- The report focuses on the daily investment dynamics of broad-based indices in the A-share market, highlighting the performance of indices such as the CSI 2000, SSE 50, and ChiNext Index, with CSI 2000 and SSE 50 showing the highest daily gains of 0.61% and 0.51%, respectively[2][10][11] - The analysis includes comparisons of indices with their moving averages (MA5, MA10, MA20, MA60, MA120, MA250) and their proximity to the 250-day high and low levels, showing that most indices are above their short-term moving averages except for the ChiNext Index, which fell below MA5 and MA10[14][15] - Turnover rates and trading volume proportions are analyzed, with CSI 2000 having the highest turnover rate at 4.5, followed by ChiNext Index at 2.85, and CSI 1000 at 2.82, while SSE 50 has the lowest turnover rate at 0.29[17][18] - The daily return distribution of indices is examined, revealing that the ChiNext Index has the largest negative skewness and kurtosis deviation, while CSI 1000 has the smallest negative kurtosis deviation and CSI 2000 has the smallest negative skewness[24][26] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate, showing that SSE 50 and CSI 300 have the highest risk premiums at 73.73% and 66.43%, respectively, while ChiNext Index has the lowest at 27.3%[28][31][34] - PE-TTM values and historical percentiles are analyzed, indicating that CSI 1000 and CSI 500 have the highest 5-year percentiles at 98.26% and 97.19%, respectively, while CSI 2000 and ChiNext Index have lower percentiles at 83.39% and 56.61%[37][40][41] - Dividend yield analysis shows that ChiNext Index has the highest 5-year historical percentile at 65.21%, followed by SSE 50 at 35.12%, while CSI 500 and CSI 2000 have lower percentiles at 14.38% and 12.73%, respectively[45][50][51] - The report also examines the net asset value (NAV) break rate, with SSE 50 having the highest break rate at 18.0%, followed by CSI 300 at 15.0%, while ChiNext Index has the lowest break rate at 1.0%[52][54]

- The report provides a snapshot of the A-share market, focusing on the performance of broad-based indices on November 5, 2025, with the ChiNext Index and CSI 2000 showing the largest gains of 1.03% and 0.77%, respectively [1][2] - The report compares the moving averages of various indices, noting that the CSI 2000 broke above its 5-day and 10-day moving averages, while other indices remained below their 5-day and 10-day moving averages [14] - The turnover rates for various indices are highlighted, with the CSI 2000 having the highest turnover rate at 4.45, followed by the CSI 1000 at 2.66, and the ChiNext Index at 2.62 [17] - The distribution of daily returns is analyzed, showing that the ChiNext Index has the largest negative skewness and kurtosis, while the CSI 1000 has the smallest negative skewness and kurtosis [24] - The risk premium relative to the 10-year government bond yield is discussed, with the ChiNext Index and CSI 2000 having the highest 5-year percentile values of 76.59% and 69.21%, respectively [28][30] - The PE-TTM ratios of various indices are examined, with the CSI 1000 and CSI 500 having the highest 5-year percentile values of 97.27% and 96.53%, respectively [39][40] - The dividend yield of various indices is analyzed, with the ChiNext Index and CSI 1000 having the highest 5-year historical percentile values of 68.43% and 39.34%, respectively [51] - The report also discusses the net asset value ratios, noting that the current net asset value ratios for various indices are as follows: SSE 50 (20.0%), CSI 300 (15.33%), CSI 500 (11.2%), CSI 1000 (7.4%), CSI 2000 (2.8%), ChiNext Index (1.0%), and CSI All Share (5.79%) [52]

Group 1 - Funds are suitable investment products for ordinary people [2] - New investors should consider what type of funds are appropriate for them [2] - There is a free course available to help new investors understand fund investment from scratch [2] Group 2 - Dividend indices are a common type of strategy index [5] - Strategy indices are based on specific investment strategies and cover a wide range of industries [6] - There are four main types of indices: broad-based indices, strategy indices, industry indices, and thematic indices [6] Group 3 - The core strategy of dividend indices is to select stocks with high dividend yields [8] - Dividend yield is calculated by dividing the total cash dividends by the company's market capitalization [8] - For example, a company with a market cap of 10 billion and annual dividends of 500 million has a dividend yield of 5% [8]

Content: --------- <doc id='1'>证券研究报告·金融工程报告 2025 年 11 月 5 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 2025.11.05 ◆市场表现：2025 年 11 月 4 日, 各宽基指数（表 1）全部下跌，其中创业板指（-1.96%） 投资要点：</doc> <doc id='2'>分析师：梁俊炜 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%）跌幅最大。当年涨跌情况，创业板指（46.34%）涨幅最大， 其次是中证 2000（32.06%）和中证 500（25.94%），中证 1000（24.81%）和中证全 指（22.68%）涨幅缩小，而上证 50（12.22%）涨幅最小。 ◆均线比较：所有跟踪指数已跌破 5 日均线，除中证 2000 外其余跟踪指数跌破 10 日均线，沪深 300、中证 500、中证 1000 和中证全指跌破 20 日均线。各跟踪指数 已远离近 250 日高位超过 1.8%。 ◆资金占比与换手：2025 年 11 月 4 日, 沪深 300（26.86%）交易金额占比最高， 相关研究报告 态 2025.11.04 A 股市场快照：宽基指数每日投资动 态 2025.11.03 A 股市场快照：宽基指数每日投资动 态 2025.10.31 其次是中证 2000（23.42%）和中证 1000（20.3%）。各宽基指数当前换手率分别为 中证 2000（4.06），创业板指（2.64），中证 1000（2.59），中证全指（1.79），中 证 500（1.71），沪深 300（0.71）和上证 50（0.33）。 ◆日收益率分布：创业板指的峰度负偏离最大，沪深 300 的峰度负偏离最小。创 业板指的负偏态最大，沪深 300 的负偏态最小。 ◆风险溢价：2025 年 11 月 4 日, 上证 50（45.32%）和中证 2000（23.57%）风险溢 价近 5 年分位值较高，创业板指（9.44%）和中证 500（7.7%）较低。</doc> <doc id='3'>◆PE-TTM：中证 1000（96.69%）和中证 500（96.45%）分位值较高，而中证 2000 （81.16%）和创业板指（55.79%）分位值较低。 ◆股债性价比：没有指数高于其 80%分位，中证 500 低于其 20%分位。 ◆股息率：创业板指（69.17%）和中证 1000（40.91%）所处近 5 年历史分位值较 高，而中证 2000（17.27%）和中证 500（16.12%）较低。 ◆破净率：当前，各指数破净率为上证 50（20.0%），沪深 300（15.67%），中证 500（11.0%），中证 1000（7.5%），中证 2000（2.85%），创业板指（1.0%）和中 证全指（5.85%）。 ◆风险提示：本报告可能存在数据缺失、数据错误、数据不及时、模型处理错误 等风险。本报告仅从金融工程角度，对重要指数的市场数据进行跟踪、统计、分 析，不构成对市场指数、行业或个股进行预测或推荐。</doc> <doc id='5'>| 市场衣乳… | | --- | | 1.1 指数表现 … | | 1.2 指数与均线的比较 | | 1.3 资全占比与换手率 … | | 2 日收益分布 | | 2.1 收益区间分布对比 | | 22 分布形态变化对比 | | 3 风险溢价 … | | 3.1 各宽基指数的风险溢价 | | 32 风险溢价历史分布 | | 4 PE-TTM. | | 4.1 各宽某指数 PE-TTM 和分位值 | | 4.2 PE-TTM 历史对比… | | 4.3 股债性价比历史对比… | | 5 吸血率… | | 5.1 近一年各宽某指数股息率变化情况, | | 5.2 股息率历史对比… | | 6 玻璃率 | | 7 风险提示 . |</doc> <doc id='7'>| 表 1、各宽基指数表现情况 | | --- | | 表 2、各宽基指数与均线、近250交易日高位和低位的比较 … | | 表 3 、各宽基指数分布形态变化 … | | 表 4、各宽基指数和十年期国债即期收益率的风险溢价 | | 表 5、各宽基指数 PE-TTM 分位值和历史值 | | 表 6、各宽基指数当前股息率和历史情况 | | 图 1、各宽基指数交易全额占比和换手率 | | 图 2、各宽基指数每日收益率分布情况 | | 图 3、各宽基指数相对十年国债即期收益率的风险溢价 | | 图 4、各宽基指数相对沪深 300 的风险溢价的近 5年分布 . | | 图 5 、各宽基指数 PE-TTM 及其分位值 | | 图 6、各宽基指数的股债性价比… | | 图 7、各宽基指数股息率 | | 图 8、各宽基指数破净个股数和占比………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………… 10 |</doc> <doc id='9'>1 市场表现 本报告将从指数涨跌幅、连阴连阳、上涨下跌分布等维度对各宽基指数进 行评价和跟踪。 1.1 指数表现 </doc> <doc id='10'>2025 年 11 月 4 日, 各宽基指数（表 1）全部下跌，其中创业板指（-1.96%） 和中证 500（-1.67%）跌幅最大。当周涨跌情况，各跟踪指数除了上证 50（0.05%） 外全部下跌，其中创业板指（-1.68%）和中证 500（-1.64%）跌幅最大。当季 涨跌情况，各跟踪指数涨跌各现，其中上证 50（0.8%）和中证 2000（0.25%） 上涨，而创业板指（-3.21%）和中证 500（-2.72%）跌幅最大。当年涨跌情况， 创业板指（46.34%）涨幅最大，其次是中证 2000（32.06%）和中证 500（25.94%）， 中证 1000（24.81%）和中证全指（22.68%）涨幅缩小，而上证 50（12.22%） 涨幅最小。 表 1、各宽基指数表现情况 指数名称 指数代码 当日涨幅% 当周涨幅% 当月涨幅% 当季涨幅% 当年涨幅% 日K </doc> <doc id='11'>| | | | 涨幅最小。 | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 指数名称 | 指数代码 | 当日涨幅% | 当周涨幅% | 当月涨幅% | 当季涨幅% | 日K 当年涨幅% 连阴连阳 | 周K 连阴连阳 | 月K 连阴连阳 | | 季K 连阴连阳 | 年K 连阴连阳 | | | 上证50 | 000016.SH | -0.11 | 0.05 | 0.05 | 0.80 | 12.22 | | |

Core Viewpoint - The recent draft of the "Public Fund Performance Comparison Benchmark Element Library Operation Explanation" has been distributed, establishing a benchmark library divided into two categories, aimed at enhancing the comparability of fund performance and encouraging standardized selection and use of indices by fund managers [1][2]. Group 1: Benchmark Library Structure - The benchmark library consists of two categories: Category One includes 69 core indices, while Category Two includes 72 indices, totaling 141 indices that cover mainstream investment targets in A-shares and Hong Kong stocks [1][2]. - Category One focuses on highly representative and widely recognized indices, while Category Two aims to balance innovation and differentiation, including indices with significant usage frequency and market capitalization [1][2]. Group 2: Inclusion Criteria - The inclusion criteria for Category Two indices require that single constituent security weight does not exceed 20% for broad-based indices, and for non-broad-based indices, there must be at least 30 constituent securities with specific weight limitations [5]. - For Category One indices, they must meet the standards of Category Two and have an average daily free float market capitalization of at least 10,000 billion yuan over the past year, along with other relevant standards [5]. Group 3: Dynamic Adjustment Mechanism - The benchmark library is not static; it will undergo quarterly evaluations for the entry and exit of benchmark elements and semi-annual assessments for adjustments between the two categories [9]. - Elements in Category Two that meet the standards for Category One can be moved up, while those in Category One that no longer meet the criteria can be moved down, based on expert committee evaluations [9].

Core Viewpoint - The establishment of a performance comparison benchmark element library for public funds aims to standardize the selection and use of indices, enhancing the comparability of fund performance across products [1][2]. Group 1: Benchmark Library Structure - The benchmark library is divided into two categories: Category One and Category Two, encompassing a total of 141 indices, including 69 core indices in Category One and 72 indices in Category Two, covering mainstream investment targets in A-shares and Hong Kong stocks [1][2]. - Category One includes indices that are highly representative and widely recognized, encouraging fund managers to select and use them in developing actively managed funds [2][3]. - Category Two focuses on innovation and differentiation, including indices with certain usage frequency and larger market capitalization, effectively supplementing Category One [1][2]. Group 2: Inclusion Criteria for Indices - Category Two indices must meet several standards, such as having a single constituent's weight not exceeding 20% for broad-based indices and at least 30 constituents for non-broad-based indices [3][4]. - Category One indices must meet Category Two standards and have an average free float market capitalization of at least 10,000 billion yuan over the past year, along with other relevant standards [3][4]. Group 3: Selection Principles for Different Index Types - For broad-based indices, selection is based on representativeness, investability, and coverage, requiring at least 10 actively managed funds to use the index as a benchmark [4][5]. - Industry theme indices must cover key strategic emerging industries or areas strongly supported by national policies, with a focus on market recognition and expert committee approval [4][5]. - Strategy indices should clearly reflect specific strategy factors or styles, with sufficient differentiation in risk and return profiles [5][6]. Group 4: Dynamic Adjustment of the Benchmark Library - The benchmark library is not static; it will undergo quarterly evaluations for the entry and exit of indices and semi-annual assessments for adjustments between the two categories [7]. - Indices in Category Two that meet Category One standards may be promoted to Category One, while those in Category One that no longer meet standards may be demoted [7]. - The expert group responsible for these evaluations consists of representatives from various industry institutions, ensuring a fair and transparent process [7].

Core Viewpoint - The China Securities Regulatory Commission (CSRC) has solicited public opinions on the "Guidelines for Performance Comparison Benchmarks of Publicly Raised Securities Investment Funds," while the Asset Management Association of China (AMAC) has issued a performance comparison benchmark element library to institutions [1] Group 1: Benchmark Libraries - The performance comparison benchmark element library is divided into two categories: Category One and Category Two, which include broad-based indices, industry thematic indices, and strategy indices [1] - Category One contains 69 indices, while Category Two includes 72 indices, covering various market types such as domestic cross-market, domestic single-market, and specific sectors [1] Group 2: Guidelines and Regulations - The Category One library includes performance comparison benchmarks that are highly representative and widely recognized, encouraging fund managers to select and use them in a standardized manner when developing actively managed funds [1] - Fund managers intending to use indices from Category Two must explain their considerations during product registration, and those using indices outside the benchmark library must also provide justification and ensure compliance with the relevant guidelines [1]

Core Viewpoint - The "National Team," including Central Huijin Investment and its asset management plans, has maintained a stable position in broad-based ETFs while making minor adjustments in sector-specific ETFs, reflecting a strategic approach to stabilize the A-share market [1][2][3]. Group 1: ETF Holdings and Performance - The "National Team" has kept its holdings in broad-based ETFs largely unchanged, with significant performance in the third quarter, where the average increase of ETFs held exceeded 20%, resulting in a scale increase of over 200 billion yuan [2][6]. - As of mid-2025, the "National Team" holds over 40% of the total A-share ETF market, indicating a strong influence on market stability [3]. - The total scale of ETFs held by Central Huijin Investment and its asset management plans reached 1.55 trillion yuan by the end of the third quarter, marking an increase of over 200 billion yuan from the previous quarter [7]. Group 2: Specific ETF Adjustments - Central Huijin Asset Management's two specialized asset management plans have shown more frequent trading activity, including a reduction in holdings of specific ETFs, which should not be interpreted as a broader "National Team" strategy [4][5]. - Notably, the specialized plans reduced their holdings in the Guotai Zhongzheng 800 Automotive and Parts ETF by 800,000 shares in July, and completely divested from the Huaxia Hang Seng China Mainland Enterprises High Dividend ETF [4]. Group 3: Market Conditions and Influences - The significant rebound in the A-share market during the third quarter was a primary driver of the "National Team's" unrealized gains, supported by favorable domestic liquidity conditions and expectations of U.S. Federal Reserve interest rate cuts [8]. - Factors such as policy support, active trading, and capital inflows contributed to the overall positive market performance, with a notable increase in risk appetite among investors [8].

Group 1 - The CSI A500 Index experienced a slight decline of 0.05% this week, closing at 5583.72 points as of October 31 [1] - The average daily trading volume for the week was 8921.90 billion, with a week-on-week increase of 37.23% [1] - Among the 40 CSI A500 ETFs, only the Guotai Fund's CSI A500 Enhanced ETF saw a decrease of 0.5%, while the Huaan Fund's CSI A500 Enhanced ETF increased by 0.95% [1] Group 2 - The total scale of A500 ETFs has returned to over 2000 billion, with the top three funds being Huatai-PineBridge, E Fund, and Guotai, with scales of 254.98 billion, 234.41 billion, and 224.57 billion respectively [1] - According to Xinda Securities, by Q3 2025, a market recovery is expected, leading to profit-taking trends in broad indices like the Sci-Tech 50 and CSI 300, while ETF funds will continue to favor Hong Kong stocks and certain low-position sectors [1] - Significant net outflows exceeding 100 billion are concentrated in core broad-based and growth sectors, including the Sci-Tech 50, CSI 300, CSI A500, and others [1][2] Group 3 - Guojin Securities has raised net profit forecasts for the years 2025 and 2026 across major indices, including the Shanghai 50, CSI 300, and ChiNext Index, while the CSI 500 saw mixed adjustments [2] - The profit forecasts for large/mid-cap growth/value styles have been increased for 2025 and 2026, whereas small-cap growth forecasts have been lowered [2]

Group 1 - The core viewpoint of the article indicates that after the release of favorable policies, the probability of style switching in the market has increased, with a focus on technology and manufacturing sectors as the main drivers of domestic development [2][5] - The equity market is expected to transition to a stable operation as new catalysts diminish following the implementation of the "14th Five-Year Plan," suggesting a potential reduction in growth momentum [2][5] - It is recommended to moderately reduce positions in technology growth sectors and consider switching to broader indices or low-volatility dividend stocks for a more stable investment approach [2][5] Group 2 - In the stock market, the balance between large-cap and small-cap stocks has been maintained, while growth styles have shown a tendency towards growth [7] - The volatility of both large-cap and growth styles has increased, indicating a more dynamic market environment [7][8] - The concentration of trading has slightly decreased, with the proportion of trading volume from the top 100 stocks showing a minor decline [7] Group 3 - In the commodity market, the trend strength of precious metals and agricultural products has decreased, while other sectors have shown an increase in trend strength [20] - The liquidity of precious metals, non-ferrous metals, and agricultural products has declined, indicating potential challenges in these markets [20] Group 4 - In the options market, the implied volatility has decreased, reflecting a calming of market expectations regarding tariff increases, although uncertainty remains as both put and call option positions have increased [23] Group 5 - The convertible bond market has shown slight recovery, with stable pure bond premium rates and a steady increase in the premium rates for bonds convertible at 100 yuan [25]