8月25日，A股单日成交额突破3万亿元，创下历史第二高纪录。这一数字不仅刷新了市场对"牛市"的认知，更折射出资金面的深刻变化。 | 上证指数 | 深证成指 | 北证5( | | --- | --- | --- | | 3877.13 | 12417.31 | 1602.2 | | +51.37 +1.34% +251.25 +2.07% +2.00 +0 | | | | 科创50 | 创业板指 | 万得全 | | 1278.82 | 2753.67 | 6159.3 | | +30.95 +2.48% +71.11 +2.65% +98.55 +1 | | | | 沪深300 | 中证500 | 中证A5( | | 4459.66 | 6941.67 | 5301.1 | | +81.66 +1.87% +118.83 +1.74% +102.23 +1 | | | | 中证1000 | 深证100 | 中证红 | | 7468.53 | 5397.42 | 5636.2 | | +105.59 +1.43% +105.73 +2.00% +36.87 +0 | | | | 万得全A涨跌分布 | | | 资料 ...

融券方面，当日无融券交易。 融资融券余额4655.92万元，较昨日上涨1.7%。 | 交易日 | 两融余额(元) | 余额变动(元) | 变动幅度 | | --- | --- | --- | --- | | 2025-08-27 | 4655.92万 | 78.00万 | 1.70% | | 2025-08-26 | 4577.92万 | 52.04万 | 1.15% | | 2025-08-25 | 4525.88万 | 683.83万 | 17.80% | | 2025-08-22 | 3842.05万 | 467.91万 | 13.87% | | 2025-08-21 | 3374.14万 | 174.10万 | 5.44% | 证券之星消息，8月27日，消费ETF（510150）融资买入1347.73万元，融资偿还1269.73万元，融资净买 入78.0万元，融资余额4655.92万元，近3个交易日已连续净买入累计813.87万元，近20个交易日中有13 个交易日出现融资净买入。 | 交易日 | 融资净买入(元) | 融资余额(元) | 占流通市值比 | | --- | --- | --- | --- ...

【知其然知其所以然：本轮行情为何爆发？】 本轮行情呈现整体缓慢上行、阶段热点加速的特征，背后有四大逻辑支撑： 近期，A股市场持续沸腾，走出了波澜壮阔的大行情。8月25日，沪指连续多日刷新近10年新高，创业板指单日涨幅创2022年以来新高，两市成交额于超3.1 万亿元创历史次新高。 如此亮眼的行情也激发了市场的投资热情，但在入市加仓之前，让我们先了解本轮行情爆发的驱动因素是什么？"慢长行情"在途，该怎么追，怎么切？ 一是政策改善资本市场信心、催化经济基本面持续修复。去年924政策极大地改善了资本市场信心；在积极的财政政策和适度宽松货币政策催化下，经济基 本面改善趋势不断强化，25年上半年GDP同比增长5.3%，高于全年经济目标。 二是资金面持续活跃。一方面，两融余额创近10年新高，两市成交额连续多日高于2万亿元，市场资金高度活跃；另一面，美联储处于降息周期，增长潜力 大、估值相对低位的中国资产对外资吸引力显著提升。 三是投资者风险偏好提升。在政策催化和经济修复预期下，投资者风险偏好显著提升。 四是A股市场处于产业大爆发阶段。从人形机器人、再到DeepSeek等AI大模型，再到创新药等新质产业持续爆发。 【"慢长 ...

证券研究报告：金融工程报告 发布时间：2025-08-25 研究所 分析师:肖承志 SAC 登记编号:S1340524090001 Email:xiaochengzhi@cnpsec.com 研究助理:李子凯 SAC 登记编号:S1340124100014 Email:lizikai@cnpsec.com 近期研究报告 《成长风格显著，中盘表现占优——中 邮因子周报 20250817》 - 2025.08.18 《ETF 资金偏谨慎流入消费红利防守， 银行提前调整使指数回调空间可控— — 行 业 轮 动 周 报 20250803 》 - 2025.08.04 《ETF 资金持续净流出医药，雅下水电 站成短线情绪突破口——行业轮动周 报 20250727》 – 2025.07.28 《ETF 资金净流入红利流出高位医药， 指数与大金融回调有明显托底——行 业轮动周报 20250720》 – 2025.07.21 《大金融表现居前助指数突破，GRU 行 业轮动调入非银行金融——行业轮动 周报 20250713》 - 2025.07.14 《ETF 流入金融与 TMT，连板高度与涨停 家数限制下活跃资金处观望态势— ...

今日（8.22），港A联袂飘红，新消费"纯"度更高的港股通消费50ETF（159268）涨超1%，盘中再度吸金640万元，至此已连续第6日获净流入，累计"吸 金"超1.5亿元。热门成分股中，名创优品绩后涨超18%，李宁涨超7%，安踏体育涨超3%，泡泡玛特涨超2%。 | 17 综合屏 F9 前复权 超级叠加 画线 工具 ♡ ② » 分时 多日 1分 5分 15分 30分 60分 | | --- | | 159268.SZ[港股通消费50ETF] 2025/08/22 收 1.067 幅 1.04%(0.011) 开 1.057 高 1.075 低 1.057 均 1.065 □ | | MA5 1.050↑ MA10 1.033↑ MA20 1.019↑ 2025/07/21-2025/08/22(25日)▼ ■ | | 1.080 1.075- | | 1.060 | | 1.040 | | 1.020 | | 1.000 | | 0.98 0.980 | | ? VOL: 25万 MA(5): 57万 MA(10): 37万 MA(20): 28万 | | 150万 | | 0 | | ? MACD(12, ...

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The performance of ETF products has varied in the past two weeks. Among the major broad - based ETFs, the CSI 2000 ETF had the largest increase, and among the industry and theme products, the military industry ETF had the largest increase. The fund flow trends of different types of ETFs have also changed, with some showing accelerated inflows, some turning from inflows to outflows, and others showing a slowdown in inflows [2][9]. 3. Summary According to the Table of Contents 3.1 ETF Market Review 3.1.1 Main Type ETF Fund Flow Overview - **Return Performance**: As of August 8, in the past two weeks, ETF products showed mixed performance. Among the major broad - based ETFs, the CSI 2000 ETF had the largest increase, and among the industry and theme products, the military industry ETF had the largest increase [9]. - **Fund Flow**: In the past two weeks, among the major broad - based ETFs, the CSI 2000 ETF had a net inflow of funds, while the CSI 300 ETF had the largest net outflow of funds [9]. 3.1.2 Main Type ETF Cumulative Fund Flow - **Broad - based ETF**: Since 2025, the fund flow of major broad - based ETFs has changed from outflow to inflow and then to outflow. The A - series ETFs have had continuous outflows. As of August 8, the Science and Technology/Innovation ETFs, A - series ETFs, and CSI 500 ETFs have all had net outflows. In the past two weeks, the net outflow speed of broad - based ETFs has accelerated, except for the A - series ETFs, whose net outflow speed has slowed down [10]. - **Industry and Theme/Strategy ETF**: The technology ETF has seen an increase in the inflow speed in the past two weeks. The pharmaceutical ETF has turned from net outflow to net inflow, the new energy ETF has turned from net inflow to net outflow, and the consumer ETF has seen an accelerated inflow. The inflow speed of the dividend, cycle, financial real estate, and large - manufacturing ETFs has slowed down [2][14]. - **Bond ETF**: In 2025, the credit bond and treasury bond ETFs have had the largest net inflows. In the past two weeks, there has been a large inflow of funds into the credit bond ETF, the local bond ETF has turned from net outflow to net inflow, the net inflow speed of the treasury bond ETF has slowed down, and the convertible bond and short - term financing ETFs have seen an accelerated net inflow [14]. 3.1.3 ETF Product Structure Distribution - **Newly Established Products**: As of August 8, a total of 13 new ETFs have been established in the market in the past two weeks, with a total issuance share of 5.152 billion, all of which are stock ETFs [2][17]. - **Scale Change**: Compared with the end of 2024, the scale of various types of ETFs has increased. The scale of bond ETFs, commodity ETFs, industry + dividend ETFs, QDII - ETFs, and broad - based ETFs has increased by 204.20%, 106.93%, 45.79%, 22.68%, and 2.55% respectively [2]. 3.1.4 Manager Scale Distribution - As of August 8, Huaxia Fund has the largest on - exchange ETF scale, reaching 79.1655 billion yuan. E Fund's ETF management scale has expanded by nearly 30 billion yuan compared with a year ago [18]. 3.2 Classification - based ETF Tracking 3.2.1 Technology Theme ETF Tracking - **Return Performance**: Products tracking communication equipment - related indices have performed well in the past two weeks [24]. - **Fund Flow**: Products tracking the Hang Seng Technology index had the largest net inflow of funds in the past two weeks, while products tracking the animation and game index had a net outflow of funds [27]. 3.2.2 Dividend Theme ETF Tracking - **Return Performance**: ETF products tracking the Hong Kong Stock Connect High - Yield Selection index had the largest increase in yield in the past two weeks [30]. - **Fund Flow**: Products tracking the S&P China A - Share Large - Cap Dividend Low - Volatility 50 index had the largest net inflow of funds in the past two weeks, while products tracking the Guoxin Hong Kong Stock Connect Central Enterprise Dividend index had a net outflow of funds [34]. 3.2.3 Consumption Theme ETF Tracking - **Return Performance**: Products tracking the China Education index have performed well in the past two weeks, and products tracking the S&P 500 Consumer Select Index have a relatively high premium rate [37]. - **Fund Flow**: ETFs tracking the 800 Consumption index had the largest net inflow of funds in the past two weeks, while products tracking household appliances had a net outflow of funds [40]. 3.2.4 Pharmaceutical Theme ETF Tracking - **Return Performance**: Products tracking innovation - drug indices such as the Hang Seng Innovation - Drug index have performed well in the past two weeks [42]. - **Fund Flow**: Not fully provided in the content 3.3 Hot - Theme ETF Tracking - Not fully provided in the content

Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Model - **Model Construction Idea**: The model is based on the principle of price momentum, aiming to capture upward trends in industry performance[26][39] - **Model Construction Process**: The diffusion index is calculated for each industry, reflecting the proportion of stocks within the industry that exhibit positive momentum. The index ranges from 0 to 1, where higher values indicate stronger momentum. The model selects industries with the highest diffusion indices for allocation. For example, as of August 1, 2025, the top-ranked industries included Steel (1.0), Comprehensive Finance (1.0), and Non-Banking Finance (0.999)[27][28] - **Model Evaluation**: The model has shown mixed performance over the years. While it achieved significant excess returns in 2021 (up to 25% before September), it experienced notable drawdowns in 2023 (-4.58%) and 2024 (-5.82%) due to its inability to adjust to market reversals[26] 2. Model Name: GRU Factor Model - **Model Construction Idea**: This model leverages GRU (Gated Recurrent Unit) deep learning networks to process high-frequency volume and price data, aiming to identify industry rotation opportunities[40] - **Model Construction Process**: The GRU network is trained on historical minute-level data to predict industry factor rankings. The model then allocates to industries with the highest predicted rankings. As of August 1, 2025, the top-ranked industries included Non-Banking Finance (-1.15), Steel (0.7), and Base Metals (0.5)[34][38] - **Model Evaluation**: The model has demonstrated strong adaptability in short-term scenarios but struggles in long-term or extreme market conditions. Its performance in 2025 has been hindered by concentrated market themes, resulting in difficulty capturing inter-industry excess returns[33][40] --- Backtesting Results of Models 1. Diffusion Index Model - **Weekly Average Return**: -1.67%[30] - **Excess Return (August)**: -0.44%[30] - **Excess Return (2025 YTD)**: -0.40%[25][30] 2. GRU Factor Model - **Weekly Average Return**: 0.00%[38] - **Excess Return (August)**: 0.16%[38] - **Excess Return (2025 YTD)**: -2.35%[33][38] --- Quantitative Factors and Construction Methods 1. Factor Name: Diffusion Index - **Factor Construction Idea**: Measures the breadth of positive momentum within an industry[27] - **Factor Construction Process**: The diffusion index is calculated as the proportion of stocks in an industry with positive momentum. For example, as of August 1, 2025, the diffusion index for Steel was 1.0, while for Coal it was 0.23[27][28] - **Factor Evaluation**: The factor effectively identifies industries with strong upward trends but may underperform during market reversals[26] 2. Factor Name: GRU Industry Factor - **Factor Construction Idea**: Utilizes GRU deep learning to rank industries based on high-frequency trading data[40] - **Factor Construction Process**: The GRU network processes minute-level volume and price data to generate factor rankings. For instance, as of August 1, 2025, the GRU factor for Non-Banking Finance was -1.15, while for Steel it was 0.7[34][38] - **Factor Evaluation**: The factor is effective in capturing short-term trends but struggles in long-term or highly volatile markets[33][40] --- Backtesting Results of Factors 1. Diffusion Index Factor - **Top Industries (August 1, 2025)**: Steel (1.0), Comprehensive Finance (1.0), Non-Banking Finance (0.999)[27][28] - **Weekly Average Return**: -1.67%[30] - **Excess Return (August)**: -0.44%[30] - **Excess Return (2025 YTD)**: -0.40%[25][30] 2. GRU Industry Factor - **Top Industries (August 1, 2025)**: Non-Banking Finance (-1.15), Steel (0.7), Base Metals (0.5)[34][38] - **Weekly Average Return**: 0.00%[38] - **Excess Return (August)**: 0.16%[38] - **Excess Return (2025 YTD)**: -2.35%[33][38]

Market Performance - A-shares ended the last trading day of July with a decline, but overall performance for the month was strong, with the Shenzhen Component Index, Shanghai Composite Index, CSI 300 Index, and CSI A500 Index rising by 5.2%, 3.74%, 3.54%, and 3.95% respectively [1] - Global stock markets saw strong performance in the tech sector, with the Nasdaq Index and Nasdaq 100 Index increasing by 3.73% and 2.94% respectively, while the Hang Seng Index and Hang Seng Tech Index rose by 2.91% and 2.83% [1] Sector Performance - In the A-share market, the steel, pharmaceutical and biotechnology, building materials, and telecommunications sectors led the gains, while the banking, public utilities, and transportation sectors experienced the largest declines [5] - In the Hong Kong market, the healthcare, energy, and real estate and construction sectors saw significant increases in July, with gains of 22.75%, 9.72%, and 5.19% respectively [6] ETF Performance - The "Global Vision on China" top ten core ETFs all recorded gains in July, with an average increase of 6.68% for the month and an average year-to-date increase of 18.59%, outperforming the CSI 300 Index by 15 percentage points [6] - The best-performing ETF in July was the Hong Kong Innovative Drug ETF, which rose by 26.94%, followed by the ChiNext 50 ETF with an 8.81% increase, and the A500 ETF (512050) which increased by 4.56% [6] - The A500 ETF (512050) has seen a year-to-date increase of 6.11%, benefiting from the performance of new economy sectors such as power equipment, electronics, and pharmaceuticals, supported by policy and technological breakthroughs [8][9] Consumer Sector Insights - The Consumer ETF saw a slight increase of 1.39% in July but remains down 1.47% year-to-date, making it the only ETF among the top ten core ETFs to decline this year [10] - The consumer sector faces challenges due to the deep adjustment in the liquor industry and weaker-than-expected consumer recovery, but long-term prospects remain positive [11] - Recent government policies aimed at boosting consumption are expected to support the consumer sector, with significant funding allocated for trade-in subsidies [12] Valuation Metrics - As of August 1, 2025, the price-to-earnings ratio (TTM) for the major consumption index was 18.82, with a historical low of 0.39% over the past decade, indicating a high safety margin for investors [13] H-share ETF Performance - The H-share ETF rose by 2.4% in July and has accumulated a gain of over 20% this year, benefiting from the current macro environment characterized by ample liquidity and asset scarcity [13][14] - The H-share ETF tracks the Hang Seng China Enterprises Index, which includes 50 Chinese companies listed in Hong Kong, covering various sectors such as finance, technology, and energy [13]

Market Performance - A-shares ended July with a decline, but overall performance for the month was strong, with the Shenzhen Composite Index, Shanghai Composite Index, CSI 300 Index, and CSI A500 Index rising by 5.2%, 3.74%, 3.54%, and 3.95% respectively [1] - Global markets saw strong performance in the tech sector, with the Nasdaq Index and Nasdaq 100 Index increasing by 3.73% and 2.94% respectively, while the Hang Seng Index and Hang Seng Tech Index rose by 2.91% and 2.83% [1] Sector Performance - In the A-share market, the steel, pharmaceutical and biotechnology, building materials, and telecommunications sectors led the gains, while the banking, public utilities, and transportation sectors experienced the largest declines [5] - In the Hong Kong market, the healthcare, energy, and real estate and construction sectors saw significant increases, with respective gains of 22.75%, 9.72%, and 5.19% in July [9] ETF Performance - The top ten core ETFs under "Global Vision Investing in China" all recorded gains in July, with an average increase of 6.68% for the month and an average year-to-date increase of 18.59%, outperforming the CSI 300 Index by 15 percentage points [12] - The best performer in July was the Hong Kong Innovative Drug ETF, which rose by 26.94%, followed by the ChiNext 50 ETF with an 8.81% increase, and the A500 ETF (512050) which gained 4.56% [12][13] - The A500 ETF (512050) has seen a year-to-date increase of 6.11%, with a cumulative rise of over 7% since the market shift on June 23 [13][15] Consumer Sector Insights - The Consumer ETF saw a slight increase of 1.39% in July but remains down 1.47% year-to-date, making it the only ETF in the top ten to decline this year [16] - The consumer sector faces challenges due to the deep adjustment in the liquor industry and weaker-than-expected consumer recovery, although long-term prospects remain positive [18] - Government policies aimed at boosting consumption are expected to support the sector, with a focus on rational spending and experience-driven consumption trends [18][19] H-Shares Performance - The H-share ETF rose by 2.4% in July and has seen a cumulative increase of over 20% this year [20] - The H-share ETF tracks the Hang Seng China Enterprises Index, which includes 50 Chinese companies listed in Hong Kong, benefiting from a favorable macro environment characterized by high liquidity and active southbound capital flows [22]

Group 1 - A-shares experienced a strong rebound on July 29, with the ChiNext Index leading the gains, particularly in the pharmaceutical sector and computing hardware stocks [1] - The overall stock ETF market was active, with Hong Kong-related ETFs seeing significant inflows of 6.8 billion yuan, while broad-based ETFs like the CSI 300 Index and STAR 50 Index faced notable outflows [1][3] - As of July 29, the total scale of all stock ETFs in the market reached 3.84 trillion yuan, despite an overall net outflow of 3.94 billion yuan on that day [1] Group 2 - The top-performing ETFs included the Hong Kong Securities ETF, which saw a net inflow of 1.75 billion yuan, and the Hong Kong Internet ETF with 1.19 billion yuan [2] - Conversely, the broad-based ETFs experienced significant outflows, with the CSI 300 ETF alone seeing a net outflow of 2.87 billion yuan [3][4] - Major fund companies like E Fund and Huaxia Fund reported substantial inflows into their ETFs, indicating investor confidence in specific sectors such as gaming and technology [3] Group 3 - Multiple institutions released reports ahead of the Central Political Bureau meeting, indicating that macroeconomic policies will likely continue to focus on growth stabilization and demand expansion [5] - Analysts expect that the meeting will emphasize the continuity of policies, with a potential shift away from aggressive stimulus measures [5] - The focus for the second half of the year is anticipated to be on consolidating economic growth and addressing existing economic issues, including low inflation and declining investment growth [5]