金融工程定期报告

• 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, risk premiums, PE-TTM, dividend yields, and price-to-book ratios [1][3][4] - The daily return distribution of indices is analyzed, showing that the ChiNext Index has the largest negative skewness and kurtosis deviation, while the CSI 300 Index has the smallest negative skewness and kurtosis deviation. This reflects the concentration and extreme return tendencies of these indices [3][22][24] - The risk premium of the indices is calculated relative to the 10-year government bond yield as a risk-free rate. The ChiNext Index (97.46%) and CSI 500 (92.62%) have the highest 5-year percentile values, while the SSE 50 (77.7%) and CSI 2000 (74.92%) have relatively lower values [3][26][30] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) ratios of the indices are evaluated as a valuation metric. The CSI 500 (99.01%) and CSI All Share (98.68%) have the highest 5-year percentile values, while the CSI 2000 (85.29%) and ChiNext Index (60.5%) are relatively lower. The SSE 50 and CSI 300 have reached their 1-year historical peak values [36][40][41] - Dividend yields are tracked as a measure of cash return. The ChiNext Index (66.61%) and CSI 1000 (42.15%) are at relatively high 5-year historical percentiles, while the CSI 2000 (18.43%) and CSI 500 (14.96%) are at lower levels [44][50][51] - The price-to-book ratios and the proportion of stocks trading below their book value are analyzed. The current proportion of stocks trading below book value is highest for the SSE 50 (22.0%) and lowest for the ChiNext Index (1.0%) [52][54]