智通财经APP获悉，2月11日，中证指数公司发文称，全球指数化投资规模迭创新高，指数体系日益完善。截至2025年底全球ETF资产规模达到19.85万亿 美元。从产品来看，以Smart Beta为代表的策略ETF引领多样化发展，科技等行业主题ETF关注度显著提升，固定收益等低风险类ETF持续获市场青睐。从 指数布局来看，市场覆盖范围和底层资产类型的多元化以及存量指数优化等成为重点方向，指数应用场景日益丰富。 在政策支持及指数化投资需求持续增强的背景下，境内市场整体呈现"政策驱动、供需两旺、创新加速"的景象。境内指数行业生态持续完善，指数化投资 多向发力提质扩容。指数化投资规模进一步增长，债券指数产品增速尤为亮眼。截至2025年底，境内共有3433只指数型产品，合计规模为7.23万亿元，较 2024年底分别增加858只和增长44.32%。一方面，中证A500等特色宽基指数持续引领市场新热点，境内宽基指数产品规模创新高;另一方面，人工智能等 主题、跨境、红利等策略、固定收益、多资产等指数及指数产品备受市场关注。 展望未来，境内指数化投资将迎来多重发展机遇：一是政策协同驱动，有助于构建指数化投资高质量发展新格局;二是 ...

Group 1: Industry Consolidation - The industry is expected to see consolidation, highlighted by Goldman Sachs' acquisition of Innovator ETFs, with over 400 unique ETF brands and 4,000 products in the market [1] - Raymond James' acquisition of Clark Capital Management Group indicates a trend, with expectations of three to five meaningful deals in the current year [2] Group 2: Smart Beta ETFs - Predictions suggest inflows for smart beta ETFs will double from $37 billion to $75 billion, with the Invesco S&P 500 Equal Weight ETF (RSP) being the fourth-largest fund by flows this year [3] - The record for smart beta inflows was set at $103 billion in 2022 [3] Group 3: Crypto Index ETFs - Skepticism exists regarding the prediction that crypto index ETFs will triple assets from $1.7 billion to $5 billion, as year-to-date flows have primarily gone to bitcoin and ethereum funds [4] - A survey indicated that 42% of advisors prefer crypto index ETFs over individual tokens [4] Group 4: International Equity and Fixed Income ETFs - Predictions on international equity and fixed income ETFs breaking records are endorsed, with bond ETFs capturing 32% of total flows this year, up from 29% last year [5] - Flows are shifting from short duration to the belly of the curve, approximately six years duration [5] Group 5: Active ETFs - Active ETFs experienced record inflows of $580 billion in 2025, contrasting with active mutual funds that had $640 billion in outflows [6]

Quantitative Models and Construction Methods Model 1: Active Quantitative Stock Selection Based on Free Cash Flow - **Model Name**: Active Quantitative Stock Selection Based on Free Cash Flow - **Model Construction Idea**: The model aims to select stocks with high free cash flow quality and enhance the selection with valuation, quality, dividend, and momentum factors[27] - **Model Construction Process**: 1. **Sample Space**: Exclude newly listed stocks (less than one year), ST and *ST stocks, and stocks in the comprehensive financial, banking, non-bank financial, and real estate sectors[29] 2. **Initial Screening**: Retain stocks with positive free cash flow, positive enterprise value, and positive net cash flow from operating activities over the past five years. Exclude stocks in the bottom 20% of profitability quality[29] 3. **Free Cash Flow Selection**: Construct free cash flow factors from valuation, quality, and growth dimensions. Neutralize these factors by market value and industry, then combine them equally to form a comprehensive free cash flow factor. Select the top 50% of stocks based on this factor to form a self-built cash flow stock pool[29] 4. **Enhancement Dimensions**: Introduce valuation, quality, dividend, and momentum factors to further enhance the stock pool[29] - **Model Evaluation**: The model has shown stable performance with an annualized return of 32.28% and an annualized excess return of 26.68% relative to the CSI 500, with an information ratio (IR) of 2.42[30] Model 2: High Dividend Stock Selection Strategy - **Model Name**: High Dividend Stock Selection Strategy - **Model Construction Idea**: The model focuses on selecting stocks with high dividend yields and stable dividend payments to construct a high dividend investment strategy[33] - **Model Construction Process**: 1. **High Dividend Base Stock Pool**: Select the top 20% of companies in each CITIC first-level industry based on dividend yield[35] 2. **Avoid Dividend Trap**: Select companies with an average dividend yield greater than 2% over the past three years and a standard deviation of dividend yield less than 2%[35] 3. **Avoid Low Valuation Trap**: Select companies with the current quarterly ROE greater than or equal to the same quarter last year and with a positive consensus forecast for future compound growth rate[35] 4. **High Dividend Yield Portfolio**: Select the top 30 companies based on dividend yield from the remaining stock pool[35] - **Model Evaluation**: The model has achieved an annualized excess return of 16.42% relative to the CSI Dividend Index, with an IR of 2.42[37] Model 3: Technical Growth Expectation Stock Selection Strategy - **Model Name**: Technical Growth Expectation Stock Selection Strategy - **Model Construction Idea**: The model aims to identify high-growth opportunities by constructing a future growth portfolio based on current growth indicators and enhancing it with technical factors[39] - **Model Construction Process**: 1. **Growth Expectation Portfolio Construction**: Select companies with the latest quarterly net profit growth to form the base stock pool. Exclude companies in the bottom 20% of quarterly ROE and select the top 50% based on the slope of quarterly ROE[41] 2. **Technical Enhancement**: Select the top 30% of companies based on the standardized unexpected earnings (SUE) indicator and the top 100 stocks based on excess returns on the day after earnings announcements. Further select the top 30 stocks based on the standard deviation of turnover rate moving average[41] - **Model Evaluation**: The model has shown an annualized return of 40% and an annualized excess return of 32.13% relative to the CSI 500, with an IR of 2.91[42] Model Backtest Results Active Quantitative Stock Selection Based on Free Cash Flow - **Annualized Return**: 32.28% - **Annualized Excess Return**: 26.68% - **Information Ratio (IR)**: 2.42[30] High Dividend Stock Selection Strategy - **Annualized Excess Return**: 16.42% - **Information Ratio (IR)**: 2.42[37] Technical Growth Expectation Stock Selection Strategy - **Annualized Return**: 40% - **Annualized Excess Return**: 32.13% - **Information Ratio (IR)**: 2.91[42] Quantitative Factors and Construction Methods Factor 1: Free Cash Flow Factor - **Factor Name**: Free Cash Flow Factor - **Factor Construction Idea**: The factor aims to capture the quality of free cash flow from valuation, quality, and growth dimensions[29] - **Factor Construction Process**: 1. **Valuation Dimension**: Free Cash Flow to Firm/Enterprise Value (FCFF/EV) 2. **Quality Dimension**: Free Cash Flow to Firm/EBITDA (FCFF/EBITDA) 3. **Growth Dimension**: Free Cash Flow Growth Rate (FCFF Growth Rate) 4. **Combination**: Neutralize these factors by market value and industry, then combine them equally to form a comprehensive free cash flow factor[29] - **Factor Evaluation**: The factor has shown long-term effectiveness and stability in predicting future dividends and achieving excess returns[27] Factor Backtest Results Free Cash Flow Factor - **Annualized Return**: 32.28% - **Annualized Excess Return**: 26.68% - **Information Ratio (IR)**: 2.42[30]

Group 1: ETF Issuer M&A Activity - Goldman Sachs announced the acquisition of Innovator Capital Management for $2 billion, expected to close in Q2 2026, enhancing its ETF offerings in defined outcome ETFs, which have grown to over $80 billion industrywide [2][4] - The acquisition aims to address Goldman's stagnant ETF business by integrating a specialized product suite from Innovator, which has a proven track record [3][4] - Predictions indicate multiple transactions in 2026, with larger asset managers acquiring smaller ETF issuers, highlighting a trend towards consolidation in the ETF industry [5][6] Group 2: Smart Beta ETFs Resurgence - Smart beta ETFs, which combine elements of passive and active management, have seen a resurgence with several asset managers launching new products that align with smart beta principles [7][8] - The smart beta ETF category currently holds approximately $1.1 trillion in assets, with predictions of inflows doubling to $75 billion in 2026, driven by investor interest in systematic, factor-targeted portfolios [11][12] Group 3: Growth of Crypto Index ETFs - Spot crypto ETFs attracted around $35 billion in inflows in 2025, following a favorable regulatory shift in the U.S. under new SEC leadership [13][14] - The crypto index ETF category is expected to triple in assets to over $5 billion in 2026, as more investors seek diversified exposure to cryptocurrencies through index-based products [19] Group 4: International Equity ETFs - International equity ETFs experienced record inflows of approximately $250 billion in 2025, surpassing the previous record of $198 billion in 2021, with expectations for further growth in 2026 [24][26] - Factors such as last year's international outperformance and stretched U.S. equity valuations may drive reallocations towards international equity ETFs [26][27] Group 5: Fixed Income ETFs - Fixed income ETFs saw inflows of roughly $450 billion in 2025, significantly exceeding the previous record, with predictions for continued growth in 2026 [29][31] - Key drivers for this growth include capital migrating from money market funds and expectations of lower interest rates, which may prompt advisors to reallocate portfolios towards fixed income ETFs [32][35]

Core Viewpoint - The number and scale of newly established ETFs in 2023 have surpassed the total levels of 2022, indicating a robust growth trend in the ETF market driven by regulatory support and increasing investor demand [2][3][5]. Group 1: ETF Market Overview - As of July 11, 2023, a total of 184 new ETFs have been established, raising approximately 146.47 billion yuan, exceeding the total for the entire previous year [3]. - Among the new ETFs, stock ETFs dominate with 164 products, accounting for about 65% of the total, while bond ETFs have also seen significant growth with 18 products, making up 34.61% [3]. - Notably, 10 new science and technology innovation bond ETFs have been issued, representing nearly 57% of the bond ETF issuance [3]. Group 2: Diversification and Specialization - The ETF issuance in 2023 reflects a trend towards diversification and specialization, with active issuance in sectors like TMT (Technology, Media, Telecommunications) and healthcare, particularly in innovative drugs [4]. - Smart Beta ETFs, such as those focusing on free cash flow, have seen a surge in issuance, indicating a shift in market investment logic towards high-quality factors [4]. Group 3: Factors Driving ETF Growth - Multiple factors are contributing to the booming ETF market, including policy support from regulatory bodies and a strong demand for fixed-income instruments, particularly bond ETFs [6][7]. - The recent push for scenario-based investment strategies by exchanges has also catalyzed the acceleration of fund allocation towards ETFs [7][8]. Group 4: Future Trends in ETF Development - The future of the ETF market is expected to see increased diversification in asset classes and strategies, with a focus on low-volatility and multi-asset products [10][11]. - Continuous innovation in ETF products, including the development of niche themes and strategies, will provide investors with a broader range of investment options [10][11].

Core Viewpoint - The Chinese public fund industry is undergoing significant changes, with a shift from actively managed equity funds to index-based investments, leading to the rise of Smart Beta strategies as a solution to industry pain points [2][15]. Group 1: Industry Changes - The halo of actively managed equity funds is fading, and star managers are struggling to regain investor trust [2]. - Index-based investments are experiencing explosive growth due to their transparency and low costs, surpassing actively managed equity funds in scale [2]. - Smart Beta strategies, particularly dividend strategies, are emerging as a popular solution to address the complexities of asset allocation for ordinary investors [2][9]. Group 2: Smart Beta Strategy Development - Smart Beta strategies incorporate effective stock selection logic into index construction to enhance performance or optimize risk-return characteristics [3]. - The Smart Beta concept is not new, with early products launched in the U.S. as far back as 2000 [3]. - The Smart Beta strategy matrix has rapidly expanded, with various factor-based ETFs emerging over the years, including momentum and low volatility strategies [4]. Group 3: Market Comparison - As of the end of 2024, the U.S. Smart Beta ETF market has grown to 364 products with a total management scale of $1,727.51 billion, a 23-fold increase over ten years [5]. - In contrast, China's Smart Beta ETF market is significantly smaller, with a total scale of only 120 billion yuan, accounting for about 3% of the domestic equity ETF market [8]. Group 4: Factor Strategies in China - In China, the dividend factor strategy dominates the Smart Beta ETF landscape, contrasting with the U.S. where growth, value, and quality factors lead in management scale [9]. - The demand for stable dividend assets has surged in a low-interest, high-volatility environment, reflecting a market preference for "certainty" [9]. Group 5: Free Cash Flow as a Key Indicator - Free cash flow is becoming an important metric for investors to assess corporate value, as it reflects a company's financial health and actual profitability [10]. - The CSI All Index Free Cash Flow Index has shown a historical annualized return of 7.77% over nearly ten years, significantly outperforming the CSI All Index's -3.95% return in the same period [10][13]. Group 6: Product Launches and Regulatory Support - As of June 18, 2025, 27 fund companies have launched 32 index funds related to free cash flow strategies, indicating strong market interest [11]. - The recent regulatory framework emphasizes addressing industry pain points and transitioning from a focus on scale to prioritizing investor returns, with Smart Beta strategies like dividends and free cash flow aligning with these goals [15][16].