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].

Market Overview - The Shanghai Composite Index rose by 0.37% to close at 3516.83 points, with a daily high of 3517.28 points [1] - The Shenzhen Component Index increased by 1.43% to close at 10873.62 points, reaching a high of 10873.62 points [1] - The ChiNext Index saw a rise of 1.75%, closing at 2269.33 points, with a peak of 2269.67 points [1] ETF Market Performance - The median return for stock ETFs was 0.85%, with the highest return from the Penghua SSE STAR 200 ETF at 2.58% [2] - The highest performing industry index ETF was the China Securities Hong Kong-Shenzhen 500 Medical Health ETF, yielding 3.03% [2] - The top three stock ETFs by return were: - Bosera CSI Hubei New and Old Kinetic Energy Conversion ETF (4.85%) - Huaxia CSI 5G Communication Theme ETF (4.63%) - Yinhua CSI 5G Communication Theme ETF (4.49%) [5] ETF Fund Flow - The top three stock ETFs by fund inflow were: - Guotai CSI All Share Securities Company ETF (inflow of 561 million yuan) - Huatai-PB CSI Dividend Low Volatility ETF (inflow of 514 million yuan) - Southern S&P China A-share Large Cap Dividend Low Volatility 50 ETF (inflow of 421 million yuan) [8] - The largest outflows were from: - Huaxia SSE STAR 50 Component ETF (outflow of 596 million yuan) - Huatai-PB CSI 300 ETF (outflow of 335 million yuan) - E Fund SSE 300 ETF (outflow of 295 million yuan) [10] Financing and Margin Trading - The highest financing buy amounts were: - Huaxia SSE STAR 50 Component ETF (639 million yuan) - Guotai CSI All Share Securities Company ETF (242 million yuan) - Guolian An CSI All Share Semiconductor Products and Equipment ETF (232 million yuan) [11] - The highest financing sell amounts were: - Huatai-PB CSI 300 ETF (30.73 million yuan) - Huaxia CSI 1000 ETF (15.77 million yuan) - Southern CSI 500 ETF (10.20 million yuan) [13] Industry Insights - Shanghai Securities noted that the structural improvement in the PCB market is driven by demand from AI servers, high-speed networks, and satellite communications, with high-layer boards and HDI markets expected to grow significantly by 2025 [13] - CITIC Securities highlighted that AI PCBs possess strong growth logic and sustainability, with expectations for valuation premiums as performance growth continues [14]

Core Viewpoint - The report provides an overview of the performance and management of the Jianxin ShenZhen Fundamental 60 ETF for the second quarter of 2025, highlighting its investment strategy, financial indicators, and net asset value performance. Fund Product Overview - Fund Name: Jianxin ShenZhen Fundamental 60 ETF - Fund Code: 159916 - Total Fund Shares at Period End: 75,066,039.00 shares - Investment Objective: To closely track the performance of the benchmark index with minimal tracking deviation and tracking error [2] - Investment Strategy: The fund primarily adopts a full replication strategy to construct its stock investment portfolio based on the composition and weight of the benchmark index [2] - Performance Benchmark: ShenZhen Fundamental 60 Index Return Rate [2] - Risk-Return Characteristics: The fund is classified as a stock fund, with higher risk and expected returns compared to money market funds, bond funds, and mixed funds [2] Key Financial Indicators and Fund Net Value Performance - Net Value Growth Rate for the Past Three Months: -2.46% with a volatility of 1.21% compared to a benchmark return of -3.77% [3] - Net Value Growth Rate for the Past Six Months: 9.18% with a volatility of 1.50% compared to a benchmark return of 6.12% [4] - Net Value Growth Rate for the Past Year: -7.84% with a volatility of 1.21% compared to a benchmark return of -15.61% [4] - Net Value Growth Rate since Fund Inception: 3% [4] Management Report - The fund manager has adhered to regulations and internal controls to protect the interests of fund shareholders, ensuring fair trading practices and avoiding conflicts of interest [6] - The fund's tracking error and average daily tracking deviation were maintained within the limits set by the fund contract [7] - The fund's net value growth rate for the reporting period was -2.46%, with a tracking error primarily arising from differences in weight structure between the stock portfolio and the benchmark index [7] Investment Portfolio Report - Total Fair Value of Investments: 343,909,127.99 RMB, with 98.97% allocated to stocks [8] - Major Industry Allocations: - Manufacturing: 240,489,178.70 RMB (69.26%) - Financial Sector: 42,874,482.22 RMB (12.35%) - Agriculture: 11,450,619.84 RMB (3.30%) [9] Fund Share Changes - Total Fund Shares at Beginning of Reporting Period: 77,566,039.00 shares - Total Subscription Shares During Reporting Period: 2,500,000.00 shares - Total Redemption Shares During Reporting Period: 5,000,000.00 shares - Total Fund Shares at End of Reporting Period: 75,066,039.00 shares [10]