申万金工 ETF 组合 202510 相关研究 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 研究支持 白皓天 A0230525070001 baiht@swsresearch.com 联系人 沈恩逸 (8621)23297818× shensy@swsresearch.com 申万宏源研究微信服务 2025 年 10 月 10 日 请务必仔细阅读正文之后的各项信息披露与声明 宏观行业组合：针对所有标记为"行业主题"的 ETF，选择成立时间 1 年以上、当期规模 ○ 2 亿以上的产品跟踪的行业主题指数，每个月根据历史数据计算经济、流动性、信用的敏 感性得分，然后根据最新的经济、流动性、信用判断指标调整得分方向后进行加总，最终 得到排名前 6 的行业主题指数,然后取对应规模最大的 ETF 进行等权配置。当前经济前瞻 指标开始回升、流动性指标略偏紧、信用指标仍向好，组合整体转向均衡，消费比例提升。 宏观+动量行业组合：基于宏观类配置策略主要存在偏左侧的特点，胜率偏低而赔率较高, ● ...

2025年9月22日，亚洲时区，比特币市场如同被突如其来的急刹车甩入前座，屏幕上血红的K线与交易 群里"冲冲冲"的呐喊形成鲜明对比，两种极端情绪的碰撞，预示着一场不同寻常的动荡。加密货币的领 头羊，比特币，在11.4万美元附近瞬间崩盘，短短几分钟内，市值蒸发大半。期货市场上，17亿美元的 多头头寸顷刻间化为乌有，强平提示如狂风暴雨般涌来。 "这是不是一个拐点？"群里有人抛出疑问，我却不动声色地回复："别急，先看谁先认输，再看谁补 仓。市场节奏已非上周的直线冲刺。" 三天后的9月26日，高盛的分析师Paolo Schiavone在一份内部报告中，一针见血地指出了市场的变化。 他认为，过去三周，风险偏好如同踩了氮气加速，动量策略表现强劲，但本周的节拍已然改变。他将周 一那记"急刹车"定性为第一个真正的信号，并强调，比特币此次已不再是跟随者，而是领头羊。他的原 话更是尖锐："跌破200日均线，风险便会陡增。" 事后复盘，盘后数据显示，10.9万美元附近出现了承接的现货买盘，挂单如同精心守护的防线。技术派 将其视为支撑，而情绪派则称之为"护城河"。当天晚些时候，以太坊及主流山寨币也未能幸免，纷纷出 现下滑。社交媒体上 ...

Group 1: Core Insights - The current industry allocation of the Bank of China multi-strategy system includes Electronics (11.6%), Comprehensive (11.6%), Non-Bank Financials (9.4%), and others, indicating a diversified investment approach [1] - The average weekly return for the CITIC primary industries is 1.8%, with the best-performing sectors being Communication (17.3%), Electronics (12.2%), and Computer (7.0%) [3][10] - The cumulative return of the industry rotation composite strategy this year is 25.5%, outperforming the CITIC primary industry equal-weight benchmark return of 21.6% by 3.9% [3] Group 2: Industry Performance Review - The worst-performing sectors this week include Coal (-2.7%), Textile and Apparel (-2.4%), and Banking (-1.7%) [3][10] - The current PB valuation for the Retail Trade, Defense Industry, Media, and Computer sectors exceeds the 95% percentile of the past six years, triggering a high valuation warning [12][13] Group 3: Strategy Performance - The highest excess return strategy this year is the S2 "Unfalsified Sentiment Tracking Strategy," with an excess return of 14.7% [3] - The top three industries based on the S1 "High Prosperity Industry Rotation Strategy" are Non-Bank Financials, Agriculture, and Non-Ferrous Metals [15][16] - The current macro indicators favor the following six industries: Comprehensive Finance, Computer, Media, Defense Industry, Comprehensive, and Non-Bank Financials [24]

Quantitative Models and Construction - **Model Name**: Active and Passive Rebalancing Metrics **Construction Idea**: Decompose quarterly portfolio weight changes into active discretionary decisions and passive return-driven changes to analyze fund manager behavior [38][40][42] **Construction Process**: - Formula: $W_{i,j,t}-W_{i,j,t-1}=\underbrace{W_{i,j,t}-\widehat{W}_{i,j,t}}_{\text{Active}_{i,j,t}}+\underbrace{\widehat{W}_{i,j,t}-W_{i,j,t-1}}_{\text{Passive}_{i,j,t}}$ $\widehat{w}_{i,j,t}=\frac{\left(1+r_{i,t}\right)\,w_{i,j,t-1}}{\sum\left(1+r_{i,t}\right)\,w_{i,j,t-1}}$ - **Active**: Residual weight changes after removing mechanical effects, capturing discretionary rebalancing [40][42] - **Passive**: Weight changes driven by market returns assuming no trading activity [40][41] **Evaluation**: Captures fund managers' preferences for managing portfolio concentration and distinguishes between minor adjustments and large-scale asset rotation [42][43] - **Model Name**: Threshold Demand **Construction Idea**: Focus on concentrated positions exceeding 2% of fund AUM to measure diversification-driven demand [82][83] **Construction Process**: Formula: $Threshold Demand_{i,t}=\frac{\sum_{j}\left(\widehat{w}_{i,j,t}-w_{i,j,t-1}\right)\cdot I(w_{i,j,t-1}>2\%)\cdot\text{Shares}_{i,j,t-1}}{\sum_{j}\text{Shares}_{i,j,t-1}}$ - Uses only concentrated positions (10% of fund holdings) where portfolio size and concentration matter [82][83] **Evaluation**: Effectively isolates positions where diversification constraints are most impactful [83] - **Model Name**: Fitted Demand **Construction Idea**: Use spline coefficients from weight ranges to construct demand metrics based on rebalancing intensity [83][84] **Construction Process**: Formula: $Fitted Demand_{i,t}=\frac{\sum_{j}\left(\widehat{W}_{ij,t}-W_{ij,t-1}\right)\cdot\beta_{weight}\cdot\text{Shares}_{i,j,t-1}}{\sum_{j}\text{Shares}_{i,j,t-1}}$ - $\beta_{weight}$ represents rebalancing intensity coefficients for different weight ranges [83][84] **Evaluation**: Focuses on positions within 2%-6.5% of fund AUM, capturing nuanced rebalancing behavior [83][84] Model Backtesting Results - **Active and Passive Metrics**: - Contemporaneous Active adjustment for 1% Passive weight change: -0.234% [44][49] - Next-quarter Active adjustment for 1% Passive weight change: -0.171% [44][49] - **Threshold Demand**: - Standard deviation: 0.15% - Predicts equity fund sell probability increase by 1.28%-2.20% [85][86] - **Fitted Demand**: - Standard deviation: 0.03% - Predicts equity fund sell probability increase by 0.5%-0.67% [85][86] Quantitative Factors and Construction - **Factor Name**: Rebalancing Demand **Construction Idea**: Aggregate passive-driven portfolio changes to measure demand for large-cap stocks [81][82] **Construction Process**: Formula: $Rebalancing Demand_{i,t}=\frac{\sum_{j}\left(\widehat{w}_{i,j,t}-w_{i,t-1}\right)\cdot\text{Shares}_{i,j,t-1}}{\sum_{j}\text{Shares}_{i,j,t-1}}$ - Aggregates passive-driven changes across all observed mutual funds [81][82] **Evaluation**: Predicts short-term price pressure and subsequent reversals for large-cap stocks [82][88] Factor Backtesting Results - **Rebalancing Demand**: - Predicts short-term returns: -0.44% (t=-3.21) for first 35 trading days [88][89] - Predicts subsequent reversals: +0.27% (t=2.60) for remaining quarter [88][89] - **Threshold Demand**: - Predicts short-term returns: -0.348% (t=-3.719) for first 35 trading days [88][89] - Predicts subsequent reversals: +0.178% (t=2.508) for remaining quarter [88][89] - **Fitted Demand**: - Predicts short-term returns: -0.460% (t=-3.598) for first 35 trading days [88][89] - Predicts subsequent reversals: +0.253% (t=2.616) for remaining quarter [88][89] Additional Observations - **Impact on Momentum Portfolios**: - Adjusting for rebalancing demand improves momentum portfolio returns by 230% for large-cap stocks [114] - Suggests diversification-driven demand weakens traditional momentum strategies [114] - **Price Pressure and Reversals**: - Large-cap stocks experience V-shaped return patterns due to rebalancing demand [93][94] - Short-term price pressure followed by reversals aligns with non-fundamental demand effects [93][94]

Core Viewpoint - Goldman Sachs' trading department suggests that the recent significant drop in momentum stocks may present a buying opportunity, as historical data indicates a high probability of rebound following similar declines [1][3] Group 1: Momentum Strategy Insights - The momentum strategy focuses on buying recently rising stocks and shorting underperforming ones, with recent pullbacks attributed to declines in long positions rather than short positions [3] - Goldman Sachs' basket of momentum stocks fell 13% from August 6 to August 19, approaching historical highs before the drop [3][6] - Technical analysis indicates that the momentum stocks are nearing oversold territory and approaching the lower boundary of a regression channel, with a critical support level at the 200-day moving average [3] Group 2: Market Concerns and Stock Performance - Recent significant declines in stocks such as Palantir (PLTR.US), AMD (AMD.US), and Supermicro (SMCI.US) were noted, with respective drops of 12%, 6%, and 6%, while Nvidia (NVDA.US) only fell 2.8% [6] - Concerns in the market include soaring valuations and excessive positioning, with the Nasdaq 100 trading at 27 times expected profits for the next 12 months, significantly above the long-term average [6] - A report from MIT highlighted that most generative AI projects aimed at driving revenue growth have failed to meet expectations, with only 5% achieving profitability, adding pressure on momentum stocks [6] Group 3: Historical Context and Valuation - The recent drop in Goldman Sachs' High Beta momentum stocks marks the fourth occurrence of a decline exceeding 10% since 2025, reflecting a challenging trading environment for this factor throughout the year [7] - Despite the potential tactical opportunity presented by the recent downturn, high momentum stocks are noted to be at historically expensive valuation levels compared to low momentum stocks [7]

Summary of Key Points from Conference Call Industry Overview - The macroeconomic environment is characterized by all-time highs in global markets, but underlying issues are emerging, particularly in the U.S. and Europe [1][2] - The divergence between headline index performance and investor performance is notable, with market-neutral and systematic quant strategies facing challenges [3][4] Macro Insights - Upcoming Federal Reserve decisions and employment data are expected to influence interest rates, consumer behavior, and inflation trends [5][6] - Inflation is becoming a pressing concern, with recent CPI data indicating rising prices in various consumer sectors, including household goods and clothing [19][20] Micro Insights - Major tech companies like Microsoft, Meta, Apple, and Amazon are set to report earnings, which will significantly impact market sentiment and AI capital expenditure expectations [5][6] - The recent profit warning from Novo Nordisk, resulting in a ~25% stock drop, highlights the volatility in crowded stocks [5][6] Trade and Tariff Developments - Trade deals, particularly with Japan and Europe, have had mixed responses, revealing structural pain points in industries like automotive [9][10] - The removal of uncertainty regarding tariffs has shifted focus from fear of rates to the actual costs of tariffs, affecting prices, margins, and earnings [9][10] Currency and FX Impacts - The U.S. dollar is experiencing its weakest start to a year in 50 years, impacting earnings for both U.S. and European companies [11][12] - Currency fluctuations are expected to be a significant factor in the upcoming earnings season, alongside tariff impacts [11][12] M&A and Market Activity - There is a potential resurgence in M&A activity as geopolitical concerns and macroeconomic headwinds ease, with a focus on scale, geographical exposure, and diversification [15][16] - Recent IPOs, such as Galderma, have shown strong performance post-listing, indicating a healthy appetite for quality assets [16][17][18] Valuation Trends - The return of unicorns and AI-related startups is noted, with significant value creation in private markets [18] - Recent IPOs have created substantial value for investors, with some companies seeing stock price increases of 100% to 300% since listing [18] Risks and Concerns - There are concerns about retail euphoria and the potential for a market correction, particularly if inflation continues to rise and long-term bond yields break out [7][8] - The social and employment impacts of AI advancements are less discussed but pose significant risks for workforce transitions [7][8] Conclusion - The market is navigating a complex landscape of macroeconomic indicators, corporate earnings, and geopolitical developments, with a cautious outlook on inflation and potential market corrections ahead.

Group 1 - Quantitative funds faced their worst monthly loss in nearly five years, with a cumulative loss of 3.6% in July and a 5% decline since early June [1] - High volatility stocks, crowded long positions, and momentum trading were identified as the main factors dragging down the performance of quantitative funds [1] - Retail investors have returned to high short-interest stocks, driving a new round of short squeezes, which further exacerbated the drawdown of quantitative strategies [1] Group 2 - The "most short vs. least short" combination from Goldman Sachs rose by 2%, marking the best monthly return since January 2021, with significant retail participation in high short-interest stocks [3] - Stocks like Kohl's saw increases of over 100%, reminiscent of the meme stock era, with the Russell 2000 index significantly outperforming its peers during the previous meme stock surge [3][6] - Historical data indicates that when momentum strategy volatility reaches high levels, it typically signals a period of consolidation until volatility decreases [5] Group 3 - Rich Privorotsky expressed concerns about systemic risks facing quantitative strategies, recalling the rapid liquidation process during the August 2007 quant crisis [4] - The total exposure of quantitative funds remains at historical highs, largely due to the proliferation of quant-driven strategies, with market volatility in Japan exacerbating the situation [4] - Despite severe drawdowns, quantitative funds have recorded positive returns year-to-date, indicating potential for recovery in the medium to long term, although short-term rebounds in high-volatility stocks may continue to pressure momentum trading [6]

Group 1: Market Movements - Gold prices experienced a slight increase, reaching $3,323.82, with a peak of $3,330 during trading [1] - The U.S. stock indices saw modest gains, with the Dow Jones up 0.43% to 44,650.64 points, the S&P 500 rising 0.27% to 6,280.46 points, and the Nasdaq increasing 0.09% to 20,630.66 points, marking new highs for the S&P 500 and Nasdaq [2] Group 2: Tariff Developments - President Trump announced a 35% tariff on goods imported from Canada starting August 1, and sent tariff letters to 14 countries with rates ranging from 25% to 40% [5] - Trump also indicated plans to impose a 50% tariff on all Brazilian products starting August 1, 2025 [5] Group 3: Federal Reserve Pressure - Trump has been pressuring the Federal Reserve to lower interest rates, claiming current rates are too high and cost the U.S. $360 billion annually in refinancing [6] - JPMorgan CEO Jamie Dimon suggested a higher likelihood of interest rate hikes than the market anticipates, while St. Louis Fed President Bullard warned that the true impact of tariffs on inflation may not be felt until late 2023 or even 2026 [9][10] Group 4: International Conflicts - Russia launched a large-scale attack on Ukrainian military facilities, with significant airstrikes reported in Kyiv and other regions [12] - The U.S. is set to provide $300 million in military aid to Ukraine, potentially including advanced defense systems [14][15] - Tensions in the Middle East escalated, with Houthi forces claiming multiple attacks on Israeli targets and a blockade on shipping related to Israel [16][18] - The conflict in Gaza intensified, resulting in numerous casualties from Israeli airstrikes [19]

Market Overview - The three major U.S. stock indices experienced slight gains, with the S&P 500 and Nasdaq reaching new highs [1][3] - The Dow Jones increased by 0.43% to 44,650.64 points, the S&P 500 rose by 0.27% to 6,280.46 points, and the Nasdaq gained 0.09% to 20,630.66 points [3] Economic Insights - Goldman Sachs warns that the U.S. stock market bull run may face risks in the second half of the year, including economic growth shocks, interest rate volatility, and a weakening dollar [1][5] - The Federal Reserve's balance sheet may not need to shrink as much as previously expected, with a target reserve level of $27 trillion compared to the current $33 trillion [5] Cryptocurrency Developments - Bitcoin prices surged, briefly surpassing $117,000, driven by investor interest in risk assets and short position liquidations [1][10] - Approximately $318 million in Bitcoin short positions were liquidated within 24 hours, leading to a rise in cryptocurrency-related stocks [10] Technology Sector Performance - Major tech stocks showed mixed results, with Tesla rising over 4%, while Amazon and Microsoft saw slight declines [6] - Tesla plans to expand its autonomous taxi service to the San Francisco Bay Area, pending regulatory approval [8] - Amazon is considering a multi-billion dollar investment in AI startup Anthropic to strengthen its competitive position in the AI sector [8] International Trade and Relations - Brazil's President Lula announced plans to negotiate tariffs with the U.S. following a proposed 50% tariff on Brazilian goods, with potential retaliatory measures if negotiations fail [12] - The U.S. is set to provide $300 million in military aid to Ukraine, which may include advanced weapon systems [14]

Market Overview - The three major U.S. stock indices experienced slight gains, with the S&P 500 and Nasdaq reaching new highs [2][5] - The Dow Jones increased by 0.43% to 44650.64 points, the S&P 500 rose by 0.27% to 6280.46 points, and the Nasdaq gained 0.09% to 20630.66 points [5][6] Bitcoin Performance - Bitcoin prices surged, briefly surpassing $117,000, driven by investor interest in risk assets and short position liquidations [3][13] - Approximately $318 million (about 2.28 billion RMB) in Bitcoin short positions were liquidated within 24 hours [14] Federal Reserve Insights - Federal Reserve Governor Waller suggested considering a rate cut in July and indicated that the Fed's balance sheet contraction may not need to be as significant as previously expected [7] - The White House expressed concerns over the Fed's transparency and independence, particularly regarding the lack of models explaining tariff impacts [7] Risks to the Bull Market - Goldman Sachs highlighted three major risks to the bull market in the second half of 2025: economic growth shocks, interest rate volatility, and a weakening dollar [7] - Morgan Stanley warned that the strong momentum strategy in U.S. stocks is facing a pullback, with significant declines observed since late June [7] Technology Sector Movements - Major tech stocks showed mixed performance, with Tesla rising over 4%, while Amazon and Microsoft saw slight declines [9][10] - Tesla's xAI launched a new AI model, Grok4, claiming it to be the most powerful model currently available [11] International Trade Developments - Brazil's President Lula announced plans to negotiate tariffs with the U.S. following a 50% tariff on Brazilian goods, with potential retaliatory measures if negotiations fail [15][16]