Group 1 - The report aims to track large purchases and net active purchases through transaction detail data, building relevant indicators [1] - The top five industries for large purchases in the last five trading days are: Banking, Real Estate, Steel, Comprehensive, and Textile & Apparel [2] - The top five industries for net active purchases in the last five trading days are: Banking, Transportation, Pharmaceuticals, Real Estate, and Oil & Petrochemicals [2] Group 2 - The top five ETFs for large purchases in the last five trading days are: Guotai CSI A500 ETF, Guotai SSE 10-Year Treasury ETF, Harvest S&P Oil & Gas Exploration and Production Selected Industry ETF, Southern Growth Enterprise Board AI ETF, and Hai Futong SSE Urban Investment Bond ETF [2] - The top five ETFs for net active purchases in the last five trading days are: Guotai SSE 10-Year Treasury ETF, E Fund CSI 300 Non-Bank ETF, Yinhua SSE Sci-Tech Innovation Board 100 ETF, Huabao CSI Nonferrous Metals ETF, and Penghua CSI Liquor ETF [2]

在A股上证指数迈入4000点关键关口、市场震荡加剧的背景下，投资者普遍面临"高波动与高收益并 存"的投资困境。追涨杀跌易导致收益折损，长期持有又需忍受剧烈波动的煎熬。而网格交易策略凭 借"低买高卖"的纪律性操作，成为震荡市中驾驭波动的有效工具。证券板块作为对市场流动性和政策变 化高度敏感的高弹性板块，恰好与网格策略的适用逻辑完美契合。 网格策略的成功实施，核心在于选择"波动适度、流动性充足、估值合理"的交易标的。易方达香港证券 ETF（513090）与易方达沪深300非银ETF（512070，联接A/C: 000950 / 007882，证券保险类核心标 的）凭借独特产品优势，成为网格交易的理想选择。 （一）高波动特性契合网格交易本质需求 网格策略的核心盈利逻辑是通过标的在区间内的反复震荡，实现低买高卖的波段收益。证券板块天然具 备高波动属性：一方面，板块对政策变化、市场情绪、流动性波动极为敏感，经纪、投行、资管等业务 预期易受外部因素催化而快速变化；另一方面，4000点关口市场情绪摇摆，资金进出频繁，推动证券股 价格在区间内反复波动，为网格策略创造了丰富的差价空间。 具体来看，香港证券ETF成立以来日波动率 ...

Group 1 - As of November 12, five ETFs in the market have seen net inflows exceeding 2 billion yuan, including Yinhua Rili A, Huaan Gold ETF, Huaxia Shanghai Stock Exchange Sci-Tech Innovation Board 50 ETF, E Fund ChiNext ETF, and E Fund CSI 300 Non-Bank ETF [1] - Recently, the trading of Sci-Tech bond theme ETFs has been active, with four of the top ten ETFs by single-day trading volume on November 12 being Sci-Tech bond theme ETFs, namely Guotai Sci-Tech Bond ETF (551800), CMB Sci-Tech Bond ETF (551900), Huatai-PB Sci-Tech Bond ETF (551520), and Southern Sci-Tech Bond ETF (159700) [1] - The Shanghai Securities Exchange International Investor Conference opened in Shanghai on November 12, where the Vice Chairman of the China Securities Regulatory Commission, Li Ming, stated that the door to China's capital market will continue to open wider, emphasizing a market-oriented, legal, and international approach to steadily expand high-level institutional openness [1]

Core Insights - The report suggests increasing allocation to large-cap value stocks while focusing on TMT (Technology, Media, and Telecommunications) and cyclical sectors [3][30] - The industry rotation model has been optimized to adapt to market conditions, incorporating high-frequency factors and enhancing the strategy's effectiveness [4][26] - The latest industry rotation model identifies non-bank financials, steel, media, non-ferrous metals, environmental protection, and telecommunications as preferred sectors [30][33] Market Review and Fund Flow Tracking - As of October 31, 2025, the total monthly trading volume of A-shares reached 36.78 trillion yuan, with a slight decrease in daily average trading volume by 10.49% compared to the previous month [12][18] - The average stock return dispersion for the past month was 2.41%, indicating a slight decline but remaining above the median level for the past six months [12][18] - The industry rotation speed has continued to expand, significantly exceeding the average level since 2015 [12][18] Industry Rotation Model and ETF Fund Configuration - The report emphasizes the importance of focusing on large-cap value and cyclical sectors, particularly in the context of the current unclear market leadership [3][30] - The recommended ETF portfolio includes six funds: E Fund CSI 300 Non-Bank ETF, Guotai Junan CSI Steel ETF, GF CSI Media ETF, Southern CSI Non-Ferrous Metals ETF, Southern Yangtze River Protection Theme ETF, and Guotai Junan CSI All-Share Communication Equipment ETF [3][34] - The model's historical performance has shown consistent positive excess returns, outperforming major benchmark indices [5][42] Historical Performance and Model Effectiveness - The industry rotation model has maintained a strong performance over the years, achieving excess returns compared to industry averages, with a notable performance in 2025 [5][42] - The model's win rates over the past 1, 3, and 5 years are 83.33%, 69.44%, and 71.67% respectively, indicating its robustness [43][44] - The report highlights the significance of emotional and price-volume factors in capturing market dynamics, especially in weak market conditions [42][43]

Investment Rating - The report indicates a marginal increase in investment in the TMT (Technology, Media, and Telecommunications) sector, with specific recommendations for non-bank financials, communications, real estate, building materials, media, and banks [1]. Core Insights - The industry rotation model is driven by three main dimensions: fundamentals, price-volume, and sentiment, aiming to capture market microstructure and industry opportunities. The model has been backtested bi-weekly and expanded to include factors such as momentum, trends, capital flow, sentiment, market structure, and volatility [1]. - The sentiment score for the real estate sector has significantly improved, increasing by 0.98, while the media sector's price-volume factors have seen a notable increase of 3.24 [1]. Summary by Sections Industry Recommendations - The recommended ETFs include: - E Fund CSI 300 Non-Bank ETF - Guotai CSI All-Index Communication Equipment ETF - Southern CSI All-Index Real Estate ETF - Guotai CSI All-Index Building Materials ETF - GF CSI Media ETF - Huabao CSI Bank ETF [3]. Performance Metrics - The industry rotation strategy has increased by 0.25% over the past two weeks, with an excess return of 0.64% compared to an equal-weighted industry benchmark. Year-to-date, the strategy has risen by 34.89%, with a Sharpe ratio of 1.77 and a Calmar ratio of 2.88 [4][6].

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core View of the Report - As of October 26, 2025, the model recommends non-bank finance, communication, real estate, building materials, media, and banking, with marginal increases in media and real estate investments [1] - The non-bank finance, communication, and real estate sectors are mainly driven by fundamentals, building materials and media are mainly influenced by sentiment, and banking is driven by both quantitative and fundamental factors [1] - The industry rotation model analyzes the market from three dimensions: fundamentals, volume-price, and sentiment, aiming to capture industry opportunities [1] 3. Summary by Relevant Catalogs Industry Rotation Model - The model backtests original factors on a bi-weekly basis and expands volume-price factors from dimensions such as momentum and trend, capital flow and sentiment, and market structure and volatility [1] - Six relatively effective factors are selected to construct the industry rotation strategy [1] Industry ETF Portfolio - The current industry ETF portfolio includes six ETFs: E Fund CSI 300 Non-Bank Finance ETF, Guotai CSI All-Index Communication Equipment ETF, Southern CSI All-Index Real Estate ETF, Guotai CSI All-Index Building Materials ETF, GF CSI Media ETF, and Huabao CSI Bank ETF [3] Performance of the Industry Rotation Strategy - In the past two weeks, the strategy rose 0.25%, with an excess return of 0.64% compared to the industry equal-weighted index [4][6] - Since the beginning of the year, the strategy has risen 34.89%, with a Sharpe ratio of 1.77 and a Calmar ratio of 2.88 in the past year [4] Strategy/Composite Factor Backtesting Results - Different factors have different IC means, IC standard deviations, ICIRs, frequencies of IC>0, and p-Values. For example, the成交均价因子 has an IC mean of 6.19%, an IC standard deviation of 27.11%, and an ICIR of 22.83% [10]

Group 1 - The core viewpoint of the articles highlights the significant growth and popularity of ETFs in the current market, driven by improved market sentiment and increased capital inflow [1][7][8] - As of August 22, the total market size of ETFs has surpassed 4.9 trillion yuan, marking an increase of over 1 trillion yuan since the end of last year [1][7] - The wide-based ETFs and industry-themed ETFs have shown strong capital attraction, with the number of industry-themed ETFs exceeding 23, each surpassing 10 billion yuan in scale [2][3] Group 2 - The Huatai-PB CSI 300 ETF saw a single-day scale increase of 112.02 billion yuan on August 22, indicating a strong capital inflow [4][5] - The overall scale of the CSI 300 ETFs has increased by 1,595.70 billion yuan since the beginning of the year, leading other index products [5][6] - The financial technology and securities sectors are particularly favored, with significant inflows into related ETFs, reflecting investor interest in these sectors [2][3][6] Group 3 - The ETF market is expected to continue expanding, playing a dual role as a "weather vane" and "ballast" in future market conditions [1][8] - The low cost, high transparency, and efficient capital absorption capabilities of ETFs make them a preferred investment tool for market participants [7][8] - Regulatory support for the long-term healthy development of the capital market aligns with the growth of ETFs, enhancing market stability and pricing efficiency [8]

Group 1 - The report suggests increasing allocation to mid-cap growth stocks, focusing on TMT (Technology, Media, and Telecommunications) and financial sectors, including semiconductors, automotive, photovoltaic equipment, banks, coal, non-bank financials, electronics, computers, and textiles [3][47] - The industry rotation model for August highlights a preference for sectors with strong fundamental factors, particularly semiconductors and electronics, as well as the financial sector, due to their high consistency in funding and expectations [3][47] - The report indicates that the overall market momentum effect is weakening, and the performance of sectors related to the anti-involution theme, such as photovoltaic equipment and coal, has shown a decline in relative scores despite their absolute scores remaining high [3][47] Group 2 - The report notes that the industry ETF saw a significant net inflow of 46.438 billion yuan, while broad-based ETFs experienced a net outflow of 93 billion yuan, indicating a shift in investor preference towards sector-specific investments [6][27] - The performance of passive index funds has been generally positive, with several sectors, including steel, construction materials, and medical devices, showing gains exceeding 10% due to various catalysts [22][27] - The report emphasizes that the mid-cap growth strategy remains favored, with the CSI 500 index being a core focus for 2025, reflecting a return to mid-cap dominance after alternating strategies in previous years [5][65] Group 3 - The report highlights that the industry rotation model has consistently outperformed major benchmark indices, achieving a monthly win rate of 85.71% since 2025, indicating its robustness in various market conditions [5][64] - The model's design incorporates a bottom-up approach to factor selection, focusing on stable factors with low drawdown risks, which enhances its effectiveness in capturing market dynamics [63][64] - The report also mentions that the recent inflow of overseas ETF funds into A-shares reflects a warming attitude from foreign investors, particularly in sectors like electronics and banking, aligning with the model's findings [41][64]

Core Viewpoint - The stock and mixed funds showed a positive return trend on May 14, with 75.76% of funds achieving positive net value growth, while 157 funds experienced a net value decline exceeding 1% [1][2]. Fund Performance Summary - On May 14, the average net value growth rate for stock and mixed funds was 0.40%, with 93 funds reporting growth rates over 3% [1][2]. - The top-performing fund was the Fangzheng Fubang CSI Insurance C, with a net value growth rate of 4.77%, followed by Fangzheng Fubang CSI Insurance A at 4.63% and E Fund CSI 300 Non-Bank ETF at 4.24% [1][2][3]. - Among the funds with a growth rate over 3%, 78 were index stock funds, 6 were equity funds, and 4 were flexible allocation funds [2]. Fund Decline Summary - A total of 157 funds experienced a net value decline exceeding 1%, with the largest decline recorded by Yongying New Energy Smart Selection Mixed Initiation C at -2.25% [2][4]. - Other notable declines included Yongying New Energy Smart Selection Mixed Initiation A at -2.25%, and Taixin Xin Selected Mixed A at -1.96% [4][5].