规模业绩双升，商品ETF跻身配置核心。 作者 | RAYYYY 编辑 | 小白 近期，商品ETF市场捷报频传，迎来了规模与业绩的双丰收。 Choice数据显示，全市场商品ETF总规模较年初增长超过200%，展现出惊人的资金吸纳能力；与此同 时，其业绩表现同样可圈可点，部分产品年内收益率接近五成，大幅跑赢了许多传统股票和债券资 产。 这一现象绝非偶然，它标志着在大类资产配置的版图上，商品ETF正从一个小众选项蜕变为不可或缺 的战略要地。本文将深入剖析这一"双丰收"现象背后的驱动逻辑，并系统性地阐述商品ETF在当前及 未来市场环境下的独特投资价值。 规模与业绩双增，黄金ETF成为增长主引擎 01 黄金实现规模 业绩双 丰收 Choice数据显示，截至11月中旬，今年以来，17只商品ETF资金合计净流入966.2亿元，总规模达到22 67亿元，较年初增长超200%。 其中，黄金ETF（518880.SH）以859.2亿元规模领先，黄金ETF基金（159937.SZ）和黄金ETF（1599 34.SZ）的规模也较大，分别为386.1亿元、330.1亿元。 | | | | 市面上商品ETF一览 | | | | | -- ...

Market Strategy - The recent market rebound aligns with previous predictions of a "layout window emerging," but the market has not shown a simultaneous increase in volume and price, indicating that the rebound does not change the overall oscillating pattern [6] - The current tension in Sino-Japanese relations is a major factor restraining risk appetite, suggesting a cautious approach to technology growth sectors, which are more sensitive to risk preferences [6] - The real estate market has been in a downward trend since the policy release last September, with recent price increases in the sector driven by changes in policy expectations and capital inflows, but further confirmation of policy effectiveness is needed to sustain this momentum [6] Sector Strategy - In the technology sector, a cautious approach is recommended due to the difficulty in further upward adjustments in expectations amid declining risk appetite [6] - The cyclical consumer manufacturing sector, characterized by medium risk, is expected to gain market consensus as conditions evolve [6] - The real estate sector requires significant fiscal policy measures, such as mortgage interest subsidies, to boost market confidence and reverse negative expectations [6] Defense Industry - Recent U.S. arms sales to Japan, totaling approximately $82 million, may accelerate China's equipment development in response to increasing uncertainties in the Asia-Pacific region [6] - The geopolitical climate, influenced by Japan's military expansion and U.S. support, is likely to drive growth in China's defense capabilities [6]

Group 1: Macro Timing Strategy - The macro timing strategy has an annualized return of 7.67% as of October 31, 2025, with a Sharpe ratio of 1.45 and a Calmar ratio of 1.67, indicating a maximum drawdown of -4.60% [2][4][5] - The latest portfolio allocation includes 7.01% in CSI 300 ETF, 7.99% in CSI 500 ETF, 55.94% in government bond ETF, 11.63% in soybean meal ETF, 5.02% in non-ferrous ETF, 7.40% in gold ETF, and 5.00% in currency ETF, with no allocation to S&P 500 ETF and corporate bond ETF [7][8] Group 2: Momentum Strategy - The momentum strategy has an annualized return of 18.25% since January 2020, with a Sharpe ratio of 0.88 and a Calmar ratio of 0.64, experiencing a maximum drawdown of -28.72% [9][10] - The latest portfolio allocation includes 27.01% in Huatai-PB CSI Telecom Theme ETF, 24.92% in Fuguo CSI Tourism Theme ETF, 21.52% in Xinhua CSI Cloud Computing 50 ETF, 16.38% in Huatai-PB CSI Smart Car ETF, and 8.17% in Huaxia CSI Artificial Intelligence ETF [13][14] Group 3: Sector Rotation Strategy - The sector rotation strategy has an annualized return of 10.00% since 2020, with an excess return of 7.27% relative to CSI 300, and a maximum drawdown of -42.98% [15] - The latest portfolio includes home appliance ETF, green power ETF, steel ETF, new energy vehicle ETF, financial ETF, and agricultural ETF, while excluding non-ferrous metals ETF and transportation ETF [18][19] Group 4: Copula-Based Second-Order Stochastic Dominance Strategy - The Copula-based second-order stochastic dominance strategy has an annualized return of 14.41% since January 2020, with a Sharpe ratio of 0.68 and a maximum drawdown of -42.62% [20][24] - The latest portfolio allocation includes 5.00% in Huaxia CSI Petrochemical Industry ETF, 85.00% in Fuguo CSI 800 Bank ETF, 5.00% in Fuguo CSI All-Index Securities Company ETF, and 5.00% in Bosera CSI Oil and Gas Resources ETF [23][25] Group 5: Quantile Random Forest Technology ETF Allocation Strategy - The quantile random forest technology ETF allocation strategy has an annualized return of 13.54% since 2020, with a Sharpe ratio of 0.76 and a maximum drawdown of -29.89% [26] - The latest portfolio allocation consists of 95.63% in technology ETFs, including 4.78% in Jiahua National Communication ETF, 4.78% in Tianhong CSI Photovoltaic Industry ETF, 4.78% in Huabao CSI Military Industry ETF, 76.51% in Ping An CSI Consumer Electronics Theme ETF, and 4.78% in Fuguo CSI Technology 50 Strategy ETF [29][30]

Market Performance - The Shanghai Composite Index rose by 1.18%, closing at 3996.94 points, while the Shenzhen Component Index increased by 1.51%, closing at 13489.40 points, with a total trading volume of 2.34 trillion [1] - The Hong Kong stock market saw a gain of 1.05%, with the Hang Seng Tech Index up by 1.83%, recovering from previous declines due to overseas uncertainties [3] Sector Highlights - The storage chip sector experienced a surge, with over 3300 stocks rising, while media and real estate sectors faced declines [1] - In the Hong Kong market, technology companies like Alibaba, Tencent, and Meituan are highlighted as core assets under the "14th Five-Year Plan," benefiting from the AI wave and having strong business models [3][4] Investment Opportunities - The Hang Seng Tech Index has a TTM P/E ratio of 23.79, which is attractive compared to global tech indices, suggesting a favorable investment environment for tech-focused assets [4] - The CSI A500 index, which includes a significant portion of new productivity sectors, is expected to benefit from technological advancements and industry upgrades, making it a promising investment option [7][8] Policy and Economic Context - The "14th Five-Year Plan" emphasizes the importance of technological self-reliance, which is expected to drive market sentiment and support long-term growth in the A-share market [7][10] - Recent adjustments in U.S. monetary policy, including expectations for interest rate cuts, are likely to enhance market risk appetite and support cyclical assets [10][11] Sector-Specific Insights - The AI industry is experiencing accelerated industrialization, with significant capital expenditure planned by North American cloud service providers, which is expected to benefit related sectors like optical modules and IDC [9][10] - The copper market is projected to see increased demand driven by applications in electric vehicles and AI data centers, while supply constraints may lead to higher prices [11][12]

Group 1 - The overall sentiment among brokerages is discussing holding stocks or cash during the holiday, as well as the calendar effect in October [1][5] - The strategy team from JianTou believes that liquidity tends to contract before the National Day holiday, but this is often a "sentimental contraction" [1] - The team from Huaxi suggests that as the holiday approaches, external funds may slow down entering the market, leading to a potential short-term adjustment in A-shares and Hong Kong stocks [1][5] Group 2 - The Guangfa strategy team found that since 2005, cyclical industries have over a 65% probability of rising in the fourth quarter, with more than 60% probability of outperforming the CSI 300 index [1][6] - Key sectors such as optical modules, PCBs, innovative pharmaceuticals, and colored metals are maintaining healthy trends, while sectors like automotive parts and robotics are experiencing relative stagnation [1][6] - The CITIC strategy team emphasizes that resource security, corporate overseas expansion, and technological competition remain crucial structural market clues [4] Group 3 - The market is expected to see a new upward momentum in October, driven by the upcoming third-quarter report trading window and significant policy expectations [5] - The strategy from Yinxing indicates that the market's risk appetite may increase due to the concentration of important meetings and events in October [5] - The strategy team from Zhongtai highlights that the current market levels still have strong support, and long-term capital remains inclined to invest [6]

Group 1: Market Overview - The domestic stock indices showed mixed performance last week, with the CSI 300, SSE 50, and SSE Composite Index declining by -0.44%, -1.98%, and -1.30% respectively, while the CSI 500, CSI 1000, and ChiNext Index increased by 0.32%, 0.21%, and 2.34% respectively [2][9] - The style indices also exhibited mixed results, with financial, cyclical, consumer, growth, and stability styles changing by -3.55%, 0.19%, -1.46%, 1.45%, and -1.72% respectively [2][9] - The trading volume for comprehensive ETFs was 99.469 billion yuan, a decrease of 3.762 billion yuan from the previous week, with large-cap style ETFs at 37.612 billion yuan and small-cap style ETFs at 63.504 billion yuan [2][28] Group 2: ETF Performance - The average weekly change for 32 thematic ETFs was 0.11%, with large-cap style ETFs averaging -1.92% and small-cap style ETFs averaging 1.69% [3][29] - The total trading volume for thematic ETFs was 103.783 billion yuan, an increase of 10.297 billion yuan from the previous week, with large-cap style ETFs at 60.851 billion yuan and small-cap style ETFs at 42.931 billion yuan [3][29] - The top three performing comprehensive ETFs were the ChiNext 50, ChiNext, and Double Innovation 50 ETFs, with returns of 2.90%, 2.24%, and 2.23% respectively, while the bottom three were the 50 ETF, Huaxia 300, and 300 ETF, with returns of -1.90%, -0.49%, and -0.46% respectively [4][33] Group 3: Sector Fund Flows - Significant capital inflows were observed in the brokerage and non-ferrous sectors, while previous hot sectors like semiconductor chips and pharmaceuticals experienced capital outflows [4][33] - The thematic ETFs showed mixed performance, with the new energy vehicle, coal, and new automobile ETFs gaining 4.01%, 3.96%, and 3.77% respectively, while financial, non-ferrous, and non-bank ETFs lost -4.23%, -4.14%, and -4.07% respectively [4][33] - The overall market sentiment indicated a shift in capital towards sectors like brokerage and non-ferrous metals, while sectors that had previously performed well saw a reduction in investment [4][33]

Core Viewpoint - The current market rally is primarily driven by companies with overseas exposure or those deeply integrated into global supply chains, necessitating a global perspective for evaluating fundamentals and liquidity [1][2][3] Group 1: Market Dynamics - The majority of the top-performing stocks since June are linked to overseas strategies, particularly in sectors like AI, innovative pharmaceuticals, and resource stocks with global pricing [2][3] - The market has shown rational behavior, with institutional funds driving the rally rather than retail investors, indicating a structural market rather than a speculative one [2][4] - The proportion of overseas revenue for A-share companies has increased from 12.6% to an estimated 19.4% by 2024, highlighting a shift towards global business perspectives [2][3] Group 2: Investment Strategy - The recommended investment focus should be on sectors with real profit generation and strong industry trends, including resources, consumer electronics, innovative pharmaceuticals, chemicals, gaming, and military industries [8][9] - The strategy emphasizes minimizing volatility and avoiding broad market exposure, instead concentrating on high-quality sectors [4][8] Group 3: Trading Activity - The average daily turnover rate for the A-share market has reached historically high levels, with a reasonable turnover rate estimated between 1.7% and 1.9% after accounting for emotional premiums [5][6] - Specific sectors such as dual innovation, electronics, non-ferrous metals, and military have seen significant increases in trading activity, indicating heightened investor interest [7][8] Group 4: Future Outlook - The future fundamentals will reflect the gradual realization of China's manufacturing competitiveness in global markets, particularly in sectors like robotics, gaming, and innovative pharmaceuticals [3][9] - Continued focus on industries with sustainable pricing power, such as rare earths and chemicals, is advised, as these sectors are expected to maintain profitability despite global economic fluctuations [9]

Core Viewpoint - The report emphasizes the shift of listed companies from domestic exposure to global exposure, particularly in the manufacturing sector, where Chinese companies are increasingly converting market share into pricing power. Traditional economic analysis based on domestic inventory cycles is becoming inadequate to fully capture market fundamentals [1][3]. Market Dynamics - The current market rally has been primarily driven by rational funds, with significant participation from high-net-worth individuals and corporate clients. The influx of institutional capital has led to a focus on high-prosperity industries and assets with sustainable cash returns, particularly in resources, new productive forces (AI, innovative pharmaceuticals), and overseas expansion [4][5]. - The report identifies that the majority of the top-performing stocks since June are related to overseas expansion, particularly in sectors like AI supply chains, innovative pharmaceuticals, and resource stocks with global pricing [2][3]. Fundamental Analysis - The proportion of overseas revenue for A-share listed companies has increased from 12.6% to an estimated 19.4% by 2024, with a notable acceleration in growth post-2021. This shift indicates a transition from a domestic demand-driven market to one influenced by multinational enterprises and global demand [3]. - Companies that have accelerated their overseas business (with over 10% increase in foreign revenue) are seeing improvements in profit margins and return on equity (ROE), aligning more closely with firms that maintain high overseas revenue [3]. Trading Behavior - The report notes that the average daily turnover rate for the A-share market has reached historically high levels, with a reasonable turnover rate estimated between 1.6 to 1.8 trillion yuan after accounting for emotional premiums. The current market sentiment is reflected in a daily average turnover rate of 2.56% since August [6][7]. - The report highlights that sectors such as dual innovation, electronics, non-ferrous metals, and military industry have seen significant increases in trading activity, indicating a shift in investor focus towards these high-growth areas [8]. Investment Recommendations - The report suggests maintaining focus on sectors with real profit realization or strong industry trends, specifically resources, consumer electronics, innovative pharmaceuticals, chemicals, gaming, and military industry. It emphasizes the importance of monitoring developments in AI integration within consumer electronics and the potential for growth in sectors like rare earths and pharmaceuticals [9].

Report Industry Investment Rating - No relevant content provided Core Viewpoints - Last week, domestic major stock indices rose across the board, with small and medium - cap indices generally outperforming large - cap indices. The growth style index showed a significant increase, while the financial and stable style indices declined. In the ETF market, both comprehensive and thematic ETFs had increased trading volumes, and there was a clear inflow of funds into sectors such as brokers, consumption, technology, and non - ferrous metals [1][3] Summary by Directory 1. Fund Market Overview 1.1 Stock Market - Last week (2025/08/25 - 2025/08/29), major domestic stock indices all rose. The large - cap indices such as CSI 300, SSE 50, and SSE Composite Index had weekly increases of 2.71%, 1.63%, and 0.84% respectively. Small and medium - cap indices like CSI 500, CSI 1000, and ChiNext Index rose by 3.24%, 1.03%, and 7.74% respectively. Style indices showed mixed performance, with financial, cyclical, consumer, growth, and stable style indices having weekly changes of - 1.31%, 0.94%, 0.54%, 4.45%, and - 0.81% respectively. Among the growth styles, large - cap, mid - cap, and small - cap growth style indices changed by 3.38%, 2.51%, and - 1.33% respectively [1][8] - Recent A - share trading activity has been oscillating upwards and is currently close to the level in December 2024 [9] 1.2 Bond Market and Futures Market - Last week, the SSE Convertible Bond Index fell by 2.68%. Pure - bond indices all rose, with the SSE Treasury Bond, SSE Corporate Bond, and Shenzhen Local Government Bond indices rising by 0.04%, 0.03%, and 0.03% respectively. Major stock index futures contracts all rose, with CSI 300, SSE 50, and CSI 500 futures rising by 0.49%, 0.12%, and 1.70% respectively. 10 - year, 5 - year, and 2 - year Treasury bond futures prices rose by 0.13%, 0.18%, and 0.03% respectively [15][16] 1.3 Commodity Market - In the past week, the commodity market showed mixed performance. The Nanhua Precious Metals Index, CRB Metal Spot Index, and CRB Commodity Index rose by 1.77%, 1.35%, and 0.78% respectively. Domestic key commodity futures contracts also showed mixed results, with DCE Iron Ore, SHFE Silver, and SHFE Nickel futures rising by 2.34%, 1.80%, and 1.75% respectively [18][21] 2. ETF Market行情统计 2.1 Domestic Stock - type ETF Trading Activity Ranking - Using the weekly fund turnover rate (trading volume / on - exchange floating shares) as a measure of ETF trading activity, high turnover rates indicate possible large differences in market views on a sector. Last week, trading hotspots were concentrated in comprehensive indices such as ChiNext 50 and CSI Innovation and Entrepreneurship 50 ETF, as well as sectors like semiconductors, liquor, and securities [24] 3. Size - style Monitoring 3.1 Comprehensive Stock ETF - As of last week, the total trading volume of comprehensive ETFs was 138.425 billion yuan, an increase of 28.081 billion yuan from the previous week. Among them, the trading volume of large - and mid - cap style comprehensive ETFs was 58.276 billion yuan, an increase of 11.307 billion yuan, and that of small - and mid - cap comprehensive ETFs was 84.351 billion yuan, an increase of 19.109 billion yuan. The on - exchange floating shares of comprehensive ETFs were 361.949 billion shares, an increase of 6.94 billion shares from the previous week. Large - and mid - cap style comprehensive ETFs had 241.165 billion shares, an increase of 19.28 billion shares, while small - and mid - cap comprehensive ETFs had 120.785 billion shares, a decrease of 12.34 billion shares [26] 3.2 Thematic Stock ETF - As of last week, the average weekly return of 32 thematic ETFs was 3.39%. The average weekly return of large - cap style ETFs was 0.95%, and that of small - and mid - cap style ETFs was 5.30%. The total trading volume of tracked thematic ETFs was 138.149 billion yuan, an increase of 30.701 billion yuan from the previous week. Large - cap style ETFs had a trading volume of 73.042 billion yuan, an increase of 14.991 billion yuan, and small - and mid - cap style ETFs had a trading volume of 65.107 billion yuan, an increase of 15.711 billion yuan. The on - exchange floating shares of thematic ETFs were 408.707 billion shares, an increase of 6.175 billion shares from the previous week. Large - and mid - cap style thematic ETFs had 193.157 billion shares, an increase of 12.045 billion shares, while small - and mid - cap style thematic ETFs had 215.549 billion shares, a decrease of 5.87 billion shares [27] 4. Sector Fund Flow Tracking - As of last week, among comprehensive ETFs, the top three performers were CSI Innovation and Entrepreneurship 50 ETF, ChiNext 50, and ChiNext, with weekly returns of 11.34%, 8.93%, and 7.63% respectively. The bottom three were CSI 1000 ETF, SSE 50 ETF, and CSI 300 ETF, with returns of 0.80%, 1.50%, and 2.72% respectively. Among industry - thematic ETFs, the top three were 5G ETF, AI Intelligence ETF, and Non - ferrous Metals ETF, with returns of 15.44%, 10.69%, and 8.63% respectively. The bottom three were Coal ETF, Financial ETF, and Bank ETF, with returns of - 3.02%, - 1.95%, and - 1.88% respectively. In terms of fund flows, important broad - based indices such as CSI 300 and small - and mid - cap ETFs in the innovation and entrepreneurship sector had fund inflows. In industry - thematic sectors, significant fund inflows were seen in sectors such as brokers, consumption, technology, and non - ferrous metals [32] 5. Commodity ETF - Last week, tracked commodity ETFs showed mixed performance. Gold ETF, Bosera Gold, Soybean Meal ETF, Non - ferrous Metals Futures ETF, and Energy and Chemicals ETF had returns of 1.46%, 1.47%, 0.61%, 1.24%, and - 1.21% respectively. The on - exchange floating shares of tracked commodity ETFs decreased by 1.41 billion shares from the previous week, while the total trading volume increased by 1.869 billion yuan [36] 6. Overseas ETF - Last week, among tracked overseas ETFs, Nasdaq ETF, H - share ETF, and Hang Seng ETF had returns of 1.19%, - 0.85%, and - 0.45% respectively. The on - exchange floating shares of tracked overseas ETFs decreased by 0.13 billion shares from the previous week, and the total trading volume decreased by 0.549 billion yuan [38] 7. Money Market ETF - As of the end of last week, the overnight SHIBOR rate was 1.32%, a decrease of 0.15% from the previous week, and the one - week SHIBOR rate was 1.53%, an increase of 0.03% from the previous week. The seven - day annualized yield of Huabao Tianyi was 1.06%, an increase of 0.04% from the previous week, and that of Yinhua Rili was 1.04%, unchanged from the previous week. The on - exchange floating shares of Huabao Tianyi were 63.846 billion shares, a decrease of 2.602 billion shares from the previous week, and those of Yinhua Rili were 61.757 billion shares, an increase of 1.95 billion shares from the previous week [42]

Group 1 - The macro timing strategy has an annualized return of 7.08% and a Sharpe ratio of 1.34 as of August 29, 2025, with the latest portfolio including various ETFs such as the CSI 500 ETF (8.35%) and government bond ETFs (38.21%) [2][4][8] - The momentum strategy has an annualized return of 20.22% since 2020, with a recent portfolio allocation including the CSI Digital Economy Theme ETF (19.51%) and the Shanghai Stock Exchange Sci-Tech Innovation Board Chip ETF (20.37%) [10][14] - The industry rotation strategy has achieved an annualized return of 9.34% since 2020, with the latest holdings including non-ferrous metals ETFs and green power ETFs [19][16] Group 2 - The Copula-based second-order stochastic dominance strategy has an annualized return of 15.52% since 2020, with the latest portfolio including the Huaxia CSI Agricultural Theme ETF (6.71%) and the Guangfa CSI Major Consumption ETF (69.79%) [21][24] - The technology ETF allocation strategy based on quantile random forests has an annualized return of 12.33% since 2020, with a significant portion allocated to the Guangfa CSI All-Index Information Technology ETF (4.78%) and the Huatai-PineBridge CSI Photovoltaic Industry ETF (76.51%) [27][31]