证 券 研 究 报 告 商品型上市基金：折溢价探讨与产品投资策略分析 ——ETF兵器谱、金融产品每周见20251121 证券分析师：奚佳诚 A0230523070004 蒋辛 A0230521080002 邓虎 A0230520070003 联系人： 奚佳诚 A0230523070004 xijc@swsresearch.com 2025.11.21 投资要点 www.swsresearch.com 证券研究报告 2 1. 商品型上市基金总览：黄金ETF、白银LOF、商品期货ETF ◼ 商品型基金是一类特殊的公募基金产品类型 表：目前市面上的商品型基金 ◼ 商品型基金是一类特殊的公募基金产品类型：市场上共有18只商品型基金，追踪黄金、白银、商品期货等不同商品资产，且全为上市基金 除国投瑞银白银期货为LOF外，其余17只产品均为ETF产品。 ◼ 黄金ETF与上海金ETF的产品，其底层黄金资产存在区别：上海金合约采用集中定价交易，每日仅形成两个时点的价格。黄金现货合约则 为现货实盘交易。两类合约的价格日内变化曲线上，会存在非常明显的区别。底层黄金资产的区别导致上海金ETF可能出现日内短期"账 面折溢价"。不过，两 ...

Group 1 - The core viewpoint of the article emphasizes the unique characteristics and advantages of commodity ETFs, which serve as effective tools for asset allocation and inflation hedging [1][2] Group 2 - Commodity ETFs are categorized into physically-backed ETFs and non-physically-backed ETFs, with the former holding physical assets like gold and the latter primarily consisting of commodity futures ETFs [1] - Commodity ETFs have a low correlation with other major asset classes, allowing for risk diversification and enhancing the risk-return profile of investment portfolios [1] - As tangible assets, commodities generally appreciate in value with inflation, making commodity ETFs a viable option for investors seeking to mitigate asset loss due to inflation [1][2] Group 3 - Commodity ETFs lower the investment threshold for commodity trading, enabling individual investors to participate in commodity markets through a more accessible fund structure [2] - The trading of ETFs is convenient, allowing investors to buy and sell fund shares on the secondary market like stocks, as well as subscribe and redeem in the primary market [2]

Group 1 - The strategy for low to medium risk asset allocation includes risk parity and risk budgeting models, where risk parity allocates equal risk weights across different assets, while risk budgeting allows investors to set asset risk weights based on their risk preferences [1] - The correlation between major asset classes such as equities (A-shares, Hong Kong stocks, US stocks), bonds, and commodities (precious metals, energy, chemicals) is relatively low, making it suitable to construct portfolios using corresponding ETFs [1] - The long-term correlation between bonds and equities or commodities ranges from 0 to -30%, indicating a "stock-bond seesaw" effect due to the counter-cyclical nature of interest rates affecting bond yields, while equities and commodities reflect the health or expectations of the real economy [1] Group 2 - A simple construction method for the model involves selecting broad-based indices for equities such as CSI 300 ETF, CSI 500 ETF, ChiNext ETF, and National 2000 ETF, while the bond portion can include government bond ETFs, policy financial bond ETFs, and local government bond ETFs [2] - For the commodity portion, gold ETFs and commodity futures ETFs can be included, with advanced construction methods allowing for a core-satellite approach or sector rotation strategy for equities [2]

深圳证券交易所 SHENZHEN SHENZHEN STOCK EXCHANGE 深交所ETF投资问答(39) kes i m g T t x 154 B d UN - 编者按 - 」 风险平价／风险预算模型 ▪ 风险预算放型 放松对风险均衡配 置的严格要求,投 资者可以根据自身 风险偏好去设定各 资产风险权重。 风险平分旗型 属于风险预算模型 的一个特例,是对 投资组合中不同资 产分配相同的风险 权重的一种资产配 置理念。 选择大类资产 E3 商品 les ... 风险预算模型 风险模型 2% 2% 2 000 资产组合构建 举列 大类资产之间的相关性较低，适合选 ....... 择相应的ETF资产构建组合。 例如,债券和权益类、商品类ETF的长 期相关性在0至-30%之间，"股债晓晓 板"模式长期存在,短期也会有"股债 双杀"的局面。 近年来我国指数型基金迅速发展,交易型开 放式指数基金(ETF) 备受关注。为帮助广 大投资者系统全面认识ETF，了解相关投资 方法,特摘编由深圳证券交易所基金管理部 编著的《深交所ETF投资问答》（中国财政 经济出版社2024年版）形成图文解读。本 篇是第39期，继续为大家 ...