资金跟踪系列之三十二：杠杆资金加速净流出，机构ETF、北上卖出放缓

Macro Liquidity - The US dollar index has rebounded, and the degree of "inversion" in the China-US interest rate spread has narrowed. The nominal and real yields of 10Y US Treasuries have both declined, indicating a decrease in inflation expectations [1][15] - Offshore US dollar liquidity has marginally loosened, while the domestic interbank funding environment remains balanced and slightly loose. The term spread (10Y-1Y) has narrowed [1][22] Market Trading Activity - Market trading activity has decreased, with most indices experiencing an increase in volatility. Sectors such as media, communication, retail, military, and building materials have trading heat above the 90th percentile [2][30] - The volatility of most indices has increased, with military, petrochemical, and non-ferrous metal sectors reaching above the 80th percentile [2][32] Institutional Research - The banking, electronics, new energy, military, and computer sectors have seen high research activity. The research intensity in new energy, military, media, food and beverage, and utilities sectors has continued to rise [3][42] Analyst Forecasts - Analysts have continued to raise net profit forecasts for the entire A-share market for 2026/2027. The proportion of stocks with upward revisions in net profit forecasts has increased [4][50] - Specific sectors such as non-ferrous metals, retail, communication, pharmaceuticals, and machinery have also seen upward adjustments in their 2026/2027 net profit forecasts [4][21] - The net profit forecasts for the ChiNext Index and the SSE 50 have been raised for 2026/2027, while the forecasts for the CSI 500 and CSI 300 have been adjusted differently [4][23] Northbound Trading Activity - Northbound trading activity has decreased, continuing to net sell A-shares, but the magnitude of selling has slowed. In the top 10 active stocks, the buy-sell ratio in sectors like communication, food and beverage, and machinery has increased [5][31] - For stocks with northbound holdings of less than 30 million shares, there has been a net buying in sectors such as chemicals, non-ferrous metals, and petrochemicals, while net selling has occurred in TMT, pharmaceuticals, and military sectors [5][33] Margin Financing Activity - Margin financing activity has continued to decline, reaching the lowest point since July 2025. Last week, there was a net sell of 51.596 billion yuan across various sectors, with electronics, non-ferrous metals, communication, and chemicals being sold off the most [6][35] - Only the communication and non-bank financial sectors saw an increase in the proportion of financing purchases [6][38] Active Equity Funds and ETFs - Active equity funds have continued to increase their positions, particularly in non-ferrous metals, media, and steel sectors, while reducing positions in finance, food and beverage, and new energy sectors [8][45] - The correlation of active equity funds with large/mid/small-cap value has increased, while the correlation with growth has decreased [8][48] - New equity fund establishment has decreased, with both active and passive funds seeing a decline in scale. ETFs have seen renewed net subscriptions, primarily driven by individual investors [8][50]