金 金融工程点评 [Table_Title] [Table_Message]2025-11-25 金工 ETF 点评：宽基 ETF 单日净流入 109.35 亿元；计算机、通信拥挤变幅较大 [Table_Author] 证券分析师：刘晓锋 电话：13401163428 E-MAIL：liuxf@tpyzq.com 执业资格证书编码：S1190522090001 证券分析师：孙弋轩 电话：18910596766 E-MAIL：sunyixuan@tpyzq.com 执业资格证书编码：S1190525080001 一、资金流向 二、行业拥挤度监测 ◼ 通过构建行业拥挤度监测模型，对申万一级行业指数的拥挤度进行每日监测， 前一交易日军工、农牧、传媒靠前，相比较而言，汽车、非银的拥挤度水平 较低，建议关注。此外，计算机、传媒拥挤度变动较大。从主力资金流动来 看，前一交易日主力资金流入军工、传媒；流出计算机、电力设备、电子。近 三个交易日主力资金减配电子、电力设备；增配传媒。 三、ETF 产品关注信号 ◼ 根据溢价率 Z-score 模型搭建相关 ETF 产品筛选信号模型，通过滚动测算提 供存在潜在套利机会的标的，此外 ...

Core Insights - Two Chinese public fund companies have entered the top 20 global ETF providers, with China becoming the largest ETF market in Asia, surpassing Japan [1][2] Group 1: ETF Market Growth - As of Q3 2025, China’s ETF market has reached approximately 5.5 trillion yuan, solidifying its position as the largest in Asia [1] - Bloomberg's ETF team predicts that by 2035, Asia's ETF market assets could soar to 8 trillion USD, surpassing current European levels [2] Group 2: 华夏基金's Position - 华夏基金 has seen its ETF management scale rise to 126.8 billion USD, moving from 19th to 18th globally, marking a significant ascent since entering the top 20 in 2022 [1] - The company has the largest equity index scale in China, reaching 904.7 billion yuan, and has been recognized as the "Passive Investment Golden Bull Fund Company" for eight consecutive years [3][6] Group 3: Product Diversity and Innovation - 华夏基金 offers a comprehensive range of 116 ETF products, covering core broad-based, thematic, and cross-border markets, establishing a robust investment ecosystem [4][11] - The company employs a "Lego-style" approach to asset allocation, allowing for flexible combinations to meet diverse investor needs [9][11] Group 4: Active Management and Research - 华夏基金 redefines ETF value by integrating active research capabilities, allowing for proactive industry trend predictions rather than merely following market indices [8] - The firm collaborates with index companies to ensure that index compositions remain relevant and reflective of actual market conditions [8] Group 5: Long-term Commitment to Investor Services - The company has introduced various investor service initiatives, including the "Red Rocket" app and educational content, to promote a scientific investment framework [12] - The rise of 华夏基金 in the global ETF rankings exemplifies the combination of scale, research empowerment, product ecosystem, and long-term commitment [12]

Core Insights - The recent ranking of the top 20 global ETF providers by Morningstar for Q3 2025 shows two Chinese public fund companies making the list, with China Asset Management's significant rise in position being noteworthy [1] - China has surpassed Japan to become the largest ETF market in Asia, with a total ETF scale of approximately 5.5 trillion yuan, solidifying its leading position in the Asia-Pacific region [1] Group 1: Company Performance - China Asset Management's ETF management scale reached 126.8 billion USD, moving up from 19th to 18th place in the global rankings, marking its continuous ascent since entering the top 20 in 2022 [1] - The company has maintained its position as the largest player in the domestic ETF market for over 20 years, having launched the first domestic ETF in 2004 [5][9] - As of November 19, 2025, China Asset Management's equity index scale reached 904.7 billion yuan, leading the industry [5] Group 2: Product Offering - The company offers a comprehensive range of 116 ETF products, covering core broad-based indices, thematic sectors, commodities, and both domestic and international markets [6][14] - The product matrix includes various asset types, allowing for flexible combinations to meet diverse investor needs, thus establishing a robust investment ecosystem [12][14] Group 3: Market Trends - Bloomberg's industry research team predicts that China will become a key growth engine for the Asian ETF market over the next decade, with assets expected to reach 8 trillion USD by 2035 [2] - The strong policy support for the ETF market and the increasing adoption rate among retail investors are expected to drive significant capital inflows and attract more foreign institutional participation [2] Group 4: Strategic Approach - China Asset Management employs a "Lego-style" approach to asset allocation, creating a detailed asset category structure to meet diverse investment needs [12] - The company emphasizes a dual empowerment model of "active equity + passive ETF," allowing it to redefine the value of ETFs beyond mere index replication [10][11]

Core Insights - The article highlights the rise of Chinese public fund companies in the global ETF market, with China becoming a significant player in the industry [1][3][10] - Specifically, Huaxia Fund has improved its ranking among global ETF providers, reaching 18th place with an ETF management scale of $126.8 billion as of Q3 2025, marking a continuous upward trend since 2022 [1][3][10] - The growth of the Chinese ETF market is underscored by its total scale of approximately 5.5 trillion yuan, surpassing Japan and establishing China as the largest ETF market in Asia [1][2] Industry Growth Potential - Bloomberg's ETF team predicts that China will be a key growth engine for the Asian ETF market over the next decade, with assets expected to reach $8 trillion by 2035, surpassing current European levels [2] - The strong policy support for ETFs and the increasing adoption rate among retail investors are expected to drive significant capital inflows and attract more foreign institutional participation [2] Huaxia Fund's Competitive Advantages - Huaxia Fund has established a comprehensive ecosystem characterized by "scale foundation + research empowerment + product ecology + long-termism," which has contributed to its sustained ranking improvements [3][10] - The fund has the largest equity index scale in the industry, amounting to 904.7 billion yuan as of November 19, 2025, and has been recognized as the "Passive Investment Golden Bull Fund Company" for eight consecutive years [4][5] - Huaxia Fund offers the most diverse range of ETF products, with 116 ETFs covering various categories, including core broad-based, thematic, commodity, and cross-border markets [4][12] Innovative Investment Strategies - Huaxia Fund employs a dual empowerment strategy of "active equity + passive ETF," redefining the value of ETFs beyond mere index replication [9][10] - The fund's proactive approach in index selection and compilation allows it to align closely with industry trends, ensuring timely and relevant product offerings [9][10] - The "Lego-style" asset allocation strategy enables Huaxia Fund to meet diverse investor needs, creating a robust investment ecosystem that spans all asset classes and scenarios [10][12]

Core Insights - The article highlights the rise of China in the global ETF market, with two Chinese public fund companies making it to the top 20 ETF providers globally, particularly noting the significant progress of Huaxia Fund [1][6] - Huaxia Fund's ETF management scale reached $126.8 billion as of Q3 2025, moving up from 19th to 18th place in the global rankings, showcasing its growth trajectory since entering the top 20 in 2022 [1][6] - The Chinese ETF market has surpassed Japan, becoming the largest in Asia, with a total scale of approximately 5.5 trillion yuan, which strengthens China's leading position in the Asia-Pacific region [1][6] Group 1: Huaxia Fund's Growth - Huaxia Fund has maintained its position as the largest in the domestic ETF market for over 20 years, starting with the launch of the first domestic ETF in 2004 [6][11] - The fund's success is attributed to its comprehensive product ecosystem, which includes 116 ETF products covering a wide range of asset classes and investment strategies [8][18] - As of June 2025, Huaxia Fund had the highest number of clients in the industry, with 3.74 million accounts [9] Group 2: Market Dynamics - The global ETF market is characterized by a "Matthew Effect," where the top three firms (BlackRock, Vanguard, State Street) control 61% of the market share, highlighting the competitive landscape [6] - The report from Bloomberg predicts that China will be a significant growth engine for the Asian ETF market over the next decade, with assets expected to reach $8 trillion by 2035 [2] - The strong policy support and increasing adoption rates among retail investors in China are expected to drive substantial capital inflows and attract more foreign institutional participation [2] Group 3: Innovative Strategies - Huaxia Fund employs a dual empowerment strategy of "active equity + passive ETF," redefining the value of ETFs beyond mere index replication [12][13] - The fund's proactive approach in index selection and product development allows it to stay ahead of market trends, launching innovative products in emerging sectors like AI and 5G [13][14] - The "Lego-style" asset allocation strategy aims to create a comprehensive ecosystem that meets diverse investor needs, enhancing its competitive edge in the market [15][18]

Quantitative Models and Construction Methods 1. **Model Name**: Industry Crowding Monitoring Model **Model Construction Idea**: This model is designed to monitor the crowding levels of industries on a daily basis, focusing on the Shenwan First-Level Industry Index. It identifies industries with high or low crowding levels to provide actionable insights for investors. [3] **Model Construction Process**: The model calculates the crowding level of each industry based on specific metrics, such as fund flows and other market indicators. The daily crowding levels are ranked, and industries with significant changes in crowding levels are highlighted. For example, the model identified that the crowding levels of military and media industries experienced significant changes recently. [3] **Model Evaluation**: The model provides a useful tool for identifying industry trends and potential investment opportunities by analyzing crowding dynamics. [3] 2. **Model Name**: Premium Rate Z-Score Model **Model Construction Idea**: This model is used to screen ETF products by identifying potential arbitrage opportunities based on the Z-score of their premium rates. [4] **Model Construction Process**: The Z-score is calculated using rolling measurements of the premium rate of ETF products. The model flags ETFs with significant deviations from their historical averages, indicating potential arbitrage opportunities or risks of price corrections. [4] **Model Evaluation**: The model effectively identifies ETFs with potential arbitrage opportunities, but it also warns of potential price correction risks. [4] --- Model Backtesting Results 1. **Industry Crowding Monitoring Model**: No specific numerical backtesting results were provided in the report. [3] 2. **Premium Rate Z-Score Model**: No specific numerical backtesting results were provided in the report. [4] --- Quantitative Factors and Construction Methods No specific quantitative factors were explicitly mentioned or constructed in the report. --- Factor Backtesting Results No specific quantitative factor backtesting results were provided in the report.

Market Overview - The A-share market experienced a decline across major indices last week, with the Shanghai Composite Index, CSI 1000, and CSI 300 showing returns of -0.18%, -0.52%, and -1.08% respectively. In contrast, the STAR 50, ChiNext Index, and SME Board Index had poorer performances with returns of -3.85%, -3.01%, and -1.71% respectively [1] - In terms of industry performance, consumer services, textiles and apparel, and pharmaceuticals led with returns of 4.81%, 4.43%, and 3.29% respectively, while communication, electronics, and computers lagged with returns of -4.90%, -4.44%, and -3.72% respectively [1] Fund Flow - The ETF market saw a net inflow of 29.317 billion yuan last week, with stock ETFs contributing 17.352 billion yuan, QDII stock ETFs 5 billion yuan, commodity ETFs 5.957 billion yuan, money market fund ETFs 1.236 billion yuan, and bond ETFs experiencing a net outflow of 0.276 billion yuan [2] - Specific indices that saw significant net inflows include SGE Gold 9999 (5.573 billion yuan), STAR 50 (3.532 billion yuan), and ChiNext AI (2.300 billion yuan) [4] - Conversely, indices such as CSI A500 and CSI 300 experienced notable net outflows of 4.055 billion yuan and 2.640 billion yuan respectively [2][4] ETF Performance - The median weekly return for stock ETFs was -1.09%, with the CSI 50 ETF showing the highest median return of 0.02% among broad-based ETFs. Consumer ETFs had a median return of 2.10%, the highest among sectors [11] - Top-performing ETFs included the Hong Kong Stock Connect Innovative Drug ETF (10.92%), Hang Seng Innovative Drug ETF (10.80%), and Tourism ETF (9.30%) [12][14] - In contrast, ETFs such as 5G Communication ETF and Communication ETF saw declines of -7.03% and -6.89% respectively [16][18] New Fund Activity - A total of 56 funds were reported last week, an increase from the previous week, including one QDII and several thematic ETFs [20] - 25 new funds were established with a total issuance scale of 14.173 billion yuan, which is a decrease compared to the previous week [20] - 41 funds entered the issuance phase last week, with 33 more expected to begin issuance this week [21] Hot News - Several cross-border ETFs have been flagged for premium risks due to significant discrepancies between market trading prices and net asset values [22] - The "Southbound ETF" program expanded on November 10, adding six ETFs to the Hong Kong Stock Connect list, increasing the total number of products from 17 to 23 [23]

Core Viewpoint - Central Huijin's recent investment activities indicate a significant increase in ETF holdings, reflecting a strategy to stabilize the capital market and boost investor confidence [3][9][12]. Group 1: Investment Scale and Changes - As of September 30, Central Huijin's ETF holdings reached approximately 1.53 trillion yuan, marking a quarter-on-quarter increase of about 240 billion yuan, or 19% [4][6][13]. - The number of ETFs held with a proportion exceeding 20% totaled 28, with a combined market value of 1.48 trillion yuan, up 233.2 billion yuan from the previous quarter [8][14]. - The main contributors to the increase in holdings were the recovery of the A-share market, which led to significant appreciation in the net asset values of the ETFs [7][14]. Group 2: Investment Strategy - Central Huijin primarily focuses on broad-based index ETFs, such as the CSI 300 and SSE 50, demonstrating a commitment to maintaining market stability [6][14]. - The investment approach of Central Huijin is characterized by long-term holding and diversification, which serves as a stabilizing force in the market [14][16]. - Adjustments made by its asset management plans, such as the liquidation of certain ETFs, suggest a strategy to align with market trends and sector performance [8][14]. Group 3: Market Impact and Future Outlook - Central Huijin's actions are perceived as a strong signal of the long-term investment value in the A-share market, countering short-term volatility [14][16]. - Analysts expect Central Huijin to continue its steadfast investment in core broad-based ETFs while potentially adjusting its thematic ETF holdings to align with national development strategies [14][16].

Core Insights - Central Huijin's latest investment activities indicate a significant increase in ETF holdings, with total holdings reaching approximately 1.53 trillion yuan, marking a 19% increase from the previous quarter [1][3][11] - The investment strategy focuses on maintaining a stable position in core broad-based ETFs, particularly in major indices like CSI 300 and SSE 50, reflecting a commitment to market stability [3][13] - Adjustments in specific asset management plans suggest a responsive approach to market trends, with notable actions such as the complete liquidation of a high-dividend ETF [6][7] Investment Holdings Overview - As of September 30, Central Huijin's total ETF holdings increased from 1.29 trillion yuan to approximately 1.53 trillion yuan, a rise of about 2.4 billion yuan [3][11] - The number of ETFs with holdings exceeding 20% reached 28, with a total market value of 1.48 trillion yuan, reflecting a quarterly increase of 233.2 billion yuan [1][7] - The main contributors to the growth in holdings were the core broad-based ETFs, with significant increases in net asset values due to a recovering stock market [6][11] Specific ETF Performance - Fourteen broad-based ETFs saw substantial increases in market value, while only one sector ETF experienced a decline [4] - Central Huijin Investment maintained a stable number of holdings in 15 ETFs, with a total market value of approximately 777.98 billion yuan, reflecting a 19.23% increase [3][6] - Central Huijin Asset also held 12 ETFs, with a total market value of about 697.56 billion yuan, marking an 18.26% increase [6] Strategic Adjustments - The asset management plans under Huaxia and E Fund made strategic adjustments, including the complete liquidation of a high-dividend ETF and a reduction in automotive sector ETF holdings [6][7] - Analysts suggest these adjustments are aimed at aligning with market trends and sector performance expectations [7] Long-term Investment Philosophy - Central Huijin's investment approach emphasizes long-term stability and diversification, focusing on broad-based ETFs to support market stability [13] - The organization is viewed as a "national team" in the capital market, reinforcing investor confidence through its substantial and stable holdings [13][14]

Core Insights - Central Huijin's latest investment activities indicate a significant increase in ETF holdings, with total holdings reaching approximately 1.53 trillion yuan by the end of Q3, marking a quarter-on-quarter increase of about 240 billion yuan, or 19% [1][2][9] ETF Holdings Overview - Central Huijin's four main investment entities held a total ETF market value of approximately 1.53 trillion yuan as of September 30, up from 1.29 trillion yuan at the end of Q2, reflecting a growth of about 240 billion yuan [2][5] - The core entities, Central Huijin Investment and Central Huijin Asset, primarily focus on broad-based index ETFs, particularly in the CSI 300, SSE 50, CSI 500, and CSI 1000 indices, acting as a "market stabilizer" [2][10] - The top four holdings are all CSI 300 ETFs from various fund managers, which constitute the majority of the portfolio [2] Performance of Specific ETFs - Central Huijin Investment maintained its holdings in 15 ETFs with over 20% ownership, totaling a market value of approximately 777.8 billion yuan, an increase of 125.5 billion yuan, or 19.23% [2][3] - Central Huijin Asset held 12 ETFs with over 20% ownership, with a total market value of about 697.6 billion yuan, reflecting an increase of 107.7 billion yuan, or 18.26% [2][3] Strategic Adjustments - The asset management plan under Huaxia Fund made strategic adjustments, including completely liquidating its holdings in the Huaxia Hang Seng China Enterprises High Dividend ETF and reducing its position in the CSI 800 Automotive and Parts ETF [3][4] - These adjustments are believed to be in response to market trends and sector performance expectations [4] Historical Context and Future Outlook - Central Huijin's ETF holdings have consistently reached new highs over the past two years, with a notable increase in 2023, where it began to utilize ETF purchases to stabilize market expectations and boost investor confidence [6][8] - By the end of 2024, Central Huijin's ETF holdings are projected to reach approximately 10.5 trillion yuan, indicating a significant growth trajectory [7] - Analysts expect Central Huijin to continue its focus on core broad-based ETFs while its asset management plans may adopt a more flexible approach towards sector-specific ETFs [11][12]