投资漆雪球之 自由现金流策略 随着自由现金流量逐渐成为评估企业内在价值的指标,聚焦企 业现金与现金制造能力的自由现金流策略,也开始成为经典的 价值投资策略。 近年来,包括中证会指自印现金硫指数在内的自由现金流主题 指数陆续发布,随后相关ETF也先后成立,策略指数投资的版 图也触及这一经典价值投资策略。我们不妨也好好了解一下, 巴菲特重视的自由现金流策略究竟有何魅力? 中证全指自由现金流指数于2024年12月11日发布，中证指数公司 认识自由现金流的本质 要想全面了解自由现金流策略的特点与优势,首先要回归到自 由现金流的概念本身。 自由现金流（FreeCashFlow）是指企业在扣除所有现金支出. 包括运营成本、资本支出等之后,剩余的可用于偿还债务、支 付股息、进行再投资等的现金流量、是反映了企业真实盈利能 力的重要指标。 税 日 + 息税前利润 折旧与摊销 FUL 资本支出 运营资本变动 与传统会计利润不同,自由现金流不仅剔除了非现金项目(如 折旧与摊销）的影响,也独立于外部融资,能够更加真实地衡 量企业经营能力。 聚焦高自由现金流企业,或能够帮助投资者规 文 | 避投资陷阱,力争长期收益。 ● 企业的主营业 ...

——指数基金产品研究系列报告之二百五十八 证 券 研 2025 年 11 月 23 日 中银中证全指自由现金流 ETF：兼顾 价值与盈利的中长期投资工具 证券分析师 白皓天 A0230525070001 baiht@swsresearch.com 蒋辛 A0230521080002 jiangxin@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 白皓天 A0230525070001 baiht@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 权 益 量 化 研 究 股 票 基 金 究 报 告 相关研究 - ⚫ 中银中证全指自由现金流交易型开放式指数证券投资基金(563760.OF)，简称中银中证 全指自由现金流 ETF，是中银基金旗下的一只被动指数型基金。该基金成立于 2025 年 5 月 21 日，上市于 2025 年 6 月 6 日，发行规模 3.88 亿元。在投资策略方面，基金主要 采取完全复制法，即按照标的指数的成份股的构成及其权重构建指数化投资组合， ...

来源：新浪基金∞工作室 风险提示：市场有风险，投资需谨慎。本文为AI大模型自动发布，任何在本文出现的信息（包括但不 限于个股、评论、预测、图表、指标、理论、任何形式的表述等）均只作为参考，不构成个人投资建 议。 11月18日，截止午间收盘，中证现金流ETF（159235）跌1.27%，报1.245元，成交额5434.18万元。中证 现金流ETF（159235）重仓股方面，中国海油截止午盘跌0.69%，美的集团跌0.21%，格力电器涨 0.17%，五粮液涨0.37%，中远海控跌0.66%，洛阳钼业跌2.55%，TCL科技跌1.62%，中国铝业跌 3.05%，顺丰控股跌0.40%，陕西煤业跌1.91%。 中证现金流ETF（159235）业绩比较基准为中证全指自由现金流指数收益率，管理人为大成基金管理有 限公司，基金经理为刘淼，成立（2025-04-23）以来回报为26.19%，近一个月回报为6.62%。 ...

自由现金流ETF基金紧密跟踪中证全指自由现金流指数，中证全指自由现金流指数选取100只自由现金流率较高的上市公司证券作为指数样本，以反映现金 流创造能力较强的上市公司证券的整体表现。 截至2025年11月14日 10:05，中证全指自由现金流指数(932365)下跌0.40%。成分股方面涨跌互现，孚日股份(002083)领涨9.99%，川仪股份(603100)上涨 7.50%，中集车辆(301039)上涨7.14%；依依股份(001206)领跌3.01%，神火股份(000933)下跌2.85%，云铝股份(000807)下跌2.40%。自由现金流ETF基金 (159233)下跌0.48%，最新报价1.23元。 从资金净流入方面来看，自由现金流ETF基金近12天获得连续资金净流入，最高单日获得2224.54万元净流入，合计"吸金"1.03亿元，日均净流入达861.65万 元。 从收益能力看，截至2025年11月13日，自由现金流ETF基金自成立以来，最高单月回报为7.80%，最长连涨月数为5个月，最长连涨涨幅为17.66%，涨跌月数 比为5/0，上涨月份平均收益率为3.35%，月盈利百分比为100.00%，月盈利 ...

跟踪精度方面，截至2025年11月6日，自由现金流ETF基金近3月跟踪误差为0.080%。 自由现金流ETF基金紧密跟踪中证全指自由现金流指数，中证全指自由现金流指数选取100只自由现金流率较高的上市公司证券作为指数样本，以反映现金 流创造能力较强的上市公司证券的整体表现。 截至2025年11月7日 10:03，中证全指自由现金流指数(932365)上涨0.45%，成分股孚日股份(002083)上涨9.97%，云天化(600096)上涨3.82%，卫星化学 (002648)上涨3.42%，海峡股份(002320)上涨3.09%，中电环保(300172)上涨2.99%。自由现金流ETF基金(159233)上涨0.50%， 冲击3连涨。最新价报1.21元。 拉长时间看，截至2025年11月6日，自由现金流ETF基金近1周累计上涨1.69%，涨幅排名可比基金1/13。 流动性方面，自由现金流ETF基金盘中换手0.09%，成交38.23万元。拉长时间看，截至11月6日，自由现金流ETF基金近1年日均成交2024.07万元。 规模方面，自由现金流ETF基金最新规模达4.14亿元，创近3月新高。 份额方面，自由现金流ET ...

Core Viewpoint - The Zhongzheng All Index Free Cash Flow Index (932365) has shown strong performance, with significant increases in constituent stocks and the Free Cash Flow ETF Fund (159233) also experiencing notable gains [1][2]. Group 1: Performance Metrics - As of November 6, 2025, the Zhongzheng All Index Free Cash Flow Index increased by 1.53%, with notable rises in stocks such as Zhengtai Electric (10.00%) and Nanshan Aluminum (9.96%) [1]. - The Free Cash Flow ETF Fund has seen a 2.52% increase over the past two weeks, ranking 3rd out of 13 comparable funds [1]. - The Free Cash Flow ETF Fund's latest price is reported at 1.2 yuan, with a trading volume of 279.16 million yuan and a turnover rate of 0.69% [1]. Group 2: Fund Details - The Free Cash Flow ETF Fund has a total scale of 402 million yuan, reaching a three-month high, with a total share count of 342 million shares [1]. - The fund has experienced continuous net inflows over the past six days, totaling 48.32 million yuan, with a maximum single-day net inflow of 10.59 million yuan [1]. Group 3: Historical Performance - Since its inception, the Free Cash Flow ETF Fund has achieved a maximum monthly return of 7.80% and has maintained a 100% profitability rate over three-month holding periods [2]. - The fund's maximum drawdown is recorded at 3.76%, with a recovery period of 35 days [2]. Group 4: Index Composition - As of October 31, 2025, the top ten weighted stocks in the Zhongzheng All Index Free Cash Flow Index account for 56.53% of the index, including China National Offshore Oil (10.16%) and Midea Group (7.88%) [3][5].

Core Viewpoint - The article discusses the performance and metrics of the CSI All Index Free Cash Flow ETF (932365) and its underlying index, highlighting recent trends in stock performance, liquidity, and fund inflows. Group 1: Fund Performance - As of October 14, 2025, the Free Cash Flow ETF has achieved a maximum monthly return of 7.80% since its inception, with the longest consecutive monthly gain being 4 months and a total increase of 12.71% [2] - The fund has a historical monthly profit probability of 89.47%, with a 100% probability of profit over a 3-month holding period [2] - The maximum drawdown since inception is 3.76%, with a relative benchmark drawdown of 0.49% [2] Group 2: Fund Metrics - The Free Cash Flow ETF fund has a management fee of 0.50% and a custody fee of 0.10% [3] - The fund closely tracks the CSI All Index Free Cash Flow Index, which includes 100 listed companies with high free cash flow rates [3] - As of September 30, 2025, the top ten weighted stocks in the index account for 56.31% of the total index weight, with notable companies including China National Offshore Oil Corporation and Midea Group [3][5] Group 3: Liquidity and Inflows - The Free Cash Flow ETF has seen continuous net inflows for 26 days, with a maximum single-day net inflow of 19.19 million yuan, totaling 175 million yuan in net inflows [1] - The fund's latest scale reached 281 million yuan, marking a 3-month high, with the latest share count at 246 million shares [1] - The fund's average daily trading volume over the past year is 21.83 million yuan, with a turnover rate of 1.09% on the latest trading day [1]

股神巴菲特曾说:"企业的自由现金流是其价值的核心。只有拥有充足自由现金流的企业,才能在满足运营 和投资需求后,为股东带来真正的回报。"自由现金流的理念,始终贯穿于巴菲特的整个投资生涯。 如今A股市场上也有自己的自由现金流指数基金了,此前,方正富邦基金布局了方正富邦中证全指自由现 金流ETF及其联接产品,值得一提的是,方正富邦中证全指自由现金流ETF是首批获批的中证全指自由现 金流ETF产品之一,跟踪指数为中证全指自由现金流指数,有效的弥补了现金流因子在投资工具上的空白, 也为投资者捕捉高现金流优质公司投资机会提供了新选择。 今年以来,A股在科技成长风格带动下一路走高,市场风格集中,指数涨跌波动加剧,也令市场产生"畏高"情 绪,存量经济叠加低利率环境下,高自由现金流企业凭借更好的盈利能力、更高的经营效率、更强的抗风 险能力,被誉为A股投资的"防御利器"。 盈利稳定 分红能力强 自由现金流是指企业在支付了所有运营费用和资本支出后,剩余的可以自由分配给股东或债权人的现金, 是衡量企业财务健康状况和投资价值的重要指标之一。 从编制方法上看,中证全指自由现金流指数选取100只自由现金流率较高的上市公司证券作为指数样本, ...

Group 1 - The core viewpoint of the article highlights the recent rebalancing of the CSI All Share Free Cash Flow Index, which involved a high turnover rate of 61% with 39 stocks being added and 39 stocks being removed, driven by weakening free cash flow rates and profit-taking from outperforming stocks [1] - The sectors with the largest weight reductions include agriculture, non-ferrous metals, and retail, while the sectors with the largest weight increases are home appliances, electronics, and building materials, indicating a shift in investment focus [1] - The index exhibits a style characteristic of high dividends, high profitability, low valuation, and low volatility, appealing to investors seeking stable returns [1] Group 2 - The latest scale of the Free Cash Flow ETF Fund (159233) reached 243 million, marking a recent high, and it is positioned as a value-style ETF excluding financials and real estate [2][3] - The fund has shown a 0.63% increase as of September 29, 2025, with a weekly increase of 1.45%, ranking 3rd among comparable funds [2] - The fund has experienced continuous net inflows over the past 21 days, totaling 142 million, with a maximum single-day inflow of 19.19 million [4] Group 3 - The fund's maximum drawdown since inception is 3.76%, with a relative benchmark drawdown of 0.24%, indicating a relatively stable performance [5] - The management fee for the fund is 0.50%, and the custody fee is 0.10%, which are competitive rates for investors [6] - The fund closely tracks the CSI All Share Free Cash Flow Index, which consists of 100 stocks with high free cash flow rates, reflecting the overall performance of companies with strong cash flow generation capabilities [7]

Core Viewpoint - The report highlights the performance and metrics of the Free Cash Flow ETF Fund, indicating a positive trend in both fund inflows and returns, alongside a strong tracking accuracy of the underlying index. Group 1: Fund Performance - As of September 26, 2025, the Free Cash Flow ETF Fund has seen a recent increase of 0.27% over the past week, ranking 1 out of 13 comparable funds [1] - The fund's latest scale reached 228 million yuan, marking a new high in the past month [1] - The fund has experienced continuous net inflows over the past 19 days, totaling 130 million yuan, with a peak single-day inflow of 19.19 million yuan [2] Group 2: Return Metrics - Since its inception, the fund's highest monthly return was 7.80%, with the longest consecutive months of gains being 3, and the maximum gain during this period was 12.56% [2] - The average return for months with gains is 4.07%, with a 100% probability of profit in those months and a 91.30% probability of profitability [2] - The maximum drawdown since inception is 3.76%, with a relative benchmark drawdown of 0.24% [2] Group 3: Fund Fees and Tracking Accuracy - The management fee for the Free Cash Flow ETF Fund is 0.50%, while the custody fee is 0.10% [3] - The fund has a tracking error of 0.066% over the past month, closely following the CSI All Index Free Cash Flow Index [4] Group 4: Index Composition - The CSI All Index Free Cash Flow Index includes 100 high free cash flow rate listed companies, with the top ten weighted stocks accounting for 57.03% of the index [4] - The top ten stocks in the index include China National Offshore Oil Corporation, Wuliangye, and China Southern Airlines, among others [4]