Group 1 - The top three funds in the August 2025 Social Media Index are still led by Wanjia Fund, China Europe Fund, and Huaxia Fund, with new entrants including China Merchants Fund and Yongying Fund [1] - The content on Douyin includes a series by Wanjia Fund that adapts classic film scenes, receiving over 130,000 likes, and Huaxia Fund's work that tells warm stories, garnering over 68,000 likes [1] - The focus of the content remains on investor education, covering macro policy interpretations, market hot topic analyses, and product knowledge dissemination [1] Group 2 - The high-engagement videos in August cover diverse topics including brand promotion, product marketing, and investor education, with innovative approaches to enhance content appeal [2] - Tianhong Fund's video on the World Robot Games achieved the highest viewership, while Jiashi Fund's live stream attracted over one million users [2] - The WeChat public account content primarily attracts users through red envelope giveaways and product promotions [2] Group 3 - The Yiwealth Social Media Index tracks and analyzes the performance of 160 funds and asset management institutions across five social media platforms, reflecting their influence and brand impact [5] - The index incorporates various metrics such as fan accumulation and content creation to generate a comprehensive ranking [5] Group 4 - The top funds in the Douyin Index include Yifangda Fund, Wanjia Fund, and Chang'an Fund, with scores of 86.01, 85.75, and 85.61 respectively [10] - The Video Account Index ranks China Europe Fund and Wanjia Fund as the top two, with scores of 82.64 and 82.17 [13] - The Wealth Account Index shows Yongying Fund leading with a score of 87.47, followed by other funds like Tianhong Fund and Yifangda Fund [21]

Group 1: Volatility Index Explanation - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the IV of the two - strike options above and below the at - the - money option of the main contract, reflecting the IV change trend of the main contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher, and a smaller difference means IV is relatively lower [3] Group 2: Volatility Data Graphs - The graphs show the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, zinc, urea, palm oil, and rapeseed oil [4] Group 3: Implied Volatility and Volatility Spread Quantiles - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the IV index and HV [5] - The implied volatility quantile rankings are as follows: 300 Index (0.83), 50ETF (0.74), PTA (0.19), etc., and the historical volatility quantile rankings are also presented [6]

Report Industry Investment Rating No relevant content provided. Core View of the Report Last week, the major domestic stock indices rose across the board, with small and medium - cap indices outperforming large - cap indices. ETFs in different sectors showed mixed performance, and there were significant differences in capital flows among various sectors [1][8]. Summary According to the Table of Contents 1. Fund Market Overview 1.1 Stock Market Last week (2025/09/08 - 2025/09/12), major domestic stock indices all rose. Large - cap indices such as the CSI 300, SSE 50, and SSE Composite Index had weekly changes of 1.38%, 0.89%, and 1.52% respectively. Small and medium - cap indices like the CSI 500, CSI 1000, and ChiNext Index had changes of 3.38%, 2.45%, and 2.10% respectively. Style indices showed mixed performance, with the financial, cyclical, consumer, growth, and stable style indices changing by 0.24%, 1.87%, 0.88%, 3.56%, and 1.14% respectively. Among the growth style, the large - cap, mid - cap, and small - cap growth style indices changed by 2.30%, 2.26%, and - 1.20% respectively. The recent trading activity of A - shares has been oscillating upwards and is currently close to the level in December 2024 [1][8][9]. 1.2 Bond Market and Futures Market Last week, the SSE Convertible Bond Index changed by 0.33%. Pure - bond indices showed mixed performance, with the SSE Treasury Bond, SSE Corporate Bond, and Shenzhen Local Government Bond indices changing by - 0.19%, 0.03%, and - 0.18% respectively. The main contracts of major stock index futures all rose, with the CSI 300, SSE 50, and CSI 500 futures changing by 1.63%, 1.00%, and 3.83% respectively. The prices of 10 - year, 5 - year, and 2 - year Treasury bond futures changed by - 0.16%, 0.07%, and 0.01% respectively [15][16]. 1.3 Commodity Market In the past week, the commodity market showed mixed performance. The Nanhua Precious Metals Index, CRB Commodity Index, and CRB Metal Spot Index changed by 2.34%, 1.33%, and 1.17% respectively. The main contracts of domestic key commodity futures also showed mixed performance. For example, the SHFE Silver, SHFE Gold, and DCE Iron Ore main contracts changed by 2.79%, 2.41%, and 1.59% respectively [18][21]. 2. ETF Market行情统计 The report selects representative ETFs in different sectors of comprehensive and industry themes for long - term tracking. By classifying these ETFs into large - and small - cap styles and monitoring indicators such as changes in circulating shares, net buying funds, and trading volume, it can serve as a reference for market style switching and capital flows [23]. 2.1 Domestic Stock - Type ETF Trading Activity Ranking Using the weekly fund turnover rate as a measure of ETF trading activity, last week's trading hotspots were mainly concentrated in comprehensive indices such as ChiNext 50 and ChiNext, as well as sectors such as semiconductors, home appliances ETF, and bank ETF [24]. 3. Large - and Small - Cap Style Monitoring 3.1 Comprehensive Stock ETF As of last week, the trading volume of comprehensive ETF funds was 103.231 billion yuan, a change of - 29.2 billion yuan from the previous week. Among them, the trading volume of large - and mid - cap style comprehensive ETFs was 38.176 billion yuan, a change of - 10.858 billion yuan; the trading volume of small - and mid - cap comprehensive ETFs was 67.061 billion yuan, a change of - 18.634 billion yuan. The on - site share of comprehensive ETF funds was 352.087 billion shares, a change of - 16.62 billion shares from the previous week. Among them, the on - site share of large - and mid - cap style comprehensive ETFs was 239.009 billion shares, a change of - 7.75 billion shares; the on - site share of small - and mid - cap comprehensive ETFs was 113.078 billion shares, a change of - 8.87 billion shares [26]. 3.2 Theme Stock ETF As of last week, the average weekly change rate of 32 theme ETFs was 2.83%. The average weekly change rate of large - cap style ETFs was 1.55%, and that of small - and mid - cap style ETFs was 3.83%. The total trading volume of the tracked theme ETFs was 93.485 billion yuan, a change of - 28.186 billion yuan from the previous week. Among them, the trading volume of large - cap style ETFs was 52.494 billion yuan, a change of - 8.399 billion yuan; the trading volume of small - and mid - cap style ETFs was 40.992 billion yuan, a change of - 197.87 billion yuan. The on - site share of the tracked theme ETFs was 420.971 billion shares, an increase of 47.27 billion shares from the previous week. Among them, the on - site share of large - and mid - cap style theme ETFs was 212.673 billion shares, an increase of 78.16 billion shares; the on - site share of small - and mid - cap style theme ETFs was 208.298 billion shares, a change of - 30.89 billion shares [27]. 4. Sector Capital Flow Tracking As of last week, among comprehensive ETFs, the top three in terms of returns were the Innovation and Entrepreneurship 50 ETF, 500ETF, and 1000ETF, with changes of 3.91%, 3.29%, and 2.42% respectively. The last three were the 50ETF, ChiNext 50, and 300ETF, with changes of 1.04%, 1.43%, and 1.47% respectively. Among industry - theme ETFs, the top three were the Chip ETF, Semiconductor 50, and Electronic ETF, with changes of 7.79%, 7.62%, and 7.11% respectively. The last three were the Pharmaceutical ETF, Biomedical, and Bank ETF, with changes of - 1.12%, - 1.08%, and - 0.72% respectively. In terms of capital flow, among comprehensive ETFs, the important broad - based index CSI 300 had capital outflows, while the ChiNext and CSI 500ETF had capital inflows. In industry themes, multiple important sectors such as securities and non - ferrous metals had significant capital inflows, while semiconductor chips had capital outflows [31]. 5. Commodity ETF Last week, the tracked commodity ETF funds showed mixed performance. The Gold ETF, Boshi Gold, Soybean Meal ETF, Non - Ferrous Metals Futures, and Energy and Chemical ETF changed by 2.30%, 2.31%, 0.75%, 1.40%, and - 0.84% respectively. The overall on - site share of the tracked commodity ETFs increased by 278 million shares compared with the previous week, and the overall trading volume changed by - 5.371 billion yuan compared with the previous week [36]. 6. Overseas ETF Last week, among the tracked overseas ETF funds, the Nasdaq ETF, H - share ETF, and Hang Seng ETF changed by 0.63%, 3.40%, and 3.77% respectively. The overall on - site share of the tracked overseas ETF funds changed by - 124 million shares compared with the previous week, and the overall trading volume changed by - 1.175 billion yuan compared with the previous week [38]. 7. Money - Market ETF As of the end of last week, the overnight SHIBOR was 1.37%, an increase of 0.05% from the previous week; the one - week SHIBOR was 1.47%, an increase of 0.03% from the previous week. The seven - day annualized yield of Huabao Tianyi decreased by - 0.01% from the previous week, and that of Yinhua Rili decreased by - 0.14% from the previous week. In terms of on - site shares, the on - site share of Huabao Tianyi was 68.379 billion shares, a change of - 619 million shares from the previous week; the on - site share of Yinhua Rili was 70.266 billion shares, a change of - 7.967 billion shares from the previous week [42].

Group 1: Volatility Index Introduction - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatility of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference means the opposite [3] Group 2: Implied Volatility Quantile Ranking - The historical volatility quantile ranking of 50ETF is 0.81 [7] - The historical volatility quantile ranking of 300 Index is 0.79 [5] Group 3: Implied Volatility and Historical Volatility Difference Graph Explanation - The implied volatility quantile represents the current level of the implied volatility of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [8] - The volatility spread refers to the implied volatility index minus the historical volatility [8]

1. Report's Investment Rating for the Industry - The report does not explicitly mention an overall industry investment rating. However, for specific financial derivatives: - Stock index futures are expected to be "oscillating with a bullish bias" [9] - Stock index options are also expected to be "oscillating with a bullish bias" [10] - Treasury bond futures are expected to be "oscillating" [10] 2. Core View of the Report - The stock market rally is not over, and the sentiment in the bond market has improved. Stock index futures are in high - level oscillations with shrinking capital; stock index option trading remains active, and the skewness indicates that the market rally is not over; the bullish sentiment in the bond market continues [2][3] 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **Market Situation**: On Tuesday, the Shanghai Composite Index opened lower and oscillated, with trading volume shrinking by nearly 500 billion yuan to 2.7 trillion yuan. All four stock index futures varieties reduced their positions by over 10,000 lots [9]. - **Reasons for Oscillations**: High trading volume is not sustainable; during the intensive disclosure period of interim reports, funds are avoiding high - valuation sectors; with the approaching military parade, risk appetite may converge [9]. - **Outlook**: This retracement is defined as an oscillation in a bull market. Loss - making stock price increases, a signal of the end of a bull market, have not appeared. It is recommended to continue holding IM long positions and wait for opportunities to add positions [9]. 3.1.2 Stock Index Options - **Market Situation**: The trading volume of the options market was 14.636 billion yuan, still above the 10 - billion - yuan level. After the decline, the position PCR did not drop significantly, and the skewness index decreased. Volatility is high, with most varieties oscillating at high levels [10][11]. - **Outlook**: The market is still expected to rise. It is recommended to continue holding long - position strategies, such as buying call options or using bull spreads [10][11]. 3.1.3 Treasury Bond Futures - **Market Situation**: Most yields of major inter - bank interest - rate bonds declined. The central bank's open - market operations had a net withdrawal of 17.45 billion yuan, but the inter - bank pledged repurchase rate mostly declined, and the capital market remained loose [4][12]. - **Reasons for Bullish Sentiment**: The decline of the Shanghai Composite Index supported the long - end of the bond market through the stock - bond seesaw effect. This week, trading funds such as fund companies have turned to net buying of bonds [4][12]. - **Outlook**: Short - term risk appetite improvement may disrupt the bond market. It is advisable to focus on opportunities for narrowing long - end basis spreads [4][12]. 3.2 Economic Calendar - The economic calendar lists data such as the US new home sales in July 2025, the S&P/CS housing price index of 20 large and medium - sized cities in the US in June, and the expected data of the eurozone's economic sentiment index and consumer confidence index in August [13]. 3.3 Important Information and News Tracking - The Ministry of Housing and Urban - Rural Development plans to start the renovation of 25,000 old urban residential areas in 2025, and 19,800 have been started from January to July. Six regions including Hebei and Liaoning have a start - up rate of over 90% [14]. - The State Council issued the "Opinions on Deeply Implementing the 'Artificial Intelligence +' Initiative", proposing to increase financial and fiscal support in the field of artificial intelligence [15][16]. - The State - owned Assets Supervision and Administration Commission requires state - owned enterprises to further deepen industrial assistance to Tibet and promote major projects such as the Yaxia Hydropower Project and the Sichuan - Tibet Railway [16]. 3.4 Derivatives Market Monitoring - The report mentions monitoring data for stock index futures, stock index options, and treasury bond futures, but specific data details are not provided in the given text [17][21][33]

Core Viewpoint - The article discusses the characteristics of historical bull and bear markets, the performance of different investment styles during these periods, and the current stage of the bull market in A-shares, providing insights on how to respond to market conditions [1][3][30]. Market Performance Overview - A-shares have seen an overall increase since the beginning of 2024, with the CSI All Share Index achieving a maximum increase of 56.98% from early 2024 to August 21, 2025 [3]. - The growth style, represented by the ChiNext Index, has performed strongly with a maximum increase of 82.16%, while the value style, represented by the CSI 300 Value Index, has seen a lower maximum increase of 45.13% during the same period [4]. Historical Market Review - From 2012 to 2014, A-shares experienced a bear market with a maximum drawdown of 39.24% due to poor fundamentals and declining corporate profits [6]. - In the second half of 2014, financial stocks surged following a series of monetary easing policies, with the Securities Industry Total Return Index rising by 206.91% from July 1 to the end of 2014 [8][9]. - The first half of 2015 saw a significant rise in small-cap and growth stocks, leading to a "leverage bull market," with the CSI All Share Index climbing from over 2000 points to over 8000 points [10]. - However, the market experienced a sharp decline in the second half of 2015, with a significant drop in valuations [13]. - From 2016 to 2017, value and consumer stocks led the market as corporate fundamentals improved, resulting in a slow bull market for value stocks [14]. Current Market Stage - The current market resembles the 2015-2016 period, with stimulus policies beginning to take effect and corporate fundamentals showing signs of recovery [31]. - If corporate earnings continue to improve in the upcoming quarters, there is potential for further market growth, similar to past economic recovery phases [32]. Investment Strategy - In the current market, characterized by a 4-star to 4.9-star rating, it is still relatively inexpensive to allocate funds to stock assets [36]. - The recommended allocation strategy suggests investing 60% of funds in stock funds and 40% in bond funds, adjusting based on age [36].

Core Viewpoint - The article highlights the top ten stocks with the highest net financing purchases on August 22, indicating strong investor interest in these companies [1]. Group 1: Stock Performance - The top stock with the highest net financing purchase is SMIC, amounting to 921 million yuan [1]. - ZTE Corporation follows closely with a net purchase of 915 million yuan [1]. - Northern Rare Earth ranks third with a net purchase of 790 million yuan [1]. - Other notable stocks include Cambricon Technologies (771 million yuan), 500ETF (594 million yuan), and Kunlun Wanwei (461 million yuan) [1]. Group 2: Additional Stocks - Jianghuai Automobile had a net purchase of 447 million yuan [1]. - Zhaoyi Innovation recorded a net purchase of 440 million yuan [1]. - O-film Technology and Changdian Technology had net purchases of 425 million yuan and 414 million yuan, respectively [1].

Group 1 - The overall A-share market has risen since the beginning of 2024, with growth style performing relatively strong while value style has been weaker [3][4] - From early 2024 to August 21, 2025, the CSI All Share Index saw a maximum increase of 56.98%, while the CSI 300 Value Index had a maximum increase of 45.13%, and the ChiNext Index reached a maximum increase of 82.16% [4] - The current market uptrend is similar to the period from 2013 to 2017 [6] Group 2 - Between 2012 and 2014, A-shares experienced a bear market with a maximum drawdown of 39.24% due to poor fundamentals and declining corporate profits [7] - In the second half of 2014, financial stocks such as securities and insurance surged significantly, with the Securities Industry Total Return Index rising by 206.91% from July 1 to the end of 2014 [9] - In the first half of 2015, small-cap and growth styles saw substantial gains, with the CSI All Share Index rising from over 2000 points to over 8000 points [10][11] Group 3 - The second half of 2015 saw a significant market decline, with valuations quickly dropping to around 4 stars [16] - From 2015 to the end of 2018, the A-share market experienced a maximum drawdown of 55.78%, with small-cap stocks and growth stocks facing even larger declines [20] - The period from 2016 to 2017 saw a recovery in value and consumer stocks, leading to a slow bull market [21] Group 4 - The current market phase resembles the 2015-2016 period, with stimulus policies beginning to take effect and corporate fundamentals starting to recover [35] - If corporate fundamentals continue to improve, there is potential for further market growth, similar to past economic recovery phases [36] - The current market is rated at around 4 stars, indicating it is relatively inexpensive and still offers opportunities for stock asset allocation [37][40] Group 5 - The current bull market differs from the 2014-2015 bull market in that there is stricter control over leveraged investments and the real estate sector remains in a bear market [32][33] - The main drivers of the recent market uptrend have been financial stocks, with the Securities Industry Total Return Index achieving a maximum increase of 80.43% from June 3, 2024, to the end of 2024 [28] - By 2025, small-cap and technology stocks are expected to take over as the main growth drivers, while value and consumer stocks may remain relatively subdued [29]

Group 1: Introduction to Volatility Data - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the IV of the two - strike options above and below the at - the - money option of the main contract, reflecting the IV change trend of the main contract [2] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [2] Group 2: Volatility Index Charts - Charts show the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options like silver, soybean meal, corn, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means high current IV, and a low quantile means low current IV. Volatility spread refers to the difference between the IV index and historical volatility [4] - Quantile rankings are provided for different options such as PVC, PTA, 50ETF, 300 - stock index, etc [5]

Core Viewpoint - The article discusses the significant discount in the futures market compared to previous years and the higher implied volatility of put options compared to call options, suggesting a potential pessimistic outlook among investors. It proposes a quantitative timing strategy based on the synthetic underlying price of ETF options to address these issues [1]. Group 1: Concepts of Premium and Discount - The premium and discount of stock index futures is defined as the difference between futures prices and spot prices, with a positive value indicating a premium and a negative value indicating a discount. The annualized premium rate is often used for better comparison [2]. - The seasonal discount phenomenon in stock index futures is attributed to dividend payouts from constituent stocks, which can lead to a natural decline in the index and is particularly evident from May to September [2]. Group 2: Synthetic Underlying of ETF Options - The price of the synthetic underlying for ETF options can be expressed using the call option price, strike price, and put option price. The premium or discount rate is calculated as the difference between the synthetic price and the underlying ETF price [3]. - There is a strong positive correlation (over 0.97) between the annualized premium rate of the synthetic underlying of ETF options and the annualized premium rate of stock index futures after excluding dividends, indicating that the synthetic underlying may provide a more accurate reflection of market expectations [3]. Group 3: Quantitative Timing Strategy Backtest Results - The strategy suggests that when the valuation of put options is significantly higher than that of call options, it does not necessarily indicate a market downturn. Instead, it may present a buying opportunity [4]. - The strategy is based on the premise that when the ETF synthetic underlying futures premium is at a historical low, it indicates excessive pessimism, and a potential rebound may occur, prompting a buy signal for the next trading day [4]. Group 4: Historical Backtest Performance - The strategy has shown significant outperformance compared to the underlying ETFs since 2018, with an annualized return of 19.05% and a maximum drawdown of -17.83% when trading the Huatai-PineBridge 300 ETF [6]. - The cumulative return of the timing strategy reached 142.9%, significantly higher than the 51.8% return of the IC monthly contract and 2.52% of the 500 ETF [6]. Group 5: Summary - The article highlights the relationship between the synthetic underlying of ETF options and stock index futures, emphasizing the effectiveness of a quantitative timing strategy based on the synthetic premium. The results indicate that significant discounts in the futures market do not necessarily signal a sell-off but rather present opportunities for long positions [12].