（文章来源：每日经济新闻） 自由现金流ETF（159201）及其联接基金（A：023917；C：023918）紧密跟踪国证自由现金流指数， 自由现金流策略弥补了传统红利策略在行业覆盖广度和未来表现预判方面的不足，聚焦于内生增长能 力，强调财务健康与可持续性，更契合追求长期成长与资本增值的投资者需求。基金管理费年费率为 0.15%，托管费年费率0.05%，均为市场最低费率水平，最大程度让利投资者。 11月17日，自由现金流ETF（159201）震荡调整，，现跌幅收窄至0.6%，持仓股涨跌分化，潍柴动力、 模塑科技、福建高速等领涨；南京新百、捷佳伟创、华人健康等领跌。自由现金流ETF近6天获得连续 资金净流入，合计"吸金"8.88亿元，最新份额达53.74亿份，最新规模达65.42亿元，均创成立以来新 高，领跑同类产品。 信达证券称，过去两个月，价值风格明显走强且出现扩散，金融、周期、消费轮流表现。主要原因在于 年底市场进入业绩空窗期，板块缺乏高频的季报证明业绩，因此波动大多来自估值和预期。当前这一风 格扩散仍处在估值、预期和资金驱动的阶段，或将持续1至2个季度。 ...

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]

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Core Viewpoint - The article discusses the recent market trends, highlighting the rotation between value and growth styles, and the performance of various indices, particularly focusing on the banking sector and its impact on investment strategies [10][31]. Group 1: Market Performance - The overall market experienced a slight decline, with the CSI All Share Index down by 0.41% [1]. - The Shanghai and Shenzhen 300 indices also saw minor declines, with small-cap stocks declining more significantly [2]. - Value style has been on the rise for several weeks, with dividend and free cash flow indices reaching new historical highs [3][4]. Group 2: Style Rotation - The market has seen significant style rotation this year, with value style being strong in the first two quarters, particularly represented by the banking index [10][11]. - After the banking index reached a high valuation, the market shifted towards growth style in the third quarter, with the ChiNext index rising over 50%, marking the highest quarterly increase in a decade [23][24]. - By the fourth quarter, the market reverted to a strong value style, with both high and low bank proportion indices performing well [31]. Group 3: Investment Strategies - The article emphasizes the importance of maintaining a long-term investment perspective, suggesting that investors who adhere to low valuation buying and patience can achieve returns [36]. - Despite the overall positive market performance, over 40% of retail investors are still at a loss due to chasing trends and failing to adapt to style rotations [39][40]. - The correct investment approach is to buy undervalued assets and sell overvalued ones, as indicated by the saying "贵上极则反贱，贱下极则反贵" [41].

Core Viewpoint - The value style continues to show strong performance, with the Guozheng Value 100 Index rising by 1.3% and over 10% since October, driven by economic recovery expectations and dividend premiums [1] Group 1: Market Performance - The Guozheng Value 100 Index has achieved a four-day consecutive increase, while the Guozheng Free Cash Flow Index rose by 1.1% [1] - The value ETF (159263) has seen net inflows for six consecutive trading days, with an additional net subscription of 35 million units today [1] Group 2: Economic Factors - The recent rise in value style is attributed to economic recovery expectations rather than merely a "high to low" market trend [1] - The current non-manufacturing PMI in China has crossed the threshold, indicating potential benefits for traditional value sectors such as home appliances and banking due to demand recovery [1] Group 3: Investment Characteristics - The value index is characterized by high dividends, low valuations, and strong risk resistance, enhancing its allocation value [1] - The Guozheng Value 100 Index employs a three-dimensional screening system focusing on "high dividends + high free cash flow + low price-to-earnings ratio" to select value stocks, demonstrating stable historical performance [1] Group 4: Sector Focus - The Guozheng Free Cash Flow Index selects based on free cash flow rates, favoring cash-rich value assets, with the top three weighted industries being non-ferrous metals, automobiles, and oil & petrochemicals [1] Group 5: Investment Tools - The value ETF (159263) and the E Fund Free Cash Flow ETF (159222) track the aforementioned indices, providing investors with convenient tools to invest in undervalued quality assets and capitalize on style switching opportunities [1]

- The report introduces a quantitative model for evaluating equity funds' performance. The model uses 22 benchmark indices as independent variables and fund returns as dependent variables. A univariate linear regression is conducted for each index, and the rolling window regression is applied with a 6-month window to calculate the R² matrix for each fund. The index with the highest average R² over the last six periods is selected as the performance reference index. The corresponding regression equation result is used as the performance outcome [16][17] - The report evaluates the overall strategy of public equity funds by analyzing the goodness-of-fit (R²) of funds relative to single indices. In October 2025, the average R² value was 0.7357, with 4.73% of funds exceeding 0.9 and 34.44% below 0.7. This indicates a loss of market concentration and a trend toward diversified holdings among public funds [35] - The report categorizes equity funds into five styles: large-cap, mid-small-cap, value, growth, and sector themes. In October 2025, value funds performed the best with a median return of 3.7%, while growth funds showed the most significant polarization, with the best return at 8.2% and the worst at -10.5% [22][23] - The report highlights the performance of sector-themed funds, with cyclical funds achieving an average return of 3.1% in October 2025. Among cyclical funds, the best performer was the "Coal Equal Weight LOF" with a return of 9.9%. In the technology sector, the best performer was "Caitong Growth Preferred A," with a return of 13.6% [25][28] - The report identifies high-rated funds that demonstrate excellent performance, risk control, and investment strategy. For example, in the mid-small-cap category, "Huitianfu Balanced Selection Six-Month Holding" achieved a recent score of 10 with an R² of 0.74, while "Hongde Zhixuan Qiyuan A" scored 10 with an R² of 0.95 [55][56] - The report also tracks newly rated funds, defined as those receiving their first rating in the current month and managed by fund managers with less than three years of experience. In October 2025, seven such funds were identified, with most benchmarked against the CSI 500 index [61][63][64] - The report highlights funds with significant rating upgrades, reflecting improved performance and management optimization. For instance, "泉果思源三年持有 A" (Quanguo Siyuan Three-Year Holding A) was upgraded and benchmarked against the "New Energy Vehicle" index [65][66]

Core Insights - The report suggests an overweight position in small-cap and value styles for November based on quantitative model signals and calendar effects [1][5] Size and Style Rotation Monthly Strategy - As of the end of October, the quantitative model signal was -0.17, indicating a preference for large-cap stocks; however, historical data shows that small-cap stocks tend to outperform in November [1] - The current market capitalization factor valuation spread is 0.88, which is still below the historical peak range of 1.7 to 2.6, indicating that the market is not overcrowded and small-cap stocks remain attractive in the medium to long term [1] - Year-to-date, the size rotation quantitative model has yielded a return of 27.85%, with an excess return of 2.86% relative to an equal-weight benchmark [1] - The combined strategy, incorporating subjective views, has achieved a return of 26.6% with an excess return of 1.61% [1] Value and Growth Style Rotation Monthly Strategy - The monthly quantitative model signal for October was 1, recommending an overweight position in value stocks [1] - Year-to-date, the value-growth style rotation strategy has returned 18.96%, with an excess return of 1.35% compared to an equal-weight benchmark of growth and value indices [1] Style Factor Performance Tracking - Among eight major factors, the dividend and momentum factors showed high positive returns in October, while large-cap and volatility factors exhibited high negative returns [2] - Year-to-date, the volatility and momentum factors have shown strong positive returns, while liquidity and large-cap factors have shown negative returns [2] - In October, the profitability, dividend yield, and momentum factors had high positive returns, while large-cap, profitability, and beta factors had high negative returns [2] - Year-to-date, the beta, profitability volatility, and momentum factors have shown strong positive returns, while mid-cap, liquidity, and large-cap factors have shown negative returns [2] Factor Covariance Matrix Update - The report updates the latest factor covariance matrix as of October 31, 2025, which is crucial for predicting stock portfolio risks [2]

Group 1 - The overall change in public fund holdings shows an increase in allocation to electronics and communications, while reducing allocation to banks and food & beverage sectors [1][8] - In Q3 2025, the top five industries with increased holdings were electronics (up 6.6 percentage points), communications (up 3.9 percentage points), new energy (up 2.7 percentage points), non-ferrous metals (up 1.3 percentage points), and media (up 0.5 percentage points) [1][8] - The top five industries with decreased holdings included banks (down 3.1 percentage points), food & beverage (down 1.8 percentage points), home appliances (down 1.5 percentage points), military industry (down 1.4 percentage points), and automobiles (down 1.4 percentage points) [1][8] Group 2 - The report categorizes funds into four types: increasing, decreasing, adjusting, and extreme styles, with a focus on their respective investment behaviors [7][13] - Increasing funds showed a balanced and strengthened growth style, adding positions in biopharmaceuticals, chemical pharmaceuticals, and semiconductors while reducing positions in military electronics, power grid equipment, and white goods [15][17] - Decreasing funds significantly reduced their exposure to TMT (Technology, Media, and Telecommunications), increasing positions in consumer electronics, environmental governance, and batteries while decreasing holdings in semiconductors, communication equipment, and software development [15][17] Group 3 - Adjusting funds displayed a clear style adjustment, increasing allocations to batteries, industrial metals, and consumer electronics while reducing positions in city commercial banks, state-owned banks, and electric power [15][17] - Extreme style funds made internal adjustments within their respective styles, with growth funds increasing positions in photovoltaic and reducing wind power, while value funds increased allocations to real estate development and reduced insurance [15][17] Group 4 - The report highlights that the consensus buy direction includes consumer electronics, batteries, and industrial metals, while the consensus sell direction includes biopharmaceuticals, social media, and software development [15][17] - The top five industries with the highest net purchases by increasing funds were pharmaceuticals (1.8 billion), electronics (0.8 billion), and media (0.5 billion), while the top three industries with the highest net sales were military industry (-0.9 billion), transportation (-0.9 billion), and banks (-0.9 billion) [18][27]

Core Viewpoint - The market has shown a positive trend with the Guozheng Value 100 Index rising by 0.7% as of 14:30, and it has accumulated a gain of over 6% in October, outperforming the broader market and other similar indices [1] Group 1: Market Performance - The Guozheng Value 100 Index has seen a continuous inflow of funds, with a net subscription of 1 million units today [1] - The index's performance is attributed to a favorable investment environment for value stocks, particularly in November, which historically shows better performance for these stocks [1] Group 2: Index Characteristics - The Guozheng Value 100 Index employs a screening system based on low price-to-earnings ratios, high dividend yields, and high free cash flow rates to identify quality companies with reasonable valuations [1] - The current dividend yield of the index is approximately 4.8%, and the rolling price-to-earnings ratio stands at 9.5 times, which is at the 6.8% percentile since the index's base date at the end of 2012 [1] Group 3: Sector Distribution - The index has a balanced industry distribution, with the top three sectors being home appliances, banking, and non-ferrous metals, collectively accounting for nearly 50% of the index's weight [1]

Market Overview - The overall market has declined, returning to a rating of 4.2 stars, with large-cap stocks experiencing less decline compared to mid and small-cap stocks, as evidenced by the 1.6% drop in the CSI 500 index [1] - The value style has shown resilience during market fluctuations, with indices related to dividends and value experiencing good upward momentum [1] - The banking index has risen over 2%, approaching previously high valuation levels after a significant correction [1] Market Trends - The ChiNext board has seen a more significant decline compared to other indices [2] - Hong Kong stocks have also experienced declines, closely mirroring the fluctuations in A-shares [3] - Recent market volatility has not been substantial, with the overall market showing a correction of about 3% from its peak in October [5][6] - The rapid market increase in the third quarter has led to a natural correction phase, with the ChiNext achieving its largest quarterly gain in the last decade [8][7] Investment Strategies - The current investment strategy involves pausing regular investments in the index-enhanced portfolio as it has returned to normal valuation, while continuing to hold existing positions [15] - The active selection portfolio is still being invested in regularly, although it is nearing normal valuation levels [15] - The "Monthly Salary Treasure" investment strategy, which consists of 40% stocks and 60% bonds, is recommended for stable market participation due to its low volatility and built-in rebalancing strategy [15] Performance Metrics - The performance of the CSI 500 index is approximately 23% with a price-to-earnings ratio of about 24 times, indicating it is nearing high valuation [35] - The CSI Dividend index has shown a profit of around 9%, also reaching normal valuation levels [35] - The article emphasizes the importance of patience in waiting for future investment opportunities when valuations return to low levels [38]