格隆汇8月27日｜A股三大指数早盘集体上涨，截至午盘，沪指涨0.33%，深成指涨1.34%，指涨2.41%，北证50指数跌0.03%，沪深京三市半日成交额17463 亿元，较上日放量469亿元。全市场超2200只个股上涨。板块题材方面，半导体、CPO、AI眼镜、液冷服务器等AI产业链板块领涨；白酒、煤炭、教育、板 块跌幅居前。 ETF方面，人工智能产业链爆了！银华基金科创板人工智能ETF、AIETF富国、博时基金科创AIETF和科创人工智能ETF华夏分别涨7.66%、7.48%、7.42%和 7.36%。芯片板块全线回暖，国联安基金科创芯片设计ETF、嘉实基金科创芯片ETF分别涨6.74%和5.77%。 创新药板块继续回调，恒生创新药ETF、港股通创新药ETF和港股通创新药ETF工银分别跌2.03%、1.84%和1.83%。白酒板下挫，酒ETF跌1.59%。房地产板 块走低，房地产ETF基金跌1.21%。 【免责声明】本文仅代表作者本人观点，与和讯网无关。和讯网站对文中陈述、观点判断保持中立，不对所包含内容的准确性、可靠性或完整性提供任何明 示或暗示的保证。请读者仅作参考，并请自行承担全部责任。邮箱：news ...

上证报中国证券网讯 8月20日，ETF收盘涨跌不一，科创芯片设计ETF（588780）涨5.57%，科创芯片 ETF富国（588810）涨4.97%，科创芯片ETF博时（588990）涨4.96%，恒生医疗ETF基金（159303）跌 3.82%，港股通创新药ETF（159570）跌1.98%，恒生创新药ETF（520500）跌1.79%。 来源：上海证券报·中国证券网 ...

Market Performance - The Shanghai Composite Index rose by 1.04% to 3766.21 points, marking a near ten-year high, while the STAR Market 50 surged by 3.23%, reaching a two-and-a-half-year high [1][2] - Over 3600 stocks in the market experienced gains, with total trading volume in the Shanghai and Shenzhen markets amounting to 24.484 trillion yuan, a decrease of 192.3 billion yuan from the previous day, marking the sixth consecutive day of trading volume exceeding 2 trillion yuan [1] Sector Performance - The semiconductor industry saw a strong afternoon rally, with Cambrian rising over 8% to stabilize above the 1000 yuan mark [1] - Consumer electronics and automotive stocks performed well, while liquor stocks rebounded from low levels [1] - Financial technology, innovative pharmaceuticals, and rare earth sectors faced declines [1] ETF Performance - Semiconductor ETFs experienced significant gains, with the Guolian An Fund's semiconductor design ETF rising by 5.57%, and other semiconductor ETFs from various funds increasing between 4.9% and 4.97% [4] - Automotive ETFs also showed strength, with the GF Fund's automotive ETF up by 3.7% [4] - The innovative pharmaceutical sector continued to decline, with several ETFs in this category experiencing drops between 1.79% and 3.82% [4]

每经记者｜曾子建 每经编辑｜肖芮冬 盘面上，科网股全线上涨，哔哩哔哩涨超2%，京东涨超3%、百度涨超2%，联想涨超1%；内资券商股普遍上涨，国联民生涨超2%；创新药概念多数高开， 翰森制药涨超2%；黄金股活跃，中国黄金国际涨超1%；新能源车企股部分上涨，蔚来涨超7%。 跨境ETF方面，恒生创新药ETF、港股创新药精选ETF涨超2%，港股通创新药ETF、教育ETF、港股医药ETF、港股汽车ETF等涨超1%。此外，标普油气 ETF、中韩半导体ETF、纳斯达克ETF、标普ETF等小幅回落。 8月18日早盘，港股市场小幅高开。截至发稿时，恒生指数报25309点，上涨0.16%；恒生科技指数报5580点，上涨0.67%。 ...

Quantitative Models and Construction - **Model Name**: Three-dimensional Timing Framework **Construction Idea**: Combines liquidity, divergence, and prosperity metrics to assess market timing and trends[7][14][19] **Construction Process**: 1. Define liquidity index, divergence index, and prosperity index 2. Combine these metrics into a three-dimensional framework to evaluate market conditions 3. Historical performance analysis shows its effectiveness in predicting market trends[7][14][19] **Evaluation**: Provides a comprehensive view of market timing by integrating multiple dimensions[7][14][19] - **Model Name**: ETF Hotspot Trend Strategy **Construction Idea**: Identifies ETFs with strong short-term market attention and constructs a risk-parity portfolio[30][31] **Construction Process**: 1. Select ETFs with simultaneous upward trends in highest and lowest prices 2. Use regression coefficients of the past 20 days to construct support-resistance factors 3. Choose top 10 ETFs with the highest turnover rates in the past 5 and 20 days 4. Build a risk-parity portfolio based on these ETFs[30][31] **Evaluation**: Effectively captures short-term market hotspots and enhances portfolio stability[30][31] - **Model Name**: Capital Flow Resonance Strategy **Construction Idea**: Combines financing and large-order capital flows to identify industries with strong resonance effects[33][35][38] **Construction Process**: 1. Define financing factor: Neutralize market capitalization and calculate the 50-day average of financing net buy minus net sell 2. Define large-order factor: Neutralize industry transaction volume and calculate the 10-day average of net inflows 3. Combine the two factors, excluding extreme industries and large financial sectors 4. Backtest results show annualized excess return of 13.5% and IR of 1.7 since 2018[33][35][38] **Evaluation**: Improves strategy stability by combining complementary factors[33][35][38] Model Backtesting Results - **Three-dimensional Timing Framework**: Historical performance demonstrates its ability to predict market trends effectively[14][19] - **ETF Hotspot Trend Strategy**: Weekly portfolio includes ETFs such as Hong Kong non-bank finance and communication equipment, showing strong market attention[30][31] - **Capital Flow Resonance Strategy**: Achieved absolute return of 0.3% and excess return of -1.7% last week[35][38] Quantitative Factors and Construction - **Factor Name**: Momentum **Construction Idea**: Measures stock price trends over a specific period[41][43] **Construction Process**: 1. Calculate 1-year minus 1-month return (mom_1y_1m) 2. Rank stocks based on momentum scores and construct portfolios[41][43] **Evaluation**: High-momentum stocks significantly outperform low-momentum stocks[41][43] - **Factor Name**: Liquidity **Construction Idea**: Evaluates stock liquidity and its impact on returns[41][43] **Construction Process**: 1. Define liquidity factor (liquidity) 2. Rank stocks based on liquidity scores and construct portfolios[41][43] **Evaluation**: High-liquidity stocks outperform low-liquidity stocks[41][43] - **Factor Name**: Value **Construction Idea**: Assesses stock valuation levels[41][43] **Construction Process**: 1. Define value factor (value) 2. Rank stocks based on valuation scores and construct portfolios[41][43] **Evaluation**: Low-valuation stocks underperform high-valuation stocks recently[41][43] - **Factor Name**: Alpha Factors (e.g., yoy_accpayable, yoy_or_q, cur_liab_yoy) **Construction Idea**: Measures financial metrics such as growth rates and profitability[45][47][49] **Construction Process**: 1. Calculate metrics like accounts payable growth (yoy_accpayable), quarterly revenue growth (yoy_or_q), and current liabilities growth (cur_liab_yoy) 2. Neutralize market capitalization and industry effects 3. Rank stocks based on factor scores and construct portfolios[45][47][49] **Evaluation**: Factors show strong excess returns, especially in large-cap stocks[45][47][49] Factor Backtesting Results - **Momentum Factor**: Weekly excess return of +2.05%[41][43] - **Liquidity Factor**: Weekly excess return of +3.38%[41][43] - **Value Factor**: Weekly excess return of -2.41%[41][43] - **Alpha Factors**: - yoy_accpayable: Weekly excess return of +3.51%[45][47] - yoy_or_q: Weekly excess return of +3.49%[45][47] - cur_liab_yoy: Weekly excess return of +3.37%[45][47] - roe_q_delta_adv: Weekly excess return of +2.80%[45][49]

Group 1 - The Hang Seng Index reached a year-to-date high of 25,680 points, despite a subsequent pullback of 1.8% over two days, indicating sustained market interest [1] - Southbound capital inflow remained strong during the Hong Kong stock market's pullback, with net purchases of HKD 86.3 billion and HKD 358.76 billion on August 14 and 15, respectively, the latter setting a new single-day record [1][5] - Cumulative net inflow of southbound funds exceeded HKD 938.9 billion this year, significantly surpassing the full-year total of HKD 8,078.7 billion for 2024, with nearly HKD 3,000 billion inflowing in the last three months alone [6] Group 2 - The Hong Kong IPO market has been robust, with over 50 new listings raising more than HKD 128 billion, a year-on-year increase of over six times, making it the top global IPO market [6][7] - The issuance of Hong Kong-themed funds has surged, with new fund sizes reaching HKD 85 billion since 2025, contributing significant incremental capital to the market [7] - Active public funds' investment in Hong Kong stocks reached 14.7% of total fund assets, surpassing previous highs, while passive funds also saw significant inflows [8] Group 3 - Analysts are optimistic about the future performance of the Hong Kong stock market, citing a favorable macroeconomic environment and continued capital inflows as key support factors [12][13] - The Hang Seng Index's dynamic price-to-earnings ratio is at 11.3 times, indicating room for valuation improvement compared to historical highs [11] - The technology sector shows significant valuation advantages, with the Hang Seng Technology Index's dynamic price-to-earnings ratio at 21.5 times, placing it at a historical low [11] Group 4 - Investment opportunities are expected to arise in the internet sector, particularly as AI applications gain traction, with analysts suggesting August as a favorable time for positioning [13][14] - High dividend yield stocks in sectors such as finance, utilities, and consumer goods are seen as attractive in a low-interest-rate environment, with the Hang Seng High Dividend Yield Index yielding 5.75% [14] - Global liquidity conditions are favorable for the Hong Kong market, with expectations of continued upward momentum and potential new highs in the second half of the year [13][14]

Core Viewpoint - The Hong Kong stock market has become a focal point for global investors, with significant capital inflows and optimistic future performance expectations from various institutions [4][3]. Capital Inflows - On August 15, southbound funds recorded a net purchase of approximately 358.76 billion HKD, with the total trading volume reaching 1,796.22 billion HKD, accounting for 57.44% of the day's turnover [6]. - Cumulatively, southbound funds have net inflows exceeding 9,389 billion HKD this year, significantly surpassing the total for 2024 [9]. - The IPO market in Hong Kong has been robust, with over 50 new listings raising more than 128 billion HKD, a year-on-year increase of over 600% [9]. ETF Performance - There has been a notable increase in the scale of ETFs tracking Hong Kong stocks, with significant growth in funds related to technology and innovative sectors [10]. - The performance of specific ETFs, such as the internet and technology-focused funds, has seen substantial growth, indicating strong investor interest [10]. Institutional Investment Trends - As of Q2 2025, active public funds have increased their investment in Hong Kong stocks, with the market value of these investments rising significantly compared to previous highs [11]. - Foreign capital has shown a preference for technology and consumer sectors, reflecting confidence in the long-term growth potential of these industries [11]. Market Valuation - The Hang Seng Index's dynamic price-to-earnings ratio stands at 11.3 times, indicating a moderate recovery compared to historical averages, with room for further appreciation [14]. - The Hang Seng Technology Index offers a significant value advantage, with a dynamic P/E ratio of 21.5 times, suggesting it is at a historical low [14]. Future Outlook - Institutions generally maintain a positive outlook for the Hong Kong stock market, anticipating continued upward trends supported by macroeconomic improvements and sustained capital inflows [15]. - Analysts suggest that August presents a favorable opportunity for investing in the internet sector, with expectations of a resurgence in AI-related narratives [16]. - The market's structural opportunities remain clear, with high-quality leading companies likely to attract ongoing capital interest despite potential short-term volatility [18].

Core Insights - The Shanghai Composite Index has surpassed last year's "9.24" high point, reaching a nearly four-year high, with 160 funds doubling since last year [2] - There have been 12 funds that have doubled in value this year, focusing primarily on innovative pharmaceuticals [2][5] Fund Performance Summary - The top-performing funds this year include: - Huatai-PineBridge Hong Kong Advantage Selection A: 132.55% return, managed by Zhang Lian, with a scale of 2.194 billion [3] - Great Wall Pharmaceutical Industry Selection A: 128.53% return, managed by Liang Furui, with a scale of 11.317 billion [3] - Yongying Technology Smart Selection A: 119.80% return, managed by Ren Jie, with a scale of 11.665 billion [3] - Bank of China Hong Kong Stock Connect Pharmaceutical A: 116.19% return, managed by Zheng Ning, with a scale of 7.404 billion [3] - Yongying Pharmaceutical Innovation Smart Selection A: 112.33% return, managed by Shan Lin, with a scale of 30.428 billion [3] - Other notable funds include Huashan Pharmaceutical Biology A and various Hong Kong Stock Connect Innovative Pharmaceutical ETFs, all showing significant returns [3] Investment Themes - Among the doubling funds, 11 are heavily invested in innovative pharmaceuticals, indicating a strong trend towards this sector [5] - The Huatai-PineBridge Hong Kong Advantage Selection fund has emerged as the top performer with over 132% return, highlighting the success of innovative pharmaceutical themes [5]

Core Insights - The Hong Kong Stock Connect Innovative Drug ETF received a financing purchase amount of 190 million yuan on August 13, ranking 239th in the two markets [1] - The net purchase for the ETF on the same day was 46.5064 million yuan, with a financing repayment amount of 144 million yuan [1] - Over the last three trading days (August 11-13), the ETF received financing purchases of 143 million yuan, 73 million yuan, and 190 million yuan respectively [1] Financing and Short Selling Data - On August 13, the ETF had no shares sold short, resulting in a net short sale of 0.00 shares [1]

Core Viewpoint - Southbound capital has seen a record net inflow of over 910 billion HKD this year, indicating strong interest in the Hong Kong stock market, which has outperformed major global indices [2][4]. Group 1: Southbound Capital Inflow - As of August 12, 2023, the cumulative net inflow of southbound capital reached 910.29 billion HKD, surpassing the total for the entire year of 2024, with over 80% of trading days showing net inflows [4]. - The financial, information technology, consumer discretionary, healthcare, and communication services sectors have the highest market value holdings from southbound capital [4]. - Major holdings include Tencent Holdings at nearly 560 billion HKD, with other significant positions in China Construction Bank, China Mobile, and Industrial and Commercial Bank of China, each exceeding 200 billion HKD [4]. Group 2: ETF Inflows - The top ten cross-border ETFs by net inflow this year are all Hong Kong products, with the Huaxia Hong Kong Internet ETF leading at 33.37 billion HKD [4]. - Other notable ETFs include the Southern Hong Kong Technology 30 ETF and the E Fund Hong Kong Non-Bank ETF, each attracting over 10 billion HKD [5]. Group 3: Market Dynamics and Valuation - The pricing power of southbound capital in the Hong Kong market varies by sector, with significant influence in dividend stocks, while growth stocks remain contested between domestic and international investors [5]. - The southbound trading volume has risen to over 40% of the total trading amount for interconnect stocks, with expectations of cumulative net inflows exceeding 1 trillion HKD by 2025 [5]. - The Hong Kong market is viewed as being in a mid-stage of value recovery, with key sectors like internet and innovative pharmaceuticals still undervalued [7]. Group 4: Future Outlook - The Hong Kong stock market is expected to benefit from improved liquidity, reduced external risks, and potential policy support, leading to a narrowing of the A/H premium [7]. - The internet sector is anticipated to begin a valuation recovery from the second half of 2024, with significant growth potential for technology stocks as the market sentiment shifts from pessimism to neutrality [7].