Market value weighting is the most common weighting method of A-share index, that is, the proportion of the market value of sample stocks to the total market value of the index is used as the weight. The greater the market value of sample stocks, the greater the weight in the index. Common ones are SSE 50, CSI 300 and CSI 500.

Two concepts are added: equal weight index and style factor weighting.

Equal weight index

Equal weight index Every sample stock has the same weight. The option index is equivalent to buying every sample stock in the index on average. In practice, the index does not keep the weight of sample stocks unchanged every day, but only adjusts the weight regularly. This is equivalent to doing "high throwing and low sucking" on a regular basis, and at the same time avoiding the problem that some indicators are too concentrated. Such as CSI pension and CSI environmental protection.

Style factor weight

In stock research, some excess returns are attributed to style factors, such as value factors, growth factors and trend factors. In order to make the index enjoy excess returns, some indexes add style factors to the compilation scheme. For example, CSI Red uses dividend yield as the basis of weight distribution, hoping to obtain the excess return of stocks with high dividend yield; The low volatility of CSI 500 is weighted by the reciprocal of volatility, hoping to obtain the excess return of low volatility stocks.