuticals, new energy, computing power, and brokerage, with a valuation at the 38.36th percentile of its ten-year history, indicating it is undervalued compared to broad-based indices [7] - The Tianhong Sci-Tech Index ETF covers 97% of the Sci-Tech board's market value, focusing on hard technology and balancing investments in semiconductors, artificial intelligence, and biomedicine, with over 80% in strategic emerging industries [7] Economic Indicators - According to the National Bureau of Statistics, the manufacturing PMI, non-manufacturing business activity index, and comprehensive PMI output index for August were 49.4%, 50.3%, and 50.5%, respectively, showing a slight increase from the previous month [7] - Analysts suggest that the economic indicators reflect positive changes in China's economy, with expectations for continued release of domestic demand potential in September and the fourth quarter [7] Market Outlook - Huatai Securities indicates that the extension of short-term tariff exemptions and expectations of Federal Reserve rate cuts may improve risk appetite, with a shift towards fundamentals expected in the medium term [8] - China Galaxy Securities anticipates that the market will maintain a high central tendency, with active trading and supportive policies driving market conditions, while structural allocation opportunities should be monitored [8]

Group 1 - The market showed a rebound on August 29, with the ChiNext Index rising by 2.34%, driven by a collective surge in solid-state battery concept stocks [1] - The Tianhong ChiNext ETF (159977) experienced a peak increase of over 3.5% during the session, closing up 2.31% with a trading volume exceeding 98 million yuan [1] - Key component stocks such as XianDao Intelligent (300450) hit the daily limit, while Ningde Times (300750), Tianfu Communication (300394), and Yiwei Lithium Energy (300014) also saw significant gains [1] Group 2 - As of August 28, the Tianhong ChiNext ETF (159977) recorded a year-to-date increase of 32.94%, closely tracking the ChiNext Index, which consists of 100 representative companies in the ChiNext market [2] - The Tianhong CSI 500 ETF (159360) rose by 1.01% during the session, with a trading volume exceeding 42 million yuan, reflecting active trading with a premium rate of 0.11% [2] - The Tianhong Sci-Tech Innovation Index ETF (589860) saw a decline of 1.72% at midday, with a trading volume over 30 million yuan and a turnover rate exceeding 7% [2] Group 3 - Short-term market conditions indicate a positive feedback loop in liquidity, suggesting a continuation of valuation-driven market trends [3] - Investment opportunities are identified in the TMT sector and pharmaceutical biotechnology, driven by AI trends and innovation [3] - The non-bank financial sector is expected to benefit from a stabilizing capital market, while power equipment and certain resource products may see investment opportunities due to capacity governance [3]

Core Viewpoint - A-shares continue to perform strongly with a midday trading volume exceeding 2 trillion yuan, indicating robust market activity and investor interest [1] Group 1: Market Performance - The Shanghai Composite Index rose by 0.86% at midday, while the ChiNext Index increased by 2.22%, reaching a three-year high [1] - The trading volume increased by 571.3 billion yuan compared to the previous day, reflecting strong market participation [1] Group 2: Capital Inflow - There is a strong willingness for new capital to enter the market, supported by substantial household savings waiting to be invested and a margin financing balance remaining above 2 trillion yuan [1] - External factors include the potential for the Federal Reserve to lower interest rates in September and the first inflow of active foreign capital into A-shares since October of the previous year, as per EPFR data [1] Group 3: Investment Strategies - Over 5,000 stocks showed mixed performance, indicating increased difficulty in single-stock investments amid a rapidly rotating market [1] - Broad-based ETFs are highlighted as a strategy to capture different market hotspots while providing inherent resistance to rotation risks: - Tianhong ChiNext ETF (159977, linked 001593) has risen over 36% since June 23, with a current PE (TTM) of 38.86, ranking in the lowest historical percentile for the past decade [1] - Tianhong Sci-Tech ETF (589860, linked 023722) covers 97% of the Sci-Tech board's market value, focusing on hard technology with balanced allocations in semiconductors, artificial intelligence, and biomedicine [1] - Tianhong CSI A500 ETF (159360, linked 022429) tracks 500 constituent stocks that represent core assets of the Chinese economy, serving as a stabilizing investment to effectively hedge against rotation risks [1]

Group 1 - A-shares continue to perform strongly with a half-day trading volume exceeding 2 trillion yuan, an increase of 571.3 billion yuan compared to the previous day [1] - The Shanghai Composite Index rose by 0.86% at midday, while the ChiNext Index increased by 2.22%, reaching a three-year high [1] - There is a strong willingness for new capital to enter the market, supported by substantial household savings waiting to be invested and a margin financing balance remaining above 2 trillion yuan [1] Group 2 - Foreign capital has begun to flow into A-shares for the first time since October of last year, coinciding with expectations of a potential interest rate cut by the Federal Reserve in September [1] - Over 5,000 stocks showed mixed performance at midday, indicating increased difficulty in single-point investments amid a rapidly rotating market [1] - Broad-based ETFs are highlighted as a strategy to capture different market hotspots while providing inherent resistance to rotation risks [1] Group 3 - Tianhong's ChiNext ETF (159977, linked to 001593) has risen over 36% since June 23, with the latest PE (TTM) at 38.86, ranking in the lowest historical percentile for the past decade [1] - Tianhong's Sci-Tech Innovation Index ETF (589860, linked to 023722) covers 97% of the Sci-Tech board's market value, providing balanced exposure to hard technology sectors such as semiconductors, artificial intelligence, and biomedicine [1] - Tianhong's CSI A500 ETF (159360, linked to 022429) tracks 500 constituent stocks that represent core assets of the Chinese economy, serving as a stabilizing force for balanced allocation and effectively hedging against rotation risks [1]