Group 1 - The core focus of the news is on the increasing importance of technology in the asset management industry, particularly through index investments in China's high-tech enterprises, with the ChiNext Composite Index gaining attention for its unique characteristics [1][4] - The ChiNext Composite Index has shown significant historical performance, with a total return of 285.9% since its inception, and annual returns of 47.85%, 17.93%, -26.77%, -5.41%, and 9.63% over the past five years [3] - The ChiNext board has been pivotal in providing financing support for innovative and high-growth SMEs since its launch in October 2009, effectively integrating technology and capital to foster a Chinese innovation capital ecosystem [5] Group 2 - The ChiNext board has undergone continuous reforms since the implementation of the registration system in 2020, enhancing its service function for technology innovation and strategic emerging industries [6] - The board's listing standards, effective from February 2023, require a minimum market value of 5 billion yuan and recent annual revenue of at least 300 million yuan, aimed at supporting high-growth enterprises in advanced manufacturing, internet, big data, cloud computing, AI, and biomedicine [5][6] - As of December 22, 2025, there are 1,133 listed "specialized, refined, distinctive, and innovative" small giant enterprises in A-shares, with 411 of them listed on the ChiNext, accounting for 36.3% [6] Group 3 - For investors looking to benefit from the growth of innovative enterprises in China, the ChiNext broad-based indices, including the ChiNext Index, ChiNext 50 Index, and ChiNext Composite Index, present attractive investment opportunities [7] - The ChiNext Index consists of 100 representative stocks, reflecting the market's performance with a high concentration of emerging industries and high-tech enterprises [7] - The ChiNext Composite Index includes over 1,300 stocks, providing a comprehensive performance benchmark and investment reference tool for the market [8] Group 4 - The ChiNext Composite Index is characterized by a smaller average market capitalization of approximately 13 billion yuan, compared to about 90 billion yuan for the ChiNext Index and 140 billion yuan for the ChiNext 50 Index, which endows it with certain growth attributes [8] - The West China Li De ChiNext Composite ETF is highlighted as a liquid tool for investors to gain comprehensive exposure to the ChiNext Composite Index, with the fund management committed to refined product management [8]

（来源：中信建投财富管理） 今年以来，A股主要指数表现亮眼，各主要宽基指数出现不同程度上涨，这反映市场风险偏好的提升和结构性机会的活跃。宏观政策面上，"十五五"规划 将科技自立自强置于前列，为科技成长行业提供了坚实的政策支持和发展预期，成长风格有望成为市场主线，当前或是布局长期成长弹性标的的较好时 机。 创业板作为中国资本市场的重要组成部分，近年来逐步发展成为服务成长型创新创业企业的重要平台，支持传统产业与新技术、新产业、新模式深度融 合，其中战略性新兴产业公司占比超较高，指数具有高弹性、高波动的特征，是投资者进行资产配置的重要选项之一。 指数基本情况介绍 指数名称：创业板综合指数 指数代码：399102.SZ 指数简介：创业板综指覆盖创业板全部1300多家上市公司，总市值覆盖率高达98%，新股上市后第11个交易日进入指数,提供对整个创业板市场最全面、 最均衡的代表。 指数基点：1000点 指数基日：2010/5/31 发布日期：2010/08/20 | | 创业板综合指数 | 创业板 | 覆盖率 | | --- | --- | --- | --- | | 个股数 | 1344只 | 1389只 | 96.7 ...

Group 1 - The report emphasizes the positioning of the ChiNext board as focusing on "three innovations and four new" initiatives, supporting innovative and high-growth SMEs since its inception, with a total of 1,390 listed stocks and a market capitalization of 16.49 trillion RMB as of November 21, 2025 [10][12][51] - Continuous policy support has led to a high concentration of specialized and innovative "little giant" companies, with 1,117 such companies listed, of which 420 are on the ChiNext board, accounting for 37.60% of the total [20][51] - Institutional investment interest is high, with active equity funds holding a total market value of 358.34 billion RMB in ChiNext component stocks, representing over 23.72% of their total holdings as of Q3 2025 [24][51] Group 2 - The ChiNext Composite Index (399102.SZ) encompasses all stocks listed on the ChiNext board, reflecting the overall market trend and price changes [52] - The average market capitalization of the ChiNext Composite Index is 13.034 billion RMB, significantly lower than that of the ChiNext Index and ChiNext 50, with 26.44% of its component stocks having a market cap below 1 billion RMB [31][52] - The industry concentration of the ChiNext Composite Index is low, with a balanced allocation across high-growth sectors such as new energy, electronics, pharmaceuticals, and computing [34][52] Group 3 - The valuation of the ChiNext Composite Index is currently low, with a price-to-earnings ratio of 62.64 and a price-to-book ratio of 4.04, both below historical median levels, while the expected compound net profit growth rate over the next two years is 39.92%, outperforming other indices [38][40][52] - The risk-return profile of the ChiNext Composite Index is notable, with an annualized return of 8.99% and a Sharpe ratio of 0.44, indicating a favorable risk-return balance compared to the ChiNext Index and ChiNext 50 [45][53]

Quantitative Models and Construction Methods 1. Model Name: ChiNext Composite Index (399102.SZ) - **Model Construction Idea**: The ChiNext Composite Index is designed to comprehensively reflect the overall performance of the ChiNext market. It adopts a market capitalization-weighted methodology and includes all eligible listed companies on the ChiNext board[26][27]. - **Model Construction Process**: 1. **Sample Space**: The index includes all A-shares listed on the ChiNext board that meet the following criteria: - Non-ST or *ST stocks - Stocks with a China Securities Index (CSI) ESG rating above grade C[27][28]. 2. **Selection Method**: All stocks in the sample space are included as index constituents, achieving full coverage of the ChiNext market[27]. 3. **Index Calculation**: - The index uses the Paasche weighted method, with May 31, 2010, as the base date and 1,000 points as the base value. - Adjustments for stock splits, dividends, and other corporate actions are made to ensure index continuity[27]. 4. **Adjustment Rules**: - Newly listed stocks are included on the 11th trading day after listing. - Stocks under risk warning or with ESG ratings downgraded to C or below are removed on the second Friday of the following month. - Stocks entering the delisting process are removed immediately[28]. - **Model Evaluation**: The ChiNext Composite Index achieves broad market coverage while incorporating risk control mechanisms (e.g., ESG exclusions), enhancing its representativeness and long-term investment value[18][28]. --- Model Backtesting Results 1. ChiNext Composite Index - **Total Return**: - 2015 to present: 135.06% - 2025 YTD: 36.08%[41][42] - **Annualized Return**: - 2015 to present: 8.24% - 2025 YTD: 59.98%[41][42] - **Annualized Volatility**: - 2015 to present: 30.66% - 2025 YTD: 28.90%[41][42] - **Maximum Drawdown**: - 2015 to present: 67.38% - 2025 YTD: 21.98%[41][42] - **Sharpe Ratio (IR)**: - 2015 to present: 0.27 - 2025 YTD: 2.08[41][42] --- Quantitative Factors and Construction Methods 1. Factor Name: ESG Exclusion Mechanism - **Factor Construction Idea**: The ESG exclusion mechanism aims to enhance the quality and sustainability of the index by removing stocks with poor ESG performance[18][28]. - **Factor Construction Process**: - Stocks with a CSI ESG rating of C or below are excluded from the index. - If a stock's ESG rating improves to above C, it is re-included in the index on the second Friday of the following month[28]. - **Factor Evaluation**: This mechanism reduces tail risks and aligns the index with long-term investment trends, improving its overall quality and attractiveness to institutional investors[18][28]. --- Factor Backtesting Results 1. ESG Exclusion Mechanism - **Impact on Index Performance**: - The mechanism effectively mitigates risks associated with low-quality stocks, contributing to the index's superior risk-adjusted returns (Sharpe ratio of 2.08 in 2025 YTD)[41][42]. - **Impact on Representativeness**: - Despite exclusions, the index maintains comprehensive market coverage, with 1,340 constituent stocks as of August 2025[26][27].

Group 1 - The Shanghai Composite Index has reached a nearly ten-year high, and the ChiNext Index continues to strengthen, drawing investor attention to future market trends [1] - The Penghua ChiNext Composite Index ETF (code: 159289) is officially launched on August 25, 2023, closely tracking the ChiNext Composite Index (code: 399102) [1] - The ChiNext Composite Index is characterized by its growth and technology attributes, with the top four industries being Power Equipment (19.0%), Pharmaceutical Biology (13.1%), Electronics (12.6%), and Computers (10.5%), collectively accounting for over 50% of the index [1] Group 2 - Since its inception in 2011, the ChiNext Composite Index has achieved a return of 173.66%, significantly outperforming the CSI 300 (28.43%) and the CSI 500 (21.96%) [2] - The ChiNext Composite Index has consistently led in revenue and net profit growth rates compared to the CSI 300 and CSI 500 since 2018, with a notable net profit growth rate of 20% in Q1 2025 [2] - The ChiNext serves as a core platform for innovative and growth-oriented enterprises in China's capital market, focusing on "three innovations and four new" (innovation, creation, creativity, new technology, new industry, new business format, new model) [2]

Core Viewpoint - The article discusses the significant adjustments made to the ChiNext Composite Index, which aims to enhance the quality of sample stocks and attract long-term investment by implementing risk warning and ESG negative exclusion mechanisms [1][3]. Group 1: Index Adjustments - The ChiNext Composite Index has introduced a monthly exclusion mechanism for stocks under risk warning (ST or *ST), enhancing tail risk management and stability of the index [3]. - An ESG negative exclusion mechanism has been implemented, promoting responsible investment and directing funds towards companies with strong governance and sustainability [3]. Group 2: Sample Stock Overview - Post-revision, the ChiNext Composite Index includes 1,316 sample stocks, covering 95% of ChiNext listed companies, with a total market capitalization coverage of 98% [3]. - The index encompasses high-tech industries such as semiconductors, artificial intelligence, innovative pharmaceuticals, medical devices, photovoltaics, and lithium batteries, with significant weight in industrial (32%), information technology (26%), and healthcare (12%) sectors [3]. Group 3: Long-term Performance - Since its launch in August 2010, the ChiNext Composite Index has shown a cumulative increase of 197% and an annualized return of 7.6%, indicating strong long-term performance [5]. - The sample stocks within the index are characterized by robust fundamentals, with projected five-year compound annual growth rates of 13% for revenue and 8% for net profit by the end of 2024 [5].

Group 1 - The A-share market showed an overall upward trend during the week of July 7-11, 2025, with an average daily trading volume of nearly 1.50 trillion yuan, an increase of approximately 550 billion yuan compared to the previous week [2][14] - Major broad-based indices rose, with the All A Index increasing by 1.71%, and small-cap stocks outperforming, as evidenced by the 2.36% gains in both the CSI 1000 and the ChiNext Index [14] - The real estate, steel, and non-bank financial sectors led the gains, with increases of 6.12%, 4.41%, and 3.96% respectively, while coal, banking, and automotive sectors experienced declines [14] Group 2 - The "anti-involution" theme has gained traction since the Central Economic Committee meeting at the end of April, with a focus on "stabilizing employment" and other livelihood issues, which may constrain the implementation of capacity reduction policies [3][14] - The domestic GPU market is witnessing a surge with two major domestic GPU manufacturers receiving IPO approvals, filling the gap in the A-share market for fully functional GPUs [15] - The upcoming earnings disclosure period is expected to provide significant incremental information for the market, with sectors showing strong mid-year performance likely to attract investor attention [16] Group 3 - On July 11, the Shenzhen Stock Exchange announced revisions to the compilation scheme of the ChiNext Composite Index, including the introduction of a monthly removal mechanism for risk warning stocks and an ESG negative removal mechanism [17] - Seven fund companies have applied for ETFs related to the ChiNext Composite Index, indicating growing interest in this segment [17] Group 4 - The Active Equity Fund Selection Index rose by 0.90% last week, with a cumulative excess return of 12.029% since inception [4] - The Value Equity Fund Selection Index increased by 0.83%, with a cumulative excess return of -5.62% since inception [5] - The Balanced Equity Fund Selection Index rose by 0.61%, with a cumulative excess return of 4.41% since inception [6] - The Growth Equity Fund Selection Index increased by 0.83%, with a cumulative excess return of 16.24% since inception [7] - The Pharmaceutical Equity Fund Selection Index rose by 0.06%, with a cumulative excess return of 21.16% since inception [8] - The Consumer Equity Fund Selection Index decreased by 0.27%, with a cumulative excess return of 14.92% since inception [9] - The Technology Equity Fund Selection Index rose by 1.24%, with a cumulative excess return of 14.84% since inception [10] - The High-end Manufacturing Equity Fund Selection Index increased by 0.94%, with a cumulative excess return of -3.36% since inception [11] - The Cyclical Equity Fund Selection Index rose by 0.72%, with a cumulative excess return of 3.12% since inception [12]