Group 1: Index Comparison - The A500 index considers both market capitalization and industry distribution, unlike the traditional market capitalization-weighted indices like the CSI 300[2] - As of December 10, 2024, the A500 ETF size reached 218.7 billion CNY, ranking second in the market after the CSI 300 ETF[2] - The A500 index has a higher price-to-earnings (PE) ratio of 14.4 times compared to the CSI 300's 12.7 times, while both have similar return on equity (ROE) around 10%[3][33] Group 2: Characteristics of A500 Components - There are 266 stocks included in the A500 but not in the CSI 300, characterized by small market capitalization, high valuation, and low profitability[4] - The median market capitalization for the A500 components is 402 million CNY, while the median for the CSI 300 is 954 million CNY[38] - The A500's non-CSI 300 components have a significantly higher PE ratio of 32.2 times, but a lower ROE of 6.6%[38][47] Group 3: Investment Strategies - A rotation strategy between CSI 300 and non-CSI 300 components yielded a cumulative excess return of 3.63% from January 1 to December 10, 2024[5] - The AIA model rotation strategy for non-CSI 300 components achieved a cumulative excess return of 4.78%, outperforming the previous strategy by 1.82%[5][60]
市场微观结构系列研究（二）：市值下沉：A500和沪深300之间差了什么？
ZHESHANG SECURITIES·2024-12-15 08:15