中美股票ETF发展启示：春有百花秋望月.pdf

2021 2 25 ETF S1060520060002 S1060520080001 S10605201200012 0 ETF ETF ETF ETF ETF ETF 1 2 3 ETF 1993 2020 4 2004 2020 7800 36% VS 8 ETF 3 500ETF ETF Smart Beta 3 ETF ESG 2020 ESG ETF ESG ETF 383.94 ESG ETF MSCI ESG ETF ETF 2018 80% 19 / 45% 2 1 2 19-20 Smart Beta 19 ETF ETF ETF 300 3 ETF 1 ETF ETF 1 2 3 ETFCONTENT ETF ETF ETF4 ETF 1.1 ETF 1993 SPDR S&P 500 ETF ETF 27 ETF 23 42.02% 2016 ETF 2020 ETF 4901 6 ETF 2008 2018 ETF 0 10,000 20,000 30,000 40,000 50,000 60,000 70,000 0 1000 2000 3000 4000 5000 6000 42% Bloomberg 2020 12 31 0 20,000 40,000 60,000 80,000 100,000 120,000 140,000 160,000 0 10,000 20,000 30,000 40,000 50,000 60,000 70,000 ETF5 2021/2/25 ETF 1.2 0 500 1000 1500 2000 2500 3000 3500 0 5000 10000 15000 20000 25000 30000 35000 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 ETF ETF ETF ETF ETF 70% 2003 70% ETF ETF 58% ETF ETF ETF ETF ETF 2008 2018 ETF Bloomberg 2020 12 316 , 12520 , 2160 , 2190 , 4840 2021/2/25 ETF 1.3 ETF ETF ETF 2014 ETF 22.23% 2014 ETF 8 ETF ETF 2019 ETF 1.25 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% ETF -400 -200 0 200 400 600 800 1000 1200 1400 1600 1800 ETF ICI 2019 12 31 2019 ETF7 2021/2/25 ETF 1.3 0 1000 2000 3000 4000 SPDR SETF % SPDR SETF 2010/9/7 Vanguard Group Inc 1779.91 0.03 ETF Bloomberg ETF Database 2020 12 31 500ETF 500ETF 500ETF ETF ETF 500 ETF ETF8 ETF Smart Beta 1.4 Smart Beta ETF 1.2 30% ETF Smart Beta ETF J.P. Morgan 33% 2-3 Smart Beta 200 Smart Beta ETF Smart Beta ETF Smart Beta ETF 0% 20% 40% 60% 80% 100% 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 Smart Beta ETF ETF 30% Smart Beta ETF 3 60% Smart Beta ETF 500 20% 0 20 40 60 80 100 0 1000 2000 3000 4000 5000 BlackRock Fund Advisors Vanguard Group Inc % 0 20 40 60 80 100 0 200 400 600 800 1000 SSgA Funds Management Inc Invesco Capital Management LLC First Trust Advisors LP Charles Schwab Investment Management Inc % Bloomberg 2020 12 319 ETF Smart Beta 1.4 Smart Beta ETF Smart Beta ETF Smart Beta Smart Beta ETF Smart Beta ETF Smart Beta Smart Beta ETF 2018 VS. Smart Beta -100 0 100 200 300 400 500 600 700 800 900 1000 0% 20% 40% 60% 80% 100% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 0% 20% 40% 60% 80% 100% Bloomberg 2020 12 3110 ETF Smart Beta 1.4 Smart Beta ETF / Russell 1000/2000 500 / / / / /EAFE / / / / / /EAFE/ / / / / Russell 1000/2000 500 / / Smart Beta ETF Bloomberg11 2021/2/25 ETF ESG 1.5 2020 ESG ETF 29 iShares ESG Aware MSCI USA ETF 2020 815.26% 133.94 ESG ETF 2020 ETF iShares Global Clean Energy ETF Invesco WilderHill Clean Energy ETF 2020 ESG ETF ESG ETF Bloomberg 2020 12 31 BlackRock Fund Advisors 37% ARK Investment Management LLC 33% Invesco Capital Management LLC 8% Vanguard Group Inc 4% WisdomTree Asset Management Inc 4% DBX Advisors LLC 3% First Trust Advisors LP 3% Nuveen Fund Advisors LLC 2% SSgA Funds Management Inc 1% ALPS Advisors Inc 1% 4% BlackRock Fund Advisors ARK Investment Management LLC Invesco Capital Management LLC Vanguard Group Inc WisdomTree Asset Management Inc DBX Advisors LLC First Trust Advisors LP Nuveen Fund Advisors LLC SSgA Funds Management Inc ALPS Advisors Inc ESG ETF ESG ETF 383.94 ESG ETF ARK Catherine Wood ARK ETF ESG 0 20 40 60 80 100 120 140 0 200 400 600 800 1000 120012 2021/2/25 ETF ESG 1.5 Environment Governance Social ETF Database13 2021/2/25 ETF ESG 1.5 2014 2016 2017 2019 2020 9 MSCI Global Low Carbon 2 MSCI ACWI Sustainable Impact 2 MSCI ESG Universal 9 MSCI Factor ESG Target 1 MSCI Fixed Income ESG and Factor 6 MSCI Climate Change 1990 5 Domini Social 400 MSCI KLD 400 Social 2001 1 KLD Large-Mid Cap Social MSCI USA ESG Leaders 2007 10 MSCI World ESG Leaders (USD) KLD Global Sustainability 2009 1 MSCI Global Environment 2011 6 MSCI World SRI 2013 6 Bloomberg Barclays ESG Fixed Income MSCI Emerging Markets ESG Leaders MSCI ACWI ESG Leaders 10 MSCI World ex Fossil Fuels 11 Bloomberg Barclays MSCI Global Green Bond 7 MSCI World Womens Leadership 8 MSCI ESG Focus 2 Bloomberg Barclays MSCI High Yield MSCI ESG 30 MSCI14 2021/2/25 ETF ESG 1.5 ETF Database MSCI S&P Bloomberg 2020 12 31 ESG iShares MSCI USA ESG Select ETF 2005/1/24 MSCI USA Extended ESG Select TR USD 22.98 6.26 MSCI ESG MSCI iShares MSCI KLD 400 Social ETF 2006/11/14 MSCI KLD 400 Social TR 26.28 6.07 Kinder Lydenberg Domini ESG ESG iShares Global Clean Energy ETF 2008/6/24 S&P Global Clean Energy TR 46.88 7.25 30 iShares MSCI ACWI Low Carbon Target ETF 2014/12/8 MSCI ACWI Low Carbon Target NR USD 6.19 5.79 MSCI ACWI 23 27 iShares MSCI Global Impact ETF 2016/4/20 MSCI ACWI Sustainable Impact Index 3.08 7.30 iShares ESG Aware MSCI EM ETF 2016/6/28 MSCI EM Extended ESG Focus NR USD 61.33 - MSCI ESG MSCI MSCI +/-100bp iShares ESG Aware MSCI EAFE ETF 2016/6/29 MSCI EAFE Extended ESG Focus NR USD 39.86 - MSCI EAFE ESG MSCI EAFE MSCI EAFE +/-50bp iShares ESG Aware MSCI USA ETF 2016/12/1 MSCI USA Extended ESG Focus TR USD 133.94 - MSCI ESG MSCI MSCI +/-50bp iShares ESG Aware MSCI USA Small-Cap ETF 2018/4/10 MSCI USA Small Cap Extended ESG Focus TR USD 5.10 - MSCI ESG MSCI MSCI +/-50bp ESG ETF15 2021/2/25 ETF ESG 1.5 ETF Database MSCI S&P Bloomberg 2020 12 31 ESG ETF ESG iShares ESG MSCI USA Leaders ETF 2019/5/7 MSCI USA Extended ESG Leaders TR USD 28.13 6.71 ESG iShares ESG MSCI EM Leaders ETF 2020/2/5 MSCI EM Extended ESG Leaders 5% Issuer Capped Index 8.35 6.17 27 ESG 5% iShares ESG Advanced MSCI EAFE ETF 2020/6/16 MSCI EAFE Choice ESG Screened Index 0.63 8.14 MSCI EAFE 21 ESG iShares ESG Advanced MSCI USA ETF 2020/6/16 MSCI USA Choice ESG Screened Index 0.81 6.94 MSCI ESG iShares ESG Screened S&P Mid- Cap ETF 2020/9/22 S&P MidCap 400 Sustainability Screened TR IX 0.11 4.96 400 iShares ESG Screened S&P 500 ETF 2020/9/22 S&P 500 Sustainability Screened TR IX 0.07 5.10 500 iShares ESG Screened S&P Small- Cap ETF 2020/9/22 S&P SmallCap 600 Sustainability Screened TR USD 0.07 4.38 600 iShares ESG Advanced MSCI EM ETF 2020/10/6 MSCI Emerging Markets Choice ESG Screened 5% Issuer Capped Index 0.12 - MSCI 27 ESG 5CONTENT ETF ETF ETF17 54 66 140 331 230 662 709 751 1574 1474 2041 1732 1708 1979 3332 5596 7832 0 1000 2000 3000 4000 5000 6000 7000 8000 9000 0 50 100 150 200 250 300 350 ETF 2.1 ETF 2004 50ETF ETF 2011 ETF ETF 2012 ETF 300ETF 2020 ETF 332 7832 04 36% 2018 ETF 12.46% 2018 A ETF 2015 50ETF 2019 300ETF ETF ETF 36% Wind 2020 12 31 50% 0 10000 20000 30000 40000 50000 60000 0 2000 4000 6000 8000 10000 12000 14000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 ETF18 ETF 2.1 ETF ETF Wind 2021 2 19 ETF ETF ETF QDII ETF. 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 TOP10% 1 TOP10% 1 115 3616.29 31.45 83.94 77.81% 1.25 8.07 128 3413.75 26.67 54.69 59.38% 1.39 7.54 31 539.30 17.40 25.99 47.95% 0.18 0.32 35 298.28 8.52 24.19 76.20% 0.17 0.89 24 239.35 9.97 16.69 48.63% 0.10 - ETF ETF ETF ETF ETF ETF ETF ETF ETF ETF ETF 3 ETF 2018 70% 19 / 45% / 19 -20 ETF 42% ETF 19 7% / 4% 3% ETF19 ETF 2.1 Wind 2021 2 19 ETF ETF ETF QDII ETF. TOP 10 81% ETF TOP 10 87% 79% TOP10 1 1 1 1744.42 21.52% 27 28% 16% 20% 16% 8% 2 869.47 10.72% 20 0% 25% 0% 0% 0% 3 850.85 10.50% 19 14% 3% 0% 46% 38% 4 649.35 8.01% 19 11% 7% 0% 1% 3% 5 627.77 7.74% 19 12% 3% 9% 5% 5% 6 504.12 6.22% 17 0% 15% 0% 0% 0% 7 410.72 5.07% 15 11% 0% 0% 1% 3% 8 326.35 4.03% 14 7% 0% 6% 3% 1% 9 296.21 3.65% 14 2% 6% 5% 0% 0% 10 277.42 3.42% 13 1% 3% 23% 0% 5% 6556.68 80.88% 177 87% 79% 63% 72% 6420 ETF 2.2 Wind 2021 2 19 0.15% 19 300 500 50ETF 0.15% , 449 , 297 , 236 , 97 , 63 , 56 , 40 , 37 , 26 , 20 , 17 0 50 100 150 200 250 300 350 400 450 500 2011 2013 2015 2017 2019 2021 300 19 1376 300 3 , 355 , 35 , 28 , 27 , 21 , 13 0 50 100 150 200 250 300 350 400 2011 2013 2015 2017 2019 2021 500 19 517 , 519 0 100 200 300 400 500 600 2003 2008 2013 2018 2023 50 8 543 20 30 40 50 60 70 80 90 100 110 2020-11-16 2020-12-16 2021-01-16 2021-02-16 50ETF 500 1 50 1 50 ETF 321 ETF 2.3 Wind 2016 2 20 2021 2 19 成分股业绩一致性 年 化 波 动 率 （ % ） Beta 行业市值（亿元） 成分股数量 日均成交额（亿元） 日 均 换 手 率 （ % ) 越低越一致 食品饮料 25.96 0.91 83823 111 215 1.36 1.90% 银行 18.04 0.50 81885 38 140 0.16 0.62% 医药生物 22.85 0.93 77525 318 418 1.33 3.36% 非银金融 25.72 1.06 61794 87 323 1.00 1.51% 电子 29.42 1.28 59058 270 570 2.33 3.44% 化工 22.62 1.05 50356 367 383 1.12 3.57% 电气设备 25.44 1.12 42434 211 255 1.52 2.76% 机械设备 22.62 1.06 31241 362 290 1.40 3.64% 汽车 22.94 1.01 28808 191 199 1.27 2.52% 交通运输 19.28 0.86 27443 119 130 0.68 1.84% 计算机 30.75 1.32 26822 228 396 2.34 3.32% 公用事业 17.54 0.77 23447 176 141 0.74 2.06% 有色金属 27.72 1.10 22973 122 294 1.68 2.31% 农林牧渔 25.50 0.91 22528 87 149 1.88 1.83% 房地产 22.63 0.88 19501 128 179 0.93 1.77% 传媒 25.51 1.12 18956 171 224 1.79 2.61% 家用电器 25.20 0.95 18826 67 107 1.30 1.40% 采掘 23.30 0.90 18603 65 88 0.44 1.81% 国防军工 29.69 1.12 15973 75 124 1.38 2.76% 建筑装饰 21.89 0.92 13326 135 144 0.87 2.08% 轻工制造 22.48 1.04 12937 142 111 1.64 2.09% 建筑材料 24.80 1.04 11042 72 106 1.73 1.59% 通信 28.49 1.18 10074 102 190 1.92 2.29% 休闲服务 28.46 0.98 9726 37 33 1.29 0.91% 钢铁 24.70 0.90 8307 35 59 0.85 0.90% 商业贸易 21.96 0.97 7893 97 92 1.18 1.57% 纺织服装 20.12 0.86 4961 91 63 1.28 1.63% 综合 24.28 1.06 2183 35 50 1.65 1.00% 波动性 容量 交投活跃度 证券简称 1 ETF 2 1 TMT ETF22 ETF 2.3 Wind 2021 2 19 2 ETF 2 19-20 2 ETF ETF 106 CES ETF 128 ETF 209 20 ETF 5 0 2000 4000 6000 8000 10000 12000 ETF 53 ETF 78 ETF 16 ETF 108 1000 1500 2000 2500 3000 3500 4000 4500 5000 CS23 ETF 2.4 Wind 2021 2 19 ETF ETF 35 300 19 ETF ETF ESG 8 203 138 41 4 3 3 5 100 1 MSCI A 3 3 3.7 1 0.2 1.7 500 1 2 40 1 0.6 1 0.5 500 1 0.7 1 5 MSCI A 100 1 33 2 4 1 14 4 17 A 50 3.6 120 8 60 6 3 6.5 180 3 ESGCONTENT ETF ETF ETF25 ETF 3.1 ETF 26 ETF 3.2 1 % 1 1 300ETF 2012/5/4 2012/5/28 449.94 0.43 398.55 4926.87 300ETF 2012/12/25 2013/1/16 296.69 0.39 285.43 1661.87 300ETF 2012/5/7 2012/5/28 235.78 0.42 248.19 1847.85 300ETF 500ETF 1 % 1 1 500ETF 2013/2/6 2013/3/15 354.98 0.41 394.52 3245.64 1 % 1 1 ETF 2011/9/20 2011/12/9 163.62 0.31 167.69 2163.80 50ETF 2016/6/30 2016/7/22 119.66 0.30 88.04 2417.50 / 50ETF 50ETF 1 % 1 1 50ETF 2004/12/30 2005/2/23 518.13 0.72 462.13 4079.64 50ETF 1 % 1 1 50ETF 2020/9/28 2020/11/16 144.37 2.46 87.91 607.53 Wind 2021 2 1927 3.3 0 0.5 1 1.5 2 2.5 3 2019-03-18 2019-04-18 2019-05-18 2019-06-18 2019-07-18 2019-08-18 2019-09-18 2019-10-18 2019-11-18 2019-12-18 2020-01-18 2020-02-18 2020-03-18 2020-04-18 2020-05-18 2020-06-18 2020-07-18 2020-08-18 2020-09-18 2020-10-18 2020-11-18 2020-12-18 2021-01-18 2021-02-18 CNY CNY 46.63 55.00 60.23 41.87 41.02 41.38 -35.57 -34.27 -35.46 1.41 1.65 1.77 20190318-20210219 20190318-20210219 5 ETF 1 % 1 512480.OF ETF 2019-05-08 2019-06-12 h30184.CSI 106.64 0.99 986.34 512760.OF CES ETF 2019-05-16 2019-06-12 990001.CSI CNY 128.12 1.17 2432.87 159801.OF ETF 2020-01-20 2020-02-18 980017I 19.71 1.09 599.20 159995.OF ETF 2020-01-20 2020-02-10 980017I 209.13 0.56 3911.77 159813.OF ETF 2020-04-17 2020-05-25 980017I 5.46 7.84 93.96 Wind 2021 2 1928 3.3 h30184.CSI 990001.CSI 980017I CNY CNY 2013-07-15 2019-03-18 2015-02-17 A A 50 50 10% 98% 50 80% , 50 20% 30 38 50 30 10 = N50 15% 50 = N100 10% N10 10% 10% 3 Wind 2021 2 1929 & 3.3 0% 20% 40% 60% 80% 100% CNY 1000 500-1000 100-500 50-100 50 ( ) ( ) EPS( ) 2020Q1 2020Q2 2020Q3 2020E 2021E 2022E 2020Q1 2020Q2 2020Q3 2020E 2021E 2022E 2020Q1 2020Q2 2020Q3 2020E 2021E 2022E 20.19% 41.34% 31.86% 80.96% 46.92% 32.45% 6.12% 10.35% 9.39% 20.73% 16.61% 20.21% 26.15% 38.65% 37.41% 47.88% 68.32% 32.43% CNY 49.41% 50.74% 49.47% 125.36% 43.66% 32.58% 12.86% 13.03% 13.31% 65.97% 24.02% 22.03% 24.39% 35.50% 39.83% 84.10% 55.27% 32.57% 83.51% 91.30% 43.53% 31.43% 27.34% 35.48% 29.32% 22.17% 62.01% 70.54% 43.43% 31.41% 0 5 10 15 2019-12 2020-09 CNY Wind 2021 2 1930 & 3.3 CNY IC 66.23 61.88 56.47 2.56 10.06 12.45 12.45 10.92 8.22 IC 0.43 6.05 8.42 18.35 11.10 14.43 IC 1.73% 17.47% 1.24% 4.03% 28 CNY 33.57 45.15 51.73 26.42 22.06 24.82 25.30 21.29 23.45 14.70 11.51 0.00 CNY top3 25.40 22.95 29.37 top5 39.79 32.94 43.19 top10 64.52 54.47 69.81 Wind 2021 2 1931 3.4 20150826-20210219 20150826-20210219 3 ETF 512290.OF ETF 2019-04-18 2019-05-20 930726.CSI CS 36.92 159837.OF ETF 2021-01-14 2021-01-27 930743.CSI 23.49 159839.OF ETF 2021-02-01 2021-02-22 399441.SZ 4.47 0 0.5 1 1.5 2 2.5 3 2015-08-26 2015-11-26 2016-02-26 2016-05-26 2016-08-26 2016-11-26 2017-02-26 2017-05-26 2017-08-26 2017-11-26 2018-02-26 2018-05-26 2018-08-26 2018-11-26 2019-02-26 2019-05-26 2019-08-26 2019-11-26 2020-02-26 2020-05-26 2020-08-26 2020-11-26 800 CSWD CS 14.58 41.79 -42.75 0.60 800 12.44 36.45 -42.09 0.51 17.60 27.76 -38.40 0.69 CSWD 18.13 28.56 -44.21 0.71 CS 12.76 27.80 -41.11 0.51 19.27 28.14 -40.79 0.75 Wind 2021 2 1932 3.4 6 000808.CSI 000841.CSI 399441.SZ 399993.SZ 930726.CSI 930743.CSI 800 CSWD CS 800 2012-02-17 2012-12-21 2015-01-20 2015-05-08 2015-08-05 2015-08-26 800 A A A 80% 100 ( ) A 90% 30 30% 100 80% 80 80% 50 100 67 30 49 54 45 10% N=10 15% N=10 10% N10 5% 10% Wind 2021 2 1933 & 3.4 CSWD CS 0% 20% 40% 60% 80% 100% 800 CSWD CS 1000 500-1000 100-500 50-100 50 0 2 4 6 8 10 12 2018-03 2018-12 2019-09 2020-06 800 CSWD CS _ 2017A 2018A 2019A 2020E 2021E 2022E 32.66% -3.26% 17.02% 49.83% 19.62% 16.80% 800 33.87% -9.06% 0.39% 45.67% 14.75% 19.90% 26.06% 1.67% 53.88% 127.98% 15.27% 24.44% CSWD 37.67% -2.09% 45.02% 92.87% 17.83% 24.99% CS 62.64% 16.72% 13.06% 65.78% 19.53% 24.64% 25.79% 73.51% 48.02% 58.10% 18.49% 23.73% _ 2017A 2018A 2019A 2020E 2021E 2022E 25.60% 20.32% 18.28% 1.21% 11.21% 15.40% 800 18.82% 33.94% 12.93% 4.94% 4.36% 14.33% 29.38% 38.82% 42.88% 67.52% 19.52% 21.25% CSWD 46.60% 25.80% 42.38% 38.57% 11.58% 23.42% CS 25.42% 67.51% 17.25% 37.82% 11.00% 22.04% 39.05% 91.66% 50.16% 30.57% 18.09% 21.07% Wind 2021 2 1934 & 3.4 CSWD 800 800 CS 800 CSWD CS top3 24.88 34.02 33.37 34.12 19.09 35.12 top5 33.54 44.03 47.83 49.33 30.13 50.98 top10 47.44 58.94 68.94 69.91 51.58 71.99 800 CSWD CS 51.12 67.20 41.14 36.30 41.10 43.31 13.25 15.67 12.64 10.61 17.57 10.36 34.62 16.74 46.22 49.72 39.84 45.70 1.02 0.38 0.00 3.38 1.48 0.64 6 3 ETF CS CXO CS CS - - - - - - - - - - - - - - CS - - - - - - - - - - - - - - - - - - - - - - - - - - - Wind 2021 2 19CONTENT ETF ETF ETF36 2021/2/25 4 1 2 338 : 6 300 20% 6 300 10% 20% 6 300 10% 6 300 10% : 6 300 5% 6 300 5% 6 300 5% 2021