指数基金研究系列之十二：今年中证现金流指数的收益特点与来源分析

Report Industry Investment Rating No relevant content provided. Core Viewpoints - In 2025, the CSI Cash Flow Index performed excellently, with an excess return of 11.2% compared to the CSI Dividend Index as of the end of November, mainly coming from the second half of the year. The index can stably outperform the CSI Dividend Index in the long - term, and its relative excess return does not depend on the dominance of growth or value styles [5][8]. - The adjustment of constituent stocks contributed good returns to the index. The high - frequency and high - proportion adjustment of constituent stocks in the past year has brought good performance, especially the 49 stocks included on June 16, with an average return of 27.1% in 90 days after inclusion, much higher than the 11.9% of the excluded stocks. The index also showed significant industry timing ability [5][15]. - The industry rotation strategy based on the industry distribution of the CSI Cash Flow Index had an annualized return of 12.8% and an annualized excess return of 1.9% since 2014. The index's industry allocation ability can bring significant excess returns in the value - dominant style, but the excess return is prone to large drawdowns in the growth - dominant style [5][20]. Summary by Directory 2025 CSI Cash Flow Index Performed Excellently - At the beginning of 2025, free - cash - flow index funds became a hot topic in the market. As of November 30, 59 new cash - flow index funds were issued, tracking multiple cash - flow - related indexes. The cash - flow index was questioned due to high - frequency constituent stock updates, over - fitting risks, and opaque historical data. From January to February, it significantly underperformed the dividend index, causing doubts about its excess - return stability [8]. - As of the end of November 2025, the excess return of the CSI Cash Flow Index compared to the CSI Dividend Index reached 11.2%, mainly from the second half of the year. In the first half, it underperformed by 2.5 percentage points, but from mid - July, it significantly outperformed, with a cumulative excess return of 14.1% in the second half [5][8]. - At the beginning of the value - to - growth style switch, the cash - flow index is prone to underperform the dividend index, which is in line with historical rules. During the value - to - growth style switch starting from September 2024, the CSI Cash Flow Index underperformed the CSI Dividend Index by 7.2 percentage points from November 13, 2024, to April 8, 2025 [11]. - The cash - flow index performed well both when the market rose significantly and the growth style dominated from July to September, and when the market adjusted and the value style dominated from October to November. Since July, it has achieved significant excess returns compared to the dividend index [12]. Component Stock Adjustment Contributed Good Returns to the Index - The CSI Cash Flow Index has a high - frequency and often high - proportion adjustment of constituent stocks. In the past year, the adjustment of constituent stocks contributed good returns. The index conducts quarterly adjustments in March, June, September, and December. In 2025Q3, 2025Q2, 2025Q1, and 2024Q4, the number of changed constituent stocks was 39, 49, 8, and 44 respectively. Except for the 8 stocks included on March 17, the average return of included stocks was higher than that of excluded stocks in other adjustments [15]. - In June, the index significantly increased its holdings in non - ferrous metals, power equipment and new energy, and machinery industries, showing significant industry timing ability. The non - ferrous metals (increased by 5.6%), agriculture, forestry, animal husbandry and fishery (increased by 5.3%), machinery (increased by 3.1%), and power equipment and new energy (increased by 2.7%) industries that were significantly increased in June had gains of 44%, 12%, 27%, and 43% respectively in the third quarter [16][17]. Industry Rotation Strategy Based on the Industry Distribution of the CSI Cash Flow Index - Since the free - cash - flow index has significant alpha returns, and industry allocation and timing ability are important sources of its excess returns, an industry rotation strategy is constructed based on the industry distribution of the CSI Cash Flow Index to verify its industry allocation ability. Due to the limited public data of the index's constituent stocks, the self - calculated constituent stocks since December 2013 are used [19]. - The industry rotation strategy based on the industry distribution of the CSI Cash Flow Index has an annualized return of 12.8% and an annualized excess return of 1.9% since 2014. The accumulation of excess returns has significant periodic characteristics. The index's industry allocation ability can bring more significant excess returns in the value - dominant style, while the excess return is prone to large drawdowns in the growth - dominant style [20].