Starting from early 2025, the A-share Free Cash Flow Index officially entered the sight of ETF investors as an innovative strategy. In just over a year, the sector has rapidly expanded, and as of March 31, 2026, there are 30 ETFs tracking cash flow-related indices in the entire market, with a total scale exceeding 45 billion yuan.
Entering 2026, in the market environment of physical re-inflation, the attention on free cash flow strategies continues to rise. As investors become increasingly familiar with this concept, their focus has become more detailed: what are the differences between different free cash flow indices? Today, we will focus on three free cash flow targets that select stocks from the entire market — the China Universal CNI Free Cash Flow Index (980092.CNI), the CSI All Share Free Cash Flow Index (932365.CSI), and the FTSE China A-Share Free Cash Flow Focus Index (888888.FI) (hereinafter referred to as China Universal, CSI, and FTSE, respectively), and delve into their differences.
1. &#34;Stock Selection Code&#34; Unveiled
Free cash flow is the net cash flow available for discretionary use after deducting capital expenditures. This indicator filters out targets with high profit quality and strong cyclical resilience, which can support sustainable dividends through relatively stable cash flow and achieve relatively superior long-term returns through endogenous growth potential. Therefore, free cash flow can serve as a core indicator for measuring a company's true profit quality and value creation capability.
Currently, most free cash flow indices in the market primarily use free cash flow rate (free cash flow/enterprise value) as the core stock selection indicator, filtering for targets with high &#34;cash flow cost-effectiveness,&#34; rather than simply companies with high absolute cash flow. Essentially, it balances the dual logic of high free cash flow and low valuation.
The compilation schemes of China Universal, CSI, and FTSE are generally similar: they all exclude financial and real estate industries from the liquid stocks in the A-share market, preferentially selecting targets with higher free cash flow rates, using free cash flow weighting, setting a 10% individual stock weight limit, and conducting quarterly adjustments. The core differences mainly lie in the negative exclusion rules:
China Universal adds an additional requirement for ROE stability, excluding the bottom 10% of companies with ROE fluctuations over the past 12 quarters, while also setting stricter thresholds for the ratio of operating cash flow to operating profit, reflecting emphasis on profit quality.
CSI places greater emphasis on cash flow sustainability, requiring positive operating cash flow for five consecutive years, and when excluding based on profit quality, it divides the indicator's denominator by total assets, thereby imposing stricter constraints on high-debt and high-leverage companies.
FTSE integrates quality, volatility, and growth across three dimensions, using FTSE's proprietary factor system, which more reflects the stock selection standards for A-share cash flow from a foreign investment perspective.
Table: Comparison of Different Free Cash Flow Index Compilation Schemes
<img src="https://imageproxy.pbkrs.com/https://inews.gtimg.com/om_bt/OyCuvnny7urXCxdntjGFojDLsPXMBptBDK_x0L4lr_YIgAA/641?x-oss-process=image/auto-orient,1/interlace,1/resize,w_1440,h_1440/quality,q_95/format,jpg" alt="" original-src="https://imageproxy.pbkrs.com/https://inews.gtimg.com/om_bt/OyCuvnny7urXCxdntjGFojDLsPXMBptBDK_x0L4lr_YIgAA/641"/>
Note: Data comes from the index company's official website, as of March 31, 2026.
II. &#34;Component Portrait&#34; Full Perspective
After clarifying the differences in compilation logic, let's take a direct look at the differences in the holdings of the three indices in terms of industry and market capitalization distribution. Overall, the three cash flow indices have a relatively balanced coverage in terms of industry and market capitalization scale, with moderate concentration and a market capitalization structure leaning towards mid to large caps.
Table: Comparison of Market Capitalization Distribution of Different Free Cash Flow Indices
<img src="https://imageproxy.pbkrs.com/https://inews.gtimg.com/om_bt/Oy_vVmSP8T6uCtWT8jI1APviFtzm3QDRkFq-I4G9ndJNsAA/641?x-oss-process=image/auto-orient,1/interlace,1/resize,w_1440,h_1440/quality,q_95/format,jpg" alt="" original-src="https://imageproxy.pbkrs.com/https://inews.gtimg.com/om_bt/Oy_vVmSP8T6uCtWT8jI1APviFtzm3QDRkFq-I4G9ndJNsAA/641"/>
Note: Data comes from Wind, as of March 31, 2026.
In terms of industry distribution, the weighted industries of the China Securities Index and the National Securities Index are quite similar, with the top four being automobiles, home appliances, oil and petrochemicals, and transportation. Among them, the automobile industry accounts for about 13.7% in the China Securities Index, making it the largest industry, followed by transportation, oil and petrochemicals, and home appliances, accounting for 12.4%, 9.8%, and 9.1% respectively. The National Securities Index moderately overweights the automobile sector to 19.7% based on a similar industry structure, with a reasonable combination of cyclical and manufacturing sectors; the FTSE, affected by growth dimensions, has a higher allocation in home appliances (18.6%) and telecommunications (12.1%), with almost no exposure to oil and petrochemicals.
Figure: Industry Comparison of Different Free Cash Flow Indices
<img src="https://imageproxy.pbkrs.com/https://inews.gtimg.com/om_bt/O1TWYOH8Ov9-o83zO50g7CxS4v9hamw-6HNo2eUaoAwVEAA/641?x-oss-process=image/auto-orient,1/interlace,1/resize,w_1440,h_1440/quality,q_95/format,jpg" alt="" original-src="https://imageproxy.pbkrs.com/https://inews.gtimg.com/om_bt/O1TWYOH8Ov9-o83zO50g7CxS4v9hamw-6HNo2eUaoAwVEAA/641"/>
Note: Data comes from Wind, as of March 31, 2026.
III. &#34;Practical Performance&#34; Showdown
After discussing the compilation logic and holdings portrait, we ultimately need to focus on performance as a hard indicator to see how the three indices perform in different market environments.
From a long-term perspective, the performance of the National Securities Index and the China Securities Index is highly similar: since 2014, the annualized return of the National Securities Free Cash Flow Index has reached 20.7%, while the China Securities All Share Free Cash Flow Index is at 20.4%, with a Sharpe ratio of 0.90, outperforming the FTSE China A-Shares Free Cash Flow Focus Index's annualized return of 18.6% and a Sharpe ratio of 0.85.
Figure: Performance Comparison of Different Free Cash Flow Indices
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<img src="https://imageproxy.pbkrs.com/https://inews.gtimg.com/om_bt/OT2S7qhE0E9tSZVR7u9JU2obTPCAOjADqVVnG1PSs_V_IAA/641?x-oss-process=image/auto-orient,1/interlace,1/resize,w_1440,h_1440/quality,q_95/format,jpg" alt="" original-src="https://imageproxy.pbkrs.com/https://inews.gtimg.com/om_bt/OT2S7qhE0E9tSZVR7u9JU2obTPCAOjADqVVnG1PSs_V_IAA/641"/>
Note: Data from Wind, from January 1, 2014, to March 31, 2026, using total return index.
Further focusing on the comparison between the National Index and the CSI Index, it can be seen from the annual performance that in a bull market with widespread gains, the aggressiveness of the National Index may be slightly inferior to that of the CSI Index; however, once the market enters a downward adjustment phase, the defensive properties of the National Index become more prominent. This was particularly evident during the three consecutive years of the bear market from 2021 to 2023: the National Index Free Cash Flow achieved positive returns for three consecutive years, demonstrating relatively strong performance resilience.
In summary, although the three free cash flow indices for the entire market are generally derived from the same source, each has its own focus: the National Index and the CSI Index are purer value indices, with long-term performance leading over the FTSE Cash Flow Index that incorporates growth factors; specifically, the National Index Free Cash Flow Index, with its stricter profitability stability screening, shows better defensive resilience in a declining market.
Since 2026, the market has continued to experience fluctuations and adjustments, with accelerated rotation of hotspots, highlighting the importance of index defensiveness. As of March 31, 2026, the National Index Free Cash Flow Index achieved a year-to-date return of 7.4%, demonstrating an independent performance in a volatile market and showcasing its &#34;winning through stability&#34; allocation value.
For investors looking to implement a cash flow strategy and solidify the ballast of their portfolios, it is advisable to pay special attention to the Free Cash Flow ETF E Fund (code: 159222), which tracks the National Index Free Cash Flow Index, as well as the corresponding feeder funds (Class A: 024566, Class C: 024567), utilizing a disciplined true profitability strategy to navigate market fluctuations and capture long-term value

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Starting from 2025, the A-share free cash flow index officially enters the sight of ETF investors. By March 31, 2026, the number of related ETFs has reached 30, with a scale exceeding 45 billion yuan. Free cash flow, as a core indicator of a company's true profit quality, filters out targets with high profit quality. The selection schemes of China Universal, CSI, and FTSE are similar, but there are differences in the negative exclusion rules. China Universal emphasizes the stability of ROE, while CSI focuses on the sustainability of cash flow

腾讯新闻 - 财经

China Merchants CSI All Share Free Cash Flow ETF

China Universal CNI Free Cash Flow ETF

E Fund CNI Free Cash Flow ETF

ChinaAMC CNI Free Cash Flow ETF

ChinaAMC CSI 500 Free Cash Flow ETF

What are the differences between the three all-market stock selection free cash flow indices?