证券研究报告·金融工程报告 2025 年 11 月 24 日 江海证券研究发展部 相关研究报告 态 2025.11.21 A 股市场快照：宽基指数每日投资动 态 2025.11.20 A 股市场快照：宽基指数每日投资动 态 2025.11.19 金融工程定期报告 金融工程研究组 A 股市场快照：宽基指数每日投资动态 2025.11.24 ◆市场表现：2025 年 11 月 21 日, 各宽基指数（表 1）全部下跌超过-1%，其中创 分析师：梁俊炜 投资要点： 执业证书编号：S1410524090001 A 股市场快照：宽基指数每日投资动 业板指（-4.02%）和中证 2000（-3.99%）跌幅最大。当年涨跌情况，创业板指（36.35%） 涨幅最大，其次是中证 2000（25.4%）和中证 500（19.07%），中证 1000（18.63%） 和中证全指（17.36%）涨幅缩小，而上证 50（10.1%）涨幅最小。另外，中证 1000 和中证 2000 连续四日连阴，中证 500 和中证全指连续六日连阴。 ◆均线比较：所有跟踪指数已跌穿 60 日均线。中证 2000 距离跌破 120 日均线仅 0.4%。市 ...

- The report provides a snapshot of the daily investment dynamics of broad-based indices in the A-share market, highlighting the performance of indices such as the CSI 1000 (-0.72%) and CSI 2000 (-0.68%), which experienced the largest declines on November 12, 2025 [1][2][11] - The CSI 500, CSI 1000, and ChiNext indices showed consecutive three-day declines, with the ChiNext index achieving the highest annual growth rate of 45.78%, followed by CSI 2000 (33.78%) and CSI 500 (26.5%) [11][14] - The report compares indices against their moving averages and 250-day highs and lows, noting that the SSE 50 index broke above its 5-day moving average, while indices like CSI 1000 and CSI 2000 fell below their respective short-term averages [14] - Turnover rates and trading volume proportions are analyzed, with CSI 2000 showing the highest turnover rate (4.27%) and the CSI 1000 index accounting for 20.49% of trading volume [3][16][17] - Daily return distributions are examined, revealing that the ChiNext index has the largest negative skewness and kurtosis deviation, while CSI 1000 has the smallest negative kurtosis deviation [23] - Risk premium analysis indicates that SSE 50 and CSI 300 have relatively high 5-year percentile values (65.56% and 44.92%, respectively), while CSI 1000 and CSI 500 have lower values (26.35% and 25.32%) [3][25][29] - PE-TTM values are evaluated, showing that CSI 1000 (97.44%) and CSI 500 (96.2%) have high 5-year percentile values, while CSI 2000 (82.98%) and ChiNext (55.79%) are lower [38][39] - Dividend yield analysis highlights that ChiNext (69.01%) and CSI 1000 (36.53%) have high 5-year historical percentile values, while CSI 500 (16.28%) and CSI 2000 (13.97%) are lower [4][50][49] - Current net-breaking rates are reported, with SSE 50 at 20.0%, CSI 300 at 15.33%, and ChiNext at 1.0%, reflecting market valuation attitudes [51]

Core Insights - The Chinese capital market is experiencing high-quality development, with major stock indices showing a steady upward trend and increasing market vitality [1] - Broad-based ETFs are becoming a significant choice for individual investors in asset allocation, accounting for nearly half of the ETF market in Shanghai [1] - Broad-based ETFs effectively mitigate common behavioral biases of individual investors and offer diversification, low costs, and high transparency [1][3] Market Performance - In Q3 2025, broad-based ETFs significantly outperformed most actively managed funds, with the ChiNext Index rising by 50.4%, the Sci-Tech 50 Index by 49.02%, and the Shenzhen Component Index by 29.25% [1] - Over the past decade, annualized returns for broad-based indices like CSI 300, CSI 500, and CSI 1000 have stabilized between 5% and 7%, with CSI 2000 exceeding 9% [1] Investment Trends - Continuous inflow of two types of investment funds supports the strong market performance of broad-based ETFs: Central Huijin's net purchases of leading broad-based ETFs reached 207.27 billion yuan in H1 2025, while foreign and insurance funds also increased their allocations [2] - Institutional investors now hold about 60% of the market, enhancing pricing efficiency and reducing the space for individual investors to achieve excess returns through independent trading [2] Investor Advantages - Individual investors face disadvantages in information access and research depth compared to professional institutions, which conduct thousands of company visits and have specialized analysts [3] - Broad-based ETFs simplify market investment by allowing investors to buy the entire market in one transaction, providing a disciplined, diversified, low-cost, and transparent investment option [3] Investment Framework - Individual investors should understand the characteristics of different broad-based indices and their applicable scenarios, such as the SSE 50 for conservative investors seeking stable returns [4] - A "core-satellite" strategy is recommended, where most funds are allocated to low-cost broad-based ETFs, while a smaller portion is used for sector or thematic ETFs to capture additional market opportunities [4] - Risk management is crucial, with a focus on ETFs with over 5 billion yuan in size and daily trading volumes exceeding 100 million yuan, along with regular asset rebalancing [4] Market Growth Potential - The recognition of broad-based ETFs among individual investors is increasing, with personal holdings rising from 44.3% to 49.1% in H1 2025, and the proportion of personal holdings in Sci-Tech board ETFs reaching 72% [5] - Despite rapid development, the market share of broad-based ETFs in China's public fund total is only 8%, significantly lower than the 30% in the U.S., indicating substantial growth potential [6] - With the implementation of regulatory measures to promote index investment, broad-based ETFs are expected to become a key tool for individual investors in financial asset allocation and capitalizing on stock market growth [6]

证券研究报告·金融工程报告 2025 年 10 月 28 日 江海证券研究发展部 金融工程定期报告 金融工程研究组 A 股市场快照：宽基指数每日投资动态 2025.10.28 ◆市场表现：2025 年 10 月 27 日, 各宽基指数（表 1）全部上涨，其中创业板指（1.98%） 分析师：梁俊炜 投资要点： 执业证书编号：S1410524090001 A 股市场快照：宽基指数每日投资动 和中证 500（1.67%）涨幅最大。当年涨跌情况，创业板指（51.03%）涨幅最大， 其次是中证 2000（32.17%）和中证 500（28.88%），中证 1000（25.81%）和中证全 指（24.47%）涨幅扩大，而上证 50（14.33%）涨幅最小。另外，中证 500 和创业 板指连续三日连阳，上证 50、沪深 300、中证 1000 和中证全指连续五日连阳，中 证 2000 连续六日连阳。 ◆均线比较：所有跟踪指数已站上 5 日、10 日及 20 日均线。创业板指距离各均线 支撑位较充分。上证 50 和沪深 300 再次突破近 250 日高位。 ◆资金占比与换手：2025 年 10 月 27 日, 沪深 300（ ...

Core Viewpoint - The article discusses the similarities between Japan's economic situation and China's current financial landscape, particularly focusing on the investment behavior of residents in low-interest environments and the potential for ETF investments as a response to these conditions [4][30]. Group 1: Economic Context - In the first three quarters, individuals increased their deposits by 12.73 trillion yuan, with a significant surge of 2.96 trillion yuan in September, reversing a previous trend of reduced deposits [4]. - Current bank interest rates for demand deposits are between 0.05% and 0.2%, while fixed deposit rates hover around 1% [5]. - This situation mirrors Japan's "lost three decades," where low interest rates and a lack of investment options led to a preference for cash and deposits among the populace [5][27]. Group 2: Investment Opportunities - The article suggests that, similar to Japan, Chinese investors might consider investing in ETFs, particularly broad-based indices like the CSI 300, which reflects the domestic economic conditions [6][7]. - Japan's Nikkei 225 index saw significant growth due to the Bank of Japan's aggressive ETF purchasing strategy, which began in 2010 and was aimed at stabilizing the market during economic downturns [9][14]. - The article highlights that the Nikkei 225 index's growth was not solely due to monetary policy but also reflected a shift in Japan's economic model towards profitability and shareholder returns [14][21]. Group 3: Structural Changes in Markets - The Tokyo Stock Exchange has implemented measures to encourage companies with poor valuations to improve their governance and consider buybacks, indicating a trend towards better corporate management [11][12]. - Japanese companies have reached record levels of dividends and stock buybacks, with total dividends in 2023 hitting nearly 16 trillion yen and buybacks expected to reach 16.81 trillion yen in 2024 [12]. - The composition of the Nikkei 225 has evolved significantly over the past 30 years, shifting from a focus on banks and utilities to high-tech manufacturing and consumer innovation [12][13]. Group 4: Comparative Analysis - The article draws parallels between the Japanese and Chinese markets, noting that both have experienced prolonged periods of low interest rates and a cautious investment approach from residents [27][29]. - China's ETF market has surpassed Japan's, becoming the largest in Asia, with significant growth in individual investor participation in ETFs from under 20% in 2014 to 44.3% by the end of 2023 [43][45]. - The potential for a shift in Chinese residents' investment behavior is highlighted, suggesting that as financial literacy increases, there may be a greater acceptance of equity investments, particularly in ETFs [38][46].

Group 1: Market Overview - On September 23, the A-share market experienced wide fluctuations, with the semiconductor equipment sector leading the gains, and multiple related ETFs rising over 4% [1][2] - The ChiNext Index initially dropped over 2% but closed up 0.21% due to the influence of hard technology stocks [2] Group 2: ChiNext A500 Index and ETFs - The ChiNext A500 Index was launched one year ago, and currently, there are 40 ETFs tracking this index, including 32 ChiNext A500 ETFs and 8 enhanced ETFs, with a total scale of nearly 190 billion yuan [1][5] - The ChiNext A500 ETFs have attracted significant institutional investment, including insurance funds, foreign institutions, and various other investors [5][10] Group 3: Semiconductor Equipment ETFs - The semiconductor equipment ETFs have shown strong performance, with the Sci-Tech Semiconductor Materials Equipment Index reaching a nearly four-year high at 1952.53 points [2] - Notable ETFs in this sector include the Chip Equipment ETF (560780.SH) with a year-to-date increase of 45.96% and the Semiconductor Materials ETF (562590.SH) with a 41.56% increase [3] Group 4: Investment Characteristics of ChiNext A500 ETFs - The A500 ETF from Huatai-PineBridge (563360) has a scale of 22.416 billion yuan and has seen an average daily trading volume exceeding 3.6 billion yuan since September [6][8] - The A500 index is characterized by a balanced industry allocation, which has allowed it to outperform other broad-based indices like the Shanghai 50 and CSI 800 this year [8][9] Group 5: Institutional Investment Trends - Insurance funds are significant holders of the ChiNext A500 ETFs, with 149 insurance accounts holding these ETFs, indicating their popularity among institutional investors [10][11] - The preference for the ChiNext A500 ETF among insurance funds is attributed to its balanced industry exposure, growth potential, and the efficient, transparent nature of ETF tools [11][12][13]

Group 1: Market Overview - On September 23, the A-share market experienced wide fluctuations, with the semiconductor equipment sector leading the gains, and multiple related ETFs rising over 4% [1][2] - The ChiNext Index initially dropped over 2% but closed up 0.21% due to the influence of hard technology stocks [2] Group 2: ChiNext A500 Index and ETFs - The ChiNext A500 Index was launched one year ago, and currently, there are 40 ETFs tracking this index, including 32 ChiNext A500 ETFs and 8 enhanced ETFs, with a total scale of nearly 190 billion [1][5] - The A500 ETFs have attracted significant institutional investment, including insurance funds, foreign capital, and various other investors [5][10] Group 3: Performance of Semiconductor ETFs - The semiconductor equipment ETFs have shown strong performance, with several ETFs recording gains of over 4% on September 23 [2] - The ChiNext Semiconductor Materials and Equipment Index reached a nearly four-year high, closing at 1952.53 points [2] Group 4: A500 ETF Details - The largest ChiNext A500 ETF by scale is the Huatai-PB A500 ETF (563360), with a latest scale of 22.416 billion, and an average daily trading volume exceeding 3.6 billion since September [6][7] - The Huatai-PB A500 ETF features a low fee structure, with management and custody fees at 0.15% and 0.05% per year, respectively, making it one of the lowest in the A-share market [7] Group 5: Institutional Investment in A500 ETFs - Insurance funds are significant holders of the ChiNext A500 ETF, with 149 insurance accounts holding this ETF, indicating its popularity among institutional investors [10][9] - The A500 index is favored by insurance funds due to its balanced industry distribution and the potential for stable returns in various economic conditions [11][12]

- 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 price-to-book ratios [1][2][3] - The turnover rates for various indices on September 22, 2025, were as follows: CSI 2000 (3.89), ChiNext Index (2.95), CSI 1000 (2.79), CSI 500 (2.05), CSI All Share (1.8), CSI 300 (0.6), and SSE 50 (0.28) [16] - The daily return distribution analysis highlights that the ChiNext Index exhibited the highest kurtosis and positive skewness, indicating a more concentrated distribution and a higher likelihood of extreme positive returns, while the SSE 50 showed the lowest kurtosis and positive skewness [22][23] - Risk premium analysis, using the 10-year government bond yield as the risk-free rate, revealed that the CSI 500 (76.11%) and SSE 50 (70.56%) had the highest 5-year percentile values, while the ChiNext Index (65.24%) and CSI 2000 (57.7%) were relatively lower [27][29] - The PE-TTM analysis showed that the CSI 500 (99.92%) and CSI All Share (96.78%) had the highest 5-year percentile values, suggesting elevated valuations, while the SSE 50 (81.49%) and ChiNext Index (59.75%) were comparatively lower [37][40][41] - Dividend yield analysis indicated that the ChiNext Index (65.04%) and CSI 1000 (41.07%) were at higher 5-year historical percentiles, whereas the CSI 500 (14.3%) and CSI 2000 (12.31%) were at lower percentiles [45][50][51] - The current price-to-book ratios showed that the SSE 50 had the highest proportion of stocks trading below book value (24.0%), followed by CSI 300 (17.0%), CSI 500 (11.8%), CSI 1000 (7.8%), CSI 2000 (3.5%), ChiNext Index (1.0%), and CSI All Share (6.37%) [52]

Core Insights - The launch of the CSI A500 index in September 2024 marks the beginning of a new era in broad-based index investment, attracting significant attention to core A-share assets [2][3] - The CSI A500 index has quickly gained recognition and scale, with 32 ETFs surpassing a total size of 180 billion yuan, making it the second-largest core broad-based index in the A-share market after the CSI 300 [2][3] - The index's unique characteristics, including balanced industry weightings and a focus on leading companies, have contributed to its outperformance compared to traditional broad-based indices [4][7] Investment Products and Strategies - A diverse product matrix has been established around the CSI A500 index, including ETFs, enhanced index funds, and various active strategies, catering to different investor needs [1][9][10] - The investment strategies range from passive tracking to active quantitative enhancements, providing flexibility for investors based on their goals and risk profiles [9][10] - The rapid growth of the CSI A500 ETF ecosystem reflects a healthy development in index investment, with over 100 products launched within a year [10][11] Institutional Participation - Institutional investors play a crucial role in the rapid expansion of the CSI A500 ETF, with over 70% of holdings in several ETFs attributed to institutional accounts [5][6] - Insurance funds have been significant contributors, with major players like China Life and Ping An heavily investing in CSI A500 ETFs, indicating strong alignment with their long-term investment strategies [6][8] - The participation of various entities, including state-owned funds, foreign institutions, and private investors, has diversified the funding sources for the CSI A500 ETF [7][8] Market Trends and Future Outlook - The CSI A500 index is expected to benefit from the ongoing transformation of the Chinese economy and the shift of investor sentiment towards equity assets [8][11] - As the market evolves, the introduction of derivative products linked to the CSI A500 index could further enhance investment strategies and attract more participants [10][11] - The overall trend towards index-based investment in China is supported by favorable policies encouraging long-term capital inflow into the stock market [11]

Core Insights - The launch of the CSI A500 index in September 2024 has created a new investment landscape in the A-share market, attracting significant attention and participation from various institutional and individual investors [2][4][11] - The CSI A500 index has quickly become a core broad-based index in the A-share market, second only to the CSI 300, with a total scale of over 180 billion yuan as of September 19, 2024 [2][3] - The index's unique characteristics, including balanced industry weightings and a focus on industry leaders, have contributed to its strong performance compared to traditional broad-based indices [4][7] Investment Products and Strategies - A diverse product matrix has been established around the CSI A500 index, including ETFs, ETF-linked funds, and enhanced strategy ETFs, catering to various investor needs [1][9][10] - As of now, there are 32 CSI A500 ETFs with a total scale exceeding 180 billion yuan, indicating rapid growth and acceptance in the market [2][3] - The investment strategies associated with the CSI A500 index range from passive tracking to active quantitative enhancements, providing flexibility for different investor profiles [9][10] Institutional Participation - Institutional investors play a crucial role in the growth of the CSI A500 ETFs, with over 70% of holdings in several funds attributed to institutional accounts [5][6] - Insurance funds have been particularly significant, with major players like China Life and Ping An heavily investing in CSI A500 ETFs, reflecting the index's alignment with their long-term investment strategies [6][7] - The participation of various entities, including state-owned funds, foreign institutions, and private equity, has diversified the funding sources for the CSI A500 ETFs [7][8] Market Trends and Future Outlook - The CSI A500 index is expected to benefit from the ongoing economic transformation in China, as well as the shift of investor sentiment from traditional fixed-income investments to equity assets [8][11] - The index's design and performance characteristics are likely to attract more long-term capital, especially as policies encourage sustained investment in the stock market [11] - Future developments may include the introduction of derivative products based on the CSI A500 index, which could further enhance its investment ecosystem and strategy applications [10][11]