相信在这么多策略里，投资者最熟悉听到最多的可能就是定投策略了。在投资界，有一句广为流传的话："做时间的朋友"。这要求我们选择优质资产进行长 期持有，避免频繁交易。对于大多数人来说，定投是一种有效的投资途径。 定投的本意是固定时间、固定金额购买同一个基金。就像水滴石穿，简单的操作也可以获得成功。比如下图，假如A基金的净值在3个月内从1元跌到了0.6 元，如果投资者坚持定投，在净值下跌时买入了更多的份额，就可以显著降低了平均成本。 在历史的长河中，战争的烽火从未真正熄灭。古代打仗两军对峙，仅仅只依靠勇猛是无法赢得最终胜利的，唯有精心谋划，方能在乱世中立足。由此可见策 略乃是致胜的关键。 俗话说商场如战场，在市场行情向好时，好的策略能够迅速捕捉机会，享受市场上涨带来的红利。而在市场波动或下行时，它又能凭借多元化的资产配置， 分散风险，缓冲市场波动对投资组合的冲击，确保投资者的资产在风雨中依然屹立不倒。 今天我们就来看看ETF市场中，比较常见的六大策略，也希望广大投资者能找到合适自己的打法和策略。 长期策略： 1、定投策略 模拟定投摊薄成本的案例 | 按月定额定投 | A基金 | 定投 | 定投 | 持仓成本 | | ...

Core Viewpoint - The article emphasizes the importance of ETFs as a tool for investors to navigate the fluctuating capital markets, highlighting the need to understand economic cycles for effective investment strategies [1][3]. Group 1: ETF Strategy - ETFs serve as a conductor's score, allowing ordinary investors to participate in industry rotations [1]. - A suggested ETF allocation strategy includes 50% in broad-based ETFs, 30% in sector-specific ETFs, and 20% for opportunistic investments [1]. - The "seasonal rotation model" recommends adjusting ETF allocations quarterly based on economic indicators and seasonal trends [3]. Group 2: Risk Management - Industry ETFs typically exhibit 1.5-2 times the volatility of broad indices, necessitating dynamic stop-loss strategies [3]. - The negative correlation between Hong Kong financial ETFs and U.S. regional bank ETFs can help smooth out volatility in a portfolio [3]. - Caution is advised regarding "pseudo-liquidity" traps in niche ETFs with low daily trading volumes, which may lead to price pressure during urgent sell-offs [3]. Group 3: Data-Driven Insights - Monitoring fund inflow intensity, relative strength indicators (RSI), and valuation percentiles can enhance the timing of ETF switches [5]. - Current indicators suggest that the Hong Kong medical ETF's PEG ratio is below its ten-year average, while institutional holdings in U.S. cloud computing ETFs are rising [5]. - The article stresses that superior returns come from a deep understanding of industry changes and efficient use of tools, distinguishing professional institutions from retail investors [5].

证券研究报告 | 金融工程报告 2025 年 05 月 17 日 当下价值/成长的赔率和胜率几何？ ——风格轮动策略周报 20250516 在《如何从赔率和胜率看成长/价值轮动》报告中，我们创新性地提出了基于 赔率和胜率的投资期望结合方式，为应对价值成长风格切换问题提供了定量模 型解决方案。后续，我们将持续在样本外进行跟踪并做定期汇报。 在七个胜率指标中，当前有 4 个指向成长，3 个指向价值。根据映射方 案，当下成长风格的胜率为 58.26%，价值风格的胜率为 41.74%。 3、最新推荐风格：成长 根据公式，投资期望=胜率*赔率-（1-胜率）。我们计算得最新的成长风格 投资期望为 0.22，价值风格的投资期望为-0.13，因此最新一期的风格轮动模 型推荐为成长风格。 2013 年至今，基于投资期望的风格轮动模型策略年化收益率 27.18%，夏 普比率 0.98。 风险提示：本报告结果通过历史数据统计、建模和测算完成，在政策、市场 环境发生变化时模型存在失效的风险；本报告所提及个股或基金仅表示与相 关主题有一定关联性，不构成任何投资建议。 上周全市场成长风格组合收益 0.82%，而全市场价值风格组合收益为 ...

1. 美国ETF创新产品：Pacer发行现金流轮动策略产品 YieldMax上周继续扩充其单股票Covered Call策略产品，挂钩互联网券商Robinhood。 2. 美国ETF动态 2.1美国ETF资金：债券产品流入提升 上周美国股票ETF继续有一定流出，但国际股票、债券产品仍然流入明显，债券ETF的流入有所增加： 上周美国共8只新发产品，Pacer发行两只新产品扩充现金流产品线： VistaShares上周发行一只期权策略产品，产品首先通过ROE、盈利波动、负债率等质量标准选择20-50只股票，然后 通过卖出期权来增厚收益，目前是15%的年化收益。 Pacer上周也发行一只质量相关产品，是其代表性的现金流因子和质量结合的策略，选择至少10年连续正自由现金 流、自由现金流质量得分最高的100家标普500成分股。自由现金流质量由公司过去5年平均的自由现金流收益率和自 由现金流ROIC合成得到。此外，Pacer上周还发行一只轮动策略产品，在其现金流ETF COWZ和纳斯达克100之间轮 动，进一步扩充其现金流产品线。该策略主要根据动量进行轮动，将指数过去1、3、6、9、12个月的平均收益率等权 合成，然后每 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, 8 new products were issued in the US, with Pacer launching two new products to expand its cash - flow product line, including a strategy product combining cash - flow factors and quality, and a rotation strategy product between its cash - flow ETF COWZ and the Nasdaq 100 [1][6]. - US stock ETFs continued to have some outflows last week, while international stock and bond products still had significant inflows, and the inflow of bond ETFs increased, with the risk preference of bond ETF funds rising [1][9]. - Since May, US Treasury bonds, especially long - term bonds, have performed weakly, with the decline of Treasury bond ETFs over 20 years exceeding 2%. However, the sentiment of funds has improved, and recently, bond ETFs have seen continuous inflows, while short - term bond products with stable performance have seen outflows [1][12]. - In March 2025, the total amount of non - money public funds in the US was $21.17 trillion, a decrease of $0.88 trillion compared to February 2025. From April 23 to April 30, US domestic stock funds had a total outflow of $10.2 billion, and the outflow has enlarged again, while the outflow of bond products has slowed down [1][14]. 3. Summary According to the Directory 3.1 US ETF Innovation Products: Pacer Issues Cash - Flow Rotation Strategy Products - Last week, 8 new products were issued in the US. Pacer issued two new products. One is a strategy product combining the representative cash - flow factor and quality, selecting 100 S&P 500 component stocks with at least 10 consecutive years of positive free cash flow and the highest free - cash - flow quality scores. The other is a rotation strategy product between its cash - flow ETF COWZ and the Nasdaq 100, which rotates based on momentum [6][7]. - VistaShares issued an options strategy product last week, selecting 20 - 50 stocks through quality criteria and then enhancing returns by selling options, with an annualized return of 15% currently [6]. - Invesco issued 3 new products last week. QQHG mainly invests in Nasdaq 100 stocks and adds an options strategy to control drawdowns, CTSK looks for undervalued stocks, and IMF selects assets with low correlation to traditional markets [7]. - YieldMax continued to expand its single - stock Covered Call strategy products last week, linked to the online brokerage Robinhood [7]. 3.2 US ETF Dynamics 3.2.1 US ETF Funds: Bond Product Inflows Increase - Last week, US stock ETFs continued to have some outflows, while international stock and bond products still had significant inflows, and the inflow of bond ETFs increased. Vanguard's S&P 500 ETF had significantly more inflows than the other two products, and Bitcoin ETFs also had inflows of over $1 billion. Credit - bond and long - bond ETFs had inflows, and CLO products have also attracted high attention recently [9]. - The inflow gap between the State Street's S&P 500 ETF and VOO in two weeks reached $12 billion. Corporate - bond ETFs had inflows and short - term bond ETFs had outflows, indicating an increase in the risk preference of bond ETF funds [11]. 3.2.2 US ETF Performance: Long - Term Bonds Continue to Decline - Since May, US Treasury bonds, especially long - term bonds, have performed weakly, with the decline of Treasury bond ETFs over 20 years exceeding 2%. However, the sentiment of funds has improved, and recently, bond ETFs have seen continuous inflows, while short - term bond products with stable performance have seen outflows [12]. 3.3 Recent Capital Flows of US Ordinary Public Funds - In March 2025, the total amount of non - money public funds in the US was $21.17 trillion, a decrease of $0.88 trillion compared to February 2025. In March, the S&P 500 fell 5.75%, and the scale of US domestic stock products declined by 6.55%, with the scale decline rate still higher than the stock decline rate [14]. - From April 23 to April 30, US domestic stock funds had a total outflow of $10.2 billion, and the outflow has enlarged again, while the outflow of bond products has slowed down [14].

A500ETF基金紧密跟踪中证A500指数，广泛覆盖A股核心行业，重点布局工业、信息技术、原材料等核 心领域，并超配新质生产力行业以反映经济转型趋势。投资者可关注同类产品流动性第一名的A500ETF 基金（512050）。 一季报收官，超半数净利润同比增长 A股上市公司年报收官，四分之三公司盈利 近期，A股2024年年报、2025年一季报披露收官。 根据年报数据，2024年沪深上市公司，共实现营业收入71.8万亿元，净利润5.2万亿元，74%的上市公司 实现盈利，48%的公司盈利正增长。分板块看，沪主板净利润同比增长2.7%。分行业看，28个实体大类 行业中，农林牧渔、电子、交通运输、汽车、商贸零售等行业增幅靠前。金融业实现净利润2.7万亿 元，同比增长10.3%，增速较三季报进一步提升。 值得注意的是，截至2024年底，超半数上市公司聚焦战略新兴产业，新上市公司中超八成集中在新一代 信息技术、高端装备制造、新材料、新能源汽车、生物、节能环保、航空航天、新能源等八大行业，新 质生产力持续赋能上市公司业绩增长。 银河证券首席策略分析师杨超指出，2024年以来，中央和监管部门出台了一系列政策，如降准、降息、 降存 ...

节前六大行刚发了财报表示业绩承压，节后央行就立马宣布降息降准，流动性宽松直接利好股市，还打开了银行业务的长期增长空间，看来银行股真是跌不 了一点。 1.降准0.5个百分点，预计向市场提供长期流动性约1万亿 ——直接增加银行体系的可贷资金规模，缓解银行负债端压力，提升中长期贷款投放能力。 数据显示，银行AH指数权重银行股平均股息率超5%（部分国有大行H股股息率超6%），显著高于10年期国债收益率（约1.65%）。2025年开年至5月6日， 指数年内上涨5%，不仅大幅跑赢中证银行指数和沪深300，而且领先科创50，表现优于大部分自主可控产业链。 | 序号 证券代码 | | 证券名称 | | 区间涨跌幅 | | | --- | --- | --- | --- | --- | --- | | | | | | [起始交易目期 [截止交易日期] | 20250102 20250506 | | | | | M | [单位] % | | | 1 | 931039.CSI | | 银行AH ≥ | | | | 2 | 000688.SH | | 科创50 ~ | | | | 3 | 399986.SZ | | 中证银行 四 | ...

广发证券资深金工分析师 张钰东 SAC: S0260522070006 SAC: S0260517080003 chenyuanwen@gf.com.cn 广发金工安宁宁陈原文团队 摘要 ETF市场概况： 指数化投资理念愈发受到投资者认可，ETF产品凭借透明、低费率、交易便捷等优势，成为居民资产配置的重要工具，ETF 规模持续创新高，ETF资金流变动逐渐成为市场中的关注重点。 ETF交易机制特点： ETF具有独特的双层交易机制，即一级市场的申购赎回和二级市场的买卖交易，一级申赎指用一篮子股票换取ETF份 额，申赎会直接增减ETF的总份额。本报告旨在针对申赎导致的ETF资金流数据，探索用于ETF轮动的配置效果。 zhangyudong@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发证券 资深金工分析师 陈原文 风险提示： 本专题报告所述模型用量化方法通过历史数据统计、建模和测算完成，所得结论与规律在市场政策、环境变化时可能存在失效风 险；策略在市场结构及交易行为的改变时有可能存在策略失效风险；因量化模型不同，本报告提出的 ...

广发证券资深金工分析师 张钰东 SAC: S0260522070006 zhangyudong@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发证券 资深金工分析师 陈原文 SAC: S0260517080003 chenyuanwen@gf.com.cn 广发金工安宁宁陈原文团队 摘要 ETF市场概况： 指数化投资理念愈发受到投资者认可，ETF产品凭借透明、低费率、交易便捷等优势，成为居民资产配置的重要工具，ETF 规模持续创新高，ETF资金流变动逐渐成为市场中的关注重点。 ETF交易机制特点： ETF具有独特的双层交易机制，即一级市场的申购赎回和二级市场的买卖交易，一级申赎指用一篮子股票换取ETF份 额，申赎会直接增减ETF的总份额。本报告旨在针对申赎导致的ETF资金流数据，探索用于ETF轮动的配置效果。 ETF申赎资金流因子构建： 根据资金维度的不同，可以独立计算单只ETF的资金特征，也可以汇总跟踪相同指数的不同的ETF的资金流数 据，还可以基于PCF清单中的成分股名单及其权重，将ETF的资金流数据下沉到具体的股票 ...

当ETF赛道深陷费率战与规模焦虑时，中证A500指数却以另类姿态撕开市场——这只诞生即被贴上"新锐"标 签的宽基指数，凭借对科创属性与中小市值的倾斜性覆盖，成为近两年机构博弈"贝塔收益"的主战场。 除了密集成立的指数基金以外，截至今年4月，全市场已有26只指数增强产品参与竞逐，不同产品之间分化 剧烈：两只成立时间间隔不到一个月的A500指数增强基金，目前的超额收益差值已经接近10%。 归根结底，A500指数"市值+行业双轮筛选"的编制原则，使得成份股市值和流动性分层显著，为量化模型留 足了"翻石头"的空间。因此，在选择A500指数增强基金时，基金经理的投资能力与增强策略变得至关重 要。 华安基金量化投资部助理总监、基金经理张序的突围密码，藏在八年磨一剑的"行业轮动+多因子"双擎模型 里。通过对行业轮动的深度理解和持续迭代，其管理的华安事件驱动量化基金自2020年执掌以来，连续五 年跑赢偏股混基指数，年化超额收益达9.3%，无论在公募量化还是主动股基均排名前1%。 而当市场还在争论主动量化与被动投资的边界时，华安基金已悄然完成中证A500产品线的战术合围。继 2024年精准卡位A500ETF之后，再次推出了由张 ...