分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 分析师：薛婧怡 2025 年 08 月 26 日 证券研究报告 | 财富生态周报 ETF 及指数产品网格策略周报 2025/8/26 分析师：卫以诺 分析师登记编码：S0890518120001 电话：021-20321014 邮箱：weiyinuo@cnhbstock.com 分析师登记编码：S0890525070001 电话：021-20321092 邮箱：xuejingyi@cnhbstock.com 021-20515355 2025/8/19》2025-08-19 2、《ETF 及指数产品网格策略周报— 2025/8/12》2025-08-12 3、《ETF 及指数产品网格策略周报— 2025/8/5》2025-08-05 4、《ETF 及指数产品网格策略周报— 2025/7/29》2025-07-29 5、《ETF 及指数产品网格策略周报— 2025/7/22》2025-07-22 投资要点 分析师：程秉哲 ◆网格交易策略概述：简单来说，"网格交易"本质上是一种 ...

ETF网格策略 ETF网格黄浆量点线 活动 (1) 标普消费ETF (159529.SZ) 当地时间8月13日,美国财政部长贝森特表 示，美联储9月可能会大幅降息50个基点。根据美 国劳工部数据显示,截至8月16日当周,美国首次 申请失业救济人数达到23.5万,为今年6月20日以 来最高。与此同时,美国8月9日当周续请失业救济 人数达到197.2万人，为自2021年11月以来最高水 平,显示美国劳动力市场降温趋势愈发明显。在此 背景下,当地时间8月21日，美联储主席鲍威尔在 杰克逊霍尔全球央行年会上释放"鸽派"信号: "短期内,通胀风险向上倾斜,就业风险向下倾 斜 ……可能需要调整我们的政策立场"。9月降息预 期再次升温，若降息成为现实，将对提振美国居民 消费需求构成利好。另外，据央视新闻，美国总统 特朗普已于当地时间8月11日签署行政令,对中国 的关税暂停措施再延长90天。此举短期内避免了新 增关税对美国国内消费价格与居民消费意愿的冲 击。 图1:标普消费 ETF(159529.SZ) 网格策略回测收益曲线 ETF (159529 SZ) 注:回测区间为近 120交易日,数据成至2025/8/25;由于数据 ...

Core Viewpoint - The article discusses various ETF strategies and highlights specific ETFs that are expected to benefit from current economic conditions and government policies in China and the U.S. [3][5][7] Group 1: U.S. Economic Impact on ETFs - The S&P Consumer ETF (159529.SZ) is influenced by weakening U.S. economic data, cooling inflation expectations, and political factors, with suggestions for a potential 50 basis point rate cut by the Federal Reserve in September [3][5] - The extension of tariff suspension on China by U.S. President Trump is expected to mitigate the impact of new tariffs on U.S. consumer prices and spending [3] Group 2: Domestic Policy Support for ETFs - The Xinchuang ETF (562570.SH) is set to benefit from a 1 trillion yuan investment in over 8,400 projects across various sectors, including electronics and energy equipment, as part of a government initiative to support domestic industries [5][6] - The ETF tracks the Zhongzheng Xinchuang Index, focusing on the domestic replacement of chips, hardware, software, and servers, which aligns with national security and industrial safety goals [5] Group 3: New Economic Growth and ETFs - The New Economy ETF (159822.SZ) aligns with the government's focus on developing new productive forces and promoting technology and industrial innovation [7][8] - This ETF indirectly tracks the S&P China New Economy Industry Index, investing in leading companies across high-growth sectors such as internet technology, consumer upgrades, healthcare, and fintech [7]

Summary of Key Points Core Viewpoint - The trading volume of the Shanghai and Shenzhen Stock Connect reached a total of 285.28 billion, with Cambricon and CATL leading in individual stock trading volume. The banking sector saw the highest net inflow of funds, while the Standard & Poor's Consumer ETF experienced a significant increase in trading volume. Group 1: Trading Volume and Key Stocks - The total trading amount for the Shanghai Stock Connect was 136.15 billion, while the Shenzhen Stock Connect was 149.14 billion [2] - Cambricon ranked first in the Shanghai Stock Connect with a trading amount of 2.64 billion, followed by Haiguang Information and Kweichow Moutai [2][3] - CATL led the Shenzhen Stock Connect with a trading amount of 4.66 billion, followed by Zhongji Xuchuang and Dongfang Caifu [2][3] Group 2: Sector Performance - The banking sector had the highest net inflow of funds at 290 million, followed by the semiconductor sector with 226 million [4] - The defense and military sector saw the largest net outflow of funds at 10.3 billion, indicating a significant decline in investor interest [5] Group 3: Individual Stock Fund Flows - CATL had a net inflow of 1.44 billion, leading the individual stocks, followed by Huasheng Tiancheng and Zhongke Shuguang [6] - Longcheng Military experienced the highest net outflow of 1.55 billion, indicating a strong sell-off [7] Group 4: ETF Trading Activity - The Standard & Poor's Consumer ETF saw a remarkable increase in trading volume, growing by 655% compared to the previous trading day [9] - The top ten ETFs by trading volume included the Hong Kong Securities ETF and the Hong Kong Innovative Drug ETF [8] Group 5: Futures Market Activity - In the futures market, the main contracts saw an increase in long positions, particularly in the IF contract, where the number of long positions significantly exceeded short positions [10] Group 6: Institutional and Retail Trading - Institutional buying was active in stocks like Innovation Medical and Youfang Technology, with significant purchases exceeding 80 million [11][12] - Retail trading saw notable activity in stocks like Changcheng Military and Beiwai Technology, with substantial sell-offs [12][14]

Group 1: New Stock Issuances - China Heavy Industry (601989) has a cash option declaration period from August 13, 2025[1] - China Shipbuilding (600150) has a buyback request period from August 13 to August 15, 2025[1] - Shenkai Co. (002633) has a tender offer period from July 29 to August 27, 2025[1] Group 2: Tender Offers and Mergers - ST Kelly (300326) has a tender offer period from July 17 to August 15, 2025[1] - Fushun Special Steel (600399) has a tender offer period from August 12 to September 10, 2025[1] - China Heavy Industry (601989) is involved in an absorption merger[1] Group 3: Abnormal Fluctuations - Tianlu Convertible Bond (110060) reported severe abnormal fluctuations on July 30, 2025[2] - Henghe Precision (300539) reported abnormal fluctuations on July 29, 2025[2] - ST Suwu (600200) reported abnormal fluctuations on August 6, 2025[2]

New Stock Issuance - Guangdong JianKe issued new shares at a price of 6.56 on August 1, 2025[1] - ShenKe Co., Ltd. has a tender offer period from July 29 to August 27, 2025[1] - ST Kelly's tender offer period is from July 17 to August 15, 2025[1] Market Alerts - ST Zitian reported significant abnormal fluctuations on July 21, 2025[1] - ST Suwu experienced abnormal fluctuations on July 30, 2025[1] - ST Xizang Tianlu reported significant abnormal fluctuations on August 1, 2025[1] Other Notable Announcements - Huaneng Electric's announcement was made on August 1, 2025, regarding its stock code 603063[1] - ST Sai Long's announcement was made on August 1, 2025, with stock code 002898[1] - ST Green Kang's announcement was made on July 31, 2025, with stock code 002868[1]

Group 1 - The total trading amount for Shanghai Stock Connect today was 1174.51 billion, while Shenzhen Stock Connect reached 1216.93 billion [1] - The top traded stocks in Shanghai Stock Connect included WuXi AppTec, followed by Hengrui Medicine and Industrial Fulian [1] - In Shenzhen Stock Connect, the leading stock was CATL, with Zhongji Xuchuang and Shenghong Technology in second and third places respectively [1] Group 2 - Sectors such as film and television, oil and gas, baby products, and food showed significant gains, while sectors like stablecoins, solid-state batteries, software development, and rare earth permanent magnets experienced declines [2] - The banking sector saw a net inflow of 11.81 billion, leading among sectors, while the computer sector had the highest net outflow at -123.33 billion [4] Group 3 - The top ten ETFs by trading volume included Hong Kong Securities ETF with 207.10 billion, and Hong Kong Innovative Drug ETF with 182.73 billion, showing a significant increase of 56.97% from the previous trading day [5] - The top ten ETFs with the highest growth in trading volume compared to the previous day included the S&P Consumer ETF, which surged by 851.51% [5] Group 4 - The four major index futures contracts saw both long and short positions increase significantly, with long positions in IF and IM contracts notably exceeding short positions [6] Group 5 - Institutional activity was high, with notable purchases in stocks like Jinling Sports and Xinfu Jianhai, while stocks like Beifang Changlong and Hengbao shares faced significant sell-offs [7][8] - The trading activity of retail investors showed a rebound, with significant transactions in cyclical stocks and notable sell-offs in stocks like Zhongyin Securities [9] Group 6 - Quantitative funds showed moderate activity, with significant purchases in Shenghe Resources and notable sell-offs in stocks like Xizang Tianlu [10]

Market Performance - As of July 30, 2025, the three major A-share indices showed mixed results, with the Shanghai Composite Index rising by 0.17% to 3615.72 points, while the Shenzhen Component Index and the ChiNext Index fell by 0.77% to 11203.03 points and 1.62% to 2367.68 points respectively [1] - The total trading volume of the two markets reached 1.84 trillion yuan [1] Industry Highlights - The fishery sector performed notably well, surging by 4.06%, followed by the steel and film industries, which rose by 3.30% and 2.76% respectively [1] - A total of 356 non-currency ETFs increased in value, representing 29% of the market [1] - The China Steel Index rose by 1.58%, and the Steel ETF increased by 1.53% [1] - The China Petrochemical Industry Index saw a rise of 1.57%, with the Petrochemical ETF and Chemical Industry ETF increasing by 2.07% and 1.66% respectively [1] - The China Film Theme Index rose by 1.26%, with the Film ETF increasing by 1.64% and another Film ETF by 1.40% [1] ETF Performance - The top-performing ETFs included the Oil and Gas Resources ETF, which rose by 3.25%, and the Petrochemical ETF, which increased by 2.07% [3] - The Steel ETF had a total share size of 23.50 billion units, closely tracking the China Steel Index [5] - The Oil and Gas ETF had a share size of 1.13 billion units, tracking the National Oil and Gas Index [4] Valuation Metrics - The latest price-to-earnings ratio (PE-TTM) for the China National New Hong Kong Stock Connect Central State-Owned Enterprise Dividend Index is 8.74, which is below 99.80% of the time over the past three years [4] - The National Oil and Gas Index has a PE-TTM of 11.34, below 66.36% of the time over the past three years [5] Declining Sectors - A total of 809 non-currency ETFs declined, accounting for 67% of the market [5] - The China Hong Kong Stock Connect Automotive Industry Theme Index and the China Financial Technology Theme Index experienced the largest declines, falling by 4.50% and 2.94% respectively [5]

Core Viewpoint - The recent surge in the AI-themed ETFs, particularly the Kexin Composite Index ETF managed by Harvest, was driven by a small transaction that caused a significant price increase, raising concerns about the impact of low trading volumes on market stability [1][4][6]. Group 1: ETF Performance - The Kexin Composite Index ETF managed by Harvest closed at 1.342 CNY per share, marking a 20.04% increase due to a single transaction of 134 CNY that triggered a trading halt [4][8]. - On July 25, multiple AI-related ETFs saw significant gains, with most rising over 4%, indicating a broader market interest in AI stocks [1][3]. Group 2: Market Dynamics - The small scale of the Kexin Composite Index ETF, with a total size of only 101 million CNY, contributed to its susceptibility to price fluctuations from minimal trading activity [5][6]. - Analysts noted that the price spike did not attract follow-up buying from other investors, suggesting that the market may stabilize in the following trading sessions [2][8]. Group 3: AI Sector Trends - The AI sector experienced a notable rebound on July 25, with significant gains in stocks like Cambrian and Aojie Technology, highlighting investor interest in AI-related companies [9]. - The World Artificial Intelligence Conference (WAIC), which commenced on July 26, was identified as a key catalyst for the recent uptick in AI stock prices, showcasing over 3,000 cutting-edge technology exhibits [10]. Group 4: Institutional Insights - Institutional investors have increased their holdings in the components of the AI industry, with a reported 3.73% market value share as of the end of Q2, reflecting a growing confidence in the sector's potential [11]. - Analysts predict that the demand for AI-related infrastructure, such as servers and data centers, will see explosive growth, positively impacting the financial performance of related companies in the coming quarters [11][12].

Market Overview - The three major A-share indices collectively declined, with the Shanghai Composite Index down 0.22%, the Shenzhen Component Index down 0.48%, and the ChiNext Index down 0.66% [1] - The total market turnover was 16,231 billion, a decrease of 163 billion from the previous day, with over 3,600 stocks declining [1] Sector Performance - The sectors that performed well included military industry, tourism and hotels, digital currency, oil and gas extraction, and banking [1] - Conversely, sectors that saw significant declines included innovative pharmaceuticals, complete automobiles, and photolithography concept stocks [1] ETF Performance - Among ETFs, the Nikkei ETF (159866) led with a gain of 2.51%, followed by the S&P Consumer ETF (159529) with a 2.44% increase, and another Nikkei ETF (513520) rising by 2.29% [1] - The Hong Kong innovative pharmaceutical ETFs experienced the largest declines, with the Hong Kong Innovative Pharmaceutical ETF (513120) down 3.17%, followed by (159567) down 3.15%, and (159570) down 3.06% [2][3]