China 500 Growth-Value Index: GARP Screening and ETF Analysis

Summary

This research summary examines an equal-weighted index drawn from the China Securities Index 500. It combines low valuation with expected earnings improvement, using analyst consensus expectations and a GARP-style approach to select mid-cap growth stocks. The document describes the resulting index as having lower valuation and higher growth characteristics than the parent index, with a relatively balanced sector allocation and a mid- and small-cap bias. It also profiles an ETF launched in March 2020 to track the index, including its size and stated management and custody fees at the end of that month.

The summary reports historical comparisons through March 2020, including annualized returns since the index’s 2009 base date, valuation and dividend-yield measures, and portfolio characteristics. These figures describe a past period and do not establish that the selection factors will persist. The source explicitly warns that factor effectiveness is based on historical data, that market style shifts may weaken it, and that extreme conditions can sharply affect factor performance. The available text is a summary rather than the full research report, so it does not provide enough detail to reproduce the index methodology or independently assess the tests.

Key ideas

• The index selects China 500 constituents combining low valuation with expected net-profit growth and uses equal weighting.
• Its construction reflects a GARP approach and incorporates analyst consensus expectations.
• The summary reports historical outperformance and valuation, dividend, sector, and market-cap characteristics through March 2020.
• A fund launched in March 2020 to track the index, with its scale and fees reported as of that month.
• Historical factor performance may not persist, especially through style changes or extreme markets.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.