Quantitative Models and Construction Methods 1. **Model Name**: Timing System Model **Model Construction Idea**: The model uses the distance between the short-term moving average (20-day) and the long-term moving average (120-day) of the WIND All A Index to determine the market trend[2][7] **Model Construction Process**: - Define the short-term moving average (20-day) and long-term moving average (120-day) of the WIND All A Index - Calculate the difference between the two moving averages - If the short-term moving average is above the long-term moving average and the absolute difference exceeds 3%, the market is considered to be in an upward trend - Latest data: 20-day moving average = 6668, 120-day moving average = 6245, difference = 6.78%[2][7] **Model Evaluation**: The model effectively captures the market's upward trend and provides a clear signal for timing decisions[2][7] 2. **Model Name**: Industry Trend Allocation Model **Model Construction Idea**: This model identifies industry opportunities based on medium-term reversal expectations and performance trends[6][7] **Model Construction Process**: - Use medium-term reversal expectation signals to identify industries with potential recovery, such as innovative healthcare - Apply the TWO BETA model to recommend sectors like technology, commercial aerospace, space photovoltaics, and stablecoin concepts - Use performance trend signals to highlight opportunities in semiconductors, industrial metals, and chemicals[6][7] **Model Evaluation**: The model provides actionable insights into sector allocation, focusing on industries with strong growth potential or recovery signals[6][7] 3. **Model Name**: Position Management Model **Model Construction Idea**: This model determines the recommended equity allocation based on valuation levels and market trends[8] **Model Construction Process**: - Assess the valuation levels of the WIND All A Index using PE and PB ratios - Combine valuation levels with short-term trend signals to recommend an equity allocation - Current recommendation: 80% equity allocation for absolute return products based on the WIND All A Index[8] **Model Evaluation**: The model provides a systematic approach to managing equity exposure, balancing valuation and trend considerations[8] --- Model Backtesting Results 1. **Timing System Model**: - Moving average distance: 6.78% (absolute value > 3%, indicating an upward trend)[2][7] - Profitability effect: 2.7% (positive, supporting the upward trend)[2][7] 2. **Industry Trend Allocation Model**: - Recommended sectors: Innovative healthcare, technology, commercial aerospace, space photovoltaics, stablecoin concepts, semiconductors, industrial metals, and chemicals[6][7] 3. **Position Management Model**: - Recommended equity allocation: 80%[8] --- Quantitative Factors and Construction Methods No specific quantitative factors were explicitly mentioned in the report. The analysis primarily focuses on models rather than individual factors. --- Factor Backtesting Results No specific factor backtesting results were provided in the report. The focus remains on model-level performance and recommendations.

行业研究 | 基础化工 证券研究报告/行业研究 2026 年 1 月 22 日 地区冲突不断，关注石化和黄金相 强于大市（维持) liuyanping@cnht.com.cn 请仔细阅读报告末页声明 1 周期行业 ETF 双周报（20260105-0116） 行业指数与大盘走势对比 研报摘要 证券分析师 刘艳平 S0670512050002 关 ETF 行情回顾：（20260105-0116）区间沪深 300 涨幅为 2.20%，周期行业跟 踪的行业指数（20260105-0116）区间涨幅居前的是工业有色（H11059.CS， 15.52%）、CS 稀金属（930632.CSI，12.83%）、有色金属（000819.SH， 12.71%），唯一下跌的是中证旅游（930633.CSI，-1.96%）。周期行业 指数区间（20260105-0116）内主力资金净流入情况各不相同；主力资金 净流出前三的行业分别为细分化工（-130.75 亿元）、稀土产业（-115.99 亿元）、有色金属（-103.47 亿元）。周期行业代表性 ETF（20260105-0116） 涨 幅居 前 的为 工 业有 色 ETF（56 ...

Group 1: Report's Investment Rating - No information about the industry investment rating is provided in the report. Group 2: Core Viewpoints - In early 2026, the market sentiment has significantly warmed up, and the market has risen strongly. However, the risk - return ratio of chasing the rising market may not be high. Thematic investment remains popular, and funds from previously over - heated themes are expected to shift to other thematic sectors [1][7]. - The technology main line is still the market consensus. Funds are likely to flow into sectors such as semiconductor computing power and robotics within the technology sector, while lithium battery, non - ferrous metals, power grid, chemical, and innovative drugs are important supplementary sectors for the market [2][22]. Group 3: Summary by Directory 1. Which theme ETFs are expected to be the direction of capital return? - **Market situation**: In early 2026, the market has risen strongly, with commercial aerospace, AI applications, and non - ferrous metals becoming the focus. But there are signs of the market correcting irrational behaviors under regulatory guidance, and the risk - return ratio of chasing the rising market may be low. Thematic investment is still very popular. As of January 19, 2026, the cumulative net capital inflow of thematic index ETFs in the past five days exceeded 42.254 billion yuan, while industry index ETFs only had a net inflow of 9.763 billion yuan, and broad - based index ETFs showed a large net outflow [1][7]. - **Analysis from the perspective of rise and valuation**: Technological industries generally have high rises, while traditional cyclical industries such as liquor, coal, and breeding have relatively low rises. New energy sectors like lithium battery, photovoltaic, and new - energy vehicles, as well as the chemical industry, have risen but still have room to reach previous highs. From the valuation dimension, the current valuations of the game, intelligent driving, lithium battery, and breeding sectors are low [8]. - **Analysis using the quadrant chart**: - **First quadrant (high rise and high congestion)**: Mainly includes commercial aerospace, communication, AI, and non - ferrous metals. Non - ferrous metals (such as copper) and AI have relatively moderate congestion, and relevant sectors are still worthy of attention [2][17]. - **Second quadrant (high rise and low congestion)**: There are relatively few relevant industries, mainly semiconductor equipment (including related industrial chains such as storage) and lithium battery. The sector sentiment is not over - heated, and the industrial supply - demand pattern is optimized, so they are still worthy of attention [2][17]. - **Third quadrant (low rise and low congestion)**: Sectors such as innovative drugs, chemicals, and games have both industrial logic and market capacity, with large potential for a supplementary rise. For example, since 2026, the chemical ETF has re - entered the state of net inflow [2][17]. - **Fourth quadrant (low rise and high congestion)**: Includes robotics, power grid equipment, consumer electronics, and software. Power grid equipment has received renewed attention due to the unexpected increase in the 14th Five - Year Plan expenditure, and robotics has also been favored by the market because Tesla's third - generation robot has entered the scheme confirmation stage [2][21]. - **Specific ETF selection**: For ETFs tracking the same index, products with larger scale, relatively lower fees, and smaller tracking errors are selected. Specific ETF lists are provided in the report [22].

Core Viewpoint - The recent expansion of the ETF (Exchange-Traded Fund) interconnection marks a significant increase in the number of ETFs available for northbound trading, enhancing investment opportunities for both domestic and international investors [1] Group 1: ETF Interconnection Expansion - On January 19, a total of 98 ETFs were officially included in the northbound trading of the Shanghai and Shenzhen Stock Connect, increasing the total number of products in the "ETF Connect" from 273 to 364, representing a growth of over 30% [1] - The inclusion of more ETFs is expected to enrich the investment options for overseas institutional investors and promote the institutionalization of the A-share market [1] Group 2: Fund Management Perspective - A total of 29 fund companies had products included in the "ETF Connect," with China Asset Management leading with 14 ETFs, followed by E Fund with 10, and FT Fund with 7 [1] - The newly included products cover a wide range of types, including broad-based ETFs and industry-themed ETFs, which are expected to attract significant market attention [2] Group 3: Market Impact and Future Outlook - The expansion of the ETF interconnection is anticipated to enhance the international competitiveness and influence of China's capital market by attracting more professional investors and incremental capital [3] - Since the formal introduction of ETFs into the interconnection mechanism in July 2022, the total trading volume of northbound funds in 2025 is projected to reach 816.58 billion yuan, marking a 76% increase from 2024 [3]

Group 1 - The Industrial Nonferrous ETF (560860) has seen a price increase of 0.94%, reaching 1.831 yuan, with a turnover rate of 1.15% [1] - The top ten weighted stocks in the ETF include Northern Rare Earth (up 1.83%), Luoyang Molybdenum (up 1.59%), and Huayou Cobalt (up 7.33%), among others [1] - The fund has attracted significant capital inflow, with a net inflow of 430 million yuan on January 13 and a total of 2.227 billion yuan over the past five trading days, exceeding 3.4 billion yuan in the last ten days [1] Group 2 - The fund's scale has rapidly increased, surpassing 10 billion yuan on January 6 and approaching 13 billion yuan by January 14 [3] - The Industrial Nonferrous ETF closely tracks the CSI Industrial Nonferrous Metals Theme Index, which includes 30 leading stocks in the industrial nonferrous metal sector, with copper (34.4%), aluminum (21.8%), and rare earths (13.6%) being the top three metals [5] - The top ten constituent stocks account for 56.18% of the index, indicating a concentrated weight in leading companies within the industrial metal sectors [9] Group 3 - The Industrial Nonferrous ETF (560860) is the only ETF product tracking the CSI Industrial Nonferrous Metals Theme Index, providing investors with an efficient one-stop solution for exposure in this sector [7] - Investors can also access the fund through connection classes (A class: 018489; C class: 018490) to capitalize on cyclical and policy-driven opportunities [7]

Core Viewpoint - Domestic copper and aluminum futures prices continue to rise, with over 10% increase in the past month, driven by strong demand expectations from the largest consumer and the growth of data centers for artificial intelligence [1] Group 1: Market Performance - As of January 12, 2026, international copper futures rose by 1.63%, closing at $13,209.5 per ton, nearing record highs [1] - The Industrial Nonferrous ETF (560860) has attracted significant capital inflows, with over 1 billion yuan net inflow on January 12 alone, totaling 18.8 billion yuan over the past five trading days and 54 billion yuan over the last 60 days [1][3] Group 2: ETF Details - The Industrial Nonferrous ETF (560860) tracks the CSI Industrial Nonferrous Metals Theme Index, covering leading companies in copper, aluminum, and rare earths [4] - The ETF has seen its scale grow rapidly, surpassing 10 billion yuan on January 6 and exceeding 12 billion yuan by January 12 [3] Group 3: Demand and Supply Outlook - The current loose monetary policy from the Federal Reserve, combined with strong demand and limited supply, is expected to support the ongoing nonferrous metal bull market [4] - The CSI Industrial Nonferrous Metals Theme Index consists of 30 leading companies in the industrial nonferrous metal sector, with copper (34.4%), aluminum (21.8%), and rare earths (13.6%) being the top three metals, accounting for nearly 70% of the index [6]

Core Viewpoint - The "ETF Connect" program is set to expand significantly at the beginning of the year, with 98 new products being added, increasing the total from 273 to 364, representing a growth of over 30% [2][4][13]. Group 1: Expansion Details - On January 19, 54 ETFs listed on the Shanghai Stock Exchange will be included in the Northbound Shanghai Stock Connect, while 44 ETFs from the Shenzhen Stock Exchange will be added to the Northbound Shenzhen Stock Connect [5][8]. - A total of 7 ETFs will be temporarily removed from the mainland stock connect, resulting in a combined total of 364 products available for investment through the "ETF Connect" [8][13]. Group 2: Historical Performance - In 2025, the Northbound capital through "ETF Connect" reached a record high of 816.58 billion yuan, marking the highest annual amount since the program's inception [2][17]. - The trading volume for Northbound funds significantly increased, with the Shanghai Stock Connect reaching 51.14 billion yuan in July 2025, a nearly 50% increase compared to the previous month [17]. Group 3: Market Impact - The inclusion of more ETFs is expected to enhance the vitality and liquidity of the ETF markets in both regions, promoting further development [2][13]. - The expansion has diversified the investment options available under "ETF Connect," including the first inclusion of the CSI A500 ETF and various thematic ETFs, enriching investors' choices in specific sectors [13][15]. Group 4: Industry Insights - The growth in the number of ETFs and the increase in trading volume are attributed to the continuous expansion of available products, the appeal of ETFs as transparent and low-cost investment tools, and the attractive valuation of the A-share market [17]. - Major fund companies such as Huaxia, E Fund, and others have contributed significantly to the new additions, with Huaxia having the highest number of new ETFs included [13].

Core Insights - The commercial aerospace, semiconductor equipment, and non-ferrous metals sectors have sparked a theme investment boom since the beginning of 2026, with industry-themed ETFs becoming a key choice for capital allocation due to their transparency and convenience [1][2] - As of January 9, 2026, the number of domestic stock ETFs with a scale exceeding 10 billion yuan has expanded to 65, with a notable increase of 7 new funds in just one month [1][2] - The trend shows a decline in the share of broad-based ETFs in the A-share market while the share of industry-themed ETFs continues to grow, indicating a shift in market sentiment and investor preferences [1][5] Fund Performance - The satellite ETF from Yongying Fund has surged over 50% in the past month, with a net inflow of over 6.7 billion yuan, growing from 2.395 billion yuan to 11.769 billion yuan in size [2] - Other ETFs, including the semiconductor equipment ETF from Guotai Fund and the industrial non-ferrous ETF from Wanjia Fund, have also seen significant growth, with increases of over 20% in the same period [2] - The overall landscape shows a strong presence of 10 billion yuan-level ETFs in sectors such as securities, dividends, robotics, pharmaceuticals, non-ferrous metals, and military industry [2][3] Fund Management Strategies - Fund managers are increasingly focusing on strategic positioning in industry-themed ETFs, leveraging structural market trends to enhance their product offerings [3][4] - Leading firms have established a competitive advantage through a broad product line in industry-themed ETFs, with many achieving significant scale [3][4] - Recent successful launches include the gold stock ETF and the satellite ETF, which have quickly reached the 10 billion yuan mark, reflecting effective market positioning and timely product development [4] Market Trends - The total scale of domestic ETFs has stabilized at 6 trillion yuan, with a noticeable trend of capital inflow into industry-themed ETFs while broad-based ETFs experience outflows [5] - This shift in investor behavior is closely tied to market sentiment, where optimistic conditions lead to increased interest in high-risk industry-themed ETFs, while uncertain conditions drive a preference for more balanced broad-based ETFs [5] - Future opportunities for fund managers lie in providing more refined investment tools, including ETFs that cover specific niche industries and the increasing number of Smart Beta or enhanced index ETFs [5]

Group 1 - The small metals sector opened slightly higher on January 7, 2026, with the China Securities Industrial Nonferrous Metals Theme Index (H11059) rising by 0.72% [1] - Key stocks such as Jinli Permanent Magnet, Huayou Cobalt, and Northern Rare Earth saw significant increases, with gains of 3.80%, 3.55%, and 2.39% respectively [1] - The Industrial Nonferrous ETF (560860) increased by 1.06%, marking its fifth consecutive rise, and has accumulated a 12.65% increase over the past two weeks [1] Group 2 - As of January 6, 2026, the Industrial Nonferrous ETF reached a new high of 10.007 billion yuan, with continuous net inflows totaling 1.184 billion yuan over four days [1] - Institutional views suggest that the nonferrous metals sector, particularly copper, has strong investment logic due to supply constraints and recovering demand from major economies [1] - The top ten weighted stocks in the Industrial Nonferrous Metals Theme Index as of December 31, 2025, include major players like Luoyang Molybdenum, Northern Rare Earth, and China Aluminum, accounting for 56.18% of the index [2]

Core Viewpoint - The ETF market showed mixed performance on January 6, with significant gains in certain sectors while others experienced declines [1]. Group 1: Top Gainers - The Hong Kong Securities ETF by E Fund (513090) led the gains with an increase of 4.46%, closing at 2.201 [2]. - The Non-ferrous Metals Mining ETF by China Merchants (159690) rose by 4.43%, reaching a price of 2.098 [2]. - The Industrial Non-ferrous ETF (560860) saw a gain of 4.42%, closing at 1.702 [2]. - Other notable gainers included the Semiconductor Equipment ETF by E Fund (159558) with a 4.34% increase and the Sci-Tech Innovation Semiconductor ETF by Penghua (589020) rising by 4.32% [2]. Group 2: Top Losers - The Bank AH Preferred ETF (517900) led the declines with a drop of 2.22%, closing at 1.498 [2]. - The S&P Biotechnology ETF (159502) fell by 2.11%, ending at 1.302 [2]. - The NASDAQ Biotechnology ETF (513290) decreased by 1.60%, closing at 1.534 [2]. - Other ETFs that experienced losses included the Communication ETF (515880) down by 1.50% and the 5G ETF (159994) down by 1.10% [2].