金融工程：2025年6月重点指数调样会带来哪些投资机会

Quantitative Models and Construction Methods 1. Model Name: Comprehensive Impact Coefficient - Model Construction Idea: The model aims to quantify the combined impact of multiple index adjustments on individual stocks, considering the overlap and exchange of sample stocks across different indices[23][24] - Model Construction Process: The comprehensive impact coefficient is defined as follows: $effect_{\_}total_{s} = \sum_{i=1}^{n} \frac{wt_{\_}chg_{s\_i} \times fund_{\_}size_{i}}{amount_{\_}avg_{s,20}}$ - $wt_{\_}chg_{s\_i}$: Weight change of stock $s$ in index $i$ - $fund_{\_}size_{i}$: Fund size tracking index $i$ - $amount_{\_}avg_{s,20}$: 20-day average trading volume of stock $s$[23][24] - Model Evaluation: The model effectively captures the correlation between the comprehensive impact coefficient and the adjustment effect, making it a valuable tool for identifying stocks with significant adjustment impacts[29] --- Model Backtesting Results 1. Comprehensive Impact Coefficient - Key Metrics: - Stocks with a coefficient above 1: Average excess return per period = 3.82% - Stocks with a coefficient above 2: Average excess return per period = 5.13%[2][16] - Historical Performance: - December 2020: Coefficient > 2, average absolute return = 13.75%, excess return = 14.64% - June 2021: Coefficient > 2, average absolute return = 10.67%, excess return = 11.33% - December 2021: Coefficient > 2, average absolute return = 6.64%, excess return = 2.83% - June 2022: Coefficient > 2, average absolute return = 10.29%, excess return = 5.02% - December 2022: Coefficient > 2, average absolute return = 8.33%, excess return = 3.40% - June 2023: Coefficient > 2, average absolute return = 0.99%, excess return = 0.90% - December 2023: Coefficient > 2, average absolute return = 4.96%, excess return = 6.55% - June 2024: Coefficient > 2, average absolute return = -1.45%, excess return = 0.57% - December 2024: Coefficient > 2, average absolute return = 2.28%, excess return = 0.96%[13][14][15] --- Quantitative Factors and Construction Methods 1. Factor Name: Weight Rules - Factor Construction Idea: Weight rules are applied to ensure that the influence of individual stocks or sectors within an index remains balanced and aligned with the index's design objectives[25][26] - Factor Construction Process: - Different indices impose specific constraints on individual stock weights, such as: - Maximum weight for a single stock (e.g., 10%, 15%) - Combined weight limits for the top N stocks (e.g., top 5 stocks ≤ 40%) - Sector weight alignment with free-float market capitalization[26][27] --- Factor Backtesting Results 1. Comprehensive Impact Coefficient (Factor-Level Results) - Top Stocks by Impact Coefficient (as of May 30, 2025): - Stock: 601825 (沪农商行) - Net Impact: 28.98 billion - Daily Average Turnover: 2.07 billion - Free-Float Market Cap: 493.66 billion - Impact Coefficient: 13.98 - Stock: 601077 (渝农商行) - Net Impact: 25.08 billion - Daily Average Turnover: 4.15 billion - Free-Float Market Cap: 427.52 billion - Impact Coefficient: 6.04 - Stock: 601211 (国泰海通) - Net Impact: 42.66 billion - Daily Average Turnover: 7.71 billion - Free-Float Market Cap: 1874.48 billion - Impact Coefficient: 5.53 - Stock: 688608 (恒玄科技) - Net Impact: 31.45 billion - Daily Average Turnover: 8.42 billion - Free-Float Market Cap: 283.59 billion - Impact Coefficient: 3.74[30]