金工量化周报 上周申报 7 只上证科创板芯片 ETF ——ETF 市场扫描与策略跟踪（2025.11.23） 核心结论 摘要内容 全球市场概况：上周，A 股市场整体下跌，其中，北证 50 指数跌幅最大， 为 9.04%；港股市场有所下跌，恒生指数下跌 5.09%。跌幅居前的 ETF 跟 踪标的多为新能源板块指数。 ETF 新发情况：上周内地市场上报股票 ETF 19 只；新成立股票 ETF 9 只。 美国市场上周新成立权益型 ETF 17 只，其中 16 只为主动 ETF。 A 股 ETF 资金流向：上周，净流入排名前 10 的多为宽基指数 ETF；净流出 前 10 的多为周期板块指数 ETF。宽基 ETF 中，跟踪中证 500 指数的 ETF 净流入居前，跟踪 MSCI 中国 A50 互联互通指数的 ETF 净流出居前；行业 ETF 中，TMT 板块 ETF 净流入居前；主题 ETF 中，港股通科技 ETF 基金 （159101）净流入居前，金融科技 ETF（159851）净流出居前；主动 ETF 中，科创 50 增强 ETF 净流入居前，中证 2000 增强 ETF 净流出居前；Smart Beta ET ...

Core Insights - The securities ETF (159841) has seen significant trading activity, with a transaction volume of 234 million yuan and a recent increase in the underlying index by 0.56% [1] - The ETF has experienced a notable growth in scale, with an increase of 33.51 million yuan over the past week, reaching a new high of 9.678 billion shares [1][2] - The recent merger of China International Capital Corporation (CICC) with Dongxing Securities and Xinda Securities is expected to reshape the competitive landscape of the securities industry [4][5] Fund Performance - The securities ETF (159841) has attracted a total net inflow of 488 million yuan over the past week, with a peak single-day inflow of 173 million yuan [1][2] - The ETF's current scale stands at 10.702 billion yuan, making it the largest and most liquid securities ETF in the Shenzhen market [2] Merger Details - CICC is leading the merger with Dongxing Securities and Xinda Securities, utilizing a share exchange method to absorb both firms [4] - As of September 2025, CICC's net assets were 115.5 billion yuan, while Dongxing and Xinda had net assets of 29.6 billion yuan and 26.4 billion yuan, respectively, resulting in a combined net asset exceeding 170 billion yuan post-merger [4][5] Strategic Implications - The merger is expected to enhance CICC's capabilities in debt restructuring and risk resolution, leveraging the expertise of Dongxing and Xinda in managing non-performing assets [5] - The combined entity will not only maintain its leadership in traditional investment banking but also strengthen its retail brokerage and regional market presence, creating a more balanced business model [5] - The merger is anticipated to generate "scale effects + business synergy," leading to improved revenue structure and profitability [5][6]

Strategy Logic - The report introduces the "Shouzheng Chuq" market investment prosperity indicator, which aims to identify investment opportunities in industries that can become market investment main lines, based on the phenomenon of industry rotation in the A-share market [1][5] - The strategy combines three major dimensions: investment prosperity, volume-price indicators, and analyst expectations, resulting in 12 detailed industry rotation indicators [1][5] - The investment prosperity indicator utilizes market data and alternative data to construct positive and negative screening factors, capturing the marginal upward beta factor and the super-expected report factor while preventing trading overheating [5][6] Strategy Performance - In October, the "Shouzheng Chuq" investment prosperity long portfolio achieved a return of 0.40%, while the analyst expectation indicator long portfolio returned 1.19%, closely matching the benchmark return of 1.06% [2][11] - The volume-price indicator performed exceptionally well, with a long portfolio return of 3.29%, resulting in an excess return of 2.23% [2][11] - The comprehensive "Expectation Resonance" model long portfolio yielded a return of 2.56%, with an excess return of 1.50% [2][11] Latest Recommendations - Based on the latest data, the top recommended industries for November according to the "Shouzheng Chuq" model include computer, petroleum and petrochemicals, light industry manufacturing, non-bank financials, commercial retail, and pharmaceuticals [3][19] - The "Expectation Resonance" model ranks non-bank financials, commercial retail, banking, petroleum and petrochemicals, light industry manufacturing, and home appliances as the leading industries [3][19] Industry Scores and ETF Recommendations - The report provides detailed scores for recommended industries, with non-bank financials scoring 1.00, commercial retail 0.97, and banking 0.93 under the "Expectation Resonance" composite indicator [19] - Corresponding ETFs for the recommended industries include various options for computer, petroleum, light industry manufacturing, non-bank financials, commercial retail, and pharmaceuticals [20]

Core Insights - The article emphasizes the importance of technological self-reliance and institutionalizing data elements to promote the digital and intelligent upgrade of traditional industries and the large-scale development of emerging industries [1] - In the computer and software development sector, the policy outlines "extraordinary measures" to accelerate breakthroughs in core technologies, focusing on the development of integrated circuits and foundational software [1] - The collaboration between emerging technologies and foundational software is expected to drive new productivity and high-quality technological development [1] Industry Summary - The policy aims to enhance the domestic penetration rate of industrial software in areas such as design simulation, process management, and production execution [1] - The Computer ETF (512720) tracks the CS Computer Index (930651), which selects listed companies involved in software development, IT services, and hardware manufacturing from the Shanghai and Shenzhen markets [1] - The CS Computer Index reflects the overall performance and development trends of the Chinese computer industry, covering multiple sub-sectors [1]

Group 1 - The core viewpoint of the report emphasizes the effectiveness of grid trading strategies, which capitalize on price fluctuations rather than predicting market trends, making them suitable for volatile markets [4][12]. - The report identifies key characteristics for suitable grid trading targets, including low trading costs, good liquidity, and significant volatility, suggesting that equity ETFs are particularly appropriate for this strategy [4][12]. Group 2 - The report highlights three specific ETFs for grid trading: - The Computer ETF (159586.SZ) aligns with China's 14th Five-Year Plan, focusing on AI applications and digital infrastructure, indicating long-term growth potential driven by strategic policy support [4][13]. - The Saudi ETF (159329.SZ) aims to capture opportunities from Saudi Arabia's Vision 2030, which seeks to diversify the economy away from oil dependency, with over 40% of its holdings in the financial sector [5][16]. - The Bank ETF (159887.SZ) offers a high dividend yield of 4.40%, making it an attractive option for long-term capital allocation, particularly for insurance companies looking to mitigate interest rate risks [6][18].

Group 1 - The core point of the news is the recent performance of the Computer ETF (512720), which has seen a net buying trend in financing activities over the past few trading days [1][2]. - On October 23, the financing buy-in amounted to 2.7654 million yuan, while the financing repayment was 2.5875 million yuan, resulting in a net buy of 177,800 yuan [1][2]. - Over the last three trading days, the cumulative net buying reached 1.3985 million yuan, with 11 out of the last 20 trading days showing net buying in financing [1][2]. Group 2 - The financing balance on October 23 was reported at 13.3983 million yuan, indicating a positive sentiment among investors [1][2]. - The total margin trading balance was 16.0241 million yuan, which increased by 1.22% compared to the previous day [3][4]. - The margin trading balance has shown fluctuations, with a notable decrease of 12.29% on October 20, followed by a recovery in subsequent days [4].

Market Overview - The market experienced fluctuations with mixed index performances, where the Shanghai Composite Index fell by 0.42%, while the Shenzhen Component Index rose by 0.56% and the ChiNext Index increased by 1.73% [1] - The total trading volume in the Shanghai and Shenzhen markets reached 1.61 trillion yuan, an increase of 153.3 billion yuan compared to the previous trading day [1] AI Sector Performance - AI-related stocks, including optical modules, liquid-cooled servers, and AI applications, led the market gains [1] - The China Securities Index reported that the AI-focused ETF from Guotai (159388) surged by 6.97%, and the communication ETF (515880) rose by 6.14%, both reaching historical highs [3] Nvidia's Market Impact - Nvidia announced it received permission from the Trump administration to resume sales of the "special version" H20 chips to China, following a meeting between CEO Jensen Huang and President Trump [5] - The introduction of a new GPU based on the Blackwell architecture, compliant with U.S. export regulations, is expected to enhance investments in AI infrastructure [5][7] - The easing of U.S.-China trade tensions since June has alleviated concerns over chip shortages in China, benefiting AI data centers and related sectors [5][6] Optical Module Sector Growth - New Yi Sheng, a leader in optical modules, projected a significant profit increase for the first half of 2025, estimating a net profit of 3.7 billion to 4.2 billion yuan, representing a year-on-year growth of 327.68% to 385.47% [6] - The North American cloud service providers' capital expenditure reached 77.1 billion USD in Q1 2025, a 59% increase, indicating a strong demand for optical modules [6] Innovation Drug Sector Developments - The innovation drug ETF from Guotai (517110) rose by 1.74%, supported by favorable policies from the National Healthcare Security Administration and the National Health Commission [9] - The domestic innovation drug market is expected to see significant growth, with a projected increase in the number of innovative drugs entering clinical trials [9][10] - AI is anticipated to enhance the pharmaceutical industry across various stages, including drug development and production [10]

Group 1 - The technology sector is experiencing a strong surge, with significant gains in CPO and cloud computing stocks, including New Yisheng up 20%, Zhongji Xuchuang up over 15%, and Fanwei Network up 10% [1] - The cloud computing ETF (517390) rose nearly 6%, reaching a new high in over three months, influenced by the strong performance of heavy-weight stocks [1] - New Yisheng's semi-annual performance forecast indicates a net profit of 3.7 billion to 4.2 billion yuan for the first half of the year, representing a year-on-year increase of 327.68% to 385.47% [1] - The increase in New Yisheng's sales revenue and net profit is attributed to the continuous growth in AI-related computing power investments, product structure optimization, and sustained demand for high-speed products [1] - NVIDIA's CEO announced that the U.S. has approved the sale of H20 chips to China, which positively impacts optical communication and related AI applications [1] Group 2 - The integration of cloud computing in the financial sector is accelerating, driven by internet giants and traditional financial institutions adopting new IT reforms [2] - Financial enterprises are increasingly using cloud computing to handle applications and high-concurrency business processes, indicating a growing fusion of cloud technology with the financial industry [2] - The entry of open-source models like DeepSeek in 2025 is expected to introduce new competition and opportunities in the financial cloud market, leading to a dual growth phase of "infrastructure reconstruction + intelligent application explosion" in China [2] - Investors can participate in the technology sector's upward opportunities through cloud computing ETFs and computer ETFs [2]

Market Overview - The market experienced a steady rise throughout the day, with the ChiNext Index leading the gains, and the Shanghai Composite Index surpassing 3400 points again. The total trading volume in the Shanghai and Shenzhen markets reached 1.41 trillion yuan, an increase of 292 billion yuan compared to the previous trading day. The Shanghai Composite Index rose by 1.15%, the Shenzhen Component Index by 1.68%, the ChiNext Index by 2.30%, and the CSI A500 Index by 1.34% [1]. Tesla Robotaxi Launch - Tesla has launched its Robotaxi pilot operation in Austin, Texas, with an initial fleet of 10 Model Y vehicles, charging passengers a fixed fee of $4.2. The service operates from 6 AM to 12 AM and currently includes a safety driver in the passenger seat. Elon Musk plans to expand the fleet to 1,000 vehicles within months, with projections of over 1 million autonomous Teslas in operation by the end of 2026. This initiative is expected to significantly increase Tesla's market value by $5-10 trillion [3][5]. - The market reacted positively to the news, with Tesla's stock rising by 8.23% on Monday [3]. Impact on Domestic Companies - The successful rollout of Tesla's Robotaxi is anticipated to serve as a demonstration effect, accelerating the commercialization of Robotaxi services among domestic companies. Leading firms in this space include Baidu, WeRide, and Pony.ai, which are intensifying their investments in autonomous driving technology [5]. - A joint investment by Hello Chuxing, Ant Group, and CATL has led to the establishment of Shanghai Zhaofu Intelligent Technology Co., focusing on L4 autonomous driving technology development and commercialization [5]. Robotics Sector Performance - The robotics sector saw significant gains, with the Robotics Industry ETF rising by 3.56%. This increase is attributed to the acceleration of Tesla's Robotaxi commercialization and the anticipated showcase of unmanned intelligent equipment during China's military parade in September. The industrial robot market in China is expected to recover in Q1 2025, with an estimated shipment of 77,000 units, reflecting an 11.6% year-on-year growth [6]. Humanoid Robots and AI Applications - Concerns over order cancellations have affected the sentiment in the humanoid robot sector, but the long-term outlook remains positive as humanoid robots are seen as key applications of AI technology. 2025 is projected to be a breakthrough year for humanoid robots, with Tesla's Optimus project advancing to its third-generation product development [7]. - The AI application commercialization is accelerating, with OpenAI reporting an annual recurring revenue (ARR) of $10 billion, nearly doubling year-on-year. Kuaishou's AI revenue exceeded 150 million yuan in Q1, with a monthly revenue surpassing 100 million yuan in recent months [9][10].

Core Viewpoint - The ETF market is experiencing a significant disparity, with some ETFs showing high trading volumes while many others face low liquidity and potential liquidation risks [1][5]. Group 1: ETF Market Performance - On June 10, certain ETFs like the Hong Kong Innovative Drug ETF and the Hang Seng Technology ETF had trading volumes exceeding 10 billion yuan, while over 500 ETFs had trading volumes below 10 million yuan [1]. - A total of 513 ETFs had trading volumes below 10 million yuan on June 10, with 129 ETFs trading below 1 million yuan [4][3]. - The concentration of market resources is evident, with the top ten ETFs accounting for nearly 40% of the total market size, while over 20% of ETFs have sizes below 100 million yuan [5]. Group 2: Liquidity and Risk Factors - The number of ETFs with net asset values below 50 million yuan has been increasing, indicating higher liquidity and liquidation risks [2][5]. - Analysts emphasize that low liquidity can lead to a vicious cycle where smaller ETFs struggle to attract investors, further diminishing their liquidity and increasing the likelihood of liquidation [5]. Group 3: Strategies to Enhance Liquidity - Fund companies are increasingly adding liquidity providers to improve ETF trading efficiency and attract more investors [7][8]. - The introduction of liquidity providers aims to reduce bid-ask spreads and enhance trading volumes, which can lead to scale effects [7][8]. - Improving liquidity is seen as essential for enhancing investor experience and attracting long-term capital [9]. Group 4: Recommendations for ETF Companies - Companies are advised to focus on product differentiation to avoid homogeneous competition, including not launching new ETFs in crowded index spaces and innovating product offerings [12][13]. - Providing value-added services, such as investment strategy reports and interactive investor engagement, can enhance investor experience and loyalty [13][14]. - Companies should also consider lowering management fees through increased ETF scale and exploring new themes like ESG and digital economy ETFs to meet diverse investor needs [14].