A股市场快照：宽基指数每日投资动态-2025-03-16

Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model 1: Risk Premium Model - Model Name: Risk Premium Model - Model Construction Idea: The model measures the risk premium of various broad-based indices relative to the risk-free rate, using the yield of the 10-year government bond as a reference. - Model Construction Process: - Calculate the risk premium for each index as the difference between the index's return and the 10-year government bond yield. - Observe the mean reversion phenomenon of the risk premium. - Analyze the volatility of the risk premium over time. - Formula: $\text{Risk Premium} = \text{Index Return} - \text{10-year Government Bond Yield}$ - Model Evaluation: The model effectively captures the relative investment value and deviation of the indices from the risk-free rate, showing clear mean reversion characteristics.[14][15][16] Model 2: PE-TTM Model - Model Name: PE-TTM Model - Model Construction Idea: The model uses the Price-to-Earnings ratio based on trailing twelve months (PE-TTM) as a valuation reference to assess the investment value of various indices. - Model Construction Process: - Calculate the PE-TTM for each index. - Compare the current PE-TTM with historical percentiles to determine the valuation level. - Observe the trend and volatility of the PE-TTM over time. - Formula: $\text{PE-TTM} = \frac{\text{Current Price}}{\text{Earnings per Share (TTM)}}$ - Model Evaluation: The model provides a clear indication of the valuation level of the indices, helping to identify overvalued or undervalued conditions.[20][21][22] Model Backtesting Results Risk Premium Model - Current Risk Premium: - Shanghai 50: -0.17% - CSI 300: -0.41% - CSI 500: -0.78% - CSI 1000: -1.53% - CSI 2000: -1.85% - CSI All Share: -0.89% - ChiNext: -1.16% - 1-Year Percentile: - Shanghai 50: 43.25% - CSI 300: 34.92% - CSI 500: 27.78% - CSI 1000: 15.48% - CSI 2000: 13.89% - CSI All Share: 19.44% - ChiNext: 24.21% - 5-Year Percentile: - Shanghai 50: 44.37% - CSI 300: 35.08% - CSI 500: 22.70% - CSI 1000: 12.94% - CSI 2000: 9.76% - CSI All Share: 18.33% - ChiNext: 21.75%[16] PE-TTM Model - Current PE-TTM: - Shanghai 50: 10.86 - CSI 300: 12.60 - CSI 500: 28.92 - CSI 1000: 39.13 - CSI 2000: 96.99 - CSI All Share: 18.46 - ChiNext: 33.18 - 1-Year Historical Percentile: - Shanghai 50: 76.45% - CSI 300: 69.83% - CSI 500: 96.28% - CSI 1000: 79.34% - CSI 2000: 97.93% - CSI All Share: 86.78% - ChiNext: 68.60% - 5-Year Historical Percentile: - Shanghai 50: 64.96% - CSI 300: 58.43% - CSI 500: 86.28% - CSI 1000: 73.39% - CSI 2000: 51.82% - CSI All Share: 74.38% - ChiNext: 30.99%[22]