银河金工指数分析系列：市场基准分析：主要单市场指数

• The report focuses on the analysis of single-market indices, including comprehensive indices (e.g., Shanghai Composite Index, Shenzhen Composite Index) and component indices (e.g., SSE 50, ChiNext Index), highlighting their construction principles, industry distribution, and performance characteristics [1][3][50] - Comprehensive indices aim to cover the entire market or a specific segment without subjective selection, reflecting the overall market performance through total market capitalization weighting [3][4][10] - Component indices, such as SSE 50 and ChiNext Index, are constructed by selecting representative stocks based on criteria like market capitalization, liquidity, and industry position, aiming to efficiently reflect the performance of specific stock groups [50][51][52] - Comprehensive indices exhibit "broad coverage, low concentration" characteristics, with diluted individual stock weights due to the large number of constituents, while component indices show "high concentration" in both industry and stock weights, reflecting their focus on large-cap stocks [10][57][62] - The industry distribution of comprehensive indices is relatively balanced, with traditional large-cap sectors like banking having weight advantages, whereas component indices are more concentrated in specific industries, such as technology for ChiNext and banking for SSE 50 [5][53][57] - Market valuation analysis reveals that technology-focused indices (e.g., ChiNext, STAR 50) have higher PE and PB ratios compared to market-wide indices, indicating different pricing logic for growth-oriented sectors [21][65][69] - Performance analysis shows that technology-oriented indices outperformed in 2025 due to structural market trends, but their risk-adjusted returns (e.g., Sharpe ratio) are comparable to market-wide indices due to higher volatility [23][71][83] - Dividend analysis indicates that market-wide indices (e.g., Shanghai Composite, Shenzhen Composite) have higher dividend yields compared to technology-focused indices, reflecting their composition of more mature, dividend-paying companies [41][80][87] - Profitability metrics, such as ROE and net profit growth, show that technology-focused indices generally have higher growth potential but exhibit greater volatility, while market-wide indices demonstrate more stable returns [43][89][93]