不完美的 ETF：产品陷阱与风险提示

（2025年第11期总第61期） 2025年11月28日 不完美的ETF：产品陷阱与风险提示 清华大学五道口金融学院财富管理研究中心 张晓燕张悦琪 【摘要】ETF市场存在着分散幻觉、迷你基金、命名乱象等投资陷阱。部分ETF跟踪的指数中单个标的资产所占权重过高，债券型ETF、商品型ETF多数情况下也不具备分散投资的性质。ETF还面临强制清算风险、投资运作效率低下、跟踪误差加大等诸多问题，且遇到大额赎回时剩余持有人的利益很可能受到损害。综上，投资ETF的潜在损失可能来源于追踪误差、流动性、迷你基金等问题，以及基金公司管理能力、基金经理操作规范性等。基金行业的过度 推销问题也可能给投资者带来潜在损失。ETF对资本市场也存在着潜在负面影响，如加剧底层资产波动性、损害定价效率、在危机期间加剧流动性风险。本报告有助于投资者了解真实的ETF市场，帮助其规避ETF投资中的陷阱和潜在损失。 ResearchReport November28,2025 ImperfectETFs:ProductTrapsandRiskTips ResearchCenterforWealthManagement,PBCSchoolofFinance,TsinghuaUniversity ZhangXiaoyan ZhangYueqi Abstract:ThereareinvestmenttrapsintheETFmarket,suchastheillusionofdiversification,minifunds,andnamingchaos.SomeETFstrackindiceswheretheweightofasingleunderlyingassetistoohigh,andinmostcases,bondETFsandcommodityETFsdonothavethepropertyofdiversifiedinvestment.ETFsalsofacemanyproblemssuchasforcedliquidation risks,low investment operation efficiency,andincreasedtrackingerrors.Insummary,potentiallossesfrominvestinginETFsmayarisefromtrackingerrors,liquidity,minifunds,aswellasmanagementcapabilitiesoffundcompaniesandoperationalnormsoffundmanagers.Theproblemofexcessivepromotioninthefundindustry mayalsobringpotentiallossestoinvestors.ETFsalsohavepotentialnegativeimpactsonthecapitalmarket,suchasexacerbatingunderlyingassetvolatility,damagingpricingefficiency,andincreasingliquidityriskduringcrises.ThisreporthelpsinvestorsunderstandtherealETFmarketandhelpsthemavoidpitfallsandpotentiallossesinETFinvestment. 目录 1.引言..................................................................................................................12.ETF产品陷阱.................................................................................................32.1基金费用.....................................................................................................32.1.1管理费用与托管费用..........................................................................42.1.2交易佣金和申赎费用..........................................................................62.1.3买卖价差...............................................................................................62.1.4其他费用...............................................................................................72.2管理策略.....................................................................................................72.2.1被动型ETF..........................................................................................82.2.2SmartBetaETF....................................................................................82.2.3主动型ETF..........................................................................................82.3跟踪误差.....................................................................................................92.3.1现金头寸...............................................................................................92.3.2运作费用...............................................................................................92.3.3成份股数............................................................................................102.3.4指数结构调整....................................................................................102.3.5跟踪指数模式....................................................................................102.4流动能力...................................................................................................112.4.1标的资产流动性................................................................................11 2.4.2一级市场流动性................................................................................122.4.3二级市场流动性................................................................................122.5分散幻觉...................................................................................................132.6迷你基金...................................................................................................142.7命名乱象...................................................................................................15 3.潜在负面影响................................................................................................16 3.2.1加剧底层资产波动性........................................................................203.2.2损害定价效率....................................................................................213.2.3危机期间加剧流动性风险................................................................22 4.未来展望与建议............................................................................................22 4.1健全做市商制度.......................................................................................224.2强化销售规范性.......................................................................................234.3加强投资者教育.......................................................................................24 1.引言 过去十年间，中国ETF（Exchange-TradedFund）市场经历了跨越式发展。2014年初境内的ETF产品仅85只，资产净值不足1700亿元，而截至2025年3月，产品数量已突破1100只，资产净值达3.82万亿元，年均复合增长率超30%（如图5.1）。这一爆发式增长反映出市场对被动投资理念以及ETF产品本身的认可：一方面，随着投资者对风险分散化和投资组合的认识不断深入，以A500ETF等宽基指数基金为代表的被动型投资产品受到市场追捧；另一方面，相较传统基金产品，ETF产品具有高流动性、高透明度及低费率（超