20230912-东吴证券-每日一基专题报告_指数基金标签体系_25页_950kb

Index Fund Tag System Analysis Summary

This report, authored by East Wu Securities Research Institute, details a tag system for index funds categorized by asset class and product dimension. The system classifies funds into four asset classes: equity, bond, commodity, and cross-border, and further subdivides equity funds into broad market, industry and theme, and style and strategy categories. The classification is based on data as of June 2023.

Key aspects of the asset class tag system:

• Equity funds dominate with 68.4% of the total scale, focusing on domestic A-share markets.
• Bond funds emphasize interest rate bonds, cross-border funds target international markets, and commodity funds center on gold or other commodities.
• The equity-to-bond ratio and market exposure determine the classification.

For equity funds, the broad market category includes core indices like CSI 300 (RMB 26.86 trillion), followed by industry and theme funds where TMT (Information Technology) and mid-cycle manufacturing are prominent sectors. Style and strategy funds highlight dividend-focused indices, with high-scale adoption.

Other categories like bond and commodity funds are covered, with product dimensions including passive vs. enhanced management and trading venues such as ETFs and LOFs. Risk is noted based on historical data, advising caution due to market volatilities.

Core Findings

• Asset Classes: Equity funds are largest; cross-border funds focus on regions like Hong Kong and the US.
• Sub-categories: Wide-ranging industry and theme classifications, e.g., TMT with high scale, pharmaceuticals, and consumer staples.
• Scale Data: As of June 2023, CSI 300 equity fund had the highest scale in broad markets.
• Product Types: Passive management dominates ETFs, making up a significant portion of the market.
• Risk: Data is historical-based; investors should not rely on past performance for future returns.

This summary covers the main elements of the tag system, highlighting its application and data points.