The proportion of private enterprises in the sample is 73.5%, and the CSI 2000 index is based on the real economy index
On August 10th, CSI Index Limited announced that the CSI 2000 Index will be released on August 11th.
The CSI 2000 Index selects 2000 securities with relatively small market capitalization and good liquidity from the Shanghai and Shenzhen markets as index samples, aiming to reflect the overall performance of micro cap stocks in the Shanghai and Shenzhen markets. The CSI 2000 Index complements the CSI 300, CSI 500, and CSI 1000 Index, which are positioned to reflect the large, medium, and small cap markets. Together, they form the CSI Scale Index series, reflecting the overall performance of securities of listed companies with different market capitalization sizes in the Shanghai and Shenzhen markets.
At present, the CSI 2000 Index mainly covers micro cap securities with a total market value of around 85% -95% in the Shanghai and Shenzhen markets. As of the end of July 2023, the total market value of the 2000 samples in the index is about 9.32 trillion yuan, accounting for 10.05% of the market value of the Shanghai and Shenzhen A-shares. Among them, the average market value of the index is only 4.662 billion, with a median market value of 4.198 billion. 1963 samples have a market value below 10 billion, and 1315 samples have a market value below 5 billion. This reflects the overall performance of small and micro market value companies in the Shanghai and Shenzhen markets, and is expected to help the development of small and medium-sized enterprises through index products.
The index covers a wide range of industries and is concentrated in industrial fields such as general machinery, specialized machinery, automotive components, power grid equipment, chemical products, and construction and engineering. At the same time, the index focuses on the private real economy, with 1469 private enterprises in the index sample, accounting for 73.5%.
From the base date until the end of the first half of 2023, the annualized return of the CSI 2000 Index is about 10.35%, with an annualized volatility of about 27.31% and a Sharpe ratio of 0.38, demonstrating higher growth potential and risk premium for micro cap stocks.
The scale index, as the most indispensable component of the index system, plays an important role in characterizing market performance and guiding fund allocation, and is an important lever for the development of index based investment. The release of the CSI 2000 Index further enriches the hierarchy of the scale index system, enabling the scale index to more fully reflect the overall performance of securities of listed companies with different market capitalization sizes in the domestic capital market.