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美元指數(shù)長周期框架Abstract?

The

Hang

Seng

Biotech

Index(HSHKBIO)

includes

a

total

of

50

constituent

stocks,

primarily

consisting

of

innovativepharmaceutical

companies,

new

biopharmaceutical

enterprises,

and

biotech

firms.

Among

the

50

constituent

stocks,

the

marketcap

of

AH

shares

accounts

for

only

20%,

presenting

notable

investment

scarcity.

Currently,

there

are

very

few

open-ended

productstracking

the

HangSeng

BiotechnologyIndex

on

the

market,with

only6

Chinese

institutions

having

issued

related

passive

ETFs.AsofApril2025,

thetotal

fund

sizehadamounted

toapproximately

6.65billion

RMB.?

Foreign

investors

own

the

pricing

power

for

the

Hang

Seng

Biotechnology

Index.

By

April

2025,

their

share-holding

ratioremained

around

70%.

Due

to

foreign

investors’

strong

pricing

power,

the

AH

premium

of

biotech

stocks

is

prone

to

be

influenced

byforeign

sentiment.

The

three

main

driving

factors

are:

1)

U.S.

Bond

yields:

Pharmaceutical

companies

primarilyrely

on

U.S.

dollars

forfinancing

and

investment.

A

rise

in

U.S.

Treasury

yields

tends

to

dampen

their

investment

enthusiasm,

while

also

suppressing

foreigninvestors’

valuation

and

risk

appetite

for

emerging

industries

in

the

equitymarket;

2)

Credit

spreads:

When

the

macroeconomic

environmentdeteriorates,

policyuncertainty

increases,

or

industryprofit

expectations

are

damaged,

investors

tends

to

bet

on

domestic

liquidity

easing

andincentive

policies

for

pharmaceutical

companies,

thereby

boosting

their

stock

prices;

3)

Market

liquidity:

When

A-shares

and

Hong

Kongstocks

market

liquidity

deteriorate

due

to

risk-aversion,

foreign

investors

will

prioritize

reducing

holdings

in

Hong

Kong

stocks

with

arelativelytight

liquidity,

leading

toexcessivepricedeclines

inHong

Kong

stocks

compared

toA-shares.?

Downside

risk

factors:

1)

Rise

in

U.S.

Treasury

bond

yields;

2)

Intensification

of

the

U.S.

Biosecurity

Act

and

tariff

sanctions;

3)Pharmaceuticals'

performance

conversionprogressfalls

short

of

expectations;.2報告摘要?

恒生生物科技指數(shù)(HSHKBIO)共計包含50支成分股，主要包括創(chuàng)新藥企、新型生物制藥企業(yè)以及生物科技公司。在50支成分股中，AH股市值占比僅為20%，具備較明顯的投資稀缺性。目前場內(nèi)跟蹤恒生生物科技指數(shù)的開放式產(chǎn)品較少，僅國內(nèi)6家機構(gòu)發(fā)布了相關(guān)的指數(shù)型ETF，截止2025年4月基金規(guī)模總計約66.5億元人民幣。?

外資對恒生生物科技指數(shù)掌握定價權(quán)，截止2025年4月持股占比維持在70%左右。由于外資較強的定價權(quán)，導致生物科技股的AH溢價容易受外資情緒影響。在指數(shù)驅(qū)動因素和AH溢價的影響因素上，主要關(guān)注以下三點：1）美債收益率：藥企投融資以美元為主，美債收益率上升容易降低藥企投資積極性，同時也會不利于外資對新興產(chǎn)業(yè)的估值和風險偏好；2）信用利差：當宏觀經(jīng)濟環(huán)境惡化、政策不確定性加劇、行業(yè)盈利預期受損時，資金越會博弈國內(nèi)流動性寬松以及藥企專項激勵政策，從而推升藥企股價；3）市場流動性：當資金因風險厭惡對A股和港股的投資意愿減弱時，外資會優(yōu)先考慮減持流動性較緊缺的港股，從而導致港股相對A股出現(xiàn)超跌。?

下行風險因素：1）美債收益率上升；2）美國《生物安全法案》及關(guān)稅制裁加??；3）醫(yī)藥業(yè)績轉(zhuǎn)化進度不及預期。CONTENTIntroductionPricing

Power010204基礎(chǔ)介紹定價權(quán)探討SectorRotationsAH

Premium03行業(yè)輪動AH溢價01Introduction基礎(chǔ)介紹1.1

HSBiotech

Index

Demonstrates

the

Strongest

Effectiveness?

HK’s

healthcare

sector

has

three

major

industry

indices:

1)

HS

Healthcare

Index

(68

constituents),

2)

HS

Biotechnology

Index(50),

and

3)

HS

Innovative

Drug

Index

(37).

The

first

two

indices

share

significant

overlap

in

top

holdings,

resulting

in

high

long-termcorrelation,

whiletheInnovative

DrugIndex

focuses

exclusively

onpure-playinnovative

drugcompanies.?

Methodology-wise,

the

Biotech

Index

rebalances

quarterly—more

frequently

than

the

semi-annual

adjustments

of

the

other

two—enablingit

totrack

leadingHong

Kong

healthcarestocks

more

effectively.ThreeMajor

Healthcare

SectorIndicesinHong

Kong

StocksHSHealthcare

IndexHSInnovative

Drug

IndexHSBiotechIndex(Right

Axis)9000800070006000500040003000200010000350003000025000200001500010000500002010-032012-032014-032016-032018-032020-032022-032024-03Source:

Wind,

iFind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。1.1

恒生生物科技指數(shù)?

港股醫(yī)藥相關(guān)有三大行業(yè)指數(shù)：①恒生醫(yī)療保健指數(shù)（68個成分股）、②恒生生物科技指數(shù)（50個成分股）、③恒生創(chuàng)新藥指數(shù)（37個成分股）。前兩大指數(shù)的重倉成分股較為接近，長期走勢相關(guān)性較高，而恒生創(chuàng)新藥指數(shù)僅專注細分的創(chuàng)新藥業(yè)務(wù)。?

編制方式上，恒生生物科技指數(shù)每季度調(diào)倉，比每半年調(diào)倉的其他兩大指數(shù)更迅速，可更有效跟蹤港股醫(yī)藥龍頭走勢。港股三大醫(yī)藥行業(yè)指數(shù)恒生醫(yī)療保健恒生創(chuàng)新藥恒生生物科技(右軸)9000800070006000500040003000200010000350003000025000200001500010000500002010-032012-032014-032016-032018-032020-032022-03資料2024-03：WindiFind中信期貨研究所Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinionsandinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。1.2

Focus

onDrugsandMedical

Devices?

The

pharmaceutical

stocks

in

HK

have

their

scarcity.

Before

the

launch

of

the

Science

and

Technology

Innovation

Board

(STARMarket),

only

HK

stocks

allowed

eligible

biotech

companies

that

had

not

yet

made

profits

or

had

no

revenue

to

go

public.

So,

manyinnovative

pharmaceutical

companies,

new

biopharmaceutical

enterprises,

and

other

biotech

companies

are

listed

in

Hong

Kongratherthaninthe

A-sharemarket.?

The

pharmaceutical

stocks

included

in

the

Biotech

Index

are

mainly

innovative

drug

(biological

drugs,

chemical

drugs,biotechnology),

medical

device,

and

CXO

companies,

while

A-share

listed

pharmaceutical

enterprises

are

mainly

generic

drugmanufacturers,

traditional

Chinese

medicine

companies,

pharmaceutical

distributors,

and

producers

of

low-value

medicalconsumable.Components

Classified

byHSThird-tier

IndustryComponents

Classified

by

BusinessesBiopharma/BiotechPharmaMedicalAestheticsMedicalServiceMedicalDevicesBiotech(HS)Pharma(HS)Drug

Distribution(HS)MedicalDevices(HS)MedicalDistribution36,

12%56,

12%2121,42%62Innovative

Drugs17,34%58Source:

Wind,

iFind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。81.2

側(cè)重創(chuàng)新藥和醫(yī)療器械?

港股醫(yī)藥股有其稀缺性。在開設(shè)之前，只有港股允許符合條件但尚未盈利或無收入的生物科技公司上市（“18A規(guī)則”），所以許多創(chuàng)新藥企、新型生物制藥企業(yè)以及其他生物科技公司，都在港股而非A股上市。?

指數(shù)成分的醫(yī)藥股主要為創(chuàng)新藥（生物藥、化學藥、生物科技）、醫(yī)療器械和CXO，而A股上市醫(yī)藥企業(yè)主要為仿制藥、中藥、醫(yī)藥商業(yè)、低價值的醫(yī)療器械等。指數(shù)成分公司按恒生三級行業(yè)分類（家）指數(shù)成分公司按業(yè)務(wù)分類（家）生物技術(shù)(HS)藥品(HS)藥品分銷(HS)醫(yī)療設(shè)備及用品(HS)Biopharma/Biotech

Pharma

CXO

醫(yī)美

醫(yī)療器械

醫(yī)療服務(wù)

醫(yī)藥流通36,

12%56,

12%2121,42%62創(chuàng)新藥17,34%58資料：WindiFind中信期貨研究所Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinionsandinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。91.3.

The

Low

Proportion

of

AH

Shares?

By

April

2025,

there

were

13

AH

shares

in

the

index,

accounting

for

approximately

17%

to

20%

of

the

index

weight,

giving

the

indexcertain

scarceattributes.?

Except

that

the

AH

premium

of

WuXi

AppTec

has

long

remained

around

1.0

to

1.1,

the

premium

rates

of

the

remaining

12

AH

sharesgenerally

stayat

about

1.5to2.0.?

Especially

when

both

A-shares

and

Hong

Kong

stocks

experience

significant

declines,

the

AH

premium

rate

of

biotech

stocks

oftenclimbs

above2.0.HongKong

stocks

havelongshownobviousdiscounts.Proportion

of

AH

SharesAH

Premium

RateofComponent

Stocks25PercentileMedium75

PercentileWeight

of

AH

SharesWeight

of

HKShares2.62.42.22100%90%80%70%60%50%40%30%20%10%1.81.61.41.210%2022-01-312022-11-302023-09-292024-07-312022/092023/012023/052023/092024/012024/052024/092025/01Source:

Wind,

iFind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。101.3AH股占比較低?

截止2025年4月，恒生生物科技指數(shù)中AH股共計13支，占指數(shù)權(quán)重約為17%~20%，指數(shù)具有一定的稀缺屬性。?

除藥明康德的AH溢價長期保持在1.0~1.1附近之外，剩余12支AH股的溢價率普遍維持在1.5~2.0左右。?

在A股和港股同時發(fā)生大跌時，生物科技的AH股溢價率往往會攀升到2.0以上，港股長期存在較明顯的折價。AH股權(quán)重占比情況（單位：%）成分股AH溢價分位數(shù)（單位：%）AH股占比H股占比25分位數(shù)50分位數(shù)75分位數(shù)100%90%80%70%60%50%40%30%20%10%2.62.42.221.81.61.41.210%2022-01-312022-11-302023-09-292024-07-312022/092023/012023/052023/092024/012024/052024/092025/01資料：WindiFind中信期貨研究所Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinionsandinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。1102Pricing

Power定價權(quán)探討2.1

Capital

Structure?

HK

Intermediaries

are

divided

into

Chinese-funded,

Southbound

Stock

Connect,

foreign-funded,

and

HK-funded.

Specifically,foreign

and

Hong

Kong

capital

hold

a

dominant

position,

accounting

for

61%-80%

of

the

total

capital.

Since

2023,

foreign

capital

hasbeenreducing

holdings,

leadingtoa

passiveincreasein

theproportionof

SouthboundStock

Connect.?

Till

the

end

of

March

2025,

the

proportion

of

capital

invested

by

domestic

and

Chinese-funded

institutions

into

the

Hang

SengBiotech

Index

hadrisento30%.?

Affected

bythe

deterioration

ofSino-US

relations

inthe

pastyearandpolicy

factorssuchas"AmericaFirst",the

scaleof

foreigncapital'sholdings

inHong

Kong

hasbeenpassively

reduced.Proportion

ofCapitalHeldbyIntermediariesCapitalHeldbyIntermediariesForeign-funded

&HK-fundedForeign-funded

&HK-fundedSouthboundStockConnectChinese-FundedChinese-FundedUnit:0.1

Billion

Yuan100%90%25000SouthboundStockConnect3500030000HSBIOTECHIndex80%2000015000100005000025000

70%60%2000015000100005000050%40%30%20%10%0%2019/01

2020/01

2021/01

2022/01

2023/01

2024/01

2025/012019/012020/012021/012022/012023/012024/012025/01Source:

Wind,

iFind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。132.1

資金持股結(jié)構(gòu)?

將香港中介機構(gòu)的席位分為中資、港股通、外資和港資。根據(jù)中介機構(gòu)的持股市值占比來看，外資和港資在恒生生物科技中占61%-80%，擁有主導權(quán)。2023年后外資主動減持，引發(fā)了港股通的持股占比被動上升。?

截止2025年3月末，內(nèi)資和中資在恒生生物科技中的持股占比累計達到約30%。?

受近一年中美關(guān)系惡化以及“美國優(yōu)先”等政策因素影響，外資對香港的持股規(guī)模被動減少。中介機構(gòu)持股市值與恒生生物科技趨勢中介機構(gòu)持股市值占比（%）外資+港資

中資

港股通外資+港資中資港股通恒生生物科技單位：億元25000100%90%350003000080%2000015000100005000025000

70%60%2000015000100005000050%40%30%20%10%0%2019/01

2020/01

2021/01

2022/01

2023/01

2024/01

2025/012019/012020/012021/012022/012023/012024/012025/01資料：WindiFind中信期貨研究所Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinionsandinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。142.2

Proportion

ofForeign

Capital’s

Holdings?

In

the

Hong

Kong

pharmaceutical

sector,

foreign

capital

holds

controlling

stakes

in

most

individual

stocks,

with

typicalparticipants

mainly

from

Europe

and

the

United

States,

including

JPMorgan,

American

Capital

Group,

Brown

Brothers

Harriman,Temasek,

etc.?

Affected

by

"America

First"

and

the

Biotech

Act,

U.S.-based

foreign

capital

rapidly

reduced

its

holdings

in

HK

pharma

stocks

in2024,

andthe

equityof

some

individualstocks

wastransferred

totheQatar

Investment

Authority.TheCumulative

Market

Valueheld

byForeign

Capital/Total

Market

ValueoftheTop

Five

Constituent

Stocks2025

20247%6%5%4%3%2%1%0%6.50%2.10%1.80%1.90%Temasek1.80%1.60%1.40%0.90%0.60%0.70%0.30%0.40%JPMorganBrownBrothersHariimanMorganStanleyAmericanCapitalGroupQuatarGroupSource:

Wind,

iFind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。152.2

外資持股情況?

在港股醫(yī)藥中，外資對多數(shù)個股占有控股權(quán)，典型的參與者以歐美系為主，包括摩根大通、美國資本集團、布朗哈里曼、淡馬錫等。?

受“美國優(yōu)先”以及生物法案的影響，2024年美系外資對對港股醫(yī)藥快速減持，部分個股的股權(quán)轉(zhuǎn)讓給了卡塔爾投資集團。前五大權(quán)重股外資好倉持股累計市值/總市值202520247.00%6.00%5.00%4.00%3.00%2.00%1.00%0.00%6.5%2.1%1.9%1.8%1.8%1.6%1.4%0.9%0.7%0.6%0.4%0.3%摩根大通淡馬錫布朗哈里曼摩根士丹利美國資本集團卡塔爾集團資料：WindiFind中信期貨研究所Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinionsandinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。162.3.1

Belonging

ofPricing

Power?

We

calculated

the

correlation

coefficients

between

the

stock

prices

of

individual

constituent

stocks

and

the

proportion

of

shares

held

byintermediary

institutions

andtook

themedian

valueof

thecoefficients

for

different

intermediary

institutionsfor

each

year.?

From

2021

to

2025,

foreign

institutional

investors

had

strong

pricing

power

over

pharmaceutical

stocks,

with

more

than

half

of

theindividual

stocks

showing

a

correlation

coefficient

exceeding

0.5

between

their

stock

prices

and

the

proportion

of

foreign

holdings.Althoughthenumber

significantly

decreased

after

2024,

thepositive

correlationremained

remarkable.Correlation

ofProportion

ofShares

HeldbyIntermediaries

andStockPrice

(MedianValue)NumberofStocks

withaCorrelation

>0.5

BetweenShareholding

Proportion

andStockPrice2021202220232024~2023

2024~0.60.50.40.30.20.10-0.1-0.2-0.3-0.4-0.5454035302520151050SouthboundStockConnectChinese-fundedHK-fundedForeign-fundedSouthboundStock

Chinese-fundedConnectHK-fundedForeign-fundedSource:

Wind,

iFind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。172.3.1資金定價權(quán)歸屬?

統(tǒng)計個股股價與中介機構(gòu)持股占比的相關(guān)性系數(shù)，并取每年的中位數(shù)。?

2021~2025年外資機構(gòu)對醫(yī)藥股具備較強的定價權(quán)，其中超半數(shù)個股的股價與外資持股占比的相關(guān)性超過0.5。雖然該數(shù)值在2024年之后有明顯減少，但正相關(guān)性依然顯著。不同機構(gòu)持股占比與股價相關(guān)性（中位數(shù)）持股占比與股價相關(guān)性>0.5的股數(shù)2021年2022年2023年2024年~2023年

2024年~0.600.50454035302520151050.400.300.200.100.00-0.10-0.20-0.30-0.40-0.500港股通中資機構(gòu)港資機構(gòu)外資機構(gòu)港股通港資中資資料外資：WindiFind中信期貨研究所Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinionsandinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。182.3.2

Foreign

institutions

still

hold

the

pricing

power?

1)Calculatethe

correlation

between

the

shareholding

proportion

of

different

intermediaries

andtherolling

60-daystock

price,and

identifythe

number

of

individual

stocks

with

correlation

>

0.5.

2)

If

the

average

shareholding

proportion

of

the

intermediary

for

the

correspondingindividualstocks

in

rolling5daysexceeds

thatin

10days,long

HangSeng

BiotechIndex

onthenext

day;otherwise,stay

flat.?

It

can

be

found

in

the

following

figure

that

market

timing

for

the

Hang

Seng

Biotech

Index

based

on

signals

from

foreign

ownershipfluctuations

has

along-termalphaeffect,

whichproves

that

foreign

capital

hasastrongerimpact

onstock

prices.N

AV

ofHangSengBiotechnology

IndexBasedon

Timing

UsingDifferent

Fund

SignalsAnnualized

Excess

ReturnsBased

onTimingwith

DifferentFund

SignalsSouthbound

Stock

ConnectTiming/IndexHK-funded

Timing/Index201920202021202220232024~3.53.02.52.01.51.00.50.080%60%40%20%0%Foreign-fundedTiming/IndexChinese-fundedTiming/Index-20%-40%-60%SouthboundStockHK-fundedChinese-fundedForeign-fundedConnect2019/042020/042021/042022/042023/042024/04Timing/IndexSource:

Wind,

iFind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。192.3.2資金定價權(quán)歸屬?

基于中介機構(gòu)持股占比觀察對指數(shù)價格影響，我們對恒生生物科技采用以下方法：1）統(tǒng)計中介機構(gòu)持股占比與個股股價滾動60天的相關(guān)性，并篩選相關(guān)性系數(shù)>0.5的個股數(shù)量；2）若相應(yīng)個股滾動5日持股占比均值>10日持股占比均值，則在次日買入恒生生物科技指數(shù)，反之空倉。?

在下圖中可以發(fā)現(xiàn)，基于外資的持股信號對恒生生物科技進行擇時具備長期的alpha的效果，可以證明外資對股價的影響更強。不同資金信號擇時_恒生生物科技指數(shù)凈值基于不同資金信號擇時年化超額收益港股通_擇時/恒生生物科技中資_擇時/恒生生物科技港資_擇時/恒生生物科技外資_擇時/恒生生物科技2019年2020年2021年2022年2023年2024年~80%60%3.53.02.52.01.51.00.50.040%20%0%-20%-40%-60%2019/042020/042021/042022/042023/042024/04港股通港資機構(gòu)中資機構(gòu)外資機構(gòu)資料：WindiFind中信期貨研究所Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinionsandinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。20Sector

Rotations03行業(yè)輪動3.1

The

Index

isNegatively

Correltated

with

the

U.S.

Treasury

Yield?

The

HS

Biotech

Index

exhibits

a

significant

negative

correlation

(–0.84)

with

the

10-year

U.S.

Rising

global

risk-free

rates

notablysuppress

biotech

valuations.?

Since

2024,

the

index’s

correlation

with

long-term

Chinese

bond

yields

has

strengthened.

The

"9·24"

market

surge

and

"East

Rises,West

Sets"

trendbolsteredconfidence

inChina’s

economic

recovery,lifting

riskappetite

for

high-valuation,high-betabiotech

stocks.TheIndexRemains

HighlyReactive

toGlobal

Liquidity

ShiftsTheIndexis

RelativelyDecoupledfromDomestic

Growth

DynamicsHang

Seng

BiotechIndex10-year

U.S.Treasuryyield(reverse)Hang

Seng

BiotechIndex10-year

CGByield300002500020000150001000050003.53.33.12.92.72.52.32.11.91.71.53000025000200001500010000500001234562019-122020-122021-122022-122023-122024-122019-122020-122021-122022-122023-122024-12Source:

Wind,

iFind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。3.1

與美債收益率負相關(guān)?

恒生生物科技指數(shù)與十年期美債利率呈明顯的負相關(guān)（-0.84），當海外無風險利率升高時，醫(yī)藥行業(yè)估值受到明顯壓制。?

2024年以來，該指數(shù)和中債長端收益率的相關(guān)性提升。因“924”行情和“東升西落”行情提升市場對中國科技行業(yè)預期改善的信心，推動風險偏好提升，青睞高估值、高價格彈性的醫(yī)藥股。恒生生物科技指數(shù)對海外流動性環(huán)境敏感恒生生物科技指數(shù)與國內(nèi)經(jīng)濟增長相對脫敏恒生生物科技10Y美國國債(逆序)恒生生物科技10Y中國國債300002500020000150001000050000123456300002500020000150001000050003.53.33.12.92.72.52.32.11.91.71.52019-122020-122021-122022-122023-122024-122019-122020-122021-122022-122023-122024-12資料：WindiFind中信期貨研究所Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinionsandinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風險，投資需謹慎。3.2

The

Index

Moves

in

Tandem

with

Moutai

Basket

andNing

Portofolio?

All

three

face

foreign

capital

dominance,

with

their

valuations

tied

to

U.S.

Treasury

yields,

suffering

outflow

pressures

during

Fed

ratehikes,

whichdragsdownprices.?

They

peaked

simultaneously—double-top

pattern

in

February

2021

and

June-July

2021—with

maximum

drawdowns

reflecting

recoverymomentum:

MoutaiBasket:

-56%,

Ning

Portfolio:

-64%,

Hang

Seng

BiotechIndex:

-75%.TheIndex’sTrajectory

MirrorstheMoutai

BasketTheIndex’sTrajectory

MirrorstheNing

PortfolioHang

Seng

BiotechIndexMoutai

BasketIn