Group 1: ETF Market Growth - As of April 2025, the total scale of major market index ETFs has increased nearly fourfold compared to the end of 2021[8] - The scale of the CSI 300, CSI 500, and CSI 1000 ETFs reached CNY 10,773 billion, CNY 1,441 billion, and CNY 1,409 billion respectively, with increases of CNY 9,274 billion, CNY 659 billion, and CNY 1,382 billion since the end of 2021[8] - The scale of the SSE 50, STAR 50, and ChiNext Index ETFs reached CNY 1,706 billion, CNY 1,664 billion, and CNY 1,156 billion respectively, with increases of CNY 988 billion, CNY 1,234 billion, and CNY 930 billion since the end of 2021[8] Group 2: Index Component Adjustments - The adjustment of index components occurs biannually in May and November, with implementation dates on the second Friday of the following month[15] - The average prediction accuracy for the CSI 300's adjustments is 87% for additions and 91% for deletions, with recent adjustments showing 93% and 91% accuracy respectively[23] - The average coverage rate for the CSI 300's adjustments is 89% for additions and 93% for deletions[23] Group 3: Investment Opportunities - The study identifies significant Alpha return characteristics in the sample combinations of stocks added and removed during index adjustments[25] - Liquidity shock factors significantly affect the performance of stocks during index adjustments, indicating potential investment opportunities[25]

Core Viewpoint - The A-share market will undergo significant adjustments to several indices, including the CSI 300, CSI A50, and SSE 50, effective after the market closes on June 13. This adjustment is part of a regular periodic review of index constituents [1][3]. Group 1: Index Adjustments - The adjustments will involve the replacement of several constituent stocks: 7 stocks will be added to the CSI 300, including Softcom and AVIC Chengfei; 4 stocks will be added to the CSI A50, including Northern Rare Earth and Dongpeng Beverage; and 4 stocks will be added to the SSE 50, including AVIC Shenyang Aircraft and Guotai Junan [4]. - The adjustments are designed to maintain the stability of the indices, ensuring they accurately reflect market trends while incorporating high-performing companies and removing those that no longer meet the criteria [3]. Group 2: Market Impact and Investment Opportunities - The inclusion of new stocks in the indices is expected to lead to price increases for these stocks, while those being removed may face downward pressure in the short term. This is due to passive fund reallocation and market re-pricing [2][5]. - Investment opportunities may arise from the anticipated inflow of funds into newly added stocks, particularly from ETFs and actively managed funds, which could create liquidity premiums, especially in small-cap sectors [5]. - Analysts suggest focusing on three strategic areas for investment: technology sectors benefiting from AI and domestic computing power, industries like aluminum and steel that are experiencing supply-side improvements, and consumer sectors such as offline retail and hospitality that show resilience amid macroeconomic fluctuations [5].

Quantitative Models and Construction Methods 1. Model Name: Index Adjustment Prediction Model - **Model Construction Idea**: The model predicts the adjustment of constituent stocks in major indices (CSI 300 and CSI 500) based on the index compilation rules published by the China Securities Index Company[12][13][15] - **Model Construction Process**: - **Data Reference**: The model uses trading and financial data from May 1 of the previous year to April 30 of the current year for mid-year reviews, and from November 1 of the previous year to October 31 of the current year for year-end reviews[12] - **Adjustment Date**: Adjustments occur on the trading day following the second Friday of June and December each year[12] - **Sample Space**: - Excludes ST, *ST stocks, and delisted securities - Includes STAR Market and ChiNext stocks listed for over a year, or those with daily average market capitalization ranking in the top 30 since listing[12] - **Selection Method**: - For CSI 300: Securities are ranked by daily average trading volume, with the bottom 50% excluded, and then ranked by daily average market capitalization, selecting the top 300[12] - For CSI 500: Excludes CSI 300 constituents and the top 300 by market capitalization, then ranks by trading volume and market capitalization, selecting the top 500[12] - **Buffer Zone Rules**: - CSI 300: New samples ranked in the top 240 are prioritized for inclusion, while existing samples ranked in the top 360 are prioritized for retention[12] - CSI 500: New samples ranked in the top 400 are prioritized for inclusion, while existing samples ranked in the top 600 are prioritized for retention[12] 2. Model Name: Event Return Analysis Model - **Model Construction Idea**: This model analyzes the relationship between index sample adjustments and the cumulative excess returns of the adjusted stocks before and after the adjustment date[24] - **Model Construction Process**: - Collects data on all adjustment cycles since 2010 for CSI 300 and CSI 500 indices[24] - Calculates the cumulative excess returns of adjusted stocks relative to the index over a 60-day window before and after the adjustment date[24] - **Model Evaluation**: The model highlights that pre-adjustment event returns are more significant for investment strategies, as investors can trade in advance based on predictions or announcements[24] --- Model Backtesting Results 1. Index Adjustment Prediction Model - CSI 300 Index: Predicted 7 constituent stock adjustments, with additions primarily in the transportation and defense industries, and removals concentrated in the electrical equipment industry[13][14] - CSI 500 Index: Predicted 49 constituent stock adjustments, with additions mainly in the electronics, electrical equipment, and computer industries, and removals concentrated in the electrical equipment and pharmaceutical industries[15][16][23] 2. Event Return Analysis Model - **CSI 300 Index**: Stocks removed from the index showed negative excess returns before the adjustment date, while no significant conclusions were drawn for added stocks[5][24] - **CSI 500 Index**: Stocks added to the index exhibited positive excess returns before the adjustment date, while removed stocks showed negative excess returns[5][24]

Core Viewpoint - The increasing acceptance of index investing among investors has led to a significant growth in the scale of index funds, reaching a total of 3.26 trillion yuan as of March 31, 2025 [1][8]. Index Predictions CSI 300 Index - Predictions indicate that seven stocks, including Guohang Airlines, Lingyi Technology, and Softcom Power, will be added to the CSI 300 Index, while seven stocks, such as Hualan Biological and 37 Interactive Entertainment, will be removed [2]. SSE 180 Index - Twelve stocks, including Yutong Bus and Shengyi Technology, are expected to be added to the SSE 180 Index, while twelve stocks, such as China Satellite and Zhangjiang Hi-Tech, are predicted to be removed [3]. SSE 50 Index - Four stocks, including AVIC Shenfei and China Aluminum, are forecasted to be added to the SSE 50 Index, while four stocks, such as Tongwei Co. and China Railway, are expected to be removed [4]. STAR 50 Index - It is predicted that Hengxuan Technology will be added to the STAR 50 Index, while Zhongfu Shenying will be removed [5]. CSI 500 Index - Fifty stocks, including GeKong Micro and HuaiBei Mining, are expected to be added to the CSI 500 Index, while fifty stocks, such as Goodway and Guangqi Technology, are predicted to be removed [6]. ChiNext Index - Eight stocks, including Changying Precision and Jiejie Micro, are forecasted to be added to the ChiNext Index, while eight stocks, such as Anke Bio and Dongfang Risheng, are expected to be removed [7].