CMS·2025-08-29 15:30Quantitative Models and Construction Methods 1. Model Name: ChiNext Composite Index (399102.SZ) - Model Construction Idea: The ChiNext Composite Index is designed to comprehensively reflect the overall performance of the ChiNext market. It adopts a market capitalization-weighted methodology and includes all eligible listed companies on the ChiNext board[26][27]. - Model Construction Process: 1. Sample Space: The index includes all A-shares listed on the ChiNext board that meet the following criteria: - Non-ST or *ST stocks - Stocks with a China Securities Index (CSI) ESG rating above grade C[27][28]. 2. Selection Method: All stocks in the sample space are included as index constituents, achieving full coverage of the ChiNext market[27]. 3. Index Calculation: - The index uses the Paasche weighted method, with May 31, 2010, as the base date and 1,000 points as the base value. - Adjustments for stock splits, dividends, and other corporate actions are made to ensure index continuity[27]. 4. Adjustment Rules: - Newly listed stocks are included on the 11th trading day after listing. - Stocks under risk warning or with ESG ratings downgraded to C or below are removed on the second Friday of the following month. - Stocks entering the delisting process are removed immediately[28]. - Model Evaluation: The ChiNext Composite Index achieves broad market coverage while incorporating risk control mechanisms (e.g., ESG exclusions), enhancing its representativeness and long-term investment value[18][28]. --- Model Backtesting Results 1. ChiNext Composite Index - Total Return: - 2015 to present: 135.06% - 2025 YTD: 36.08%[41][42] - Annualized Return: - 2015 to present: 8.24% - 2025 YTD: 59.98%[41][42] - Annualized Volatility: - 2015 to present: 30.66% - 2025 YTD: 28.90%[41][42] - Maximum Drawdown: - 2015 to present: 67.38% - 2025 YTD: 21.98%[41][42] - Sharpe Ratio (IR): - 2015 to present: 0.27 - 2025 YTD: 2.08[41][42] --- Quantitative Factors and Construction Methods 1. Factor Name: ESG Exclusion Mechanism - Factor Construction Idea: The ESG exclusion mechanism aims to enhance the quality and sustainability of the index by removing stocks with poor ESG performance[18][28]. - Factor Construction Process: - Stocks with a CSI ESG rating of C or below are excluded from the index. - If a stock's ESG rating improves to above C, it is re-included in the index on the second Friday of the following month[28]. - Factor Evaluation: This mechanism reduces tail risks and aligns the index with long-term investment trends, improving its overall quality and attractiveness to institutional investors[18][28]. --- Factor Backtesting Results 1. ESG Exclusion Mechanism - Impact on Index Performance: - The mechanism effectively mitigates risks associated with low-quality stocks, contributing to the index's superior risk-adjusted returns (Sharpe ratio of 2.08 in 2025 YTD)[41][42]. - Impact on Representativeness: - Despite exclusions, the index maintains comprehensive market coverage, with 1,340 constituent stocks as of August 2025[26][27].