Quantitative Models and Construction Methods 1. Model Name: Large Order Transaction Amount Ratio - **Model Construction Idea**: This model tracks the buying behavior of large funds by calculating the proportion of large order transaction amounts to the total daily transaction amount[7] - **Model Construction Process**: 1. Use tick-by-tick transaction data to identify buy and sell orders based on bid and ask sequence numbers 2. Filter transactions by order size to identify large orders 3. Calculate the ratio of large buy order transaction amounts to the total daily transaction amount - Formula: $ \text{Large Order Transaction Amount Ratio} = \frac{\text{Large Buy Order Transaction Amount}}{\text{Total Daily Transaction Amount}} $ - **Model Evaluation**: This indicator effectively captures the buying behavior of large funds[7] 2. Model Name: Net Active Buy Amount Ratio - **Model Construction Idea**: This model measures the active buying behavior of investors by calculating the net active buy amount as a proportion of the total daily transaction amount[7] - **Model Construction Process**: 1. Use tick-by-tick transaction data to classify each transaction as either active buy or active sell based on the buy/sell flag 2. Calculate the net active buy amount by subtracting the active sell amount from the active buy amount 3. Compute the ratio of the net active buy amount to the total daily transaction amount - Formula: $ \text{Net Active Buy Amount Ratio} = \frac{\text{Active Buy Amount} - \text{Active Sell Amount}}{\text{Total Daily Transaction Amount}} $ - **Model Evaluation**: This indicator effectively captures the active buying behavior of investors[7] --- Model Backtesting Results 1. Large Order Transaction Amount Ratio - **Top 10 Stocks by 5-Day Average**: - **East Securities (601198.SH)**: 88.1%, 99.6% time-series percentile[9] - **Shanghai Kaibao (300039.SZ)**: 86.3%, 100.0% time-series percentile[9] - **Sanxiang Impression (000863.SZ)**: 86.0%, 99.6% time-series percentile[9] - **Chongqing Steel (601005.SH)**: 86.0%, 78.7% time-series percentile[9] - **Jinzhengda (002470.SZ)**: 85.7%, 89.8% time-series percentile[9] - **Wanlong Optoelectronics (300710.SZ)**: 85.6%, 99.6% time-series percentile[9] - **Yasheng Group (600108.SH)**: 85.5%, 84.4% time-series percentile[9] - **Sinochem International (600500.SH)**: 85.5%, 90.4% time-series percentile[9] - **Chongqing Water (601158.SH)**: 85.2%, 96.7% time-series percentile[9] 2. Net Active Buy Amount Ratio - **Top 10 Stocks by 5-Day Average**: - **Jiuhua Tourism (603199.SH)**: 26.2%, 100.0% time-series percentile[10] - **Bailong Oriental (601339.SH)**: 22.9%, 100.0% time-series percentile[10] - **Zijin Bank (601860.SH)**: 20.2%, 100.0% time-series percentile[10] - **Bailong Chuangyuan (605016.SH)**: 19.5%, 100.0% time-series percentile[10] - **Hengshun Vinegar (600305.SH)**: 17.8%, 100.0% time-series percentile[10] - **Qingfangcheng (600790.SH)**: 17.7%, 99.6% time-series percentile[10] - **Shandong Steel (600022.SH)**: 17.7%, 99.6% time-series percentile[10] - **Shengda Forestry (002259.SZ)**: 17.5%, 100.0% time-series percentile[10] - **Taoli Bread (603866.SH)**: 17.2%, 100.0% time-series percentile[10] - **Jiangsu Sopo (600746.SH)**: 16.8%, 100.0% time-series percentile[10] 3. Broad-Based Indices - **5-Day Average Results**: - **Shanghai Composite Index**: Large Order Ratio 73.7% (82.0% percentile), Net Active Buy Ratio 2.2% (3.7% percentile)[12] - **SSE 50**: Large Order Ratio 71.7% (58.2% percentile), Net Active Buy Ratio 5.8% (92.6% percentile)[12] - **CSI 300**: Large Order Ratio 73.0% (41.0% percentile), Net Active Buy Ratio 2.9% (20.9% percentile)[12] - **CSI 500**: Large Order Ratio 73.8% (86.9% percentile), Net Active Buy Ratio 1.5% (3.3% percentile)[12] - **ChiNext Index**: Large Order Ratio 70.5% (6.1% percentile), Net Active Buy Ratio 0.1% (14.8% percentile)[12] 4. Industry-Level Analysis - **Top Industries by 5-Day Average**: - **Steel**: Large Order Ratio 79.0% (79.1% percentile), Net Active Buy Ratio 12.7% (0.8% percentile)[13] - **Agriculture, Forestry, Animal Husbandry, and Fishery**: Large Order Ratio 77.1% (87.7% percentile), Net Active Buy Ratio 10.8% (3.3% percentile)[13] - **Food and Beverage**: Large Order Ratio 71.5% (95.5% percentile), Net Active Buy Ratio 10.1% (32.8% percentile)[13] - **Real Estate**: Large Order Ratio 78.7% (70.9% percentile), Net Active Buy Ratio 8.8% (9.8% percentile)[13] - **Consumer Services**: Large Order Ratio 75.8% (32.4% percentile), Net Active Buy Ratio 8.9% (13.9% percentile)[13] 5. ETF Analysis - **Top 10 ETFs by Large Order Ratio**: - **Haifutong Shanghai Urban Investment Bond ETF (511220.SH)**: 93.4%, 63.5% percentile[15] - **Fortune Military Industry ETF (512710.SH)**: 92.1%, 100.0% percentile[15] - **Guotai CSI A500 ETF (159338.SZ)**: 91.5%, 19.7% percentile[15] - **Guotai 10-Year Treasury ETF (511260.SH)**: 91.5%, 91.8% percentile[15] - **Penghua National Defense ETF (512670.SH)**: 90.7%, 99.6% percentile[15] - **Top 10 ETFs by Net Active Buy Ratio**: - **Huaxia Food and Beverage ETF (515170.SH)**: 18.2%, 99.6% percentile[16] - **Yinhua 5G Communication ETF (159994.SZ)**: 16.7%, 100.0% percentile[16] - **E Fund CSI 300 Non-Bank ETF (512070.SH)**: 16.0%, 95.9% percentile[16] - **Huatai-PineBridge Dividend Low Volatility ETF (512890.SH)**: 15.7%, 94.3% percentile[16] - **Fortune Agriculture ETF (159825.SZ)**: 15.2%, 96.7% percentile[16]

2013年，当国内首只债券ETF——国债ETF以54亿元的规模起步时，这个品类在浩渺的资管产品海洋 中，还只是一叶悄然入水的扁舟，少有人问津。十多年间，中国资产管理行业浪潮奔涌，投资者对透 明、高效工具的需求越来越旺盛。 到了2025年，这片曾经宁静的水域已澎湃为一片波澜壮阔的蓝海。Wind数据显示，截至2025年11月 底，全市场债券ETF总规模已超过7000亿元，产品数量达53只。 在这条飞速发展的航道上，海富通基金管理有限公司凭借前瞻的战略布局、持续的产品创新与精细化的 生态运营，不仅自身债券ETF管理规模率先突破千亿，稳居行业首位，更在推动中国债券ETF市场驶向 更深、更广的"深水区"中，锚定了坚实的航向。 构建全链工具箱 前瞻布局与产品创新 海富通基金对债券ETF的深耕，源于数年前一场"摸着石头过河"的孤勇拓荒。早在2014年底，公司便发 行了海富通上证城投债ETF，募集规模达66亿元，成为当时市场上募集规模最大的债券ETF产品，可 谓"一炮打响"。此后，海富通基金将债券ETF确立为特色化发展重点，在业内率先投入大量资源进行研 究和布局。 这种前瞻性，还体现在其不断填补市场空白的"首创"产品序列上： ...

到了2025年，这片曾经宁静的水域已澎湃为一片波澜壮阔的蓝海。数据显示，截至2025年11月底，全市 场债券ETF总规模已超过7000亿元，产品数量达53只。 在这条飞速发展的航道上，海富通基金管理有限公司凭借前瞻的战略布局、持续的产品创新与精细化的 生态运营，不仅自身债券ETF管理规模率先突破千亿，稳居行业首位，更在推动中国债券ETF市场驶向 更深、更广的"深水区"中，锚定了坚实的航向。 ● 本报记者 魏昭宇 2013年，当国内首只债券ETF——国债ETF以54亿元的规模起步时，这个品类在浩渺的资管产品海洋 中，还只是一叶悄然入水的扁舟，少有人问津。十多年间，中国资产管理行业浪潮奔涌，投资者对透 明、高效工具的需求越来越旺盛。 构建全链工具箱 前瞻布局与产品创新 海富通基金对债券ETF的深耕，源于数年前一场"摸着石头过河"的孤勇拓荒。早在2014年底，公司便发 行了海富通上证城投债ETF，募集规模达66亿元，成为当时市场上募集规模最大的债券ETF产品，可 谓"一炮打响"。此后，海富通基金将债券ETF确立为特色化发展重点，在业内率先投入大量资源进行研 究和布局。 产品布局是基础，而将产品做活、做大，则考验着管 ...

Core Insights - The article highlights the rapid growth of the bond ETF market in China, with the total market size exceeding 700 billion yuan by November 2025, up from 5.4 billion yuan in 2013, indicating a significant increase in investor demand for transparent and efficient investment tools [1][2]. Group 1: Company Development - Hai Fu Tong Fund Management Company has strategically positioned itself as a leader in the bond ETF market, being the first to surpass 100 billion yuan in management scale and currently managing 1.298 billion yuan across six bond ETFs, making it the largest fund company in terms of both quantity and scale [2][4]. - The company has consistently innovated by launching pioneering products, such as the first short-term bond ETF in 2020 and various government bond ETFs, thereby filling market gaps and providing investors with convenient trading tools [2][3]. Group 2: Product Performance - The Hai Fu Tong Zhong Zheng Short-term Bond ETF, despite initial struggles with a scale of only 50 million yuan, has seen a remarkable turnaround, achieving a net value growth rate of 12.40% since its inception, significantly outperforming its benchmark [3][4]. - The company’s bond ETFs have demonstrated a "head effect," where clear product positioning and ample liquidity have led to a virtuous cycle of scale enhancement and increased liquidity, attracting more capital [4][5]. Group 3: Operational Excellence - Hai Fu Tong Fund emphasizes a professional and prudent operational management system, particularly for credit ETFs, ensuring independent credit rating and risk management teams to maintain credit safety as a priority [5][6]. - The investment team comprises experienced professionals with a deep understanding of various bond types, ensuring effective collaboration from macro judgment to execution [5][6]. Group 4: Market Ecosystem Engagement - The company actively engages with regulators, exchanges, market makers, and investors to foster a collaborative ecosystem for bond ETFs, enhancing market understanding and application of these financial tools [6]. - Hai Fu Tong Fund aims to continue leveraging its expertise in the bond ETF sector to contribute to the market's prosperity and high-quality development as the bond market evolves [6].

Core Viewpoint - As of December 1, the total margin balance for ETFs in the Shanghai and Shenzhen markets reached 118.338 billion yuan, showing a slight increase from the previous trading day [1] Summary by Category ETF Margin Balance - The ETF financing balance was 110.216 billion yuan, which decreased by 0.434 billion yuan compared to the previous trading day [1] - The ETF margin trading balance was 8.122 billion yuan, reflecting an increase of 0.456 billion yuan from the previous trading day [1] Net Buy Activity - On December 1, 214 ETFs experienced net financing purchases, with the Pengyang Zhongzhai - 30-Year Treasury Bond ETF leading with a net purchase amount of 71.1955 million yuan [1] - Other ETFs with significant net financing purchases included the GF Nasdaq-100 ETF, Yongying CSI Hong Kong and Shanghai Gold Industry Stock ETF, Huatai-PB Hang Seng Technology ETF, Guotai Nasdaq-100 ETF, Guotai Gold ETF, and Haifutong Shanghai Stock City Investment Bond ETF [1]

Core Viewpoint - The bond ETF market has experienced rapid expansion this year, with a significant increase in the scale of leading products and a noticeable restructuring of the industry [1][2]. Market Overview - As of November 24, the total scale of bond ETFs reached 720.6 billion yuan, continuously setting historical highs and rapidly increasing its market share within the ETF landscape [2][3]. - The proportion of bond ETFs in the overall market rose to 12.82%, a substantial increase from 4.66% at the end of last year, while the share of stock ETFs decreased from 77.38% [3]. - The performance of certain bond ETFs has been notable, with the Bosera CSI Convertible Bond ETF rising by 15.93% and the Hai Fu Tong Shanghai Stock Exchange Investment Grade Convertible Bond ETF increasing by 12.04% year-to-date [3]. Growth Drivers - The growth in the bond ETF market is driven by three main factors: strong policy support, product innovation, and a shift in investor strategy towards passive investment tools due to increased market volatility [7]. - The number of bond ETF products reached 53, with 32 launched this year, indicating a robust influx of new offerings [4]. Characteristics of Bond ETFs - Bond ETFs are characterized by high liquidity, low trading costs, and the ability to be used for collateral financing, making them an efficient investment vehicle [5][6]. - They offer T+0 trading, allowing investors to buy and sell on the same day, and typically have lower transaction fees compared to traditional bond investments [6]. Investor Composition - Institutional investors dominate the bond ETF market, accounting for 92% of the total, while individual investors represent only 8%, indicating significant growth potential in the retail segment [7].

Core Viewpoint - The ETF market is experiencing a shift in funding structure amid a volatile market and weak expectations, with a notable preference for low-risk, low-volatility bond ETFs over high-volatility equity ETFs [1][2]. Group 1: ETF Market Trends - In the past month, there has been a clear divergence in the scale changes of different index-linked ETFs, with low-risk bond ETFs seeing significant net inflows ranging from tens to hundreds of millions [2][3]. - The overall trend indicates that investors are increasingly favoring stable assets, with bond ETFs becoming the primary tool for enhancing portfolio stability in a turbulent market [2][3]. Group 2: Performance of Low-Risk ETFs - As of November 23, bond-related ETFs have shown substantial growth, with specific ETFs like the Hai Fu Tong Zhong Zheng Short Bond ETF increasing by 10.67 billion, making it one of the fastest-growing ETFs in the market [4]. - Other notable increases include the Hua Bao Cash Management ETF with 8.93 billion, and the Tian Hong Zhong Zheng AAA Technology Innovation Bond ETF with 5.60 billion, reflecting a strong demand for bond ETFs [4]. Group 3: Pressure on Equity ETFs - In contrast to bond ETFs, equity index ETFs have faced net outflows, with the CSI 300 index ETF seeing a decrease of 38.76 billion, marking the largest outflow among broad-based products [5][6]. - Technology-themed ETFs have also experienced declines, with the Fu Guo Zhong Zheng Hong Kong Internet ETF dropping by 8.44 billion, indicating pressure on the growth sector [5][6]. Group 4: Investor Behavior and Market Sentiment - The current market sentiment remains cautious, leading investors to prioritize stability and risk management through low-volatility bond ETFs and cash management products [7]. - The decline in trading activity has resulted in reduced interest in high-volatility equity products, as investors are more inclined to lower leverage and exposure to risky assets [7].

Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints - Bond - type ETFs had significant net inflows in the past week, with credit - type ETFs leading the way, and large cumulative net inflows throughout the year [3]. - The net values of various bond ETF products recovered significantly in the past week, with some products performing well and others showing different trends [4]. - Credit - bond ETFs and science - innovation bond ETFs had certain increases in unit net value, and their discount rates were at specific levels [5]. 3. Summary by Relevant Catalogs 3.1 Funds Flow - As of November 21, 2025, bond - type ETFs had a total net inflow of 12.729 billion yuan in the past week. Interest - rate, credit, and convertible - bond ETFs had net inflows of 3.538 billion yuan, 6.636 billion yuan, and 2.555 billion yuan respectively. Among credit - type ETFs, short - term financing, corporate bonds, and urban investment bonds had net inflows of 2.598 billion yuan, 1.269 billion yuan, and 1.212 billion yuan respectively, while market - making credit bonds had a net outflow of 252 million yuan, and science - innovation bonds had a net inflow of 1.809 billion yuan. - As of November 21, 2025, the cumulative net inflows of interest - rate, credit, and convertible - bond ETFs for the year were 74.2 billion yuan, 445.363 billion yuan, and 25.137 billion yuan respectively, with a total of 544.7 billion yuan [3]. 3.2 Net Value Performance - Throughout the week, the net values of various bond ETF products recovered significantly. As of November 21, 2025, the 5 - year local - bond ETF and 10 - year local - bond ETF performed well, rising 0.15% and 0.14% respectively. The government - financial bond ETF and 0 - 4 local - bond ETF both rose 6BP. Treasury - bond ETFs and state - development - bond ETFs performed steadily. Convertible - bond ETFs and Shanghai - Stock - Exchange convertible - bond ETFs fell 1.72% and 1.37% respectively last week [4]. 3.3 Performance of Credit - Bond ETFs and Science - Innovation Bond ETFs - As of November 21, 2025, the median unit net values of credit - bond ETFs and science - innovation bond ETFs were 1.0126 and 1.0008 respectively, rising 0.01% and 0.02% throughout the week. Among credit - bond ETFs, Dacheng Credit - Bond ETF performed well, rising 0.04%. Among science - innovation bond ETFs, Fuguo, Boshi, and JingShun Science - Innovation Bond ETFs performed relatively well. As of November 21, 2025, the median discount rate of credit - bond ETFs was 25BP, and that of science - innovation bond ETFs was 22BP [5]. 3.4 Credit - Type ETF Duration Tracking - As of November 21, 2025, the holding durations of short - term financing ETFs, corporate - bond ETFs, and urban - investment - bond ETFs were 0.40 years, 1.84 years, and 2.21 years respectively. Among market - making credit - bond ETFs, the median holding durations of products tracking the Shanghai - market - making corporate - bond and Shenzhen - market - making corporate - bond indexes were 3.789 years and 2.87 years respectively. Among science - innovation bond ETFs, the median holding durations of products tracking the AAA science - innovation bond, Shanghai - AAA science - innovation bond, and Shenzhen - AAA science - innovation bond indexes were 3.47 years, 3.56 years, and 3.24 years respectively [8]. 3.5 Report Abstract - Last week, the ChinaBond New Composite Index rose 0.03% throughout the week. Short - term pure - bond and medium - long - term pure - bond funds rose 0.02% and 0.02% respectively. The ChinaBond AAA Science - Innovation Bond Index and the Shanghai Stock Exchange Benchmark Market - Making Corporate - Bond Index rose 0.03% and 0.03% respectively [7].

Core Insights - Hai Fu Tong Short-term Bond ETF has reached a scale of 700.01 billion yuan, becoming the first bond ETF in China to surpass the 700 billion yuan mark [2][3] - The overall bond ETF market has seen significant growth, with a total scale of 7150.60 billion yuan as of November 20, marking a historical high and an increase of over 540 billion yuan this year [2][9] - The growth of Hai Fu Tong Short-term Bond ETF is attributed to a shift in investor preferences towards short-term investments due to declining yields in money market funds [6][10] Market Performance - Hai Fu Tong Short-term Bond ETF's scale increased by 4.3 billion yuan from the previous trading day, reflecting a year-to-date growth of 138.58% from 293.41 billion yuan at the end of last year [3][6] - The unit net value of Hai Fu Tong Short-term Bond ETF has risen by 1.37% since March, indicating stable performance in the secondary market [6] Investor Behavior - Investors are increasingly attracted to bond ETFs due to lower management fees and higher transparency compared to traditional bond funds, leading to a significant inflow of funds into this segment [10] - The demand for short-term bond ETFs has been bolstered by the growing number of Fund of Funds (FOF) products that are allocating more resources to these ETFs, with 67 FOFs holding a combined market value of 3.29 billion yuan in short-term bond ETFs as of the end of Q3 [6][7] Regulatory and Market Dynamics - The rapid growth of bond ETFs is supported by regulatory initiatives and product innovations from exchanges, which have introduced various new bond ETF products this year [10][11] - Increased participation from market makers and broker-dealer proprietary trading has improved liquidity in the bond ETF market, creating a positive cycle of growth and investment [11] Future Outlook - Despite the current rapid growth, the bond ETF market is still in its early stages, with significant room for expansion as the product offerings remain limited [11] - Future innovations are expected to include cross-border bond ETFs and thematic bond ETFs to meet diverse investor needs and further expand market opportunities [11]

Core Viewpoint - The rapid growth of bond ETFs in China is highlighted by the Hai Futong Short-term Bond ETF surpassing 70 billion yuan, marking a significant milestone in the domestic bond ETF market [2][4][6]. Group 1: Market Growth - As of November 20, the total scale of bond ETFs reached 715.06 billion yuan, a historical high, with an increase of over 540 billion yuan this year, representing a growth rate of 311.02% compared to the end of last year [8][10]. - The Hai Futong Short-term Bond ETF, established on August 3, 2020, has seen its scale grow from 29.34 billion yuan at the end of last year to 70 billion yuan, an increase of 406.6 billion yuan, or 138.58% [6][9]. Group 2: Investment Demand - The low interest rate environment has led to a shift in investor strategies, with a growing demand for trading to achieve returns rather than traditional buy-and-hold strategies [10]. - Investors are increasingly sensitive to management fees, making bond ETFs, which have lower fees and higher transparency, more attractive [10]. Group 3: Regulatory Support - Continuous support from regulatory bodies and exchanges has been crucial for the rapid development of bond ETFs, with innovations in product offerings driving market growth [10][11]. Group 4: Market Liquidity - The involvement of more market makers and proprietary trading firms has significantly improved the liquidity of bond ETFs, creating a positive cycle of scale, liquidity, and capital inflow [11]. - Despite the rapid growth, the bond ETF market is still in its early stages, indicating substantial future growth potential [11].