A股市场快照：宽基指数每日投资动态-20251028

The provided content does not include any quantitative models or factors, nor does it detail their construction, evaluation, or backtesting results. The report primarily focuses on market performance, index comparisons, risk premiums, PE-TTM, dividend yields, and other market metrics. Below is a summary of the key points extracted from the content: - Market Performance - All broad-based indices showed positive performance on October 27, 2025, with the ChiNext Index (1.98%) and CSI 500 (1.67%) leading the gains[1][11][12] - Year-to-date, the ChiNext Index had the highest growth (51.03%), followed by CSI 2000 (32.17%) and CSI 500 (28.88%)[11][12] - Consecutive positive days: CSI 500 and ChiNext Index (3 days), SSE 50, CSI 300, CSI 1000, and CSI All Share (5 days), CSI 2000 (6 days)[11][12] - Index and Moving Averages Comparison - All indices were above their 5-day, 10-day, and 20-day moving averages as of October 27, 2025[14][15] - SSE 50 and CSI 300 broke their 250-day high levels[14][15] - Trading Volume and Turnover Rate - CSI 300 had the highest trading volume share (29.29%), followed by CSI 500 (20.54%) and CSI 2000 (20.09%)[17] - Turnover rates: CSI 2000 (3.85), ChiNext Index (2.99), CSI 1000 (2.73), CSI 500 (2.05), CSI All Share (1.89), CSI 300 (0.8), SSE 50 (0.41)[17] - Daily Return Distribution - ChiNext Index exhibited the largest negative kurtosis, while CSI 300 had the smallest negative kurtosis[23] - ChiNext Index showed the largest negative skewness, while CSI 300 had the smallest negative skewness[23] - Changes in kurtosis and skewness over the past 5 years are detailed in Table 3[24] - Risk Premium - Risk premiums were calculated relative to the 10-year government bond yield[26] - Current risk premiums: ChiNext Index (1.98%), CSI 500 (1.66%), CSI 300 (1.18%), SSE 50 (0.77%)[30] - 5-year percentile rank of risk premiums: CSI 500 (92.94%), ChiNext Index (88.73%), CSI 1000 (79.37%), CSI 2000 (74.92%)[28][30] - PE-TTM (Price-to-Earnings Ratio) - Current PE-TTM values: SSE 50 (12.38), CSI 300 (14.70), CSI 500 (34.66), CSI 1000 (47.82), CSI 2000 (160.45), CSI All Share (22.00), ChiNext Index (44.62)[39][40] - 5-year percentile ranks: CSI All Share (99.42%), CSI 500 (99.26%), CSI 2000 (85.79%), ChiNext Index (61.16%)[39][40] - Dividend Yield - Current dividend yields: SSE 50 (3.18%), CSI 300 (2.60%), CSI 500 (1.32%), CSI 1000 (1.10%), CSI 2000 (0.77%), CSI All Share (1.95%), ChiNext Index (0.96%)[49] - 5-year percentile ranks: ChiNext Index (64.79%), CSI 1000 (38.76%), CSI 2000 (16.12%), CSI 500 (13.72%)[49][50] - Price-to-Book Ratio (P/B) - Current P/B ratios: SSE 50 (22.0%), CSI 300 (16.33%), CSI 500 (10.8%), CSI 1000 (7.4%), CSI 2000 (3.0%), ChiNext Index (1.0%), CSI All Share (5.83%)[51] This report does not include any quantitative models or factors, so no further analysis on model construction, evaluation, or backtesting results is provided.