金工量化周报 上周申报 7 只上证科创板芯片 ETF ——ETF 市场扫描与策略跟踪（2025.11.23） 核心结论 摘要内容 全球市场概况：上周，A 股市场整体下跌，其中，北证 50 指数跌幅最大， 为 9.04%；港股市场有所下跌，恒生指数下跌 5.09%。跌幅居前的 ETF 跟 踪标的多为新能源板块指数。 ETF 新发情况：上周内地市场上报股票 ETF 19 只；新成立股票 ETF 9 只。 美国市场上周新成立权益型 ETF 17 只，其中 16 只为主动 ETF。 A 股 ETF 资金流向：上周，净流入排名前 10 的多为宽基指数 ETF；净流出 前 10 的多为周期板块指数 ETF。宽基 ETF 中，跟踪中证 500 指数的 ETF 净流入居前，跟踪 MSCI 中国 A50 互联互通指数的 ETF 净流出居前；行业 ETF 中，TMT 板块 ETF 净流入居前；主题 ETF 中，港股通科技 ETF 基金 （159101）净流入居前，金融科技 ETF（159851）净流出居前；主动 ETF 中，科创 50 增强 ETF 净流入居前，中证 2000 增强 ETF 净流出居前；Smart Beta ET ...

Global and A-share Market Overview - The A-share market showed mixed performance last week, with the Shanghai Composite Index increasing by 1.08% and the Hang Seng Index rising by 1.29%. The leading ETFs were primarily focused on the new energy sector [1][11][14]. - The top-performing A-share ETFs tracked indices related to electric grid equipment, photovoltaic leaders, and environmental protection, with significant gains of 11.42%, 10.66%, and 8.74% respectively [13][14]. ETF New Issuance Statistics - Last week, four stock ETFs were reported in the A-share market, with a total of 13 new stock ETFs established [1][16][20]. - The newly established ETFs included those tracking the ChiNext Composite Index and the IBOVESPA index from Brazil, with fund sizes of 3.26 billion and 3.00 billion respectively [20][21]. Fund Flow Analysis - In the A-share market, the top 10 ETFs by net inflow were predominantly from the financial sector, while the ETFs with the highest net outflows were broad-based indices like the CSI 300 and SSE 50 [2][23][24]. - The financial and biomedical sectors saw significant net inflows of 55.69 billion and 47.21 billion respectively, indicating strong investor interest [31][32]. ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of 3.19%, outperforming the CSI Equal Weight Index and the CSI 300 Index by 2.18% and 2.37% respectively [4][29]. - The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the Shanghai 50 ETF and CSI 300 ETF achieving returns of 0.47% and 0.52% respectively [4][29].

Global and A-share Market Overview - The A-share market showed mixed performance last week, with the North China 50 Index having the highest increase of 7.52%, while the Hong Kong market saw a decline with the Hang Seng Index dropping by 0.97%. The leading ETFs were primarily tracking the new energy sector indices [1][10][13]. ETF New Issuance Statistics - A total of 9 stock ETFs were reported in the A-share market last week, and 16 new stock ETFs were established. In the US market, 6 equity ETFs were newly established, all of which were actively managed [1][15][21]. Fund Flow in A-share Market - The top 10 stock ETFs by net inflow were mainly broad-based ETFs, with the ETF tracking the CSI 300 Index leading in net inflow. Conversely, the top 10 ETFs by net outflow were predominantly from the new energy sector [2][22][24]. - In the industry sector, the TMT sector ETFs saw the highest net inflow, while the financial technology ETFs experienced the most significant net outflow [2][30]. Fund Flow in US Stock ETF Market - In the US market, AI and big data-themed ETFs had the highest net inflow, while logistics and transportation-themed ETFs saw the most significant net outflow. The Capital Group Dividend Value ETF, benchmarked against the S&P 500 Index, led in net inflow among actively managed ETFs [3][22]. ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of -1.49%, with excess returns relative to the CSI Equal Weight Index and the CSI 300 Index being -2.08% and -1.06%, respectively. The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the CSI 500 ETF achieving a return of 0.84% [4][29].

Global and A-share Market Overview - The A-share market experienced an overall decline last week, with the Sci-Tech 50 index dropping the most at 6.16% [1][10] - The Hong Kong stock market also saw a decrease, with the Hang Seng Index falling by 3.97% [1][10] - In the US market, the Dow Jones Industrial Average increased by 1.56%, while the S&P 500 and Nasdaq indices rose by 1.70% and 2.14%, respectively [1][10] ETF New Issuance Statistics - Five new stock ETFs were reported in the A-share market last week, and three new stock ETFs were established [1][15] - In the US market, 11 equity ETFs were newly established, with 9 being actively managed ETFs [1][22] Fund Flow in A-share Market - The top 10 net inflows in A-share ETFs were primarily in the financial sector, with the Bank ETF seeing a net inflow of 52.77 billion yuan [2][24] - The top 10 net outflows were dominated by the CSI A500 ETF, which experienced a net outflow of 30.20 billion yuan [2][25] - Among broad-based ETFs, the CSI 200 index saw a net inflow of 14.44 billion yuan, while the CSI A500 index had a net outflow of 86.02 billion yuan [2][30] Fund Flow in US Market - In the US market, energy transition theme ETFs had the highest net inflow, while financial technology theme ETFs saw the largest net outflow [3][23] - The total net outflow from ETFs investing in A-shares and Hong Kong stocks amounted to 356 million USD [3][23] ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of -5.37%, underperforming the CSI Equal Weight Index and the CSI 300 Index by 2.87% and 3.14%, respectively [4][29] - The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the Shanghai 50 ETF yielding -0.34% [4][29]

Global and A-share Market Overview - The A-share market showed mixed performance last week, with the Sci-Tech 50 Index experiencing the highest increase of 6.47% [1] - The Hong Kong stock market saw a decline, with the Hang Seng Index dropping by 1.57% [1] - The leading ETFs tracked indices primarily from the semiconductor industry [1] ETF New Issuance Statistics - A total of 9 stock ETFs were reported in the A-share market last week, with 17 new stock ETFs established [2][3] - In the US market, 12 equity ETFs were newly established, of which 11 were actively managed ETFs [2][3] Fund Flow in A-share Market - The top 10 ETFs with net inflows were dominated by the CSI A500 ETF, which saw a net inflow exceeding 10 billion yuan [2][3] - Conversely, the top 10 ETFs with net outflows included the CSI 300 ETF, indicating a shift in investor sentiment [2][3] - In the industry sector, the TMT sector ETFs recorded the highest net inflows, while the financial technology ETF led in the thematic category [2][3] Fund Flow in US Market - The AI and big data-themed ETFs in the US market experienced the highest net inflows, while multi-tech themed ETFs saw net outflows [3] - The total net inflow for ETFs investing in A-shares and Hong Kong stocks amounted to 1.95 million USD [3] ETF Strategy Performance - The diffusion index + RRG ETF rotation strategy yielded a return of 1.59%, outperforming the CSI Equal Weight and CSI 300 indices by 2.34% and 0.52% respectively [4] - The 50% base + intraday momentum strategy showed varying performance across different ETFs, with returns of 0.18%, 0.44%, 0.43%, and -0.46% for the SSE 50 ETF, CSI 300 ETF, CSI 500 ETF, and CSI 1000 ETF respectively [4]