Core Viewpoint - The Hua Tai Pai Rui Dividend Low Volatility ETF (512890) has reached a record high in scale, reflecting strong investor demand for stable assets in the current market environment characterized by low interest rates and volatility [1][4]. Group 1: ETF Performance and Scale - As of June 20, the ETF rose by 0.42% to a price of 1.182 yuan, with a trading volume of 1.30 billion yuan [1]. - Year-to-date, the ETF has increased by 5.16%, and its 250-day increase is nearly 10% [1]. - The scale of the ETF reached 180.89 billion yuan on June 19, marking a 31.5% increase from 137.495 billion yuan on December 31, 2024 [1]. - Since the beginning of 2025, the scale has grown by 4.3 billion yuan, positioning it as a "fund magnet" in a volatile market [1]. Group 2: Investment Appeal - The ETF's high dividend yield of 6.21% and a low volatility characteristic make it an attractive option for investors seeking stable returns in a declining interest rate environment [2][3]. - The 10-year government bond yield has dropped to 1.64%, creating a significant yield spread of 3.96% compared to the ETF's dividend yield, placing it in the 93.35th percentile over the past decade [2]. Group 3: Underlying Factors Supporting Growth - The ETF has demonstrated a three-year annualized return of 13.59% with a maximum drawdown of -13.61%, showcasing its stability during market fluctuations [3]. - The ETF tracks the CSI Dividend Low Volatility Index, which employs a dual-factor stock selection strategy focusing on high dividends and low volatility, with significant representation from the financial sector [3]. - Regulatory support for increased dividend payouts from listed companies has bolstered the ETF's appeal, with many of its constituent stocks exhibiting strong dividend capabilities [4]. - The ETF's off-market linked funds have achieved monthly dividends for 21 consecutive months, making them among the most frequent dividend-paying ETF linked funds in the market [4].

Market Overview - A-shares and Hong Kong stocks experienced a collective decline, with the ChiNext Index dropping over 1% and more than 4,600 stocks falling [1][5] - The total trading volume in the two markets reached 1.25 trillion yuan, with sectors like mining, oil, and gas showing gains, while technology, real estate, and port sectors faced significant declines [3] Geopolitical and Economic Factors - Rising geopolitical risks, particularly concerning potential military actions by the U.S. against Iran, have heightened market volatility and increased risk aversion among investors [8][9] - The Federal Reserve's recent decision to maintain interest rates, coupled with warnings about tariffs potentially exacerbating inflation, has impacted global liquidity expectations and led to a sell-off in U.S. stocks, affecting Asian markets [10] Sector Performance and Investment Trends - High-performing sectors such as innovative pharmaceuticals, controlled nuclear fusion, and digital currencies have seen corrections, with specific stocks hitting their daily limit down [11][12] - The upcoming earnings reporting period for A-shares is expected to favor growth-oriented stocks, with historical data indicating that growth styles tend to perform better during this time [21][24] Future Signals and Investment Strategies - Analysts suggest monitoring two key signals: the geopolitical situation regarding U.S.-Iran tensions and domestic policy developments, particularly the upcoming Politburo meeting in late July [14][15] - The market is advised to focus on defensive assets like gold and oil-related funds, while also considering growth sectors such as AI and military technology for long-term investment [16][26] ETF Investment Trends - Despite recent market volatility, there has been a net inflow into ETFs over the past four days, indicating investor interest in diversified exposure [22][19] - Popular ETFs include those tracking the STAR Market, Hang Seng Technology, and various industry-specific funds, reflecting a balanced investment approach [20][18]

今日早盘，受中东风险持续升温影响，A股主要股指全线下跌，在市场震荡调整之际，基本面相对稳健 且拥有良好防御属性的红利类资产关注度持续提升。同时，叠加当前恒生AH股溢价已来到2021年以来 的相对低位水平，A股红利类资产有望逐渐从阶段性防御资产转变为避险资金长期配置的底仓选项。 （数据来源：Wind，数据区间2021/1/1-2025/6/12） 其中，市场首只红利低波主题ETF——红利低波ETF（512890）6月以来获市场资金密集加仓。Wind数 据显示，6月1日至6月12日，红利低波ETF（512890）资金净流入显著放量，8个交易日累计吸引7.05亿 元资金净申购，已超5月全月4.16亿元的净流入额，同时也是全市场仅有的同期净流入超7亿元的红利主 题ETF。 资金涌入之下，红利低波ETF（512890）从5月19日以来已连续四周（2025/5/19-2025/6/12）实现基金份 额与规模的周度净增长，截至6月12日，最新基金规模达179.53亿元，再度刷新2018年12月18日成立以 来新高。（数据来源：交易所） 风险提示：基金有风险，投资需谨慎。 MACD金叉信号形成，这些股涨势不错！ 责任编辑：石 ...

Group 1 - The Hang Seng Index opened higher on June 10, with the dividend sector showing strength, as evidenced by the Hong Kong Dividend Low Volatility ETF (520550) rising 0.36% and aiming for a nine-week winning streak [1] - The fund has seen a 106.43% increase in shares this year and a 133.48% growth in scale, both reaching historical highs [1] - CICC's report highlights that Hong Kong stocks offer advantages in dividends and structural opportunities, particularly appealing to tax-exempt investors like mainland insurance funds due to the declining yield of Chinese bonds [1] Group 2 - Haitong Securities notes that the Hong Kong market has strategic allocation value in the medium to long term, fulfilling three key roles: facilitating companies' overseas expansion, enabling capital repatriation, and promoting the internationalization of the Renminbi [1] - The main drivers for the Hong Kong market in the second half of the year are expected to come from profit growth, with high dividend sectors and essential consumer goods recommended as core holdings [1] - The report suggests increasing allocations in technology, consumption, and large financial sectors, particularly in local and Chinese stocks, as part of a bottom-line strategy [1] Group 3 - The Hong Kong Dividend Low Volatility ETF (520550) features the lowest overall fee rate in the market at 0.2%, which reduces holding costs and enhances capital efficiency through its monthly dividend mechanism and T+0 trading characteristics [2] - The ETF's holding structure includes mature industries like finance and energy to provide a safety net, while a 5% weight limit on individual stocks helps to diversify risk and avoid "dividend yield traps" by excluding stocks with significant declines [2]

Report Overview - Report name: Weekly Report on Capital Flows of Exchange-Traded Index Funds - Data date: May 26 - May 30, 2025 - Report date: June 3, 2025 - Analyst: Jin Ling - Analyst's certificate number: S1070521040001 [1] 1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - Not explicitly stated in the given content 3. Summary by Related Catalogs Domestic Passive Stock Funds - Different concepts have varying fund scales, weekly price changes, and net weekly capital inflows. For example, the Shanghai - Shenzhen 300 has a large fund scale of 9834.49 billion yuan, a weekly decline of 0.81%, and a net weekly capital inflow of 22.15 billion yuan; the ChiNext Index has a scale of 1264.48 billion yuan, a weekly decline of 1.00%, and a net weekly capital inflow of 12.57 billion yuan [4]. Overseas - Related Index Funds - Overseas indexes also show different performance. The Nasdaq 100 has a fund scale of 784.21 billion yuan, a weekly increase of 1.18%, and a net weekly capital outflow of 0.55 billion yuan; the Hong Kong Stock Technology concept has a scale of 926.09 billion yuan, a weekly decline of 1.45%, and a net weekly capital inflow of 0.28 billion yuan [5]. Other Types of Index Funds - Bond funds: Different maturities and types of bonds have different performance. For example, 30 - year bonds have a scale of 89.69 billion yuan, a weekly decline of 0.32%, and a net weekly capital inflow of 8.64 billion yuan; 5 - year - below bonds have a scale of 227.25 billion yuan, a weekly increase of 0.02%, and a net weekly capital outflow of 16.65 billion yuan. - Commodity funds: Gold funds have a scale of 708.87 billion yuan, a weekly decline of 1.11%, and a net weekly capital outflow of 0.95 billion yuan. - Index - enhanced funds: Different indexes also show different performance. For example, the CSI 1000 index - enhanced fund has a scale of 6.56 billion yuan, a weekly increase of 0.87%, and a net weekly capital inflow of 0.18 billion yuan [6].

近期市场波动有所加剧，面对热点题材的快速轮动，攻守兼备的红利类资产再度成为吸金主力。Wind 数据显示，市场首只红利低波主题ETF——红利低波ETF（512890）近7个交易日（2025/5/21- 2025/5/29）中6日获资金净申购，本周前四个交易日（2025/5/26-2025/5/29）更是累计吸引5.17亿元资金 流入，是同期全市场仅有的吸金超5亿元的红利主题ETF。 受益于资金的加速涌入，交易所数据显示，红利低波ETF（512890）自5月26日以来基金份额与规模分 别增长4.50亿份、5.48亿元，并于5月28日、5月29日接连创下历史新高，截至最新，基金规模达168.37 亿元。（数据截至2025/5/29） 红利低波ETF（512890）配置吸引力的持续提升，一是在当前利率持续低位的宏观环境下，红利类资产 股息率与市场无风险收益率之间的差值正在不断扩大，Wind数据显示，截至5月29日，10年期国债到期 收益率仅为1.69%，而红利低波指数近一年股息率水平则高达6.4%，高股息优势凸显。（投资国债和投 资股票的风险特征不同，投资者进行投资时应当全面考虑投资风险） 二是从资产配置角度出发，" ...

- The report tracks various market environment factors for the week of May 12, 2025, to May 16, 2025[2][10] - The report includes a detailed analysis of stock market factors, commodity market factors, options market factors, and convertible bond market factors[7][11][28][36][38] - The stock market factors include market style, market structure, and market activity, with specific metrics such as size and value-growth style volatility, industry index excess return dispersion, and turnover rate[11][12][13] - The commodity market factors include trend strength, basis momentum, volatility, and liquidity, with specific metrics such as the trend strength of energy and black metal sectors, and the volatility of precious metals, non-ferrous metals, and agricultural products[28][30] - The options market factors include implied volatility levels and skewness of call and put options for the SSE 50 and CSI 1000 indices, indicating potential adjustment risks for small-cap stocks[36][37] - The convertible bond market factors include pure bond premium rate, conversion premium rate, and trading volume, with specific metrics such as the stability of the pure bond premium rate and the increase in the proportion of low conversion premium rate bonds[38][39][41] Quantitative Models and Construction Methods 1. **Stock Market Factors** - **Factor Name**: Market Style - **Construction Idea**: Track the performance and volatility of different market styles such as size and value-growth - **Construction Process**: - Measure the performance of large-cap vs. small-cap stocks - Measure the performance of value vs. growth stocks - Calculate the volatility of these styles over the week - **Evaluation**: The market style showed a preference for small-cap and growth stocks, with increased volatility from low levels[11][13] 2. **Commodity Market Factors** - **Factor Name**: Trend Strength - **Construction Idea**: Assess the strength of trends in various commodity sectors - **Construction Process**: - Analyze the price trends in energy, black metals, non-ferrous metals, agricultural products, and precious metals - Calculate the trend strength for each sector - **Evaluation**: Energy and black metal sectors continued to show strong trends, while other sectors had weaker trends[28][30] 3. **Options Market Factors** - **Factor Name**: Implied Volatility and Skewness - **Construction Idea**: Track the implied volatility and skewness of call and put options to gauge market sentiment - **Construction Process**: - Measure the implied volatility levels of SSE 50 and CSI 1000 indices - Calculate the skewness of call and put options for these indices - **Evaluation**: The implied volatility and skewness indicated potential adjustment risks for small-cap stocks[36][37] 4. **Convertible Bond Market Factors** - **Factor Name**: Conversion Premium Rate - **Construction Idea**: Monitor the premium rates and trading volume of convertible bonds - **Construction Process**: - Track the pure bond premium rate and conversion premium rate - Measure the trading volume of convertible bonds - **Evaluation**: The market showed stability in pure bond premium rates and an increase in low conversion premium rate bonds[38][39][41] Backtesting Results of Factors 1. **Stock Market Factors** - **Size Style Volatility**: Increased from low levels[11][13] - **Value-Growth Style Volatility**: Increased from low levels[11][13] - **Industry Index Excess Return Dispersion**: Decreased[11][13] - **Turnover Rate**: Decreased[12][13] 2. **Commodity Market Factors** - **Trend Strength**: Strong in energy and black metal sectors[28][30] - **Volatility**: Low in precious metals, non-ferrous metals, and agricultural products; high in energy and black metal sectors[28][30] - **Liquidity**: Best in the energy sector[28][30] 3. **Options Market Factors** - **Implied Volatility**: Stabilized after a mid-week jump[36][37] - **Skewness**: Increased for both call and put options in SSE 50; increased for put options in CSI 1000[36][37] 4. **Convertible Bond Market Factors** - **Pure Bond Premium Rate**: Stable[38][39][41] - **Conversion Premium Rate**: Stable[38][39][41] - **Trading Volume**: Reached the median level of the past year[38][39][41]

Group 1 - The military industry sector is experiencing significant growth, with the military leader ETF (512710) rising over 1% and key stocks such as Haige Communication (002465) hitting the daily limit, while other major companies also saw increases of over 2% [2][3] - The recent success of China's export fighter jet, the J-10CE, in combat has garnered global attention, enhancing the demand for military products amid the ongoing India-Pakistan conflict [2] - Analysts from Zhonghang Securities indicate that the India-Pakistan conflict has stimulated short-term interest in the military sector, with a focus on new areas such as unmanned equipment and satellite internet [2] Group 2 - The New Economy ETF (159822) led the market with a rise of 2.87%, while the S&P Consumer ETF (159529) and Real Estate ETF (515060) also showed positive performance [1][2] - Conversely, the Low Volatility Dividend ETF (560520) experienced the largest decline at 3.14%, followed by the Hong Kong Auto ETF (520600) and Engineering Machinery ETF (159542) with declines of 1.96% and 1.88% respectively [3][4]

2025 年 05 月 16 日 研 港股金股刷新历史新高 —金融工程月报 投资要点 分析师：吕思江 S1050522030001 联系人：武文静 S1050123070007 ▌最新市场观点：哑铃策略延续占优，红利低波底 仓+互联网平台、港股新消费等科技弹性 北京时间 5 月 12 日下午 3 点，《中美日内瓦经贸会谈联合声 明》发布，中美关税谈判进度及降幅大超市场预期，恒生科 技暴涨 5.16%，中国资产全线爆发。短期风险偏好回暖下科 技受提振，5 月 14 日腾讯将披露一季报，阿里和小米也将于 5 月 15 日、5 月 27 日陆续披露财报，科技板块催化较多，港 股新消费、创新药、互联网平台为主要弹性方向。 相关研究 港股市场路标数据看，当前港股基本面指标延续回暖，但资 金面和情绪面指标仍为观望状态，南向资金净买入明显趋 缓。国际贸易软脱钩形势未变、国内政策预期放缓下，我们 依旧坚持红利底仓配置价值，港股央企红利低波配置价值凸 显。近期《推动公募基金高质量发展行动方案》发布，针对 基金产品风格漂移等问题，为每只基金设立清晰的业绩比较 基准，避免产品投资行为偏离名称和定位。公募基金低配板 块短期利好，包括 ...

2025 年 05 月 13 日 证券研究报告 | 金融工程周报 关税下调之后，市场分歧仍存 市场环境因子跟踪周报（2025.05.09） 分析师：柏逸凡 分析师登记编码：S0890524100001 电话：021-20321081 邮箱：baiyifan@cnhbstock.com 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 021-20515355 相关研究报告 向 — 市 场 环 境 因 子 跟 踪 周 报 （2025.04.30）》2025-05-07 2、《关税问题反复，大盘延续稳健—市场 中 观 因 子 跟 踪 周 报 （ 2025.04.27 ）》 2025-04-29 3、《市场进入降波阶段，风格稳定性上升 —量化数据看板跟踪周报（2025.04.20）》 2025-04-23 风 险 特 征 解 析 — 量 化 策 略 视 点 》 2024-12-17 投资要点 报告统计时间为 2025.05.05-2025.05.09。 分析师：程秉哲 静观其变，谋而后动。关税下调之后，可适度控制仓位，静观其变， ...