Core Insights - The article discusses the performance differences among various growth indices, highlighting a significant annualized return gap of up to 31.62% over the past five years among different indices [5][9]. - It emphasizes the varying definitions of growth factors by three index companies (China Securities Index, Guotai Junan Index, and Huazheng Index), which impacts the performance of their respective growth indices [9][12]. Performance Analysis - The highest annualized return among growth indices is 22.46% for the Growth Trend 100 index, while the worst-performing index has an annualized return of -9.16% [9][34]. - The article categorizes growth indices into four main types: broad-based + growth, pure SmartBeta growth, composite SmartBeta growth, and industry-themed + growth [9][12]. Index Effectiveness - The article identifies that the Sci-Tech Innovation Board and the ChiNext Board are suitable for using growth-enhanced strategies, showing higher average gains during favorable periods and lower losses during downturns [27][28]. - Small-cap indices combined with growth factors demonstrate a high cost-performance ratio, with annualized excess returns of 2.63% during favorable periods compared to -2.12% during unfavorable periods [27][28]. Long-term Performance - The standard growth index has shown superior long-term performance, making it a primary choice for adding growth factors in large-cap indices, with an annualized excess return of 6.77% since 2019 [27][28]. - In the mid-cap space, the 500 Trend Growth Index has outperformed, with an annualized excess return of 12.91% since 2017 [27][28]. Notable Growth Indices - Some growth indices that have performed well over both short and long terms include Dongzheng Advantage Growth (18.25% annualized return over ten years) and A-share Growth Pioneer 50 (21.67% annualized return over ten years) [34][35]. - The article suggests that indices utilizing consistent expectations can balance performance across different time frames, indicating their long-term allocation value [34][35]. Classification of Growth Indices - The article employs cluster analysis to categorize growth indices into seven types, including micro-cap growth, small-cap growth, high elasticity growth, large-cap growth, industry growth, value growth, and stable growth [3][36]. - It highlights the low correlation among different growth sub-strategy indices, suggesting the potential for constructing multi-strategy portfolios to enhance returns [3][36].

——SmartBeta 策略研究系列 证 券 研 究 报 告 | 证券分析师：白皓天 | | A0230525070001 | | | --- | --- | --- | --- | | 蒋辛 | | A0230521080002 | | | 邓虎 | | A0230520070003 | | | 联系人： | 白皓天 | A0230525070001 | baiht@swsresearch.com | | 2026.3.17 | | | | 成长风格指数：策略差异解构与配置价值 投资要点 www.swsresearch.com 证券研究报告 2 ◼ 不同成长指数的业绩差异：近五年的年化收益差距可达31.62%。三家指数公司（中证指数、国证指数、华证指数）旗下已经发布121只成 长指数，年化收益率最高的成长指数是成长趋势100，年化收益高达22.46%，表现最差的成长指数的年化收益为-9.16%。 ◼ 三家指数公司对成长因子的核心定义差距。中证旗下指数：成长核心依靠营收增速&净利润增速刻画，并积极运用回归与其他因子丰富成长 内涵；国证旗下指数：成长核心同样依靠营收增速&净利润增速&ROE（非增速）刻画；华证旗 ...