金融工程研究 量化研究 证券研究报告 2026 年 1 月 3 日 湘财证券研究所 基金市场跟踪与 ETF 策略配置月报 1. 《北向资金视角下的ETF轮动》 2022.03.30 行业ETF轮动》 2022.06.28 策略——ETF系列研究》 2024.03.27 研究——ETF系列研究》 2024.12.01 证书编号：S0500522090001 Tel：(8621) 50295307 Email：lizw@xcsc.com 中国人寿金融中心10楼 相关研究： 核心要点： 基金市场跟踪 2. 《基于北向资金与主力资金的 3. 《PB-ROE框架下的ETF轮动 根据 Wind 数据，截至 2025 年 12 月 31 日，全市场共存续基金 13617 只， 相较于上月底，数量上升 142 只；基金总资产净值为 36.32 万亿元，上升 3151.15 亿元，基金市场规模持续上升。2025 年 12 月，价值基金指数、平 衡基金指数及成长基金指数收益率分别为 1.14%、2.71%和 3.69%，成长型 基金表现超价值型基金。 ETF 市场跟踪 4. 《资金流在ETF轮动中的应用 根据 Wind 数据，截 ...

Market Overview - The Shanghai Composite Index rose by 0.47% to close at 3959.62 points, with a daily high of 3964.07 points [1] - The Shenzhen Component Index increased by 0.33% to close at 13531.41 points, reaching a high of 13563.06 points [1] - The ChiNext Index saw a rise of 0.3%, closing at 3239.34 points, with a peak of 3249.1 points [1] ETF Market Performance - The median return of stock ETFs was 0.33% [2] - The highest performing scale index ETF was the GF SSE STAR 200 ETF, with a return of 2.27% [2] - The top industry index ETF was the Yongying National Certificate Commercial Satellite Communication Industry ETF, achieving a return of 6.93% [2] - The highest return among strategy index ETFs was the China An CSI 500 Industry Neutral Low Volatility ETF at 0.87% [2] - The leading theme index ETF was the China Tai Bai Rui CSI All-Share Aerospace ETF, with a return of 5.35% [2] ETF Performance Rankings - The top three ETFs by return were: 1. Yongying National Certificate Commercial Satellite Communication Industry ETF (6.93%) [5] 2. GF CSI Satellite Industry ETF (5.91%) [5] 3. E Fund CSI Satellite Industry ETF (5.86%) [5] - The three ETFs with the largest declines were: 1. Guotai CSI Hong Kong and Shanghai Gold Industry ETF (-1.52%) [6] 2. ICBC Credit Suisse CSI Hong Kong and Shanghai Gold Industry ETF (-1.47%) [6] 3. Ping An CSI Hong Kong and Shanghai Gold Industry ETF (-1.42%) [6] ETF Fund Flows - The top three ETFs by inflow were: 1. Huatai Bairui CSI A500 ETF (1.52 billion) [8] 2. Huaxia CSI A500 ETF (1.449 billion) [8] 3. Guotai CSI A500 ETF (1.065 billion) [8] - The three ETFs with the largest outflows were: 1. Huaxia CSI Robot ETF (574 million) [9] 2. Guotai CSI Military Industry ETF (544 million) [9] 3. Huabao CSI Bank ETF (284 million) [9] ETF Margin Trading Overview - The top three ETFs by margin buying were: 1. Huaxia SSE STAR 50 ETF (579 million) [11] 2. Guotai CSI All-Share Securities Company ETF (327 million) [11] 3. Harvest SSE STAR Chip ETF (199 million) [11] - The highest margin selling amounts were: 1. Huatai Bairui CSI 300 ETF (33.16 million) [12] 2. Huaxia SSE 50 ETF (14.47 million) [12] 3. Southern CSI 500 ETF (8.99 million) [12] Institutional Insights - Dongxing Securities is optimistic about investment opportunities in China's satellite internet industry chain by 2026, anticipating an increase in satellite launches to meet high-frequency demand [13] - Zhongtai Securities believes that the commercial aerospace industry in China is at a critical turning point, transitioning from exploration to growth, with significant demand for launch services and satellite networking expected to accelerate [14]

Market Overview - The Shanghai Composite Index rose by 0.05% to close at 3836.77 points, with a daily high of 3854.33 points [1] - The Shenzhen Component Index increased by 0.37% to close at 12585.08 points, reaching a high of 12655.29 points [1] - The ChiNext Index gained 0.31%, closing at 2929.04 points, with a peak of 2951.43 points [1] ETF Market Performance - The median return of stock ETFs was 0.2%, with the highest return from the Penghua SSE Sci-Tech Innovation Board 200 ETF at 3.01% [2] - The highest performing industry ETF was the China Securities Satellite Industry ETF, yielding 4.25% [2] - The highest return among thematic ETFs was the China Securities Aerospace Industry ETF, which achieved 5.01% [2] ETF Gain and Loss Rankings - The top three ETFs by gain were: - Huaxia China Securities Aerospace Industry ETF (5.01%) - Tianhong China Securities Aerospace Industry ETF (4.66%) - Wanji China Securities Aerospace Industry ETF (4.64%) [4] - The top three ETFs by loss were: - Xingyin SSE Sci-Tech Innovation Board Comprehensive Price ETF (-2.14%) - Huaxia China Securities Sci-Tech Innovation 50 ETF (-1.88%) - Jiashi China Securities Rare Metals Thematic ETF (-1.68%) [4] ETF Fund Flow - The top three ETFs by fund inflow were: - Huatai-PB SSE 300 ETF (inflow of 3.665 billion yuan) - Huaxia SSE 50 ETF (inflow of 1.53 billion yuan) - Southern CSI 500 ETF (inflow of 895 million yuan) [6] - The top three ETFs by fund outflow were: - Huabao CSI Bank ETF (outflow of 211 million yuan) - Fuguo CSI Military Industry Leaders ETF (outflow of 209 million yuan) - Guotai CSI Coal ETF (outflow of 207 million yuan) [6] ETF Margin Trading Overview - The highest margin buy amounts were for: - Huaxia SSE Sci-Tech Innovation 50 ETF (593 million yuan) - E Fund ChiNext ETF (440 million yuan) - Guotai CSI All-Share Securities Company ETF (415 million yuan) [8] - The highest margin sell amounts were for: - Huatai-PB SSE 300 ETF (34.95 million yuan) - Southern CSI 500 ETF (7.56 million yuan) - Huaxia SSE 50 ETF (3.97 million yuan) [9] Institutional Insights - Shenwan Hongyuan expects strong resonance between demand and supply in China's military trade, driven by expanding global military trade demand and enhanced product capabilities [10] - Debon Securities highlights a historic opportunity for the commercial aerospace industry, transitioning from manufacturing to application, with significant growth in low-orbit satellite demand [11]

Core Viewpoint - The recent cautious stance of ETF managers contrasts sharply with the heated market environment, indicating a shift towards a more prudent investment approach among institutional investors as they navigate market volatility and style rebalancing [1][5]. ETF Positioning - Several newly established ETFs are adopting a "low position" strategy, with some having equity positions as low as 10% or even close to zero, reflecting a wait-and-see approach before fully deploying capital [1][3]. - For instance, the Huaxia CSI Photovoltaic Industry ETF had an equity position of 33.19% as of November 11, which is below the required thresholds for investment in index components [2]. - Other ETFs, such as the Jiashi CSI Sub-Sector Chemical Industry Theme ETF and the Yifangda CSI Satellite Industry ETF, reported equity positions of 19.99% and 10.02%, respectively, as of early November [2]. Institutional Caution - The cautious behavior of ETFs is notable, as they typically aim to quickly align with their benchmark indices. However, recent listings show a significant delay in building positions, suggesting a more conservative approach from fund managers [4]. - Regulatory guidelines emphasize the need for fund managers to ensure compliance with investment ratios before listing, yet many funds are still in the process of building their portfolios, indicating a cautious market sentiment [4]. Market Dynamics - The Shanghai Composite Index has experienced volatility around the 4000-point mark, with a shift in market focus from technology stocks to sectors like new energy and cyclical stocks, which are showing improved performance [5]. - Institutional attitudes have shifted from aggressive to cautious, with passive funds slowing their pace of investment and actively managed funds also adopting a more conservative stance [5]. Investment Strategies - The concepts of "balanced allocation" and "barbell strategy" are regaining prominence among institutional investors, moving away from the previously favored growth-oriented strategies [6]. - Historical data suggests a tendency for a shift from growth to value styles in the fourth quarter, indicating a potential rebalancing rather than a complete style switch [6]. - Investment firms recommend a barbell strategy, combining high-dividend assets with a focus on quality growth assets, to navigate the current market conditions [6][7].

Core Viewpoint - The recent cautious stance of newly established ETFs contrasts sharply with the heated market environment, indicating a more prudent attitude among institutional investors as they navigate market volatility and style rebalancing [1][5]. ETF Positioning - Several newly launched ETFs are adopting a "low position" strategy, with some having equity positions as low as 10% or even close to zero, reflecting a wait-and-see approach before fully deploying their capital [1][3]. - For instance, the Huaxia CSI Photovoltaic Industry ETF had an equity position of 33.19% as of November 11, which is below the required thresholds set by its fund contract [2]. - Other ETFs, such as the Jiashi CSI Sub-Sector Chemical Industry Theme ETF and the Yifangda CSI Satellite Industry ETF, reported equity positions of only 19.99% and 10.02%, respectively [2]. Market Dynamics - The cautious approach of ETFs comes amid a backdrop of the Shanghai Composite Index fluctuating around the 4000-point mark, with a notable shift in market styles as technology stocks face adjustments while new energy and cyclical sectors show improved performance [4][6]. - The market is currently experiencing a "rebalancing" rather than a complete "switch," with institutions returning to more balanced strategies after a period of aggressive growth-focused investments [6]. Investment Strategies - The "balanced allocation" and "barbell strategy" are re-emerging as core investment strategies among institutions, emphasizing a mix of dividend-paying assets and high-quality growth assets [5][6]. - Historical data suggests that after a strong performance in growth styles during the third quarter, a shift towards value styles in the fourth quarter is common, reinforcing the need for a balanced approach [6]. Recommendations - Fund managers are encouraged to consider increasing allocations to high-dividend stocks while maintaining a focus on quality growth assets, particularly in the context of the current market dynamics [7].

Core Insights - The Huaxia CSI Photovoltaic Industry ETF is set to be listed on November 18, 2025, with a total trading share of 300 million [1] - As of November 11, 2025, the fund's asset allocation includes 66.77% in bank deposits and settlement reserves, and 33.19% in stock investments, indicating it is still in the accumulation phase [1] - In November, 13 stock ETFs have announced their listings, with an average position of only 21.03%, while the highest position is held by the Southern CSI Hong Kong Internet ETF at 45.33% [1] Fund Statistics - The average fundraising for newly announced ETFs in November is 424 million shares, with the top three being the Zhaoshang National Index Hong Kong Technology ETF (935 million shares), the Jiashi CSI Subdivided Chemical Industry Theme ETF (926 million shares), and the Tianhong National Index Hong Kong Technology ETF (645 million shares) [2] - Institutional investors hold an average of 12.72% of the shares across these ETFs, with the highest proportions in the Guolianan Hong Kong Technology ETF (31.99%), Huabao CSI Hong Kong Information Technology Comprehensive ETF (29.99%), and Ping An CSI General Aviation Theme ETF (18.60%) [2] Recent ETF Launches - The following ETFs have been launched recently with their respective details: - Huaxia CSI Photovoltaic Industry ETF: Established on November 6, 2025, with a fundraising scale of 300 million shares and a position of 33.19% as of November 11, 2025, listing on November 18, 2025 [2] - Jiashi CSI Subdivided Chemical Industry Theme ETF: Established on November 6, 2025, with a fundraising scale of 926 million shares and a position of 19.99%, listing on November 14, 2025 [2] - Yifangda CSI Satellite Industry ETF: Established on November 5, 2025, with a fundraising scale of 486 million shares and a position of 10.02%, listing on November 14, 2025 [2]

Core Insights - Two stock ETFs have announced their listing, with Jiashi's ETF holding 19.99% and Yifangda's ETF holding 10.02% [1] - A total of 12 stock ETFs have announced listings in November, with an average holding of 20.01%, and the highest being 45.33% for Nanfang's ETF [1] - The average fundraising for the newly announced ETFs is 4.35 million shares, with the largest being 9.35 million shares for the Zhaoshang ETF [1][2] ETF Holdings - Institutional investors hold an average of 13.40% of the shares, with the highest being 31.99% for Guolianan's ETF [2] - The ETFs with the lowest institutional holdings include Tianhong's ETF at 0.59% and Yifangda's ETF at 3.54% [2] ETF Listing Details - Jiashi's ETF was established on November 6, 2025, with a fundraising of 9.26 million shares and a holding of 19.99% [2] - Nanfang's ETF was established on October 29, 2025, with a holding of 45.33% and a fundraising of 2.70 million shares [2] - The average holding for newly listed ETFs is 20.01%, with significant variations among different funds [1][2]

Market Performance - The Shanghai Composite Index rose by 1.08% last week, closing at 3997.56 points, with a peak of 4012.01 points [1] - The Shenzhen Component Index increased by 0.19%, closing at 13404.06 points, with a high of 13496.7 points [1] - The ChiNext Index saw a rise of 0.65%, ending at 3208.21 points, with a maximum of 3240.34 points [1] - In contrast, major global indices experienced declines, with the Nasdaq Composite down 3.04%, the Dow Jones Industrial Average down 1.21%, and the S&P 500 down 1.63% [1] ETF Market Performance - The median weekly return for stock ETFs was 0.31% [2] - The highest weekly return among scale index ETFs was 2.9% for the Penghua CSI 800 Free Cash Flow ETF [2] - The top-performing industry index ETF was the Southern CSI New Energy ETF, with a return of 5.33% [2] - The highest return in thematic index ETFs was 10.92% for the Huaxia CSI Electric Grid Equipment Thematic ETF [4] ETF Liquidity and Fund Flow - Average daily trading volume for stock ETFs decreased by 15.7%, while average daily trading volume increased by 9.3% [6] - The top five stock ETFs with the highest inflows included the Guotai CSI All-Share Securities Company ETF, which saw an inflow of 400 million yuan [9] - The top five stock ETFs with the largest outflows included the E Fund ChiNext ETF, which experienced an outflow of 290 million yuan [10] ETF Financing and Margin Trading - The financing balance for stock ETFs decreased from 49.1454 billion yuan to 47.9148 billion yuan [11] - The highest financing buy amount was 486 million yuan for the Huaxia SSE Sci-Tech 50 ETF [11] ETF Market Size and Composition - The total market size for ETFs reached 572.989 billion yuan, with stock ETFs accounting for 373.4058 billion yuan [14] - Stock ETFs represent 79.0% of the total number of ETFs and 65.2% of the total market size [16] New ETF Issuance - No new ETFs were issued last week, but eight new ETFs were established, including the Huaxia CSI Photovoltaic Industry ETF [17] Industry Insights - Industrial chain restructuring in the photovoltaic sector is anticipated, with Q3 showing a trend of reduced losses in the main chain [17] - The supply-demand relationship in the photovoltaic industry is expected to recover rapidly, driven by supply-side structural reforms and new technological changes [17]

Core Viewpoint - This week, 23 new funds are being launched, primarily focusing on equity funds, as fund companies aim to capitalize on the recovering A-share market [2][3]. Fund Issuance Overview - A total of 23 public funds are being issued this week, with a significant emphasis on equity products. Among these, 10 are actively managed equity funds and 10 are index funds [3]. - The newly launched active equity funds include 8 mixed equity funds, 1 stock fund, and 1 balanced fund, featuring products from well-known fund managers [3]. Investment Themes - The newly issued active equity funds are primarily targeting popular themes or industries such as resources, high-end equipment, and technology growth. For instance, the West China Fund's specialized quantitative stock selection fund, managed by a seasoned quant manager, aims to invest in specialized and innovative enterprises [3][4]. - The Xin'ao High-end Equipment Fund, also launched this week, focuses on high-end equipment, aligning with national strategic development goals. The fund manager anticipates significant improvements in the defense and military industry due to recovering demand and optimized production capacity [4]. Index Fund Variety - The index funds being launched include a range of enhanced index funds and popular sector ETFs, such as those focusing on the technology and photovoltaic industries [5]. Recent Fund Performance - Several funds from the previous week have attracted significant capital, with the Huatai-PB Yingtai Stable 3-Month Holding Mixed FOF raising over 5.5 billion yuan in just one day [7]. - The active equity fund from Zhongou Fund raised nearly 2 billion yuan in its first day of issuance, indicating strong investor interest [7].

Group 1 - The E Fund Zhongzheng Satellite Industry ETF (563533) will be launched for subscription from October 27 to October 31, 2025, with a maximum initial fundraising scale of 2 billion yuan [1] - The fund will be managed by E Fund Management, with Zhang Zefeng serving as the fund manager [1] - The performance benchmark for the fund is the return rate of the Zhongzheng Satellite Industry Index [1]