2025年8月打新策略环境与收益回顾

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The Hong Kong Stock Exchange launched a large - scale IPO mechanism reform on August 4, 2025, aiming to balance the new - share allocation ratio between institutional and retail investors [2]. - In August 2025, the number of new stocks was small, and the new - share subscription opportunities were limited. The new - share subscription yield was thin, and the basis difference dragged down the portfolio return. This situation may continue in September [2][3]. 3. Summary by Related Catalogs 3.1 New - share Subscription Rules - The Hong Kong Stock Exchange's IPO reform requires issuers to allocate at least 40% of new shares to institutional investors, who can participate in new - share pricing through a 40% book - building allocation share [2]. - The retail investors' allocation ratio has decreased. For example, when a new stock is over - subscribed 100 times, the retail allocation ratio drops to 35% [2]. - The initial public shareholding ratio is set according to market capitalization brackets, with the initial public shareholding ratio of H - shares decreasing from 15% to 10% [2]. - At least 25% of an issuer's shares after listing should be freely tradable to prevent excessive concentration of chips [2]. 3.2 Market Environment - In August 2025, only three new stocks were listed on the main board and the Star Market and ChiNext, with a total market capitalization of less than 10 billion yuan. The new - share subscription success rate and the number of offline institutional subscriptions decreased significantly compared to the first half of the year [2]. - In September 2025, it is expected that 3 new stocks will be listed on the Star Market and ChiNext, and new - share subscription opportunities remain limited [2]. 3.3 New - share Subscription Yield - With a 150 - million - yuan stock bottom - position, the offline new - share subscription portfolio yield in August was about - 0.33%. The significant loss was mainly due to the impact of the market on the basis difference [3]. - In August, due to a deep discount at the beginning of the month and a large influx of speculative funds into the futures market, the discounts of IF and IH accelerated to converge. The monthly bottom - position hedging loss was about - 0.42%, and the new - share income could not cover the cost of discount convergence [3]. - In September, the IF discount is still deep, and the impact of the basis difference on the portfolio strategy cannot be underestimated. It is recommended to wait for the IF discount to converge and more new - share subscription opportunities to appear before making in - depth arrangements [3].