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]

Group 1: ETF Market Overview - As of September 12, 2025, there are 1,292 ETFs in the Shanghai and Shenzhen markets, with a total asset management scale of 52,387.73 billion [2] - The breakdown of ETFs includes 1,029 stock ETFs (35,315.17 billion), 39 bond ETFs (5,718.88 billion), 27 money market ETFs (1,564.76 billion), 17 commodity ETFs (1,611.53 billion), 173 cross-border ETFs (8,120.58 billion), and 6 unlisted ETFs (52.32 billion) [2] - In the week from September 8 to September 12, 2025, four new stock ETFs were launched, including two fintech-themed ETFs, with a total issuance scale of 5.682 billion [3][4] Group 2: ETF Performance Analysis - The median weekly return for stock ETFs was 1.97%, with the best-performing ETF being the China United Asset Management's Sci-Tech Chip Design ETF, which rose by 10.14% [3][4] - Conversely, the worst performer was the Guotai Junan Sci-Tech Innovation Drug ETF, which fell by 3.12% [4] - The average share change for stock ETFs was an increase of 6.6576 million shares, with the chemical ETF seeing the largest increase of 2.968 billion shares [4] Group 3: PB-ROE Framework and ETF Rotation Strategy - The PB-ROE framework categorizes industries into six quadrants, focusing on high PB and high ROE industries in the third quadrant and low PB and medium ROE industries in the fifth quadrant [5] - Backtesting from 2017 to February 2024 shows that only the third and fifth quadrants achieved excess returns, with annualized excess returns of 4.27% and 1.55%, respectively [5] - The combined PB-ROE rotation strategy yielded an annualized return of 11.93% and an annualized excess return of 13.22% [6] Group 4: Investment Recommendations - The report recommends focusing on the automotive, transportation, and public utilities sectors, corresponding to their respective industry ETFs [8]

Core Viewpoint - The current market rally, which began in September 2024, is expected to last for over four years, with Hong Kong stocks becoming a key breakthrough point and serving as a "value anchor" for Chinese assets [4][5][6]. Market Outlook - The A-share market has experienced approximately four years of decline since 2021, with a potential bottom reached in September 2024. Historical data suggests that the upcoming upward cycle could mirror the previous downturn [5]. - The market is currently in a phase where many investors have not yet adjusted their expectations, similar to the state of the market in 2013-2014 [5]. - The anticipated influx of overseas capital and a shift in China's economic structure will likely lead to a significant transformation in the asset allocation of Chinese residents, with the stock market becoming a new "reservoir" for funds [5][6]. Hong Kong Stock Market - The Hong Kong market is expected to be a breakthrough point due to its high marketization and regulatory framework, which prevents speculation on low-quality stocks [6]. - There is an expectation of continuous foreign capital inflow into Chinese assets, particularly in the Hong Kong market, which has seen increased support from the government since the "9.24" policy [6]. - The valuation of certain H-shares is already higher than their A-share counterparts, indicating a potential premium for H-shares in the future [6]. Investment Focus Areas - The investment strategy will focus on sectors such as military industry, innovative pharmaceuticals, and financial technology, utilizing an ETF rotation strategy for timing and allocation [4][7]. - The military industry is undergoing significant changes, with increased asset securitization and a shift towards performance-driven investment logic [7]. - The innovative pharmaceutical sector is expected to replicate the rapid growth seen in the new energy vehicle sector, with leading companies potentially increasing their market capitalization significantly [8]. ETF Rotation Strategy - The ETF rotation strategy involves three main asset categories: domestic ETFs, cross-border ETFs, and derivative tools, allowing for a diverse range of investment opportunities [7]. - The strategy emphasizes strong timing and position management, utilizing a five-dimensional timing model that incorporates macroeconomic, liquidity, sentiment, technical, and overseas indicators [9][10]. - The strategy is designed to adapt to different market styles, focusing on macro-driven, thematic, event-driven, and stock selection sub-strategies, ensuring effective and accurate investment decisions [10].

Core Viewpoint - The current stock market rally, which began in September 2024, is expected to last for over four years, with Hong Kong stocks becoming a key breakthrough point and serving as a "value anchor" for Chinese assets [1][3][4]. Group 1: Market Outlook - The A-share market has experienced approximately four years of decline from 2021 until the expected bottom in September 2024, with the current year marking the second year of the rally [3]. - Historical data suggests that the upward cycle is often symmetrical with the downward cycle, indicating significant potential for future growth [3]. - Factors such as the Federal Reserve's interest rate cuts and improving economic expectations in China are anticipated to attract both overseas and domestic funds into the stock market [3][4]. Group 2: Investment Focus - Investment opportunities are concentrated in sectors such as military industry, innovative pharmaceuticals, and financial technology, with a flexible use of ETF rotation strategies for timing and allocation [1][5][6]. - The military industry is undergoing significant changes, with increased asset securitization and a shift towards performance-driven investment logic [7]. - The innovative pharmaceutical sector is expected to replicate the rapid growth seen in the new energy vehicle market, with leading companies potentially increasing their market capitalization significantly [7]. Group 3: ETF Rotation Strategy - The ETF rotation strategy involves three main asset categories: domestic ETFs, cross-border ETFs, and derivative tools, allowing for a diverse range of investment opportunities [6][9]. - The strategy emphasizes strong timing and position management, utilizing a five-dimensional timing model that incorporates macroeconomic, liquidity, sentiment, technical, and overseas indicators [9][10]. - The rotation framework includes macro-driven, thematic, event-driven, and stock selection strategies, each with distinct holding periods and risk management approaches [10].

Core Viewpoint - The current stock market rally is expected to last for over four years starting from September 2024, with Hong Kong stocks becoming a key breakthrough point and serving as a "value anchor" for Chinese assets [2][3]. Market Outlook - The A-share market has experienced approximately four years of decline since 2021, with a potential bottoming out by September 2024. Historical data suggests that the upcoming upward cycle could mirror the previous downturn [3]. - The influx of overseas funds and a shift in China's economic expectations, alongside the Federal Reserve's interest rate cuts, are anticipated to drive capital into the Chinese stock market, transforming it into a new "water reservoir" for funds [3][4]. Investment Focus - The investment strategy will concentrate on sectors such as military industry, innovative pharmaceuticals, and financial technology, utilizing an ETF rotation strategy for timing and mainline allocation [2][5]. - The military industry is undergoing significant changes, with increased asset securitization and a shift towards performance-driven investment logic [5][6]. Sector Analysis - The innovative pharmaceutical sector is expected to replicate the rapid growth seen in the new energy vehicle market, with leading companies potentially increasing their market capitalization significantly. The sector has seen a surge in external authorization transactions, indicating strong growth potential [6]. - The financial technology sector is also viewed positively, with many Hong Kong brokerage firms trading below a price-to-book ratio of 1, suggesting potential for value reassessment as digital assets and cross-border payments gain traction [6]. Investment Strategy - The ETF rotation strategy emphasizes strong timing and position management, with adjustments made based on a five-dimensional timing model that includes macroeconomic, liquidity, sentiment, technical, and overseas indicators [7][8]. - The strategy is divided into four sub-strategies: macro-driven, thematic investment, event-driven, and selective stock picking, each with distinct holding periods and risk management approaches [8].

Core Viewpoint - The report aims to construct a multi-factor weighted ETF rotation strategy and optimize the stock factor mapping framework to test for marginal improvement in performance [1][5]. Group 1: Background and Market Overview - The concept of index-based investment has gained recognition among investors, with ETFs becoming a significant tool for asset allocation due to their transparency, low fees, and ease of trading. As of April 2025, the number of ETFs listed on domestic exchanges reached 1,141, with a total market value of 4.04 trillion yuan, an increase from 3.73 trillion yuan at the end of 2024 [4]. - Previous reports have constructed product rotation strategies based on various factors such as Level 2 data, redemption data, and neural networks, while also mapping individual stock factors to indices [4]. Group 2: Single Factor Stock Selection and ETF Rotation Comparison - The report compares the performance of single-factor stock selection and ETF rotation, highlighting the differences in factor characteristics. The factors include low-frequency price-volume, fundamentals, ETF redemption fund flows, Level 2 data, and neural network-related factors [6][7]. - Backtesting results indicate that the long position in stocks achieved significant excess returns compared to broad indices, while the RANK_IC and annualized returns of the ETF rotation factors showed marginal declines [11][15]. Group 3: ETF Rotation Backtesting Framework Adjustments - The report attempts to retain only the top-weighted components by setting an upper limit on weight thresholds and applying equal-weight "non-linear mapping." The results show that adjusting to equal-weight mapping covering all components led to a marginal decline in the performance of the single-factor long position [2]. - The ETF selection process identifies ETFs with similar holdings but different names, filtering out products with lower factor values when the overlap of constituent stocks exceeds a threshold. When an 80% overlap threshold is set, the performance of the single-factor long position improves [2]. Group 4: Multi-Factor Weighted ETF Rotation Empirical Testing - The empirical testing of the multi-factor weighted ETF rotation strategy, starting from January 2021, shows that the RANK_IC and ICIR of the portfolio improved marginally with monthly rebalancing. The equal-weighted top 5 long position achieved an annualized return of 18.6%, while the IC-weighted and ICIR-weighted portfolio achieved approximately 20% annualized returns, indicating more stable performance compared to the equal-weighted portfolio [2][15]. Group 5: ETF Rotation Backtesting Empirical Results - The backtesting results for ETF rotation indicate that the RANK_IC and annualized returns of the factors showed a noticeable marginal decline, with the ICIR significantly lower than that of the stock selection backtesting results [15].