A股市场快照：宽基指数每日投资动态-2025-03-31

Quantitative Models and Construction Methods Model Name: Risk Premium Model - Construction Idea: The model uses the yield of 10-year government bonds as a risk-free rate reference to observe the risk premium of various broad-based indices, measuring their relative investment value and deviation[21] - Construction Process: - Calculate the risk premium as the difference between the index yield and the risk-free rate - Observe the mean reversion phenomenon of the risk premium for each index - Analyze the volatility of the risk premium over time - Formula: $\text{Risk Premium} = \text{Index Yield} - \text{Risk-Free Rate}$ - Parameters: Index Yield represents the yield of the broad-based index, and Risk-Free Rate represents the yield of the 10-year government bond[21][22][23] - Evaluation: The model shows significant mean reversion, with the risk premium of indices like CSI 1000 and CSI 2000 exhibiting higher volatility[22] Model Name: PE-TTM Model - Construction Idea: The model uses the PE-TTM (Price-to-Earnings ratio based on trailing twelve months) as a valuation reference to measure the investment value of various indices at the current point in time[26] - Construction Process: - Calculate the PE-TTM for each index - Compare the current PE-TTM with historical percentiles and values - Observe the trend and volatility of PE-TTM over time - Formula: $\text{PE-TTM} = \frac{\text{Current Price}}{\text{Earnings per Share (TTM)}}$ - Parameters: Current Price represents the current market price of the index, and Earnings per Share (TTM) represents the earnings per share over the trailing twelve months[26][28][31] - Evaluation: The model indicates that indices like CSI 500 and CSI 1000 have higher PE-TTM percentiles, suggesting higher valuation levels[31] Model Backtest Results Risk Premium Model - Current Risk Premium: - SSE 50: -0.42%[24] - CSI 300: -0.45%[24] - CSI 500: -0.71%[24] - CSI 1000: -0.96%[24] - CSI 2000: -1.52%[24] - CSI All Share: -0.78%[24] - ChiNext Index: -0.79%[24] - 1-Year Percentile: - SSE 50: 30.56%[24] - CSI 300: 31.35%[24] - CSI 500: 29.37%[24] - CSI 1000: 25.00%[24] - CSI 2000: 19.05%[24] - CSI All Share: 23.02%[24] - ChiNext Index: 30.56%[24] - 5-Year Percentile: - SSE 50: 33.81%[24] - CSI 300: 33.25%[24] - CSI 500: 24.68%[24] - CSI 1000: 21.43%[24] - CSI 2000: 13.81%[24] - CSI All Share: 20.87%[24] - ChiNext Index: 30.48%[24] PE-TTM Model - Current PE-TTM: - SSE 50: 10.72[32] - CSI 300: 12.44[32] - CSI 500: 28.55[32] - CSI 1000: 38.40[32] - CSI 2000: 95.05[32] - CSI All Share: 18.07[32] - ChiNext Index: 32.22[32] - 1-Year Percentile: - SSE 50: 61.57%[32] - CSI 300: 54.55%[32] - CSI 500: 88.02%[32] - CSI 1000: 69.42%[32] - CSI 2000: 92.56%[32] - CSI All Share: 69.83%[32] - ChiNext Index: 58.68%[32] - 5-Year Percentile: - SSE 50: 59.34%[32] - CSI 300: 53.72%[32] - CSI 500: 83.55%[32] - CSI 1000: 69.09%[32] - CSI 2000: 51.49%[32] - CSI All Share: 67.69%[32] - ChiNext Index: 27.02%[32]