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The first batch of 10 CSI A500 ETFs officially listed, with active trading, and the turnover rate of Guotai CSI A500 ETF even reached 166.49%.

The total transaction amount exceeded 10 billion yuan

On October 15th, as of the close, the total transaction amount of the 10 CSI A500 ETF products was approximately 10.887 billion yuan, accounting for about half of the initial total scale of 20 billion yuan.

Among them, the transaction amount of Guotai CSI A500 ETF was 3.153 billion yuan, with a turnover rate of 166.49%, ranking first in liquidity in the same category. The transaction amount of Nanfang CSI A500 ETF reached 1.644 billion yuan, with a turnover rate of 82.74%, ranking second.

Looking at the stock positions, as of the October 14th listed trading prompt announcement, Taikang CSI A500 ETF had the highest stock position, at 99.64%.

In addition, the positions of Guotai CSI A500 ETF and Harvest A500 Index ETF were 99.32% and 99.18%, respectively. The positions of Jing Shun CSI A500 ETF, Fu Guo CSI A500 ETF, and Merchants A500 Index ETF were 98.96%, 98.85%, and 98.22%, respectively, and the positions of other A500 ETFs were all over 90%. The details are as follows:

Looking at the rise and fall of the tracked index, on the 15th, the CSI A500 index closed down by 2.47%. The decline of Fu Guo CSI A500 ETF, Merchants A500 Index ETF, and Nanfang CSI A500 ETF all exceeded 2.5%, and only Huatai Baorui CSI A500 ETF had a decline of less than 2%.

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Looking at the net value per unit, due to different construction times, positions, and other reasons, the net value performance of each company is different. As of October 14th, only the net values of Huatai Baorui and Nanfang's two CSI A500 ETFs were above the "water surface". Some products experienced a significant decline due to not stepping on this sharp rise and fluctuation before going public, such as Taikang CSI A500 ETF and Merchants CSI A500 ETF.

Why is the turnover rate greater than 100%?

Open source securities pointed out that the turnover rate of ETFs should be the transaction shares on the day / the total shares of ETFs the day before.Due to the real-time increase and decrease of ETF shares, it is quite normal for the turnover rate to exceed 100%. Large funds use a basket of stocks outside the market to exchange for ETF shares, and the exchanged shares can be sold on the secondary market on the same day. This additional liquidity allows the turnover rate to exceed 100%.

Furthermore, the ETF redemption arbitrage mechanism also stimulates the growth of the turnover rate.

According to Chaoyang Yongxu, ETFs have a special redemption mechanism that allows for both subscription and redemption on the primary market and trading on the secondary market. Therefore, ETFs have two prices: the intraday trading price and the fund share reference net value (IOPV).

The real-time trading price of ETFs is similar to stock prices, fluctuating in real-time during the trading day and affected by supply and demand relationships in the auction. If there is a surge in buying orders, the price will rise quickly. Conversely, the price will fall rapidly.

IOPV is the weighted price of a basket of ETF holdings. The calculation method is based on the calculation method provided by the fund manager and the daily subscription and redemption list provided by the index company or stock exchange, calculated according to the latest transaction prices of the securities in the list. The calculation results of IOPV are uniformly announced by the stock exchange in real-time, calculated and announced every 15 seconds, serving as an estimate of the net value of ETF fund shares.

As mentioned above, ETFs have two prices and two markets. If there is a price difference during the trading process, "arbitrage" operations can be carried out, which also come in two situations:

When IOPV < ETF intraday trading price, it is called a premium. At this time, operations can be carried out by "buying low" on the primary market and "selling high" on the secondary market. First, buy a basket of stocks on the secondary market, then subscribe the basket of stocks into ETF shares on the primary market, and then sell the ETF on the secondary market to make a profit.

When IOPV > ETF intraday trading price, it is called a discount. At this time, operations can be carried out by "buying low" on the secondary market and "selling high" on the primary market. First, buy ETF on the secondary market, then redeem the ETF into a basket of stocks on the primary market, and then sell the basket of stocks on the secondary market to make a profit.

Xingye Strategy Team also stated that in terms of liquidity, the China Securities A500 is actively traded. Looking at the total transaction amount of the index components from 2024, it covers about 37% of the transaction amount of the China Securities Composite Index. In terms of the concentration of index component stocks, the China Securities A500 covers a group of the most representative companies in various industries. The concentration of component stocks CR10 and CR20 are 21.0% and 30.5%, respectively. The level of individual stock concentration is similar to the Shanghai-Shenzhen 300, lower than the China Securities A50 and Shanghai 50. The lower concentration reduces the exposure of the China Securities A500 to individual stock trait risks, enhancing the investability of the index.