Group 1: Report Information - Report Date: October 10, 2025 [1] - Report Title: Shenwan Hongyuan Gold ETF Portfolio 202510 [1] - Analysts: Shen Siyi, Deng Hu [3] - Research Support: Bai Haotian [3] - Contact: Shen Enyi [3] Group 2: Investment Ratings - No industry investment ratings are provided in the report. Group 3: Core Views - The report constructs four ETF portfolios, including the macro industry portfolio, macro + momentum industry portfolio, core - satellite portfolio, and trinity style rotation ETF portfolio, based on macro - sensitivity and momentum analysis, aiming to capture investment opportunities in different market environments [5][8]. - The current economic leading indicators are rising, liquidity indicators are slightly tight, and credit indicators remain positive. The portfolios are shifting towards a more balanced allocation, with an increased proportion of consumer sectors [5]. - The trinity style rotation model combines macro - liquidity, fundamental, and market sentiment factors to construct a medium - to long - term style rotation model, providing insights into market style preferences [5][9]. Group 4: ETF Portfolio Construction Methods 4.1 Based on Macro - Method - Calculate macro - sensitivity for broad - based, industry - theme, and Smart Beta ETFs based on economic, liquidity, and credit variables. Traditional cyclical industries are sensitive to the economy, TMT to liquidity, and consumption to credit [8]. - Construct three ETF portfolios (macro industry, macro + momentum industry, and core - satellite) using macro - sensitivity and momentum, and rebalance monthly [8]. 4.2 Trinity Style Rotation ETF Portfolio - Build a medium - to long - term style rotation model centered on macro - liquidity, comparing with the CSI 300 index. Screen macro, fundamental, and market sentiment factors to construct three types of models (growth/value, market - cap, and quality) [9]. Group 5: Portfolio Details 5.1 Macro Industry Portfolio - Select the top 6 industry - theme indices based on macro - sensitivity scores, and equally weight the largest - scale corresponding ETFs. Currently, the portfolio is more balanced with an increased consumer proportion [5][10]. - October 2025 holdings include ETFs related to tourism, home appliances, chemicals, etc. [14]. - In 2025, the portfolio had varying monthly excess returns, with positive excess returns in September [15]. 5.2 Macro + Momentum Industry Portfolio - Combine macro and momentum methods. The pharmaceutical sector's weight is further reduced, and rare earth and battery sectors are selected on the momentum side [5][16]. - October 2025 holdings include multiple industry - themed ETFs [18]. - The portfolio performed well in 2025, with positive excess returns in September after a drawdown in August [19]. 5.3 Core - Satellite Portfolio - Use the CSI 300 as the core and combine broad - based, industry, and Smart Beta portfolios. Weight them at 50%, 30%, and 20% respectively [20][21]. - October 2025 holdings include a mix of broad - based and industry - themed ETFs [24][25]. - The portfolio performed steadily in 2025, outperforming the index almost every month [25]. 5.4 Trinity Style Rotation ETF Portfolio - The model currently favors small - cap growth and high - quality styles. The portfolio's factor exposure and historical performance are presented [26][27]. - October 2025 holdings include ETFs related to small - cap indices and high - growth sectors [31]. - The portfolio has shown certain performance since 2021, with positive excess returns in September 2025 [30].

时间回溯到2024年9月24日，彼时的A股正深陷信心泥潭，指数在低位反复震荡，投资者情绪跌至冰点。就在投资者还在担心指数是不是能够守住2700点的 时候，时间一晃一年过去了，上证指数已从2700点攀升至3800点以上，总市值首破100万亿元，超过1500只个股实现区间股价翻倍。 以沪深300为例，过去一年间，沪深300指数上涨40%，其中估值贡献率达到88%，EPS贡献率为12%。当前 A 股处于历史最长的 ROE 下行和 PPI 负增长区 间，工业企业利润、A 股净利润同比增速均在较长时间内处于低位。过去稳股市、反内卷等宏观政策持续发力，股票市场领先经济基本面反映。 从数据上看，本轮成长类赛道整体表现非常突出，在创新药出海、芯片国产替代等多重利好的刺激下，包括北证50、科创50、创业板指在内的多个成长类指 数，收益率直接翻倍。而港股的恒生科技，恒生国企等指数也都跑赢了大盘。 "924"一周年，成长类指数几乎都跑赢了大盘 数据来 源：Choice 截至：2025.9.23 尽管市场整体向好，但"结构性分化"仍是过去一年最突出的特征，代表未来发展方向的科技、数字经济板块"一骑绝尘"：人工智能产业链年内平均涨幅超 ...

Core Insights - As of September 12, the total margin balance for ETFs in the Shanghai and Shenzhen markets is 111.705 billion yuan, a decrease of 1.002 billion yuan from the previous trading day [1] - The financing balance for ETFs is 103.943 billion yuan, down by 1.019 billion yuan, while the margin balance for securities lending increased by 0.017 billion yuan to 7.762 billion yuan [1] ETF Financing Activity - On September 12, 210 ETFs experienced net financing inflows, with the highest net inflow recorded for the Bosera CSI Convertible Bonds and Exchangeable Bonds ETF, amounting to 312 million yuan [1] - Other ETFs with significant net financing inflows include the FTSE China Government Bond 7-10 Year Policy Financial Bonds ETF, Huabao CSI Bank ETF, Huatai-PineBridge CSI 300 ETF, Southern CSI Shenwan Nonferrous Metals ETF, E Fund CSI Overseas Internet ETF, and Harvest CSI 500 ETF [1]

Summary of Key Points Core Viewpoint - On September 10, the industry-themed ETF funds experienced a net inflow of 1.12 billion yuan, with a cumulative net inflow of 16.857 billion yuan over the past five trading days, indicating strong investor interest in these funds [1]. Fund Inflows - A total of 132 industry-themed ETFs saw net inflows, with the top performer being the Yongying CSI Hong Kong and Shanghai Gold Industry Stock ETF (517520), which had an increase of 402 million shares and a net inflow of 747 million yuan [1][3]. - The latest scale of the Yongying ETF is 9.308 billion yuan, despite a decline of 1.69% in its price [3]. Fund Outflows - Conversely, 143 industry-themed ETFs experienced net outflows, with the leading outflow being from the Huatai-PineBridge CSI Photovoltaic Industry ETF (515790), which saw a reduction of 506 million shares and a net outflow of 441 million yuan [4][5]. - The latest scale of the Huatai ETF is 14.882 billion yuan, with a price drop of 1.80% [5]. Detailed Fund Performance - Other notable ETFs with significant net inflows include: - Penghua CSI Sub-Segment Chemical Industry ETF (159870) with a net inflow of 448 million yuan [3]. - Guotai CSI All-Index Securities Company ETF (512880) with a net inflow of 363 million yuan [3]. - ETFs with significant net outflows include: - E Fund CSI Artificial Intelligence Theme ETF (159810) with a net outflow of 344 million yuan [5]. - Jiashi Shanghai Stock Exchange Science and Technology Innovation Board Chip ETF (588200) with a net outflow of 341 million yuan [5].

Summary of Key Points Core Viewpoint - As of September 2, the total margin balance of ETFs in the Shanghai and Shenzhen markets is 109.123 billion yuan, showing a decrease of 0.887 billion yuan from the previous trading day [2] ETF Financing and Margin Data - The ETF financing balance stands at 101.691 billion yuan, down by 0.722 billion yuan from the previous trading day [2] - The ETF margin trading balance is recorded at 7.432 billion yuan, which is a decrease of 0.165 billion yuan compared to the previous trading day [2] Top Performing ETFs - On September 2, 198 ETFs experienced net financing inflows, with the Guotai CSI All-Share Communication Equipment ETF leading with a net inflow of 0.258 billion yuan [2] - Other ETFs with significant net financing inflows include the Huaxia CSI Robotics ETF, Huaan Gold ETF, Huabao CSI Banking ETF, Guotai CSI All-Share Securities Company ETF, and E Fund CSI Hong Kong Securities Investment Theme ETF [2]

Market Overview - The Shanghai Composite Index fell by 0.45% to 3858.13 points, with a high of 3885.31 points during the day [1] - The Shenzhen Component Index decreased by 2.14% to 12553.84 points, reaching a peak of 12857.16 points [1] - The ChiNext Index dropped by 2.85% to 2872.22 points, with a maximum of 2979.73 points [1] ETF Market Performance - The median return of stock ETFs was -1.27% [2] - The highest performing scale index ETF was the China Universal CSI 500 ETF with a return of 0.96% [2] - The highest performing industry index ETF was the Tianhong CSI Bank ETF with a return of 1.96% [2] - The highest performing strategy index ETF was the Harvest CSI 300 Dividend Low Volatility ETF with a return of 0.88% [2] - The highest performing theme index ETF was the Penghua National Robot Industry ETF with a return of 2.3% [2] ETF Performance Rankings - The top three ETFs by return were: - Penghua National Robot Industry ETF (2.3%) - E Fund National Robot Industry ETF (2.22%) - Invesco Great Wall National Robot Industry ETF (2.1%) [4][5] - The largest declines were seen in: - Jianxin National New Energy Vehicle Battery ETF (-9.97%) - E Fund National Communication Equipment Theme ETF (-6.45%) - Guotai Chuangye Board Artificial Intelligence ETF (-6.21%) [5] ETF Fund Flows - The top three ETFs by inflow were: - Guotai CSI All-Index Communication Equipment ETF (1.393 billion) - Guotai CSI All-Index Securities Company ETF (609 million) - Southern CSI Shenwan Nonferrous Metals ETF (607 million) [6][7] - The top three ETFs by outflow were: - Huatai-PB CSI 300 ETF (1.117 billion) - Guolian An CSI All-Index Semiconductor Products and Equipment ETF (646 million) - E Fund Shanghai Stock Exchange Science and Technology Innovation Board 50 ETF (614 million) [7] ETF Margin Trading Overview - The top three ETFs by margin buying were: - Huaxia Shanghai Stock Exchange Science and Technology Innovation Board 50 ETF (1.208 billion) - E Fund ChiNext ETF (1.122 billion) - Guotai CSI All-Index Securities Company ETF (610 million) [8][9] - The top three ETFs by margin selling were: - Southern CSI 500 ETF (52.63 million) - Huatai-PB CSI 300 ETF (20.95 million) - Huaxia Shanghai Stock Exchange 50 ETF (14.07 million) [9] Industry Insights - The humanoid robot sector in China is accelerating, supported by government policies and technological advancements [10] - The robot industry is entering a phase of small-scale production, indicating market confidence in the future potential of humanoid robots [10]

Core Insights - The total margin balance for ETFs in the Shanghai and Shenzhen markets as of September 2 is 109.123 billion yuan, a decrease of 0.887 billion yuan from the previous trading day [1] - The financing balance for ETFs is 101.691 billion yuan, down by 0.722 billion yuan, while the securities lending balance is 7.432 billion yuan, a decrease of 0.165 billion yuan [1] ETF Financing Activity - On September 2, 198 ETFs experienced net financing inflows, with the Guotai CSI All-Share Communication Equipment ETF leading with a net inflow of 0.258 billion yuan [1] - Other ETFs with significant net financing inflows include the Huaxia CSI Robotics ETF, Huaan Gold ETF, Huabao CSI Banking ETF, Guotai CSI All-Share Securities Company ETF, and E Fund CSI Hong Kong Securities Investment Theme ETF [1]

Group 1 - The core point of the article highlights that as of August 22, the total margin balance for ETFs in the Shanghai and Shenzhen markets reached 102.612 billion yuan, an increase of 0.882 billion yuan from the previous trading day [1] - Among the ETFs, the Southern CSI 500 ETF had the highest net margin buy-in amounting to 0.594 billion yuan, leading the list of 240 ETFs that received net margin buy-ins on that day [1] - Other notable ETFs with significant net buy-ins include the Huaxia SSE STAR 50 ETF, Guotai CSI All-Share Securities Company ETF, Harvest SSE STAR Chip ETF, and Huabao CSI Bank ETF, each exceeding 0.1 billion yuan in net buy-in amounts [1] Group 2 - The financing balance for ETFs was reported at 95.857 billion yuan, reflecting an increase of 0.971 billion yuan compared to the previous trading day [1] - The margin short-selling balance for ETFs stood at 6.755 billion yuan, which decreased by 0.089 billion yuan from the previous trading day [1]

Group 1: Core Insights - The report highlights that the stock side employs a small-cap growth portfolio combined with a non-timing stock-bond monthly rebalancing strategy, projecting cumulative returns of 5.93% and 11.15% by 2025 [1][4] - As of August 15, 2025, the total market size of fixed income plus funds reached 1,784.66 billion, with 1,177 products, of which 412 achieved historical net value highs last week [2][9] - The report indicates a divergence in performance among various fund types, with median returns for mixed bond type funds being -0.07% for level one, 0.17% for level two, and 0.33% for mixed bond type funds [2][12] Group 2: Asset Allocation and ETF Rotation - The macro environment forecast for Q3 2025 suggests an inflationary trend, with the CSI 300 index, the total wealth index of government bonds, and AU9999 contracts yielding 3.11%, -0.32%, and 1.03% respectively since August [3][4] - Recommended industry ETFs for August 2025 include those focused on artificial intelligence, semiconductors, non-ferrous metals, banking, and major consumer sectors, with a weekly return of 4.01% and a cumulative return of 5.81% for the month [3][4] Group 3: Absolute Return Strategy Performance - The macro-timing driven stock-bond 20/80 rebalancing strategy yielded a return of 0.47% last week, while the stock-bond risk parity strategy returned -0.02% [4][9] - The small-cap growth style within the stock-bond 20/80 combination showed the most significant performance, with a year-to-date return of 11.15% [4][9] - The report notes that the cumulative return for the small-cap growth portfolio, when adjusted for timing strategies, reached 12.81% [4][9]

Core Insights - On August 11, industry-themed ETFs experienced a net outflow of 1.779 billion yuan, while the cumulative net inflow over the past five trading days reached 5.806 billion yuan, with four days showing net inflows [1][6] - The top ETF by net inflow on August 11 was the Guotai CSI All Share Securities Company ETF (512880), which saw an increase of 358 million shares and a net inflow of 435 million yuan [1][3] - A total of 126 industry-themed ETFs recorded net inflows, while 224 ETFs experienced net outflows, with the top outflow being from the Harvest SSE Sci-Tech Innovation Board Chip ETF (588200), which had a reduction of 540 million shares and a net outflow of 879 million yuan [1][4] Summary by Category Net Inflows - The Guotai CSI All Share Securities Company ETF (512880) had a net inflow of 435 million yuan and an increase of 358 million shares, bringing its total shares to 2.933 billion [3][5] - Other notable inflows included: - Harvest National Cash Flow ETF (159221) with a net inflow of 249 million yuan and an increase of 227 million shares [3] - Huabao Securities ETF (512000) with a net inflow of 188 million yuan and an increase of 325 million shares [3] Net Outflows - The top outflow was from the Harvest SSE Sci-Tech Innovation Board Chip ETF (588200), which had a net outflow of 879 million yuan and a decrease of 540 million shares, bringing its total shares to 1.927 billion [4][5] - Other significant outflows included: - E Fund CSI Artificial Intelligence Theme ETF with a net outflow of 320 million yuan and a decrease of 300 million shares [4] - Huaxia CSI Animation Game ETF with a net outflow of 287 million yuan and a decrease of 211 million shares [4]