ETF资金流向视角下的行业轮动配置 证券研究报告|金融工程专题 2026年3月4日 证券分析师： 李杨 执业证书编号：S0210524100005 何佳玮 执业证书编号：S0210524100009 请务必阅读报告末页的重要声明 华福证券 华福证券 投资要点 2 华福证券 华福证券 ➢ 股票ETF持仓特征及价格传导的逻辑梳理：2018年至2023年受到ETF持有人散户化特征加强的影响，当A股市场上涨时 ETF出现赎回，当市场整体呈现小市值、低估值、高分红、低波动的特征时期，股票ETF份额增长更快；当市场整体呈现 高动量、高波动、高质量、大市值的特征时期，股票ETF份额增长减缓。 ➢ 持仓程度及边际变动分组收益受A股市场风格强弱影响：由于持仓行业的权重受基准指数的成分股权重影响，而大多数指 数成分股的权重由自由流通市值加权而得，所以截面持仓程度高的行业市值较高，因此大市值占优的阶段中，高配行业收 益更高；2021年下半年至2024年初在A股市场价格下降的背景下，持仓边际下降的行业组合收益贡献持续的超额收益，原 因是股票ETF持仓的股票池在A股市场中估值水平偏高，估值难以进一步提升。 ➢ 持仓跟主动权益的分歧度分 ...

Market Performance - The A-share market experienced a decline, with major indices falling over 1%, and the Shanghai Composite Index closing at 4082.07, down 1.26% [2][4] - The Shenzhen Component Index closed at 14100.19, down 1.28%, while the CSI 300 Index ended at 4660.41, down 1.25% [2][4] - The ChiNext Index and the STAR 50 Index also saw declines of 1.57% and 0.72%, respectively [2] Sector Performance - The top-performing sectors included Comprehensive (+2.06%) and Defense Industry (+0.65%), while the worst-performing sectors were Non-ferrous Metals (-3.36%) and Building Materials (-3.10%) [3] - Concept sectors that performed well included Digital Watermarking (+1.09%) and Ride-hailing (+0.80%), whereas F5G Concept (-2.56%) and Special Steel Concept (-2.47%) lagged [3] Future Outlook - The report indicates that despite the recent market downturn, the long-term outlook for the A-share market remains positive due to reasonable valuations and supportive policy signals [4][5] - The macroeconomic recovery is expected to strengthen, with potential for the market to stabilize and rebound as favorable factors materialize [5] - Investors are advised to maintain rational judgment and adopt a balanced strategy, focusing on core assets with solid fundamentals and high profit certainty [5]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The convertible bond market showed a volume - shrinking correction today, with valuations rising month - on - month. The trading sentiment in the convertible bond market weakened, and the median price of convertible bonds decreased slightly. The proportion of high - price bonds above 130 yuan decreased, while the proportion of bonds in the 110 - 120 yuan range increased [2][3]. - In the A - share market, the decline in the positive - stock industry index accounted for more than half, while in the convertible bond market, 18 industries rose. Different industries had different performances in terms of closing price, conversion premium rate, conversion value, and pure bond premium rate [4]. 3. Summary by Relevant Catalogs Market Main Index Performance - The CSI Convertible Bond Index decreased by 0.23% month - on - month, the Shanghai Composite Index increased by 0.13%, the Shenzhen Component Index increased by 0.02%, the ChiNext Index decreased by 0.37%, the SSE 50 Index increased by 0.18%, and the CSI 1000 Index increased by 0.20%. Among market styles, mid - cap value was relatively dominant [2]. - The weighted average closing price of convertible bonds was 142.67 yuan, a 0.32% decrease from yesterday. The closing prices of partial - equity, partial - debt, and balanced convertible bonds changed by +2.17%, - 0.05%, and +0.22% respectively. The proportion of high - price bonds above 130 yuan decreased by 0.12 pct, and the proportion of bonds in the 110 - 120 yuan range increased by 0.29 pct [3]. Market Capital Performance - The trading volume in the convertible bond market was 72.799 billion yuan, a 9.88% decrease month - on - month; the total trading volume of the Wind All - A Index was 2.124745 trillion yuan, a 6.41% decrease month - on - month. The net outflow of the main funds in the Shanghai and Shenzhen stock markets was 32.204 billion yuan, and the yield of the 10 - year treasury bond decreased by 0.20 bp to 1.81% [2]. Industry Performance - In the A - share market, the top three declining industries were real estate (-1.40%), food and beverage (-1.31%), and commerce and retail (-0.87%); the top three rising industries were media (+4.27%), household appliances (+1.11%), and coal (+0.88%). In the convertible bond market, the top three rising industries were communication (+2.29%), automobile (+2.25%), and media (+1.44%); the top three declining industries were textile and apparel (-2.17%), environmental protection (-1.56%), and non - bank finance (-0.90%) [4]. - In terms of different industry categories: the closing price of the large - cycle category decreased by 0.17%, manufacturing increased by 0.99%, technology increased by 0.80%, large - consumption decreased by 0.39%, and large - finance decreased by 0.41%. The conversion premium rate of the large - cycle category increased by 0.86 pct, manufacturing increased by 0.75 pct, technology decreased by 2.3 pct, large - consumption increased by 0.56 pct, and large - finance decreased by 0.22 pct. The conversion value of the large - cycle category decreased by 0.77%, manufacturing increased by 0.59%, technology increased by 1.91%, large - consumption decreased by 0.34%, and large - finance decreased by 0.43%. The pure bond premium rate of the large - cycle category decreased by 0.36 pct, manufacturing increased by 1.6 pct, technology increased by 1.4 pct, large - consumption decreased by 0.54 pct, and large - finance decreased by 0.48 pct [4][5]. Industry Rotation - Media, household appliances, and coal led the rise. The media industry had a daily increase of 4.27% in the positive - stock market and 1.44% in the convertible bond market; household appliances had a daily increase of 1.11% in the positive - stock market and 0.19% in the convertible bond market; coal had a daily increase of 0.88% in the positive - stock market and 0.85% in the convertible bond market [55].

Market Overview - The A-share market indices all experienced gains today, with the Shanghai Composite Index rising by 1.41% to close at 4123.09 points, the Shenzhen Component Index increasing by 2.17% to 14208.44 points, the Sci-Tech 50 up by 2.51% to 1458.16 points, and the ChiNext Index climbing by 2.98% to 3332.77 points [1][10] - Overall, 4609 stocks rose while 756 stocks fell, with a total trading volume of 22495 billion yuan, an increase of 1038 billion yuan compared to the previous trading day [1] Industry Performance - All primary industries in the Shenwan classification saw gains today, with notable increases in the telecommunications, comprehensive, media, electronics, and computer sectors, which rose by 5.17%, 4.70%, 3.50%, 2.97%, and 2.88% respectively [1][10] - Conversely, the oil and petrochemical, banking, and food and beverage sectors had lower gains, with increases of only 0.21%, 0.36%, and 0.37% respectively [1][10] Concept Sector Performance - The leading concept sectors today included optical modules (CPO), perovskite batteries, optical communications, short drama games, cultivated diamonds, optical chips, Kimi, virtual humans, BC batteries, rare earths, photovoltaic glass, Chinese corpus, multimodal models, AIGC, and WEB3.0 [2]

Market Overview - The A-share market showed mixed performance today, with the Shanghai Composite Index rising by 0.85% to close at 4102.20 points, while the Shenzhen Component Index increased by 0.21% to 14156.27 points. In contrast, the Sci-Tech 50 Index fell by 1.20% to 1453.48 points, and the ChiNext Index decreased by 0.40% to 3311.51 points. Overall, 3252 stocks rose, 2126 fell, and 94 remained unchanged, with a total trading volume of 2481 billion yuan, down by 632 billion yuan from the previous trading day [1][12]. Industry Performance - Among the Shenwan first-level industries, coal, building materials, real estate, transportation, and food and beverage sectors led the gains, with increases of 7.58%, 3.48%, 2.97%, 2.82%, and 2.33% respectively. Conversely, the media, communication, computer, and electronics sectors experienced declines, with decreases of 3.12%, 2.73%, 1.70%, and 1.55% respectively [1][12]. Concept Sectors - The top-performing concept sectors today included central enterprise coal, selected coal mining, photovoltaic glass, selected air transportation, BC batteries, silicon energy, selected power equipment, photovoltaic rooftops, selected real estate, new energy, TOPcon batteries, photovoltaic, energy overseas, HJT batteries, and perovskite batteries [2][11].

Market Overview - The A-share market saw a majority of indices decline today, with the Shanghai Composite Index falling by 0.96% to close at 4117.95 points, and the Shenzhen Component Index down by 0.66% at 14205.89 points. The ChiNext Index, however, increased by 1.27% to 3346.36 points [1]. - Overall, there were 2449 stocks that rose and 2892 that fell, with a total trading volume of 28355 billion yuan, which is a decrease of 3945 billion yuan compared to the previous trading day [1]. Industry Performance - Among the Shenwan first-level industries, the leading sectors included Communication, Electronics, Agriculture, Forestry, Animal Husbandry, and Fishing, with respective gains of 3.44%, 0.68%, 0.65%, 0.54%, and 0.21%. Conversely, the sectors that experienced the largest declines were Non-ferrous Metals, Steel, Food and Beverage, Real Estate, and Computers, with declines of 7.80%, 2.83%, 2.78%, 2.47%, and 1.96% respectively [1]. Concept Sectors - The top-performing concept sectors today included Optical Modules (CPO), Optical Communication, Optical Chips, Biological Breeding, Advanced Packaging, and others, while Industrial Metals, Rare Earths, and Gold Jewelry saw a pullback [2][11].

Group 1 - The core viewpoint of the article highlights that in the past two weeks, the main funds have experienced a net outflow of 400.46 billion yuan, with the banking and coal industries seeing the highest net inflows, while the electronic, computer, and defense industries faced the largest net outflows [5][11][12] Group 2 - The current market financing and securities lending balance stands at 27,249.13 billion yuan, reflecting a 3.98% increase from the previous period, with the financing balance at 27,075.43 billion yuan and the securities lending balance at 173.70 billion yuan [5][15] - The average daily trading volume for margin financing and securities lending in this period was 3,346.76 billion yuan, which is a 35.59% increase compared to the previous period, with net purchases in financing averaging 3,337.73 billion yuan, up 35.62% [5][20] Group 3 - In terms of market performance, the number of stocks that increased in value surpassed those that decreased, with the top three performing industries being non-ferrous metals, building materials, and basic chemicals, while the banking, non-bank financials, and food and beverage sectors saw declines [5][25] Group 4 - The overall strength analysis score for all A-shares in the past two weeks was 6.38, indicating a neutral to strong market condition, with the CSI 300 score at 4.52, the ChiNext score at 6.49, and the Sci-Tech Innovation Board score at 6.52 [5][33]

Market Overview - The Shanghai Composite Index increased by 0.82% as of 10:27 AM, with a trading volume of 740.89 million shares and a transaction value of 12,880.17 billion yuan, representing a decrease of 1.00% compared to the previous trading day [1] Industry Performance - The top-performing sectors included: - Non-ferrous metals: up 3.90% with a transaction value of 921.96 billion yuan, led by Haotong Technology, which rose by 12.38% [1] - Non-bank financials: up 3.12% with a transaction value of 573.24 billion yuan, led by Hualin Securities, which increased by 9.99% [1] - Comprehensive: up 1.99% with a transaction value of 20.93 billion yuan, led by Tianchen Co., which rose by 9.98% [1] - The sectors with the largest declines included: - Communication: down 2.00% with a transaction value of 757.37 billion yuan, led by Hengdong Light, which fell by 8.88% [2] - Banking: down 0.53% with a transaction value of 108.31 billion yuan, led by Shanghai Bank, which decreased by 2.48% [2] - Food and beverage: down 0.11% with a transaction value of 108.59 billion yuan, led by Babi Food, which fell by 1.13% [2] Notable Stocks - Haotong Technology in the non-ferrous metals sector saw a significant increase of 12.38% [1] - Hualin Securities in the non-bank financials sector increased by 9.99% [1] - Tianchen Co. in the comprehensive sector rose by 9.98% [1] - Hengdong Light in the communication sector experienced a decline of 8.88% [2] - Shanghai Bank in the banking sector decreased by 2.48% [2] - Babi Food in the food and beverage sector fell by 1.13% [2]

Macro Economic Overview - The report indicates a downward trend in the Shanghai Composite Index, which fell by 0.59% this week, while the CSI 300 index futures decreased by 0.06% [1][11] - The report highlights a mixed performance in commodity futures, with coking coal futures down by 0.76% and iron ore futures up by 2.00% [1][11] - The yield on ten-year government bonds increased by 1 basis point to 1.85%, while active ten-year government bond futures dropped by 0.36% [1][11] Asset Allocation Recommendations - The recommended order for asset allocation is equities > commodities > bonds > currency, reflecting a positive outlook on A-shares and stable bond yields [2][4] - The report suggests that the U.S. dollar's safe-haven status is weakening, prompting international capital to seek alternatives, with RMB assets being a top choice due to their stability and growth potential [2][4] - The report anticipates that commodity prices will be influenced by supply pressures in oil and demand dynamics in cyclical goods, while agricultural products will be affected by supply factors [2][4] Key Economic Indicators - The manufacturing PMI for December was reported at 50.1, indicating a slight expansion, while the non-manufacturing PMI was at 50.2, returning to the expansion zone [18] - The report notes that the upcoming National People's Congress will convene on March 4, 2026, which may influence economic policies [18][19] Market Performance Insights - The report details a significant decline in the real estate market, with a notable drop in transaction volumes for new homes in major cities, indicating potential market stabilization due to recent policy changes [36][41] - The automotive sector is experiencing a downturn, with wholesale and retail sales of passenger vehicles showing negative growth for four consecutive weeks [36][41] Bond Market Analysis - The yield on ten-year government bonds has risen to 1.85%, with a noted increase in the yield of ten-year policy bank bonds to 2.00% [46] - The report highlights a significant rise in yields for low-rated credit bonds, indicating a shift in market sentiment [46]

Core Viewpoint - The current PE valuation (TTM) for the food and beverage and non-bank financial sectors is below the 20% percentile level of the past decade, indicating potential investment opportunities in these areas [1][6]. Valuation Historical Percentile Levels - The PE valuations (TTM) for major indices are relatively high, with the following percentile levels: - CSI 500: 82.43% - CSI 300: 84.36% - SSE 50: 86.91% - SZSE Component Index: 88.11% - SSE Composite Index: 96.05% - STAR 50: 96.69% - CSI A100: 100.00% - The food and beverage sector has a PE valuation (TTM) at the 10.99% percentile, while the non-bank financial sector is at 13.19% [6][11]. - Other sectors such as steel, defense, light industry, building materials, coal, communication, electronics, computers, real estate, and retail have PE valuations at the 80.70% to 99.96% percentile levels, indicating higher investment risks [6][11]. Market Overview - The total market capitalization for the Shanghai market is approximately 647,034.05 billion, with an average PE ratio of 16.28 [18]. - The total market capitalization for the Shenzhen market is approximately 606,435.34 billion, with an average PE ratio of 31.72 [24]. Industry Valuation Levels - The PE valuation levels for various industries are as follows: - Agriculture, Forestry, Animal Husbandry, and Fishery: 14.95 - Basic Chemicals: 12.52 - Steel: 5.69 - Non-ferrous Metals: 12.53 - Electronics: 20.00 - Food and Beverage: 16.52 - Real Estate: 6.80 - Non-bank Financial: 10.80 [30][36]. Industry PB Valuation Levels - The PB valuation levels for various industries are as follows: - Agriculture, Forestry, Animal Husbandry, and Fishery: 2.02 - Basic Chemicals: 1.41 - Steel: 0.73 - Non-ferrous Metals: 1.68 - Electronics: 1.92 - Food and Beverage: 3.32 - Real Estate: 0.54 - Non-bank Financial: 0.91 [35][41].