Core Viewpoint - Michael Saylor's MicroStrategy is emerging as a significant competitor in Wall Street's top tier, with its strategy of holding Bitcoin showing potential for inclusion in the S&P 500 index, which was previously deemed unlikely [1][4]. Group 1: Company Performance and Strategy - MicroStrategy has transformed into a Bitcoin treasury, achieving $14 billion in unrealized gains, theoretically meeting the profitability requirements for S&P 500 inclusion [1]. - The company has built a balance sheet with $70 billion in Bitcoin assets, which could lead to institutional recognition of its previously criticized strategy [1][5]. - MicroStrategy's liquidity ratio is the highest among 26 potential candidates for S&P 500 inclusion, indicating strong trading activity relative to its market capitalization [4]. Group 2: Market Dynamics and Index Inclusion - The S&P committee considers liquidity, profitability, and industry balance when selecting companies for the index, with MicroStrategy meeting and exceeding these criteria [4][8]. - The inclusion of Coinbase and Block Inc. in the S&P 500 signals a growing recognition of the digital asset sector's influence [4]. - Inclusion in the S&P 500 could lead to significant price increases due to the "index effect," although the short-term impact has diminished in recent years [8]. Group 3: Challenges and Volatility - There is increasing skepticism regarding the sustainability of MicroStrategy's treasury model, especially after a 17% drop in its stock price in August [5]. - The company's stock has a 30-day volatility of 96%, which is higher than that of Nvidia and Tesla, raising concerns among index gatekeepers [5]. - Despite a market cap of $90 billion making it a strong contender, the S&P committee retains discretion over inclusion decisions, complicating predictions [8].

[Table_Date] 2025 年 5 月 14 日 [Table_Title] 2025 年 6 月 A500、沪深 300、中证 500 指数调整预测及指数效应 分析 证券研究报告|金融工程研究报告 [Table_Summary] ► 预计 A500 指数将有 27 只成份股调整 中证 A500 指数从各行业选取市值较大、流动性较好的 500 只证券作为指数样本，选股过程中考虑市值规模、行业代 表性、与样本空间行业权重分布一致性等因素。 根据预测，本期将有 27 只成份股调整，柳工、湖南黄金 等股票可能进入中证 A500 指数。 ► 预计沪深 300 指数将有 7 只成份股调整 沪深 300 指数从日均成交金额排名前 50%的股票中选取日 均总市值排名前 300 名的股票构成指数样本。 根据预测，本期将有 7 只成份股调整，国货航、中航成 飞等股票可能进入沪深 300 指数。 我们计算了沪深 300、中证 500、中证 1000、创业板指的 调整成份股在定期调整样本生效日前后的股价表现，以评估 指数效应的分布情况。 从历史平均情况来看，部分指数在样本生效日前后的指 数效应较为明显。 风险提示 本报告根 ...