ETF 基金周度跟踪（1208-1212） 本报告重点聚焦 ETF 基金市场表现，总结过去一周 ETF 基金市场、不同热门 细分类型 ETF 基金、创新主题及细分行业 ETF 基金的业绩表现和资金流动， 供投资者参考。 ❑ 市场表现： 本周（12 月 08 日-12 月 12 日）上证指数小幅收跌，多数股票 ETF 下跌。 其中，A 股成长 ETF 涨幅最大，规模以上基金平均上涨 3.81%。相反，港 股主题 ETF、港股红利 ETF 有较大下跌，规模以上基金分别平均下跌 3.03%、2.82%。 证券研究报告 | 基金研究（公募） 2025 年 12 月 13 日 A 股成长 ETF 表现强劲，资金流入 A 股大盘 ETF ❑ 资金流动： 资金流入 A 股大盘 ETF，全周资金净流入 90.80 亿元。相反，A 股 TMT ETF 和A股金融地产ETF出现资金流出，全周资金分别净流出71.39亿元、58.24 亿元。 ❑ 风险提示：图表中列示的数据结果仅为对市场及个基历史表现的客观描述， 并不预示其未来表现，亦不构成投资收益的保证或投资建议。 徐燕红 S1090524120003 xuyanhong@cms ...

11 月纯 ESG 策略超额收益 5.01% ——ESG 与央国企月度报告（2025 年 11 月） 2025 年 12 月 8 日 ESG 与央国企月度报告 分析师 马宗明 ：18600816533 ：mazongming_yj@chinastock.com.cn 分析师登记编码：S0130524070001 研究助理 方嘉成 相关研究 1.【银河 ESG】厚积薄发，志存高远——ESG 投资策 略解析与优化构建 2. 【银河 ESG】穿越市场周期变幻:ESG 舆情整合策略 新径 3.【银河 ESG】3 月纯 ESG 策略超额收益 2.32% 4.【银河 ESG】4 月 ESG 舆情整合策略超额收益为 5.86% www.chinastock.com.cn 证券研究报告 请务必阅读正文最后的中国银河证券股份有限公司免责声明 1 ⚫ ESG 筛选策略（沪深 300）：该策略是采用我们在 2023 年 12 月 8 日发布 的《厚积薄发，志存高远——ESG 投资策略解析与优化构建》报告中呈现的筛 选策略，不但充分考察了 ESG 所提供的增量风险信息，还结合了马科维兹资 产组合理论。详细内容可参考原报告。策略表现： ...

证券研究报告 | 基金研究（公募） 2025 年 11 月 8 日 港股红利收涨，资金主要流入港股 TMT ETF ETF 基金周度跟踪（1103-1107） 本报告重点聚焦 ETF 基金市场表现，总结过去一周 ETF 基金市场、不同热门 细分类型 ETF 基金、创新主题及细分行业 ETF 基金的业绩表现和资金流动， 供投资者参考。 ❑ 市场表现： 本周（11 月 3 日-11 月 7 日）股票 ETF 涨跌分化。其中，港股红利 ETF 和港股主题类 ETF（主要是央国企主题）涨幅靠前，规模以上基金平均上 涨 3.62%、3.51%。相反，港股医药生物 ETF 和 A 股医药生物 ETF 跌幅靠 前，规模以上基金分别平均下跌 3.37%、3.17%。 ❑ 资金流动： 资金大幅流入港股 TMT ETF，全周资金净流入 90.65 亿元。相反，A 股大 盘 ETF 资金大幅净流出 122.64 亿元。 ❑ 风险提示：图表中列示的数据结果仅为对市场及个基历史表现的客观描述， 并不预示其未来表现，亦不构成投资收益的保证或投资建议。 徐燕红 S1090524120003 xuyanhong@cmschina.com.c ...

Group 1 - The report indicates that the ESG strategy for central state-owned enterprises (SOEs) achieved an excess return of 5.09% in October 2025, highlighting the effectiveness of integrating ESG factors into investment strategies [1] - The ESG screening strategy based on the CSI 300 index reported a total return of 2% for the month ending October 31, 2025, with a maximum drawdown of -1% and a Sharpe ratio of 3.33 [3][6] - The ESG sentiment integration strategy also performed well, yielding a total return of 3% for the same period, with a maximum drawdown of -1% and a Sharpe ratio of 4.81 [7][8] Group 2 - The cumulative return for the ESG & central SOE strategy reached 89.78% since January 3, 2023, while the cumulative return for the central SOE strategy was 72.79% and for the ESG strategy was 95.40% [11] - In October 2025, the ESG & central SOE strategy had a monthly return of 5.59%, while the central SOE sector saw a return of 7.78% and the ESG sector returned 5.57% [11] - The report notes a decline in the number and issuance of ESG funds during the month, indicating a potential shift in market sentiment [11] Group 3 - Valuation metrics show that the price-to-earnings (P/E) ratio for the Wind All A index is at 22.39, while the P/E ratios for central SOEs and state-owned enterprises are 10.36 and 10.17, respectively [16] - The average daily trading volume for the Wind All A index was 21,521 billion yuan, while central SOEs had a trading volume of 933 billion yuan [16] - The national carbon market saw an increase in trading volume, with a total of 40.03 million tons traded in October 2025, although the closing price per ton decreased to 51.25 yuan [22]

Core Insights - The report indicates a pullback in the ESG strategy for central state-owned enterprises (SOEs) in September 2025, with various strategies experiencing declines in returns [1][10][11]. Group 1: ESG Strategy Monthly Observation - The ESG screening strategy (CSI 300) reported a total return of -2% for the month ending September 26, 2025, with a relative total return of -3%, a maximum gain of 1%, and a maximum loss of -3% [3][6]. - The ESG sentiment integration strategy (CSI 300) showed a total return of -1% for the same period, with a relative total return of -3%, a maximum gain of 2%, and a maximum loss of -4% [7][8]. Group 2: Market Performance - As of September 26, 2025, the cumulative return for the ESG & SOE strategy was 80.98%, while the SOE strategy alone had a cumulative return of 59.70%, and the ESG strategy had a cumulative return of 86.46% [11]. - The monthly performance for September showed a decline of -2.08% for the ESG & SOE strategy, -3.78% for the SOE sector, and -2.38% for the ESG sector, contrasting with a 1.17% increase for the entire A-share market [11]. Group 3: Valuation Situation - The price-to-earnings (P/E) ratio for the Wind All A index is at 22.12, while the P/E ratios for central SOEs and state-owned enterprises are 9.75 and 9.56, respectively [15]. - The price-to-book (P/B) ratio for the Wind All A index is 1.80, with central SOEs at 0.99 and state-owned enterprises at 1.09 [15]. Group 4: Carbon Market Trends - The national carbon market saw an increase in trading volume, with a total of 27.36 million tons traded in September 2025, while the closing price for carbon emission allowances dropped to 59.16 yuan per ton from 69.30 yuan per ton [19].

Group 1 - A-share market heat has surged, with trading volume and margin financing balance both exceeding 20 trillion yuan, and the "trillion market value club" expanding to 11 members with a total market value of nearly 18 trillion yuan, serving as the core driving force of the market [2][3] - The largest market value is held by Industrial and Commercial Bank of China (ICBC) at 2.5 trillion yuan, followed by Agricultural Bank of China and China Construction Bank, with notable positions held by Kweichow Moutai, China Mobile, China Petroleum, and Ningde Times. New entrants include China Life and Ping An, with the financial sector dominating with 7 out of 11 members [2][3] - The majority of the trillion market value giants are state-owned enterprises, accounting for over 80%, with policy support from green finance and new infrastructure playing a significant role. Mergers and acquisitions are fostering new giants, such as China Shenhua's acquisition pushing its market value close to a trillion [3][4] Group 2 - The financial sector leads the trillion market value club, with the four major banks (ICBC, ABC, CCB, and BOC) at the forefront, and new entrants like China Merchants Bank, China Life, and Ping An. The financial industry holds 70% of the club's positions, with potential candidates like Postal Savings Bank and Bank of Communications in the 500 billion yuan+ tier [4]

Market Overview - The Hong Kong stock market showed a decline, with the Hang Seng Index closing at 23,831 points, down 145 points or 0.61% [1][5] - The market turnover decreased to 82.799 billion, with net inflows of 484 million from the Stock Connect [1][5] - The US stock market remained stable despite previous inflation concerns, with the Dow Jones down 11 points, the S&P 500 up 1 point, and the Nasdaq down 2 points [2] Market Outlook - The report emphasizes that the Hong Kong market has advantages such as low valuations and increasing trading activity under the "profit-making effect," maintaining a relatively optimistic medium to long-term outlook [3] - Significant inflows of southbound funds were noted, with a total of 135.6 billion HKD in July, marking a recent high, and continued inflows in early August totaling 36.2 billion HKD [3] - Investment opportunities are highlighted in sectors such as artificial intelligence, robotics, semiconductors, and industrial software, as well as new consumption sectors supported by policy [3] Key Company Performances - Notable stock performances include Li Ning (2331HK) up 5.88% and Tingyi (0322HK) up 3.06% among the Hang Seng Index constituents [1][5] - In the technology sector, Huahong Semiconductor (1347HK) rose 3.04%, and Horizon Robotics (9660HK) increased by 2.44% [1][5] Economic Data - The US inflation rate for July remained steady at 2.7%, slightly below the forecast of 2.8% [2] - The report indicates a positive trend in investment sentiment, with the Stoxx 600 index in Europe rising for three consecutive days [11]

Group 1 - The core viewpoint is that while there may be short-term fluctuations in the AI market, AI remains the long-term focus of the market [2][3] - The introduction of DeepSeek has positively influenced the domestic AI industry trends and fundamentals, with expectations of increased AI penetration across various sectors [3] - The A-share market is expected to show a trend of oscillating upward, supported by structural valuation reshaping opportunities due to the upcoming National People's Congress [5] Group 2 - The technology sector's main style is not expected to change significantly, with advancements in industries like DeepSeek and domestic robotics moving towards investment based on economic conditions [6][7] - Increased capital expenditure from major domestic companies and government initiatives indicates progress in the domestic industry chain, reducing reliance on U.S. tech giants [7] - The focus will be on AI applications benefiting from reduced inference costs, robotics sub-industries, and low-position growth sectors like military electronics [8]