据了解，港股红利低波ETF(520550)以全市场最低费率（综合费率0.2%）降低持有成本，其月度分红机 制和T+0交易特性进一步提升了资金效率；持仓结构上，金融、能源等成熟行业构筑安全垫，同时通过 单一个股5%的权重上限实现风险分散，剔除阶段跌幅过大的股票规避"股息率陷阱"。 申万宏源策略表示，险资加速南下，有望填平港股红利"洼地"。本轮险资举牌潮始于2024H2，截止最 新共计25起，呈现四个特征：港股为主（22起）+央国企为主（20起）+中、高股息（超3%股息率的21 起）+公用事业、银行最受欢迎。这背后是港股红利板块明显更低的估值。根据自定义红利板块A&H折 溢价指数：按市值加权，A股红利较H股红利的溢价幅度从49.6%下降至最新的38.9% —— 即便考虑20% 红利税，港股红利板块依旧便宜约10%。考虑到险资通过企业账户投资H股，持有超过一年后免征红利 税，港股红利的实际配置价值更优。 日前，该ETF公告2025年首次分红，每10份基金份额派发现金红利0.02元，权益登记日为5月14日，除 息日为5月15日，现金红利将于5月20日发放。意味着，今日收市前买入或持有均可获得分红款。 恒指止步8连涨， ...

Market Overview - As of May 15, 2025, the Shanghai Composite Index closed down 0.68% at 3380.82 points, the Shenzhen Component Index down 1.62% at 10186.45 points, and the ChiNext Index down 1.92% at 2043.25 points, with a total market turnover of 1.15 trillion yuan [1] Sector Performance - The top three sectors in terms of gains were cosmetics, personal care products, and fisheries, with increases of 4.56%, 3.09%, and 2.43% respectively [1] - The sectors with the largest declines were IT services, software development, and other power equipment, with decreases of 3.36%, 3.12%, and 2.99% respectively [1] ETF Performance - A total of 52 non-currency ETFs rose, with an increase ratio of 5% [1] - The Medical Innovation ETF (516820.SH) rose by 0.59%, while the Utility ETF increased by 0.71% [1] - The Medical Innovation ETF has a total share size of 4.668 billion shares and closely tracks the CSI Medical and Medical Device Innovation Index [4] - The Green Power ETF (562550.SH) has a total share size of 1.57 billion shares and closely tracks the CSI Green Power Index [4] Valuation Metrics - The CSI Medical and Medical Device Innovation Index has a current P/E ratio (PE-TTM) of 31.01, which is below 99.48% of the time over the past three years [4] - The CSI Green Power Index has a current P/E ratio (PE-TTM) of 17.43, below 14.19% of the time over the past three years [5] - The CSI Pension Industry Index has a current P/E ratio (PE-TTM) of 14.28, below 6.38% of the time over the past three years [5] Declining ETFs - A total of 1050 non-currency ETFs declined, with a decrease ratio of 93% [5] - The top three declining ETFs included the S&P Consumption ETF, which fell by 5.54%, and the Saudi ETF, which dropped by 4.32% [7] Premium Rates - The S&P Consumption ETF closed with a premium of 22.97%, while the S&P 500 ETF had a premium of 12.35% [8]

Market Overview - The A-share market saw a majority of major indices decline today, with the Shanghai Composite Index down by 0.68% closing at 3380.82 points, the Shenzhen Component down by 1.62% at 10186.45 points, and the ChiNext Index down by 1.92% at 2043.25 points [1][14] - Overall, there were 1406 stocks that rose while 3856 stocks fell, with a total trading volume of 1152.4 billion yuan, a decrease of approximately 164.3 billion yuan compared to the previous trading day [1] Industry Performance - Among the Shenwan first-level industries, only the beauty care, coal, public utilities, and agriculture sectors saw gains, with increases of 3.68%, 0.42%, 0.12%, and 0.11% respectively [1][14] - The computer, communication, electronics, media, and defense industries experienced the largest declines, with drops of 2.97%, 2.45%, 2.12%, 1.93%, and 1.80% respectively [1] Sector Highlights - The top-performing concept sectors today included continuous boards, medical beauty, dairy, animal vaccines, rare earths, and food processing, among others [2][11] - Conversely, sectors such as financial technology, IDC, and stock trading software experienced pullbacks [11]

Group 1 - The core viewpoint of the article highlights the significant increase in public fund investments in Hong Kong stocks in the first quarter, driven by new regulatory reforms aimed at enhancing the quality of public funds [1] - The China Securities Regulatory Commission (CSRC) has introduced 25 reform measures, including changes to management fee rates and fund manager assessment mechanisms, which may lead to a more aligned industry allocation with benchmark indices over the medium to long term [1][2] - As of Q1 2025, there are 2,875 public funds holding Hong Kong stocks, with a total holding size of HKD 859.2 billion, representing 18.7% of total southbound fund holdings and 3.7% of the free float market capitalization of Hong Kong stocks [1] Group 2 - Among the public funds, those exclusively targeting Hong Kong stocks account for over 90% of the passive fund size, with 114 funds holding HKD 161.5 billion, which is 18.8% of the total Hong Kong stock holdings of public funds [2] - The active management funds focusing on Hong Kong stocks are less than HKD 15 billion, indicating limited impact on individual stock overweighting and underweighting [2] - Funds that invest in both A-shares and Hong Kong stocks have a 5.9% overweighting in Hong Kong stocks relative to their benchmarks, but this only represents about 0.5% of the free float market capitalization of Hong Kong stocks [2] Group 3 - From an industry perspective, sectors such as media, electronics, and retail are overweighted, while banking, non-bank financials, and transportation sectors are underweighted [3] - Despite potential technical reductions in holdings, the outlook for the Hong Kong market remains positive, as the diverse investor structure may provide opportunities for value recovery [3] - Incorporating Hong Kong stocks into portfolios could yield better risk-return ratios compared to solely investing in the CSI 300 index [3] Group 4 - According to Jiyin International, the internal and external conditions for Hong Kong stocks are improving, with three main investment themes: technology innovation, high dividend yields, and policy benefits [4] - The technology innovation theme includes sectors like semiconductors and internet technology, which are expected to benefit from policy support and demand growth [4] - High dividend stocks in banking, utilities, and telecommunications are likely to attract investors in a low-interest-rate environment, while financial services firms may benefit from increased market activity and consumer support policies [4]

Summary of Conference Call Records Industry Overview - The focus is on the A-share market in China, particularly in the context of the ongoing U.S.-China trade situation and its implications for investment strategies and market dynamics [1][3][8]. Key Points and Arguments - **AIE Indicator**: The AIE (Asset Investment Equity) indicator, which measures the equity allocation ratio in the market, predicts a future annualized return of 8.64% over the next three years, down from a previous forecast of 12% [1][4]. - **Revised ERP Model**: The revised ERP (Equity Risk Premium) model suggests maintaining a strategic position of around 60% in equities, contrasting with previous recommendations of being fully invested or in cash [1][5]. - **Market Trends**: Despite short-term volatility due to various factors, including U.S.-China trade relations and monetary policy, the A-share market is expected to maintain a long-term upward trend through 2027-2028 [1][6]. - **Internal Market Focus**: The market's attention is shifting from external factors to internal issues such as overcapacity, deflation, real estate downturns, and local government debt, which are becoming critical for future market performance [1][8][9]. - **Investor Sentiment**: Current investor sentiment is nearing historical adjustment levels, indicating potential for market corrections and style rotation risks [1][10][11]. Additional Important Insights - **Sector Rotation**: Recent market style rotation has moved from growth to defensive and then to consumer sectors, with a focus on defensive assets like gold and high-dividend stocks [1][12][18]. - **Investment Value**: High-dividend, low-volatility sectors such as banking, utilities, and transportation are highlighted as having significant investment value in the current market environment [1][13]. - **Impact of Fund Development Plans**: The public fund development action plan may lead to a shift in capital towards underweighted sectors like banking and utilities, negatively impacting sectors like electronics and biomedicine [2][17]. - **Economic Challenges**: The Chinese economy faces challenges such as overcapacity and declining fixed asset investment growth, with corporate earnings yet to confirm a bottom [1][9]. - **Consumer Sector Outlook**: The consumer sector is currently underperforming due to a lack of fundamental support, with expectations for improvement reliant on policy stimulus [1][16]. Conclusion - The A-share market is navigating a complex landscape influenced by both internal economic factors and external trade dynamics. Investors are advised to remain cautious and adaptable to ongoing market changes, focusing on sectors that offer defensive characteristics and potential for recovery.

分析师：柏逸凡 登记编号：S0890524100001 分析师：程秉哲 登记编号：S0890522110001 投资要点 报告统计时间为2025.05.05-2025.05.09。 静观其变，谋而后动。关税下调之后，可适度控制仓位，静观其变，建议关注红利低波、银行、 公用事业等方向。待市场出现阶段性调整或政策发力紧迫性提高时再积极布局，可关注AI+、 TMT、电子等科技方向，以及旅游、文娱、体育等新型消费的逢低布局机会。 权益市场， 上周，市场风格方面，小盘及成长风格表现强势；风格波动方面，市场风格波动处于 低位，风格较为稳定。市场结构方面，上周，行业指数超额收益离散度继续下降，成分股上涨比 例先升后降，行业轮动速度快速上升；交易集中度方面，前100个股成交额占比及前5行业成交额 占比继续维持在低位，显示行业热点较为分散。市场活跃度方面，上周，市场波动率从高位迅速 下降，换手率亦快速下行。 商品市场方面， 上周，趋势强度表现分化，能化、黑色板块延续其较强的趋势性，有色、农产 品、贵金属板块趋势性较弱；基差动量方面，有色、农产品板块维持高位；波动率方面，各板块 波动率从高位大幅下降；流动性方面，各板块流动性表现 ...

2025 年 05 月 13 日 证券研究报告 | 金融工程周报 关税下调之后，市场分歧仍存 市场环境因子跟踪周报（2025.05.09） 分析师：柏逸凡 分析师登记编码：S0890524100001 电话：021-20321081 邮箱：baiyifan@cnhbstock.com 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 021-20515355 相关研究报告 向 — 市 场 环 境 因 子 跟 踪 周 报 （2025.04.30）》2025-05-07 2、《关税问题反复，大盘延续稳健—市场 中 观 因 子 跟 踪 周 报 （ 2025.04.27 ）》 2025-04-29 3、《市场进入降波阶段，风格稳定性上升 —量化数据看板跟踪周报（2025.04.20）》 2025-04-23 风 险 特 征 解 析 — 量 化 策 略 视 点 》 2024-12-17 投资要点 报告统计时间为 2025.05.05-2025.05.09。 分析师：程秉哲 静观其变，谋而后动。关税下调之后，可适度控制仓位，静观其变， ...

Core Insights - The willingness of incremental capital to flow into the market has shown signs of recovery, with trading funds experiencing a net inflow for the first time in six weeks, indicating a shift in sentiment towards growth sectors [1][4] - Foreign capital has also turned to net inflow, supported by easing trade tensions, with emerging market allocation remaining below 40% since 2018 [1][5] - Recent financial policies are expected to enhance the resilience of the capital market and guide funds towards benchmark allocations, particularly in sectors like banking, utilities, and oil and petrochemicals [1][6] Group 1: Trading Capital Recovery - Trading capital sentiment has improved, with net inflows of financing capital amounting to 167 billion, marking a recovery in trading activity [4][20] - The allocation of funds has increased towards growth sectors such as electronics, computers, machinery, and pharmaceuticals [4][53] - Retail investors saw a net outflow of 41 billion, but the outflow has narrowed compared to previous weeks [7][12] Group 2: Foreign Capital Inflows - For the period from April 30 to May 7, foreign capital saw a net inflow of 15.8 billion, primarily driven by passive allocation funds [5][60] - Despite the recent inflow, foreign capital allocation in A-shares remains low, with emerging market funds holding less than 40% of A-shares [5][66] - The average daily trading volume of northbound funds has slightly increased to 160.4 billion [60][61] Group 3: Fund Allocation Trends - The recent regulatory framework aims to guide funds towards benchmark allocations, particularly benefiting underweighted sectors like state-owned banks and financial services [6][32] - The issuance of new equity funds has decreased, with only 61 billion shares launched last week [32][43] - The average equity allocation of long-term insurance funds has slightly decreased, indicating a cautious approach to market exposure [56][57] Group 4: ETF and Private Fund Activity - Last week, stock ETFs experienced a net outflow of 32.4 billion, with significant redemptions in broad-based ETFs [43][52] - Private funds have shown increased interest in sectors like pharmaceuticals and electronics, with a notable rise in research activity [53][54] - The overall sentiment in the ETF market reflects a preference for sectors such as technology and public services, which have seen net inflows [43][49]

- The report covers the period from 2025.05.05 to 2025.05.09[10] Quantitative Factors and Construction Methods Stock Market Factors 1. **Factor Name**: Market Style Factors - **Construction Idea**: Track the performance and volatility of different market styles such as small-cap vs. large-cap and growth vs. value[11] - **Construction Process**: - Measure the performance of small-cap and large-cap stocks - Measure the performance of growth and value stocks - Calculate the volatility of these styles - **Evaluation**: The market style factors showed a strong performance for small-cap and growth styles, with low volatility[11][13] 2. **Factor Name**: Market Structure Factors - **Construction Idea**: Analyze the dispersion of excess returns among industry indices and the concentration of trading volume[11] - **Construction Process**: - Calculate the dispersion of excess returns among industry indices - Measure the proportion of trading volume of the top 100 stocks and the top 5 industries - **Evaluation**: The market structure factors indicated a decrease in the dispersion of excess returns and low concentration of trading volume[11][13] 3. **Factor Name**: Market Activity Factors - **Construction Idea**: Track the market's volatility and turnover rate[12] - **Construction Process**: - Measure the market's volatility - Calculate the turnover rate - **Evaluation**: The market activity factors showed a rapid decline in both volatility and turnover rate[12][13] Commodity Market Factors 1. **Factor Name**: Commodity Trend Strength - **Construction Idea**: Measure the trend strength of different commodity sectors[25] - **Construction Process**: - Calculate the trend strength for energy, black metals, non-ferrous metals, agricultural products, and precious metals - **Evaluation**: The trend strength was strong for energy and black metals, while weak for non-ferrous metals, agricultural products, and precious metals[25][28] 2. **Factor Name**: Basis Momentum - **Construction Idea**: Track the basis momentum of different commodity sectors[25] - **Construction Process**: - Measure the basis momentum for non-ferrous metals and agricultural products - **Evaluation**: The basis momentum remained high for non-ferrous metals and agricultural products[25][28] 3. **Factor Name**: Commodity Volatility - **Construction Idea**: Measure the volatility of different commodity sectors[25] - **Construction Process**: - Calculate the volatility for energy, black metals, non-ferrous metals, agricultural products, and precious metals - **Evaluation**: The volatility significantly decreased from high levels across all sectors[25][28] 4. **Factor Name**: Commodity Liquidity - **Construction Idea**: Track the liquidity of different commodity sectors[25] - **Construction Process**: - Measure the liquidity for energy, black metals, non-ferrous metals, agricultural products, and precious metals - **Evaluation**: The liquidity showed mixed performance across different sectors[25][28] Option Market Factors 1. **Factor Name**: Implied Volatility - **Construction Idea**: Measure the implied volatility of options on different indices[33] - **Construction Process**: - Calculate the implied volatility for options on the SSE 50 and CSI 1000 indices - **Evaluation**: The implied volatility for SSE 50 and CSI 1000 options significantly decreased, indicating a divergence in market views on small-cap stocks[33][34] Convertible Bond Market Factors 1. **Factor Name**: Convertible Bond Premium - **Construction Idea**: Measure the premium of convertible bonds[35] - **Construction Process**: - Calculate the premium for convertible bonds priced around 100 yuan - **Evaluation**: The premium showed a slight adjustment, with the market valuation at a moderately high level[35][37] Factor Backtesting Results 1. **Market Style Factors**: - Small-cap and growth styles showed strong performance with low volatility[11][13] 2. **Market Structure Factors**: - Decrease in excess return dispersion and low trading volume concentration[11][13] 3. **Market Activity Factors**: - Rapid decline in market volatility and turnover rate[12][13] 4. **Commodity Trend Strength**: - Strong trend for energy and black metals, weak for others[25][28] 5. **Basis Momentum**: - High basis momentum for non-ferrous metals and agricultural products[25][28] 6. **Commodity Volatility**: - Significant decrease in volatility across all sectors[25][28] 7. **Commodity Liquidity**: - Mixed liquidity performance across sectors[25][28] 8. **Implied Volatility**: - Significant decrease in implied volatility for SSE 50 and CSI 1000 options[33][34] 9. **Convertible Bond Premium**: - Slight adjustment in premium, moderately high market valuation[35][37]