银河金工指数分析系列研究：市场基准分析：主要主题指数

• The report analyzes various thematic indices, including AI, Internet, Mainland Consumption, and Mainland Low Carbon, which are constructed by selecting top 50 stocks in terms of market cap and liquidity within each theme, and are adjusted semi-annually[1][4][5] - The indices are market-cap weighted and focus on specific sectors, such as AI and Internet indices focusing on technology-related fields, Mainland Consumption covering consumer themes, and Mainland Low Carbon emphasizing low-carbon economy-related businesses[1][4][5] - The indices show concentrated industry distribution, with Mainland Low Carbon heavily weighted in the electric power equipment sector, and the Internet index concentrated in communication and computer industries[6][7][8] - The indices exhibit high concentration in terms of weight, with the top 10 stocks accounting for a significant portion of the index weight, and a high proportion of private ownership among the top indices[11][13][14] - The indices tend to include large-cap stocks, with a significant portion of the index constituents having a market cap over 100 billion[14][19][20] - The AI and Internet indices have higher PB/PE ratios, reflecting market pricing for high growth, while Mainland Consumption and Mainland Low Carbon have lower valuations, indicating a thicker valuation cushion[21][22][23] - The indices have shown strong performance, with AI, Internet, and Mainland Low Carbon indices outperforming in recent years, driven by policy and technology cycles[24][27][28] - The indices' dividend rates have been increasing annually, with Mainland Consumption showing the most significant growth, and Mainland Consumption and Mainland Low Carbon having higher dividend yields compared to AI and Internet[38][39][40] - AI and Internet indices demonstrate stronger profitability with higher revenue and net profit growth rates, while Mainland Consumption has a higher ROE[40][42][43] Index Performance Metrics - CS Artificial Intelligence Index: Annualized return: 12.5%, Annualized volatility: 18.3%, Sharpe ratio: 0.68, Maximum drawdown: -25.4%[27][28][36] - Internet Index: Annualized return: 11.8%, Annualized volatility: 17.9%, Sharpe ratio: 0.65, Maximum drawdown: -24.7%[27][28][36] - Mainland Consumption Index: Annualized return: 9.2%, Annualized volatility: 15.4%, Sharpe ratio: 0.60, Maximum drawdown: -22.1%[27][28][36] - Mainland Low Carbon Index: Annualized return: 10.3%, Annualized volatility: 16.7%, Sharpe ratio: 0.63, Maximum drawdown: -23.5%[27][28][36]