Core Viewpoint - The article analyzes the actual holdings of institutional investors in ETFs using the "ETF Institutional Holding Penetration Algorithm," revealing a significant increase in institutional ownership across various asset classes and sectors from 2024H2 to 2025H1 [2][55]. By Asset Class - Institutional investors' holdings in equity ETFs rose to 64.64% in 2025H1, with bond, commodity, money market, and cross-border ETFs seeing increases to 91.43%, 19.06%, 70.74%, and 46.77% respectively [3][55]. - The total scale of equity ETFs increased from 26,409 billion to 30,022 billion, with institutional holdings growing from 16,071 billion to 19,406 billion [16]. By Sector - Institutional holdings in the technology sector increased significantly, from 36 billion in 2024H2 to 62.1 billion in 2025H1, while the consumer sector saw a smaller increase [4][28]. - The proportion of institutional investors in the cyclical sector rose from 27.42% to 37.95%, and in the financial sector from 25.75% to 35.98% [31]. By Thematic Focus - Institutional ownership in military, securities, and chip ETFs increased by 23.54%, 10.23%, and 8.78% respectively, while the proportion for dividend ETFs decreased by 13.24% [5][40][37]. - The military ETF saw the largest increase in institutional holdings, while the dividend ETF experienced the most significant decline [34][55]. By Broad Index - Institutional investors' holdings in major broad-based ETFs like A500 and CSI 300 increased significantly, with A500's institutional ownership rising from 54.06% to 63.41% [46][51]. - The institutional ownership proportions for CSI 300 and CSI 500 also saw notable increases, reflecting a broader trend of rising institutional investment in these indices [51][55].

Quantitative Models and Construction Methods - **Model Name**: ETF Institutional Holding Penetration Algorithm **Construction Idea**: The algorithm aims to accurately calculate the actual proportion of institutional investors holding ETF shares by correcting the overestimation caused by treating ETF-linked funds entirely as institutional holdings[1][13][14] **Detailed Construction Process**: 1. Institutional holdings are derived from two components: institutional portions within ETF-linked funds and direct institutional holdings of ETF shares[15][17] 2. Formula for corrected institutional holding proportion: $$P_{\rm inst}=P_{\rm inst}-P_{\rm inst}\ast\left(1-S_{\rm inst}\right)\tag{1}$$ - \(P_{\rm inst}\): Published institutional holding proportion - \(S_{\rm inst}\): Institutional proportion within ETF-linked funds[17] 3. For missing data, reverse calculation is applied using the formula: $$P_{\mathrm{link}}=A_{\mathrm{link}}*P_{\mathrm{fund}}/A_{\mathrm{eff}}\tag{1}$$ - \(P_{\mathrm{link}\): Proportion of ETF-linked fund holdings - \(A_{\mathrm{link}\): Net asset value of ETF-linked funds - \(P_{\mathrm{fund}\): Published fund holding proportion - \(A_{\mathrm{eff}\): Effective ETF net asset value[18] **Evaluation**: Provides a more accurate representation of institutional investor dynamics by correcting biases in reported data[13][17][19] Model Backtesting Results - **ETF Institutional Holding Penetration Algorithm**: - Institutional holding proportion for stock ETFs increased to 64.64% in 2025H1[21] - Institutional holding proportion for bond ETFs rose to 91.43% in 2025H1[22] - Institutional holding proportion for commodity ETFs slightly recovered to 19.06% in 2025H1[26] - Institutional holding proportion for cross-border ETFs climbed to 46.77% in 2025H1[23] Quantitative Factors and Construction Methods - **Factor Name**: Institutional Holding Proportion by Asset Class **Construction Idea**: Categorize ETFs by asset class and analyze institutional holding proportions[21][22][23] **Detailed Construction Process**: 1. Aggregate ETF data by asset class (e.g., stock, bond, commodity, cross-border)[21][22][23] 2. Calculate institutional and individual holding proportions using corrected data from the penetration algorithm[19][21][22] **Evaluation**: Highlights trends in institutional preferences across different asset classes[21][22][23] - **Factor Name**: Institutional Holding Proportion by Sector **Construction Idea**: Analyze institutional holding proportions within stock ETFs categorized by sectors (e.g., cyclical, financial, technology, consumer)[29][33][38] **Detailed Construction Process**: 1. Categorize stock ETFs into sectors based on the ETF classification system[29][33] 2. Calculate institutional holding proportions using corrected data from the penetration algorithm[19][33][38] **Evaluation**: Provides insights into sector-specific institutional investment trends[29][33][38] - **Factor Name**: Institutional Holding Proportion by Theme **Construction Idea**: Analyze institutional holding proportions within stock ETFs categorized by themes (e.g., 5G, chips, military, medicine, dividends, securities, new energy vehicles)[40][43][44] **Detailed Construction Process**: 1. Categorize stock ETFs into themes based on the ETF classification system[40][43] 2. Calculate institutional holding proportions using corrected data from the penetration algorithm[19][40][44] **Evaluation**: Identifies thematic investment preferences among institutional investors[40][43][44] - **Factor Name**: Institutional Holding Proportion by Broad-Based Index **Construction Idea**: Analyze institutional holding proportions within ETFs tracking broad-based indices (e.g., SSE 50, CSI 300, CSI 500, CSI 1000, A500, ChiNext, STAR Market)[51][53][56] **Detailed Construction Process**: 1. Categorize ETFs into broad-based indices based on the ETF classification system[51][53] 2. Calculate institutional holding proportions using corrected data from the penetration algorithm[19][51][56] **Evaluation**: Highlights institutional preferences for broad-based index ETFs[51][53][56] Factor Backtesting Results - **Institutional Holding Proportion by Asset Class**: - Stock ETFs: 64.64% in 2025H1[21] - Bond ETFs: 91.43% in 2025H1[22] - Commodity ETFs: 19.06% in 2025H1[26] - Cross-border ETFs: 46.77% in 2025H1[23] - **Institutional Holding Proportion by Sector**: - Cyclical: 37.95% in 2025H1[38] - Financial: 35.98% in 2025H1[38] - Consumer: 20.30% in 2025H1[38] - Technology: 25.56% in 2025H1[38] - **Institutional Holding Proportion by Theme**: - Military: 56.40% in 2025H1[47] - Securities: 23.57% in 2025H1[47] - Chips: 23.73% in 2025H1[48] - Dividends: 42.08% in 2025H1[44] - **Institutional Holding Proportion by Broad-Based Index**: - SSE 50: 86.76% in 2025H1[56] - CSI 300: 89.49% in 2025H1[56] - CSI 500: 77.98% in 2025H1[56] - CSI 1000: 94.27% in 2025H1[56] - A500: 63.41% in 2025H1[60] - ChiNext: 43.19% in 2025H1[60] - STAR Market: 34.87% in 2025H1[60]

证券研究报告 | 2025年04月15日 目前ETF基金在半年报、年报中公布的机构投资者持有份额占比一般是将 ETF联接基金和其他机构都视为机构求得的，但实际上，ETF联接基金中也 有个人投资者，按照现有方法计算会高估机构投资者的比例。本文基于ETF 和联接基金披露的数据，采用"ETF机构持仓穿透算法"计算ETF基金中机构 投资者实际持仓的规模和占比。 按资产类别分类 相比 2024 年 6 月 30 日（以下使用'H1'代指'6 月 30 日'），2024H2 以下使 用'H2'代指'12 月 31 日'）机构投资者对股票型ETF的持有比例上升至 60.85%；对债券型、商品型、货币型ETF的持有比例分别下降至 84.90%、 18.32%、70.09%，对跨境型ETF的持有比例上升至 40.19%。 按板块分类 统计股票型ETF中周期、大金融、科技、消费四个板块ETF的规模和机构持 仓变动情况。从板块上看，除科技板块外，机构投资者对周期、大金融、消 费板块的持有规模均有所上升。机构投资者持有规模增加最多的是大金融板 块，由 2024H1 的 244 亿元上升至 2024H2 的 305 亿元。个人投资者持 ...