金融工程周报：能化ETF涨幅领先-20250728

Report Summary 1. Report Industry Investment Rating - There is no information provided regarding the industry investment rating in the report. 2. Core View of the Report - As of the week ending July 25, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond Index, and Nanhua Commodity Index were 2.11%, -0.48%, and 2.73% respectively. In the public - fund market, the returns of stock - bond strategies were differentiated in the past week. Among equity strategies, passive index - type products led in returns, and market - neutral strategy products mostly rose. In bond strategies, the pure - bond fund index showed a significant decline. In the commodity market, energy - chemical ETFs were strong with a weekly increase of 6.00%, non - ferrous metal ETFs rebounded, and precious - metal ETFs continued the upward trend of net value [3]. - Among the CITIC five - style indices, all style indices closed up last Friday. The cycle and growth styles led in returns. The style rotation chart showed that the relative strength of the cycle and stable styles increased significantly, while the momentum of the consumption style decreased slightly. In the public - fund pool, the average returns of financial and consumption - style funds significantly outperformed the index in the past week, with excess returns of 1.14% and 0.23% respectively. The excess returns of cycle and growth - style funds continued to shrink. The stable style strengthened slightly, and the cycle style declined. In terms of crowding, the growth and cycle styles rebounded marginally, while the consumption and financial styles remained in the historically high - crowding range [3]. - Among Barra factors, the residual volatility factor performed well in the past week, with an excess return of 0.60%. The returns of momentum and valuation factors weakened marginally, and the excess return of the profitability factor continued to shrink. In terms of winning rate, the growth factor declined, and the capital - flow factor strengthened slightly. This week, the cross - sectional rotation speed of factors rose from the historically low - quantile range to the middle range. According to the latest scoring results of the style timing model, the financial style weakened marginally this week, and the consumption style recovered. The current signal favors the consumption style. The return of the style timing strategy last week was 0.36%, and the excess return compared to the benchmark balanced allocation was - 1.59% [3]. 3. Summary by Relevant Catalogs 3.1 Market Index Performance - Tonglian All A (Shanghai, Shenzhen, Beijing) had a weekly return of 2.11%, the ChinaBond Composite Bond Index had a return of - 0.48%, and the Nanhua Commodity Index had a return of 2.73% as of July 25, 2025 [3]. 3.2 Public - Fund Market Performance - Equity Strategies: Passive index - type products led in returns, and market - neutral strategy products mostly rose [3]. - Bond Strategies: The pure - bond fund index showed a significant decline [3]. - Commodity Market: Energy - chemical ETFs had a weekly increase of 6.00%, non - ferrous metal ETFs rebounded, and precious - metal ETFs continued the upward trend of net value [3]. 3.3 CITIC Five - Style Index Performance - Return Performance: All style indices closed up last Friday. The cycle and growth styles led in returns [3]. - Relative Strength and Momentum: The relative strength of the cycle and stable styles increased significantly, while the momentum of the consumption style decreased slightly [3]. - Fund Excess Return: The average returns of financial and consumption - style funds significantly outperformed the index in the past week, with excess returns of 1.14% and 0.23% respectively. The excess returns of cycle and growth - style funds continued to shrink [3]. - Style Trend: The stable style strengthened slightly, and the cycle style declined [3]. - Crowding: The growth and cycle styles rebounded marginally, while the consumption and financial styles remained in the historically high - crowding range [3]. 3.4 Barra Factor Performance - Factor Return: The residual volatility factor had an excess return of 0.60%. The returns of momentum and valuation factors weakened marginally, and the excess return of the profitability factor continued to shrink [3]. - Winning Rate and Momentum: The growth factor declined in terms of winning rate, and the capital - flow factor strengthened slightly [3]. - Factor Rotation Speed: The cross - sectional rotation speed of factors rose from the historically low - quantile range to the middle range [3]. 3.5 Style Timing Strategy - According to the latest scoring results of the style timing model, the financial style weakened marginally this week, and the consumption style recovered. The current signal favors the consumption style. The return of the style timing strategy last week was 0.36%, and the excess return compared to the benchmark balanced allocation was - 1.59% [3].