1. Report Industry Investment Rating - No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - The report tracks the daily frequency data of various ETFs, including information such as tracking index, fund name, trading code, market capitalization, RSI, net subscription, trading volume, management fee rate, institutional holding ratio, and T+0 trading availability. It is divided into two sub - tables: "Broad - based" and "Thematic" according to the type of tracked index [2][4]. 3. Summary by Related Content Data Explanation - The report tracks daily frequency data of ETFs and is divided into "Broad - based" and "Thematic" sub - tables. The "Broad - based" ETFs track mainstream broad - based indices like CSI 300, CSI 500, etc., while "Thematic" ETFs track industry/style indices such as non - bank, dividend, and China concept Internet [2]. - The fund pool is constructed by selecting one or several large - scale ETF funds in each type for analysis [2]. - The RSI calculation formula is RSI = 100 – 100 / (1 + RS), where RSI is the ratio of average gain to average loss over a certain period (12 days). RSI>70 indicates an over - bought market, and RSI<30 indicates an over - sold market [2]. - The net subscription amount is calculated as NETBUY(T) = NAV(T)–NAV(T - 1)*(1 + R(T)), where NAV(T - 1) is the previous trading day's ETF net value [2]. - The institutional holding ratio is the estimated ratio from the latest annual or semi - annual reports of ETF funds, excluding the holding ratio of corresponding linked funds, and the data may have deviations [3]. ETF Data Summary Broad - based ETFs - For CSI 300 ETFs, the largest in terms of market capitalization is Huatai - PineBridge CSI 300 ETF with a market capitalization of 41.4422 billion yuan, and it had a net subscription of - 18.92 billion yuan [4]. - Among CSI 500 ETFs, Southern CSI 500 ETF has the largest market capitalization of 13.4009 billion yuan, with a net subscription of - 5.52 billion yuan [4]. - For SSE 50 ETFs, Huaxia SSE 50 ETF has a market capitalization of 17.7023 billion yuan and a net subscription of - 4.51 billion yuan [4]. - In the case of CSI 1000 ETFs, Southern CSI 1000 ETF has a market capitalization of 7.3848 billion yuan and a net subscription of 1.70 billion yuan [4]. - For Science and Technology Innovation Board 50 ETFs, Huaxia SSE Science and Technology Innovation Board 50 ETF has a market capitalization of 7.1317 billion yuan and a net subscription of - 0.30 billion yuan [4]. Thematic ETFs - In the consumer electronics sector, Huaxia China Securities Consumer Electronics Theme ETF has a market capitalization of 443.3 million yuan and a net subscription of - 1.00 billion yuan [6]. - For non - bank financial sector ETFs, Guotai CSI All - Index Securities Company ETF has a market capitalization of 5.3151 billion yuan and a net subscription of - 3.94 billion yuan [6]. - In the banking sector, Huabao CSI Bank ETF has a market capitalization of 1.4151 billion yuan and a net subscription of 4.26 billion yuan [6]. - For dividend - themed ETFs, Huatai - PineBridge SSE Dividend ETF has a market capitalization of 1.9554 billion yuan and a net subscription of 2.56 billion yuan [6]. - In the new energy sector, GF China Securities New Energy Vehicle Battery ETF has a market capitalization of 1.2109 billion yuan and a net subscription of 2.77 billion yuan [6]. - For chip semiconductor ETFs, Huaxia China Securities Semiconductor Chip ETF has a market capitalization of 2.6115 billion yuan and a net subscription of - 6.92 billion yuan [6].

Quantitative Factors and Construction Methods 1. Factor Name: RSI (Relative Strength Index) - **Factor Construction Idea**: RSI is used to measure the relative strength of a stock or ETF over a specific period, identifying overbought or oversold conditions in the market[2] - **Factor Construction Process**: The RSI is calculated using the following formula: $ RSI = 100 - \frac{100}{1 + RS} $ Where: - $ RS $ = Average gain over the past 12 days / Average loss over the past 12 days - RSI > 70 indicates an overbought condition, while RSI < 30 indicates an oversold condition[2] 2. Factor Name: Net Subscription (NETBUY) - **Factor Construction Idea**: This factor measures the net inflow or outflow of funds into an ETF, reflecting investor sentiment and demand[2] - **Factor Construction Process**: The net subscription is calculated using the following formula: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ Where: - $ NETBUY(T) $ = Net subscription amount on day T - $ NAV(T) $ = Net asset value of the ETF on day T - $ R(T) $ = Return of the ETF on day T[2] Factor Backtesting Results 1. RSI Factor - **华泰柏瑞沪深300ETF**: RSI = 63.90[4] - **易方达沪深300ETF**: RSI = 63.27[4] - **南方中证500ETF**: RSI = 66.43[4] - **华夏中证500ETF**: RSI = 66.58[4] - **华安三菱日联日经225ETF**: RSI = 70.10[6] 2. Net Subscription Factor - **华泰柏瑞沪深300ETF**: Net Subscription = 26.44 billion RMB[4] - **易方达沪深300ETF**: Net Subscription = 9.10 billion RMB[4] - **南方中证500ETF**: Net Subscription = 2.58 billion RMB[4] - **华夏中证500ETF**: Net Subscription = -0.25 billion RMB[4] - **华安三菱日联日经225ETF**: Net Subscription = -0.04 billion RMB[6]

Core Viewpoint - September is recognized as "Consumer Electronics Month" in the A-share market, highlighted by Apple's annual fall event where new products are unveiled, generating significant anticipation in the tech industry [1] Product Launches - Apple introduced the iPhone 17 series and the Air model, along with AI-supported real-time translation features in AirPods Pro 3 [2] - Several domestic brands, including Lenovo, Red Magic, Redmi, and Huawei, have launched high-performance compact tablets to meet diverse consumer needs [2] Market Performance - The Consumer Electronics Index has shown varying performance from September to October over the past six years, with notable increases in 2019 and 2024, while experiencing declines during the pandemic years [3] - The index performance from September to October is as follows: - 2019: 15.82% - 2020: -7.10% - 2021: -0.99% - 2022: -16.18% - 2023: 5.13% - 2024: 23.56% [3] Policy Support - The central government's subsidy policy for replacing old electronics is set to distribute 300 billion yuan in subsidies by October, with the fourth batch of 69 billion yuan covering various electronic products [4] - The back-to-school season is expected to drive demand for essential electronic devices among new university students [4] Investment Opportunities - The "fruit chain" index is recommended for investment, as Apple continues to explore opportunities in smart wearables and accessories, which are expected to contribute to growth despite pressure on overall device sales [5] - The "fruit chain" concentration is higher in the Guozheng Consumer Electronics Theme Index compared to the Zhongzheng Consumer Electronics Index, with key players like Luxshare Precision, BOE Technology, and GoerTek [6][7] Index Comparison - The Guozheng Consumer Electronics Index focuses on the entire consumer electronics supply chain, while the Zhongzheng index includes sectors like lithium batteries and solar energy, making it more diversified [7] - Historical performance shows that the Zhongzheng index has outperformed in the long term, while the Guozheng index offers more short-term volatility [7] ETF Products - The only ETF tracking the Guozheng Consumer Electronics Index is the Huaxia Guozheng Consumer Electronics Theme ETF, with a scale exceeding 4 billion yuan [11] - The Zhongzheng Consumer Electronics Index has multiple ETF products, including E Fund and Fortune ETFs, which have been tested in the market [11] Additional Indices - The Zhongzheng 5G Communication Theme Index has shown significant returns, with a one-year increase of 116.65%, indicating strong potential for future growth [12] - The Zhongzheng Electronic 50 Index covers the largest 50 listed companies in the electronics and semiconductor sectors, reflecting a high overlap with the "fruit chain" [13] - The Zhongzheng Smart Consumer Theme Index includes a diverse range of sectors, with a concentration of over 20% in "fruit chain" related stocks [14] Market Outlook - Institutions are optimistic about the future of the industry, with expectations of policy support and product innovation from major players like Apple, particularly in AI-related investments [15]

Core Viewpoint - The technology innovation sector has been the main driver for the A-share market's upward trend this year, while funds are increasingly flowing into the consumer sector, particularly food and beverage ETFs, as the traditional consumption peak season approaches [1][2]. Group 1: Fund Flow into Consumer ETFs - Since mid-August, there has been a significant inflow of funds into consumer-themed ETFs, with over 3.4 billion yuan net inflow, particularly in food and beverage ETFs which saw nearly 3 billion yuan [2]. - Prior to August, the consumer-themed ETFs experienced a net outflow of nearly 700 million yuan in the first seven months of the year, with food and beverage ETFs alone seeing a net outflow of nearly 1.2 billion yuan [2]. Group 2: Characteristics of the Consumer Sector - The valuation of the major consumer index is at a near three-year low, with a price-to-earnings ratio of 19.88, which is about 30% lower than the three-year average of 28.17 [3]. - The consumer index has underperformed the market, with a year-to-date increase of less than 5%, compared to nearly 16% for the Shanghai Composite Index and over 38% for the technology index [3]. Group 3: Performance and Growth of the Consumer Sector - The 800 consumer index is expected to see net profit growth exceeding that of the CSI 300 index from 2024 to 2027, with a forecast of double-digit growth in 2026 and 2027 [4]. - The trading activity in the consumer sector has increased, with the average turnover rate rising for three consecutive months, reaching 3.55% in August for the food and beverage sector [4]. Group 4: Historical Trends and Future Outlook - Historical data shows that during previous bull markets, the consumer sector often experiences a "lagging" effect, with significant gains occurring after initial market rallies [6]. - Recent government policies aimed at boosting consumption, such as the "Special Action Plan to Boost Consumption," indicate a supportive environment for the consumer sector [7][8]. Group 5: Undervalued Consumer Stocks - There are 12 consumer stocks identified as undervalued and high-performing, with a projected net profit growth of over 5% for the first half of 2024 and 2025, and a current price-to-earnings ratio below 30 [9]. - Notable examples include Kweichow Moutai, which has a price-to-earnings ratio of around 20 and a net profit growth forecast of nearly 9% for the first half of 2025 [9].

Group 1 - The report suggests increasing allocation to mid-cap growth stocks, focusing on TMT (Technology, Media, and Telecommunications) and financial sectors, including semiconductors, automotive, photovoltaic equipment, banks, coal, non-bank financials, electronics, computers, and textiles [3][47] - The industry rotation model for August highlights a preference for sectors with strong fundamental factors, particularly semiconductors and electronics, as well as the financial sector, due to their high consistency in funding and expectations [3][47] - The report indicates that the overall market momentum effect is weakening, and the performance of sectors related to the anti-involution theme, such as photovoltaic equipment and coal, has shown a decline in relative scores despite their absolute scores remaining high [3][47] Group 2 - The report notes that the industry ETF saw a significant net inflow of 46.438 billion yuan, while broad-based ETFs experienced a net outflow of 93 billion yuan, indicating a shift in investor preference towards sector-specific investments [6][27] - The performance of passive index funds has been generally positive, with several sectors, including steel, construction materials, and medical devices, showing gains exceeding 10% due to various catalysts [22][27] - The report emphasizes that the mid-cap growth strategy remains favored, with the CSI 500 index being a core focus for 2025, reflecting a return to mid-cap dominance after alternating strategies in previous years [5][65] Group 3 - The report highlights that the industry rotation model has consistently outperformed major benchmark indices, achieving a monthly win rate of 85.71% since 2025, indicating its robustness in various market conditions [5][64] - The model's design incorporates a bottom-up approach to factor selection, focusing on stable factors with low drawdown risks, which enhances its effectiveness in capturing market dynamics [63][64] - The report also mentions that the recent inflow of overseas ETF funds into A-shares reflects a warming attitude from foreign investors, particularly in sectors like electronics and banking, aligning with the model's findings [41][64]

ETF Performance Overview - The Huatai-PB CSI 300 ETF has a market value of CNY 368.77 billion and a decline of 0.79% with an RSI of 30.88, indicating a near oversold condition[4] - The E Fund CSI 300 ETF also shows a decline of 0.79% with a market value of CNY 260.36 billion and an RSI of 45.05, suggesting moderate market strength[4] - The CSI 500 ETFs, such as the Southern CSI 500 ETF, have experienced a decline of 1.00% with a market value of CNY 109.87 billion and an RSI of 44.88, indicating a weak market[4] Market Trends and Indicators - The overall market sentiment is reflected in the RSI values, with several ETFs showing RSI below 30, indicating oversold conditions, such as the Tianhong CSI 300 ETF with an RSI of 45.32[4] - Net purchases for the Huatai-PB CSI 300 ETF were negative at CNY -5.49 billion, indicating a trend of selling pressure[4] - The trading volume for the Huatai-PB CSI 300 ETF was CNY 23.31 billion, reflecting active trading despite the price decline[4] Sector-Specific Insights - The Consumer Electronics sector ETFs, such as the Huaxia National Index Consumer Electronics ETF, have shown a decline of 0.63% with an RSI of 55.27, indicating a relatively stable market[6] - The Non-Bank sector ETFs, including the E Fund Non-Bank ETF, have experienced a decline of 1.66% with an RSI of 47.50, suggesting a cautious outlook[6] - The New Energy sector ETFs, like the Southern CSI New Energy ETF, have shown a decline of 1.16% with an RSI of 44.37, indicating potential weakness in this sector[6]

Market Overview - A-shares have entered a new phase with external disturbances easing, showing support below and awaiting catalysts above[2] - The market is expected to exhibit a volatile trend in the short term, with economic growth remaining stable despite marginal declines in production, consumption, and investment growth rates[2] - In April, the GDP growth rate was 1% YoY, while the CPI and PPI showed deflationary trends at -0.1% and -2.7% respectively[6] Investment Strategy - The recommended investment strategy is a "barbell" approach focusing on "large-cap + technology growth" sectors[2] - Suggested ETFs include large-cap indices like the CSI 300 and defensive dividend ETFs, which are expected to benefit from increased public fund allocations[3] - Key sectors for investment include self-sufficiency in technology, AI, and robotics, with a focus on ETFs that track these themes[2] ETF Recommendations - The following ETFs are highlighted for investment: - Huaxia CSI 50 ETF with a scale of 1649.7 million RMB[4] - Huatai-PB CSI 300 ETF with a scale of 3800.7 million RMB[4] - E Fund CSI Artificial Intelligence ETF with a scale of 163.2 million RMB[4] - Guotai CSI Semiconductor Materials and Equipment ETF with a scale of 22.8 million RMB[4] Economic Indicators - The total social financing increased by 11,591 million RMB in April, with a year-on-year growth rate of 8.7%[6] - Fixed asset investment showed a cumulative year-on-year growth of 4.0%, while real estate development investment declined by 10.3% YoY[6] Risk Factors - Potential risks include slower-than-expected economic recovery, policy implementation delays, geopolitical risks, and uncertainties surrounding overseas interest rate cuts and trade policies[4]

Market Outlook and ETF Strategy - The current phase of the A-share market indicates a stabilization of external disturbances, with support on the downside and potential catalysts on the upside, leading to an expected short-term oscillating trend [2] - Following the Geneva talks between China and the US, tariff trade risks have eased, and the index has returned to pre-tariff levels, showcasing the A-share market's resilience against global risks [2] - Despite a recent decline in market volume and rapid sector rotation, the A-share market is expected to maintain a primary oscillating trend due to the lack of strong catalysts for further upward movement [2] - The recommended investment strategy is a "barbell" approach, focusing on large-cap stocks and technology growth sectors, with a dual emphasis on public fund allocation and defensive strategies [2] Industry and Thematic Trends - Currently, the market lacks a clear mainline, with dispersed hotspots and no single sector attracting significant monthly trading consensus [2] - In the medium term, under the "broad monetary + weak dollar" framework, technology growth styles are expected to perform well, particularly in areas such as self-sufficiency, AI, and robotics [2] - The report suggests focusing on two main directions for industry/theme ETF allocations: self-sufficiency and industry trends, particularly in semiconductor equipment and high-end manufacturing ETFs [2][3] ETF Recommendations - The report lists specific ETFs for investment, including: - Large-cap ETFs such as the Huaxia SSE 50 ETF (规模: 1649.7 million) and the Huatai-PB CSI 300 ETF (规模: 3800.7 million) [4] - Dividend-focused ETFs like the CCB CSI 300 Dividend ETF (规模: 2.8 million) and the Invesco CSI 100 Low Volatility Dividend ETF (规模: 62.1 million) [4] - Thematic ETFs including the Huaxia National Semiconductor Equipment ETF (规模: 22.8 million) and the E Fund National Robotics Industry ETF (规模: 13.9 million) [4][13]