Group 1 - The report highlights a shift in A-share ETF investments towards net buying, with a recommendation to focus on innovative drug ETFs [2][3] - The "Xinxuan ETF Absolute Return Strategy" has shown impressive performance, achieving a total return of 46.92% since the beginning of 2024, outperforming equal-weighted ETFs by 12.35% [10][33] - The "All-Weather Multi-Asset Risk Parity Strategy" has yielded a return of 22.65% with a maximum drawdown of 3.62% since the beginning of 2024 [12][33] Group 2 - The report tracks the new issuance of index funds, noting that 38 new public funds were established this week, raising a total of 233.14 billion yuan, with 26 index funds accounting for 167.53 billion yuan [38] - The report details the net inflow of funds into various asset class ETFs, with A-share ETFs seeing a net redemption of 10.1 billion yuan, while bond ETFs experienced a net inflow of 117.4 billion yuan [46][51] - The "High Prosperity/Dividend Rotation Strategy" has achieved an annualized return of 23.31% since the beginning of 2021, significantly outperforming equal-weighted indices [24][33]

Group 1 - The report highlights that the domestic A-share market has seen a significant improvement in liquidity risk, with a total transaction volume of 1.44 trillion yuan this week, driven by continuous buying from state-owned funds [5] - The report indicates a positive outlook for the military industry, particularly in the context of the marine economy, which is expected to catalyze growth in the sector [5] - The report notes that the semiconductor and domestic consumption sectors present potential investment opportunities due to improved risk appetite and capital inflows [5] Group 2 - The report details that the "Xinxuan ETF Absolute Return Strategy" has achieved an annualized return of 14.23% over the past three years, with a maximum drawdown of only 8.6% [10] - The "All-Weather Multi-Asset Risk Parity Strategy" has yielded a return of 20.85% since the beginning of 2024, with a maximum drawdown of 3.62% [14] - The "China-US Core Asset Portfolio" has delivered an annualized return of 34.05% since early 2015, outperforming various indices [20] Group 3 - The report states that 17 new index funds were filed this week, including 3 ETFs and 5 linked funds, indicating a growing interest in index-based investment products [34] - A total of 20 new public funds were established this week, raising a total of 5.328 billion yuan, with 11 new index funds accounting for 3.226 billion yuan of that total [35] - The report mentions that 6 new funds are set to be listed next week, including the "E Fund National Value 100 ETF" and the "Industrial Bank China Hong Kong Stock Connect Automotive Industry Theme ETF" [38] Group 4 - The report indicates that A-share ETFs experienced a net outflow of 136.4 billion yuan, while bond ETFs saw a net inflow of 122.9 billion yuan [43] - The report highlights that the Hong Kong ETF market has seen a net inflow of 88 billion yuan, reflecting a positive sentiment towards cross-border investments [48] - The report notes that commodity ETFs, particularly gold ETFs, have seen an increase in investment, with a net inflow of 23.18 billion yuan [52]

证 券 研 究 报 告 金融工程周报 华鑫量化全天候策略连续三周新高 ——指数基金投资+ 2025年06月15日 n 分析师：吕思江 n 联系人：刘新源 n SAC编号：S1050522030001 n SAC编号：S1050123100011 n 联系人：武文静 n SAC编号：S1050123070007 市场观点和ETF交易机会 p 【国内市场跟踪】本周市场日均成交放量至1.37万亿，A股4月8日以来忽视经济下行趋势积极交易中美关 系，大盘走至核心点位抛压较大，市场低波动窄幅震荡下情绪较为脆弱，核心指数中仅创业板指小幅上涨 0.22%收红，北证50和科创板领跌，量化基金形成赚钱效应后增量资金持续进入支撑小盘延续领涨，当前 小微盘均在高位且拥挤度持续处于风险提示信号。2025年6月13日至15日，伊朗与以色列爆发激烈军事冲 突，双方互相发动多轮导弹和无人机袭击，伊朗核设施及以色列境内目标遭重创，局势持续升级，风险资 产承压。港股创新药本周大涨11%，南向资金在本周后两个交易日开始卖出ai科技追涨创新药，周买入前 10个股有3只为创新药个股：信达生物、石药集团、三生制药，港股创新药进入泡沫化区间短期转为看空 ...

- The "XinXuan ETF Absolute Return Strategy" aims to achieve both absolute returns and long-term relative returns compared to A-share equities through ETF trading within the XinXuan ETF pool[10][11] - The "All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy" combines industry rotation, style rotation, and risk parity strategies to enhance ETF usage precision and increase returns while reducing overall portfolio volatility[15][17] - The "China-US Core Asset Portfolio" incorporates strong trend assets like liquor, dividends, gold, and the Nasdaq index, using RSRS timing and technical reversal strategies to form a combined portfolio[21] - The "High Prosperity/Dividend Rotation Strategy" switches between high-growth and dividend strategies based on signals, adjusting ETF holdings accordingly[24] - The "Dual Bond LOF Enhanced Strategy" adjusts product weights to ensure a higher proportion of bond holdings, enhancing the strategy based on bond volatility[27] - The "Structured Risk Parity (QDII)" strategy replaces the XinXuan ETF pool with a strategy pool that includes QDII equity products, gold, and domestic dividend ETFs, focusing on long-term domestic bond ETFs[28][30] Model Backtest Results - XinXuan ETF Absolute Return Strategy: Total return 33.49%, annualized return 24.14%, maximum drawdown -6.30%, volatility 17.58%, Sharpe ratio 1.20[31] - High Prosperity/Dividend Rotation Strategy: Total return 48.99%, annualized return 34.78%, maximum drawdown -22.04%, volatility 34.79%, Sharpe ratio 0.96[31] - China-US Core Asset Portfolio: Total return 59.80%, annualized return 42.03%, maximum drawdown -10.86%, volatility 17.16%, Sharpe ratio 2.02[31] - Dual Bond LOF Enhanced Strategy: Total return 9.08%, annualized return 6.73%, maximum drawdown -2.26%, volatility 3.41%, Sharpe ratio 1.34[31] - Structured Risk Parity Strategy (QDII): Total return 23.59%, annualized return 17.18%, maximum drawdown -2.38%, volatility 4.92%, Sharpe ratio 2.84[31] - All-Weather Multi-Asset Risk Parity Strategy: Total return 19.69%, annualized return 14.40%, maximum drawdown -3.62%, volatility 4.48%, Sharpe ratio 2.58[15][31]