证券研究报告·金融工程报告 2025 年 10 月 29 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 2025.10.29 ◆市场表现：2025 年 10 月 28 日, 各宽基指数（表 1）除了中证 2000（0.17%）外 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 A 股市场快照：宽基指数每日投资动 全部下跌，其中上证 50（-0.62%）和中证 500（-0.52%）跌幅最大。当年涨跌情况， 创业板指（50.8%）涨幅最大，其次是中证 2000（32.4%）和中证 500（28.21%）， 中证 1000（25.54%）和中证全指（24.05%）涨幅缩小，而上证 50（13.62%）涨幅 最小。另外，创业板指连续四日连阳，中证 1000 和中证全指连续六日连阳，中证 2000 连续七日连阳。 ◆均线比较：所有跟踪指数仍在 5 日、10 日及 20 日均线之上。创业板指距离各均 相关研究报告 态 2025.10.28 态 2025.10.27 A 股市场快照：宽基指数每日投资动 态 202 ...

证券研究报告·金融工程报告 2025 年 10 月 27 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 2025.10.27 ◆市场表现：2025 年 10 月 24 日, 各宽基指数（表 1）全部上涨，其中创业板指（3.57%） 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（1.62%）涨幅最大。当年涨跌情况，创业板指（48.09%）涨幅最大， 其次是中证 2000（30.93%）和中证 500（26.77%），中证 1000（24.53%）和中证全 指（22.98%）涨幅扩大，而上证 50（13.45%）涨幅最小。另外，上证 50、沪深 300、 中证 1000 和中证全指连续四日连阳，中证 2000 连续五日连阳。 ◆均线比较：所有跟踪指数已站上 5 日及 10 日均线。除中证 1000 外，其余跟踪指 数已高于 20 日均线。创业板指距离各均线支撑位较充分。上证 50 再次突破近 250 相关研究报告 态 2025.10.24 A 股市场快照：宽基指数每日投资动 态 2025 ...

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core View of the Report - The market's judgment on international relations tends to swing between extreme optimism and extreme pessimism, causing market sentiment to fluctuate. The market has sufficient expectations for slow - changing variables like interest rates but overreacts to fast - changing international relations variables, and market volatility may continue [2] - China's Q3 GDP grew 4.8% year - on - year, meeting expectations. Industrial production rebounded significantly and capacity utilization improved, but household consumption, real estate, and fixed - asset investment were drags [2] - After the Fourth Plenary Session of the 20th CPC Central Committee and the deepening of local state - owned "three - capital" management, the A - share market showed positive performance. A - share trading volume shrank to less than 2 trillion per day, and the margin balance rebounded, with each index rising between 2.9% - 4% on the weekly line [2] - This week, the basis of each variety fluctuated less, and the overall discount narrowed compared to last week. As of Friday, the annualized discounts of IF, IC, and IM converged to around 2.6%, 8.9%, and 11.4% respectively [2] Group 3: Summary by Related Catalogs This Week's Review - International relations news affected market sentiment. For example, the US's signal of easing relations led to a rapid decline in gold prices, and the economic consultations among China, the US, and Malaysia led to a rapid rebound in the A - share market driven by the Hong Kong stock market [2] - China's Q3 GDP growth met expectations. Industrial production and capacity utilization improved, but household consumption, real estate, and fixed - asset investment were negative factors [2] - After the Fourth Plenary Session of the 20th CPC Central Committee and local state - owned "three - capital" management deepening, the A - share market was positive. Trading volume shrank, margin balance rebounded, and each index rose on the weekly line. The ChiNext and STAR Market rebounded strongly [2] - The basis of each variety fluctuated less this week, and the overall discount narrowed compared to last week. The term structure of near - month contracts moved down slightly, with little change compared to last week, and diversified hedging can be maintained [2] Forecast Conclusion - The model predicts that the basis of IH, IF, IC, and IM will move in the directions of weakening, strengthening, weakening, and weakening respectively next week [4]

证券研究报告·金融工程报告 2025 年 10 月 24 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 2025.10.24 ◆市场表现：2025 年 10 月 23 日, 各宽基指数（表 1）涨跌各现，其中上证 50（0.56%） 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 A 股市场快照：宽基指数每日投资动 和沪深 300（0.3%）涨幅最大，而中证 2000（-0.22%）和中证 1000（-0.06%）下跌。 当年涨跌情况，创业板指（42.99%）涨幅最大，其次是中证 2000（29.71%）和中 证 500（24.75%），中证全指（21.52%）和沪深 300（17.06%）涨幅扩大，而上证 50（12.74%）涨幅最小。另外，上证 50、沪深 300、中证 1000 和中证全指连续三 日连阳，中证 2000 连续四日连阳。 ◆均线比较：所有跟踪指数仍在 5 日均线之上，中证全指突破 10 日均线。上证 50 达到近 250 日高位。 ◆资金占比与换手：2025 年 10 月 23 日 ...

- The report introduces the **RSI (Relative Strength Index)** as a quantitative factor, which measures the average price gains and losses over a 12-day period to assess market conditions. The formula is: $ RSI = 100 - 100 / (1 + RS) $ where RS represents the ratio of average gains to average losses over the specified period. RSI values above 70 indicate an overbought market, while values below 30 suggest an oversold market[2][4] - Another quantitative factor discussed is **Net Purchase Amount (NETBUY)**, which calculates the net inflow or outflow of funds for ETFs. The formula is: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $ Here, NAV(T) is the net asset value of the ETF on day T, NAV(T-1) is the net asset value on the previous day, and R(T) is the return rate on day T[2][4] - The report provides detailed tracking of **ETF performance metrics**, including daily price trends, institutional holdings, and transaction volumes, which are used to evaluate the effectiveness of the ETFs in tracking their respective indices[2][4] - The report evaluates the **RSI factor** as a useful tool for identifying market conditions, particularly overbought and oversold states, which can guide trading decisions[2][4] - The **Net Purchase Amount factor** is highlighted for its ability to measure fund flows, providing insights into investor sentiment and market dynamics[2][4] - The report includes specific RSI values for various ETFs, such as: - **华泰柏瑞沪深300ETF**: RSI = 56.06[4] - **易方达沪深300ETF**: RSI = 55.49[4] - **华夏上证50ETF**: RSI = 62.44[4] - **南方中证银行ETF**: RSI = 67.26[4] - **华安三菱日联日经225ETF**: RSI = 73.34[4] - Net Purchase Amount values for selected ETFs include: - **华泰柏瑞沪深300ETF**: NETBUY = -12.68 billion[4] - **易方达沪深300ETF**: NETBUY = -5.66 billion[4] - **华夏上证50ETF**: NETBUY = -0.24 billion[4] - **南方中证银行ETF**: NETBUY = -1.69 billion[4] - **华安三菱日联日经225ETF**: NETBUY = -0.23 billion[4] - The report emphasizes the importance of these factors in understanding market trends and making informed investment decisions[2][4]

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting daily, weekly, monthly, and yearly changes in index returns, with the highest annual return observed for the ChiNext Index at 42.85%[10][11][13] - It compares indices against their moving averages (MA5, MA10, MA20, MA60, MA120, MA250) and their 250-day high and low levels, showing that all indices remain above their 5-day moving averages, except the CSI 2000, which fell below its 10-day moving average[13][14] - The turnover rate and trading volume share are analyzed, with CSI 2000 having the highest turnover rate at 3.56, while the CSI 300 accounts for the largest trading volume share at 26.89%[16][17] - Daily return distributions are examined, revealing that the ChiNext Index has the largest negative skewness and kurtosis deviation, while the CSI 300 has the smallest[23][24] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate, showing that the CSI 1000 and CSI 2000 have higher volatility in risk premiums compared to other indices[26][27][30] - PE-TTM ratios are evaluated as valuation metrics, with CSI 500 and CSI All Index showing the highest 5-year percentile values at 98.18% and 97.44%, respectively, while the ChiNext Index has the lowest at 58.51%[38][41][42] - Dividend yield analysis indicates that the ChiNext Index and CSI 1000 have the highest 5-year historical percentile values at 69.42% and 46.2%, respectively, while CSI 2000 and CSI 500 have the lowest at 20.25% and 16.28%[46][51][52] - The report also tracks the percentage of stocks trading below their net asset value (break-net ratio), with the highest ratio observed for the SSE 50 at 18.0% and the lowest for the ChiNext Index at 1.0%[53]

- The report tracks various types of daily frequency data for ETFs, divided into "broad-based" and "thematic" sub-tables[2] - The RSI (Relative Strength Index) is calculated using the formula: $ RSI = 100 - 100 / (1 + RS) $, where RSI is the ratio of average gains to average losses over a specific period (12 days)[2] - The net subscription amount is calculated using the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $, where NETBUY(T) is the net subscription amount, NAV(T-1) is the ETF's net asset value from the previous trading day[2] - The report includes data on whether ETFs support T+0 trading[2] - The report provides detailed information on various ETFs, including tracking index performance, ETF names, security codes, market capitalization, RSI, net subscriptions, trading volume, intraday trend, management fee rate, institutional holdings, and T+0 trading support[4] - The report includes data on institutional holdings as disclosed in the latest annual or semi-annual reports, excluding holdings by corresponding feeder funds[3] - The report notes that missing values represent newly listed funds with insufficient data or funds that have not yet disclosed annual or semi-annual reports[3]

一则未经证实的期权"选秀"传闻，正试图重新点燃一个略显疲态的千亿级赛道。 当中证A500ETF市场关注度渐冷之际，"交易所将遴选两只产品纳入期权标的"的消息在业内流传。第一 财经多方核实，多数机构回应称尚无确切消息。有知情人士透露，该传闻实源自部分业内人士私下讨 论，监管层对此态度审慎，短期内落地概率较低。 这则传闻的发酵，恰处中证A500ETF市场一周年之际。去年10月首批产品上市时，营销大战"卷到极 致"，单月最高吸金超1133亿元，一年间挂钩产品达216只、涉及83家基金公司。 但今年以来资金退潮明显，40只中证A500ETF年内净流出超1096亿元，合计规模缩水近四分之一，超 四成产品规模不足10亿元。头部分化亦同步加剧，华泰柏瑞、易方达旗下产品逆势增长超36%，部分头 部产品规模"贴身肉搏"，还有昔日百亿级产品规模出现"腰斩"。 市场冷却与格局生变，也让基金公司的营销策略悄然分化：有的坚守"持久战"，有的坦言"不得不卷"， 还有的选择"佛系"应对，仅维持基础营销。从"全民追捧"到资金退潮，从"卷到极致"到策略分化，接下 来行业格局如何演变，仍需时间给出答案。 从"全民追捧"到资金退潮 去年10月，首 ...

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting that all indices experienced an increase on October 20, 2025, with the ChiNext Index (1.98%) and CSI 2000 (1.43%) showing the largest daily gains[1][2][10] - The ChiNext Index achieved the highest annual growth rate of 39.78%, followed by CSI 2000 (28.01%) and CSI 500 (23.47%), while the SSE 50 recorded the smallest annual growth rate of 10.81%[10][11] - The ChiNext Index broke above its 5-day moving average, while other indices remained below their 5-day and 10-day moving averages, with all indices being more than 1.5% away from their 250-day highs[13][14] - The turnover rate of indices on October 20, 2025, was led by CSI 2000 (3.21), followed by CSI 1000 (2.25) and ChiNext Index (2.07), while SSE 50 had the lowest turnover rate at 0.31[16][17] - The distribution of daily returns showed that the ChiNext Index had the largest negative skewness and kurtosis deviation, while CSI 1000 had the smallest negative skewness and kurtosis deviation[23][24] - Risk premium analysis revealed that the ChiNext Index (88.81%) and CSI 2000 (85.08%) had relatively high 5-year percentile values, while CSI 1000 (72.7%) and SSE 50 (62.22%) had lower values[28][30] - PE-TTM analysis indicated that CSI 500 (98.26%) and CSI All Index (95.62%) had high 5-year percentile values, while CSI 2000 (82.89%) and ChiNext Index (58.02%) had lower values[39][41] - Dividend yield analysis showed that the ChiNext Index (71.07%) and CSI 1000 (50.66%) were at relatively high 5-year historical percentile values, while CSI 2000 (24.13%) and CSI 500 (16.61%) were at lower values[50][51] - Current net break rates for indices were reported as follows: SSE 50 (20.0%), CSI 300 (15.67%), CSI 500 (11.6%), CSI 1000 (7.4%), CSI 2000 (3.3%), ChiNext Index (1.0%), and CSI All Index (5.99%)[52][54]

Core Viewpoint - The article presents a comprehensive index map for investors, detailing various stock indices, their codes, selection rules, industry distribution, and average and median market capitalizations of constituent stocks, which will be regularly updated for easy reference [1][2]. Group 1: Types of Indices - The index map includes several categories of stock indices: broad-based indices, strategy indices, industry indices, thematic indices, and overseas indices [4][5]. Group 2: Broad-based Indices - Important broad-based indices in the A-share market include the CSI series such as the CSI 300, CSI 500, CSI 800, and the CSI All Share, which are selected based on the market capitalization of listed companies and cover a wide range of industries [9]. Group 3: Strategy Indices - Common strategy indices in the A-share market include: - CSI 300: Represents large-cap stocks - CSI 500: Represents mid-cap stocks - CSI 1000: Represents small-cap stocks - CSI 2000: Represents micro-cap stocks [11]. - Strategy indices enhance investment options and cater to diverse investor needs [13]. Group 4: Dividend and Value Indices - Dividend indices select stocks with high dividend yields, while value indices focus on stocks with low price-to-earnings and price-to-book ratios, as well as high dividend yields [12]. - Low volatility indices target stocks with lower price volatility, and fundamental indices select stocks based on revenue, cash flow, net assets, and dividend size [12][13].