【广发金工】关注指数成分股调整的投资机会

Core Viewpoint - The article emphasizes the growing recognition of index-based investment strategies among investors, highlighting the potential investment opportunities arising from significant changes in index constituents due to periodic rebalancing of major indices like the SSE 50, CSI 300, and CSI 500 [1][4][5]. Group 1: Index Product Scale Statistics - As of October 31, there are 2,294 passive index funds (ETFs and off-exchange passive index funds) with a total scale of 4.5 trillion yuan, and 437 enhanced index funds with a total scale of 265.3 billion yuan, surpassing the scale of equity mixed funds (2.53 trillion yuan) [2][15]. - The leading indices in terms of product tracking scale include the CSI 300, CSI A500, and CSI 500 [19]. Group 2: Historical Adjustment Effects of Index Constituents - From 2019 to mid-2025, stocks added to the index generally outperformed the index in the two weeks prior to their inclusion, while stocks removed from the index underperformed [22][23]. - The average excess return for stocks added to the index in the two weeks before inclusion is 4.89%, with a success rate of 66.67% [24]. Group 3: Latest Adjustment Impact Estimates - For the expected adjustments in December 2025, the SSE 50 is projected to adjust 4 stocks with an estimated passive buy amount of 5.5 billion yuan, the CSI 300 is expected to adjust 10 stocks with an estimated net buy of 24.5 billion yuan, and the CSI 500 is expected to adjust 50 stocks with an estimated buy of 3.3 billion yuan [30][32].