Report Summary 1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints The report provides a daily tracking of various ETFs, categorized into "Broad - based" and "Industry Theme" ETFs. It presents multiple data for each ETF, including trading volume, price changes, RSI, net purchases, and institutional holding ratios, aiming to offer investors a comprehensive understanding of the ETF market [2][4][6]. 3. Summary by Categories Broad - based ETFs - **Multiple Index - tracking ETFs**: There are ETFs tracking various mainstream broad - based indices such as CSI 300, CSI 500, SSE 50, CSI 800, CSI 1000, CSI 2000, CSI A50, CSI A100, CSI A500, SSE STAR 50, SSE STAR 100, ChiNext, and various overseas broad - based indices. For example, the Huatai - Peregrine CSI 300 ETF has a market capitalization of 420.187 billion yuan and a decline of 0.57%. The Huaxia SSE STAR 50 ETF has a market capitalization of 722.26 billion yuan and an increase of 0.35% [4]. - **Performance Differentiation**: Different ETFs show different performance in terms of price changes, net purchases, and institutional holding ratios. For instance, the net purchase of the E Fund ChiNext ETF is 1.028 billion yuan, while the net purchase of the Huaxia SSE 50 ETF is - 4.00 billion yuan [4]. Industry Theme ETFs - **Diverse Industry Themes**: Include consumer electronics, non - bank finance, banking, real estate, new energy, chips, semiconductors, and many other industries. For example, the Huaxia China Securities Consumer Electronics Theme ETF has a market capitalization of 277.8 million yuan and a decline of 0.38% [6]. - **Industry - specific Performance**: Each industry's ETFs also have different performance. In the new energy sector, the GF China Securities New Energy Vehicle Battery ETF has a large net outflow of 651 million yuan, while the Peng Hua SSE STAR New Energy ETF has a net inflow of 37 million yuan [6].

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]