Cinda Securities(SH:601059) Xinda Securities·2025-04-26 15:23Report Title - The report is titled "Redemption Style Investment Value Tracking (2025W17): The Exposure of Partial Equity Funds to the Redemption Style Declined Quarter-on-Quarter in 2025Q1, and ETF Funds Had Net Outflows for Two Consecutive Weeks" [1][3] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - Macroscopically, the 10-year US Treasury yield has fallen from its high, China's M2 year-on-year growth rate remained flat in March 2025, and the M1 - M2 spread reached a new high since September 2024. The macro model suggests that the redemption style may underperform the growth style in the future. If large - scale monetary and fiscal policies are implemented, the M2 and M1 - M2 spread are expected to improve further. In the medium term, the pro - cyclical redemption sector may regain its allocation value in terms of absolute and excess returns. In the long term, the mean reversion of the growth style is still favored as the Fed cuts interest rates and domestic liquidity gradually eases [4][47] - In terms of valuation, the absolute and relative PEs are high. The absolute trading volume congestion has rebounded recently, and the relative trading volume congestion has also rebounded after reaching a historical low. The price - volume congestion has returned to an appropriate range [4][47] - In terms of funds, the exposure of active partial equity funds to the redemption style decreased in 2025Q1 compared to 2024Q4, and the net inflow of redemption ETF funds was - 1.206 billion yuan this week [4][47] Summary by Directory 1. Macro: M1 - M2 Year - on - Year Spread Maintains an Uptrend, Indicating Improved Economic Expectations - Market performance: The Wande All - A Index rose 1.15%, and the CSI Redemption Total Return Index rose 0.21%, with an excess return of - 0.94% relative to the Wande All - A Index [8] - US Treasury yield: Affected by the Fed's interest - rate cut expectations, the probability of an interest - rate cut in June 2025 is 61.5%, and the probability of another cut in July is 77.9%. The 60 - day moving average of the US Treasury yield crossed above the 250 - day moving average, giving a bullish signal for redemptions in the US Treasury model [8] - Domestic economic data: In March 2025, China's M2 year - on - year growth was 7.0% (unchanged from the previous value), and the M1 - M2 year - on - year spread was - 5.4% (compared to - 6.9% previously). Since August 2024, M2 year - on - year growth has been rising, and since September 2024, the M1 - M2 spread has been rising. Currently, the 3 - month moving averages of both have crossed above the 12 - month moving averages, and the long - term upward trend may be initially confirmed. Both the M2 year - on - year and M1 - M2 spread dimensions are bearish on redemption excess returns [4][12] 2. Valuation: Absolute PE at 97.46% in the Past Three Years, Relative PE at 81.31% - Absolute PETTM: As of April 25, 2025, the current absolute PETTM of the CSI Redemption is 9.03 times, and the previous month's was 8.99 times. The absolute PETTM in the past three years is at the 97.46% percentile (97.60% a month ago), and at the 79.66% percentile in the past five years (78.78% a month ago). The regression model estimates the absolute return for the next year to be - 0.88% [18] - Relative PETTM: As of April 25, 2025, the current relative PETTM of the CSI Redemption is 0.50 times, and the previous month's was 0.48 times. The relative PETTM in the past three years is at the 81.31% percentile (74.90% a month ago), and at the 85.83% percentile in the past five years (78.14% a month ago). The regression model estimates the excess return for the next year to be 0.21% [22] 3. Price - Volume: Redemption Price - Volume Congestion is in an Appropriate Range - Price dimension: As of April 25, 2025, 58.28% of the weights of CSI Redemption constituent stocks are above the half - year moving average (64.55% a month ago). The regression model estimates the absolute return for the next year to be 7.45% [24] - Trading volume congestion: The absolute trading volume of the CSI Redemption is at the 65.15% percentile in the past three years (81.31% a month ago). The regression model estimates the absolute return for the next year to be 9.37%. The relative trading volume is at the 16.15% percentile in the past three years (5.21% a month ago), and the regression model estimates the excess return for the next month to be 0.68% [30][34] 4. Funds: The Exposure of Partial Equity Public Funds to the Redemption Style Declined Quarter - on - Quarter in 2025Q1 - Public fund exposure: The exposure of partial equity public funds to the redemption style turned positive in Q2 2023, with an exposure of 0.45 in Q4 2024 and 0.37 in Q1 2025, still maintaining a positive allocation but lower than the previous quarter [39] - ETF fund flow: This week, the net inflow of domestic redemption - related ETFs was - 1.206 billion yuan, and the total net inflow in the past month was 3.073 billion yuan [40] 5. Summary: The Exposure of Partial Equity Funds to the Redemption Style Declined Quarter - on - Quarter in 2025Q1, and ETF Funds Had Net Outflows for Two Consecutive Weeks - Comprehensive view: Considering all dimensions, in the medium term, the pro - cyclical redemption sector may regain its allocation value. In the long term, the growth style's mean reversion is favored [4][47] - Redemption 50 Preferred Portfolio: The portfolio had an absolute return of 8.08% and an excess return of 4.46% in the past year, an absolute return of 1.21% and an excess return of - 0.01% in the past three months [4][49]