证 券 研 究 报 告 杠杆资金&股票型ETF净流入大幅收缩 ——流动性&交易拥挤度&投资者温度计周报 2026年1月5日 证券分析师：姚佩 执业编号：S0360522120004 邮箱：yaopei@hcyjs.com 联系人：朱冬墨 邮箱：zhudongmo@hcyjs.com 本报告由华创证券有限责任公司编制 卖的出价或询价。本报告所载信息均为个人观点，并不构成对所涉及证券的个人投资建议。 请仔细阅读PPT后部分的分析师声明及免责声明。 @2021 华创 版权所有 核心结论 证 券 研 究 报 告 • 资金流动性： 证监会审核华创证券投资咨询业务资格批文号：证监许可（2009）1210 号 2 1）资金供给端收缩：偏股型公募新发规模下降、杠杆资金&股票型ETF大幅收缩转向净流出、回购金额仍处于历史 低位； 2）资金需求端收缩：股权融资&产业资本净减持收缩至均处历史中位，南向资金转向净流出。 • 交易拥挤度：以过去四周成交额占比/市值占比（较全A）作为衡量主题行业交易热度的表征指标来看，本周热度 分位（下同）上行行业主要为：央企+18pct至57%、家电+7pct至52%、光伏+6pct至65%；下行行业 ...

Liquidity - Leverage funds net inflow has returned to historical highs, with net inflow of 397 billion CNY, ranking in the 91st percentile over the past three years[7] - The new issuance of equity public funds increased to 94.4 billion CNY, up from 43 billion CNY, ranking in the 76th percentile[8] - Stock buybacks amounted to 9 billion CNY, up from 7 billion CNY, ranking in the 18th percentile[26] Demand - Equity financing reached 221 billion CNY, ranking in the 84th percentile, while net reduction in industrial capital was 126 billion CNY, ranking in the 92nd percentile[29] - Southbound capital net inflow dropped to 23 billion CNY, ranking in the 16th percentile[42] - The total market value of restricted shares released was 1921.3 billion CNY, significantly up from 349.2 billion CNY, ranking in the 98th percentile[39] Trading Congestion - The trading heat for central enterprises increased by 17 percentage points to 44%, while the construction materials sector rose by 10 percentage points to 71%[60] - The media sector saw a decline of 33 percentage points to 36%, and the computer sector decreased by 11 percentage points to 18%[68] Investor Sentiment - Retail investor net inflow decreased to 1034.2 billion CNY, down by 397.3 billion CNY from the previous value, ranking in the 51.3 percentile over the past five years[2] - Overall market strength was observed with major indices achieving eight consecutive days of gains, indicating a positive market sentiment[74]

证 券 研 究 报 告 股票型ETF净流入创今年4月以来新高 ——流动性&交易拥挤度&投资者温度计周报 2025年12月22日 证券分析师：姚佩 执业编号：S0360522120004 邮箱：yaopei@hcyjs.com 联系人：朱冬墨 邮箱：zhudongmo@hcyjs.com 本报告由华创证券有限责任公司编制 卖的出价或询价。本报告所载信息均为个人观点，并不构成对所涉及证券的个人投资建议。 请仔细阅读PPT后部分的分析师声明及免责声明。 @2021 华创 版权所有 核心结论 证 券 研 究 报 告 • 资金流动性： 证监会审核华创证券投资咨询业务资格批文号：证监许可（2009）1210 号 2 1）资金供给端扩张：偏股型公募新发持续收缩、杠杆资金净流入规模下降、股票型ETF净申购大幅放量创今年4月 以来新高、回购金额仍处于历史低位； 2）资金需求端收缩：股权融资&产业资本净减持&南向资金均出现扩张，其中产业资本净减持规模上升至历史高位。 • 交易拥挤度：以过去四周成交额占比/市值占比（较全A）作为衡量主题行业交易热度的表征指标来看，本周热度 分位（下同）上行行业主要为：保险+21pct至39%、轻工 ...

Liquidity - The supply side of funds is expanding, with net inflows of leveraged funds increasing to 196 billion CNY, placing it in the 75th percentile over the past three years[10] - The demand side is contracting, with equity financing dropping to 72 billion CNY, which is in the 41st percentile over the past three years[10] - Southbound funds experienced a net outflow of 31.1 billion CNY, marking the first net outflow in six months[41] Trading Congestion - The trading heat for the communication sector increased by 24 percentage points to 76%, while the military industry rose by 23 percentage points to 89%[2] - The chemical sector saw a decline of 40 percentage points to 47%, and the photovoltaic sector decreased by 24 percentage points to 56%[2] Investor Sentiment - Retail investors saw a net inflow of 112.4 billion CNY, up by 166.6 billion CNY from the previous value, placing it in the 61.5th percentile over the past five years[2] - The search interest for A-shares on social media has returned to a high level, indicating increased investor engagement[2] Fundraising and Buybacks - The total amount of stock buybacks fell to 9.5 billion CNY, down from 57.7 billion CNY, which is in the 21st percentile over the past three years[25] - The total equity financing amount was 71.7 billion CNY, with IPOs contributing 12.7 billion CNY and refinancing accounting for 59.1 billion CNY[28]

Group 1: Liquidity Trends - The supply side of funds shows a slight decrease in newly established equity public funds, while leveraged and ETF funds are experiencing a reversal in their differentiation trend, with net inflows of leveraged funds recovering and significant outflows from stock ETFs[2] - The demand side of funds has slightly contracted, with both equity financing and industrial capital net reduction expanding, while southbound funds have shown a contraction, with a cumulative net inflow exceeding 700 billion over the past six months[2] Group 2: Trading Congestion - The trading heat index indicates that the media sector has increased by 23 percentage points to 73%, light industry by 18 percentage points to 60%, and military industry by 9 percentage points to 40%; conversely, the healthcare services sector has decreased by 12 percentage points to 43%, non-ferrous metals by 12 percentage points to 32%, and brokerage firms by 10 percentage points to 2%[2] Group 3: Investor Sentiment - Overall market sentiment has shown a cautious rebound, with retail investor net inflows into A-shares amounting to 47.37 billion, a significant decrease of 158.04 billion from the previous value, placing it at the 9.0% percentile over the past five years[2] - The trend of public fund clustering has strengthened, with a focus on value and consumer sectors[2]

Liquidity - The supply side of funds is expanding, with equity public offerings rebounding to 111 billion yuan, up from 59 billion yuan, representing an increase to the 82nd percentile over the past three years[11] - The net inflow of southbound funds reached a historical high of nearly 700 billion yuan over the past six months, with a weekly net inflow of 353.1 billion yuan[44] - The demand side is slightly contracting, with equity financing dropping to 81 billion yuan from 259 billion yuan, at the 46th percentile over the past three years[32] Trading Congestion - The trading heat in the chemical industry increased by 42 percentage points to 79%, while the insurance sector decreased by 17 percentage points to 16%[62] - Media sector trading heat rose by 13 percentage points to 47%, while central enterprises fell by 14 percentage points to 26%[62] Investor Sentiment - Retail investor net inflow reached 205.4 billion yuan, an increase of 633.3 billion yuan from the previous value, placing it in the 93.7th percentile over the past five years[2] - The overall market saw a correction, with the Shanghai Composite Index dropping 2.5% to below 3900 points on November 21[78] - The search heat for A-shares on social media platforms returned to a high not seen since August, indicating increased investor interest[78]

Group 1: Liquidity and Fundraising - The issuance of actively managed equity public funds reached a new high since January 2023, with new issuance at 199 billion yuan, compared to 223 billion yuan previously, maintaining a 96% historical percentile[10] - Southbound capital has seen a cumulative net inflow of nearly 640 billion yuan over the past six months, with a weekly net inflow of 354.7 billion yuan, placing it at the 93% historical percentile[42] - The total amount of equity financing last week was 103 billion yuan, which is at the 53% historical percentile, including 35.9 billion yuan from IPOs and 67.1 billion yuan from refinancing[30] Group 2: Market Trends and Investor Sentiment - The Shanghai Composite Index fluctuated around 4000 points, while the search interest in A-shares on social media platforms has declined overall[74] - Retail investor net inflow in the A-share market was 110.96 billion yuan, down 33.81 billion yuan from the previous value, placing it at the 59.2% historical percentile[12] - The trading heat for the media sector increased by 17 percentage points to 26%, while the electronic sector decreased by 11 percentage points to 43%[67] Group 3: Margin Trading and Capital Flow - The net inflow of margin trading funds significantly decreased to approximately 59.9 billion yuan, down from 290.9 billion yuan previously, placing it at the 57% historical percentile[16] - The total margin trading balance exceeded 2 trillion yuan, with a proportion of 2.54% of the market capitalization, at the 96% historical percentile[16] - The net inflow in the electric new energy sector was 107.5 billion yuan, while the non-bank financial sector saw a net outflow of 21.3 billion yuan[24]

Quantitative Models and Construction - **Model Name**: Industry Allocation Model Based on Profit Growth Rate **Model Construction Idea**: The model uses profit growth rate as the primary criterion for industry selection, supplemented by valuation and trading crowding metrics as risk indicators[7][27][29] **Model Construction Process**: 1. **Profit Growth Metrics**: - Single-quarter net profit year-on-year growth rate - Marginal change in single-quarter net profit year-on-year growth rate Formula for marginal change: $ \text{Marginal Change} = \text{2025 Q3 Single-quarter YoY Growth} - \text{2024 Q3 Single-quarter YoY Growth} $[15][29] 2. **Valuation Metric**: - Historical PE_TTM percentile (2020 to present) is used to measure valuation levels across industries[18][21][29] 3. **Trading Crowding Metric**: - Standard deviation of turnover rate over the past three months is calculated to assess trading crowding[6][24][29] 4. **Comprehensive Scoring**: - Each metric is ranked, and weights are assigned: - Profit growth metrics: 0.3 each - Risk metrics (valuation and trading crowding): 0.2 each Formula for comprehensive scoring: $ \text{Comprehensive Score} = 0.3 \times \text{Net Profit YoY Growth} + 0.3 \times \text{Marginal Change} + 0.2 \times \text{Valuation Percentile} + 0.2 \times \text{Turnover Rate Std Dev} $[31][32] **Model Evaluation**: The model effectively identifies industries with high profit growth and moderate risk levels, providing actionable allocation recommendations[7][27][32] Model Backtesting Results - **Industry Allocation Model**: - Portfolio return: 2.38% - Benchmark (Wind All A Index) return: 0.63% - Excess return: 1.75%[7][32] Quantitative Factors and Construction - **Factor Name**: Profit Growth Rate **Factor Construction Idea**: Measures industry profitability through single-quarter net profit growth and marginal changes in growth rates[7][29] **Factor Construction Process**: 1. Single-quarter net profit year-on-year growth rate 2. Marginal change in single-quarter net profit year-on-year growth rate Formula: $ \text{Marginal Change} = \text{2025 Q3 Single-quarter YoY Growth} - \text{2024 Q3 Single-quarter YoY Growth} $[15][29] **Factor Evaluation**: Effectively captures industries with strong profitability and growth momentum[7][29] - **Factor Name**: Valuation Percentile **Factor Construction Idea**: Uses historical PE_TTM percentiles to compare valuation levels across industries[18][21] **Factor Construction Process**: 1. Calculate PE_TTM for each industry 2. Determine historical percentile (2020 to present) for PE_TTM values[18][21] **Factor Evaluation**: Provides a standardized comparison of valuation levels across industries, mitigating biases from absolute PE differences[21][29] - **Factor Name**: Turnover Rate Standard Deviation **Factor Construction Idea**: Measures trading crowding by assessing the volatility of turnover rates over the past three months[6][24] **Factor Construction Process**: 1. Calculate daily turnover rates for each industry over the past three months 2. Compute standard deviation of turnover rates[6][24] **Factor Evaluation**: Identifies industries with extreme trading behaviors, serving as a risk indicator[6][24] Factor Backtesting Results - **Profit Growth Rate Factor**: - Steel: 203.31% YoY growth, 380.75% marginal change[10][15] - Electronics: 57.42% YoY growth, 59.99% marginal change[10][15] - Media: 58.63% YoY growth, 82.75% marginal change[10][15] - Defense: 29.52% YoY growth, 83.60% marginal change[10][15] - Utilities: 17.77% YoY growth, 19.81% marginal change[10][15] - **Valuation Percentile Factor**: - Steel: 99.72%[21][29] - Electronics: 98.94%[21][29] - Media: 90.40%[21][29] - Defense: 97.10%[21][29] - Utilities: 55.31%[21][29] - **Turnover Rate Standard Deviation Factor**: - Steel: 50.48%[6][29] - Electronics: 96.51%[6][29] - Media: 84.50%[6][29] - Defense: 82.79%[6][29] - Utilities: 25.21%[6][29]

Group 1: Liquidity and Fund Flow - The issuance of equity mutual funds reached a new high since March this year, with new shares totaling 22.35 billion units, up from 6.04 billion units previously, marking a significant increase[12] - Net inflow of leveraged funds slightly increased, with a total margin balance exceeding 2 trillion yuan, placing it in the 99th percentile over the past three years[16] - Southbound capital saw a cumulative net inflow of over 600 billion yuan in the past five months, with a weekly net inflow of 25.18 billion yuan, ranking in the 82nd percentile historically[44] Group 2: Trading Activity and Investor Sentiment - The trading heat for coal increased by 28 percentage points to 49%, while central enterprises rose by 27 percentage points to 59%, and banks by 25 percentage points to 66%[2] - The overall market saw a net inflow of retail investor funds amounting to 144.78 billion yuan, an increase of 76.52 billion yuan from the previous value, placing it in the 81.1 percentile over the past five years[2] - The Shanghai Composite Index broke through 4,000 points on October 28, leading to an increase in A-share search interest on social media[2] Group 3: Fund Demand and Corporate Actions - Equity financing amounted to 18.47 billion yuan, with IPOs contributing 9.17 billion yuan and refinancing 9.30 billion yuan, ranking in the 72nd percentile historically[30] - The net reduction in industrial capital was 72.2 billion yuan, a decrease from the previous 93.2 billion yuan, indicating a decline in net selling activity[33] - The total amount of repurchases by listed companies decreased to 940 million yuan from 1.31 billion yuan, placing it in the 22nd percentile historically[27]

Group 1: Liquidity and Fund Flow - The supply side of funds continues to shrink, with public fund issuance maintaining historical median levels, while leveraged funds have seen a net inflow returning to high levels[3] - Equity financing has expanded to a historical high, reaching a new peak since July this year, with southbound funds accumulating a net inflow of over 570 billion CNY in the past five months[3][10] - The net inflow of margin financing reached approximately 267.3 billion CNY, marking a significant turnaround from a previous outflow of 140 billion CNY, placing it in the 83rd percentile over the past three years[17] Group 2: Trading Congestion and Market Sentiment - The trading heat for insurance, central enterprises, and banks has increased, with insurance rising by 32 percentage points to 48%, central enterprises by 26 percentage points to 49%, and banks by 25 percentage points to 56%[3][57] - Conversely, the trading heat for electronics, home appliances, and media has decreased, with electronics down 23 percentage points to 53%, home appliances down 17 percentage points to 59%, and media down 14 percentage points to 13%[3][70] - Retail investor net inflow in the A-share market was 682.6 billion CNY, a decrease of 1,225.1 billion CNY from the previous value, placing it in the 23.1 percentile over the past five years[3] Group 3: ETF and Repurchase Trends - Stock-type ETFs experienced a net outflow of 299.2 billion CNY, a significant drop from a previous net inflow of 260.8 billion CNY, placing the sentiment at a low point in the past three years[24] - The amount of repurchase by listed companies decreased to 13.1 billion CNY from 16.0 billion CNY, which is in the 36th percentile over the past three years[27] Group 4: Sector Performance - The net inflow in the electronics sector was 148.6 billion CNY, while the automotive sector saw a net outflow of 13.5 billion CNY[23] - The net inflow in the communication sector was 46.2 billion CNY, with a net outflow in the pharmaceutical sector of 3.0 billion CNY[23]