证券研究报告·金融工程报告 2025 年 11 月 25 日 江海证券研究发展部 金融工程研究组 A 股市场快照：宽基指数每日投资动态 2025.11.25 ◆市场表现：2025 年 11 月 24 日, 各宽基指数（表 1）涨跌各现，其中中证 2000 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 （1.86%）和中证 1000（1.26%）涨幅最大，而上证 50（-0.18%）和沪深 300（-0.12%） 下跌。当年涨跌情况，创业板指（36.77%）涨幅最大，其次是中证 2000（27.73%） 和中证 1000（20.12%），中证 500（19.97%）和中证全指（18.06%）涨幅扩大，而 上证 50（9.9%）涨幅最小。另外，上证 50、沪深 300 和创业板指连续三日连阴。 ◆均线比较：所有跟踪指数仍低于 5 日、10 日、20 日及 60 日均线。中证 2000 修 复较迅速。中证 500 和创业板指跌幅较大，相对深度地偏离短期均线。 ◆资金占比与换手：2025 年 11 月 24 日, 沪深 300（25.12%）交易金额占比最 ...

证券研究报告|金融工程研究报告 [Table_Date] 2025 年 11 月 22 日 [Table_Title] 一周市场数据复盘 20251121 [Table_Summary] ► 宽基指数表现 上周市场普遍下跌，上证 50、沪深 300 跌幅较小，分别 下跌2.72%、3.77%。小盘与成长风格宽基指数跌幅较大，中 证 2000、创业板指分别下跌 6.78%、6.15%。 今年以来小盘与成长风格指数涨幅居前，创业板指、科 创 50 和中证 2000 表现较好，分别上涨 36.35%、30.02%和 25.40%。 ► 行业指数表现 评级及分析师信息 上周跌幅最小的行业是银行、传媒和食品饮料，分别下 跌 0.89%、1.25%和 1.44%。 今年以来有色金属和通信行业表现最好，分别上涨 65.71%和 51.67%。 PE 分位数达 99%的行业包括商贸零售、环保、和煤炭； PE 分位数最低的两个行业是非银金融和食品饮料，分别为 1%和 18%。 ► 行业拥挤度 我们使用行业指数最近一周价格和成交金额变动的马氏 距离衡量拥挤度。 上周房地产和纺织服饰行业出现量升价跌。 [Table_Author] ...

Group 1 - The article emphasizes the importance of diversifying investments across different asset classes, including both RMB and foreign currency assets, as well as stocks and bonds [2] - It introduces a free course that systematically covers investment knowledge related to US dollar bond funds, highlighting its significance in a diversified portfolio [2] Group 2 - The article explains the concept of industry indices, which focus on stocks within specific sectors such as consumer, healthcare, and finance [5] - It outlines the need to manage investment proportions in individual industries due to their higher volatility, which can average between 30%-50% annually, compared to broader indices like the CSI 300, which typically sees volatility around 20%-25% [5] - It advises investors to limit exposure to any single industry to 15%-20% to mitigate risk [5] - The article also stresses the importance of selecting strong industries for investment and ensuring a diversified allocation across different sectors [6][7]

- 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 net asset ratios[1][3][4] - The analysis includes a detailed comparison of indices against their moving averages (5-day, 10-day, 20-day, 60-day, 120-day, and 250-day), as well as their positions relative to the highest and lowest points over the past 250 trading days. For example, the ChiNext Index has retraced 8.5% from its 250-day high[15][16] - Turnover rates and trading volume proportions are calculated for each index. For instance, the CSI 2000 has the highest turnover rate at 4.0%, while the CSI 500 has a turnover rate of 1.4%[18] - The report evaluates the distribution of daily returns for each index, highlighting kurtosis and skewness. The ChiNext Index exhibits the largest negative kurtosis deviation, while the CSI 1000 shows the smallest. Similarly, the ChiNext Index and SSE 50 have the largest negative skewness, while the CSI 2000 has the smallest[24][25] - Risk premiums are calculated using the yield of 10-year government bonds as the risk-free rate. The report notes significant mean reversion in risk premiums, with indices like the CSI 1000 and CSI 2000 showing higher volatility. For example, the current risk premium for the SSE 50 is -0.41%, with a 5-year percentile rank of 33.41%[27][31][34] - The PE-TTM ratios of indices are analyzed as valuation metrics. The CSI 1000 and CSI 500 have the highest 5-year percentile ranks at 95.54% and 95.29%, respectively, while the ChiNext Index has the lowest at 54.3%[39][42][43] - Dividend yields are tracked as a measure of cash return. The ChiNext Index has the highest 5-year historical percentile rank at 71.57%, while the CSI 500 has the lowest at 17.6%[52][53] - The report also examines the net asset ratios of indices, noting that the SSE 50 has the highest percentage of stocks trading below net asset value at 18.0%, while the ChiNext Index has the lowest at 1.0%[54]

Group 1 - The China Securities A500 Index has experienced a decline of 2.2% as of the midday close [2] - The A500 ETF by E Fund tracks the China Securities A500 Index, which consists of 500 securities with large market capitalization and good liquidity, covering 91 out of 93 sub-industries [2] - The A100 ETF by E Fund tracks the China Securities A100 Index, which includes 100 representative securities with large market capitalization and good liquidity, reflecting the overall performance of core leading listed companies [2] Group 2 - The A100 Index has also seen a decline of 2.0% as of the midday close [2]

- The report includes the construction of the RSI (Relative Strength Index) factor, which is calculated using the formula: $ RSI = 100 - 100 / (1 + RS) $, where RS represents the ratio of average gains to average losses over a 12-day period. RSI values above 70 indicate an overbought market, while values below 30 suggest an oversold market [2] - The report also introduces the calculation of net subscription (NETBUY), defined as $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $, where NETBUY(T) represents the net subscription amount, NAV(T) is the ETF's net asset value on day T, and R(T) is the return on day T [2] - The report tracks various ETFs categorized into "Broad-based" and "Thematic" indices, such as CSI 300, CSI 500, and industry-specific indices like non-bank financials, dividends, and China internet sectors. It provides daily performance metrics, including RSI values, net subscription amounts, and institutional holding percentages [2][4][7] - The RSI factor is evaluated as a useful indicator for identifying market conditions, such as overbought or oversold states, aiding in short-term trading decisions [2] - The net subscription metric is assessed as a valuable measure for understanding fund flows and investor sentiment towards specific ETFs [2] - RSI values for various ETFs range from 11.05 to 77.25, reflecting diverse market conditions across different indices and sectors [4][7] - Net subscription values vary significantly, with some ETFs showing positive inflows while others exhibit outflows, indicating mixed investor sentiment across different funds [4][7]

Core Viewpoint - The article presents an index map that includes various commonly used stock indices, their codes, selection rules, industry distribution, average and median market capitalization of constituent stocks, and the number of constituent stocks, which will be updated regularly 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][2]. Group 2: Index Details - The article provides detailed information on specific indices, including: - CSI 300 Index (000300.SH): Average market cap of ¥214.64 billion, median market cap of ¥108.39 billion, consisting of 300 stocks [7]. - CSI 500 Index (000905.SH): Average market cap of ¥33.42 billion, median market cap of ¥29.64 billion, consisting of 500 stocks [7]. - CSI 800 Index (000906.SH): Average market cap of ¥101.38 billion, median market cap of ¥40.13 billion, consisting of 800 stocks [7]. - CSI 1000 Index (000852.SH): Average market cap of ¥14.66 billion, median market cap of ¥12.79 billion, consisting of 1000 stocks [7]. - CSI 2000 Index (932000.CSI): Average market cap of ¥6.06 billion, median market cap of ¥5.32 billion, consisting of 2000 stocks [7]. Group 3: Industry Distribution - The article outlines the industry distribution across various indices, highlighting the following: - Materials: 8.86% in broad-based indices, 18.14% in strategy indices, and 11.44% in industry indices [11]. - Real Estate: 0.65% in broad-based indices, 1.34% in strategy indices, and 0.83% in industry indices [11]. - Financials: 25.45% in broad-based indices, 33.98% in strategy indices, and 4.49% in industry indices [11].

- The report tracks and analyzes the market data of major indices, including their performance, moving averages, trading volume, turnover rates, and risk premiums[1][2][3] - The report provides a detailed comparison of the indices' performance against their moving averages and the highest and lowest points over the past 250 trading days[13][14] - The report includes the distribution of daily returns for each index, highlighting the kurtosis and skewness of the distributions[23] - The risk premium of each index relative to the 10-year government bond yield is analyzed, showing significant mean reversion and volatility patterns[25][26][27] - The report evaluates the PE-TTM (Price-to-Earnings Trailing Twelve Months) ratios of the indices, comparing their current values to historical percentiles[37][38][40] - The report examines the dividend yields of the indices, noting their historical percentiles and recent trends[45][46][50] - The report discusses the net asset value (NAV) break rates of the indices, indicating the proportion of stocks trading below their net asset value[52]

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core View of the Report - The report provides daily tracking data of various ETFs, including information such as tracking index, RSI, net purchase, trading volume, institutional holding ratio, etc., but does not explicitly state a core view [2][4][6] 3. Summaries Based on Related Catalogs 3.1 Data Explanation - The table tracks daily frequency data of ETFs, divided into "broad - based" and "theme" sub - tables according to the tracking index type. The "broad - based" ETFs track mainstream broad - based indices like CSI 300, and "theme" ETFs track industry/style indices like non - bank and dividend. A fund pool is constructed by selecting one or more large - scale ETFs in each type. The RSI is calculated based on a 12 - day average rise - fall ratio, with RSI>70 indicating an overbought market and RSI<30 indicating an oversold market. Net purchase is calculated based on the formula NETBUY(T) = NAV(T)–NAV(T - 1)*(1 + R(T)). Some data may have deviations or be null due to factors such as new listings and late disclosure [2][3] 3.2 Broad - based ETFs - **CSI 300**: Multiple ETFs like Huatai - Berry CSI 300 ETF (510300.SH) with a circulation market value of 428.929 billion yuan, RSI of 57.93, and net purchase of 5.17 billion yuan are presented. Different funds have different performance in terms of market value, RSI, net purchase, etc. [4] - **CSI 500**: For example, Southern CSI 500 ETF (510500.SH) has a circulation market value of 135.661 billion yuan, RSI of 55.28, and net purchase of 3.62 billion yuan [4] - **SSE 50**: Huaxia SSE 50 ETF (510050.SH) has a circulation market value of 184.021 billion yuan, RSI of 63.28, and net purchase of 6.95 billion yuan [4] - Other broad - based indices such as CSI 800, CSI 1000, CSI 2000, CSI A50, etc. also have corresponding ETFs with different performance indicators [4] 3.3 Theme ETFs - **Consumption Electronics**: ETFs like Huaxia Guozheng Consumption Electronics Theme ETF (159732.SZ) with a circulation market value of 297.7 million yuan, RSI of 43.54, and net purchase of 0.19 billion yuan are included [6] - **Non - bank**: Guotai CSI All - Index Securities Company ETF (512880.SH) has a circulation market value of 63.432 billion yuan, RSI of 48.79, and net purchase of 9.60 billion yuan [6] - **Bank**: Huabao CSI Bank ETF (512800.SH) has a circulation market value of 20.596 billion yuan, RSI of 65.52, and net purchase of - 1.04 billion yuan [6] - **Dividend**: Huatai - Berry SSE Dividend ETF (510880.SH) has a circulation market value of 17.911 billion yuan, RSI of 75.44, and net purchase of - 0.50 billion yuan [6] - **New Energy**: Guangfa Guozheng New Energy Vehicle Battery ETF (159755.SZ) has a circulation market value of 15.868 billion yuan, RSI of 65.71, and net purchase of 9.04 billion yuan [6] - **Chip Semiconductor**: Huaxia Guozheng Semiconductor Chip ETF (159995.SZ) has a circulation market value of 28.815 billion yuan, RSI of 47.52, and net purchase of 5.58 billion yuan [6] - Other themes such as photovoltaic, military, ESG, robot, AI, real estate, etc. also have corresponding ETFs with various performance data [6]

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting daily, weekly, monthly, quarterly, and annual changes in index returns. For example, on November 11, 2025, the ChiNext Index experienced the largest daily decline (-1.4%), while the CSI 2000 showed the highest daily increase (0.4%) [13][15][18] - The report compares indices against their moving averages (MA5, MA10, MA20, MA60, MA120, MA250) and their 250-day highs and lows. Most indices, except CSI 1000 and CSI 2000, fell below their 5-day moving averages, with the ChiNext Index showing the steepest decline relative to its moving averages [18][19][21] - Turnover rates and trading volume proportions are analyzed for broad-based indices. On November 11, 2025, CSI 2000 had the highest trading volume proportion (25.16%) and turnover rate (4.48), while the SSE 50 had the lowest turnover rate (0.24) [21][24][27] - The report examines the distribution of daily returns for indices, focusing on kurtosis and skewness. The ChiNext Index exhibited the largest negative kurtosis and skewness, indicating concentrated losses and extreme negative returns, while CSI 2000 showed the smallest negative skewness [27][29][31] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate. CSI 2000 and CSI 1000 had the highest 5-year risk premium percentiles (57.14% and 37.86%, respectively), while the ChiNext Index had the lowest (16.35%) [31][35][38] - PE-TTM ratios are analyzed as valuation metrics. CSI 1000 and CSI 500 had the highest 5-year percentiles (98.02% and 96.53%, respectively), while CSI 2000 and the ChiNext Index had lower percentiles (84.38% and 56.03%, respectively) [41][44][45] - Dividend yield analysis highlights the cash return rates of indices. The ChiNext Index had the highest 5-year historical percentile (66.94%), while CSI 500 and CSI 2000 had the lowest (15.04% and 11.82%, respectively) [49][54][55] - The report evaluates the price-to-book ratio and the proportion of stocks trading below their net asset value (break-net ratio). The SSE 50 had the highest break-net ratio (18.0%), while the ChiNext Index had the lowest (1.0%) [56][58][57]