基金策略｜自由现金流产品面面观

Core Viewpoint - Companies with sufficient free cash flow are considered to have superior investment value during market downturns and early recovery phases, as they can better adjust strategies and enhance long-term investment value [2][3]. Group 1: Importance of Free Cash Flow - Free cash flow is a key indicator of financial quality, utilized for shareholder returns, stock buybacks, capital structure optimization, strategic expansion, and building financial safety nets [2]. - In recession and early recovery phases, companies with ample free cash flow can adapt more quickly and effectively, attracting more attention from investment managers [2]. Group 2: Performance of Free Cash Flow Indices - In the U.S., free cash flow index products have significantly outperformed broad market indices during interest rate hikes, gaining acceptance among investors [3]. - As of March 12, 2025, there are five U.S. free cash flow index products with over $1 billion in assets, showing strong performance compared to dividend indices during the same period [3]. Group 3: Characteristics of Free Cash Flow Indices in China - China's free cash flow index compilation methods are similar to those in the U.S., excluding financial and real estate sectors and prioritizing stocks with high free cash flow rates [3]. - The individual stock concentration in China's free cash flow indices is more relaxed compared to the U.S., with different criteria for negative exclusion among index providers [3]. Group 4: Index Features and Performance - The dividend yield of free cash flow indices ranges from 3% to 5%, similar to dividend indices, while the price-to-earnings ratio is higher at 11 to 18 times [4]. - Long-term performance of free cash flow indices has consistently outperformed the China Securities dividend index, with annualized returns around 12% in risk parity backtests [4]. Group 5: Current Market Trends - Since 2024, 36 free cash flow products have been issued or are in the application phase in China, primarily focusing on passive index funds [5]. - High free cash flow rate active equity funds and "fixed income plus" funds are increasingly considering free cash flow in their investment strategies [5].