分析师登记编码：S0890519080001 电话：021-20321017 邮箱：litinghan@cnhbstock.com 分析师登记编码：S0890524110001 电话：021-20321391 邮箱：huanghao@cnhbstock.com 销售服务电话： 021-20515355 2024 年 12 月 24 日 证券研究报告 | 公募基金周报 美联储"鹰派降息"引回落，海内外权益调整显机会 公募基金量化遴选类策略指数跟踪周报（2024.12.22） 分析师：李亭函 1 、《 ETF 策 略 指 数 跟 踪 周 报 — 2024/12/20》2024-12-23 2、《海内外权益策略获正收益，关注上 行趋势中逢低布局—公募基金量化遴选 类策略指数跟踪周报（2024.12.15）》 2024-12-17 3 、《 ETF 策 略 指 数 跟 踪 周 报 — 2024/12/13》2024-12-15 4、《政策暖风吹，消费配置正当时—金 融产品观察》2024-12-12 5、《政治局会议财政货币双积极，密切 把握权益布局机会—公募基金量化遴选 类策略指数跟踪周报（2024.12.08）》 ...

Group 1 - The report indicates that the A-share market is entering a policy game vacuum period after important meetings, with the index likely to shift towards a consolidation phase due to high trading activity and limited downside risk, while structural opportunities remain [21][50]. - Economic data for November shows a slowdown in growth momentum, with industrial value-added increasing by 5.4% year-on-year, fixed asset investment rising by 3.3%, and retail sales growing by only 3%, indicating a need for further expansion of domestic demand policies [15][53]. - The report highlights a focus on sectors related to "AI+" and "new consumption," suggesting investment opportunities in media, communication, robotics, artificial intelligence, consumer electronics, dining, tourism, sports entertainment, and retail [21][15]. Group 2 - The average daily trading volume in the A-share market decreased to 15,229.74 billion yuan, down by 4,099.70 billion yuan from the previous week, reflecting a decline in trading sentiment [13][21]. - The report notes that the risk premium for A-shares has increased, while the dividend yield of the Shanghai Dividend Index has risen, leading to an improvement in the stock-bond valuation ratio [57][21]. - The report mentions that the turnover rates for various indices, particularly small-cap indices like the CSI 2000 and Wind Micro-cap Index, have significantly decreased, indicating a reduction in market activity [59][61].

Macro Insights - The report indicates a shift towards more proactive macro policies aimed at stabilizing expectations and boosting confidence, with a focus on fiscal policy to enhance livelihoods and consumption [14][19][20] - The central economic work conference emphasized the need for a more active fiscal policy, increasing the fiscal deficit ratio and expanding fiscal spending, while monetary policy will remain moderately loose [19][20] - The report highlights that the economic situation remains complex, with insufficient effective demand and low inflation, necessitating patience for the effects of these policies to materialize [8][16] Industry Insights - In the steel industry, November saw a continued increase in supply, but the growth rate has slowed, with steel consumption weakening and exports maintaining double-digit growth [32][36] - The report notes that the profitability of different steel products is diverging, with rebar profits deteriorating while hot-rolled and cold-rolled products show improvement [33][66] - The magnesium market is expected to see an increase in operating rates and production due to rising demand from the automotive and 3C industries, despite a slight decline in average magnesium prices [46][47][71] New Energy - The new energy vehicle market continues to thrive, with November sales reaching 151.2 million units, a year-on-year increase of 47.4%, driven by strong demand and supportive policies [76][80] - The report anticipates that the demand for lithium batteries will remain robust, with production levels stabilizing and a positive outlook for the industry as supply chain issues are addressed [51][80] - The report also mentions that the overall price of lithium carbonate has stabilized at around 76,000 yuan per ton, indicating a bottoming out of prices [81]

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry [1]. Core Insights - The yield gap between cash management products and money market funds has narrowed to approximately 10 basis points (BP) [1]. - Cash management products have a 7-day annualized yield of 1.67%, while money market funds yield 1.55%, both showing a 1 BP increase from the previous week [1]. - Non-cash fixed income products have shown an increase in yield, with a 1-month annualized yield of 3.08%, up 19 BP from the previous week [1]. - The performance of closed-end fixed income products has also improved, with yields of 3.43% for 6-12 month products and 3.95% for 1-3 year products, reflecting increases of 2 BP and 8 BP respectively [1]. Summary by Sections 1. Cash Management Products 7-Day Annualized Yield - As of December 15, 2024, cash management products yield 1.67%, up 1 BP from the previous week, while money market funds yield 1.55%, also up 1 BP, maintaining a yield gap of 12 BP [1][15]. 2. Performance Review of Wealth Management Products - The report indicates that the performance of wealth management products has improved due to favorable bond market conditions, with non-cash fixed income products yielding 3.08% for the past month, an increase of 19 BP [1][15]. - Closed-end fixed income products have shown yields of 3.43% for 6-12 month terms and 3.95% for 1-3 year terms, reflecting increases of 2 BP and 8 BP respectively [1][15]. 3. Maturity and Compliance Status of Wealth Management Products - From December 9 to December 15, 2024, the total maturity scale of wealth management products was 233.09 billion, with an average compliance rate of 77%, up 3 percentage points from the previous week [1][21]. - Companies achieving a 100% compliance rate include Bo Yin Wealth Management, Goldman Sachs ICBC Wealth Management, and BNP Paribas Agricultural Bank Wealth Management [1][21].

Grid Trading Strategy Overview - Grid trading is a high buy low sell strategy that capitalizes on price fluctuations without predicting market trends, suitable for volatile markets[1] - Investors can enhance returns by repeatedly capturing small price differences in a sideways market until a clear market direction emerges[1] Suitable ETF Characteristics - Ideal grid trading targets include on-exchange products, stable long-term trends, low transaction costs, good liquidity, and high volatility[1] - Equity ETFs are considered appropriate for grid trading due to these characteristics[1] Key ETF Recommendations - **Hong Kong Dividend ETF (159691.SZ)**: High dividend yield remains attractive despite a 20%-28% dividend tax for Hong Kong Stock Connect investors; AH premium index at 145.75 indicates a favorable valuation[2] - **Pharmaceutical ETF (512010.SH)**: Long-term growth potential remains strong due to aging population and ongoing clinical challenges; overall industry risk has been largely cleared[3] - **Nasdaq Technology ETF (159509.SZ)**: Expected to benefit from a clear fiscal policy under "Trump 2.0" and cautious Fed rate cuts, supporting a potential market uptrend[3] Risk Considerations - Risks include slower-than-expected domestic economic recovery, U.S. economic rebound, inflation data, and geopolitical uncertainties[4] - Past performance of funds does not guarantee future results; reliance on historical data may lead to discrepancies in real trading scenarios[4]

Group 1 - The report indicates that in November 2024, there were 215 accounts in the ranking system, with an average monthly return of 0.11% for investment-linked insurance accounts [22][21]. - The aggressive investment-linked insurance index had a return of -0.28% in November, while the CSI 300 index returned 0.66% [22][21]. - As of the end of November 2024, the aggressive investment-linked insurance index stood at 184.96 points, compared to the adjusted CSI 300 index at 73.35 points [22][21]. Group 2 - Among the 215 investment-linked insurance accounts, 151 achieved positive returns, representing 70.23% [28][21]. - The top-performing accounts included: 8020 Aggressive (formerly Zhongmei) at 3.01%, Ping An Selected Equity at 2.97%, and Lujiazui Guotai Growth at 2.22% [28][21]. - The report provides a detailed ranking of various account categories, showing that the aggressive category had an average return of -0.28%, while the conservative mixed category had a return of 0.40% [25][27]. Group 3 - The report categorizes investment-linked insurance products into six primary categories: index, aggressive, mixed, bond, currency, and quasi-fixed income, with further subdivisions for mixed and bond types [15][16]. - The performance of major international indices in November 2024 showed the Dow Jones Industrial Average increased by 7.54%, while the Nikkei 225 decreased by 2.23% [17][18]. - In the domestic market, the CSI 300 index rose by 0.66%, while the Hang Seng Index fell by 4.40% [20][18].

Group 1 - The report discusses the optimization of the personal pension system and addresses investor concerns regarding account safety, tax advantages, and investment profitability [1][18] - The expansion of investment options includes government bonds and index funds, catering to both low-risk and higher-risk investors [1][27] - As of the end of 2023, the allocation in personal pension accounts shows a significant preference for low-risk products, with 64.33% in pension financial products and only 3.68% in pension funds [25][27] Group 2 - The performance of pension funds has shown volatility, with an annualized return of 2.65% since inception, but a negative return of -4.07% in 2023, followed by a recovery of 4.87% in 2024 [3][34] - The introduction of index funds is seen as a potential solution to improve returns, with 85 new index funds added, including major indices like CSI 300 and CSI 500 [4][49] - The report highlights the importance of dividend strategy indices, which include high-dividend companies suitable for long-term holding, aligning with regulatory guidance for patient capital [6][51] Group 3 - The report emphasizes the need for investors to align their risk preferences with appropriate investment products, suggesting a tiered approach from low-risk government bonds to higher-risk equity funds [6][58] - Investors are encouraged to consider their risk tolerance when selecting index funds, with options ranging from broad market indices to sector-specific indices like ChiNext 50 [7][59] - The report notes that the introduction of index funds enhances the diversity of investment strategies available to personal pension account holders, improving overall asset allocation [48][53]

Group 1: Pension Investment Expansion - The personal pension system will be promoted nationwide starting December 15, 2024, expanding investment options for pensions[1] - The initial batch includes 85 equity index funds added to the existing 199 FOF funds, enhancing the variety of pension investment products[1] Group 2: Index Classification - The 85 index funds can be categorized into three types: mainstream broad-based indices like CSI 300 and CSI A500, innovation-driven indices like ChiNext and Sci-Tech 50, and dividend indices like CSI Dividend and Low Volatility Dividend[2] - Broad-based indices allow investors to share in the growth of the Chinese economy, while innovation indices reflect regulatory support for long-term capital in technology[2] Group 3: Performance Metrics - Key performance indicators for the indices include annualized return, rolling maximum drawdown, and Calmar ratio, which measures return relative to risk[15] - The highest investment cost-performance ratio is seen in dividend indices, particularly the Low Volatility Dividend 100 and Low Volatility Dividend indices, which combine dividend and low volatility factors[19] Group 4: Risk and Recovery - The report highlights the importance of understanding the maximum drawdown and recovery time for indices, with the Low Volatility Dividend index showing manageable recovery times after drawdowns[24] - The average recovery time for significant drawdowns in the Low Volatility Dividend index is around 302 days for the worst five instances, indicating a favorable holding experience[26]

Investment Rating - The report indicates a positive outlook for the personal pension industry, highlighting the comprehensive implementation of the personal pension system across the country [1][2]. Core Insights - The personal pension system is undergoing multiple optimizations, including nationwide promotion, expanded investment categories, and the exploration of default investment services to meet diverse retirement investment needs [1][2][3]. - The report emphasizes the necessity of developing the third pillar of the pension system to enhance residents' retirement security amid the challenges faced by the first and second pillars [2][23]. - The inclusion of index funds in the investment options for personal pensions is expected to stimulate growth in the index fund market in China [3][29]. Summary by Sections 1. Personal Pension System Optimizations - The personal pension system will be promoted nationwide starting December 15, 2024, allowing all workers participating in basic pension insurance to join [15]. - New conditions for early withdrawal have been added, including severe illness and unemployment benefits [15][16]. - Investment options have been expanded to include government bonds, specific pension savings, and index funds, creating a comprehensive product matrix from low to high-risk investments [16][17]. 2. Policy Expectations for Personal Pension System - The report outlines the need for a balanced three-pillar pension system to improve retirement security, especially as the aging population increases [23][24]. - It highlights the importance of attracting long-term funds into the market, with the inclusion of index funds expected to enhance the investment environment [24]. 3. Lessons from the U.S. Pension Development - The U.S. pension system's structure, where the second and third pillars dominate, serves as a reference for China's personal pension development [25][27]. - The report notes that the U.S. pension assets are increasingly allocated to mutual funds, which has significantly influenced the growth of the mutual fund market [29]. - Recommendations include exploring default investment mechanisms and improving withdrawal conditions to encourage participation in the personal pension system [31][32]. 4. Future Development of Personal Pension System - The report stresses the need for collaboration among the government, residents, and financial institutions to advance the personal pension system [33]. - Financial institutions are encouraged to develop products that meet long-term retirement needs and to provide investment advisory services tailored to individual investors [33].

Investment Rating - The report maintains a "Recommended" investment rating for the industry [4]. Core Insights - The overall industry sentiment remains positive, with a focus on the upward trend in the upstream raw material prices, monthly sales, and the implementation of industry regulations. The long-term outlook for the domestic and international electric vehicle industry is promising, making the sector worthy of attention [2][4]. Summary by Sections 1. Industry Weekly Data Tracking 1.1 Upstream Materials - The average price of industrial-grade lithium carbonate is 73,000 CNY/ton, down 1.25% from the previous week. Battery-grade lithium carbonate averages 76,000 CNY/ton, down 1.20% [57][58]. - The price of 523 single crystal power materials is stable at 107,100 CNY/ton, while 622 multi-crystal materials are at 106,700 CNY/ton. High nickel 811 multi-crystal materials are priced at 142,500 CNY/ton [72]. - The negative electrode material market remains concentrated, with prices stable at 33,000 CNY/ton [80]. - Electrolyte prices have shown a slight increase, with lithium iron phosphate electrolyte averaging 19,400 CNY/ton, up 1.57%, and ternary/conventional electrolyte at 25,300 CNY/ton, up 0.39% [91]. - Separator prices remain stable, with 7um wet separators averaging 0.84 CNY/sqm and 16um dry separators at 0.41 CNY/sqm [96]. 1.2 Downstream Demand - In November 2024, China's automotive production and sales reached 3.437 million and 3.316 million units, respectively, with month-on-month increases of 14.7% and 8.6% [2]. - New energy vehicle production and sales in November reached 1.566 million and 1.512 million units, with year-on-year growth of 45.8% and 47.4%, increasing market share to 45.6% [2][109]. - The total investment for the new super energy storage factory by Yiwei Lithium Energy is 10.8 billion CNY, with a designed production capacity of 17 GWh [2][110]. - Guoxuan High-Tech plans to invest 19 billion CNY in two battery bases, with a total investment not exceeding 25.14 billion euros (approximately 191.4 billion CNY) [2][110]. 2. Industry News Events - Yiwei Lithium Energy's 60 GWh super energy storage factory has officially commenced production, becoming the largest lithium battery production base in Central China [110].