量化周报 市场支撑较强 glmszqdatemark 2025 年 12 月 14 日 相关研究 本公司具备证券投资咨询业务资格，请务必阅读最后一页免责声明 证券研究报告 1 择时观点：市场支撑较强。当下流动性继续下行，分歧度保持下行趋势，景气度 处上行趋势，三维择时框架转为一致上涨判断。从技术形态来看，沪深 300 在经 历典型跌破支撑-自动反弹-二次测试后整体表现较强，12 月 12 日下探支撑线后 回升再次站稳，筹码整体供应有限。 指数监测：国债及政金债指数大幅流入。近 1 周国债及政金债 0-3、绿色电力、 国资央企 50、通信设备主题、凤凰 50 等大幅流入。近 1 周家居家电、全指航空、 中证 A 股、卫星产业、创业板综份额流出最多。 1． 基本面选股组合月报：AEG 估值潜力组合今 年实现 11.85%超额收益-2025/12/09 2． 量化周报：三维择时框架转多-2025/12/07 3． 资产配置月报 202512：中游制造哪些板块 CAPEX 最克制？-2025/12/07 4． 量化大势研判 202512：继续增配低估值质 量类资产-2025/12/03 5． 社融预测月报：2025 ...

Market Performance - The market experienced narrow fluctuations on August 8, with all three major indices slightly declining. The Shanghai Composite Index fell by 0.12%, the Shenzhen Component Index decreased by 0.26%, and the ChiNext Index dropped by 0.38% [1] - Despite the overall market decline, several ETFs related to construction materials, photovoltaic, and infrastructure sectors saw gains exceeding 2% [1] ETF Performance - The following ETFs showed notable performance: - E Fund Construction Materials ETF increased by 2.18%, closing at 0.702 [2] - Leading Photovoltaic ETF rose by 2.05%, with a price of 0.497 [2] - Infrastructure ETF also gained 2.05%, closing at 1.146 [2] - Infrastructure 50 ETF increased by 2.04%, closing at 1.103 [2] Industry Outlook - Experts predict that as Chinese engineering machinery companies continue to globalize, their competitiveness in overseas markets is expected to enhance, leading to an increase in market share [2] - The domestic engineering machinery market is anticipated to benefit from the "two new" policy, which is expected to drive ongoing demand for equipment upgrades. Additionally, growth in water conservancy and municipal sectors is likely to support a continued recovery in domestic engineering machinery demand [2]

Group 1 - The ETF market on August 8 showed mixed performance, with the construction materials ETF from E Fund (159787) leading gains at 2.18% [2] - The photovoltaic ETF (560980) and the infrastructure ETF (516950) both increased by 2.05% [2] - The software index ETF (560360) experienced the largest decline, falling by 3.07%, followed closely by the innovation-driven ETF (562570) which dropped 3.02% [2] - The computer ETF from Southern (159586) decreased by 2.87% [2]

Market Overview - A-shares experienced a slight pullback with the Shanghai Composite Index down 0.12%, Shenzhen Component down 0.26%, and ChiNext down 0.38% as of August 8, 2025, with a total trading volume of 171.02 billion [1] ETF Performance - The top-performing ETF was the Building Materials ETF (159787) with a gain of 2.18%, followed by the Photovoltaic ETF (260980) and Infrastructure ETF (216950), both up 2.05% [1] - The worst-performing ETFs included the Software Index ETF (260360) down 3.07% and the Innovation ETF (562570) down 3.02% [3] Policy Insights - Recent anti-involution policies are expected to enhance market competition and improve the valuation of low-valued manufacturing sectors, particularly in the photovoltaic industry [2] - The focus is on sectors with low stock prices and those benefiting from policy expectations, such as float glass and certain consumer building materials [2] Trading Activity - The Short-term Bond ETF (511360) had the highest trading volume at 25.82 billion, followed by the Silver Day Benefit ETF (211880) at 17.91 billion [4] - The Benchmark Government Bond ETF (511100) led in turnover rate at 283.49%, indicating high trading activity [5] Upcoming ETF Launches - Five new ETFs are set to begin fundraising on August 11, 2025, including the Growth ETF (159559) and the Hong Kong Innovative Drug ETF (159286) [6] - The upcoming ETFs will track various indices focusing on high-growth companies and innovative drug sectors [7]

Market Overview - A-shares experienced a slight decline with the Shanghai Composite Index down by 0.33%, Shenzhen Component Index down by 0.22%, and ChiNext Index down by 0.23%, with a total trading volume close to 1.8 trillion yuan [1] ETF Performance - The leading ETF in terms of growth was the Science and Technology Innovation Index ETF managed by Harvest, which surged by 20.04% [2] - Other notable gainers included various AI-related ETFs, with increases ranging from 4.20% to 4.81% [2] Sector Analysis - Guosen Securities highlighted that TSMC anticipates strong AI demand and a moderate recovery in non-AI demand, raising its annual revenue growth forecast from approximately 25% to 30% [3] - The semiconductor sector is expected to benefit from a favorable macroeconomic policy cycle, inventory cycle, and AI innovation cycle, leading to valuation expansion [3] - CICC predicts that generative AI technology will deepen its penetration in the second half of 2025, improving the competitive landscape and accelerating domestic substitution in the semiconductor and components industry [3] ETF Declines - Infrastructure and building materials ETFs experienced significant declines, with the leading infrastructure ETF down by 3.06% [5] - The recent announcement of large-scale infrastructure projects, including the Yarlung Tsangpo River hydropower project, is expected to stimulate demand in related sectors such as cement and construction materials [6][4] Trading Activity - The trading volume for money market ETFs saw a rebound, with the top performer being the Yinhua Daily ETF, achieving a transaction volume of 23.16 billion yuan [7] - The turnover rate for the Hong Kong Medical ETF reached 620%, indicating high trading activity [8] Upcoming ETF Launches - Three new ETFs will begin fundraising on July 28, 2025, focusing on Hong Kong consumer and technology sectors [8] - Four ETFs are set to be listed on the same day, including the Aviation ETF and Cash Flow ETF, which track various indices related to aviation and cash flow [9]

Core Viewpoint - The ETF market experienced mixed performance, with significant gains in technology-focused ETFs while infrastructure-related ETFs faced declines [1] Group 1: ETF Performance - The Science and Technology Innovation Index ETF by Jiashi (589300) led the gains with an increase of 20.04% [1] - The Huabao AI ETF (589520) rose by 4.81%, and the Science and Technology AI ETF (588790) increased by 4.70% [1] - Conversely, the Infrastructure ETF (516950) was the biggest loser, declining by 3.06%, followed by another Infrastructure ETF (159619) which fell by 2.89%, and the Yifangda Building Materials ETF (159787) which decreased by 2.63% [1] Group 2: Market Sentiment - The market is undergoing adjustments, suggesting that investors may consider broad-based indices for bottom-fishing opportunities [1]

Group 1 - The Hong Kong medical ETF (159366) led the gains with an increase of 2.08% [1] - The energy and chemical ETF (159981) rose by 1.64% [1] - The Hong Kong innovative drug ETF (520880) increased by 1.47% [1] Group 2 - The construction materials ETF (159787) was the biggest loser, declining by 2.49% [1] - The infrastructure ETF (516950) fell by 2.46% [1] - The Hang Seng Internet Technology ETF (159202) decreased by 2.15% [1]

Group 1 - The opening performance of ETFs showed mixed results, with the Shen 100 ETF from ICBC leading the gains at 3.96% [1] - The Nikkei ETF increased by 1.93%, while the CSI 300 ETF from Yongying rose by 1.92% [1] - Conversely, the Gold Stocks ETF experienced the largest decline at 2.5%, followed by the Sustainable Development ETF down 2.09%, and the Building Materials ETF from E Fund falling by 1.96% [1]

Group 1 - The Nikkei ETF (159866) led the gains with an increase of 4.54% [1] - The Hang Seng Internet Technology ETF (159202) rose by 4.47% [1] - The Nikkei 225 ETF E Fund (513000) increased by 4.29% [1] Group 2 - The construction materials ETF E Fund (159787) was the biggest loser, declining by 6.28% [1] - The construction materials ETF (516750) fell by 5.91% [1] - The construction materials ETF (159745) decreased by 5.61% [1]

Group 1 - The Hong Kong Securities ETF (513090) led the gains with an increase of 4.09% [1] - The Nikkei 225 ETF from E Fund (513000) rose by 3.69% [1] - The Japan Tokyo Stock Exchange Index ETF (513800) increased by 3.61% [1] Group 2 - The E Fund Building Materials ETF (159787) was the biggest loser, declining by 4.45% [1] - The Building Materials ETF (516750) fell by 3.81% [1] - The Building Materials ETF (159745) decreased by 3.17% [1]