金 金融工程点评 [Table_Title] 金工 ETF 点评：宽基 ETF 单日净流出 109.35 亿元；石化、煤炭拥挤变幅较大 [Table_Author] 证券分析师：刘晓锋 电话：13401163428 E-MAIL：liuxf@tpyzq.com 执业资格证书编码：S1190522090001 证券分析师：孙弋轩 电话：18910596766 E-MAIL：sunyixuan@tpyzq.com 执业资格证书编码：S1190525080001 一、资金流向 二、行业拥挤度监测 ◼ 通过构建行业拥挤度监测模型，对申万一级行业指数的拥挤度进行每日监测， 前一交易日军工、农牧、传媒靠前，相比较而言，汽车、非银的拥挤度水平 较低，建议关注。此外，石化、煤炭拥挤度变动较大。从主力资金流动来看， 前一交易日主力资金流入通信、电力设备、电子；流出计算机、军工。近三 个交易日主力资金减配电子、计算机；增配传媒。 三、ETF 产品关注信号 ◼ 根据溢价率 Z-score 模型搭建相关 ETF 产品筛选信号模型，通过滚动测算提 供存在潜在套利机会的标的，此外需警惕标的回调风险。 风险提示：本报告结论完全基于公开历史 ...

金 金融工程点评 [Table_Title] [Table_Message]2025-11-25 金工 ETF 点评：宽基 ETF 单日净流入 109.35 亿元；计算机、通信拥挤变幅较大 [Table_Author] 证券分析师：刘晓锋 电话：13401163428 E-MAIL：liuxf@tpyzq.com 执业资格证书编码：S1190522090001 证券分析师：孙弋轩 电话：18910596766 E-MAIL：sunyixuan@tpyzq.com 执业资格证书编码：S1190525080001 一、资金流向 二、行业拥挤度监测 ◼ 通过构建行业拥挤度监测模型，对申万一级行业指数的拥挤度进行每日监测， 前一交易日军工、农牧、传媒靠前，相比较而言，汽车、非银的拥挤度水平 较低，建议关注。此外，计算机、传媒拥挤度变动较大。从主力资金流动来 看，前一交易日主力资金流入军工、传媒；流出计算机、电力设备、电子。近 三个交易日主力资金减配电子、电力设备；增配传媒。 三、ETF 产品关注信号 ◼ 根据溢价率 Z-score 模型搭建相关 ETF 产品筛选信号模型，通过滚动测算提 供存在潜在套利机会的标的，此外 ...

Market Overview - The market is expected to remain volatile next week, with the Wind All A Index staying below the SAR reversal point for a consecutive week, indicating potential downward space [1][2] - The liquidity shock indicator for the CSI 300 Index was 0.15, lower than the previous week (0.67), suggesting current market liquidity is above the average level of the past year by 0.15 standard deviations [2] - The trading activity has decreased, with the five-day average turnover rates for the Shanghai Composite Index and Wind All A Index at 1.21% and 1.86%, respectively, which are at the 73.72% and 80.02% percentile since 2005 [2] Economic Indicators - The US stock market experienced a decline, with the Dow Jones, S&P 500, and Nasdaq indices showing weekly returns of -1.91%, -1.95%, and -2.74%, respectively [2] - The preliminary November PMI for the US manufacturing sector was 51.9, a four-month low, while the services PMI was 55, and the composite PMI was 54.8, both reaching four-month highs [2] Technical Analysis - The Wind All A Index broke below the reversal indicator on November 17, indicating a bearish trend [2] - The moving average strength index score is currently at 80, placing it in the 25.9% percentile for 2023, suggesting a weak market condition [2] - The sentiment model score is at 0 (out of 5), indicating very weak market sentiment, with both trend and weighted models signaling negative [2] Market Performance - For the week of November 17-21, the Shanghai 50 Index fell by 2.72%, the CSI 300 Index by 3.77%, the CSI 500 Index by 5.78%, and the ChiNext Index by 6.15% [3] - The overall market PE (TTM) stands at 21.3 times, which is at the 70.1% percentile since 2005 [3] Factor Analysis - The crowding degree for low valuation factors has decreased, with small-cap factor crowding at 0.39 and low valuation factor crowding at -0.69 [4] - High profitability factor crowding is at -0.02, while high growth factor crowding is at 0.05 [4] Industry Insights - The industry crowding degree is relatively high in sectors such as non-ferrous metals, telecommunications, comprehensive, power equipment, and steel, with significant increases in the crowding degree for basic chemicals and banking [5]

证券研究报告|金融工程研究报告 [Table_Date] 2025 年 11 月 22 日 [Table_Title] 一周市场数据复盘 20251121 [Table_Summary] ► 宽基指数表现 上周市场普遍下跌，上证 50、沪深 300 跌幅较小，分别 下跌2.72%、3.77%。小盘与成长风格宽基指数跌幅较大，中 证 2000、创业板指分别下跌 6.78%、6.15%。 今年以来小盘与成长风格指数涨幅居前，创业板指、科 创 50 和中证 2000 表现较好，分别上涨 36.35%、30.02%和 25.40%。 ► 行业指数表现 评级及分析师信息 上周跌幅最小的行业是银行、传媒和食品饮料，分别下 跌 0.89%、1.25%和 1.44%。 今年以来有色金属和通信行业表现最好，分别上涨 65.71%和 51.67%。 PE 分位数达 99%的行业包括商贸零售、环保、和煤炭； PE 分位数最低的两个行业是非银金融和食品饮料，分别为 1%和 18%。 ► 行业拥挤度 我们使用行业指数最近一周价格和成交金额变动的马氏 距离衡量拥挤度。 上周房地产和纺织服饰行业出现量升价跌。 [Table_Author] ...

Quantitative Models and Construction Methods 1. **Model Name**: Industry Crowding Monitoring Model **Model Construction Idea**: This model is designed to monitor the crowding levels of industries on a daily basis, focusing on the Shenwan First-Level Industry Index. It identifies industries with high or low crowding levels to provide actionable insights for investors. [3] **Model Construction Process**: The model calculates the crowding level of each industry based on specific metrics, such as fund flows and other market indicators. The daily crowding levels are ranked, and industries with significant changes in crowding levels are highlighted. For example, the model identified that the crowding levels of military and media industries experienced significant changes recently. [3] **Model Evaluation**: The model provides a useful tool for identifying industry trends and potential investment opportunities by analyzing crowding dynamics. [3] 2. **Model Name**: Premium Rate Z-Score Model **Model Construction Idea**: This model is used to screen ETF products by identifying potential arbitrage opportunities based on the Z-score of their premium rates. [4] **Model Construction Process**: The Z-score is calculated using rolling measurements of the premium rate of ETF products. The model flags ETFs with significant deviations from their historical averages, indicating potential arbitrage opportunities or risks of price corrections. [4] **Model Evaluation**: The model effectively identifies ETFs with potential arbitrage opportunities, but it also warns of potential price correction risks. [4] --- Model Backtesting Results 1. **Industry Crowding Monitoring Model**: No specific numerical backtesting results were provided in the report. [3] 2. **Premium Rate Z-Score Model**: No specific numerical backtesting results were provided in the report. [4] --- Quantitative Factors and Construction Methods No specific quantitative factors were explicitly mentioned or constructed in the report. --- Factor Backtesting Results No specific quantitative factor backtesting results were provided in the report.

Core Viewpoint - The market is expected to experience fluctuations in the upcoming week, despite the recent decline in major indices, as the strength index did not show significant downward movement, indicating a divergence in trends [1][2]. Market Overview - The liquidity shock index for the CSI 300 was 0.67, higher than the previous week's 0.40, suggesting current market liquidity is 0.67 standard deviations above the average of the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF decreased to 1.04 from 1.22, indicating reduced caution among investors regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 1.27% and 1.91%, respectively, reflecting a decline in trading activity, positioned at the 75.55% and 81.44% percentiles since 2005 [2]. Macroeconomic Factors - The onshore and offshore RMB exchange rates increased by 0.31% and 0.35% respectively over the past week [2]. - October's CPI rose by 0.2% year-on-year, surpassing the previous value of -0.3% and the consensus expectation of -0.04%. The PPI decreased by 2.1% year-on-year, better than the previous -2.3% and the expected -2.28% [2]. - New RMB loans in October totaled 220 billion, falling short of the expected 459.98 billion and the previous 1.29 trillion. M2 growth was 8.2% year-on-year, exceeding the expected 8.04% but lower than the previous 8.4% [2]. Calendar Effects - Historical data from 2005 indicates that major indices such as the SSE Composite, CSI 300, and others have shown poor performance in the latter half of November, with average declines of -0.61% to -0.9% [2]. Technical Analysis - The Wind All A index broke above the reversal indicator on October 27, indicating a potential upward trend [2]. - The current market score based on the moving average strength index is 218, placing it at the 79.2% percentile for 2023 [2]. - The sentiment model score is 3 out of 5, with both trend and weighted models signaling a positive outlook [2]. Factor Crowding - The factor crowding levels remain stable, with small-cap factor crowding at 0.37, low valuation factor at -0.25, high profitability factor at -0.18, and high growth factor at 0.08 [3]. Industry Crowding - Industries such as non-ferrous metals, comprehensive, telecommunications, electric equipment, and steel show relatively high crowding levels, while basic chemicals and banking have seen a significant increase in crowding [4].

Group 1: Market Sentiment Model Insights - The market sentiment score has rapidly increased to 3.9 as of November 14, up from 3 the previous week, indicating a further recovery in market sentiment and a bullish outlook [2][8] - The price-volume consistency indicator has stabilized and rebounded, showing a phase of sentiment recovery after a previous decline, with increased trading activity and a positive correlation between price elasticity and attention to stocks [11][12] - The overall trading volume for the entire A-share market increased by 1.56% week-on-week, with an average daily trading volume of 20,438.27 billion yuan, indicating sustained market activity [15] Group 2: Industry Trends and Performance - The short-term trend scores for industries such as beauty care, pharmaceuticals, banking, food and beverage, and textiles have shown upward momentum, with steel, electric equipment, construction decoration, environmental protection, and coal being the strongest short-term performers [40][41] - The industry trend consistency has significantly improved, breaking through the upper Bollinger Band, indicating a stronger consensus on industry outlooks and enhancing the beta effect of sector indices [25][28] - The financing balance ratio continues to rise, reflecting an increase in market leverage sentiment and a more active trading atmosphere in the financing market [29][31] Group 3: Industry Crowding and Investment Opportunities - The correlation coefficient between industry crowding and weekly price changes is 0.60, indicating a significant positive relationship, with high crowding in sectors like basic chemicals, agriculture, and forestry, which have seen high price increases [44][46] - Sectors with high crowding but low price increases, such as electric equipment and environmental protection, may have potential for catch-up gains if fundamental catalysts arise [44] - Low crowding sectors like communication, electronics, and computers, which have seen lower price increases, present opportunities for gradual long-term investment as risk appetite improves [44][46]

- The report constructs an industry congestion monitoring model to monitor the congestion levels of Shenwan First-Level Industry Indexes on a daily basis[3] - The report constructs a premium rate Z-score model to screen ETF products for potential arbitrage opportunities[4] - The industry congestion monitoring model indicates that the congestion levels of the power equipment and chemical industries were high on the previous trading day, while the congestion levels of the computer and automotive industries were relatively low[3] - The premium rate Z-score model provides signals for ETF products, indicating potential arbitrage opportunities and cautioning about the risk of pullbacks[4]

Quantitative Models and Construction Methods 1. **Model Name**: Industry Crowding Monitoring Model **Model Construction Idea**: This model is designed to monitor the crowding levels of industries on a daily basis, specifically for the CSI Level-1 Industry Index. It identifies industries with high or low crowding levels to provide actionable insights. [3] **Model Construction Process**: The model calculates the crowding levels of industries by analyzing daily fund flows and other relevant metrics. It ranks industries based on their crowding levels, highlighting those with significant changes or extreme values. For example, the previous trading day showed high crowding levels in power equipment, basic chemicals, and environmental protection, while industries like computers, automobiles, and non-bank financials had lower crowding levels. [3] **Model Evaluation**: The model effectively identifies industries with significant crowding changes, providing valuable insights for fund allocation and risk management. [3] 2. **Model Name**: Premium Rate Z-Score Model **Model Construction Idea**: This model is used to screen ETF products for potential arbitrage opportunities by calculating the Z-score of their premium rates. [4] **Model Construction Process**: The model employs a rolling calculation of the Z-score for the premium rates of ETF products. A high Z-score indicates a potential arbitrage opportunity, while a low Z-score may signal a risk of price correction. [4] **Model Evaluation**: The model provides a systematic approach to identify ETFs with potential arbitrage opportunities, but it also warns of potential price correction risks. [4] --- Model Backtesting Results 1. **Industry Crowding Monitoring Model**: No specific numerical backtesting results were provided in the report. [3] 2. **Premium Rate Z-Score Model**: No specific numerical backtesting results were provided in the report. [4] --- Quantitative Factors and Construction Methods No specific quantitative factors were explicitly mentioned or constructed in the report. --- Factor Backtesting Results No specific backtesting results for factors were provided in the report.

- The report constructs an industry congestion monitoring model to monitor the congestion of Shenwan first-level industry indices on a daily basis[3] - The ETF product screening signal model is built based on the premium rate Z-score model, which provides potential arbitrage opportunities through rolling calculations[4] - The industry congestion monitoring model indicates that the congestion levels of the power equipment, basic chemicals, and environmental protection industries were high, while the congestion levels of the computer, automotive, and machinery equipment industries were low[3] - The premium rate Z-score model is used to identify potential arbitrage opportunities in ETF products, while also warning of potential pullback risks[4]