昨日市场探底回升，创业板指涨超1%。盘面上，机器人概念爆发，商业航天概念延续强势，福建板块表现活跃；下跌方面，大消费板块震荡调整，海南板 块集体走弱。 Wind数据显示，在12月4日的非货币ETF市场中，易方达中证海外互联ETF份额增加3.49亿份，实现净流入5.33亿元；国泰上证10年期国债ETF份额增加0.04 亿份，对应净流入4.97亿元；国泰中证A500ETF份额增加3.96亿份，带来净流入4.56亿元。 | 证券代码 证券简称 | 涨跌幅 | 基金份额变化 净流入额 | | 基金利 | | --- | --- | --- | --- | --- | | | (%) | (亿份) | (亿元) | (亿元 | | 513050.SH 易方达中证海外互联ETF | 0.46 | 3.49 | 5.33 | 40 | | 511260.SH 国泰上证10年期国债ETF | -0.31 | 0.04 | 4.97 | 15 | | 159338.SZ 国泰中证A500ETF | 0.35 | 3.96 | 4.56 | 22. | | 510050.SH 华夏上证50ETF | 0.26 | 1.40 | ...

证 券 研 究 报 告 QDII ETF：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20251203 证券分析师：白皓天 A0230525070001 蒋辛 A0230521080002 邓虎 A0230520070003 联系人： 白皓天 A0230525070001 baiht@swsresearch.com 2025.12.03 投资要点 www.swsresearch.com 证券研究报告 2 ◼ QDII ETF概览：港股ETF为主，2021年起快速发展；2023年期非港股ETF规模快速提升，新布局指数也多聚焦非港股市场。 ◼ QDII ETF的折溢价形成机制： ◼ 1）现金申赎，溢价回归依赖"申购+卖出"；能否套利主要取决于基金能否申赎，其中，溢价的抹平依赖申购； ◼ 2）高溢价往往源于套利链条的断裂； ◼ 3）套利预期收益：分市场探讨，若交易时段重叠，IOPV为实时价格，套利收益=溢价率；若交易时间不重叠，IOPV为预估昨日净值，套 利收益=溢价率-当日收益；当下溢价率水平普遍存在突出套利机会； ◼ 4）溢价并非长期存在，仅部分时段存在普遍高溢价，多源于海外资产业绩占优、或申 ...

Core Viewpoint - As of November 18, the total margin balance for ETFs in the Shanghai and Shenzhen markets reached 123.813 billion yuan, reflecting an increase of 3.81 billion yuan from the previous trading day [1] Summary by Category ETF Financing and Margin Balance - The ETF financing balance stood at 115.675 billion yuan, up by 3.9 billion yuan from the previous trading day [1] - The ETF margin short balance was recorded at 8.138 billion yuan, showing a decrease of 90 million yuan compared to the previous trading day [1] Net Inflows and Top Performers - On November 18, 297 ETFs experienced net financing inflows, with the top performer being the Fortune China Government Bond ETF (7-10 years), which saw a net inflow of 1.739 billion yuan [1] - Other notable ETFs with significant net inflows included the Bosera China Government Bond ETF (0-3 years), Guotai Junan 5-Year Government Bond ETF, Huaan Gold ETF, Hai Fu Tong China Short-term Bond ETF, E Fund ChiNext ETF, and E Fund China Overseas Internet ETF [1]

Core Viewpoint - As of November 14, the total margin balance for ETFs in the Shanghai and Shenzhen markets is 118.423 billion yuan, showing a decrease of 0.311 billion yuan from the previous trading day [1] Summary by Category ETF Margin Balance - The ETF financing balance is 110.189 billion yuan, down by 0.103 billion yuan from the previous trading day [1] - The ETF margin short balance is 8.234 billion yuan, decreasing by 0.208 billion yuan compared to the previous trading day [1] Net Buy Activity - On November 14, 248 ETFs experienced net financing purchases, with the top net purchase being the Huaxia Hang Seng Internet Technology ETF, which saw a net buy of 0.174 billion yuan [1] - Other ETFs with significant net buy amounts include the E Fund ChiNext ETF, E Fund CSI Overseas Internet ETF, GF CSI Hong Kong Innovative Medicine ETF, GF Shanghai Gold ETF, and Guotai Junan CSI A500 ETF [1]

Core Insights - Recent surge in cross-border ETFs has led to noticeable premiums in the secondary market, driven by increased demand from domestic investors for overseas assets [2][3] - The cross-border ETF market has experienced rapid expansion this year, with significant growth in various thematic products, indicating a robust inflow of incremental capital and diversification of investment strategies [4][5] Group 1: Premiums in Cross-Border ETFs - Multiple cross-border ETFs have shown varying degrees of premiums in the secondary market, with some products experiencing significant intraday premium rates [2] - For instance, the E Fund MSCI US 50 ETF had a premium deviation of 6.66% from its reference net value as of November 14, while the E Fund Nikkei 225 ETF had a premium of 6.01% [2] Group 2: Short-Term Mismatches - The cross-border ETFs exhibit a characteristic of time-lagged valuation, leading to short-term mismatches where prices may lead while net values lag [3] - External factors such as market volatility, exchange rate fluctuations, and liquidity of underlying stocks can influence the pace of premium convergence [3] Group 3: Growth of Cross-Border ETF Scale - The scale of cross-border ETFs has doubled this year, reaching 923.78 billion yuan, up from 424.02 billion yuan at the beginning of the year, marking it as one of the fastest-growing segments in public funds [4] - Key products like the FTSE China Hong Kong Internet ETF and others have surpassed 40 billion yuan in scale, contributing to the overall growth and liquidity of the cross-border ETF market [4] Group 4: Notable Trends in Hong Kong Stock ETFs - Hong Kong stock ETFs have shown particularly strong growth, with several products increasing by over 20 billion yuan this year, indicating a trend of accelerated expansion [5] - Newly established cross-border ETFs are continuously accumulating assets, enhancing the product diversity and depth within the market [5]

Core Insights - Recent surge in cross-border ETFs has led to noticeable premiums in the secondary market, attracting market attention [1][3] - The rapid expansion of cross-border ETF scale reflects increasing investor demand for overseas asset allocation and the continuous inflow of incremental funds [2][5] Group 1: Market Dynamics - Cross-border ETFs are experiencing a phase of premium due to a mismatch between price and net value, influenced by structural capital flows and market sentiment [2][4] - Multiple cross-border ETFs have issued premium announcements recently, with significant premiums observed in products like E Fund MSCI US 50 ETF and E Fund Nikkei 225 ETF, indicating high trading activity in cross-border assets [3][4] Group 2: Structural Premiums - The structural premium in cross-border ETFs arises from the asynchronous nature of net value updates and overseas market trading, leading to short-term price mismatches [4] - External factors such as overseas market volatility, exchange rate changes, and liquidity of constituent stocks also impact the speed of premium convergence [4] Group 3: Growth of Cross-Border ETFs - The scale of cross-border ETFs has doubled this year, reaching 923.78 billion, up from 424.02 billion at the beginning of the year, indicating a rapid growth in this segment of public funds [5] - Notable products like the FTSE China Hong Kong Internet ETF and Huaxia Hang Seng Technology ETF have surpassed 40 billion in scale, contributing to the overall growth of cross-border ETFs [5]

Core Viewpoint - Recent observations indicate that several cross-border ETFs have experienced temporary premiums in the secondary market, attracting market attention [1] Group 1: Market Dynamics - The cross-border ETF market has seen a rapid expansion this year, with significant growth in multiple thematic products, driven by continuous inflow of incremental funds and the introduction of new products [2][5] - The trading activity of cross-border ETFs has increased significantly due to domestic investors' growing demand for overseas asset allocation, leading to noticeable premiums in the secondary market [3] Group 2: Premium Mechanism - The cross-border ETFs exhibit a "price leading, net value lagging" phenomenon due to their cross-time valuation mechanism and structural capital flows, making short-term mismatches more likely [2][4] - The premium observed in cross-border ETFs is primarily a temporary deviation between price and net value, rather than an indication of inherent excess value in the products [4] Group 3: Fund Size and Growth - The latest scale of cross-border ETFs has reached 9237.82 billion, doubling from 4240.17 billion at the beginning of the year, reflecting a diversification in investor allocation needs [5][6] - Several cross-border ETFs, such as those tracking Hong Kong stocks, have shown particularly notable growth, with some products exceeding 200 billion in incremental scale this year [6]

Core Viewpoint - As of November 7, the total margin balance for ETFs in the Shanghai and Shenzhen markets is 118.109 billion yuan, showing a decrease of 2.67 billion yuan from the previous trading day [1] Summary by Category ETF Margin Balance - The ETF financing balance is 109.725 billion yuan, down by 2.626 billion yuan from the previous trading day [1] - The ETF margin short balance is 8.384 billion yuan, decreasing by 0.044 billion yuan compared to the previous trading day [1] Net Inflows - On November 7, 216 ETFs experienced net financing inflows, with the top inflow being the Huaxia Hang Seng Internet Technology ETF, which saw a net inflow of 87.3479 million yuan [1] - Other ETFs with significant net inflows include the Penghua CSI Subdivision Chemical Industry Theme ETF, the Da Cheng Hang Seng Technology ETF, the E Fund CSI Overseas Internet ETF, the Huatai-PineBridge CSI Photovoltaic Industry ETF, and the Fortune CSI Hong Kong Stock Connect Internet ETF [1]

Core Viewpoint - The "National Team," including Central Huijin Investment and its asset management plans, has maintained a stable position in broad-based ETFs while making minor adjustments in sector-specific ETFs, reflecting a strategic approach to stabilize the A-share market [1][2][3]. Group 1: ETF Holdings and Performance - The "National Team" has kept its holdings in broad-based ETFs largely unchanged, with significant performance in the third quarter, where the average increase of ETFs held exceeded 20%, resulting in a scale increase of over 200 billion yuan [2][6]. - As of mid-2025, the "National Team" holds over 40% of the total A-share ETF market, indicating a strong influence on market stability [3]. - The total scale of ETFs held by Central Huijin Investment and its asset management plans reached 1.55 trillion yuan by the end of the third quarter, marking an increase of over 200 billion yuan from the previous quarter [7]. Group 2: Specific ETF Adjustments - Central Huijin Asset Management's two specialized asset management plans have shown more frequent trading activity, including a reduction in holdings of specific ETFs, which should not be interpreted as a broader "National Team" strategy [4][5]. - Notably, the specialized plans reduced their holdings in the Guotai Zhongzheng 800 Automotive and Parts ETF by 800,000 shares in July, and completely divested from the Huaxia Hang Seng China Mainland Enterprises High Dividend ETF [4]. Group 3: Market Conditions and Influences - The significant rebound in the A-share market during the third quarter was a primary driver of the "National Team's" unrealized gains, supported by favorable domestic liquidity conditions and expectations of U.S. Federal Reserve interest rate cuts [8]. - Factors such as policy support, active trading, and capital inflows contributed to the overall positive market performance, with a notable increase in risk appetite among investors [8].

Core Viewpoint - As of October 30, the total margin balance for ETFs in the Shanghai and Shenzhen markets is 118.284 billion yuan, showing a decrease of 3.25 billion yuan from the previous trading day [1] Group 1: ETF Financing and Margin Data - The ETF financing balance stands at 110.05 billion yuan, down by 3.193 billion yuan from the previous trading day [1] - The ETF margin short balance is 8.234 billion yuan, which is a decrease of 57 million yuan compared to the previous trading day [1] Group 2: Net Inflows in ETFs - On October 30, 231 ETFs experienced net financing inflows, with the Huaan ChiNext 50 ETF leading with a net inflow of 114 million yuan [1] - Other ETFs with significant net inflows include the E Fund CSI 300 Pharmaceutical ETF, Huabao CSI All-Share Securities Company ETF, Haitong Securities Hang Seng Technology ETF, E Fund CSI Overseas Internet ETF, and Yinhua CSI Innovative Drug Industry ETF [1]