[Table_Info1] 证券研究报告 [Table_Title] 证券研究报告 / 基金研究报告 缓冲型 ETF 国内实践探索 报告摘要： [Table_Summary] 本报告系统梳理并评估缓冲型 ETF 的产品设计逻辑、工程实现路径、主 要风险来源与治理要点，旨在为基金管理人、渠道方与监管机构提供一 套可审计、可回放的试点建议与实务清单。缓冲型 ETF 通过在每个结果 周期内以四腿期权组合（深度实值买入 Call、平值买入 Put、卖出虚值 Put 与卖出虚值 Call）合成敞口，从而在限定下行（Buffer）的同时对上行收 益设定明确上限（Cap）。与传统被动 ETF 不同，此类产品的关键并非静 态标的配置，而是重置日的市场快照、期权定价与成交执行三要素共同 决定的动态再投资路径。 在定价维度上，缓冲型 ETF 的 Cap 并非发行人任意设计的宣传参数，而 是由当日隐含波动率曲线、Skew 形态、利率与股息预期、期权流动性与 做市商风险偏好等市场变量共同内生生成。实现接近"零成本"或资金平 衡的权利金结构需精确匹配买入保护与卖出融资腿的权利金差额，因此 重置日的定价模型、IV 曲线拟合方法与成交滑点 ...

Market Growth - The Greater China region (Mainland China, Hong Kong, Taiwan) is the main driver of ETF market growth in the Asia-Pacific region, contributing 71% of the region's growth. In 2024, the ETF asset size in this region surged by 31% to reach $1.7 trillion, with record inflows of $347 billion [2][19]. - 71% of Greater China investors increased their ETF allocations over the past five years, with 20% reporting an increase of over 25%. Looking ahead, 99% of respondents plan to further increase their ETF investments in the next 12 months, particularly in Hong Kong (54%) and Taiwan (47%) [2][24]. - Taiwan's market has seen exceptional growth, with assets increasing by over 170% since the end of 2022, driven by a strong retail investor base of over 14 million [2][21]. Regional Characteristics - Taiwan's market is dominated by retail investors with a strong preference for specific themes such as artificial intelligence (60% view it as a leading trend for 2025) and cryptocurrency ETFs (40% plan to purchase) [3]. - Hong Kong is characterized by product innovation and serves as a cross-border hub, with 34% of investors planning to buy fixed income ETFs. Tax efficiency is a significant factor for 26% of investors when choosing ETFs [3]. - Mainland China investors exhibit a steady increase in allocations, with 74% planning to increase their ETF investments by no more than 10% in the next 12 months. There is a strong demand for offshore assets, particularly through cross-border channels [3]. Product Trends - There is a rising demand for buffered ETFs, with 29% of Greater China investors planning to invest in these products in the next 12 months, particularly in Mainland China (34%) [4]. - Interest in cryptocurrency ETFs is notable, with 26% of investors planning to invest, led by Taiwan (40%) and Hong Kong (23%) [4]. - Active ETFs are experiencing significant demand, with 100% of respondents planning to increase allocations in the next 12 months. In Hong Kong and Taiwan, 40% of investors plan to increase their allocations by over 25% [4]. Market Drivers and Challenges - Regulatory innovation is a key driver, with mechanisms like the ETF mutual access between Mainland China and Hong Kong facilitating cross-border investments [6]. - 27% of companies in Greater China are using AI tools to assist in investment decisions, indicating a growing trend in technology application [6]. - Competition among issuers is intensifying, with 76% of institutional investors planning to increase the number of ETF issuers they collaborate with. Product scale is a significant barrier, with 85% requiring a minimum AUM of $50 million [6].

Core Viewpoint - The return of Trump to the political scene has introduced unprecedented uncertainty in the markets, affecting macro traders and their strategies [1][2]. Group 1: Market Reactions - Trump's fluctuating policies on trade tariffs and taxes have disrupted established trading strategies, leading to significant market volatility [1]. - The HFRX Macro/CTA Index has dropped 4.3% year-to-date, marking the worst start since records began in 2004, highlighting the struggles of macro traders [3]. - In contrast, the S&P 500 index has risen nearly 2% this week, with a cumulative increase of 6% in May, indicating a divergence in market performance [3]. Group 2: Investment Strategies - Traditional defensive strategies, such as investing in value stocks and fixed-income tools, have failed to protect against market downturns, with defensive stocks lagging behind cyclical stocks by 10 percentage points [4]. - Popular volatility-linked ETFs have also seen declines of at least 25%, resulting in significant losses for investors who sought protection through these instruments [4]. - The best strategy in the current environment appears to be a passive approach, as retail investors have benefitted from the chaos, with $10 billion flowing into popular ETFs like Vanguard S&P 500 ETF (VOO) since May [5][6]. Group 3: Economic Resilience - Analysts emphasize that the natural resilience of the economy has been underestimated, suggesting that a more cautious and observant approach may yield better results than aggressive trading [6].