<P><FONT size=3><FONT face=宋体> </FONT><STRONG><SPAN style="FONT-FAMILY: 宋体; mso-bidi-font-family: 宋体">沪深<SPAN lang=EN-US>300</SPAN>指数</SPAN></STRONG></FONT></P>
<P><FONT face=宋体 size=3> 沪深<SPAN lang=EN-US>300</SPAN>指数于<SPAN lang=EN-US>2005</SPAN>年<SPAN lang=EN-US>4</SPAN>月<SPAN lang=EN-US>8</SPAN>日正式发布<SPAN lang=EN-US>,</SPAN>是沪深交易所联合发布的第一只跨市场指数。<SPAN lang=EN-US>2005</SPAN>年<SPAN lang=EN-US>9</SPAN>月中证指数公司成立后<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数移交中证指 数公司进行管理运行。沪深<SPAN lang=EN-US>300</SPAN>指数由沪深<SPAN lang=EN-US>A</SPAN>股中规模大、流动性好、最具代表性的<SPAN lang=EN-US>300</SPAN>只股票组成<SPAN lang=EN-US>,</SPAN>以综合反映沪深<SPAN lang=EN-US>A</SPAN>股市场整体表现。沪深<SPAN lang=EN-US>300</SPAN>指数是内地首只股指期货的标的指数<SPAN lang=EN-US>,</SPAN>被境内外多家机构开发为指数基金和<SPAN lang=EN-US>ETF</SPAN>产品<SPAN lang=EN-US>,</SPAN>跟踪资产在<SPAN lang=EN-US>A</SPAN>股股票指数中高居首位。</FONT></P>
<P><FONT size=3><FONT face=宋体> </FONT><STRONG><SPAN style="FONT-FAMILY: 宋体; mso-bidi-font-family: 宋体">沪深<SPAN lang=EN-US>300</SPAN>指数的可投资性</SPAN></STRONG></FONT></P>
<P><FONT face=宋体 size=3> 在确定沪深<SPAN lang=EN-US>300</SPAN>指数样本空间时<SPAN lang=EN-US>,</SPAN>剔除了<SPAN lang=EN-US>ST</SPAN>、<SPAN lang=EN-US>*ST</SPAN>股票<SPAN lang=EN-US>,</SPAN>股价波动异常或被市场操纵、有重大违法违规的股票<SPAN lang=EN-US>,</SPAN>较高程度地保证了样本公司的质量。在选样 时<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数选择成交金额位于前<SPAN lang=EN-US>50</SPAN>％的上市公司中总市值排名前<SPAN lang=EN-US>300</SPAN>名的股票组成样本股。因此沪深<SPAN lang=EN-US>300</SPAN>指数的样本股代表了沪深两市<SPAN lang=EN-US>A</SPAN>股市场的核 心优质资产<SPAN lang=EN-US>,</SPAN>成长性强<SPAN lang=EN-US>,</SPAN>估值水平低<SPAN lang=EN-US>,</SPAN>其在整体经营业绩和估值水平方面对投资者具有很强的吸引力。</FONT></P>
<P><FONT face=宋体 size=3> 沪深<SPAN lang=EN-US>300</SPAN>指数以自由流通股本分级靠档 后的调整股本作为权重。分级靠档技术的采用确保样本公司的股本发生微小变动时用于指数计算的股本数相对稳定<SPAN lang=EN-US>,</SPAN>以有效降低股本频繁变动带来的跟踪成本。以调 整后的自由流通股本而非全部股本为权重<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数更能真实反映市场中实际可供交易股份的股价变动情况<SPAN lang=EN-US>,</SPAN>从而有效避免通过操纵大盘股来操纵指数的情况发生。</FONT></P>
<P><FONT face=宋体 size=3> 为提高指数的代表性和可投资性<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数还启用大市值股票快速进入指数规则。该规则自<SPAN lang=EN-US>2006</SPAN>年<SPAN lang=EN-US>7</SPAN>月启动至今<SPAN lang=EN-US>,</SPAN>先后有中国银行、大秦铁路、工商银行、中国人寿、兴业银行、中国平安、交通银行、中信银行和中国神华、中国石油等上市公司符合大市值<SPAN lang=EN-US>IPO</SPAN>快速进入指数规则的条件<SPAN lang=EN-US>, </SPAN>在上市第<SPAN lang=EN-US>10</SPAN>个交易日结束后成为沪深<SPAN lang=EN-US>300</SPAN>指数样本股。</FONT></P>
<P><FONT face=宋体 size=3> 沪深<SPAN lang=EN-US>300</SPAN>指数每半年调整一次<SPAN lang=EN-US>,</SPAN>每次调整的比例不超过<SPAN lang=EN-US>10</SPAN>％<SPAN lang=EN-US>,</SPAN>为确保指数成份股的稳定性<SPAN lang=EN-US>,</SPAN>样本调整设置缓冲区。</FONT></P>
<P><FONT face=宋体 size=3> 为增强沪深<SPAN lang=EN-US>300</SPAN>的指数透明性和可预期性<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数还设置<SPAN lang=EN-US>15</SPAN>只备选名单。当成份股因为退市、合并等原因出现样本空缺时<SPAN lang=EN-US>,</SPAN>备选名单上的股票按照排名顺序进入成份股。</FONT></P>
<P><FONT size=3><FONT face=宋体> </FONT><STRONG><SPAN style="FONT-FAMILY: 宋体; mso-bidi-font-family: 宋体">沪深<SPAN lang=EN-US>300</SPAN>指数样本股构成特点</SPAN></STRONG></FONT></P>
<P><FONT face=宋体 size=3> 沪深<SPAN lang=EN-US>300</SPAN>指数样本股规模大、市值分布均衡。以<SPAN lang=EN-US>2009</SPAN>年<SPAN lang=EN-US>7</SPAN>月<SPAN lang=EN-US>1</SPAN>日为例<SPAN lang=EN-US>,</SPAN>有<SPAN lang=EN-US>33</SPAN>家公司总市值超过<SPAN lang=EN-US>1000</SPAN>亿元<SPAN lang=EN-US>,</SPAN>总市值超过<SPAN lang=EN-US>100</SPAN>亿元的公司有<SPAN lang=EN-US>225</SPAN>只<SPAN lang=EN-US>, </SPAN>样本股平均总市值<SPAN lang=EN-US>530</SPAN>亿元。第一权重股招商银行<SPAN lang=EN-US>,</SPAN>自由流通市值<SPAN lang=EN-US>1942</SPAN>亿元<SPAN lang=EN-US>,</SPAN>权重为<SPAN lang=EN-US>3.86%,</SPAN>前<SPAN lang=EN-US>10</SPAN>大权重股的累计权重为<SPAN lang=EN-US>27.51%,</SPAN>前<SPAN lang=EN-US>20</SPAN>大权重股的累计权重为<SPAN lang=EN-US>39.6%,</SPAN>样本股权重分布较为均衡<SPAN lang=EN-US>,</SPAN>抗操纵能力较强。</FONT></P>
<P><FONT face=宋体 size=3> 沪深<SPAN lang=EN-US>300</SPAN>指数样本股代表性高、行业分布合理。截至<SPAN lang=EN-US>2009</SPAN>年<SPAN lang=EN-US>7 </SPAN>月<SPAN lang=EN-US>1</SPAN>日<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数的总市值为<SPAN lang=EN-US>15.99</SPAN>万亿元<SPAN lang=EN-US>,</SPAN>占<SPAN lang=EN-US>A</SPAN>股市场总市值的<SPAN lang=EN-US>78.59</SPAN>％<SPAN lang=EN-US>;</SPAN>调整市值为<SPAN lang=EN-US>5.03</SPAN>万亿元<SPAN lang=EN-US>,</SPAN>占<SPAN lang=EN-US>A</SPAN>股市场总调整市值的<SPAN lang=EN-US>68.83%</SPAN>。 截至<SPAN lang=EN-US>2009</SPAN>年<SPAN lang=EN-US>6</SPAN>月底<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数成份股共成交<SPAN lang=EN-US>12.37</SPAN>万亿元<SPAN lang=EN-US>,</SPAN>占沪深<SPAN lang=EN-US>A</SPAN>股成交金额的<SPAN lang=EN-US>53%</SPAN>。按照中证指数公司的行业分类<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数样本股覆 盖了全部<SPAN lang=EN-US>10</SPAN>个一级行业<SPAN lang=EN-US>,</SPAN>样本股行业分布与全市场行业分布较为接近<SPAN lang=EN-US>,</SPAN>行业偏离度仅为<SPAN lang=EN-US>2%</SPAN>。</FONT></P>
<P><FONT face=宋体 size=3> 沪深<SPAN lang=EN-US>300</SPAN>指数样本股为各行业龙头企业、竞争 力强。沪深<SPAN lang=EN-US>300</SPAN>指数的成份股大都是各行业的龙头企业<SPAN lang=EN-US>,</SPAN>这些公司治理结构良好、经营管理能力突出、核心竞争力强、资产规模大、经营业绩好、产品品牌广为人 知<SPAN lang=EN-US>,</SPAN>如中国平安、中信证券、中国石油、中国联通、贵州茅台、中国神华、招商银行、长江电力等。它们均是与国计民生密切相关的支柱型产业<SPAN lang=EN-US>,</SPAN>并且在资源、市场 占有率、国家产业扶持政策等方面享有优势。</FONT></P>
<P><FONT face=宋体 size=3> 沪深<SPAN lang=EN-US>300</SPAN>指数样本股盈利能力强<SPAN lang=EN-US>,</SPAN>成长性高。沪深<SPAN lang=EN-US>300</SPAN>指数样本股<SPAN lang=EN-US>2008</SPAN>年营业收入和净利 润分别为<SPAN lang=EN-US>96251</SPAN>亿元和<SPAN lang=EN-US>8380</SPAN>亿元<SPAN lang=EN-US>,</SPAN>占同期市场营业收入和净利润的<SPAN lang=EN-US>81.01%</SPAN>和<SPAN lang=EN-US>95.72%,</SPAN>高于同期沪深<SPAN lang=EN-US>300</SPAN>指数的市值占比。此外<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300 </SPAN>指数样本公司<SPAN lang=EN-US>2008</SPAN>年营业收入增长率为<SPAN lang=EN-US>19.8%,</SPAN>同期市场营业收入平均增长率为<SPAN lang=EN-US>17.2%,</SPAN>表现出较强的成长特征。</FONT></P>
<P><FONT face=宋体 size=3> 沪深<SPAN lang=EN-US>300</SPAN>指数 样本股积极回馈投资者<SPAN lang=EN-US>,</SPAN>股息率高。作为市场中优质蓝筹的典范<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数的成份股积极回馈投资者<SPAN lang=EN-US>,</SPAN>其分红派息总额和市场占比逐年增加。<SPAN lang=EN-US>2005</SPAN>年沪深<SPAN lang=EN-US> 300</SPAN>指数成份股的分红总额为<SPAN lang=EN-US>630.64</SPAN>亿元<SPAN lang=EN-US>,</SPAN>占全市场分红总额的<SPAN lang=EN-US>82.11%,2008</SPAN>年沪深<SPAN lang=EN-US>300</SPAN>指数成份股分红总额增至<SPAN lang=EN-US>3105.35</SPAN>亿元<SPAN lang=EN-US>,</SPAN>占沪 深<SPAN lang=EN-US>A</SPAN>股分红总额的<SPAN lang=EN-US>92.42%,</SPAN>远远高于同期沪深<SPAN lang=EN-US>300</SPAN>指数的市值占比。</FONT></P>
<P><FONT face=宋体 size=3> 沪深<SPAN lang=EN-US>300</SPAN>指数样本股估值水平低、投资价值较高。<SPAN lang=EN-US>2009</SPAN>年<SPAN lang=EN-US>7 </SPAN>月<SPAN lang=EN-US>1</SPAN>日沪深<SPAN lang=EN-US>300</SPAN>指数样本股加权市盈率为<SPAN lang=EN-US>26.44</SPAN>倍<SPAN lang=EN-US>,</SPAN>低于市场同期<SPAN lang=EN-US>30.45</SPAN>倍的平均水平<SPAN lang=EN-US>,</SPAN>市净率为<SPAN lang=EN-US>3.27</SPAN>倍<SPAN lang=EN-US>,</SPAN>也低于同期市场<SPAN lang=EN-US>3.37</SPAN>倍的平均水平。 从市盈率和市净率等常见估值指标的比较来看<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数样本股的估值水平低于市场平均水平<SPAN lang=EN-US>,</SPAN>估值优势明显<SPAN lang=EN-US>,</SPAN>具备较高的投资价值和较高的投资安全边际。</FONT></P>
<P><FONT face=宋体 size=3> </FONT></P>
<P><FONT size=3><FONT face=宋体> </FONT><STRONG><SPAN style="FONT-FAMILY: 宋体; mso-bidi-font-family: 宋体">沪深<SPAN lang=EN-US>300</SPAN>指数的跟踪产品</SPAN></STRONG></FONT></P>
<P><FONT face=宋体 size=3> 因其成份股数量适中、成交活跃、流动性好、规模大<SPAN lang=EN-US>,</SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数一经推出<SPAN lang=EN-US>,</SPAN>立即被众多机构投资者视作指数化投资的理想标的。指数推出仅<SPAN lang=EN-US>4</SPAN>个月后<SPAN lang=EN-US>,</SPAN>首只 以<SPAN lang=EN-US></SPAN>沪深<SPAN lang=EN-US>300</SPAN>指数<SPAN lang=EN-US></SPAN>为投资标的的嘉实沪深<SPAN lang=EN-US>300</SPAN>指数基金就于<SPAN lang=EN-US>2005</SPAN>年<SPAN lang=EN-US>8</SPAN>月正式成立<SPAN lang=EN-US>,2009</SPAN>年<SPAN lang=EN-US>6</SPAN>月底该基金资产规模已达到<SPAN lang=EN-US>313.96</SPAN>亿元<SPAN lang=EN-US>,</SPAN>是国内市场上 净值规模和份额规模最大的基金。<SPAN lang=EN-US>2009</SPAN>年<SPAN lang=EN-US>7</SPAN>月<SPAN lang=EN-US>8</SPAN>日发行结束的华夏沪深<SPAN lang=EN-US>300</SPAN>指数基金以<SPAN lang=EN-US>247</SPAN>亿元成为首发规模最大的指数基金。截至<SPAN lang=EN-US>2009</SPAN>年<SPAN lang=EN-US>7</SPAN>月<SPAN lang=EN-US>,</SPAN>以沪 深<SPAN lang=EN-US>300</SPAN>指数作为投资标的的指数基金<SPAN lang=EN-US>10</SPAN>只<SPAN lang=EN-US>,</SPAN>资产规模<SPAN lang=EN-US>935</SPAN>亿元<SPAN lang=EN-US>,</SPAN>占目前<SPAN lang=EN-US>23</SPAN>只指数基金资产规模的<SPAN lang=EN-US>53.7%</SPAN>。此外<SPAN lang=EN-US>,</SPAN>首只追踪沪深<SPAN lang=EN-US>300</SPAN>指数的<SPAN lang=EN-US>ETF—— </SPAN>标智沪深<SPAN lang=EN-US>300</SPAN>中国指数基金于<SPAN lang=EN-US>2007</SPAN>年<SPAN lang=EN-US>7</SPAN>月<SPAN lang=EN-US>17</SPAN>日在香港联交所主板挂牌交易<SPAN lang=EN-US>,2008</SPAN>年<SPAN lang=EN-US>4</SPAN>月<SPAN lang=EN-US>11</SPAN>日<SPAN lang=EN-US>,</SPAN>日兴熊猫沪深<SPAN lang=EN-US>300</SPAN>中国指数基金于东京交易所上市交 易。<SPAN lang=EN-US>2009</SPAN>年中国内地证券市场共发行<SPAN lang=EN-US>33</SPAN>只股票型基金<SPAN lang=EN-US>,</SPAN>其中<SPAN lang=EN-US>26</SPAN>只基金选用沪深<SPAN lang=EN-US>300</SPAN>指数作为业绩基准。沪深<SPAN lang=EN-US>300</SPAN>指数已成为中国内地证券市场中跟踪资 产最多、使用广泛度最高的指数。</FONT></P>
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