2025 年 11 月 24 日 Calamos 发行纳指雪球 ETF ——海外创新产品周报 20251124 相关研究 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 ETP 研 究 - ⚫ 美国 ETF 创新产品：Calamos 发行纳指雪球 ETF。上周美国共 43 只新发产品，单周新 发数量明显提升。Calamos 上周发行一只挂钩纳斯达克 100 的雪球 ETF，跟踪的指数通 过一系列雪球来达到 35%的波动率目标，每份雪球的敲入价格为初始的 70%，产品通过 超过 50 份雪球的分散化投资降低敲入风险、提供稳定收益。 ⚫ 美国 ETF 资金流向：资金风险偏好降低。过去一周中，美国 ETF 流入继续超过 300 亿美 元，多类资产表现不佳的情况 ...

Report Industry Investment Rating No relevant content provided. Core View of the Report - Last week, 16 new products were issued in the US, with a relatively large number of single - stock products and digital currency products. The Defined Duration series ETFs issued by Discipline Funds use a stock - bond hybrid form to anchor the target duration [1][6]. - In the past week, the inflow of US ETFs continued to exceed $30 billion, with a large inflow into stock products. Bitcoin ETFs continued to experience outflows, while the capital flow of gold ETFs remained stable [1][10]. - This year, raw material - related products in US industry - themed products have led the gains, with many products rising by more than 60% [1][16]. - In September 2025, the total amount of non - money public funds in the US was $23.47 trillion, an increase of $0.49 trillion compared to August. Last week, the outflow of US domestic stock funds returned to around $20 billion, and bond products returned to inflows [1][19]. Summary by Directory 1. US ETF Innovation Products - 16 new products were issued last week, including single - stock products (mostly 2 - times leveraged products covering semiconductor, supply - chain, fuel - cell and other companies), municipal bond - related ETFs, strategy ETFs, and digital currency index products [6][7]. - Discipline Funds issued the Defined Duration series ETFs, which use a stock - bond hybrid form to anchor the target duration and aim to obtain more stable returns within a given time frame by evaluating stock duration through valuation indicators and combining with matching bond portfolios [1][9]. 2. US ETF Dynamics 2.1 US ETF Fund Flows - In the past week, the inflow of US ETFs exceeded $30 billion, with a large inflow into stock products. Bitcoin ETFs continued to experience outflows. Vanguard's S&P 500 ETF ranked first in inflows, while State Street's products had the largest outflows. Each S&P 500 ETF has alternated in inflows in recent weeks. BlackRock's Bitcoin and Ethereum ETFs were among the top ten in outflows [1][10]. - The capital flow of gold ETFs remained stable last week, and the capital of the Nasdaq 100 ETF has fluctuated significantly recently [15]. 2.2 US ETF Performance - This year, raw material - related products in US industry - themed products have led the gains. In addition to gold and silver mining, copper mines, rare earths, and other metals have all performed well, with many products rising by more than 60% [1][16]. 3. Recent Fund Flows of US Ordinary Public Funds - In September 2025, the total amount of non - money public funds in the US was $23.47 trillion, an increase of $0.49 trillion compared to August. The S&P 500 rose 3.53% in September, and the scale of US domestic stock products increased by 2.13%, with an increase in redemption pressure that month. - According to weekly statistics, last week, the outflow of US domestic stock funds returned to around $20 billion, and bond products returned to inflows [19].

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - The attention to thematic ETFs in the US has increased, with various new ETF products launched last week, including municipal bond products, power ETFs, natural gas ETFs, and unmanned driving ETFs. [7][8] - US ETFs have seen continuous inflows into stock products, with significant inflows into the S&P 500 ETF and growth ETFs, while gold ETFs and leveraged ETFs have continued to experience outflows. [11] - US bond ETFs have performed well this year, with broad - based composite bond products yielding over 6% and 20 - year - plus Treasury bond ETFs yielding over 7%. [15] - In September 2025, the total amount of non - money public funds in the US increased, and last week, domestic stock funds in the US saw outflows approaching $20 billion, while bond products returned to inflows. [17] 3. Summary by Directory 3.1 US ETF Innovation Products: Thematic ETFs Gain Attention - Last week, 20 new products were launched in the US, including 5 different municipal bond products from Franklin Templeton. [7] - Arin Risk Advisors issued a tail - risk ETF, aiming to avoid risks during market downturns through active management. The product's positions are divided into regular, tail - risk protection, and tactical positions. [8] - The attention to thematic ETFs has increased, with new power, natural gas, and unmanned driving ETFs launched. Roundhill and Rex Shares also issued leveraged + option weekly dividend products and option products respectively. [8][10] 3.2 US ETF Dynamics 3.2.1 US ETF Funds: Stock Products See Continuous Inflows - In the past week, US ETFs received inflows of over $30 billion, with significant inflows into stock products and continuous outflows from gold ETFs. The S&P 500 ETF from State Street received inflows of over $15 billion, leading other products. Growth ETFs had inflows, while leveraged ETFs continued to have outflows. [11] 3.2.2 US ETF Performance: Bond Products Perform Well - This year, US stocks have performed well, and bonds have also delivered good returns. Broad - based composite bond products have yields of over 6%, and 20 - year - plus Treasury bond ETFs have yields of over 7%. Short - term bonds and municipal bonds have relatively weaker performance. [15] 3.3 Recent Capital Flows of US Ordinary Public Funds - In September 2025, the total amount of non - money public funds in the US was $23.47 trillion, an increase of $0.49 trillion compared to August 2025. The scale of domestic stock products increased, but the redemption pressure also rose. Last week, domestic stock funds in the US saw outflows approaching $20 billion, while bond products returned to inflows. [17]

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - In the past 3 weeks, nearly 100 new ETF products have been issued in the US, and the issuance speed has further increased. The richness of digital currency - related products has been enhanced, and new products with various strategies have emerged [3][6]. - The capital inflow of US ETFs has remained at a high level. In the past month, nearly $180 billion has flowed in, with over $100 billion into stock products. The iShares S&P 500 ETF IVV has seen significant inflows, and bitcoin and gold products have obvious inflows [3][15]. - Aerospace and defense ETFs in the US have performed well, with some technology - related and European - themed products having涨幅超过 80% [3][19]. - In August 2025, the total amount of non - money public funds in the US increased by $0.41 trillion compared to July. The redemption pressure of domestic stock - type products has eased, and the outflow of domestic stock funds in the past 4 weeks has been relatively stable, while the inflow of bond products has been steady [3][20]. 3. Summary According to the Directory 3.1 US ETF Innovation Products: Nearly 100 Products Issued in 3 Weeks - In the past 3 weeks, 91 new products have been issued in the US. Single - stock leveraged reverse products, single - stock option + leverage strategy products, and digital currency - related products have been enriched. There are also new innovations in structured product strategies [6][8][9]. - For example, Rayliant and ChinaAMC issued the China Technology Innovation ETF, tracking an index composed of about 100 Chinese technology - related companies [13]. 3.2 US ETF Dynamics 3.2.1 US ETF Funds: Capital Inflows Remain at a High Level - In the past month, the total inflow of US ETFs was nearly $180 billion, with over $100 billion into stock products. The iShares S&P 500 ETF IVV had inflows of over $40 billion in the past month, surpassing SPY in scale. Bitcoin and gold products had obvious inflows, while many leveraged products had large outflows [3][15][17]. - The daily capital flows of major US ETFs in the past 2 weeks are presented, and the capital flows of iShares products have tended to be stable, while those of State Street products have fluctuated greatly [18]. 3.2.2 US ETF Performance: Aerospace and Defense ETFs Perform Well - Due to the complex global situation this year, aerospace and defense ETFs listed in the US have performed well. Products such as SHLD related to technology and European - themed products have涨幅超过 80% [3][19][20]. 3.3 Recent Capital Flows of US Ordinary Public Funds - In August 2025, the total amount of non - money public funds in the US was $22.98 trillion, an increase of $0.41 trillion compared to July. The scale of domestic stock - type products increased by 1.62%, and the redemption pressure eased [20]. - In the past 4 weeks, the outflow level of US domestic stock funds has been relatively stable, with outflows exceeding $20 billion in 3 weeks, while the inflow of bond products has been stable [20][21].

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints of the Report - Last week, 13 new products were issued in the US, with more leveraged and inverse products. Leverage Shares issued a new series of "Accelerated" products, offering 2x the monthly upside return of stocks but only 1x the downside, with a monthly return cap. The first - batch products are linked to Tesla, Nvidia, MicroStrategy, CoinBase, and Palantir [2][10] - Digital currency ETFs had significant inflows last week. Stock and bond ETFs remained above $10 billion, and the inflow of digital currency ETFs increased again. The Nasdaq 100 ETF had the largest inflow, and BlackRock's Ethereum and Bitcoin ETFs were among the top ten in terms of inflow. Many leveraged ETFs had outflows, and several technology products had significant outflows [4][12] - ARKK outperformed other technology ETFs. Although the US stock style fluctuated at the beginning of this year, the technology sector has been performing well, with an overall increase of over 10%. The VanEck Semiconductor ETF has risen by over 20%, but the 3x semiconductor leveraged product has performed significantly weaker due to volatility losses at the beginning of the year. ARKK has risen by over 35%, leading other technology products [4][15] - In June 2025, the total amount of non - money mutual funds in the US was $22.69 trillion, up $0.78 trillion from May 2025. The S&P 500 rose 6.15% in June, and the scale of US domestic equity products increased by 4.26%, slightly lower than the stock increase. From July 30 to August 6, US domestic equity funds had a net outflow of about $16.7 billion, basically the same as the previous week, and the inflow of bond products slightly narrowed [4][19] 3. Summary by Relevant Catalog 3.1 US ETF Innovation Products: Leverage Shares Issues "Accelerated" Products - Last week, 13 new ETFs were issued in the US, with more leveraged and inverse products. Leverage Shares issued a new series of "Accelerated" products, offering 2x the monthly upside return of stocks but only 1x the downside, with a monthly return cap. The first - batch products are linked to Tesla, Nvidia, MicroStrategy, CoinBase, and Palantir. Other issuers also had various new product launches, including single - stock leveraged ETFs, 2x leveraged products, and stock enhancement products [2][9][10] 3.2 US ETF Dynamics 3.2.1 US ETF Funds: Digital Currency ETFs Have More Inflows - Last week, stock and bond ETFs remained above $10 billion, and the inflow of digital currency ETFs increased again. The Nasdaq 100 ETF had the largest inflow, and BlackRock's Ethereum and Bitcoin ETFs were among the top ten in terms of inflow. ARKK also had an inflow of over $1 billion. Many leveraged ETFs had outflows, and several technology products had significant outflows [4][12] 3.2.2 US ETF Performance: ARKK Outperforms Other Technology ETFs - Although the US stock style fluctuated at the beginning of this year, the technology sector has been performing well, with an overall increase of over 10%. The VanEck Semiconductor ETF has risen by over 20%, but the 3x semiconductor leveraged product has performed significantly weaker due to volatility losses at the beginning of the year. ARKK has risen by over 35%, leading other technology products [4][15] 3.3 Recent US Ordinary Mutual Fund Fund Flows - In June 2025, the total amount of non - money mutual funds in the US was $22.69 trillion, up $0.78 trillion from May 2025. The S&P 500 rose 6.15% in June, and the scale of US domestic equity products increased by 4.26%, slightly lower than the stock increase. From July 30 to August 6, US domestic equity funds had a net outflow of about $16.7 billion, basically the same as the previous week, and the inflow of bond products slightly narrowed [4][19]

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].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, 14 new products were issued in the US. Innovator launched a "two - way" strategy product, which offers positive returns in both rising and falling markets, with certain return caps and losses beyond the buffer range in a downturn [2][6]. - US ETF funds are flowing from style - based products to broad - based ones, reflecting a shift towards neutrality in the face of high market uncertainty [2][11]. - Gold ETFs are leading the gains among commodity ETFs, with a year - to - date increase of over 25% and growing product sizes, while ordinary commodities have more moderate performance with gains of less than 10% [2][16]. - In May 2025, the total non - money public funds in the US increased by $0.85 trillion compared to April. From June 17th to 25th, domestic stock funds had an outflow of about $16.6 billion, and the outflow has been expanding, with nearly $250 billion flowing out in the first half of the year, while bond product inflows continued to narrow [2][20]. 3. Summary by Directory 3.1 US ETF Innovation Products: Innovator Issues "Two - Way" Strategy Product - Last week, 14 new products were issued in the US, with many Buffer - type products issued at the beginning of the month. First Trust issued a Bitcoin - linked product with a 15% annual loss cap and a 31.26% annual return cap. Allianz and PGIM issued S&P 500 - linked Buffer products [6]. - Innovator's "two - way" strategy product is linked to the S&P 500, with buffer ranges of 10% and 15%, providing positive returns in both rising and falling markets, each with a return cap and losses beyond the buffer range in a downturn [6][10]. - Anfield issued a S&P 500 index - enhanced product, using quantitative stock - picking and derivatives to obtain excess returns, with a focus on momentum indicators. Hedgeye issued a mixed - allocation ETF aiming to control the maximum drawdown within 15%, and its top five holdings are mainly in growth and technology stocks [10]. - REX issued the first US Solana staking ETF, and AOT Invest issued a 2x leveraged software platform index product [10]. 3.2 US ETF Dynamics 3.2.1 US ETF Funds: Funds Flow from Style - Based Products to Broad - Based Ones - Last week, US stock and bond ETFs continued the trend of simultaneous inflows for domestic and overseas products, and alternative products mainly including Bitcoin had obvious inflows. All S&P 500 ETFs had inflows, with BlackRock's smallest - scale product having the most inflows, while style - based products mainly had outflows [11][13]. - Focusing on large - scale ETFs in the US stock, bond, and commodity markets, iShares' S&P 500 ETF had continuous inflows in the past two weeks, while gold ETFs started to have outflows [15]. 3.2.2 US ETF Performance: Gold ETFs Lead the Gains among Commodity ETFs - Gold ETFs have a year - to - date increase of over 25%, and their product sizes have grown. State Street's product has exceeded $100 billion, and iShares' gold ETF is close to $50 billion. In contrast, ordinary commodities have gains of less than 10% [16]. 3.3 Recent US Ordinary Public Fund Fund Flows - In May 2025, the total non - money public funds in the US were $21.91 trillion, an increase of $0.85 trillion compared to April. The S&P 500 rose 6.15% in May, and the scale of domestic stock - type products increased by 5.49%, slightly lower than the stock increase [20]. - From June 17th to 25th, domestic stock funds in the US had an outflow of about $16.6 billion, and the outflow has been expanding, with nearly $250 billion flowing out in the first half of the year, while bond product inflows continued to narrow [20].

Report Industry Investment Rating No relevant information provided. Core View of the Report The report focuses on the latest developments in the US ETF and ordinary public - offering fund markets. It details new product launches, capital flows, and performance of different types of products. Specifically, Calamos issued a "Snowball" ETF, the inflow of S&P 500 ETFs is volatile, emerging - market products are performing well, and the outflow of US domestic stock funds remains high while the inflow of bond products has slightly narrowed [1]. Summary According to the Directory 1. US ETF Innovation Products: Calamos Issues "Snowball" ETF - Last week, 46 new products were issued in the US, with many managers issuing multiple products in batches. Newly - established manager Bluemonte launched its first batch of active ETFs, including 5 equity and 4 bond products, covering various styles and durations [5][7]. - Defiance and Tradr jointly issued 9 single - stock leveraged and inverse products, targeting companies in different fields such as chips and AI. Larry Benedict, a well - known options trader, issued an Opportunistic Trader ETF [8]. - First Trust and ProShares expanded their Buffer product lines. ProShares' Dynamic Buffer series uses a daily buffer approach, protecting against 1 - 5% daily declines and setting a return cap, with 3 products linked to the S&P 500, Nasdaq 100, and Russell 2000 respectively [8]. - Goldman Sachs, Capital Group, Horizon, and T. Rowe Price expanded their active ETF series, mainly with traditional equity and bond products. Capital Group and Horizon's products are mainly used as underlying assets for Model Portfolios [9]. - On Wednesday last week, Calamos issued a "Snowball" ETF, investing in the US Autocallable notes market worth over $100 billion. The product invests in over 50 different snowball contracts, mainly with Goldman Sachs as the counterparty. Its return structure is similar to that of domestic snowballs [9]. 2. US ETF Dynamics 2.1 US ETF Capital: Inflow of S&P 500 ETFs is Volatile - Recently, although the attention on cross - border equity ETFs has increased, the inflow of US domestic equity products has also been maintained. Last week, Vanguard's S&P 500 ETF had a large - scale outflow, and the funds returned to products of BlackRock and State Street, narrowing the gap. Cross - border products continued to see inflows [12][15]. - The inflow of each S&P 500 ETF has fluctuated greatly this year. Emerging - market products have had a good and continuous inflow this year, and corporate bond products had a slight return last week [17]. 2.2 US ETF Performance: Emerging - Market Products Perform Well - Since the beginning of this year, the S&P 500 has risen by less than 5%, while emerging - market related products have outperformed the S&P 500 by about 10%, with many products rising by over 15%. Emerging - market bonds have also performed well [18]. 3. Recent Capital Flows of US Ordinary Public - Offering Funds - In May 2025, the total amount of non - money public - offering funds in the US was $21.91 trillion, an increase of $0.85 trillion compared to April 2025. In May, the S&P 500 rose by 6.15%, and the scale of US domestic equity products increased by 5.49%, slightly lower than the stock increase [22]. - From June 11th to June 18th, US domestic equity funds had a total outflow of approximately $10.4 billion, which is still relatively high, and the inflow of bond products slightly narrowed [22].

Group 1: Report Industry Investment Rating - No information provided Group 2: Core Views of the Report - Leveraged and inverse products in the US ETF market have a high issuance enthusiasm, and Bitcoin and gold ETFs continue to see capital inflows. Meanwhile, the performance of alternative ETF products varies significantly, and the capital flow of US ordinary public - offering funds shows a pattern of outflows from domestic stock funds and inflows into bond products [1][2] Group 3: Summary by Directory 1. US ETF Innovation Products: High Issuance Enthusiasm for Leveraged and Inverse Products - Last week, there were 22 newly issued products in the US, with the issuance of leveraged and inverse products continuing to increase. There were 8 leveraged and inverse products issued, including 6 single - stock products such as 2x long and short products of MicroStrategy, and 2x leveraged products of UPSTART, Archer Aviation, Mercado Libre, and Boeing. ProShares issued 2x leveraged and inverse products linked to the Nasdaq 100 Mega Index [7] - Bitwise issued an option strategy product linked to GameStop last week, using both call and put options to achieve monthly returns [8] - There were 4 bond ETFs and 1 money ETF issued last week. Vanguard's multi - sector bond ETF involves US Treasuries, corporate bonds, and emerging - market bonds, aiming to increase returns through active management. Invesco expanded its target - maturity bond products and also issued an international stock product. FundX issued a future - themed fund, and T. Rowe Price issued 3 active industry ETFs covering finance, medicine, and natural resources [10] 2. US ETF Dynamics 2.1 US ETF Capital: Bitcoin and Gold ETFs Continue to See Inflows - Last week, US equity ETFs continued to have a small outflow, while cross - border products continued to see inflows, with the combined inflow of equity - bond cross - border products exceeding $5 billion. Bitcoin and gold ETFs also continued to see inflows. There was a migration of S&P 500 ETF capital from BlackRock to Vanguard, with an outflow of over $20 billion from BlackRock's IVV. Among bond products, aggregate bonds saw inflows while tool - type products saw outflows [11] 2.2 US ETF Performance: Significant Differences in Alternative Products - Since the beginning of this year, due to high global macro uncertainty, the performance of ETF products using hedge - fund - related strategies has varied significantly. Stock long - short products and futures products have performed weakly, while State Street's multi - asset product has performed well, with its top three current holdings being State Street's commodity, global infrastructure, and global natural resources ETFs [16] 3. Recent Capital Flow of US Ordinary Public - Offering Funds - In April 2025, the total amount of non - money public - offering funds in the US was $21.06 trillion, a decrease of $0.12 trillion compared to March 2025. In April, the S&P 500 fell 0.76%, and the scale of US domestic equity products declined by 0.88%, with the decline slightly larger than the stock decline. From May 28th to June 4th, US domestic equity funds had a total outflow of approximately $16.9 billion, more than twice the outflow of the previous week, while bond products saw an inflow of nearly $10 billion [17]

1. 美国ETF创新产品：单股票杠杆反向产品密集发行 上周美国共12只新发产品，几乎都为单股票的杠杆反向产品： | Ax . LEREN X EIT | | | | --- | --- | --- | | 上市时间 | 量令名称 | 代码 | | 2025/4/24 | Leverage Shares 2X Long PLTR Daily ETF | PLTG | | 2025/4/24 | Tradr 2X Long QBTS Daily ETF | QBTX | | 2025/4/24 | Tradr 2X Long APP Daily ETF | APPX | | 2025/4/23 | T-Rex 2X Long GME Daily Target ETF | GMEU | | 2025/4/23 | T-Rex 2X Long SNOW Daily Target ETF | SNOU | | 2025/4/22 | Roundhill Magnificent Seven Covered Call ETF | MAGY | | 2025/4/22 | Direxion Daily BA Bear 1X ...