因子轮动速度边际回升 金融工程周报 基金市场回顾： 权益市场风格 2025年10月20日 周度报告 操作评级 中信五风格-稳定★☆☆ 金融工程组 张婧婕 Z0022617 010-58747784 gtaxinstitute@essence.com.cn 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 截至2025/10/17当周，通联全A（沪深京）、中证综合债与南 华商品指数周度涨跌幅分别为-3.39%、0.21%、-1.14%。 公募基金市场方面，近一周权益多头策略回撤，纯债收益占优， 中性策略产品表现分化，商品方面贵金属ETF涨幅较大，有色 金属ETF收益回调，能源化工与豆粕ETF净值延续走弱。 中信五风格方面，上周金融风格收涨，其余风格收跌，风格轮 动图显示相对强弱层面成长与消费风格边际转弱，指标动量层 面金融风格升幅显著。公募基金池方面，近一周周期风格基金 超额表现较优，其余风格基金平均收益跑输指数，从基金风格 系数走势来看产品对周期与消费风格偏移度边际提升，拥挤度 方面本周市场整体指标边际提高，当前周期风格位于历史偏高 拥挤区间。 中性策略方面，从当季合约基差（期货-现货）水 ...

Report Industry Investment Rating - Not provided in the report Core Viewpoints of the Report - The innovation of US ETF products continues, with the expansion of options and single - stock leverage products; the inflow of US stock ETFs has increased significantly, and the performance of mixed - allocation products is somewhat differentiated; the US ordinary public funds have different trends, with stock funds facing redemption pressure and some inflows into bond products [1] Summary by Directory 1. US ETF Innovation Products: Continuous Expansion of Options and Single - Stock Leverage Products - Last week, 32 new products were issued in the US, an increase in quantity [1][6] - BlackRock converted two over - the - counter active funds into ETFs, with an original scale of over $3 billion. The dynamic stock ETF invests in global stocks, and the disciplined volatility stock ETF focuses on low - volatility strategies, both with qualitative and quantitative features and a fee rate of about 0.4% [1][8] - The GraniteShares YieldBOOST product line continued to expand, with new products linked to Amazon and AMD. Defiance issued leveraged + option strategies and a long + end - of - day option overlay strategy product based on the Nasdaq 100 [8] - 12 single - stock leverage products were issued, all 2x leveraged, linked to various companies such as Unity Software, Goldman Sachs, etc. [8] - Dana issued 2 active ETFs, one focusing on high - concentration dividend stocks and the other on disruptive innovation technology companies [9] - Some bond products were also expanded, including high - yield bond ETFs, target - maturity bond products, and active credit bond products [9] 2. US ETF Dynamics 2.1 US ETF Funds: Increased Inflow of US Stock ETFs - Last week, the inflow of US stock ETFs approached $40 billion, a significant increase, and asset - allocation products also had obvious inflows [1][10] - iShares' S&P 500 ETF had a return, and factor - rotation ETFs, AI products, etc. had more inflows. Semiconductor leverage products continued to outflow, and ARKK outflowed over $2 billion [1][12] - Gold ETFs continued to have inflows, Vanguard's S&P 500 ETF had the largest continuous inflow, and the Russell 2000 ETF also began to have obvious inflows [13] 2.2 US ETF Performance: Differentiated Performance of Mixed - Allocation Products - Among mixed - allocation products, Pacer's timing strategy has performed poorly this year, with PTLC based on the S&P 500 having a year - to - date increase of less than 2%. Fixed - ratio products performed relatively better. WisdomTree's 1.5x leveraged NTSX had a gain close to 16%, similar to BlackRock's aggressive products [1][15] 3. Recent Fund Flows of US Ordinary Public Funds - In July 2025, the total amount of non - money public funds in the US was $22.57 trillion, a decrease of $0.12 trillion compared to June. Although the S&P 500 rose 2.17% in July, the scale of US domestic equity products decreased by 0.95%, indicating high redemption pressure [16] - From September 3rd to September 10th, US domestic equity funds outflowed about $22 billion in a single week, and have outflowed over $400 billion since the beginning of the year, while bond products had an inflow of about $4.8 billion [16]

Report Industry Investment Rating No information provided in the report. Core Viewpoints of the Report - Last week in the US, 37 new ETF products were issued, with an acceleration in issuance, including products that both increase and decrease concentration. The factor rotation ETF had inflows of over $1 billion, and Bitcoin products outperformed Ethereum products. In May 2025, the total non - money public funds in the US increased, and from July 2nd to 9th, domestic stock funds had outflows while bond products had inflows [2]. Summary According to the Table of Contents 1. US ETF Innovation Products: Products with Increased and Decreased Concentration Issued Simultaneously - 37 new products were issued last week, involving series products from multiple companies. Direxion, Leverage Shares, etc. expanded single - stock leveraged and inverse products. WEBs issued the Defined Volatility series products. Invesco and Janus Henderson issued bond products. Crossmark issued large - cap growth and value ETFs, and Defiance issued an AI and power infrastructure ETF. Roundhill expanded its weekly leveraged + dividend ETFs [5][6][7]. - Xtrackers issued an industry - diversified product, SPXD, which tracks the S&P 500 Diversified Sector Weight Index and distributes weights based on sub - industry revenues. Its first - largest weighted stock is Berkshire Hathaway, with a weight of about 3.7%, and the weights of other stocks are below 2%. Global X issued the PureCap series products to address US regulatory restrictions on ETF shareholding ratios [8][11][12]. 2. US ETF Dynamics 2.1 US ETF Funds: Factor Rotation ETF Inflows Exceeded $1 Billion - Last week, stock ETFs had inflows of over $16 billion, with similar inflows for domestic and international stocks. Bond ETFs had more domestic inflows than international ones, and Bitcoin and commodity ETFs continued to have inflows. The factor rotation products had single - week inflows of over $1 billion and their current scale has exceeded $20 billion. The top out - flowing products were mainly S&P 500 ETFs from State Street and BlackRock [13][14]. 2.2 US ETF Performance: Bitcoin Products Outperformed Ethereum - Since the beginning of this year, the cryptocurrency market has attracted attention. The total scale of relevant US ETFs has exceeded $150 billion. The BlackRock Bitcoin ETF is close to $90 billion, and the BlackRock Ethereum ETF exceeds $10 billion. Bitcoin has a year - to - date increase of about 25%, while Ethereum products have an increase of less than 10%, and BlackRock's products have relatively good performance [17]. 3. Recent Capital Flows of US Ordinary Public Funds - In May 2025, the total non - money public funds in the US were $21.91 trillion, an increase of $0.85 trillion from April 2025. The S&P 500 rose 6.15% in May, and the scale of domestic US equity products increased by 5.49%, slightly lower than the stock increase. From July 2nd to 9th, domestic US stock funds had total outflows of about $7.5 billion, and bond product inflows expanded to $7.58 billion [21].