CITIC SEC: Investment value of the technology innovation AI index from a configuration perspective.

CITIC SEC released a research report stating that the Sci-Tech AI Index consists of 30 artificial intelligence theme stocks listed on the Sci-Tech Innovation Board. The components of the index are mainly distributed in three directions: AI infrastructure, AI technology, and AI applications. Compared with similar indices, the Sci-Tech AI Index has high concentration of components, high thematic relevance, and stronger elasticity, making it suitable as an offensive tool for thematic investment. From the perspective of portfolio allocation, the correlation between the dividend sector and the Sci-Tech AI Index is low, at only 0.34. By using the Sci-Tech AI Index and the dividend index as underlying assets and overlaying tactical allocation adjustments, it helps further improve the risk-return characteristics of the portfolio. CITIC SEC's main points are as follows: The Sci-Tech AI Index (950180) selects large market capitalization AI-related companies in the Sci-Tech Innovation Board, providing investors with an efficient tool to invest in the AI field. The Shanghai Sci-Tech Innovation Board Artificial Intelligence Index (950180.CSI) selects 30 large market capitalization listed companies from the Sci-Tech Innovation Board market that provide basic resources, technology, and application support for artificial intelligence as index components, reflecting the overall performance of representative AI industry listed companies in the Sci-Tech Innovation Board market. Looking at overseas markets, the technology sector represented by the AI industry chain has long-term performance far exceeding broad indices. The Bloomberg Mag7 Index has accumulated a return of 2239% in the past ten years (March 31, 2015, to October 31, 2024), much higher than the Nasdaq index's 269%. Compared with similar indices, the Sci-Tech AI Index has high individual stock concentration and strong flexibility, making it suitable for being configured as an offensive asset. Compared to the Sci-Tech 50 Index, the Sci-Tech AI Index focuses on the AI field with a clear investment theme. Compared to other AI thematic indices, nearly half of the market capitalization of the constituent stocks in the Sci-Tech AI Index is below 10 billion yuan, while the CR10 reaches 70%, taking into consideration the impact of AI companies of different market values on the overall. In terms of industries, the constituent stocks of the Sci-Tech AI Index are mainly concentrated in industries such as semiconductors, cloud services, and computer equipment. From a portfolio allocation perspective, by allocating Sci-Tech AI and dividend assets, the risk-return characteristics of the portfolio can be improved. Compared to other sectors, AI thematic indices have better income elasticity, being the sharpest "spear" during bull markets. From a diversification perspective, the correlation coefficient between the dividend sector and the Sci-Tech AI Index is 0.34, with the dividend index having an annualized return of 6.99%, a Sharpe ratio of 0.42, strong drawdown and volatility control capabilities, and a good defensive attribute to navigate through bull and bear markets, making it suitable to construct a "dumbbell" configuration together with the Sci-Tech AI Index. By using the Sci-Tech AI Index and the Hong Kong Stock Connect Dividend Index as underlying assets and implementing tactical allocation based on fundamental logic-driven style tactical allocation indicators, further improvement of the risk-return characteristics of the portfolio can be achieved. Historically, the tactical allocation strategy based on Sci-Tech AI and Hong Kong Stock Connect Dividend has been shown to improve the risk-return characteristics of the index, with high elasticity and reduced drawdown characteristics. Since the inception date of the strategy (December 30, 2022), the annualized return has been 45.11%, with an annualized Sharpe ratio of 1.44, maximum drawdown of 19.78%, and all risk-return characteristics further improving compared to the Sci-Tech AI Index. Looking at historical returns, it has consistently outperformed the benchmark almost every year, with a relative excess return of 20.13% in 2024. Currently, there are four ETFs tracking the Sci-Tech AI Index, all of which were listed in January 2025, with Guangfa Fund's Artificial Intelligence ETF-Scitech having the largest total issuance size at 330 million yuan. Risk factors: Historical data does not guarantee future performance; index data may contain errors or be incomplete due to accessibility issues, among other factors; some indices have a short backtracking history, which may affect the accuracy of conclusions.