晨会纪要（2025/08/26） 编辑人 崔健 022-28451618 SAC NO：S1150511010016 cuijian@bhzq.com 渤海证券研究所晨会纪要（2025.08.26） 基金研究 科创板表现突出，通信、电子领涨行业——公募基金周报 公司研究 半年度业绩增长良好，产品差异化助力巩固市场地位——爱玛科技（603529） 2025 年半年报点评 战略转型持续推进，期待公司业绩拐点——拓斯达（300607）2025 年中报点 评 行业研究 证 包装纸价走强，以旧换新受益领域中报业绩向好——轻工制造&纺织服饰行 业周报 券 研 究 报 告 晨 会 纪 要 请务必阅读正文之后的声明 渤海证券股份有限公司具备证券投资咨询业务资格 1 of 7 晨会纪要（2025/08/26） 基金研究 科创板表现突出，通信、电子领涨行业——公募基金周报 宋 旸（证券分析师，SAC NO：S1150517100002） 张笑晨（证券分析师，SAC NO：S1150525070001） 1、本周市场回顾 上周，权益市场主要指数延续上涨，其中，涨幅最大的是科创 50，上涨 13.31%，创业板指涨幅超过 5%。 行 ...

TMX Group (TMXX.F) FY Conference August 13, 2025 01:00 PM ET Company ParticipantsAravinda Galappatthige - MD - Institutional Equity ResearchDavid Arnold - CFOAravinda GalappatthigeHi everyone, thanks for being here. My name is Aravinda Galappatthige. I'm one of the TMT analysts here at Canaccord Genuity. Very pleased to have the TMX Group for the second year in a row to present here at the Canaccord Genuity Boston Conference. For those of you who may be new to TMX Group, they operate key global markets and ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the week from July 28 to August 1, 2025, the domestic stock market was generally in a downward trend, with most major stock indices and style indices showing declines. The trading activity of A - shares has been fluctuating upwards recently, approaching the level of December 2024. The bond market had mixed performance, with pure - bond indices rising and the Shanghai - Shenzhen convertible bond index falling. The commodity market also showed mixed trends, with some commodities rising and others falling. In the ETF market, the trading volume of comprehensive ETFs increased, while that of theme ETFs decreased. There was a net outflow of funds from most broad - based indices in comprehensive ETFs, and significant inflows into heavy - weight sectors such as banks, consumption, and liquor in industry - themed ETFs [2][9][15][18][32]. 3. Summary According to the Table of Contents 3.1 Fund Market Overview 3.1.1 Stock Market - Last week, major domestic stock indices declined. The large - cap indices such as CSI 300, SSE 50, and SSE Composite Index had weekly changes of - 1.75%, - 1.48%, and - 0.94% respectively. The small - and medium - cap indices like CSI 500, CSI 1000, and ChiNext Index had changes of - 1.37%, - 0.54%, and - 0.74% respectively. Style indices showed mixed trends, with financial, cyclical, consumer, growth, and stable style indices having changes of - 1.61%, - 2.28%, - 0.41%, - 0.32%, and - 2.27% respectively. Among the growth styles, large - cap, mid - cap, and small - cap growth style indices changed by - 0.35%, 0.94%, and - 2.26% respectively. The trading activity of A - shares has been fluctuating upwards recently, approaching the level of December 2024, with trading volume showing a pattern of rebound, decline, and then rebound over the past year [9]. 3.1.2 Bond Market and Futures Market - Last week, the Shanghai - Shenzhen convertible bond index fell by - 1.39%. Pure - bond indices rose, with the Shanghai Treasury Bond, Shanghai Corporate Bond, and Shenzhen Local Government Bond indices rising by 0.07%, 0.05%, and 0.02% respectively. The main futures contracts of major stock indices showed mixed trends, with CSI 300, SSE 50, and CSI 500 futures rising by 0.55%, 0.65%, and 0.14% respectively. The prices of 10 - year, 5 - year, and 2 - year Treasury bond futures rose by 0.22%, 0.13%, and 0.02% respectively [15][16]. 3.1.3 Commodity Market - In the past week, the commodity market showed mixed trends. The CRB Poultry Spot, CRB Edible Oil Spot, and Nanhua Agricultural Product Index changed by 0.01%, - 0.48%, and - 1.05% respectively. Among domestic key commodity futures, INE Crude Oil, SHFE Asphalt, and CZCE Thermal Coal futures changed by 3.79%, 1.41%, and 0.00% respectively [18][21]. 3.2 ETF Market Quotation Statistics - By screening ETFs through indicators such as fund size and trading volume, the most representative ETFs in different sectors of comprehensive and industry - themed categories are selected for long - term tracking. Monitoring indicators such as large - and small - cap style classification, changes in circulating shares, net - bought funds, and trading volume can provide references for market style switching and fund flow [23]. 3.3 Domestic Stock - Type ETF Trading Activity Ranking - Using the weekly turnover rate of funds as a measure of ETF trading activity, last week's trading hotspots were mainly concentrated in comprehensive indices such as ChiNext 50 and ChiNext, as well as sectors such as Steel ETF, Coal ETF, and Bank ETF [24]. 3.4 Large - and Small - Cap Style Monitoring 3.4.1 Comprehensive Stock ETF - As of last week, the trading volume of comprehensive ETF funds increased. The trading volume of comprehensive ETFs was 69.484 billion yuan, an increase of 5.046 billion yuan from the previous week. Among them, the trading volume of large - and mid - cap style comprehensive ETFs was 34.555 billion yuan, an increase of 0.528 billion yuan, and that of small - and mid - cap comprehensive ETFs was 35.702 billion yuan, an increase of 4.833 billion yuan. The circulating shares of comprehensive ETF funds decreased by 4.178 billion shares compared to the previous week [26]. 3.4.2 Thematic Stock ETF - As of last week, the average weekly change of 32 thematic ETFs was - 1.57%. The average weekly change of large - cap style ETFs was - 2.76%, and that of small - and mid - cap style ETFs was - 0.59%. The total trading volume of thematic ETFs decreased by 3.582 billion yuan compared to the previous week. The trading volume of large - cap style ETFs decreased by 6.615 billion yuan, while that of small - and mid - cap style ETFs increased by 3.033 billion yuan. The circulating shares of thematic ETFs increased by 15.599 billion shares compared to the previous week [27]. 3.5 Sector Fund Flow Tracking - In terms of returns, comprehensive ETFs showed mixed trends. The top three were the Innovation - Growth 50 ETF, 1000 ETF, and ChiNext, with changes of - 0.49%, - 0.55%, and - 0.65% respectively. The bottom three were the Shenzhen 100 ETF, 300 ETF, and 300 ETF, with changes of - 1.88%, - 1.73%, and - 1.67% respectively. Industry - themed ETFs also showed mixed trends. The top three were the 5G ETF, Pharmaceutical ETF, and Biomedical ETF, with changes of 3.47%, 2.00%, and 1.86% respectively. The bottom three were the Coal ETF, Non - Ferrous Metals ETF, and New Energy Vehicle ETF, with changes of - 5.11%, - 4.97%, and - 4.16% respectively. In terms of fund flow, most broad - based indices in comprehensive ETFs had a small net outflow of funds, while heavy - weight sectors such as banks, consumption, and liquor in industry - themed ETFs had significant inflows [32]. 3.6 Commodity ETF - Last week, the commodity ETF funds showed mixed trends. The Gold ETF, Bosera Gold, Soybean Meal ETF, Non - Ferrous Metals Futures ETF, and Energy Chemicals ETF changed by - 0.77%, - 0.76%, - 0.15%, - 1.75%, and - 6.00% respectively. The total circulating shares of tracked commodity ETFs increased by 0.317 billion shares compared to the previous week, and the total trading volume increased by 1.887 billion yuan [36]. 3.7 Overseas ETF - Last week, among the tracked overseas ETF funds, the Nasdaq ETF, H - share ETF, and Hang Seng ETF changed by 0.40%, - 2.45%, and - 2.19% respectively. The total circulating shares of tracked overseas ETF funds increased by 0.018 billion shares compared to the previous week, and the total trading volume increased by 0.929 billion yuan [38]. 3.8 Money Market ETF - As of the end of last week, the overnight SHIBOR rate was 1.39%, a decrease of 0.24% from the previous week, and the one - week SHIBOR rate was 1.50%, a decrease of 0.05% from the previous week. The seven - day annualized yield of Huabao Tianyi increased by 0.02% to 1.07%, and that of Yinhua Rili decreased by 0.03% to 1.04%. In terms of circulating shares, Huabao Tianyi's circulating shares decreased by 0.467 billion shares, while Yinhua Rili's increased by 2.824 billion shares [42].

二、结构轮动加速：规模指数主导，行业偏好快速演化 股票型ETF中，规模指数ETF占比持续下降，从年初的75.9%降至7月的71.6%;主题指数与行业指数ETF 占比则分别从14.1%、6.3%上升至17.3%、7.1%。 规模指数中，沪深300与科创50为主流品种，4月汇金增持后份额大幅提升，中证A500份额下降。科创 50在政策支持与市场情绪改善下，7月底净值相较3月底增长14%。行业ETF呈现分化。银行ETF增长显 著，份额超160亿;煤炭ETF增长亦明显。医药ETF连续减持，份额减少超140亿。2-3月地产ETF大幅加 仓，4月后受冲击普遍减仓。二季度AI资本开支推动半导体ETF持续加仓，银行ETF亦在5月后被显著增 持。 三、汇金系资金追踪：稳市主力与流动性支柱 中泰证券（600918）发布研报称，综合上半年ETF资金流向，汇金等资金行为，政治局会议释放的积极 信号及下半年政策展望，预计A股市场将在财政货币"双宽松"环境与结构性政策引导下，延续以估值修 复为主线的结构性震荡上行行情。稳增长政策有望改善风险偏好并抬升市场估值中枢，而企业盈利修复 滞后将导致行业分化加剧，资金将聚焦于政策导向明确、景气度较 ...

Group 1 - The core viewpoint of the article highlights that China's ETF market has achieved significant net inflows, totaling $108.92 billion in the past year, making it the leader in the Asia-Pacific region [1] - As of the end of April this year, China's ETF asset scale accounted for 30.7% of the total ETF asset scale in the Asia-Pacific region [1] - The event "ETF New Ecology Long-term Investment Wins the Future" was co-hosted by Morgan Asset Management and the Shanghai Stock Exchange, indicating a growing interest in the ETF market [1]

Group 1 - The report indicates that the secondary market experienced a slight net outflow of funds, with industry ETFs showing net inflows while broad-based ETFs continued to see net outflows [2][5][10] - In July, the market risk appetite is expected to improve, with incremental funds likely to continue flowing in, primarily favoring large-cap stocks, while growth and value stocks may see a more balanced performance [2][5] - The liquidity index for A-shares shows a decrease in public fund issuance to 4.251 billion, a drop in ETF net subscriptions to -20.657 billion, and an increase in financing net purchases to 12.607 billion [4][29] Group 2 - The report highlights that overall, ETFs have been experiencing continuous net outflows this year, with industry ETFs showing a slow net inflow while broad-based ETFs have seen significant outflows [5][10][13] - The report notes that the net inflow for industry ETFs is attributed to investors' preference for participating in structural market trends through these funds [13][15] - The report also mentions that the overseas-listed Chinese asset ETFs have shown little change, indicating a slight net outflow [15] Group 3 - The report outlines that the financing balance has increased, with net purchases of financing reaching 12.61 billion, while the net outflow from ETFs was 20.66 billion [5][29] - The report indicates that the market sentiment has weakened, with a decrease in the trading activity of financing funds and a decline in equity risk premiums [39][41] - The report identifies that sectors such as defense, non-bank financials, and metals have seen significant net inflows, while sectors like banking, pharmaceuticals, and food and beverage have experienced net outflows [48][49]

Core Viewpoint - The domestic ETF market has reached a new high with a total scale of 4.31 trillion yuan as of June 30, 2023, reflecting a 15.55% increase from the end of last year, driven by over 300 billion yuan in inflows and structural market trends [1][5]. Group 1: Market Trends - The ETF market has seen significant growth since 2025, with over 300 billion yuan in new funds entering the market [1]. - As of June 30, 2023, the total scale of ETFs listed in China reached 4.31 trillion yuan, up from 3.73 trillion yuan at the end of last year, marking a 15.55% growth [1][5]. - Several ETFs have demonstrated strong performance, with multiple Hong Kong stock innovative drug ETFs and others achieving over 50% returns [1][11]. Group 2: Changes in Fund Flows - Three major changes in fund flows have been identified in the ETF market for the first half of the year: 1. The top ten ETFs by net inflow are no longer exclusively broad-based ETFs [2][4]. 2. Bond ETFs have contributed significantly to the market's growth [5][6]. 3. Industry-specific ETFs have gained popularity, particularly dividend-themed ETFs [7][10]. Group 3: Performance of Specific ETFs - The top ten ETFs by net inflow include various products, with the top performers being the HuShen 300 ETF and several bond ETFs, collectively attracting significant capital [3][9]. - Despite some core broad-based ETFs experiencing net outflows since May, they still ranked high in net inflows for the first half of the year, with several exceeding 100 billion yuan [8][9]. - The performance of ETFs tracking innovative drug and technology indices has been particularly strong, with many achieving returns exceeding 50% [11][13]. Group 4: Investor Behavior and Market Sentiment - The divergence between fund flows and returns can be attributed to investor behavior, where institutional investors may redeem funds upon reaching target returns, leading to net outflows despite high returns [15]. - Market sentiment also plays a role, as investors may preemptively invest in broad-based ETFs based on economic recovery expectations, while taking profits from high-performing ETFs [15]. Group 5: Future Outlook - Analysts suggest that the market may continue to experience high volatility, with a focus on sectors such as defense and technology for potential growth opportunities [16][17]. - The ongoing low interest rate environment and policies favoring dividends are expected to support high-yield assets, while the economic recovery may enhance market risk appetite [17].

Core Insights - The article posits that the most influential export of the United States may be the continuous rise of its stock market rather than physical products, highlighting the significant demand for U.S. asset exposure among global investors [2][3]. Group 1: Global ETF Market Overview - The total global ETF assets amount to $16 trillion, with approximately $9.8 trillion focused on the U.S. market, indicating a strong preference for U.S. assets over the past decade [2][3]. - Nearly 70% of global ETF assets are linked to the U.S. market, with only 11% and 16% allocated to Europe and Asia-Pacific, respectively [4][6]. Group 2: Performance of ETFs - The difficulty of outperforming the S&P 500 index is notable, with only about 29% of over 8,000 global stock ETFs outperforming the index in the past year, and a mere 7% doing so over a ten-year period [8]. - U.S.-launched ETFs tracking the S&P 500 dominate in three of the four major regional markets, with Vanguard's S&P 500 ETF leading in the U.S., while BlackRock's iShares ranks first in Europe [8].

Core Viewpoint - The A-share market has shown a rebound since April, with the Shanghai Composite Index rising by 9.43% as of June 16, leading to a significant inflow of over 300 billion yuan into ETF funds, reversing the net outflow trend from the first quarter [1][2]. Group 1: ETF Market Performance - The ETF market has transitioned from a net outflow in the first quarter to a net inflow of 3019.93 billion yuan since the beginning of the second quarter, with stock ETFs attracting 1132.31 billion yuan [3]. - The CSI 300 ETF has been a major beneficiary, attracting over 1095.99 billion yuan in the second quarter, with leading products like Huatai-PB CSI 300 ETF and Huaxia CSI 300 ETF each gaining over 320 billion yuan [3]. - Other broad-based indices such as CSI 1000, CSI 500, and SSE 50 also saw significant inflows, with notable contributions from Southern CSI 500 ETF and Huaxia SSE 50 ETF, which received 162.23 billion yuan and 150.07 billion yuan respectively [3]. Group 2: Gold and Bond ETFs - The gold sector has emerged as another key area for investment, with gold ETFs collectively attracting 464.49 billion yuan in the second quarter and over 637 billion yuan year-to-date, driven by rising gold prices [4]. - The Huaan Gold ETF has seen the most significant growth, with a net inflow of 161.57 billion yuan in the second quarter, bringing its total size to 617.85 billion yuan [4]. - Bond ETFs have also experienced accelerated inflows, with 996.34 billion yuan entering the market in the second quarter, indicating strong demand for these products [4]. Group 3: Divergence in the Pharmaceutical Sector - The Hong Kong pharmaceutical sector has shown mixed results, with 9 out of 17 cross-border ETFs tracking medical or pharmaceutical indices experiencing net outflows, while some innovative drug ETFs have seen inflows [5]. - The Bosera Hang Seng Healthcare ETF has faced significant outflows, totaling 64.83 billion yuan in the second quarter, contrasting with the inflows into other innovative drug ETFs [5]. Group 4: ETF Market Challenges - The ETF market is undergoing intense competition, leading to a significant number of products facing liquidity issues and potential delisting, with at least 16 ETFs having issued warnings about possible liquidation this year [6][8]. - As of June 13, 151 ETFs had assets below the 50 million yuan threshold, indicating a growing concern over the viability of smaller ETFs [8]. - Low liquidity in certain ETFs poses risks for investors, as highlighted by instances where daily trading volumes fell below 1 million yuan for many products [8][9]. Group 5: Industry Trends and Product Differentiation - The rapid expansion of the ETF market has led to product homogenization, complicating investor choices and increasing the risk of confusion [9]. - Fund companies are responding by standardizing product naming conventions to enhance clarity and help investors better understand ETF characteristics [9].

Quantitative Models and Construction Methods - **Model Name**: Absolute Return ETF Simulation Portfolio **Model Construction Idea**: The model determines the allocation weights of major asset classes based on "momentum + risk budgeting" and enhances returns at the stock industry level by incorporating an industry rotation model and timing views on dividend assets[3][26] **Model Construction Process**: 1. **Risk Budgeting**: Assign higher risk budgets to assets with stronger recent trends 2. **Industry Rotation**: Use a monthly frequency industry rotation model to allocate weights within equity assets 3. **Dividend Timing**: Incorporate timing views on dividend assets 4. **Portfolio Adjustment**: Adjust weights periodically, such as removing steel, basic chemicals, non-bank finance, and computers while adding pharmaceuticals, consumer services, and dividend assets in the latest rebalancing[26][29] **Model Evaluation**: The model effectively balances risk and return, leveraging momentum and industry rotation to enhance performance[26] Model Backtesting Results - **Absolute Return ETF Simulation Portfolio**: - Annualized Return: 6.45% - Annualized Volatility: 3.85% - Maximum Drawdown: 4.65% - Sharpe Ratio: 1.68 - Calmar Ratio: 1.39 - Year-to-Date Return: 3.94% - Weekly Return: 0.30%[28] Quantitative Factors and Construction Methods - **Factor Name**: Credit Bond ETF as Collateral for Repurchase **Factor Construction Idea**: The factor leverages the inclusion of credit bond ETFs in the general collateral pool for repurchase agreements to enhance liquidity and risk diversification in the credit bond market[7][9] **Factor Construction Process**: 1. **Selection Criteria**: ETFs tracking benchmark market-making credit bonds with large scale and high credit quality are selected 2. **Approval Process**: ETFs meeting the criteria apply to China Securities Depository and Clearing Corporation for inclusion as general collateral for repurchase agreements 3. **Implementation**: The first batch of 9 credit bond ETFs was approved and implemented on June 6, 2025[7][8] **Factor Evaluation**: This factor improves market liquidity, optimizes market structure, and supports the development of the real economy[9] Factor Backtesting Results - **Credit Bond ETF as Collateral for Repurchase**: - Example ETFs: - South China Benchmark Market-Making Corporate Bond ETF (Code: 511070.SH): Scale 124.81 billion, Monthly Average Turnover 48.89 billion - Huaxia Benchmark Market-Making Corporate Bond ETF (Code: 511200.SH): Scale 83.09 billion, Monthly Average Turnover 45.89 billion - Ping An ChinaBond High-Grade Corporate Bond Spread Factor ETF (Code: 511030.SH): Scale 170.70 billion, Monthly Average Turnover 17.76 billion[8]