市场进入上涨趋势 glmszqdatemark 2026 年 01 月 04 日 [Table_Author] | 分析师 叶尔乐 | | --- | | 执业证书： S0590525110059 | | 邮箱： yeerle@glms.com.cn | | 分析师 陆豪 | | 执业证书： S0590523070001 | | 邮箱： luhao@glms.com.cn | | 分析师 关舒丹 | | 执业证书： S0590525110060 | | 邮箱： guanshudan@glms.com.cn | | 分析师 祝子涵 | | 执业证书： S0590525110061 | | 邮箱： zhuzihan@glms.com.cn | | 研究助理 裴钰琪 | | 执业证书： S0590125110081 | | 邮箱： peiyuqi@glms.com.cn | | 研究助理 陆诵韬 | | 执业证书： S0590124060037 | | 邮箱： lust@glms.com.cn | 相关研究 本公司具备证券投资咨询业务资格，请务必阅读最后一页免责声明 证券研究报告 1 量化周报 择时观点：市场进入上 ...

金融工程研究 量化研究 证券研究报告 2026 年 1 月 3 日 湘财证券研究所 基金市场跟踪与 ETF 策略配置月报 1. 《北向资金视角下的ETF轮动》 2022.03.30 行业ETF轮动》 2022.06.28 策略——ETF系列研究》 2024.03.27 研究——ETF系列研究》 2024.12.01 证书编号：S0500522090001 Tel：(8621) 50295307 Email：lizw@xcsc.com 中国人寿金融中心10楼 相关研究： 核心要点： 基金市场跟踪 2. 《基于北向资金与主力资金的 3. 《PB-ROE框架下的ETF轮动 根据 Wind 数据，截至 2025 年 12 月 31 日，全市场共存续基金 13617 只， 相较于上月底，数量上升 142 只；基金总资产净值为 36.32 万亿元，上升 3151.15 亿元，基金市场规模持续上升。2025 年 12 月，价值基金指数、平 衡基金指数及成长基金指数收益率分别为 1.14%、2.71%和 3.69%，成长型 基金表现超价值型基金。 ETF 市场跟踪 4. 《资金流在ETF轮动中的应用 根据 Wind 数据，截 ...

Global and A-share Market Overview - The A-share market experienced an overall increase last week, with the CSI 500 index showing the largest gain of 4.03% [12] - The Hang Seng Index in the Hong Kong market rose by 0.50% [12] - The performance of ETFs tracking the new energy sector was notably strong [12] ETF New Issuance Statistics - A total of 18 stock ETFs were reported in the A-share market last week, with 8 new stock ETFs established [17][19] - In the US market, 5 equity ETFs were newly established, including 2 active ETFs [17][23] Fund Flow in A-share Market - The top 10 ETFs with net inflows were primarily those tracking the CSI A500 index, while the top 10 with net outflows included ETFs related to the CSI 300 index, military industry, and TMT sectors [2][24] - The CSI A500 ETF saw a net inflow of approximately 106.75 million yuan, making it the leading ETF in terms of net inflow [28] - Conversely, the CSI 300 ETF experienced a net outflow of 34.08 million yuan [25] Fund Flow in US Market - In the US market, resource management-themed ETFs had the highest net inflows, while multi-tech themed ETFs saw the largest net outflows [3] - A total net outflow of 1.10 million USD was recorded for ETFs investing in A-shares and Hong Kong stocks [3] ETF Strategy Performance - The RRG ETF rotation strategy yielded a return of 3.84%, outperforming the CSI Equal Weight and CSI 300 indices by 1.66% and 1.89% respectively [4] - The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the CSI 1000 ETF achieving a return of 2.05% [4]

晨 会 纪 要 研究所今日晨会要点如下: 一、金融工程 1.1、基金市场跟踪与 ETF 策略配置月报（李正威） 上周 ETF 市场概况 截至 2025 年 12 月 12 日，沪深两市共有 1379 只 ETF，资产管理总规模为 57806.33 亿元。 其中股票型 ETF 共 1073 只（36774.09 亿元），债券型 ETF 共 53 只（7222.06 亿元），货币 型 ETF 共 27 只（1895.76 亿元），商品型 ETF 共 17 只（2436.83 亿元），跨境 ETF 共 200 只（9430.76 亿元），未上市 ETF 共 9 只（46.83 亿元）。 在 2025 年 12 月 8 日至 2025 年 12 月 12 日，根据 Wind 数据，按照基金上市日，上周共 有 4 只 ETF 新上市，均为股票型 ETF，包括景顺长城中证科创创业人工智能 ETF（159142.OF） 和永赢中证科创创业人工智能 ETF（159141.OF）两只科创创业 AIETF、博时中证银行 ETF （159253.OF）和东财中证港股通科技 ETF（520530.OF）；按照基金成立日，上周共有 6 ...

Global and A-share Market Overview - The A-share market showed mixed performance last week, with the North China 50 Index recording the highest increase of 2.79%, while the Hong Kong market saw a decline, with the Hang Seng Index down by 0.42% [1][12] - The top-performing ETFs were primarily those tracking TMT sector indices [1] ETF New Issuance Statistics - A total of 20 stock ETFs were reported in the A-share market last week, with 7 new stock ETFs established [2][17] - In the US market, 21 equity ETFs were newly established, of which 17 were actively managed ETFs [1][24] Fund Flow A-share Market - The net inflow for the top 10 ETFs was dominated by the CSI A500 Index ETFs, with a total net inflow of nearly 10 billion yuan [2][25] - The top net inflows were recorded for the CSI A500 ETFs, while the largest outflows were seen in industry index ETFs [2][28] - In the thematic ETF category, the Central Enterprise 50 ETF had the highest net inflow, while the technology ETF experienced the largest outflow [2][28] US Stock ETF Market - The AI and big data thematic ETFs saw the highest net inflows, while cybersecurity thematic ETFs experienced net outflows [3] - The total net inflow for ETFs investing in A-shares and Hong Kong stocks amounted to 177 million USD [3] ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of 0.73%, with excess returns of 1.3% and 0.81% relative to the CSI Equal Weight and CSI 300 indices, respectively [4] - The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the CSI 500 ETF achieving a return of 0.75% [4]

Global and A-share Market Overview - The A-share market experienced an overall decline last week, with the North Stock 50 Index showing the largest drop of 9.04%. The Hong Kong market also saw a decrease, with the Hang Seng Index down by 5.09%. The sectors that faced the most significant declines were primarily in the new energy sector [1][15]. - Major global market indices also reported declines, with the Shanghai Composite Index down by 3.03% and the Shenzhen Component Index down by 6.28%. The ChiNext Index fell by 8.39%, while the STAR 50 Index dropped by 9.16% [15][12]. ETF New Issuance Statistics - A total of 19 stock ETFs were reported in the A-share market last week, with 9 new stock ETFs established. In the U.S. market, 17 equity ETFs were newly established, of which 16 were actively managed ETFs [1][17][23]. Fund Flow Analysis - In the A-share market, the top 10 stock ETFs by net inflow were predominantly broad-based index ETFs, with the CSI 500 ETF leading with a net inflow of 5.778 billion yuan. Conversely, the top 10 stock ETFs by net outflow were mainly from cyclical sectors, with the Bank ETF showing a net outflow of 1.356 billion yuan [2][26][28]. - The U.S. market saw significant inflows into technology-themed ETFs, while political-themed ETFs experienced outflows. The FT Vest US Equity Buffer ETF, based on the S&P 500 Index, had the highest net inflow among actively managed ETFs [3][26]. ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of -6.37%, with excess returns relative to the CSI Equal Weight Index and the CSI 300 Index at -1.58% and -2.6%, respectively. The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the CSI 500 ETF returning -3.11% [4][29].

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]