建材概念股走强，东方雨虹涨超8%，旗滨集团涨超5%，北新建材涨超4%。 | 代码 | 名称 | 现价 | | 涨跌 涨跌幅 ▼ | | --- | --- | --- | --- | --- | | 159787 | 建材ETF易方达 | 0.791 | 0.029 | 3.81% | | 159745 | 建材ETF | 0.720 | 0.026 | 3.75% | | 516750 | 建材ETF | 0.786 | 0.026 | 3.42% | 有券商表示，行业目前盈利已触底，价格经历多年竞争目前已无向下空间，此次借助反内卷政策行业对提价及盈利改善诉求强烈。 2025年防水、涂料、石膏板等多品类持续发布提价函，行业盈利有望触底，2026年可期待龙头企业的盈利改善。 （文章来源：每日经济新闻） 受盘面影响，建材相关ETF涨超3%。 ...

Quantitative Models and Construction Methods 1. Model Name: Three-Strategy Fusion ETF Rotation Strategy - **Model Construction Idea**: The strategy integrates three dimensions: fundamental-driven rotation, quality low-volatility style rotation, and distressed reversal industry discovery. It aims to achieve factor and style complementarity while reducing the risk of single-strategy exposure[35][36] - **Model Construction Process**: 1. **Fundamental Rotation Strategy**: Selects industries based on factors such as exceeding expected prosperity, industry leadership effects, momentum, crowding, and inflation beta[36] 2. **Quality Low-Volatility Style Strategy**: Focuses on individual stock quality, momentum, and low volatility to enhance defensiveness[36] 3. **Distressed Reversal Strategy**: Utilizes PB z-score, long-term analyst expectations, and short-term chip exchange to capture valuation recovery and performance reversal opportunities[36] 4. Combines the three strategies equally to form a composite ETF rotation strategy, achieving multi-dimensional industry screening and reducing single-strategy risks[35][36] - **Model Evaluation**: The strategy effectively balances factor complementarity and style adaptation, providing robust performance across different market conditions[35][36] 2. Model Name: Hotspot Trend ETF Strategy - **Model Construction Idea**: This strategy identifies ETFs with strong upward trends and high market attention, constructing a risk-parity portfolio based on support-resistance factors and turnover ratios[30] - **Model Construction Process**: 1. Select ETFs where both the highest and lowest prices exhibit an upward trend[30] 2. Calculate the relative steepness of the regression coefficients for the highest and lowest prices over the past 20 days to construct support-resistance factors[30] 3. Choose the top 10 ETFs with the highest 5-day turnover ratio/20-day turnover ratio from the long group of the support-resistance factor, indicating increased short-term market attention[30] 4. Construct a risk-parity portfolio using these ETFs[30] - **Model Evaluation**: The strategy demonstrates strong performance, achieving significant excess returns compared to the benchmark[30] 3. Model Name: Capital Flow Resonance Strategy - **Model Construction Idea**: This strategy identifies industries with resonant capital flows by combining financing margin and active large-order capital flow factors, aiming to enhance stability and reduce drawdowns[42][44][45] - **Model Construction Process**: 1. Define the financing margin factor as the market-neutralized financing net buy-in minus securities lending net sell-out, calculated as the two-week change in the 50-day moving average[45] 2. Define the active large-order capital flow factor as the market-neutralized net inflow ranking of industry trading volume over the past year, using the 10-day moving average[45] 3. Exclude extreme industries from the active large-order factor and apply a negative exclusion for the financing margin factor to improve strategy stability[45] 4. Perform weekly rebalancing to select industries with resonant capital flows for long positions[45] - **Model Evaluation**: The strategy achieves stable positive excess returns with reduced drawdowns compared to other capital flow strategies[45] --- Model Backtesting Results 1. Three-Strategy Fusion ETF Rotation Strategy - **2025 YTD Performance**: Portfolio return 25.60%, benchmark return 21.83%, excess return 3.77%, Sharpe ratio 0.24, maximum drawdown -7.18%[39][40] - **Overall Performance (2017-2025)**: Annualized excess return 10.28%, Sharpe ratio 1.09, maximum drawdown -24.55%[40] 2. Hotspot Trend ETF Strategy - **2025 YTD Performance**: Portfolio return 34.49%, benchmark (CSI 300) excess return 19.58%[30] 3. Capital Flow Resonance Strategy - **2018-Present Performance**: Annualized excess return 14.3%, IR 1.4, reduced drawdowns compared to Northbound-Large Order Resonance Strategy[45] - **Last Week Performance**: Absolute return -0.27%, excess return 0.37% (relative to industry equal weight)[45] --- Quantitative Factors and Construction Methods 1. Factor Name: Momentum Factor - **Factor Construction Idea**: Captures the continuation of stock price trends over a specific period[53] - **Factor Construction Process**: 1. Calculate the 1-year momentum as the return over the past 12 months, excluding the most recent month[53] 2. Rank stocks based on momentum and form quintile portfolios[53] - **Factor Evaluation**: Demonstrates strong performance, with the 1-year momentum factor achieving a weekly excess return of 1.13%[53] 2. Factor Name: R&D to Total Assets Ratio - **Factor Construction Idea**: Measures the proportion of R&D investment relative to total assets, reflecting innovation capability[56] - **Factor Construction Process**: 1. Calculate the ratio of total R&D expenses to total assets for each stock[56] 2. Rank stocks based on this ratio and form quintile portfolios[56] - **Factor Evaluation**: Performs well in small-cap indices, with an excess return of 20.25% in the CSI 500 index[56] 3. Factor Name: Single-Quarter ROA YoY Change - **Factor Construction Idea**: Tracks the year-over-year change in return on assets (ROA) for a single quarter, reflecting profitability trends[56] - **Factor Construction Process**: 1. Calculate the year-over-year change in ROA for the most recent quarter, considering preliminary and forecasted data[56] 2. Rank stocks based on this change and form quintile portfolios[56] - **Factor Evaluation**: Excels in large-cap indices, with an excess return of 25.52% in the CSI 300 index[56] --- Factor Backtesting Results 1. Momentum Factor - **Weekly Excess Return**: 1.13%[53] 2. R&D to Total Assets Ratio - **Excess Return in CSI 500**: 20.25%[56] 3. Single-Quarter ROA YoY Change - **Excess Return in CSI 300**: 25.52%[56] - **Excess Return in CSI 500**: 10.16%[56] - **Excess Return in CSI 1000**: 21.98%[56]

Market Performance - The market experienced narrow fluctuations on August 8, with all three major indices slightly declining. The Shanghai Composite Index fell by 0.12%, the Shenzhen Component Index decreased by 0.26%, and the ChiNext Index dropped by 0.38% [1] - Despite the overall market decline, several ETFs related to construction materials, photovoltaic, and infrastructure sectors saw gains exceeding 2% [1] ETF Performance - The following ETFs showed notable performance: - E Fund Construction Materials ETF increased by 2.18%, closing at 0.702 [2] - Leading Photovoltaic ETF rose by 2.05%, with a price of 0.497 [2] - Infrastructure ETF also gained 2.05%, closing at 1.146 [2] - Infrastructure 50 ETF increased by 2.04%, closing at 1.103 [2] Industry Outlook - Experts predict that as Chinese engineering machinery companies continue to globalize, their competitiveness in overseas markets is expected to enhance, leading to an increase in market share [2] - The domestic engineering machinery market is anticipated to benefit from the "two new" policy, which is expected to drive ongoing demand for equipment upgrades. Additionally, growth in water conservancy and municipal sectors is likely to support a continued recovery in domestic engineering machinery demand [2]

Group 1 - The ETF market on August 8 showed mixed performance, with the construction materials ETF from E Fund (159787) leading gains at 2.18% [2] - The photovoltaic ETF (560980) and the infrastructure ETF (516950) both increased by 2.05% [2] - The software index ETF (560360) experienced the largest decline, falling by 3.07%, followed closely by the innovation-driven ETF (562570) which dropped 3.02% [2] - The computer ETF from Southern (159586) decreased by 2.87% [2]

Market Overview - A-shares experienced a slight pullback with the Shanghai Composite Index down 0.12%, Shenzhen Component down 0.26%, and ChiNext down 0.38% as of August 8, 2025, with a total trading volume of 171.02 billion [1] ETF Performance - The top-performing ETF was the Building Materials ETF (159787) with a gain of 2.18%, followed by the Photovoltaic ETF (260980) and Infrastructure ETF (216950), both up 2.05% [1] - The worst-performing ETFs included the Software Index ETF (260360) down 3.07% and the Innovation ETF (562570) down 3.02% [3] Policy Insights - Recent anti-involution policies are expected to enhance market competition and improve the valuation of low-valued manufacturing sectors, particularly in the photovoltaic industry [2] - The focus is on sectors with low stock prices and those benefiting from policy expectations, such as float glass and certain consumer building materials [2] Trading Activity - The Short-term Bond ETF (511360) had the highest trading volume at 25.82 billion, followed by the Silver Day Benefit ETF (211880) at 17.91 billion [4] - The Benchmark Government Bond ETF (511100) led in turnover rate at 283.49%, indicating high trading activity [5] Upcoming ETF Launches - Five new ETFs are set to begin fundraising on August 11, 2025, including the Growth ETF (159559) and the Hong Kong Innovative Drug ETF (159286) [6] - The upcoming ETFs will track various indices focusing on high-growth companies and innovative drug sectors [7]

Market Overview - A-shares experienced a slight decline with the Shanghai Composite Index down by 0.33%, Shenzhen Component Index down by 0.22%, and ChiNext Index down by 0.23%, with a total trading volume close to 1.8 trillion yuan [1] ETF Performance - The leading ETF in terms of growth was the Science and Technology Innovation Index ETF managed by Harvest, which surged by 20.04% [2] - Other notable gainers included various AI-related ETFs, with increases ranging from 4.20% to 4.81% [2] Sector Analysis - Guosen Securities highlighted that TSMC anticipates strong AI demand and a moderate recovery in non-AI demand, raising its annual revenue growth forecast from approximately 25% to 30% [3] - The semiconductor sector is expected to benefit from a favorable macroeconomic policy cycle, inventory cycle, and AI innovation cycle, leading to valuation expansion [3] - CICC predicts that generative AI technology will deepen its penetration in the second half of 2025, improving the competitive landscape and accelerating domestic substitution in the semiconductor and components industry [3] ETF Declines - Infrastructure and building materials ETFs experienced significant declines, with the leading infrastructure ETF down by 3.06% [5] - The recent announcement of large-scale infrastructure projects, including the Yarlung Tsangpo River hydropower project, is expected to stimulate demand in related sectors such as cement and construction materials [6][4] Trading Activity - The trading volume for money market ETFs saw a rebound, with the top performer being the Yinhua Daily ETF, achieving a transaction volume of 23.16 billion yuan [7] - The turnover rate for the Hong Kong Medical ETF reached 620%, indicating high trading activity [8] Upcoming ETF Launches - Three new ETFs will begin fundraising on July 28, 2025, focusing on Hong Kong consumer and technology sectors [8] - Four ETFs are set to be listed on the same day, including the Aviation ETF and Cash Flow ETF, which track various indices related to aviation and cash flow [9]

Core Viewpoint - The ETF market experienced mixed performance, with significant gains in technology-focused ETFs while infrastructure-related ETFs faced declines [1] Group 1: ETF Performance - The Science and Technology Innovation Index ETF by Jiashi (589300) led the gains with an increase of 20.04% [1] - The Huabao AI ETF (589520) rose by 4.81%, and the Science and Technology AI ETF (588790) increased by 4.70% [1] - Conversely, the Infrastructure ETF (516950) was the biggest loser, declining by 3.06%, followed by another Infrastructure ETF (159619) which fell by 2.89%, and the Yifangda Building Materials ETF (159787) which decreased by 2.63% [1] Group 2: Market Sentiment - The market is undergoing adjustments, suggesting that investors may consider broad-based indices for bottom-fishing opportunities [1]

Group 1 - The Hong Kong medical ETF (159366) led the gains with an increase of 2.08% [1] - The energy and chemical ETF (159981) rose by 1.64% [1] - The Hong Kong innovative drug ETF (520880) increased by 1.47% [1] Group 2 - The construction materials ETF (159787) was the biggest loser, declining by 2.49% [1] - The infrastructure ETF (516950) fell by 2.46% [1] - The Hang Seng Internet Technology ETF (159202) decreased by 2.15% [1]

Group 1 - The opening performance of ETFs showed mixed results, with the Shen 100 ETF from ICBC leading the gains at 3.96% [1] - The Nikkei ETF increased by 1.93%, while the CSI 300 ETF from Yongying rose by 1.92% [1] - Conversely, the Gold Stocks ETF experienced the largest decline at 2.5%, followed by the Sustainable Development ETF down 2.09%, and the Building Materials ETF from E Fund falling by 1.96% [1]

Group 1 - The Nikkei ETF (159866) led the gains with an increase of 4.54% [1] - The Hang Seng Internet Technology ETF (159202) rose by 4.47% [1] - The Nikkei 225 ETF E Fund (513000) increased by 4.29% [1] Group 2 - The construction materials ETF E Fund (159787) was the biggest loser, declining by 6.28% [1] - The construction materials ETF (516750) fell by 5.91% [1] - The construction materials ETF (159745) decreased by 5.61% [1]