Group 1 - The A-share market is experiencing a strong rebound, leading to a continuous increase in the public fund issuance market, with 41 public funds planned for issuance this week, a 13.89% increase compared to the previous week [1] - The average fundraising cycle for newly issued funds has shortened to 15.90 days, indicating a more efficient issuance pace [1] - Equity funds dominate the market, with 25 equity funds planned for issuance, accounting for 60.98% of the total new funds [1] Group 2 - There are 13 bond funds scheduled for issuance this week, reflecting a significant increase of 116.67% compared to the previous week [2] - Passive index funds are highly favored in both equity and bond markets, with 88.24% of new equity funds being passive index funds and 76.92% of new bond funds being passive index bond funds [2] - The popularity of passive index funds is attributed to their low cost, risk diversification, high transparency, and predictable performance, leading fund companies to accelerate the launch of these products to capture market share [2]

Quantitative Models and Construction Methods Model Name: ETF Institutional Investor Penetration Algorithm - **Model Construction Idea**: To accurately reflect the actual institutional investor holding ratio in ETFs by excluding the portion held by individual investors in linked funds[27] - **Model Construction Process**: - Traditional algorithm considers all linked funds and other institutional investors as institutional investors - The revised algorithm penetrates the linked fund data to correct the published institutional investor holding ratio - Formula: $ \text{Revised Institutional Investor Holding Ratio} = \text{Published Institutional Investor Holding Ratio} - \text{Linked Fund Holding Ratio} \times (1 - \text{Institutional Investor Ratio in Linked Fund}) $ - This formula ensures a more accurate representation of institutional holdings in ETFs[27][28] - **Model Evaluation**: Provides a more precise measurement of institutional investor preferences and trends in ETF holdings[27] Model Backtesting Results - **ETF Institutional Investor Penetration Algorithm**: - **Holding Ratio**: Institutional investor holding ratio in stock ETFs increased to over 61% in the second half of 2024[29] - **Sector ETFs**: Institutional investor holding ratio around 22% in the second half of 2024[35] - **Smart Beta ETFs**: Institutional investor holding ratio reached 50.74% in the second half of 2024[36] Quantitative Factors and Construction Methods Factor Name: Institutional Holding Ratio - **Factor Construction Idea**: To determine the optimal institutional holding ratio for ETFs that balances liquidity, scale effect, and return performance[83] - **Factor Construction Process**: - Divide the market ETFs into 11 groups based on the revised institutional holding ratio - Analyze the relationship between institutional holding ratio and ETF performance - Identify the optimal holding ratio range for maximizing returns and minimizing drawdowns[84][85] - **Factor Evaluation**: Institutional holding ratio between 50%-60% is optimal for balancing liquidity, scale effect, and return performance[84] Factor Backtesting Results - **Institutional Holding Ratio**: - **Return Performance**: ETFs with institutional holding ratio between 50%-60% showed superior return performance[84] - **Drawdown Performance**: Higher institutional holding ratios correlated with lower maximum drawdowns, indicating better risk control[98][101]

中信证券陈佳春：加强境内外对接合作 提升跨境理 财国际竞争力 【导读】中信证券陈佳春：加强境内外对接合作 提升跨境理财国际竞争力 【编者按】随着中国经济与全球经济发展日益融合，以及中国资本市场开放程度不断提升，跨境财 富管理迎来黄金时代。中国基金报和深圳市财富管理协会共创 "跨境财富谈"栏目，走访境内外财富管 理龙头机构，帮助投资者更全面地了解跨境财富管理的机遇与挑战，洞悉金融机构全球资产配置最新策 略。 当前，哪些跨境理财产品更受青睐？粤港澳大湾区"跨境理财通"2.0（以下简称"跨境理财通"2.0） 启动以来进展如何？就此，中国基金报记者独家专访了中信证券财富管理委员会联席主任陈佳春。 据了解，除了传统的货基、债基等低风险产品外，跨境的指数型产品也受青睐。今年以来，A股场 内QDII型ETF因资金追捧，频频出现较高溢价，而通过跨境理财通购买的跨境ETF可以避免高溢价，为 投资者跨境投资提供了稀缺产品选择。 货基、债基及指数ETF等 跨境理财产品受青睐 此外，追踪纳斯达克、恒生指数等指数的ETF产品，以及具备额度或策略稀缺属性的海外市场权益 基金产品，也受到投资者的追捧。ETF产品让投资者能够紧密跟踪海外特定 ...