Content: --------- <doc id='1'>证券研究报告·金融工程报告 2025 年 12 月 18 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 2025.12.18 ◆市场表现：2025 年 12 月 17 日, 各宽基指数（表 1）全部上涨，其中创业板指（3.39%） 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（1.95%）涨幅最大。当年涨跌情况，创业板指（48.3%）涨幅最大，其 次是中证 2000（30.48%）和中证 500（24.66%），中证 1000（22.34%）和中证全指 （21.17%）涨幅扩大，而上证 50（11.43%）涨幅最小。 ◆均线比较：除了中证 1000 和中证 2000，其余跟踪指数已突破 5 日及 20 日均线。 创业板指率先突破 60 日均线。各跟踪指数单日修复程度较大。 ◆资金占比与换手：2025 年 12 月 17 日, 沪深 300（25.34%）交易金额占比最高， 相关研究报告</doc> <doc id='3'>态 2025.12.17 A 股市场快照：宽基指数每日投资动 态 2025.12.16 A 股市场快照：宽基指数每日投资动 态 2025.12.15 其次是中证 2000（23.94%）和中证 1000（20.51%）。各宽基指数当前换手率分别 为中证 2000（3.88），创业板指（2.41），中证 1000（2.24），中证全指（1.63）， 中证 500（1.56），沪深 300（0.54）和上证 50（0.23）。 ◆日收益率分布：创业板指的峰度负偏离最大，中证 1000 的峰度负偏离最小。上 证 50 和创业板指的负偏态最大，中证 1000 和中证 2000 的负偏态最小。 ◆风险溢价：2025 年 12 月 17 日, 创业板指（97.14%）和中证 500（96.59%）风险 溢价近 5 年分位值较高，中证 1000（88.41%）和中证 2000（69.05%）较低。</doc> <doc id='4'>◆PE-TTM：中证 500（95.04%）和中证 1000（93.47%）分位值较高，而中证 2000 （79.17%）和创业板指（57.69%）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（63.22%）和中证 1000（51.65%）所处近 5 年历史分位值较 高，而中证 2000（31.32%）和中证 500（24.55%）较低。 ◆破净率：当前，各指数破净率为上证 50（22.0%），沪深 300（16.33%），中证 500（11.2%），中证 1000（8.3%），中证 2000（3.8%），创业板指（nan%）和中 证全指（6.51%）。 ◆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='6'>| 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='8'>| 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='10'>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='11'>2025 年 12 月 17 日, 各宽基指数（表 1）全部上涨，其中创业板指（3.39%） 和中证 500（1.95%）涨幅最大。当周涨跌情况，各跟踪指数全部下跌，其中 中证 2000（-1.22%）和中证 1000（-1.12%）跌幅最大。当月涨跌情况，各跟踪 指数涨跌各现，其中创业板指（4.04%）和中证 500（1.51%）涨幅最大，而中 证 2000（-0.89%）和中证 1000（-0.62%）下跌。当季涨跌情况，各跟踪指数除 了上证 50（0.09%）外全部下跌，其中中证 1000（-3.78%）和中证 500（-3.7%） 跌幅最大。当年涨跌情况，创业板指（48.3%）涨幅最大，其次是中证 2000（30.48%） 和中证 500（24.66%），中证 1000（22.34%）和中证全指（21.17%）涨幅扩大， 而上证 50（11.43%）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='12'>| 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 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 | 1.25 | -0.10 | 0.74 | 0.09 | 11.43 | | | |

哈喽，大家好，今天小睿这篇市场观察，聚焦六大核心指标拆解 A 股当前性价比，估值合理但情绪降 温，现在该抄底还是观望？ 临近2025年末，A 股市场呈现出 "数据矛盾" 的独特格局，估值指标显示市场处于合理区间，资金面持 续回暖，但情绪指标却发出谨慎信号。 判断市场 "贵不贵"估值是核心锚点，根据近5年PE/PB估值分位规则，当前 A 股整体处于中估区间，但 结构分化明显。 董承非分享的偏股基金指数指标更具参考性，当近3年年化收益率大于30%为泡沫阶段，为熊市底部， 而当前该指标仅 3.6%，意味着市场位置仍处于相对安全区域。 从全局看巴菲特指标当前为87%，处于 60%-90% 的合理区间，对比2024年底的63.59% 显著提升，但远 低于美股 230% 的水平，凸显成长空间。 合理区间内的结构分化 股债性价比进一步验证了 "不便宜也不贵" 的结论，全A指数股债性价比2.78%，接近近10年 2.56% 的均 值，处于近 10 年前 43.17% 分位，即比历史上 56.83% 的时期更具吸引力。 不过结构分化值得关注，创业板指近 10 年估值分位仅 28.98%，而沪深 300、中证 500 均超 70 ...

- The report primarily focuses on tracking and analyzing the performance of broad-based indices in the A-share market, including their daily price movements, moving averages, turnover rates, and risk premiums[1][2][3] - The turnover rate for each index is calculated using the formula: $ \text{Turnover Rate} = \frac{\Sigma(\text{Circulating Shares of Component Stocks} \times \text{Turnover Rate of Component Stocks})}{\Sigma(\text{Circulating Shares of Component Stocks})} $ This provides insights into the liquidity and trading activity of the indices[17] - The risk premium is measured relative to the 10-year government bond yield, serving as a benchmark for risk-free rates. This metric evaluates the relative investment value and deviation of each index. For instance, the current risk premium for the CSI 500 is -0.79%, with a 5-year historical percentile of 21.98%[27][31] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) ratio is used as a valuation reference. For example, the CSI 500 has a current PE-TTM value of 32.45, with a 5-year historical percentile of 94.96%, indicating a relatively high valuation compared to its historical range[39][43] - Dividend yield is analyzed as a measure of cash return. For instance, the CSI 500 has a current dividend yield of 1.45%, with a 5-year historical percentile of 24.96%, reflecting its position in the historical distribution of dividend yields[48][53] - The report also examines the net asset value (NAV) break rate, which represents the proportion of stocks trading below their book value. For example, the CSI 500 has a current NAV break rate of 11.0%, suggesting market sentiment and valuation levels[54][57]

1. Report Industry Investment Rating No relevant content is provided in the report. 2. Core View of the Report - The overall macro - policy aims to stabilize the macro - leverage ratio. The liability growth rate of the real - sector is expected to decline in December 2025, and the government debt growth rate is also expected to continue to fall. - The economic situation on the asset side is weak, with the physical quantity data in October weaker than that in September. It is necessary to focus on when the economy will stabilize and pick up. - The stock - bond ratio is in an interval - shock state, currently with risk - preference at the upper limit of the interval and trending downward later. The stock - bond ratio is in favor of bonds, and the equity style is in favor of value [17][19][22]. 3. Summary According to Relevant Catalogs 3.1 National Asset Balance Sheet Analysis - **Liability Side**: In November 2025, the liability growth rate of the real - sector was 8.7%, the same as the previous value, and it is expected to drop to around 8.5% in December. The government debt growth rate was 13.1% at the end of November, and is expected to fall to around 12.5% in December. The capital market was basically stable last week, mainly due to the renewal of 750 billion special treasury bonds on the 12th, with a high probability of subsequent marginal convergence [17][18]. - **Fiscal Policy**: The net increase of government bonds last week was 298.1 billion yuan, higher than the planned net decrease of 510.2 billion yuan. It is planned that the government bonds will have a net decrease of 119.2 billion yuan next week [2][18]. - **Monetary Policy**: Last week, the capital trading volume and price increased on a weekly average basis, and the term spread was stable. The one - year treasury bond yield fluctuated narrowly, closing at 1.39% on the weekend. The term spread between the ten - year and one - year treasury bonds was stable at 45 basis points. The yield fluctuation ranges of the ten - year and thirty - year treasury bonds are expected to be around 1.6% - 1.9% and 1.8% - 2.3% respectively [2][18]. - **Asset Side**: The physical quantity data in October was weaker than that in September. The annual real economic growth target in 2025 is about 5%, and the nominal economic growth target is about 4.9%. It is necessary to observe whether 5% will become the central target for China's nominal economic growth in the next 1 - 2 years [3][19]. 3.2 Stock - Bond Ratio and Stock - Bond Style - **Economic Cycle**: Since 2011, China has entered a period of declining potential economic growth, which seems to have ended in the fourth quarter of 2024. The government put forward three policy goals in 2016, and currently the liability - side convergence has not ended but the space is limited [6][20]. - **Overseas Situation**: China and the US are in a state of equal - power competition. If the valuation of the US technology field is re - evaluated, global funds may flow to China. It is necessary to focus on whether the RMB exchange rate will enter an appreciation channel [6][21]. - **Market Performance**: Last week, the capital market was stable, with stocks and bonds rising slightly, and the equity style shifting to growth - dominance. The bond yields at both long - and short - ends declined slightly, and the stock - bond ratio was in favor of bonds [7][21]. - **Investment Recommendation**: It is recommended to allocate long - term bonds and value - type equity assets. This week, it is recommended to allocate the Shanghai Composite 50 Index (80% position) and the 30 - year treasury bond ETF (20% position) [8][22]. 3.3 Industry Recommendation - **Industry Performance Review**: This week, A - shares fell on heavy volume. Among the Shenwan primary industries, communication, national defense and military industry, electronics, machinery, and power equipment had the largest increases, while coal, petroleum and petrochemicals, steel, real estate, and textile and clothing had the largest declines [30]. - **Industry Crowding and Trading Volume**: As of December 12, the top five crowded industries were electronics, power equipment, communication, machinery, and computers, while the bottom five were beauty care, comprehensive, petroleum and petrochemicals, steel, and coal. The trading volume of the whole A - shares rebounded this week, with the trading volume of some industries increasing and that of some industries decreasing [31][34]. - **Industry Valuation and Earnings**: This week, among the Shenwan primary industries, the PE (TTM) of communication, electronics, national defense and military industry, machinery, and comprehensive increased the most, while that of coal, petroleum and petrochemicals, steel, real estate, and textile and clothing decreased the most. Industries with high 2024 full - year earnings forecasts and relatively low current valuations include banks, securities, insurance, etc. [37][38]. - **Industry Prosperity**: Externally, the demand is declining marginally, with the global manufacturing PMI falling and the export growth rates of some countries fluctuating. Domestically, the second - hand housing price fell last week, and quantity indicators showed mixed trends [42]. - **Public Offering Market Review**: In the second week of December, most active public - offering equity funds outperformed the CSI 300. As of December 12, the net asset value of active public - offering equity funds increased slightly compared with that in Q4 2024 [60]. - **Industry Recommendation**: In the de - leveraging cycle, the stock - bond ratio is only slightly in favor of equities, and the value style is more likely to dominate. A recommended A + H dividend portfolio includes 13 stocks, and the A - share portfolio includes 20 stocks, mainly concentrated in industries such as banks, telecommunications, petroleum and petrochemicals, and transportation [9][65].

这些指标涵盖估值、基金收益、股债性价比等关键维度，数据全部来自Wind、好买基金APP等权威渠 道，截止到2025年12月5日前后，参考性十足。 指数估值市场的 "基础体温计" 先从最基础的指数估值说起，这就像给市场测体温，能直观判断当前是低估、中估还是高估。 行业里有个通用标准：近5年PE/PB估值分位数低于20%是绿灯，代表低估，适合买入；20%到80%之间 是黄灯，属于中估，适合持有。 文|锐资 编辑|锐资 前言： 家人们，最近A股回调让不少投资者心里打鼓：现在到底是该抄底、持有还是观望？ 其实判断市场贵不贵，不用靠猜，跟着6个核心指标走，就能把当前市场位置看得明明白白。 超过80%是红灯，说明高估，该考虑卖出了。不过要注意，单看估值不够全面，实际投资还得结合政 策、经济形势和行业基本面，不能一刀切。 接下来是大佬董承非分享的"法宝指标"，偏股基金滚动3年年化收益率。 这个指标特别实用，能快速判断市场所处阶段：当它大于30%时，往往意味着股市进入泡沫阶段，风险 在积聚；当它小于-10%时，大概率是熊市的相对底部，机会大于风险。 目前这个数值是3.5%，既没到泡沫区间，也没跌入底部区域，从这一点来看，当下 ...

- The report primarily focuses on tracking and analyzing the performance of broad-based indices in the A-share market, including their daily returns, moving averages, turnover rates, and valuation metrics such as PE-TTM and risk premiums[1][2][3] - The analysis highlights that all broad-based indices experienced gains on December 8, 2025, with the ChiNext Index (2.6%) and CSI 2000 (1.47%) showing the largest daily increases. For the year-to-date performance, the ChiNext Index (48.97%) recorded the highest growth, followed by CSI 2000 (33.97%) and CSI 500 (25.27%)[10][11] - All indices have surpassed their 5-day, 10-day, and 20-day moving averages, with CSI 1000 and CSI All Share also breaking above their 60-day moving averages. However, CSI 500 remains below its 60-day moving average, indicating a continued market recovery[14][15] - The turnover rates for December 8, 2025, were highest for CSI 2000 (4.34), followed by ChiNext Index (2.78) and CSI 1000 (2.47). The lowest turnover rates were observed for SSE 50 (0.26) and CSI 300 (0.61)[17] - The distribution of daily returns shows that the ChiNext Index has the largest negative kurtosis deviation, while CSI 1000 has the smallest. Similarly, the ChiNext Index exhibits the largest negative skewness, indicating a higher likelihood of extreme negative returns compared to other indices[23][25] - Risk premiums, calculated relative to the 10-year government bond yield, are highest for the ChiNext Index (2.60%) and CSI 2000 (1.46%), with their 5-year percentile ranks at 93.41% and 85.79%, respectively. In contrast, SSE 50 (0.57%) and CSI 300 (0.80%) have lower risk premiums and percentile ranks[27][31] - The PE-TTM ratios for broad-based indices show that CSI 1000 (97.52%) and CSI 500 (95.54%) have the highest 5-year percentile ranks, while CSI 2000 (84.3%) and the ChiNext Index (57.69%) are relatively lower. The ChiNext Index's 5-year percentile rank is below its danger threshold of 80%[39][43][44] - Dividend yields are highest for SSE 50 (3.30%) and CSI 300 (2.71%), while CSI 500 (1.37%) and CSI 2000 (0.75%) are the lowest. The ChiNext Index's 5-year historical percentile rank for dividend yield is relatively high at 66.69%[48][53][55] - The percentage of stocks trading below their book value (PB ratio < 1) is highest for SSE 50 (22.0%) and lowest for the ChiNext Index (1.0%), reflecting varying market valuation attitudes across indices[57]

财政政策。上周合计政府债（包括国债和地方债）净增加160亿元（高于计划的净减少733亿元），按计划下周政府债净减少5102亿元，2025年10月末政府 负债增速为13.9%，前值14.5%，预计11月继续下行至13.1%附近，后续趋于下行，按照目前的数据，我们预计年底政府部门负债增速将下降至12.0%附 近。 货币政策。按周均计算，上周资金成交量环比上升，资金价格环比下降，期限利差小幅走扩，剔除掉季节效应，整体上看资金面边际上继续松弛。上周一 年期国债收益率窄幅震荡，周末收至1.40%，按照2025年5月降息后的情况估计，我们预计一年期国债收益率的下沿约为1.3%，中枢在1.4%附近；十年国 债和一年国债的期限利差微升至45个基点。我们目前倾向于判断，十年国债和一年国债以及三十年国债和十年国债的利差区间在20-50个基点，十年国债 和三十年国债收益率未来的波动区间或在1.6%-1.9%和1.8%-2.3%附近。 资产端，10月物量数据较9月继续走弱，重点关注后续经济何时再现企稳甚至边际上行。两会给出2025年全年实际经济增速目标在5%左右，按照赤字和赤 字率（4%）倒推，全年名义经济增速目标在4.9%。需要进 ...

Core Viewpoint - The article discusses the current state of the stock market, focusing on the bull and bear signals as of December 2025, and provides both quantitative and qualitative indicators to assess market conditions [1][8]. Quantitative Indicators - The Buffett Indicator shows that the market is moving from undervaluation to a reasonable valuation, with a current level of 80% indicating a normal market [16]. - The Price-to-Book (P/B) ratio percentiles for various market styles indicate that small-cap growth stocks have rebounded significantly, while large-cap value stocks remain relatively undervalued [18]. - The stock-bond yield ratio is currently at 2.57, suggesting that stocks are undervalued compared to bonds, with this ratio being above historical averages [20]. - The financing balance in the A-share market is at 24,667 billion, indicating a relatively cold market environment [23]. - The current trading volume percentile is at 79.10%, reflecting a higher level of market activity compared to historical data [5]. Qualitative Indicators - The number of new stock issuances has decreased significantly, which is typical during bear markets, and the high rate of new stock failures indicates a bearish sentiment [28]. - The M2 money supply is used to gauge market liquidity, with the current index indicating a low market sentiment when close to the M2 calculated bottom [30]. - The scale of old funds has decreased by 50-60% compared to 2021, indicating a lack of investor confidence in the current market [33]. - The issuance of new funds remains low, with recent peaks not reaching the levels seen in 2021, suggesting a cautious market outlook [38]. - The proportion of funds under purchase restrictions is currently at 17.78%, indicating that fund managers are cautious about market valuations [40].

Group 1 - The report indicates a combination of "loose monetary policy + credit easing," with a low risk of tightening in the funding environment, which continues to support macroeconomic and asset performance [1][13][19] - In November, the A-share market is expected to stabilize as liquidity disturbances and risk appetite weaken, with major indices experiencing a general pullback [2][31] - The report highlights that the bond market remains resilient despite weak fundamentals, with a slight increase in credit bond indices and a decline in government bond yields [3][38] Group 2 - The report emphasizes the importance of large-cap growth stocks in the current market environment, supported by China's manufacturing PMI and industrial output growth [19][20][21] - It suggests a quantitative asset allocation model for domestic assets, recommending 30% in stocks, 35% in bonds, 23.3% in crude oil, and 11.7% in gold under an aggressive allocation scenario [24][26] - The report notes a divergence in global central bank policies, with a trend towards easing but with varying degrees among different economies, impacting investment strategies [56][57]

Group 1 - The report indicates a continued trend of "loose monetary policy + credit easing," with a low risk of tightening in the funding environment, which supports macroeconomic and asset performance [1][13][19] - In October, China's new social financing was 816.1 billion yuan, lower than the expected 1,537.7 billion yuan, and new RMB loans were 220 billion yuan, also below the expected 451.2 billion yuan, indicating a slight pullback in credit pulses but an overall continuation of the upward trend for the year [1][13] - The report suggests that the A-share market is expected to stabilize towards the end of the year, with limited short-term upside or downside, and anticipates a potential upward momentum in the first quarter of the following year [2][3] Group 2 - The report highlights that the bond market remains resilient despite weak fundamentals, with the overall bond market showing stability amid a backdrop of declining interest rates [3][31] - In November, the 10-year government bond yield decreased by 6.9 basis points to 1.73%, indicating a stable bond market environment [31] - The report notes that the commodity price trends are diverging, with oil prices under pressure and gold prices experiencing fluctuations, influenced by global economic conditions and geopolitical factors [4][31] Group 3 - The report emphasizes a focus on large-cap growth stocks due to the recovery in the domestic economy, with China's manufacturing PMI at 49.2, indicating a better outlook compared to the US [19][20] - The report suggests that the overall economic recovery is favorable for growth sectors, with industrial value-added growth of 6.1% year-on-year from January to October [19][20] - The report recommends an asset allocation strategy favoring equities over commodities and bonds, with specific allocations for aggressive and conservative strategies [24][26]