GF SECURITIES(SZ:000776) 广发金融工程研究·2025-12-21 07:27Market Performance - The Sci-Tech 50 Index decreased by 2.99% over the last five trading days, while the ChiNext Index fell by 2.26%. In contrast, the large-cap value stocks rose by 1.52%, and large-cap growth stocks declined by 1.39%. The Shanghai Stock Exchange 50 Index increased by 0.32%, and the small-cap index represented by the CSI 2000 dropped by 0.37%. The retail and non-bank financial sectors performed well, while electronics and power equipment lagged behind [1]. Risk Premium and Valuation Levels - As of December 19, 2025, the static PE of the CSI All Share Index indicates a risk premium of 2.79%, calculated as the inverse of the PE minus the yield of ten-year government bonds. The two-standard deviation boundary is at 4.71%. The valuation levels show that the CSI All Share Index's PE TTM is at the 80th percentile, with the Shanghai 50 and CSI 300 at 74% and 73%, respectively. The ChiNext Index is close to 55%, while the CSI 500 and CSI 1000 are at 59% and 60%, respectively, indicating that the ChiNext Index's valuation is relatively at the historical median level [1]. ETF Fund Flows - In the last five trading days, ETF inflows amounted to 72.1 billion yuan, while the financing balance decreased by approximately 7.6 billion yuan. The average daily trading volume across the two markets was 1.738 trillion yuan [2]. Convolutional Neural Network Observations - The analysis utilized convolutional neural networks to model charted price and volume data, mapping learned features to industry themes. The latest thematic allocations include non-bank financials, satellite communications, and chemicals, specifically focusing on the CSI 300 Non-Bank Financial Index, the CSI Commercial Satellite Communication Industry Index, and the CSI Sub-Segmented Chemical Industry Theme Index [2][11]. Index Information - The report includes specific index codes and names, such as the CSI 300 Non-Bank Financial Index, the CSI Commercial Satellite Communication Industry Index, and the CSI Sub-Segmented Chemical Industry Theme Index, among others [3][12]. Market Sentiment and Risk Preference - The report tracks the proportion of market sentiment above the 200-day long-term moving average and monitors the risk preferences between equity and bond assets [14]. Financing Balance - The financing balance data is provided, indicating trends in market leverage and investor sentiment [16]. Individual Stock Performance - Statistics on individual stock performance year-to-date based on return ranges are included, providing insights into market dynamics [18]. Oversold Indices - The report notes instances of oversold conditions in certain indices, which may indicate potential buying opportunities [20].