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]

A股多个指数将迎来成分股的重要调整。根据中证指数公司、上交所等发布的公告称，将调整沪深300、中证A50、上证50等指数样 本，本次调整为指数样本的定期例行调整，将于6月13日收市后正式生效。 近期，基金经理都在忙于指数基金的调仓换股，有投资者疑问：指数的调整会有何影响呢？ 指数成分股的调整能保证指数的稳定性，使其能够持续、准确地反映市场特定板块的走势，又能适时纳入表现优秀、符合当下市场 发展趋势的新公司，剔除不再符合标准的公司，维持指数的"新鲜度"和代表性。 "在近期指数例行调整中，预计沪深300和中证A50变化显著。"黑崎资本首席战略官陈兴文分析，沪深300与中证A50因资金承载量 大、外资关联高、规则敏感强，成波动显著指数，调整易引发大规模被动资金调仓。 | | 部分指数调整的相关情况 | | --- | --- | | 名称 | 调整情况 | | 沪深300指数 | 更换7只样本,软通动力、中航成飞等调入指数 | | 中证 A50指数 | 更换4只样本,北方稀土、东鹏饮料等调入指数 | | 上证50指数 | 更换4只样本,中航沈飞、国泰海通等调入指数 | | | 来源:公开信息 | 关注新调入成分股的 ...

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]

主 要 结 论 指数化投资正当时 近几年，随着投资者对指数化投资接受程度的不断提高，指数基金规模不断提升。截至2025年3月31日，股票型被动指数基金共计1305只，合计规模高达3.26万 亿元。跟踪沪深300、中证A500、科创50的指数基金的规模合计分别为9451亿元、2454亿元、1683亿元。 中证指数公司和深圳证券信息有限公司在每年的6月和12月会对指数成分股进行定期调整，由于指数成分股调整是根据编制规则进行的被动操作，因此若成分股 的调整规模较大，则可能带来交易性的投资机会。本文选择了沪深300、上证180、上证50、科创50、创业板指和中证500这6只跟踪规模较大的指数进行成分股 调整预测，为投资者提供投资参考。 沪深300指数 我们预测国货航、领益智造、软通动力等7只股票将会被调入沪深300指数。而华兰生物、三七互娱、恩捷股份等7只股票将会被调出沪深300指数。 上证180指数 我们预测宇通客车、生益科技、华勤技术等12只股票将会被调入上证180指数。而中国卫星、张江高科、华熙生物等12只股票将会被调出上证180指数。 上证50指数 我们预测中航沈飞、中国铝业等4只股票将会被调入上证50指数。 ...