资金跟踪系列之二十六：机构ETF继续大幅买入，两融加速回流

Macro Liquidity - The US dollar index has declined, and the degree of inversion in the China-US interest rate spread has narrowed. The nominal and real yields of 10-year US Treasuries have both decreased, indicating a drop in inflation expectations [2][14] - Offshore dollar liquidity has marginally eased, while the domestic interbank funding environment remains balanced. The yield spread between 10-year and 1-year government bonds continues to widen [2][19] Market Trading Activity - Overall market trading activity has increased, with many indices experiencing a rise in volatility. Sectors such as retail, military, consumer services, light industry, and textiles are seeing trading activity above the 80th percentile [3][25] - Most indices have shown increased volatility, with sectors like communication, electronics, electric new energy, and chemicals remaining above the 80th historical percentile [3][32] - Market liquidity indicators have declined, with liquidity metrics across sectors remaining below the 70th historical percentile [3][37] Sector Research Activity - Research activity is high in sectors such as electronics, pharmaceuticals, electric new energy, machinery, and non-ferrous metals. The research interest in automotive, computing, communication, and chemicals is also on the rise [4][43] Analyst Profit Forecasts - Analysts have raised profit forecasts for the entire A-share market for 2025 and 2026. The proportion of stocks with upward revisions in profit forecasts has increased across the board [4][51] - Specific sectors such as real estate, construction, coal, consumer services, and home appliances have also seen upward adjustments in profit forecasts for 2025 and 2026 [4][51] - The profit forecasts for the CSI 300 and SSE 50 indices for 2025 and 2026 have been revised upwards, while the profit forecasts for the CSI 500 have been adjusted downwards [4][51] Northbound Trading Activity - Northbound trading activity has decreased, continuing a net sell-off of A-shares. The ratio of buy-sell amounts in sectors like communication, non-ferrous metals, and consumer services has increased, while it has decreased in electronics, computing, and banking [5][29] - For stocks with holdings below 30 million shares, net buying has primarily occurred in computing, non-bank financials, and coal sectors, while net selling has been observed in communication, non-ferrous metals, and automotive sectors [5][31] Margin Financing Activity - Margin financing activity has rapidly increased, reaching the highest point since November 2025. The net buying has been concentrated in sectors like electronics, electric new energy, and communication, while net selling has occurred in non-bank financials, oil and petrochemicals, and retail sectors [6][35] - The proportion of financing purchases has increased in sectors such as consumer services, banking, and electric new energy [6][38] Fund Activity - The positions of actively managed equity funds have continued to rise, with significant net subscriptions in ETFs, particularly those related to institutional investors. Active equity funds have mainly increased their positions in non-ferrous metals, media, and consumer services, while reducing positions in communication, home appliances, and retail sectors [7][45] - The newly established equity fund scale has increased, with active funds seeing a rise while passive funds have decreased. ETFs related to the CSI A500 index have been primarily net purchased, while sectors like military, electronics, and agriculture have seen net selling [7][52]