套利策略研究系列01：核心指数定期调整预测及套利策略研究

Market Index ETF Growth - The size of major market index ETFs (CSI 300, SSE 50, CSI 500, CSI 1000) reached 10,485 billion, 1,717 billion, 1,716 billion, and 1,501 billion yuan respectively by October 2024, representing a 409% increase compared to the end of 2021 and a 219% increase in 2024[3][10] Index Component Adjustment Predictions - CSI 300 is expected to adjust 14 stocks, with predicted additions including Huadian Power, Xinyisheng, and Juhua Group, and passive net buying amounts estimated at 2.8 billion, 2.4 billion, and 1.8 billion yuan respectively[4] - CSI 500 is expected to adjust 50 stocks, with predicted additions including Loongson Technology, Proya, and BAIC BluePark, and passive net buying amounts estimated at 1.3 billion, 1.3 billion, and 800 million yuan respectively[4] - CSI 1000 is expected to adjust 100 stocks, with predicted additions including Zhongke Feice, Longqi Technology, and Jindi Group[4] Historical Index Adjustment Performance - Since the second half of 2019, CSI 300 single adjustment absolute return was 14.19%, with a long-short return of 17.02%, and annual adjustment absolute return was 30.39%, with a long-short return of 35.97%[2][9] - CSI 500 single adjustment absolute return was 9.63%, with a long-short return of 14.08%, and annual adjustment absolute return was 20.18%, with a long-short return of 28.89%[2][9] Index Adjustment Prediction Accuracy - Historical prediction accuracy for CSI 300 additions and deletions averaged 87% and 91% respectively, with coverage rates of 89% and 93%[74] - CSI 500 prediction accuracy for additions and deletions averaged 77% and 91%, with coverage rates of 77% and 91%[74] - CSI 1000 prediction accuracy for additions and deletions averaged 66% and 75%, with coverage rates of 66% and 75%[74] Passive Buying and Selling Estimates - For CSI 300, predicted additions like Huadian Power and Xinyisheng have estimated passive net buying amounts of 2.8 billion and 2.4 billion yuan, while deletions like Wuxi AppTec and Beijing Junzheng have estimated passive net selling amounts of 690 million and 690 million yuan[79] - For CSI 500, predicted additions like OFILM and Runhe Software have estimated passive net buying amounts of 1.3 billion and 1.3 billion yuan, while deletions like Chongqing Rural Commercial Bank and Shenhuo Co. have estimated passive net selling amounts of 840 million and 790 million yuan[84]