【广发金工】基于ETF申赎的ETF轮动策略

Core Viewpoint - The article emphasizes the growing recognition of index-based investment strategies among investors, highlighting the advantages of ETFs such as transparency, low fees, and ease of trading, which have made them an important tool for asset allocation [4][5]. ETF Market Overview - As of April 2025, the number of ETFs listed on domestic exchanges reached 1,141, with a total market capitalization of 4.04 trillion yuan, marking a significant increase from 3.73 trillion yuan at the end of 2024 [5]. - The unique dual trading mechanism of ETFs includes primary market creation and redemption, and secondary market trading, which allows for the exchange of a basket of stocks for ETF shares [5][9]. ETF Trading Mechanism - The primary market involves physical creation and redemption, where a basket of stocks is exchanged for ETF shares, typically suited for institutional investors due to high minimum thresholds [10]. - The secondary market allows for real-time trading of ETFs like stocks, with prices determined by market supply and demand, making it accessible for retail investors [11]. ETF Fund Flow Analysis - The report constructs factors based on fund flow data from ETF creation and redemption, focusing on three dimensions: individual ETFs, tracking indices, and specific constituent stocks [26][29]. - Backtesting results indicate that factors related to ETF fund flows generally exhibit a reversal characteristic, with higher fund inflows leading to poorer subsequent market performance [39]. Performance Metrics - A long-only equal-weighted portfolio of five ETFs based on the stock flow factor achieved an annualized return of 10.2%, significantly outperforming the equity mixed fund index [3][39]. - The analysis shows that monthly rebalancing yields better results compared to weekly rebalancing, with specific factors demonstrating higher information coefficients (IC) [39][40]. Optimized Factor Construction - In 2024, significant inflows into broad-based ETFs were noted, leading to an attempt to exclude these from the analysis, resulting in improved performance metrics for the constructed factors [3]. - The annualized return for the optimized portfolio, excluding broad-based ETFs, reached 15.3%, outperforming the equity mixed fund index by 12.3% during the same period [3]. ETF Market Structure - The total scale of equity ETFs grew from approximately 200 billion yuan in 2014 to 3.47 trillion yuan by April 2025, with broad-based ETFs accounting for about 64% of the total market [17][20]. - The inflow patterns differ significantly among various types of ETFs, with industry-themed ETFs seeing substantial inflows in 2020 and 2021, while broad-based ETFs experienced notable inflows in 2023 [23].