2025 年 09 月 16 日 证券研究报告 | 公募基金周报 A 股市场短暂回调，重回上行趋势创年内新高 公募基金量化遴选类策略指数跟踪周报（2025.09.14） 分析师：李亭函 分析师登记编码：S0890519080001 电话：021-20321017 邮箱：litinghan@cnhbstock.com 分析师：黄浩 分析师登记编码：S0890524110001 电话：021-20321391 邮箱：huanghao@cnhbstock.com 量化策略配置观点： 股基增强策略 > 海外权益策略> 常青低波策略 销售服务电话： 021-20515355 1、《景气为矛，静待新高—公募基金权 益 指 数 跟 踪 周 报 （ 2025.09.08- 2025.09.12）》2025-09-15 2、《债市区间震荡，静待政策信号—公 募 基 金 泛 固 收 指 数 跟 踪 周 报 15 3 、《 ETF 策 略 指 数 跟 踪 周 报 — 2025/9/15》2025-09-15 4、《市场再度高位震荡调整，低波策略 显现降波作用—公募基金量化遴选类策 略指数跟踪周报（2025.09.07）》2025- ...

| 新股发行及今日交易提示 | 2025/9/16 | 星期二 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/9/16 | 新股发行 | 证券代码 | 证券简称 | 发行价格 | | | | | 920015 | 锦华新材 | 18.15 | 301584 | 建发致新 | 7.05 | | | | 2025/9/16 | 内地市场权益提示 | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | | | https://www.cninfo.com.cn/new/disclosure/detail?stockCode=000627&announcementId=122466 | 现金选择权 | 000627 | *ST天茂 | 现金选择权申报期 | ：2025年9月15日至2025年9月19日 | 0693&orgId=gssz0000627&announcementTime=2025 | -09-16 | | https://www.cninfo.com.cn/new/disclosure/deta ...

| 新股发行及今日交易提示 | 2025/9/15 | 星期一 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/9/15 | 新股发行 | 证券代码 | 证券简称 | 发行价格 | | | | | | | | 301656 | 联合动力 | 12.48 | 2025/9/15 | 内地市场权益提示 | | | | | | | | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | https://www.cninfo.com.cn/new/disclosure/detail?stockCode=000627&announcementId=122465 | 现金选择权 | 000627 | *ST天茂 | 现金选择权申报期 | ：2025年9月15日至2025年9月19日 | | 8405&orgId=gssz0000627&announcementTime=2025 | -09-15 | https://www.cninfo.com.cn/new/disc ...

| 新股发行及今日交易提示 | 2025/9/12 | 星期五 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/9/12 | 新股发行 | 证券代码 | 证券简称 | 发行价格 | | | | | | | | 732418 | 友升股份 | 46.36 | 2025/9/12 | 内地市场权益提示 | | | | | | | | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | https://www.cninfo.com.cn/new/disclosure/detail?stockCode=000627&announcementId=122464 | 现金选择权 | 000627 | *ST天茂 | 现金选择权申报期 | ：2025年9月15日至2025年9月19日 | | 8264&orgId=gssz0000627&announcementTime=2025 | -09-10 | http://www.cninfo.com.cn/new/discl ...

| 新股发行及今日交易提示 | 2025/9/11 | 星期四 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/9/11 | 新股发行 | 证券代码 | 证券简称 | 发行价格 | | | | | | | | 301668 | 昊创瑞通 | 21.00 | 2025/9/11 | 内地市场权益提示 | | | | | | | | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | https://www.cninfo.com.cn/new/disclosure/detail?stockCode=000627&announcementId=122464 | 现金选择权 | 000627 | *ST天茂 | 现金选择权申报期 | ：2025年9月15日至2025年9月19日 | | 8264&orgId=gssz0000627&announcementTime=2025 | -09-10 | http://www.cninfo.com.cn/new/discl ...

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry Core Insights - The new public offering sales fee regulations are expected to have a dual impact on banking wealth management, enhancing its traditional advantages in liquidity management and stability of returns, potentially attracting individual investors away from bond funds [11][12] - Several banks in Sichuan are actively pursuing joint applications for wealth management subsidiary licenses, which could serve as a significant demonstration for small and medium-sized banks to break through regional barriers [13] - The recent rise in gold prices has led wealth management subsidiaries to launch more gold-linked products, capitalizing on the market trend [14][15] Regulatory and Industry Dynamics - The new public offering sales fee regulations were released, marking the implementation of a three-step fee reduction strategy [11] - Banks in Sichuan are working together to apply for wealth management subsidiary licenses, which could optimize competition and resource utilization in the industry [13] - Wealth management subsidiaries are increasingly focusing on gold-linked products due to rising gold prices [14] Peer Innovation Dynamics -浦银理财 has launched a new wealth management product based on a "Five Forces" technology model to select investment opportunities [16] - 招银理财 has developed a global asset allocation index aimed at optimizing investment across major markets [17] - 招银理财 and 中诚信 have jointly released a defensive index to capture the performance of companies with defensive characteristics [18] - 交银理财 has introduced a diversified asset allocation index to balance risk and return across different market conditions [19] Yield Performance - Cash management products recorded a 7-day annualized yield of 1.30%, a decrease of 1 basis point from the previous week [20][21] - The yield of pure fixed-income products generally increased slightly, while the yield of fixed-income plus products decreased [21] - The bond market continues to exhibit a volatile pattern, with short-term rates remaining stable amid limited central bank interventions [21][22] Net Value Tracking - The net value of banking wealth management products has a broken net rate of 1.62%, a decrease of 0.57 percentage points from the previous week [28][31] - The credit spread has narrowed, indicating limited cost-effectiveness in the current market [30]

- The report tracks multiple market factors, including stock market factors, commodity market factors, options market factors, and convertible bond market factors, providing a comprehensive analysis of market dynamics during the period from September 1 to September 5, 2025 [1][10][11] - **Stock Market Factors**: The report highlights the following: - **Market Style**: Large-cap style outperformed small-cap, and value style significantly outperformed growth style [11][13] - **Market Style Volatility**: Volatility in large-cap vs. small-cap styles increased, while volatility in value vs. growth styles decreased [11][13] - **Market Structure**: Industry index excess return dispersion and industry rotation speed increased, while the proportion of rising constituent stocks decreased. Additionally, the concentration of trading in the top 100 stocks increased, while the top 5 industries' trading concentration remained unchanged [11][13] - **Market Activity**: Both market volatility and turnover rate continued to rise [12][13] - **Commodity Market Factors**: The report identifies the following: - **Trend Strength**: The energy and chemical sectors showed increased trend strength, while other sectors remained stable [19][26] - **Basis Momentum**: Basis momentum for the black and energy sectors increased [19][26] - **Volatility**: Volatility in the black and precious metals sectors rose [19][26] - **Liquidity**: Liquidity performance varied across sectors [19][26] - **Options Market Factors**: The report notes: - Implied volatility for the SSE 50 and CSI 1000 indices remained high but showed marginal easing. The skew of put options for the SSE 50 rose rapidly, while the CSI 1000 remained unchanged. Additionally, the discount for the CSI 1000 index narrowed, indicating increased market divergence and the rotation and diffusion of market hotspots [30] - **Convertible Bond Market Factors**: The report highlights: - The convertible bond market experienced a volatile week, with a decline followed by recovery. The valuation of bonds with a par conversion premium stabilized at a mid-level, while the proportion of low-conversion-premium bonds significantly adjusted. Low-premium bonds performed relatively better. Market trading volume slightly contracted but remained healthy, and credit spreads showed an upward trend [31]

New Stock Listings - New stock "艾芬达" (code: 301575) listed at an issue price of 27.69 on September 10, 2025[1] - "抚顺特钢" (code: 600399) has a tender offer period from August 12 to September 10, 2025[1] - "天茂" (code: 000627) has a cash option declaration period from September 15 to September 19, 2025[1] Market Alerts - "ST紫天" (code: 300280) enters the delisting arrangement period starting September 15, 2025[1] - "开普云" (code: 688228) reported severe abnormal fluctuations[1] - "新华锦" (code: 600735) also reported severe abnormal fluctuations[1] Other Announcements - "天际股份" (code: 002759) and "上海电力" (code: 600021) have recent announcements linked to their respective stocks[1] - "众泰汽车" (code: 000980) and "天域生物" (code: 603717) have also made recent disclosures[1] - "香农芯创" (code: 300475) and "博苑股份" (code: 301617) have announcements related to their stock activities[1]

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry. Core Insights - The banking wealth management industry is experiencing significant changes due to regulatory adjustments, market dynamics, and innovative product offerings. The introduction of a 3% VAT on interest income from newly issued government bonds has created a tax disparity between bank wealth management products and self-managed accounts, potentially impacting product attractiveness [3][12]. - Equity-based wealth management products have shown strong performance, with 43 out of 46 public equity products achieving positive annualized returns as of August 3, 2025, with 17 products exceeding 10% [3][12]. - The industry is witnessing a shift towards multi-asset and multi-strategy investment approaches, with institutions exploring diverse paths for innovation and product development [4][12]. Summary by Sections 1. Market Overview - As of August, the total market size of wealth management products remained stable at 31.20 trillion yuan, reflecting a slight increase of 0.11% month-on-month and a year-on-year growth of 5.13% [5][20]. - The market is characterized by a continued contraction in cash management products, while fixed-income products, particularly those with minimal holding periods, are expanding steadily [20][22]. 2. Performance Metrics - The annualized yield for cash management products decreased to 1.32%, while fixed-income products reported a yield of 1.81%, with solid fixed-income plus products showing a slight increase to 1.82% [25][29]. - The overall market's breaking net rate rose to 3.86%, indicating a growing trend in underperforming products [5][20]. 3. Regulatory Changes - New regulations effective from August 8, 2025, impose a 3% VAT on interest income from newly issued government bonds, impacting the tax burden on bank wealth management products [3][12]. - The introduction of trust registration regulations is expected to shift 1.82 trillion yuan of non-standard wealth management products towards more diversified investment strategies [3][12]. 4. Product Innovation - Institutions are actively launching innovative products, such as multi-asset strategies and charitable investment models, to meet evolving market demands [4][12]. - Notable innovations include the "Smarp" multi-asset allocation index and various personal pension wealth management products aimed at enhancing retirement planning [19][20]. 5. Industry Dynamics - The wealth management sector is experiencing a divergence in performance among institutions, with licensed wealth management subsidiaries generally showing positive growth, while unlicensed regional banks face contraction [12][16]. - The collaboration between wealth management subsidiaries and local banks is intensifying, expanding distribution channels and market reach [12][16].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The A-share equity market approached the high point in August 2025 this week and then experienced a rapid adjustment. The Shanghai Composite Index dropped below 3750 and then rebounded. During the adjustment, the maximum drawdown of the Shanghai Composite Index was -2.83%, and the drawdown of the CSI Active Equity Fund Index was even greater, with a maximum drawdown of -4.60% this week. The Evergreen Low-Volatility Strategy maintained its stable and low-volatility characteristics, with a maximum drawdown of only -1.94%. The strategy index can effectively reduce portfolio volatility and drawdown while maintaining an upward trend, providing a better holding experience [2]. - The quantitative strategy allocation view is: Equity Fund Enhancement Strategy > Overseas Equity Strategy > Evergreen Low-Volatility Strategy. The A-share market is expected to maintain an upward trend, and the callback space is limited. The more elastic equity fund enhancement portfolio has relatively more room at the current time. The Evergreen Low-Volatility Strategy can be used as a base configuration to optimize portfolio volatility characteristics. Defensive sectors such as banks have increased in cost-effectiveness after adjustment and still have high long-term allocation value [3]. - Overseas, the US stock market has been on an upward trend. With the expected new round of interest rate cuts in September, it is expected to regain its upward trend. In the long term, the main driving force of the technology development trend remains strong, and the long-term upward trend of the US stock market is still optimistic [4]. 3. Summary by Directory 3.1 Quantitative Strategy Configuration Viewpoints - A-share market: The Shanghai Composite Index has been strong since June this year, breaking through multiple round-number points. Considering various factors, the market is expected to maintain an upward trend, and the callback space is limited. The equity fund enhancement portfolio has more room, and the Evergreen Low-Volatility Strategy can be used as a base configuration. Defensive sectors such as banks have high long-term allocation value [3]. - Overseas market: The US stock market has been on an upward trend. With the expected new round of interest rate cuts in September, it is expected to regain its upward trend. In the long term, the main driving force of the technology development trend remains strong, and the long-term upward trend of the US stock market is still optimistic [4]. 3.2 Performance of Equity Fund Strategies - Evergreen Low-Volatility Fund Strategy: This week's return was 0.141%, with an excess return of -0.219%. Since 2025, it has shown strong stability. It can be used as a base configuration to optimize portfolio volatility characteristics [5]. - Equity Fund Enhancement Strategy: This week's return was -0.922%, with an excess return of -1.282%. The strategy is expected to have stronger elasticity after the market environment improves [5]. - Cash Enhancement Fund Strategy: This week's return was 0.028%, outperforming the benchmark. Since the strategy started in July 2023, the excess return has been accumulating, providing a reference for cash management [18]. - Overseas Equity Allocation Fund Strategy: Since July 2023, it has accumulated high excess returns. Global allocation can increase the return of the equity portfolio [21]. 3.3 Toolized Fund Portfolio Performance Tracking - Evergreen Low-Volatility Fund Portfolio: It has maintained low volatility and small drawdowns since the strategy started in July 2023, with significant excess returns. It has both defensive and offensive characteristics [14]. - Equity Fund Enhancement Fund Portfolio: The strategy has been running for a short time, and its performance is similar to that of the CSI Active Equity Fund Index. It is expected to have stronger elasticity after the market environment improves [17]. - Cash Enhancement Fund Portfolio: It has continuously outperformed the benchmark since the strategy started in July 2023, with an accumulated excess return of over 0.41%, providing a reference for cash management [18]. - Overseas Equity Allocation Fund Portfolio: Since July 2023, it has accumulated high excess returns. Global allocation can increase the return of the equity portfolio [21]. 3.4 Toolized Fund Portfolio Construction Ideas - For active equity funds, a low-volatility fund portfolio strategy is constructed to meet the defensive needs of investors in a high-risk market environment and provide stable returns for investors with moderate risk preferences. A fund portfolio strategy with similar risk and volatility characteristics to the equity fund benchmark index is constructed to provide a more aggressive option for investors with high risk preferences [22]. - For money market funds, a money market fund screening system is constructed to select money market funds with better performance, helping investors optimize the return of short-term idle funds [23]. - For QDII funds, an overseas equity allocation fund portfolio is constructed by screening equity indices of multiple countries or regions based on long-term and short-term technical indicators, providing an auxiliary tool for global investment [25].