STAR Market Investment Manual - Index Investment Section
(1) STAR Market Index System
The STAR Market includes various types of indices such as broad-based, style, thematic, sub-industry, and cross-market indices. For example, the broad-based index STAR 50 focuses on leading companies by market capitalization in the STAR Market, while indices like STAR AI and STAR Chips focus on specific industries. The STAR Semiconductor Materials and Equipment Index even focuses on specific links in the industrial chain.
As of August 31, the ETF scale of STAR 50, STAR 100, STAR Entrepreneur 50, STAR Composite Index, STAR AI, and STAR Chips is significantly higher than that of other indices, with the STAR 50 ETF accounting for about 40%. Most industry-specific indices have relatively small ETF product scales due to their focus on niche areas.
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(2) Review and Comparison of STAR Market Indices
First, from the review of the mainstream indices in the STAR Market, according to Wind, after September 24, the market significantly warmed up, with all major STAR Market indices rising sharply. Among them, the STAR Chips Index performed particularly well, with a year-to-date increase of 47.64% as of August 31, becoming the leading index, reflecting the AI industry cycle drive.
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The STAR 50 Index, as the benchmark broad-based index of the STAR Market, achieved a breakthrough upward, with the core condition being the further improvement in the prosperity of the weighted industries (new generation information technology industry, biotechnology).
According to Wind, on one hand, the expected return of the STAR 50 Index is more easily influenced by the prosperity of the weighted industries, with the market capitalization of the new generation information technology industry in the STAR 50 exceeding 70% by the end of August. On the other hand, the U-shaped performance of the STAR Chips and STAR New Energy relative indices reflects the cyclical changes in industry prosperity from the new energy track to the AI track.
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Second, from the horizontal comparison of the STAR Market indices, the following risk-return characteristics are presented: (1) Technology industry indices generally have a higher Sharpe ratio but exhibit greater overall volatility. (2) Broad-based indices have lower overall volatility but a lower Sharpe ratio compared to technology industry indices. (3) The Smart Innovation Value Index has an annualized Sharpe ratio of 0.51, showing good returns with relatively low volatility.
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It is important to note that the industry concentration of the main indices of the STAR Market is high, and the returns are highly correlated with the prosperity of the weighted industries. For example, the STAR Chip index is more susceptible to the prosperity of the computing power industry, the STAR 100 is more influenced by the prosperity of the innovative drug industry, and the STAR 50 is more affected by the prosperity of the photovoltaic industry.
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(3) Investment Characteristics of Mainstream Indices of the STAR Market
We conducted a representative analysis and comparison of the larger ETFs: STAR 50, STAR 100, STAR 200, STAR Composite Index, and STAR Chip Index—
1. STAR 50 Investment Characteristics: High Liquidity Weight
The STAR 50 covers 50 stocks with good liquidity and large market capitalization on the STAR Market, making it an important component of the market's liquidity. The trading volume of the STAR 50 accounts for approximately 20%-40% of the total trading volume of the STAR Market, aggregating the main liquidity of the STAR Market.
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2. STAR 100 Investment Characteristics: High Weight of Pharmaceuticals
From the market capitalization distribution of strategic emerging secondary industries, the weight of the biopharmaceutical industry in the STAR 100 is significantly higher than that in the STAR 50.
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3. STAR 200 Investment Characteristics: Significant Micro-cap Stock Characteristics, Low Industry Concentration
The median market capitalization of the constituent stocks of the STAR 200 is between the CSI 1000 and CSI 2000, with its constituent stocks mainly being micro-cap stocks. Additionally, compared to other broad-based indices on the STAR Market, the STAR 200 has low industry concentration. The highest-weighted Shenwan secondary industry only accounts for 21.2%, and the top ten constituent stocks have a weight of 13.1%.
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4. STAR Composite Index Investment Characteristics: Strong Representation, Reflects Growth Style
The STAR Composite Index almost covers all companies on the STAR Market and can represent the overall situation of listed companies on the STAR Market. According to iFinD statistics, as of August 31, there are 589 listed companies on the STAR Market, with the STAR Composite Index covering 571 companies, achieving a market capitalization coverage rate of 96.9%. The STAR Composite Index reflects the growth style of the STAR Market. According to Wind statistics, on one hand, the R&amp;D intensity of the STAR Composite Index in Q1 2025 is far higher than that of other broad-based indices, with R&amp;D expenses accounting for 13% of revenue
On the other hand, from the perspective of PEG, the PEG of the STAR Composite Index is less than 1, while its valuation and net profit CAGR are significantly higher than those of other broad-based indices, reflecting distinct characteristics of high R&amp;D investment and high growth.
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5. Characteristics of Investment in STAR Chips: High Industry Concentration and Strong Correlation with Industry Prosperity
The STAR Chip Index has a high industry concentration, with its constituent stocks only involving three Shenwan secondary industries, and the weight of the semiconductor industry reaching 96.2%. In addition, the performance of STAR Chips is highly correlated with the prosperity of the semiconductor industry. Taking the Philadelphia Semiconductor Index as a representative of the global semiconductor industry's prosperity, the STAR Chips have shown a high correlation with the Philadelphia Semiconductor Index this year.
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Author: Liu Chenming, Source: GF Securities, Original Title: &#34;Investment Manual for the STAR Market,&#34; content has been abridged.
Risk Warning and Disclaimer
The market has risks, and investment requires caution. This article does not constitute personal investment advice and does not take into account the specific investment objectives, financial situation, or needs of individual users. Users should consider whether any opinions, views, or conclusions in this article are suitable for their specific circumstances. Investment based on this is at one's own risk

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The Sci-Tech Innovation Board Investment Handbook introduces the index system of the Sci-Tech Innovation Board, including various types of indices such as broad-based, style-based, and thematic indices. The ETF sizes of indices like STAR 50 and STAR 100 are significantly higher than those of other indices, with STAR 50 ETF accounting for about 40%. The market conditions significantly warmed up after September 24, with the Sci-Tech Chip Index rising by 47.64%. The performance of the STAR 50 Index is influenced by the new generation information technology industry and the biotechnology industry, showing overall lower volatility but a return rate correlated with the prosperity of weighted industries

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