A股市场快照：宽基指数每日投资动态-20250919

• The report primarily focuses on tracking and analyzing the performance of broad-based indices in the A-share market, including metrics such as daily returns, moving averages, turnover rates, and valuation indicators like PE-TTM and dividend yield[1][2][3] - The turnover rate calculation is based on the formula: $ \text{Turnover Rate} = \frac{\Sigma(\text{Floating Shares of Constituents} \times \text{Turnover Rate of Constituents})}{\Sigma(\text{Floating Shares of Constituents})} $ This metric is used to evaluate the liquidity of the indices, with the highest turnover rate observed in the CSI 2000 (5.85) and the lowest in the SSE 50 (0.44)[17][18] - The daily return distribution analysis highlights the kurtosis and skewness of the indices. For instance, the ChiNext Index exhibits the highest positive kurtosis and skewness, indicating a concentration of returns and a higher likelihood of extreme positive returns, while the CSI 2000 shows the lowest values in these metrics[24][25] - Risk premium analysis uses the 10-year government bond yield as the risk-free rate. The CSI 500 and CSI 1000 indices show relatively high 5-year percentile values for risk premium (20.48% and 19.68%, respectively), suggesting higher relative investment attractiveness compared to indices like the SSE 50 (7.86%)[27][29][31] - PE-TTM analysis reveals that the CSI 500 and CSI All Share indices have the highest 5-year percentile values (99.92% and 96.78%, respectively), indicating elevated valuation levels. Conversely, the ChiNext Index has a lower 5-year percentile value (59.5%), suggesting relatively moderate valuation[39][43][44] - Dividend yield analysis shows that the ChiNext Index (65.79%) and CSI 1000 (41.16%) are at higher 5-year historical percentile levels, reflecting their attractiveness in terms of cash return. In contrast, the CSI 500 (14.63%) and CSI 2000 (11.4%) are at lower historical levels, indicating less emphasis on dividend payouts[48][52][53]