Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report analyzes the secondary market situation, ETF product profiles (including market performance, fund inflows and outflows, trading volume, margin trading, and new issuance and listing) of ETF funds from February 23 - February 27, 2026, and presents data on various indexes and ETFs [1][10][19] Summary by Directory 1 Secondary Market Overview - **Index Returns**: Among A - shares, overseas major broad - based indexes, gold index, and Nanhua Commodity Index, CSI 2000, Nikkei 225, and Nanhua Commodity Index had the highest weekly returns, which were 0.35%, 0.00%, and - 0.25% respectively. The highest - return industries among Shenwan primary industries were non - ferrous metals (2.78%), public utilities (2.50%), and basic chemicals (2.31%), while the lowest - return industries were non - bank finance (-3.98%), computer (-3.44%), and agriculture, forestry, animal husbandry and fishery (-2.94%) [1][10][15] - **Index Valuations**: The PE valuation quantile of the Hang Seng Index was the highest at 90.24%, and that of the S&P 500 was the lowest at 15.14%. Among industries, the highest - valuation quantile industries were public utilities (98.76%), coal (98.35%), and communication (97.11%), while the lowest - valuation quantile industries were non - bank finance (1.24%), food and beverage (2.07%), and beauty care (5.79%) [10][14][15] 2 ETF Product Profile 2.1 ETF Market Performance - **By ETF Type**: Bond ETFs had the best average performance with a weighted average return of 0.22%, while commodity ETFs had the worst performance with a weighted average return of - 3.81% [19] - **By Index and Listing Board**: ETFs corresponding to CSI 2000 and CSI 500 had better market performance with weighted average returns of 0.31% and - 0.14% respectively, while those related to ChiNext Innovation 50 and ChiNext had worse performance with weighted average returns of - 1.78% and - 1.65% respectively [19] - **By Industry Sector**: Biopharmaceutical sector ETFs had the best average performance with a weighted average return of 2.41%, while financial real - estate sector ETFs had the worst performance with a weighted average return of - 3.33% [22] - **By Theme**: Innovative drug and new - energy ETFs had better performance with weighted average returns of 4.40% and 0.70% respectively, while non - bank and consumer electronics ETFs had relatively poor performance with weighted average returns of - 3.70% and - 3.04% respectively [22] 2.2 ETF Fund Inflows and Outflows - **By ETF Type**: Bond ETFs had the largest net fund inflow of 211.55 billion yuan, while industry - themed ETFs had the smallest net fund inflow of - 197.31 billion yuan [2][24] - **By Index and Listing Board**: CSI 300 ETFs had the largest net fund inflow of 45.56 billion yuan, while Hong Kong stock ETFs had the smallest net fund inflow of - 49.87 billion yuan [2][24] - **By Industry Sector**: Traditional manufacturing sector ETFs had the largest net fund inflow of 32.95 billion yuan, while cyclical sector ETFs had the smallest net fund inflow of - 121.65 billion yuan [2][28] - **By Theme**: New - energy and dividend ETFs had the largest net fund inflows of 34.78 billion yuan and 20.57 billion yuan respectively, while chip semiconductor and non - bank ETFs had the smallest net fund inflows of - 28.10 billion yuan and - 12.79 billion yuan respectively [2][28] 2.3 ETF Trading Volume - **By ETF Type**: Commodity ETFs had the largest increase in the average daily trading volume change rate of 47.73%, while bond ETFs had the largest decrease of - 10.53% [34] - **By Index and Listing Board**: US stock ETFs had the largest increase in the average daily trading volume change rate of 52.99%, while ChiNext Innovation 50 had the largest decrease of - 12.87% [36] - **By Industry Sector**: Biopharmaceutical sector had the largest increase in the average daily trading volume change rate of 18.48%, while the cyclical sector had the largest decrease of - 34.76% [39] - **By Theme**: Non - bank and innovative drug ETFs had the largest average daily trading volumes in the past 5 days, which were 127.49 billion yuan and 91.83 billion yuan respectively. Low - carbon environmental protection and new - energy ETFs had the largest increase or the smallest decrease in the average daily trading volume change rate, which were 40.73% and 19.86% respectively. Military and central and state - owned enterprise ETFs had the largest decrease or the smallest increase in the average daily trading volume change rate, which were - 28.80% and - 21.80% respectively [43] 2.4 ETF Margin Trading - The net margin purchase of all stock - type ETFs was - 4.54 billion yuan, and the net margin short - sale was 4.17 billion yuan. During the sample period, Cathay CSI All - Index Securities Company ETF had the largest net margin purchase, and Southern CSI 1000 ETF had the largest net margin short - sale [2][49] 2.5 ETF New Issuance and Listing - During the sample period, 9 funds were established and 4 funds were listed [3][51]

Core Viewpoint - The market's pricing of medium-term stagflation is insufficient, with both China and the US not adopting a tightening monetary policy as a baseline assumption. There are potential upward signals for A-shares that have not been fully priced in, particularly in the context of energy security and supply chain safety [2][3][4]. Group 1: Market Dynamics - The current market narrative revolves around the impact of the US-Iran conflict, leading to rising oil prices and inflation expectations, which in turn raises concerns about stagflation. However, the market's pricing of these concerns is seen as overly optimistic [3][4]. - A-shares are currently in a neutral pricing state, with both upward and downward risks not fully priced in. The short-term outlook is not stable, but it is also not in a state of extreme pessimism [2][4]. Group 2: Energy and Supply Chain Security - The upward trend in energy prices and the potential for the new energy and electric vehicle sectors to drive mid-term growth are highlighted. China's energy security and supply chain safety are expected to create new fundamental trends, particularly as some export chains can effectively pass on rising costs [4][5]. - The market's health remains intact, with a stable capital market supported by policies aimed at maintaining stability. The A-share market is still in a long-term upward cycle, with the potential for a second phase of growth following a period of adjustment [5][6]. Group 3: Investment Opportunities - The current phase is characterized as a "first phase" adjustment after an initial rise, with a "second phase" of growth anticipated. Historical patterns suggest that without significant macroeconomic or industry downturns, the adjustment phase may last about a quarter [7]. - High elasticity investment opportunities are expected to arise from the extension of technology themes and macroeconomic narratives. Specific sectors such as CPO, energy storage, and AI power are highlighted as having potential in the short term, with new energy and electric vehicles likely to lead future growth [8][9].

Quantitative Models and Construction Methods 1. Model Name: RSI (Relative Strength Index) - **Model Construction Idea**: RSI is a momentum oscillator that measures the speed and change of price movements. It is used to identify overbought or oversold conditions in the market[2][4] - **Model Construction Process**: The RSI is calculated using the following formula: $ RSI = 100 - \frac{100}{1 + RS} $ Where: - $ RS = \frac{\text{Average Gain over N periods}}{\text{Average Loss over N periods}} $ - N is typically set to 12 days in this report[2][4] RSI values above 70 indicate an overbought market, while values below 30 indicate an oversold market[2][4] 2. Model Name: Net Purchase Amount (NetBuy) - **Model Construction Idea**: This model calculates the net purchase amount of ETFs to assess fund flows and investor sentiment[2] - **Model Construction Process**: The NetBuy is calculated using the following formula: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ Where: - $ NETBUY(T) $ is the net purchase amount on day T - $ NAV(T) $ is the net asset value on day T - $ R(T) $ is the return on day T[2] --- Model Backtesting Results RSI Model - RSI values for various ETFs are provided in the report, such as: - Huatai-PineBridge CSI 300 ETF: RSI = 32.66[4] - E Fund CSI 300 ETF: RSI = 32.12[4] - Southern CSI 500 ETF: RSI = 31.27[4] - ChinaAMC CSI 500 ETF: RSI = 31.79[4] - Southern CSI 1000 ETF: RSI = 33.80[4] NetBuy Model - NetBuy values for various ETFs are provided in the report, such as: - Huatai-PineBridge CSI 300 ETF: NetBuy = 0.03 billion CNY[4] - E Fund CSI 300 ETF: NetBuy = 3.75 billion CNY[4] - Southern CSI 500 ETF: NetBuy = 4.75 billion CNY[4] - ChinaAMC CSI 500 ETF: NetBuy = 0.76 billion CNY[4] - Southern CSI 1000 ETF: NetBuy = 3.39 billion CNY[4] --- Quantitative Factors and Construction Methods 1. Factor Name: Institutional Holding Ratio - **Factor Construction Idea**: This factor measures the proportion of ETF holdings owned by institutional investors, reflecting institutional participation and confidence[3] - **Factor Construction Process**: The institutional holding ratio is derived from the latest semi-annual or annual reports of ETFs, excluding holdings by linked funds. The data is estimated and may have deviations due to reporting delays or missing data[3] --- Factor Backtesting Results Institutional Holding Ratio - Institutional holding ratios for various ETFs are provided in the report, such as: - Huatai-PineBridge CSI 300 ETF: 87.11%[4] - E Fund CSI 300 ETF: 90.08%[4] - Southern CSI 500 ETF: 83.21%[4] - ChinaAMC CSI 500 ETF: 80.57%[4] - Southern CSI 1000 ETF: 93.16%[4]

Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - During the week from 20260316 to 20260320, the A-share market experienced a correction, while the net inflow of subscription and redemption funds for strategic ETFs continued. The trading volume of the Shanghai and Shenzhen stock markets decreased, and the margin trading balance declined slightly. The overall ETF market had a net outflow of subscription and redemption funds, with stock ETFs showing a net outflow, but strategic ETFs had a net inflow. Meanwhile, new ETFs were issued and some were waiting to be listed [2][3]. Summary According to Relevant Catalogs Market Overall Situation - In terms of the global economic cycle, the copper-gold ratio can be used to measure the health of the macroeconomy. The yields of Chinese and US ten-year treasury bonds increased slightly this week. The copper-gold ratio can be regarded as a leading indicator of Chinese bond yields, but the correlation between US bond yields and the copper-gold ratio has become unclear since the last US interest rate hike cycle in 2022 [10]. - The average daily trading volume of the Shanghai and Shenzhen stock markets was 2.1952 trillion yuan, a decrease of 11.45% from last week. The margin trading balance on Friday was about 2.6148 trillion yuan, a slight decrease from last week. The average maintenance margin ratio of margin trading was 278% [11]. - This week, 10 new stock ETFs were issued, with a total issuance scale of about 2.7 billion shares. The net inflow of stock ETF subscription and redemption funds was about -8.8 billion yuan. The Shanghai Composite Index and other major indices showed different trends, with some sectors like communication and banking rising, while others such as non-ferrous metals and basic chemicals falling significantly. The congestion in the public utilities sector was relatively high [11][12]. Stock (Strategy) ETF Subscription and Redemption Funds Net Inflow Chemical, Non-ferrous and Other Thematic ETFs Subscription and Redemption Funds Net Outflow - The net inflow of subscription and redemption funds in the overall ETF market was about -4.1 billion yuan this week. Among stock ETFs, the net inflow of stock (size) ETFs was about 9.3 billion yuan, stock (industry) ETFs about -8 billion yuan, stock (thematic) ETFs about -18.3 billion yuan, and stock (strategy) ETFs about 8 billion yuan. The trading turnover rate of broad-based ETFs increased, and the broad-based ETFs had a small net inflow of subscription and redemption funds. Chemical, non-ferrous and other thematic ETFs had a net outflow of subscription and redemption funds, while dividend and free cash flow strategy ETFs had a net inflow [29]. - Specific index data showed the net inflow, scale, and other information of various broad-based, overseas, style strategy, cross-border, and commodity and bond index ETFs [33][34][35]. Stock Broad-based ETFs This Week's Funds Net Inflow - This week, stock broad-based ETFs such as CSI 500 and SSE 300 had a net inflow of subscription and redemption funds, while chemical and non-ferrous thematic ETFs had a net outflow. The report also listed the top 10 ETFs with the highest net inflow and net outflow of funds this week, as well as the top 10 ETFs with the highest net purchase and net sale of margin trading funds [38][39][40]. Newly Listed and To-be-Listed ETFs Overview - This week, 10 newly issued ETF funds were listed for trading on their first day, with a total of about 4.1 billion shares. There were 11 ETFs that had completed fundraising and were waiting for listing, with a total of about 3.1 billion shares. The report also provided detailed information on the newly listed and to-be-listed ETFs [43].

Core Insights - The report indicates that the 2-year and 10-year government bond yields in the US have risen, leading to an increase in the US dollar index and an expansion of the yield spread between Chinese and US 10-year government bonds [1][2] - There has been a significant net inflow of southbound funds, particularly into the media sector, with a total net inflow of 181.5 billion yuan year-to-date [3][4] Macro Liquidity - Domestic liquidity saw an increase in the 2-year and 10-year government bond yields, with the 10-year and 2-year bond yield spread widening. The People's Bank of China conducted a net withdrawal of 251.1 billion yuan in the open market, with no MLF operations in March [2][13] - Internationally, the 2-year and 10-year US Treasury yields also increased, with the 10-year yield reaching 4.28% and the dollar index rising to 100.50 [2][17] Market Liquidity - Public funds: In March 2026, 42 new funds were established, including 19 equity funds, with a total issuance of approximately 49.6 billion units [3][24] - ETF funds: 11 new equity ETFs were established in March 2026, with a total issuance of about 4.5 billion units [3][27] - Southbound funds: There was a significant net inflow of southbound funds, with the media sector receiving the largest inflow of approximately 6.05 billion yuan, followed by oil and petrochemicals and automotive sectors [3][40] Financing and Fundraising - Margin financing: The average financing purchase amount was 233.5 billion yuan, down 3.0% week-on-week, with the total margin balance at approximately 2.65 trillion yuan [4][46] - Fundraising: In March, there was 1 IPO raising approximately 1.2 billion yuan, and a total of 95 billion yuan was raised through equity financing [4][50]

- The report introduces the RSI (Relative Strength Index) as a quantitative factor, calculated using the formula: $ RSI = 100 - 100 / (1 + RS) $, where RS represents the ratio of average gains to average losses over a 12-day period. RSI values above 70 indicate an overbought market, while values below 30 suggest an oversold market[2] - Another quantitative factor mentioned is the net subscription amount (NETBUY), calculated using the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $, where NETBUY(T) represents the net subscription amount, NAV(T) is the ETF's net asset value, and R(T) is the return on the current trading day[2] - The report tracks various ETFs based on their underlying indices, such as CSI 300, CSI 500, CSI A500, and thematic indices like non-bank financials, dividends, and China internet sectors. These indices serve as benchmarks for ETF performance analysis[2][4] - The report provides daily monitoring of ETF metrics, including RSI values, net subscription amounts, trading volumes, and institutional holdings, offering insights into market trends and investor behavior[2][4] - The RSI values for different ETFs range widely, with examples including 43.34 for Huatai-PineBridge CSI 300 ETF, 36.27 for Southern CSI 500 ETF, and 50.91 for Ping An CSI A50 ETF, reflecting varying market conditions across indices[4] - Net subscription amounts also vary significantly, such as 11.01 billion for Huatai-PineBridge CSI 300 ETF, -2.28 billion for China Asset Management CSI 500 ETF, and 1.88 billion for Guotai CSI A500 ETF, indicating diverse investor activity[4] - Institutional holdings percentages are highlighted, with examples like 87.11% for Huatai-PineBridge CSI 300 ETF, 93.09% for China Asset Management CSI 300 ETF, and 56.96% for E Fund CSI A500 ETF, showcasing the level of institutional participation in these funds[4]

Market Performance Overview - In the week from March 9 to March 13, 2026, oil prices continued to rise, while domestic equity market indices showed mixed performance, with the ChiNext Index increasing by 2.51% [4] - The coal, power equipment, and construction decoration industries had the highest gains, while the defense, petrochemical, and comprehensive industries experienced the largest declines [4] Fund Product Issuance - The domestic new fund market saw an expansion in issuance, with a total of 30 new funds established, amounting to 36.088 billion units. This included 7 FOF funds, 8 mixed funds, 13 equity funds, and 2 bond funds [5] - Overall, 40 new funds were issued, categorized as 19 equity funds, 8 mixed funds, 6 FOF funds, 6 bond funds, and 1 international (QDII) fund [5] Fund Product Performance Tracking - The long-term industry theme fund index showed that the new energy theme fund outperformed with a net value increase of 4.22%, while other industry theme funds experienced declines. As of March 13, 2026, the net value changes for various theme funds were as follows: new energy (4.22%), consumption (-0.23%), financial real estate (-0.58%), balanced industry (-0.80%), rotation industry (-0.96%), pharmaceuticals (-1.09%), cyclical (-1.23%), TMT (-1.69%), and defense industry (-5.59%) [6] ETF Market Tracking - In the week, stock ETFs experienced a net outflow of 8.586 billion yuan, with a median return of -0.29%. Hong Kong stock ETFs had a median return of -1.01% and a net outflow of 3.528 billion yuan. Cross-border ETFs saw a median return of -0.54% with a net inflow of 337 million yuan, while commodity ETFs had a median return of -0.73% and a net inflow of 5.606 billion yuan [7] - Comprehensive theme ETFs maintained net inflows, while other types of broad-based ETFs experienced net outflows, with large-cap theme ETFs seeing a significant outflow of 12.486 billion yuan. The new energy theme ETFs had notable net inflows totaling 9.482 billion yuan [8] ESG Financial Product Tracking - This week, 23 new green bonds were issued, with a total issuance scale of 21.065 billion yuan. The domestic green bond market has steadily developed, with a cumulative issuance scale of 5.31 trillion yuan and a total of 4,592 bonds issued as of March 13, 2026 [9] - The domestic fund market currently has 210 ESG funds with a total scale of 157.031 billion yuan. In terms of performance, the median net value changes for active equity, passive equity index, and bond ESG funds were -0.84%, +1.58%, and +0.01%, respectively. Funds focused on green energy, low-carbon environmental protection, and low-carbon economy themes performed well [9]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The overall ETF market in the week of 2026.03.02 - 2026.03.06 showed a trend of structural differentiation. The equity market was generally weak, with high - valuation broad - based ETFs under pressure, while bonds provided hedging, and sectors with defensive/resource attributes such as oil and electricity were relatively dominant. There was a clear migration of funds from equity broad - based ETFs to gold, fixed - income, and some thematic ETFs, indicating a defensive tendency [21][22][31]. - The issuance of ETFs accelerated significantly last week, with new products mainly in the energy direction. However, the grid equipment ETF was at a high valuation, and the concentrated issuance might increase congestion, while the power ETF had a relatively reasonable valuation and controllable risks [4]. 3. Summary by Relevant Catalogs 3.1 Scale: Total Expansion and Structural Stratification (Market/Product/Institution) 3.1.1 Product Scale - As of March 6, 2026, the total number of ETFs in the whole market was 1,446, with a total scale of 53,029.83 billion yuan and 33,703.54 billion shares. Stock - type ETFs were the absolute main force, with 1,131 funds, a scale of 30,882.03 billion yuan, and 21,131.36 billion shares. The scale of cross - border ETFs was 9,452.05 billion yuan, bond - type ETFs was 7,374.88 billion yuan, commodity - type ETFs was 3,566.12 billion yuan, and currency - type ETFs was 1,749.61 billion yuan [11][13]. - Compared with the previous week, the overall share increased by 30.9 billion, but the scale decreased by 83.6 billion yuan. Stock - type ETFs increased in number and share but decreased in scale, while bond - type, commodity - type, and currency - type ETFs increased in both share and scale [12]. 3.1.2 Institution Scale - Last week, the top 20 fund companies managed a total net asset value of 23 trillion yuan, accounting for 62% of the whole market, showing a significant industry head effect and a high level of concentration. The top 10 fund companies mainly focused on currency and equity (stocks + ETFs). E Fund and China Asset Management had leading and more balanced total scales, Tianhong was more focused on currency - type products, and Bosera, Fullgoal, and Penghua had a more fixed - income - oriented structure [14]. - Compared with the previous week, the scale fluctuations last week mainly came from the stock and ETF sectors. Some leading institutions' equity and ETF scales declined, while some medium - sized institutions showed an incremental trend, and the differentiation among institutions increased [16]. 3.2 Performance: Rise - Fall Differentiation and Valuation Position 3.2.1 Large - Category ETFs - Last week, the domestic equity market was generally weak, with broad - based indexes generally retreating. The small - and medium - cap indexes (CSI 500/CSI 1000) had larger declines, and the valuation quantiles were still at a high level. Structurally, there was obvious differentiation. The oil ETF in the cyclical manufacturing direction rose against the trend, and the power ETF in the dividend/utilities direction also rose, while the securities ETF fell [21]. - Bonds strengthened slightly, and cross - border (QDII) ETFs were also weak. Overall, the main trend last week was the general decline of domestic equities, high - valuation broad - based indexes under pressure, bonds providing hedging, and sectors with defensive/resource attributes such as oil and electricity being relatively dominant [22]. 3.2.2 CITIC First - Level Industry Index - Last week, industry performance showed obvious differentiation. Sectors such as petroleum and petrochemicals, coal, and banks were strong but with high valuations; sectors such as power and public utilities, agriculture, forestry, animal husbandry, and fisheries, and communications were strong but with relatively low valuations; sectors such as computers, electronics, and machinery were weak and with high valuations; sectors such as food and beverages, commercial retail, and real estate were weak and with low valuations [26]. 3.2.3 Representative ETF Products - In terms of scale, Huatai - Bertrands SSE 50 ETF (510300) ranked first with 208.329 billion yuan. In terms of trading activity, bond - type ETFs were prominent, and among equity - type ETFs, the Hang Seng Tech ETF and A500ETF were the most actively traded. In terms of valuation, military - leading ETFs and dividend ETFs were at historical high levels, while the Hang Seng Tech ETF, pharmaceutical ETF, Nasdaq ETF, and power ETF were at historical low levels, which had certain allocation attractiveness for medium - and long - term investors [28]. - Among the top 20 indexes, the SSE 50 ETF had the largest scale but a significant decline last week. Most equity - type index ETFs had a net outflow of funds, while safe - haven and fixed - income assets were favored by funds. The SGE Gold 9999 had the most prominent performance, and some thematic ETFs also showed good inflow trends [30]. 3.3 Funds: Sector Liquidity and Net Inflow Structure 3.3.1 Whole - Market Overview: Scale and Net Redemption - Last week, the total scale of the whole - market ETFs reached 5.30 trillion yuan, slightly shrinking by 0.72 trillion yuan compared with the beginning of the year. The number of listed ETFs increased to 1,445, with 45 new ones compared with the beginning of the year. Stock - type ETFs were still the main force, but their scale decreased compared with the beginning of the year. Bond - type ETFs had the largest shrinkage, while commodity - type ETFs performed the best, and currency - type and cross - border ETFs had a slight increase [34]. 3.3.2 Large - Category Funds: Stocks/Bonds/Commodities/Cross - Border No specific content provided in the text for a detailed summary. 3.3.3 Internal Equity: Broad - Based vs. Industry/Theme vs. Strategy - Last week, the funds of major broad - based ETFs were generally weak, with the SSE 50 having a continuous net outflow in the past 60 days, and the ChiNext also under great outflow pressure. The main directions of capital inflow were thematic ETFs and cyclical manufacturing ETFs, while broad - based ETFs continued to be under pressure, indicating an obvious migration of funds from broad - based to thematic and cyclical directions [49][50]. 3.3.4 Top 20 Stock - Type ETF Redemption Net Inflows - Last week, energy and safe - haven assets were the main directions pursued by funds. The oil ETF had the highest net inflow, and the grid equipment ETF and other energy - related ETFs also had high net inflows. Gold ETFs continued the net inflow trend. The Hang Seng Tech ETF also received a net inflow despite a decline [54]. 3.3.5 Leveraged Funds: Top 20 Margin - Trading Net Buys and the Relationship with Redemption - Last week, the grid equipment ETF had the highest margin - trading net buy, followed by the Hang Seng Tech Index ETF and the Hong Kong Stock Connect Internet ETF. The medical ETF also had a relatively high margin - trading net buy. Gold - related ETFs had a large margin - trading net buy in total. There were four typical relationships between margin - trading and redemption, and the power ETF was the only one in the "double - strong" quadrant [56][57]. 3.4 ETF Trading Congestion 3.4.1 Top 10 ETFs in Terms of Turnover and Trading Volume - Last week, the total trading volume of the ETF market was about 2.9 trillion yuan. The increase in volume mainly came from bond - type ETFs, followed by stock - type ETFs. In the bond - type ETFs, the short - term financing ETF had the highest trading volume and turnover rate. In the stock - type ETFs, the electronic industry ETFs were the most actively traded, and the oil and petrochemical ETFs had a high turnover rate but relatively low trading volume. The large - cap style still dominated the market trading volume, and the game between growth and balanced styles was the core main line of current stock - type ETF trading [61][68][71]. 3.5 Issuance Dynamics and Trading Congestion - Last week, the ETF issuance market accelerated significantly, with 77 funds being issued, a 48% increase compared with the previous week. 12 funds were established (a 140% increase compared with the previous week), and 7 funds were listed (a 133% increase compared with the previous week). The supply of new products accelerated significantly. The newly listed ETFs were mainly in the energy and manufacturing directions, but the grid equipment ETF was at a high - valuation and high - congestion level, while the power ETF had a relatively reasonable valuation [78][80].

Market Overview - In February 2026, the domestic stock market indices showed mixed performance, with the CSI 1000 index rising significantly by 3.71%, while the STAR 50 index fell by 1.42%. Year-to-date, the CSI 500 index performed strongly with a gain of 15.98%, whereas the CSI 300 index lagged with a rise of only 1.74% [2][6]. - In terms of market style, small-cap stocks outperformed large-cap stocks in February, and value stocks slightly outperformed growth stocks. Year-to-date, the ChiNext index rose by 3.34%, while the CSI 1000 index increased by 12.71% [2][7]. - The best-performing sectors in February were steel (+9.52%), building materials (+7.72%), and machinery (+7.56%), while the worst performers were media (-4.22%), non-bank financials (-3.48%), and consumer services (-3.37%) [2][12]. - The bond market saw the China Bond Treasury Total Wealth Index increase by 0.26% and the China Bond Corporate Bond Total Wealth Index rise by 0.23% in February. Year-to-date, government bonds performed slightly better than credit bonds [2][7]. - In the commodity market, most domestic commodity indices fell in February, with the Nanhua Agricultural Products Index rising by 0.23% and the Nanhua Gold Index declining by 1.17%. Year-to-date, the Nanhua Gold Index increased by 17.11% [2][7]. ETF Strategy Performance - The report highlights the growing importance of ETFs as investment tools, with a focus on various strategies including style rotation, quantitative selection, global allocation, bond allocation, and asset allocation. The current ETF combinations include style rotation, global allocation, valuation-selected ETFs, and others [3][13]. - As of February 28, 2026, the Style Rotation Portfolio achieved a cumulative return of 104.86%, outperforming its benchmark by 53.29%. The annualized volatility was 19.24%, with a maximum drawdown of -22.20% [3][19]. - The 28 Rotation Portfolio recorded a cumulative return of 66.89%, exceeding its benchmark by 17.31%, with an annualized volatility of 11.26% and a maximum drawdown of -16.39% [3][26]. - The Valuation-Selected ETF Portfolio achieved a cumulative return of 190.69%, outperforming its benchmark by 141.54%, with an annualized volatility of 20.37% and a maximum drawdown of -21.42% [3][33]. - The Global Allocation Portfolio had a cumulative return of 73.57%, surpassing its benchmark by 35.07%, with an annualized volatility of 13.56% and a maximum drawdown of -28.69% [3][41]. - The Dynamic Duration Strategy Portfolio achieved a cumulative return of 20.44%, outperforming its benchmark by 3.32%, with an annualized volatility of 1.71% and a maximum drawdown of -2.38% [3][49]. - The Asset Rotation Strategy Portfolio recorded a cumulative return of 78.61%, exceeding its benchmark by 54.43%, with an annualized volatility of 10.73% and a maximum drawdown of -12.17% [3][56]. - The Asset Rotation Strategy 2.0 Portfolio achieved a cumulative return of 75.02%, outperforming its benchmark by 50.83%, with an annualized volatility of 7.44% and a maximum drawdown of -7.95% [3][64].

1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views of the Report - In February, the main indices of the Shanghai and Shenzhen markets showed mixed performance. The CSI 500 and the Small and Medium - cap Board Index led the gains with increases of over 3%, while the STAR 50 Index had the largest decline of 1.42%. Among the 31 Shenwan primary industries, 23 industries rose, with the top 5 gainers being comprehensive, steel, building materials, environmental protection, and machinery and equipment, and the top 5 decliners being media, commercial trade, non - banking finance, banking, and pharmaceutical biology [1][14]. - In January 2026, the total number of new individual investor accounts opened in the market reached 4.9058 million, and the number of new institutional investor accounts was 10,600. Individual investor enthusiasm further increased, while institutional investor activity declined [2][21]. - In February, 28 new funds were issued with a total scale of 17.847 billion yuan. The issuance of active equity funds and passive equity funds was 3.354 billion shares and 2.928 billion shares respectively, and the issuance of active equity funds decreased significantly compared to the previous month. Overall, affected by the Spring Festival holiday, the overall issuance rhythm slowed down [3][35]. - In February, except for QDII and commodity - type funds, other types of funds rose to varying degrees. The average increase of equity - biased funds was the largest, at 1.15%. Among different - style funds, the small - cap value style had the largest increase of 4.41%, and the large - cap growth style had the smallest increase of about 0.31% [3][41]. - By calculating the average returns of equity - biased public funds of different scales last month, it can be seen that the mini - funds with a scale of 50 - 100 million yuan had the largest average increase of 1.31%, with a positive - return ratio of 64.75%. Only the super - large funds with a scale of over 10 billion yuan declined, with a decline of 0.33% and a positive - return ratio of 38.71% [3][49]. - Through the calculation of the industry positions of active equity funds, in February, the industries with the highest increase in positions were media, building materials, and comprehensive, and the industries with the highest reduction in positions were electronics, pharmaceutical biology, and non - ferrous metals. As of February 27, 2026, the overall position of active equity funds was 77.23%, an increase of 3.13 percentage points from the previous month [4][52]. - In February, the net outflow of funds from ETFs was 21.106 billion yuan. At the individual - bond level, many broad - based index ETFs showed a trend of capital outflow. Among the most actively traded targets on a daily - average basis, the Grid Equipment ETF, Machine Tool ETF, Rare Earth ETF E Fund, Shipbuilding ETF, and Oil and Gas ETF Huatai - PineBridge had the highest increases of 10.1% - 14.5%; the E Fund China Concept Internet ETF, Huatai - PineBridge Hong Kong Stock Connect Technology ETF, Puyin Game and Media ETF, Artificial Intelligence 50 ETF, and Silver Fund New Economy ETF had the highest declines of 7.3% - 14.0%. In terms of capital flow, the Hang Seng Tech ETF, Satellite ETF, Cathay Gold ETF, Grid Equipment ETF, and Securities ETF had the highest net inflows, and the Southern CSI 500 ETF, Huatai - PineBridge CSI 300 ETF, Southern CSI 1000 ETF, Non - Ferrous Metals ETF Fund, and Huaxia SSE 50 ETF had the highest net outflows [5][60]. - In February, the risk - parity model declined by 0.23%, and the risk - budget model declined by 0.48%. Since 2015, the annualized return of the risk - parity model has been 6.32% with a maximum drawdown of 1.29%, and the annualized return of the risk - budget model has been 8.08% with a maximum drawdown of 2.35%. Next month, the asset - allocation weights of the models remain unchanged [6][70]. 3. Summary According to the Directory 3.1 Domestic Market Situation - In February, the main stock indices in the Shanghai and Shenzhen markets showed mixed performance. The CSI 500 and the Small and Medium - cap Board Index led the gains with increases of over 3%, and the STAR 50 Index had the largest decline of 1.42%. Among the 31 Shenwan primary industries, 23 industries rose, with the top 5 gainers being comprehensive, steel, building materials, environmental protection, and machinery and equipment, and the top 5 decliners being media, commercial trade, non - banking finance, banking, and pharmaceutical biology [1][14]. - The ChinaBond Composite Total Return Index rose 0.01%, the ChinaBond Treasury Bond, Financial Bond, and Credit Bond Total Return Indices ranged from a decline of 0.02% to an increase of 0.14%, the CSI Convertible Bond Index rose 0.89%, and the Nanhua Commodity Index fell 1.32% [14]. - In January 2026, the total number of new individual investor accounts opened in the market reached 4.9058 million, and the number of new institutional investor accounts was 10,600. Individual investor enthusiasm further increased, while institutional investor activity declined [2][21]. - The new - filing scale of private securities investment funds in December increased month - on - month to 54.174 billion yuan, and the existing scale continued to expand, reaching 22.15 trillion yuan as of that month, remaining at a historically high level [22]. 3.2 European, American, and Asia - Pacific Market Situation In February, most of the main indices in the European, American, and Asia - Pacific markets rose. In the US stock market, the S&P 500 declined by 2.13%, the Dow Jones Industrial Average rose by 0.13%, and the Nasdaq Composite Index declined by 3.38%. In the European market, the French CAC 40 rose by 5.59%, and the German DAX rose by 3.04%. In the Asia - Pacific market, the Hang Seng Index declined by 2.76%, and the Nikkei 225 rose by 10.37% [27]. 3.3 Market Valuation Situation - In February, the valuations of the main market indices showed mixed trends. In terms of the historical percentile of price - to - earnings ratio, the CSI All - Share Index led the increase with a rise of 5.4 percentage points. In terms of the historical percentile of price - to - book ratio, the CSI 1000 Index led the increase with a rise of 5.2 percentage points [30]. - Among industries, the top five industries with the highest historical percentile of price - to - earnings ratio of the Shenwan primary index last month were real estate, electronics, building materials, comprehensive, and chemical. The price - to - earnings ratio percentile of the real estate industry was at a high level, and that of the electronics industry reached 96.9%. The bottom five industries with the lowest historical percentile of price - to - earnings ratio were non - banking finance, agriculture, forestry, animal husbandry and fishery, food and beverage, beauty care, and pharmaceutical biology, where the valuation of the non - banking finance industry was close to its historical low since 2013 [30]. 3.4 Public Fund Overall Situation 3.4.1 Fund Issuance Situation In February, 28 new funds were issued with a total scale of 17.847 billion yuan. Affected by holidays, the issuance rhythm slowed down. Among them, 10 equity funds were issued with a scale of 2.939 billion yuan, 9 hybrid funds were issued with a scale of 3.344 billion yuan, 3 bond funds were issued with a scale of 2.459 billion yuan, and 6 FOF funds were issued with a scale of 9.106 billion yuan. The issuance of active equity funds and passive equity funds was 3.354 billion shares and 2.928 billion shares respectively, and the issuance of active equity funds decreased significantly compared to the previous month [35]. 3.4.2 Fund Market Return Situation - In February, except for QDII and commodity - type funds, other types of funds rose to varying degrees. The average increase of equity - biased funds was the largest, at 1.15% [39]. - Different - style funds showed differentiated performance. The value style outperformed the growth style, and the small - and medium - cap styles outperformed the large - cap style. The small - cap value style had the largest increase of 4.41%, and the large - cap growth style had the smallest increase of about 0.31% [41]. - By calculating the average returns of equity - biased public funds of different scales last month, it can be seen that the mini - funds with a scale of 50 - 100 million yuan had the largest average increase of 1.31%, with a positive - return ratio of 64.75%. Only the super - large funds with a scale of over 10 billion yuan declined, with a decline of 0.33% and a positive - return ratio of 38.71% [49]. 3.4.3 Active Equity Fund Position Situation - In February, the industries with the highest increase in positions of active equity funds were media, building materials, and comprehensive, and the industries with the highest reduction in positions were electronics, pharmaceutical biology, and non - ferrous metals [52]. - As of February 27, 2026, the overall position of active equity funds was 77.23%, an increase of 3.13 percentage points from the previous month [54]. 3.5 ETF Fund Situation - In February, the net outflow of funds from ETFs was 21.106 billion yuan. Among them, the net outflow of equity ETFs was 90.586 billion yuan, the net inflow of cross - border ETFs was 47.433 billion yuan, and the net inflow of bond ETFs was 7.818 billion yuan. In terms of liquidity, the average daily trading volume of the overall ETF market this period reached 518.894 billion yuan, and the average daily trading volume reached 186.344 billion shares. The average daily turnover rate was 8.12%, a decrease of 1.05 percentage points from January [59]. - At the individual - bond level, many broad - based index ETFs showed a trend of capital outflow. Among the most actively traded targets on a daily - average basis, the Grid Equipment ETF, Machine Tool ETF, Rare Earth ETF E Fund, Shipbuilding ETF, and Oil and Gas ETF Huatai - PineBridge had the highest increases of 10.1% - 14.5%; the E Fund China Concept Internet ETF, Huatai - PineBridge Hong Kong Stock Connect Technology ETF, Puyin Game and Media ETF, Artificial Intelligence 50 ETF, and Silver Fund New Economy ETF had the highest declines of 7.3% - 14.0%. In terms of capital flow, the Hang Seng Tech ETF, Satellite ETF, Cathay Gold ETF, Grid Equipment ETF, and Securities ETF had the highest net inflows, and the Southern CSI 500 ETF, Huatai - PineBridge CSI 300 ETF, Southern CSI 1000 ETF, Non - Ferrous Metals ETF Fund, and Huaxia SSE 50 ETF had the highest net outflows [60]. 3.6 Model Operation Situation - Four types of large - asset allocation models were constructed using stocks, bonds, commodities, and QDII assets. Among them, the first two are fixed - ratio models, and the ratios of the latter two models are adjusted monthly based on 24 - month data [66]. - In February, the risk - parity model declined by 0.23%, and the risk - budget model declined by 0.48%. Since 2015, the annualized return of the risk - parity model has been 6.32% with a maximum drawdown of 1.29%, and the annualized return of the risk - budget model has been 8.08% with a maximum drawdown of 2.35% [6][70]. - Next month, the asset - allocation weights of the models remain unchanged. For the risk - parity model, the ratio of stocks: bonds: commodities: QDII is 7%: 69%: 11%: 13%; for the risk - budget model, the ratio is 14%: 49%: 8%: 28% [71].