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A股市场快照：宽基指数每日投资动态-20251121
Jianghai Securities·2025-11-21 08:06
  • 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 net asset ratios[1][3][4] - The analysis includes a detailed comparison of indices against their moving averages (5-day, 10-day, 20-day, 60-day, 120-day, and 250-day), as well as their positions relative to the highest and lowest points over the past 250 trading days. For example, the ChiNext Index has retraced 8.5% from its 250-day high[15][16] - Turnover rates and trading volume proportions are calculated for each index. For instance, the CSI 2000 has the highest turnover rate at 4.0%, while the CSI 500 has a turnover rate of 1.4%[18] - The report evaluates the distribution of daily returns for each index, highlighting kurtosis and skewness. The ChiNext Index exhibits the largest negative kurtosis deviation, while the CSI 1000 shows the smallest. Similarly, the ChiNext Index and SSE 50 have the largest negative skewness, while the CSI 2000 has the smallest[24][25] - Risk premiums are calculated using the yield of 10-year government bonds as the risk-free rate. The report notes significant mean reversion in risk premiums, with indices like the CSI 1000 and CSI 2000 showing higher volatility. For example, the current risk premium for the SSE 50 is -0.41%, with a 5-year percentile rank of 33.41%[27][31][34] - The PE-TTM ratios of indices are analyzed as valuation metrics. The CSI 1000 and CSI 500 have the highest 5-year percentile ranks at 95.54% and 95.29%, respectively, while the ChiNext Index has the lowest at 54.3%[39][42][43] - Dividend yields are tracked as a measure of cash return. The ChiNext Index has the highest 5-year historical percentile rank at 71.57%, while the CSI 500 has the lowest at 17.6%[52][53] - The report also examines the net asset ratios of indices, noting that the SSE 50 has the highest percentage of stocks trading below net asset value at 18.0%, while the ChiNext Index has the lowest at 1.0%[54]