Core Insights - The article analyzes the changes in the CSI 300 Index's constituent stocks since its inception, highlighting significant trends in market capitalization thresholds and the implications for investment strategies [6][23]. Group 1: Market Capitalization Thresholds - The average market capitalization required for inclusion in the CSI 300 Index has increased from approximately 8.4 billion in 2005 to 101.6 billion by 2025, representing a more than 12-fold increase [8]. - This systematic elevation in market cap thresholds reflects the index's rule of selecting the largest companies, driven by the overall expansion of the A-share market and the growth of leading enterprises [8]. Group 2: Function Evolution - The index's role has shifted from "value discovery" to "trend confirmation," as stocks that meet the new market cap criteria may have limited growth potential left [10][11]. - Long-term performance data indicates that stocks added to the index prior to 2008 generated significant positive excess returns, while those added post-2008 have shown a systematic decline in average excess returns [11]. Group 3: Performance of Excluded Stocks - Stocks that are removed from the index often outperform those that are newly included over a five-year period, indicating a mismatch between index rules and the actual growth cycles of companies [13][14]. - Approximately 25% of constituent stocks are removed within 1-3 years of inclusion, highlighting a trend of shortened retention periods and increased short-term rotation in index adjustments [16]. Group 4: Return Structure - Since its inception, the CSI 300 Index has recorded a win rate of 53.68% for constituent stocks, with an average return of 141%, but a median return of only 6.5%, indicating that a small number of stocks contribute most of the returns [18][19]. - The win rate for stocks added to the index has significantly declined from 57.26% (2005-2014) to 33% (2015-2025), suggesting a weakening ability to generate excess returns in recent years [20]. Group 5: Implications for Investment Strategies - The diminishing "value discovery" function of the index raises questions about the continued relevance of using it as a benchmark for active equity funds [23]. - The strategy of following index adjustments for investment opportunities has lost its effectiveness, emphasizing the need for independent and in-depth fundamental research to achieve excess returns [23].