In addition to describing size indices and distinguishing between sector and thematic indices, this classification of stock index ETFs also focuses on clarifying the concept of style factors.

The concepts of style and factor have become known to investors as a result of the rapid development of quantitative investing and specialized index funds. Investors may have heard of growth or value styles, as well as dividend or low-volatility factors, and are familiar with dividend ETFs, but they may not fully understand what types of products these are or their characteristics.

In reality, the concepts of style and factor originate from academic research. Institutions both domestically and internationally commonly refer to such indices as Smart Beta, which are indices that employ non-market-cap-based selection and weighting methods while exhibiting exposure to specific factors. Among these, style generally refers to growth or value, with the Morningstar Style Box being a representative example—it includes growth and value styles while also incorporating large-, mid-, and small-cap dimensions for differentiation. Factors, on the other hand, include momentum, size, quality, dividend, and low volatility, among others. Academic research suggests that these factors can improve returns or control risks over the long term.

Based on this, by organizing the relevant concepts and referencing the practices of overseas institutions, style factors are divided into four major subcategories: growth, value, dividend, and others, aligning with the market’s definition of Smart Beta.

Specifically, the classification of growth and value styles incorporates the large-, mid-, and small-cap dimensions. The CSI 300 Growth and SZSE Growth indices belong to the large-cap growth style, while the CSI 500 Growth and CSI 1000 Growth indices fall under the mid-cap and small-cap growth styles, respectively. As for dividends, the category includes commonly seen products such as the CSI Dividend and CSI Dividend Low Volatility indices. Newer factors like free cash flow and momentum are temporarily classified under "others" without further subdivision, pending the maturity of the product system before being separately categorized in the future.