证券研究报告 | 2025年10月31日 折溢价：20251030 当日 ETF 溢价较多的是中证 500 增强 ETF，ETF 折价较多 的是线上消费 ETF 基金。近半年以来大宗交易日均成交金额达到 19 亿元， 20251030 当日大宗交易成交金额为 12 亿元，近半年以来平均折价率 6.23%， 当日折价率为 5.18%。近一年以来上证 50、沪深 300、中证 500、中证 1000 股指期货主力合约的年化贴水率中位数分别为 0.21%、3.08%、10.44%、 12.84%，当日上证 50 股指期货主力合约年化升水率为 0.86%，处于近一年来 70%分位点，当日沪深 300 股指期货主力合约年化贴水率为 1.43%，处于近一 年来 64%分位点；当日中证 500 股指期货主力合约年化贴水率为 8.63%，处 于近一年来 64%分位点；当日中证 1000 股指期货主力合约年化贴水率为 13.18%，处于近一年来 48%分位点。 机构关注与龙虎榜：近一周内调研机构较多的股票是兆易创新、金盘科技、 蓝思科技、开立医疗、若羽臣、晶盛机电、传音控股、华大智造等，兆易创 新被 276 家机构调研。202 ...

- The report does not contain any quantitative models or factors for analysis

- The market performance on October 27, 2025, showed that most indices were in an upward trend, with the CSI 500 index performing the best among scale indices, and the ChiNext index performing the best among sector indices[2][6] - The communication, electronics, non-ferrous metals, steel, and computer industries performed well, while the media, food and beverage, real estate, banking, and textile and apparel industries performed poorly[2][7] - The market sentiment at the close showed 64 stocks hitting the daily limit up and 20 stocks hitting the daily limit down, with a sealing rate of 60% and a continuous board rate of 23%[2][14][18] - The financing balance as of October 24, 2025, was 24,398 billion yuan, and the securities lending balance was 174 billion yuan, with the financing balance accounting for 2.5% of the market's circulating market value[2][20][23] - The ETF with the highest premium on October 24, 2025, was the Belt and Road ETF, while the ETF with the highest discount was the Sci-Tech Composite Index ETF Xingye[3][24][26] - The median annualized discount rates for the main contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 stock index futures over the past year were 0.16%, 3.06%, 10.44%, and 12.84%, respectively[3][29][32] - The stocks with the most institutional attention in the past week were Yuyue Medical, CVTE, Dangsheng Technology, Liangxin Co., Ltd., Guangxin Technology, Runfeng Co., Ltd., Ruipu Bio, and Good Wife, with Yuyue Medical being surveyed by 113 institutions[4][31][34] - The top ten stocks with net inflows from institutional seats on the Dragon and Tiger List on October 27, 2025, included Jingzhida, Sunflower, Star Ring Technology-U, Antai Technology, Hengbao Co., Ltd., China Electric Port, Haixia Innovation, Shandong Molong, Pioneer New Materials, and Chang Aluminum Co., Ltd.[4][36][37]

The provided content does not contain any specific quantitative models or factors, nor does it include their construction processes, formulas, evaluations, or backtesting results. The documents primarily focus on market performance, sector analysis, ETF premiums/discounts, institutional activities, and other market-related data. There is no relevant information to summarize under the requested structure for quantitative models or factors.

- The report does not contain any quantitative models or factors[1][2][3][4][5][6][7][8][9][10][11][12][13][14][15][16][17][18][19][20][21][22][23][24][25][26][27][28][29][30][31][32][33][34][35][36][37][38][39][40][41][42][43][44][45][46][47]

Market Performance - The market experienced an overall increase on August 25, 2025, with the Shanghai Composite 50 Index rising by 2.09%, and the ChiNext 50 Index increasing by 3.20% [6][8] - The best-performing sectors included non-ferrous metals, telecommunications, real estate, retail, and food and beverage, with respective gains of 4.81%, 4.75%, 3.19%, 2.67%, and 2.51% [8][11] - Conversely, sectors such as textiles, comprehensive finance, oil and petrochemicals, light industry manufacturing, and banking showed poor performance, with returns of -0.03%, 0.48%, 0.55%, 0.63%, and 0.70% respectively [8] Market Sentiment - Market sentiment was high, with 91 stocks hitting the daily limit up and 8 stocks hitting the limit down at market close [2][15] - Stocks that were limit up the previous day saw an average return of 3.51%, while those that were limit down experienced an average loss of -4.62% [18] - The sealing rate was 68%, a decrease of 16% from the previous day, while the consecutive sealing rate was 23%, down by 1% [21] Market Capital Flow - As of August 22, 2025, the margin trading balance was 21,551 billion yuan, with a financing balance of 21,401 billion yuan and a securities lending balance of 149 billion yuan [3][24] - The margin trading balance accounted for 2.3% of the total market capitalization, while margin trading represented 11.5% of the total market turnover [24][26] Premium and Discount Analysis - On August 22, 2025, the ETF with the highest premium was the Sci-Tech 50 ETF with a premium of 6.64%, while the A500 Enhanced ETF had the highest discount at -0.75% [29] - The average discount rate for block trades over the past six months was 5.94%, with a discount rate of 8.43% on August 22, 2025 [31] - The annualized discount rates for major stock index futures were 0.30% for the SSE 50, 2.29% for the CSI 300, 9.23% for the CSI 500, and 11.24% for the CSI 1000 [36] Institutional Attention and Trading Data - The stocks that received the most institutional attention in the past week included Desay SV Automotive, Yuntianhua, Ruoyu Chen, Yuyue Medical, and Huayang Group, with Desay SV Automotive being researched by 232 institutions [5][38] - The top ten stocks with net inflows from institutional special seats included Jinli Permanent Magnet, Robotec, Hengbao Shares, and Yuyin Shares [42] - Conversely, the top ten stocks with net outflows included Goldwind Technology, Southern Precision, and Marumi Biologics [42][45]

- The report does not contain any quantitative models or factors related to construction, testing, or evaluation[1][2][3]

The provided content does not contain any specific quantitative models or factors, nor does it include their construction processes, formulas, evaluations, or backtesting results. The documents primarily focus on market performance, sector analysis, ETF premiums/discounts, institutional activities, and other market-related data. There are no references to quantitative models or factors in the context of financial engineering or quantitative investment strategies.