周五三大指数全线下挫，上证指数跌1.95%，深证成指跌3.04%，创业板指跌3.36%，后两者均跌破30日 线支撑，成交量下降明显，周一周二还有2.4万亿左右，周四、周五直接跌破2万亿。 港股方面，恒指收跌2.48%，恒生科技指数跌4.05%，均创一个月新低。科技股全线走弱，中兴通讯跌 近13%，中芯国际、华虹半导体双双跌超6%。 全周表现来看，除了中证红利指数微涨0.67%，港A股宽基指数尽数飘绿，恒生科技指数本周跌近8%， 科创100、科创50和科创综指均跌逾6%，创业板指跌5.7%。 | 序号 | 指数代码 | 指数名称 | | 本周涨跌幅% 10月涨跌幅% | | --- | --- | --- | --- | --- | | 1 | HSTECH.HI | 恒生科技 | -7.98 | -10.91 | | 2 | 000698.SH | 科创100 | -6.26 | -10.13 | | 3 | 000688.SH | 科创20 | -6.16 | -8.84 | | 4 | 000680.SH | 科创综指 | -6.08 | -8.91 | | 5 | 399673.SZ | 创业板50 | ...

周五三大指数全线下挫，上证指数跌1.95%，深证成指跌3.04%，创业板指跌3.36%，后两者均跌破30日线支撑，成交量下降明显，周一周二还有2.4万亿左 右，周四、周五直接跌破2万亿。 港股方面，恒指收跌2.48%，恒生科技指数跌4.05%，均创一个月新低。科技股全线走弱，中兴通讯跌近13%，中芯国际、华虹半导体双双跌超6%。 全周表现来看，除了中证红利指数微涨0.67%，港A股宽基指数尽数飘绿，恒生科技指数本周跌近8%，科创100、科创50和科创综指均跌逾6%，创业板指 跌5.7%。 | 序号 | 指数代码 | 指数名称 | 本周涨跌幅% | 10月涨跌幅% | | --- | --- | --- | --- | --- | | T | HSTECH.HI | 恒生科技 | -7.98 | -10.91 | | 2 | 000698.SH | 科创100 | -6.26 | -10.13 | | 3 | 000688.SH | 科创50 | -6.16 | -8.84 | | 4 | 000680.SH | 科创综指 | -6.08 | -8.91 | | 5 | 399673.SZ | 创业板50 | ...

Core Viewpoint - A significant amount of capital is fleeing high-position ETFs, indicating a structural shift in market behavior where funds are moving from high-performing sectors to those that have underperformed [1][3][4]. Market Dynamics - Recent market volatility has intensified, with a clear "high-cut low" structural characteristic. Funds are withdrawing from previously high-performing sectors while reallocating to those with lower gains. This rotation is expected to be a prolonged process with multiple reversals [2][4]. - Year-to-date, there is a stark divergence in industry performance, with sectors like non-ferrous metals, communications, electronics, and power equipment seeing gains over 40%, while sectors such as food and beverage, coal, and transportation have not seen positive returns [4]. ETF Performance - High-performing ETFs are experiencing significant capital outflows, with the STAR Market 50 ETF being the most affected, seeing a net outflow of nearly 50 billion yuan this year, reducing its share size by almost half [5]. - Other ETFs, such as the ChiNext ETF, have also faced substantial outflows, with over 20 billion yuan leaving since September [5]. - Conversely, underperforming ETFs, particularly in the brokerage sector, have attracted over 10 billion yuan in net inflows, indicating a shift in investor sentiment towards these lagging assets [8]. Investment Trends - The trend of "selling high and buying low" is evident, with funds increasingly favoring ETFs that have not performed well this year. For instance, the brokerage sector ETFs have seen a significant increase in share size, with the Huabao Brokerage ETF's circulation nearly tripling since the beginning of the year [8]. - The market is witnessing a rotation towards assets with strong balance sheets and robust operational patterns, which are expected to benefit from market volatility [12]. Future Outlook - The ongoing trend of capital moving from high-return sectors to those with lower valuations is anticipated to continue, with the potential for prolonged market reversals. Investors are advised to focus on assets with resilience and long-term value creation potential [10][12].

Market Overview - Investors face a dilemma of holding stocks or cash during the upcoming National Day holiday, as A-shares will be closed while overseas markets remain open [1] - Historical data indicates a "post-holiday effect" in the A-share market, with a higher probability of a "post-holiday opening red" [1][2] - Over the past decade, the Shanghai Composite Index has generally performed better after holidays compared to before, with post-holiday gains often being more sustained during significant market rallies [1] A-share Performance Data - The table shows the performance of the Shanghai Composite Index before and after the National Day holiday from 2015 to 2024, highlighting the percentage changes [2] - The probability of the index rising post-holiday is 70% for the first trading day and 60% for the first five trading days [2] Hong Kong Market Insights - The Hong Kong market exhibits a "mid-holiday effect," with a tendency to rise during the National Day holiday, although the first trading day after the holiday may be weaker [5] - The Hang Seng Technology Index shows a higher probability of rising post-holiday, especially when the market is in an upward trend [5][6] Sector Performance Expectations - In the A-share market, sectors such as computer, beauty care, environmental protection, pharmaceutical biology, and automotive are expected to show strong performance in the five trading days following the holiday [8] - For the Hong Kong market, all sectors except comprehensive finance have an upward probability of over 60%, with consumer, high-beta, and growth sectors performing relatively well during the holiday [8][9] Investment Strategies - The report suggests focusing on "hard technology" sectors, including technology, chips, computing power, robotics, and artificial intelligence, as they are expected to lead market trends [11][13] - The "anti-involution" theme is highlighted, particularly in the battery and non-ferrous metals sectors, which are anticipated to benefit from policy catalysts and demand [13] - The report also emphasizes the potential of innovative pharmaceuticals, particularly in the Hong Kong market, due to favorable liquidity conditions and low valuations [14] Broader Market Trends - The report indicates that broad-based ETFs are likely to capture market trends effectively, with financial sectors such as brokerage firms expected to lead the charge [11] - The consumer sector is also highlighted as a key area of interest, especially during the holiday season, with significant inflows into consumer-focused ETFs [14]

Market Overview - On August 25, A-share trading volume exceeded 3 trillion yuan, marking the second-highest record in history, reflecting a significant change in the funding landscape [1][18] - The Shanghai Composite Index closed at 3877.13, up 51.37 points or 1.34%, while the Shenzhen Component Index rose by 251.25 points or 2.07% [2] Investor Behavior - There is a notable shift in resident savings as the 10-year government bond yield fell below 1.8% and bank deposit rates continued to decline, prompting a move from "easy earnings" to equity markets [3] - In July, new A-share accounts reached 1.96 million, a year-on-year increase of 71%, indicating a significant rise in retail investor participation [6] Foreign Investment Trends - South Korean retail investors increased their holdings in Chinese stocks by nearly 30%, and foreign capital's allocation to A-shares rose by 0.7 percentage points, driven by a favorable dollar liquidity environment [7] Policy Impact - Policies such as "old-for-new" exchanges and LPR rate cuts are continuously releasing market dividends, enhancing market confidence amid economic recovery expectations [8] - The consumer sector is emerging as a new favorite for funds, contrasting with the crowded trading in technology and AI sectors [8] Valuation Insights - As of August 25, the price-to-earnings ratio of the major consumer index was only 19.88, the lowest in nearly three years, while the food and beverage sector's year-to-date performance lagged behind the broader market [9] Dividend Stocks - Leading stocks like Kweichow Moutai and Gree Electric have dividend rates exceeding 75%, attracting risk-averse capital due to their stable cash flows [10] Seasonal Trends - The recent government push for "innovative consumption scenarios" and the upcoming National Day holiday are boosting interest in tourism and retail sectors, with consumer-themed ETFs seeing net inflows exceeding 3.4 billion yuan since August [11] Historical Context - Historical analysis shows that consumer sectors exhibited strong performance in the latter stages of previous bull markets, with the food and beverage index rising over 41% in 2021, significantly outperforming the Shanghai Composite Index [12][13] Investment Strategies - The consumer sector offers both defensive and growth characteristics, supported by policies stimulating demand in appliances and automobiles, alongside new consumption trends driven by Generation Z [15] - Investors are advised to consider index-based investments through consumer ETFs to mitigate individual stock risks and focus on sectors closely related to daily life [17]

融券方面，当日无融券交易。 融资融券余额4655.92万元，较昨日上涨1.7%。 | 交易日 | 两融余额(元) | 余额变动(元) | 变动幅度 | | --- | --- | --- | --- | | 2025-08-27 | 4655.92万 | 78.00万 | 1.70% | | 2025-08-26 | 4577.92万 | 52.04万 | 1.15% | | 2025-08-25 | 4525.88万 | 683.83万 | 17.80% | | 2025-08-22 | 3842.05万 | 467.91万 | 13.87% | | 2025-08-21 | 3374.14万 | 174.10万 | 5.44% | 证券之星消息，8月27日，消费ETF（510150）融资买入1347.73万元，融资偿还1269.73万元，融资净买 入78.0万元，融资余额4655.92万元，近3个交易日已连续净买入累计813.87万元，近20个交易日中有13 个交易日出现融资净买入。 | 交易日 | 融资净买入(元) | 融资余额(元) | 占流通市值比 | | --- | --- | --- | --- ...

Core Viewpoint - The A-share market is experiencing a significant rally, driven by improved market confidence, active capital flow, heightened investor risk appetite, and a booming industrial sector, particularly in technology and innovation [1][3][4]. Group 1: Market Drivers - Policy improvements have bolstered capital market confidence and catalyzed economic recovery, with GDP growth of 5.3% year-on-year in the first half of 2025, surpassing the annual target [1]. - The capital market is seeing sustained activity, with margin trading balances reaching a near 10-year high and daily trading volumes exceeding 2 trillion yuan, attracting foreign investment due to lower valuations of Chinese assets amid a U.S. interest rate cut cycle [1]. - Investor risk appetite has significantly increased due to policy catalysts and expectations of economic recovery [3]. Group 2: Investment Opportunities - ETFs are highlighted as effective tools for navigating the current market, addressing stock selection challenges and lowering investment thresholds, with many ETFs priced around 1 yuan per unit, making them accessible [5][6]. - The securities sector is poised for growth, supported by active trading, new business ventures by Chinese brokerages, and strong financial policies, making securities ETFs a focal point for investment [7]. - The semiconductor sector shows robust recovery, with a projected net profit growth of 104% for 2025, driven by AI advancements and domestic substitution trends [7]. - The cloud computing sector is positioned to benefit from the increasing demand for computing power, with ETFs capturing both domestic and Hong Kong market opportunities [7]. - The robotics sector is experiencing rapid development, with various products and themes emerging, presenting investment opportunities in robotics ETFs [7]. - Traditional energy and new energy sectors are also highlighted, with ETFs focusing on industrial metals and renewable energy benefiting from favorable policies and market demand [7][8]. Group 3: Consumer and Technology Focus - The consumer sector is gaining traction, with significant inflows into consumer ETFs, reflecting a strong emphasis on domestic consumption [8]. - The TMT (Technology, Media, and Telecommunications) sectors are expected to thrive under supportive policies and market conditions, with ETFs focusing on technology innovation and growth [9].

Quantitative Models and Construction 1. Model Name: Diffusion Index Industry Rotation Model - **Model Construction Idea**: This model is based on the principle of price momentum, aiming to capture upward trends in industries through a diffusion index[24][25]. - **Model Construction Process**: The diffusion index is calculated for each industry, reflecting the proportion of stocks within the industry that exhibit upward momentum. The index ranges from 0 to 1, where higher values indicate stronger upward trends. The model selects industries with the highest diffusion index values for rotation. - Formula: Not explicitly provided in the report - **Model Evaluation**: The model has shown mixed performance over the years. It performed well in capturing trends during certain periods (e.g., pre-September 2021) but struggled during market reversals or when trends shifted to mean-reversion patterns[24]. 2. Model Name: GRU Factor Industry Rotation Model - **Model Construction Idea**: This model leverages GRU (Gated Recurrent Unit) deep learning networks to process high-frequency volume and price data, aiming to identify industry rotation opportunities[37]. - **Model Construction Process**: The GRU network is trained on historical minute-level data to predict industry factor rankings. The model then selects industries with the highest predicted factor scores for rotation. - Formula: Not explicitly provided in the report - **Model Evaluation**: The GRU model has demonstrated strong adaptability in short-term scenarios but has underperformed in long-term or extreme market conditions. Its reliance on high-frequency data makes it sensitive to market noise[37]. --- Model Backtesting Results 1. Diffusion Index Industry Rotation Model - **Annualized Excess Returns**: - 2021: +25% (pre-September), followed by significant drawdowns later in the year - 2022: +6.12% - 2023: -4.58% - 2024: -5.82% - 2025 (YTD as of August): +2.71%[24][28] - **Monthly Performance (August 2025)**: - Average Return: +4.18% - Excess Return (vs. Equal-Weighted Industry Index): +0.78%[28] 2. GRU Factor Industry Rotation Model - **Annualized Excess Returns**: - 2025 (YTD as of August): -8.59%[31][34] - **Monthly Performance (August 2025)**: - Average Return: +1.80% - Excess Return (vs. Equal-Weighted Industry Index): -1.58%[34] --- Quantitative Factors and Construction 1. Factor Name: Diffusion Index - **Factor Construction Idea**: Measures the proportion of stocks within an industry exhibiting upward momentum, serving as a proxy for industry-level price trends[25]. - **Factor Construction Process**: - The diffusion index is calculated weekly for each industry. - Industries are ranked based on their diffusion index values, with higher values indicating stronger momentum. - Example Rankings (as of August 22, 2025): - Top Industries: Comprehensive Finance (1.0), Comprehensive (1.0), Steel (1.0) - Bottom Industries: Coal (0.262), Electric Utilities (0.587), Real Estate (0.694)[25][26]. 2. Factor Name: GRU Industry Factor - **Factor Construction Idea**: Derived from GRU deep learning models, this factor captures industry-level signals based on high-frequency trading data[37]. - **Factor Construction Process**: - The GRU model processes minute-level volume and price data to generate factor scores for each industry. - Industries are ranked based on their GRU factor scores. - Example Rankings (as of August 22, 2025): - Top Industries: Building Materials (3.32), Electronics (2.36), Non-Banking Finance (1.97) - Bottom Industries: Electric Utilities (-25.33), Banking (-24.29), Pharmaceuticals (-20.97)[32]. --- Factor Backtesting Results 1. Diffusion Index - **Weekly Rankings (August 22, 2025)**: - Top Industries: Comprehensive Finance (1.0), Comprehensive (1.0), Steel (1.0) - Bottom Industries: Coal (0.262), Electric Utilities (0.587), Real Estate (0.694)[25][26]. 2. GRU Industry Factor - **Weekly Rankings (August 22, 2025)**: - Top Industries: Building Materials (3.32), Electronics (2.36), Non-Banking Finance (1.97) - Bottom Industries: Electric Utilities (-25.33), Banking (-24.29), Pharmaceuticals (-20.97)[32].

Group 1: Market Performance - The Hong Kong A-shares and the Hong Kong Stock Connect Consumption 50 ETF (159268) both saw gains, with the ETF rising over 1% and attracting a net inflow of 6.4 million yuan for six consecutive days, totaling over 150 million yuan [1] - Notable stocks included Miniso, which surged over 18% post-earnings, Li Ning up over 7%, Anta Sports up over 3%, and Pop Mart up over 2% [1] Group 2: Company Earnings - Miniso reported a second-quarter revenue of 4.966 billion yuan, a year-on-year increase of 23.1%, with adjusted operating profit rising 8.5% to 852 million yuan and an adjusted operating profit margin of 17.2%, exceeding company guidance [2] Group 3: Consumer Trends - McKinsey highlighted five surprising trends in the Chinese consumer market for the first half of 2025, indicating a shift in consumer sentiment despite weak confidence and ongoing pressures in the real estate market [5] - The report noted a steady recovery in core retail categories, with air travel surpassing 2019 levels and China's automotive exports becoming the largest globally, with an expected export volume of nearly 5.5 million vehicles in 2024, eight times that of 2019 [6] Group 4: Tourism and Capital Markets - The number of inbound tourists to China reached a record high, with over 35 million visitors in the first quarter of 2025, a year-on-year increase of 19.6% [9] - The capital market's recovery in 2025 has been significant for consumer enterprises, with four of the top ten IPOs in Hong Kong coming from the consumption sector, indicating strong investor confidence in the long-term prospects of the Chinese consumer market [12] Group 5: Cultural and Product Trends - Pop Mart's Labubu character gained international popularity, with revenue from its monster series increasing by 726% in 2024, contributing significantly to the company's overall revenue [15]

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The performance of ETF products has varied in the past two weeks. Among the major broad - based ETFs, the CSI 2000 ETF had the largest increase, and among the industry and theme products, the military industry ETF had the largest increase. The fund flow trends of different types of ETFs have also changed, with some showing accelerated inflows, some turning from inflows to outflows, and others showing a slowdown in inflows [2][9]. 3. Summary According to the Table of Contents 3.1 ETF Market Review 3.1.1 Main Type ETF Fund Flow Overview - **Return Performance**: As of August 8, in the past two weeks, ETF products showed mixed performance. Among the major broad - based ETFs, the CSI 2000 ETF had the largest increase, and among the industry and theme products, the military industry ETF had the largest increase [9]. - **Fund Flow**: In the past two weeks, among the major broad - based ETFs, the CSI 2000 ETF had a net inflow of funds, while the CSI 300 ETF had the largest net outflow of funds [9]. 3.1.2 Main Type ETF Cumulative Fund Flow - **Broad - based ETF**: Since 2025, the fund flow of major broad - based ETFs has changed from outflow to inflow and then to outflow. The A - series ETFs have had continuous outflows. As of August 8, the Science and Technology/Innovation ETFs, A - series ETFs, and CSI 500 ETFs have all had net outflows. In the past two weeks, the net outflow speed of broad - based ETFs has accelerated, except for the A - series ETFs, whose net outflow speed has slowed down [10]. - **Industry and Theme/Strategy ETF**: The technology ETF has seen an increase in the inflow speed in the past two weeks. The pharmaceutical ETF has turned from net outflow to net inflow, the new energy ETF has turned from net inflow to net outflow, and the consumer ETF has seen an accelerated inflow. The inflow speed of the dividend, cycle, financial real estate, and large - manufacturing ETFs has slowed down [2][14]. - **Bond ETF**: In 2025, the credit bond and treasury bond ETFs have had the largest net inflows. In the past two weeks, there has been a large inflow of funds into the credit bond ETF, the local bond ETF has turned from net outflow to net inflow, the net inflow speed of the treasury bond ETF has slowed down, and the convertible bond and short - term financing ETFs have seen an accelerated net inflow [14]. 3.1.3 ETF Product Structure Distribution - **Newly Established Products**: As of August 8, a total of 13 new ETFs have been established in the market in the past two weeks, with a total issuance share of 5.152 billion, all of which are stock ETFs [2][17]. - **Scale Change**: Compared with the end of 2024, the scale of various types of ETFs has increased. The scale of bond ETFs, commodity ETFs, industry + dividend ETFs, QDII - ETFs, and broad - based ETFs has increased by 204.20%, 106.93%, 45.79%, 22.68%, and 2.55% respectively [2]. 3.1.4 Manager Scale Distribution - As of August 8, Huaxia Fund has the largest on - exchange ETF scale, reaching 79.1655 billion yuan. E Fund's ETF management scale has expanded by nearly 30 billion yuan compared with a year ago [18]. 3.2 Classification - based ETF Tracking 3.2.1 Technology Theme ETF Tracking - **Return Performance**: Products tracking communication equipment - related indices have performed well in the past two weeks [24]. - **Fund Flow**: Products tracking the Hang Seng Technology index had the largest net inflow of funds in the past two weeks, while products tracking the animation and game index had a net outflow of funds [27]. 3.2.2 Dividend Theme ETF Tracking - **Return Performance**: ETF products tracking the Hong Kong Stock Connect High - Yield Selection index had the largest increase in yield in the past two weeks [30]. - **Fund Flow**: Products tracking the S&P China A - Share Large - Cap Dividend Low - Volatility 50 index had the largest net inflow of funds in the past two weeks, while products tracking the Guoxin Hong Kong Stock Connect Central Enterprise Dividend index had a net outflow of funds [34]. 3.2.3 Consumption Theme ETF Tracking - **Return Performance**: Products tracking the China Education index have performed well in the past two weeks, and products tracking the S&P 500 Consumer Select Index have a relatively high premium rate [37]. - **Fund Flow**: ETFs tracking the 800 Consumption index had the largest net inflow of funds in the past two weeks, while products tracking household appliances had a net outflow of funds [40]. 3.2.4 Pharmaceutical Theme ETF Tracking - **Return Performance**: Products tracking innovation - drug indices such as the Hang Seng Innovation - Drug index have performed well in the past two weeks [42]. - **Fund Flow**: Not fully provided in the content 3.3 Hot - Theme ETF Tracking - Not fully provided in the content