Highlights | "Digital Intelligence Empowerment, Ecosystem Win-win——CITIC Securities 2026 ETF Investment Forum" Main Forum on Day One

Intelligent Data Empowerment, Ecosystem Win-Win | CITIC Securities 2026 ETF Investment Forum

CITIC Securities 2026 ETF Investment Forum was held on March 12-13 in Jiaxing, Zhejiang. The forum invited various asset management institutions, capital providers, corporate clients, and professional investors managing or investing in ETFs domestically and abroad to participate.

Day One Main Forum

Time

Morning of March 12, 2026

Special Guests

Liu Zhong

Chairman of Shanghai Huazheng Index Information Service Co., Ltd.

Xuan Wei

Chief Strategy Analyst at Huaxia Fund

Li Xu

Assistant General Manager of Index Research Department at E Fund

Guo Beibei

Deputy Director of Index and Quantitative Investment Department at Harvest Fund

Yin Dawei

Partner at Shanghai Leiling Investment

Speakers

Zhao Wenrong

Chief Quantitative and Allocation Analyst at CITIC Securities

Xu Tao

Co-Head of Technology & Industry Group and Chief Electronic Industry Analyst at CITIC Securities

Moderator

Wu Jiahui

ETF Strategy and Thematic Quantitative Analyst at CITIC Securities

The Past, Present, and Future of Index Investing

Liu Zhong, Chairman of Shanghai Huazheng Index Information Service Co., Ltd.

1. The Past of Index Investing

Indexes originated in the late 19th century, initially used by media and exchanges to publish financial information describing overall market conditions, gradually becoming the foundation of financial products. With the advent of ETFs, the requirements for index standardization, independence, and investability increased significantly, leading to the emergence of professional index companies.

Professor Liu Zhong emphasizes that index investing has a solid theoretical foundation. From the Efficient Market Hypothesis to Modern Portfolio Theory, index investing is a rare example of “theory leading practice” in finance. Proofs based on stochastic multiplicative processes show that returns of market-cap weighted indexes outperform most active portfolios. Capital flows over the past decade in the U.S. market confirm this trend: approximately $3.1 trillion has flowed into index products, while about $3.2 trillion has exited active management funds, clearly indicating a market shift toward indexing.

Since the first index fund launched in China in 2002, the domestic market experienced a slow initial development, with significant growth in quantity and scale after 2008. Since 2014, the scale of index funds has continued to grow rapidly, surpassing active equity funds around 2024.

2. The Present of Index Investing

Currently, index investing exhibits unprecedented diversification. Professor Liu believes that index investing in China is still in its early stages with huge growth potential, mainly reflected in three aspects:

Product Diversification. From traditional broad-based indexes to thematic, sector, and strategy indexes (Smart Beta), the types of indexes are rapidly expanding. Smart Beta, as a rule-based expression of active investment, seeks systematic excess returns through factor exposures, providing an alternative methodology.

Innovations in Index Construction. The evolution of index construction has moved from traditional market-cap weighting to Smart Beta based on anomaly detection, and further to Dynamic Beta based on adaptive market hypotheses. Techniques have advanced from fundamental analysis to machine learning and dynamic factor rotation, aiming to capture purer market risk premiums.

Strong Policy and Ecosystem Support. Since 2024, policies like the “New National Nine Articles” and series of actions by the China Securities Regulatory Commission have explicitly promoted establishing fast-track approval channels for ETFs and advancing index-based investing. State-owned funds like Central Huijin play a stabilizing role through ETFs, further solidifying the index’s core position in maintaining market stability and attracting medium- to long-term capital.

3. The Future of Index Investing

Looking ahead, Professor Liu suggests three main directions for the evolution of index investing:

Greater Differentiation. Moving beyond passive tools to active portfolios, future index investing will involve modular combinations of multiple styles, factors, and strategies, including ESG preferences, to achieve unique investment goals. Technological advances will enable “everyone to create, own, and invest in their own indexes.”

Direct Indexing. Disrupting traditional product forms, technological progress will allow investors to bypass funds and directly hold underlying asset baskets. This “direct indexing” will bridge the last mile of personalized customization, greatly improving investment efficiency and challenging existing index providers and asset managers.

AI-Enhanced and Derivative Strategy Indexing. Artificial intelligence will deeply empower index investing through machine learning and natural language processing to select securities or dynamically adjust factor weights for pure alpha returns. Additionally, index investing will increasingly incorporate derivatives like options and leverage strategies, packaged as transparent, low-cost strategy indexes, providing more diversified risk solutions.

From Semiconductor Industry Trends to Tech Sector Opportunities

Long-term Investment Opportunities

Xu Tao, Co-Head of Technology & Industry Group and Chief Electronic Industry Analyst at CITIC Securities

AI is currently the clearest mainline in the tech industry, which can be discussed from two directions: cloud and terminal. Cloud remains prosperous, while the AI-enabled mobile phones and glasses have reversed the trend. The current industry investment phase mainly focuses on “building roads” for technological infrastructure, with the cloud infrastructure arms race still in full swing, followed by terminal applications. Semiconductors, as the core infrastructure for AI, hold a strategic position in this industry upgrade.

The tech industry should now be understood as a super-growth sector combined with cyclical factors. The long-term driving force comes from increasing penetration of highly sticky end devices. From an investment logic perspective, the trend of hard tech industries often outperforms the market when the overall environment is favorable, with AI being the most prominent mainline. All tech industry logic should revolve around AI spillover and domestic substitution amid global de-globalization. Currently, cloud demand remains strong, with high activity in training, inference, storage, bandwidth, advanced process manufacturing, and capacity expansion. The growth of AI-related cloud demand is well-validated by CAPEX from cloud providers, leading vendors like NVIDIA, and emerging token applications. Meanwhile, terminal demand is currently weaker; the key variable for future growth is the penetration of AI-enabled devices like smartphones and glasses, which is expected to accelerate around 2027-2028, transforming industry patterns. Storage and devices are the two most promising semiconductor tracks.

The length and strength of storage industry prosperity should not be underestimated. The current AI-driven industry shortages should be viewed not just as a super cycle but as a super growth phase. Within subcategories, AI-related memory and flash memory are the most buoyant, with HBM remaining the top focus in the next two years. The synergy of computing power, storage, and bandwidth will be crucial, with future core growth driven by the matching of storage and computing, a key area for domestic technological leapfrogging.

Advanced manufacturing capacity expansion over the next three years is unlikely to lead to oversupply. Global efforts to expand capacity are underway in China, the U.S., and Europe. The trend of de-globalization and supply chain security makes manufacturing, equipment, storage, and domestic equipment chain investments highly certain, warranting close attention from investors.

The core change in future internet and smart terminals is the “reconstruction of entry points.” The boundaries between large model companies, mobile phone manufacturers, super apps, and small apps are blurring. Whoever controls user entry, system permissions, and interaction standards will have a higher chance of dominating the next industry high ground. From the terminal perspective, 2026 is the year of AI mobile phones. In the short term, penetration will be driven by disruptors like Doubao and Nubia; in the medium term, the reorganization and competition for entry points among large model companies, mobile phone makers, and super app developers will be key industry variables. The upgrade from smartphones to smart assistants is promising. Additionally, AI+AR glasses have long-term potential to revolutionize efficiency, driven by AI assistants improving software interaction, with major players leading lightweight hardware, display, and low-power capabilities, expected to accelerate penetration and trigger new ecological shifts within three years.

We believe that future tech industry investments should focus on areas with solid performance, clear industry logic, and benefiting from AI infrastructure expansion, especially those directly linked to cloud infrastructure growth and industry pattern changes.

Risk Factors: Data source risks; market volatility; macroeconomic and industry policy changes.

Market Capital Environment Analysis and ETF Investment Empowerment Based on SDISS Framework

Zhao Wenrong, Chief Quantitative and Allocation Analyst at CITIC Securities

By the end of 2025, the domestic ETF market size exceeded 6 trillion yuan, with a 60% YoY increase; the number of products reached 1,401, with an average daily trading volume of 426.3 billion yuan, accounting for over 20% of A-share trading volume. The tool attribute and market influence have significantly increased. Notably, bond, commodity, and Hong Kong stock ETFs have seen rapid growth, with A-share sector and thematic ETFs growing faster than broad-based ETFs, and active trading leading. According to quantitative monitoring data, the macro environment since 2025 features weak economic recovery, improving inflation, RMB appreciation, ample liquidity, and low interest rates, creating a friendly environment for ETF and other tool-based investments. Comparing ETF market capitalization ratios and overall A-share trading activity internationally, the ETF market is expected to continue rapid growth during the “14th Five-Year Plan” period.

For the A-share market, seven types of long-term capital flows tend to be net inflows, with ETF investment funds, high-net-worth individuals, insurance funds, and foreign capital being the main potential inflow sources. Specifically: (1) ETF funds representing index investors: after the end of contrarian adjustments, the market has returned to balance; (2) private equity funds of high-net-worth investors: large potential net inflows; (3) insurance funds with long-term allocation: characterized by “stability first, then acceleration”; (4) northbound funds with flexible allocation: stock holdings are rising but their marginal influence on A-shares has decreased compared to previous years; (5) active traders’ credit trading funds: highly sensitive to market swings, reinforcing market trends, with increasing scale during active trading; (6) retail public funds: shifting from “reducing Hong Kong stocks” to “adding A-shares,” with increased positions in tech and cyclical sectors, changing from net redemption in 2025 to net subscription in 2026; (7) low-risk preference funds: equity allocation still low but with significant potential for growth. In the medium to long term, these seven fund types show rare synchronized trends, supporting sector rotation and Beta strategies.

CITIC Securities Research Department has developed the SDISS (Seven-Dimensional Investment Strategy System) framework, covering macro conditions, economic cycle, policies, market expectations, corporate fundamentals, capital flows, and technical features. Each dimension has different market-driving logic, from exogenous to endogenous, long-term to short-term, enabling the construction of single-dimension thematic investment strategies and forming an independent yet corroborative unified strategy system, empowering asset managers to advance from stock selection to Beta selection.

As of March 6, based on SDISS: broad-based ETFs focus on ChiNext 50, ChiNext Index, ChiNext Large Cap/300 Index, and SSE STAR Market 100 Index; primary industry focus on non-bank financials, home appliances, agriculture & forestry & animal husbandry & fishery, and petrochemical; industry and thematic preferences include ChiNext tech, smart vehicles, 5G Industry 50, IoT, industrial internet, and semiconductor chips.

Risk Factors: Data source risks; model failure; overfitting; market abnormal volatility; macroeconomic and industry policy changes.

“ETF Investment Strategies and Solutions” Roundtable

Moderator:

Shi Zhou, ETF Strategy and Thematic Quantitative Analyst at CITIC Securities

Guests:

Xuan Wei, Chief Strategy Analyst at Huaxia Fund

Li Xu, Assistant General Manager of Index Research at E Fund

Guo Beibei, Deputy Director of Index and Quantitative Investment at Harvest Fund

Yin Dawei, Partner at Shanghai Leiling Investment

▶ Xuan Wei, Chief Strategy Analyst at Huaxia Fund, Summary of Remarks

1. What are some best practices Huaxia Fund has in ETF investment strategies and solutions?

We rely on close collaboration across departments to provide clients with clear, logical investment views and advisory portfolios. We have developed multiple strategies through live or simulated trading, including low-volatility rotation portfolios, monthly ETF allocation portfolios, and broad asset allocation strategies. Our comprehensive service system covers market research, strategy development, and product analysis, delivering forward-looking, timely research results and competitive advisory and strategy services.

2. Under the AI wave, how does digital application empower ETF investing?

AI has greatly empowered ETF investing through digital applications. We launched the “Red Rocket” platform for retail users, with over 15 million users, enabling index investment tools, visualization, and full-chain support, free of charge, covering all market products, and embedded in wealth management platforms to reach clients. For institutional clients, we developed the “Designated Yield” mini-program to showcase index advisory strategies, and plan to launch a professional PC platform to further enhance digital services.

3. In uncertain environments like external conflicts, what are your ETF investment strategies for 2026?

Since 2025, global markets have been deeply affected by geopolitical changes. In 2026, our ETF strategies focus on: continuing multi-asset allocation, especially emphasizing commodities and gold; maintaining investments in A-shares, which performed well at the start of the year. The key positive factors include accelerated PPI recovery and upward revisions of A-share earnings growth to 8-10%, with a view that market volatility will increase and the upward structure will narrow. We will focus on structural opportunities, especially in cyclical and growth themes, and gradually increase allocations to dividend assets. We are optimistic about sectors like technology security (AI, semiconductors), energy security (non-ferrous metals, chemicals, coal, power), and low-volatility dividend assets.

▶ Guo Beibei, Deputy Director of Index and Quantitative Investment at Harvest Fund, Summary of Remarks

1. Please introduce Harvest Fund’s sector ETF rotation strategy?

Our sector ETF rotation strategy is a core part of our index solutions, relying on a fully quantitative model that integrates multi-factor systems and sector-specific factors, with AI deep learning. The model regularly evaluates and rebalances the primary sector holdings, incorporating profit-taking and stop-loss signals, balancing structural returns and risk control.

2. Recently, index construction optimization has gained client attention. How can you support this?

Index construction optimization mainly involves adjusting sample selection and weights based on rules, on top of the existing index universe. For example, in 2013, we launched the CSI 300 Anzhong Dynamic Strategy Index Fund, which adjusted weights within the CSI 300 constituents, achieving over 5% annualized excess returns. We also offer customized services, such as Smart Beta tailored solutions and thematic customization, to meet investors’ specific factor and sector exposure needs.

3. In uncertain environments like external conflicts, what ETF strategies do you recommend for 2026?

For 2026, focus on “one strategy + four sector themes.” The strategy emphasizes cash flow-based approaches as core underlying assets, replacing part of enhanced index strategies. Sector themes include traditional energy (strategic advantage, complementing new energy), new energy, essential consumer goods, and cloud computing (with Shanghai-Hong Kong-Shenzhen layout, aligning with AI development). These directions combine long-term value and short-term opportunities.

▶ Yin Dawei, Partner at Shanghai Leiling Investment, Summary of Remarks

1. From a private fund perspective, what is the logic and return source of ETF arbitrage and macro rotation quantitative strategies?

Our team specializes in ETF quantitative strategies, including ETF arbitrage and macro ETF rotation. The core of ETF arbitrage is exploiting price deviations between primary and secondary markets, premiums/discounts, and pricing gaps between components and ETFs, through algorithmic, low-latency trading to capture arbitrage profits. Returns mainly come from market efficiency restoration, characterized by steady gains, low correlation with market movements, and controlled drawdowns. Macro ETF rotation strategies are based on macro cycles, liquidity, industry prosperity, and capital behavior, using quantitative models to dynamically allocate across broad, sector, thematic, cross-border, and commodity ETFs, aiming to optimize risk-adjusted returns across different market environments.

2. How should investors understand ETF quantitative products? Which investor types are they suitable for?

ETF quantitative products are fundamentally more tool-based, systematic, and disciplined asset allocation solutions. Unlike passive index funds or subjective active funds, they use models for timing, rotation, and arbitrage. They are suitable for: (1) investors seeking stability and averse to large drawdowns; (2) those wishing to participate long-term without detailed research; (3) asset allocators seeking low-correlation, stable strategies in their portfolios. Our products aim to generate sustainable absolute returns under risk control, making them ideal as “core holdings” or “risk-enhanced” tools in asset allocation.

3. As ETF tools diversify, what are new directions for strategy iteration and product layout in private funds?

We believe ETF quantitative investing is entering a golden development period. We will focus on three areas: first, refining strategies by incorporating alternative data and high-frequency signals to improve stability; second, expanding product lines around arbitrage, trend rotation, mixed assets, and global allocation to meet diverse client needs; third, diversifying tools by covering cross-border ETFs, commodity ETFs, bond ETFs, and more, extending strategies across various ETF categories. Our goal is to develop transparent, replicable, high-expectation ETF quantitative products that create long-term value.

4. ETF allocation strategies and arbitrage strategies involve different participant groups. How do you view their relationship? Is there potential for “strong alliance”?

There is indeed potential for a “strong alliance” between allocation and arbitrage strategies, which has already been practiced. These strategies have distinct risk-return profiles: allocation strategies aim for steady growth, arbitrage for cash management. Investors often have mixed demands and adjust risk preferences based on market conditions. We can offer different products or combine both strategies in separate accounts, dynamically adjusting positions and proportions to meet various capital sizes and needs, achieving effective synergy.

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Special Note: The opinions expressed by invited guests are personal and do not represent CITIC Securities’ stance.