湘财证券晨会纪要-20251217

Group 1: ETF Market Overview - As of December 12, 2025, there are 1,379 ETFs in the Shanghai and Shenzhen markets, with a total asset management scale of 57,806.33 billion yuan [2] - The breakdown of ETFs includes 1,073 equity ETFs (36,774.09 billion yuan), 53 bond ETFs (7,222.06 billion yuan), 27 money market ETFs (1,895.76 billion yuan), 17 commodity ETFs (2,436.83 billion yuan), 200 cross-border ETFs (9,430.76 billion yuan), and 9 unlisted ETFs (46.83 billion yuan) [2] Group 2: Recent ETF Listings and Performance - Four new equity ETFs were listed from December 8 to December 12, 2025, including two AI-focused ETFs and two others related to banking and technology [3] - The total issuance scale of newly established ETFs during the same period was 2.901 billion yuan [3] - The median weekly return for equity ETFs was 0.10%, with the communication equipment ETF showing the highest increase of 7.30%, while the coal and energy ETFs experienced declines of 3.98% [4] Group 3: PB-ROE Framework and Strategy - The PB-ROE framework categorizes industries into six quadrants, focusing on high PB and high ROE industries in the third quadrant and low PB and medium ROE industries in the fifth quadrant as key areas of interest [5] - Backtesting results from 2017 to February 2024 indicate that only the third and fifth quadrants achieved excess returns, with annualized excess returns of 4.27% and 1.55%, respectively [5] - A combined ETF rotation strategy based on the PB-ROE framework yielded an annualized return of 11.93% and an annualized excess return of 13.22% [6] Group 4: Investment Recommendations - The report recommends focusing on the automotive, beauty care, and agriculture sectors, with corresponding ETFs for each industry [7][8]