25年策略展望系列2：被动化趋势如何影响A股？

Core Viewpoints - The passive investment trend in A-shares is driven by the "buy the dip" logic of ETFs, with recent expansion of A500 ETFs supporting further development of passive investment [1] - Central Huijin and insurance capital are the main forces driving ETF expansion this year, and institutionalization is expected to remain the primary source of ETF growth in 2025 [1] - Over the long term, the pricing power of passive funds in A-shares is expected to increase, making it more difficult for active funds to achieve excess returns, although certain style investments may still offer opportunities [1] ETF Expansion Pace - Historically, A-share ETFs have expanded rapidly during market downturns, driven by the "buy the dip" trading logic [2] - The current ETF expansion since Q2 2021 has been faster, with net subscriptions playing a key role in the scale expansion [2] - The proportion of index funds in equity-oriented public funds increased from 17% in Q2 2021 to 47% in Q3 2024, with cumulative net subscriptions of passive funds reaching 2.6 trillion yuan during this period [2] - Broad-based ETFs have historically been the main driver of the increase in passive fund share, while sector-themed ETFs have had a limited impact [2] - Recently, the A500 index ETF has become a major force in driving expansion, with net subscriptions exceeding 200 billion yuan since mid-October [2] Institutionalization of ETF Expansion - Historically, institutional investors have expanded faster in bear markets, while retail investors have expanded faster in bull markets [3] - Sector-themed ETFs are more popular among retail investors, while broad-based ETFs are more popular among institutional investors [3] - In the current ETF expansion phase since Q2 2021, institutional investors have played a significant role, with their holdings of index equity funds increasing from 42% in 2021 to 57% in Q2 2024 [3] - Central Huijin has accelerated the current ETF expansion, with estimated cumulative net subscriptions of nearly 800 billion yuan from the beginning of the year to Q3 2024, while insurance capital has also contributed with estimated net subscriptions of over 55 billion yuan [3] Pricing Power of Passive Funds - Historically, the pricing power of passive equity funds in A-shares has been weaker than that of active equity funds [4] - In the current ETF expansion phase, the pricing power of passive funds has significantly increased, with sectors heavily weighted by passive funds, such as non-bank financials and banks, showing considerable gains [4] - Historically, active equity funds in A-shares have outperformed the index over the long term, but the difficulty of achieving excess returns for active funds may increase in the future, although certain styles may still offer advantages [4] Historical Trends and Future Outlook - The development of passive investment in A-shares has been evident during weak market conditions over the past two decades [16] - The current ETF expansion is faster than previous periods, with net subscriptions playing a crucial role in the scale expansion [17] - Broad-based ETFs have historically driven the increase in passive fund share, while sector-themed ETFs have had a limited impact [24] - The A500 index ETF has recently become a major force in driving expansion, with net subscriptions exceeding 200 billion yuan since mid-October [25] Institutional Investor Behavior - Institutional investors tend to expand faster in bear markets, while retail investors expand faster in bull markets [34] - Broad-based ETFs are more popular among institutional investors, while sector-themed ETFs are more popular among retail investors [35] - In the current ETF expansion phase, institutional investors have played a significant role, with their holdings of index equity funds increasing from 42% in 2021 to 57% in Q2 2024 [37] - Central Huijin has accelerated the current ETF expansion, with estimated cumulative net subscriptions of nearly 800 billion yuan from the beginning of the year to Q3 2024 [38] Passive vs Active Fund Performance - Historically, the pricing power of passive equity funds in A-shares has been weaker than that of active equity funds [46] - In the current ETF expansion phase, the pricing power of passive funds has significantly increased, with sectors heavily weighted by passive funds, such as non-bank financials and banks, showing considerable gains [47] - Historically, active equity funds in A-shares have outperformed the index over the long term, but the difficulty of achieving excess returns for active funds may increase in the future, although certain styles may still offer advantages [52]