证券研究报告·金融工程报告 2026 年 3 月 2 日 江海证券研究发展部 A 股市场快照：宽基指数每日投资动态 2026.03.02 ◆市场表现：2026 年 2 月 27 日, 各宽基指数（表 1）涨跌各现，其中中证 500（1.18%） 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 1000（0.83%）涨幅最大，而创业板指（-1.04%）和沪深 300（-0.34%）下跌。 当年涨跌情况，中证 500（15.98%）涨幅最大，其次是中证 2000（13.35%）和中证 1000（12.71%），创业板指（3.34%）和沪深 300（1.74%）涨幅缩小，而上证 50（0.27%） 涨幅最小。另外，中证 2000 连续四日连阳，中证 500、中证 1000 和中证全指连续 三日连阳；沪深 300 实现连续六周连阴，创业板指连续四周连阴。 ◆均线比较：上证 50 仍位于 5 至 60 日均线之下。创业板指跌破 5 日及 20 日均线。 中证全指、中证 1000 和中证 2000 连续突破 250 日峰值，中证 500 达到 250 日 ...

本周，中证A500指数上涨2.1%，中证A100指数上涨1%，中证A50指数接近平收。 光大证券认为，展望后市，市场节后有望震荡上行。2012年至2025年，万得全A指数春节后20个交易日里上涨的概率较 高，且从宽基指数来看，多数宽基指数2010年至2024年春节后20个交易日里的涨跌幅均值显著高于春节前20个交易日。 | | 中证A500指数 | 中证A100指数 | 中证A50指数 | | --- | --- | --- | --- | | 本周涨跌幅 | 2. 1% | 1.0% | 0. 0% | | 指数滚动 市盈率 | 17. 4倍 | 17.5倍 | 18. 1倍 | | 滚动市盈率 分位 | 76. 6% | 83. 5% | 2024年1月2日 新发布 | | 跟踪该指数 | A500ETF易方达 | A100ETF易方达 | 中证A50ETF易方达 | | 的ETF | (159361) | (159686) | (563080) | 由各行业市值较大、流动性较好的500只证券组成,覆 盖93个三级行业中的89个 S 中证A100指数 A 指数历史涨跌幅 中证A500指数 中证A100指数 ...

- The report primarily focuses on tracking and analyzing market data of major broad-based indices in the A-share market, including their performance, moving averages, turnover rates, risk premiums, PE-TTM, dividend yields, and net asset ratios[1][3][4] - The turnover rates of the indices are calculated using the formula: $ \text{Turnover Rate} = \frac{\Sigma(\text{Component Stock Free Float Shares} \times \text{Component Stock Turnover Rate})}{\Sigma(\text{Component Stock Free Float Shares})} $ This metric reflects the liquidity and trading activity of the indices[18][19] - The risk premium is calculated relative to the 10-year government bond yield, serving as a measure of the relative investment value and deviation of the indices. The report highlights that indices like CSI 1000 and CSI 2000 exhibit higher volatility in risk premiums, while indices such as SSE 50 show more concentrated distributions[28][29][35] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation reference. The report notes that indices like CSI All Share (99.92%) and CSI 1000 (99.59%) have high 5-year percentile values, indicating elevated valuations, while SSE 50 (81.65%) and ChiNext (63.97%) are relatively lower[40][43][44] - Dividend yield is analyzed as a measure of cash return. The report observes that indices like ChiNext (55.54%) and CSI 300 (38.6%) are at relatively high 5-year historical percentiles, while CSI 500 (5.12%) and CSI 2000 (0.74%) are at lower levels[49][54][56] - The net asset ratio (percentage of stocks trading below their book value) is also tracked. The current ratios for indices are as follows: SSE 50 (24.0%), CSI 300 (16.67%), CSI 500 (10.6%), CSI 1000 (6.9%), CSI 2000 (2.45%), and CSI All Share (5.5%)[55][58]

1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints of the Report - A-share market showed pre-holiday trading volume contraction, and broad-based indices stabilized. The overall ETF market had a net inflow of about -13.2 billion yuan in subscription and redemption funds last week [1][2]. - The copper - gold ratio can be regarded as a leading indicator of China's bond yields. Last week, China's 10 - year Treasury bond yield was basically flat compared to the previous week, while the US 10 - year Treasury bond yield decreased slightly [10]. 3. Summary by Relevant Catalogs Market Overall Situation: Broad - based Indices Stabilized, Comprehensive Sector Led the Rise - China's 10 - year Treasury bond yield was 1.79% on Friday last week, and the US 10 - year Treasury bond yield was 4.03% [1]. - The average daily trading volume of the Shanghai and Shenzhen stock markets was 2.0926 trillion yuan, a 12.30% decrease compared to the previous week. The margin trading balance was about 2.5724 trillion yuan, a decrease of about 74.7 billion yuan from the previous week. The average maintenance margin ratio of margin trading was 290% [11]. - Seven new stock - type ETFs were issued last week, with a total issuance scale of about 2.2 billion shares [11]. - Stock - type ETFs had a net outflow of about 48.7 billion yuan in subscription and redemption last week [12]. - The Shanghai Composite Index rose 0.41%, and the ChiNext Index rose 1.22%. Among the Shenwan primary industries, the comprehensive sector led the rise with a 15.28% increase, while the textile and apparel and food and beverage industries declined [12]. - The congestion indicator of the media industry in the Shenwan primary industries issued a warning last week [12]. Broad - based ETFs Had a Net Outflow of Subscription and Redemption Funds (1) Net Inflow of Subscription and Redemption Funds in Theme ETFs such as Hang Seng Tech, Robotics, and Sub - chemical - The overall ETF market had a net inflow of about -13.2 billion yuan in subscription and redemption funds. Stock - type ETFs had a net inflow of about -48.7 billion yuan, with broad - based ETFs having a net inflow of about -42.9 billion yuan and cross - border ETFs having a net inflow of about 9.7 billion yuan [26]. - The trading turnover rate of stock - type ETFs generally decreased last week [26]. - The CSI 300 and CSI A500 ETFs had a small net outflow of subscription and redemption funds. Theme ETFs such as robotics and sub - chemical had a net inflow of subscription and redemption funds. The Hang Seng Tech ETF also had a net inflow of subscription and redemption funds, and the gold ETF had a small net inflow [26]. (2) Net Inflow of Funds in Short - term Financing ETFs Last Week - Bond ETFs such as short - term financing had a net inflow of subscription and redemption funds, while theme ETFs such as the CSI 300 and CSI A500 had a net outflow [34]. (3) Overview of Newly Listed and Proposed - to - be - Listed ETFs - Twelve ETF funds were listed for trading last week, with a total share of about 5.3 billion. Ten ETFs that had completed fundraising were waiting to be listed, with a total share of about 3.4 billion [39].

Core Viewpoint - The article introduces a comprehensive index map that includes various commonly used 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]. Group 2: Specific Indices and Their Characteristics - The Shanghai 180 Index (000010.SH) consists of 180 large-cap, liquid stocks from the Shanghai A-share market, reflecting the performance of blue-chip companies [5]. - The Shenzhen Component Index (399001.SZ) includes 500 large-cap, liquid companies from the Shenzhen market, representing the overall performance of the Shenzhen market [5]. - The Shenzhen 100 Index (399330.SZ) selects 100 large-cap, liquid companies from the Shenzhen market, representing innovative and growth-oriented leading enterprises [5]. - The ChiNext Index (399006.SZ) comprises 100 representative stocks from the ChiNext board, reflecting the market tier of the ChiNext [5]. - The ChiNext 50 Index (399673.SZ) consists of the 50 stocks with the best liquidity indicators from the ChiNext Index [5]. - The Science and Technology Innovation 50 Index (000688.SH) includes 50 large-cap, liquid stocks from the Science and Technology Innovation Board, reflecting the performance of the most representative tech companies [5]. - The MSCI A50 Index (746059.MI) measures the performance of the 50 largest and most liquid stocks in the A-share market [5]. - The Hang Seng Index (HSI.HI) reflects the performance of the largest and most actively traded companies listed in Hong Kong [5]. - The H-share Index (HSCEI.HI) reflects the performance of larger H-shares listed on the Hong Kong Stock Exchange [5]. Group 3: Industry Performance - The article provides data on various industries, showing percentage changes in performance across sectors such as materials, finance, information technology, and healthcare, indicating the relative strength and weaknesses of these sectors [6].

- The report primarily focuses on tracking and analyzing market data of major broad-based indices in the A-share market, including their performance, valuation metrics, and risk premium analysis [1][3][5] - The turnover rate calculation for indices is based on the formula: **Σ(流通股本 * 换手率) / Σ(流通股本)**, which reflects the liquidity and trading activity of the constituent stocks [19] - Daily return distribution analysis highlights the kurtosis and skewness of indices, with the **创业板指** showing the largest negative kurtosis and skewness, while **中证500** exhibits the smallest negative values, indicating differences in return concentration and extreme return occurrences [25][26] - Risk premium analysis uses the 10-year government bond yield as the risk-free rate benchmark, evaluating the relative investment value of indices. **中证500** and **上证50** have high 5-year percentile values, while **创业板指** and **中证2000** are relatively lower [28][32][35] - PE-TTM valuation analysis shows **中证1000** and **中证500** with the highest 5-year percentile values, indicating elevated valuations, while **创业板指** and **上证50** are at lower percentile levels [43][44] - Dividend yield analysis reveals **创业板指** and **沪深300** with relatively high 5-year historical percentile values, suggesting stronger dividend payout trends compared to other indices like **中证500** and **中证2000**, which are at lower levels [49][54][57] - Net asset ratio analysis indicates the proportion of stocks trading below their net asset value, with **上证50** having the highest percentage of stocks below net asset value, followed by **沪深300** and **中证500**, reflecting market valuation attitudes [56][59]

- The report primarily focuses on tracking and analyzing market data of major broad-based indices in the A-share market, including their performance, moving averages, turnover rates, risk premiums, PE-TTM, dividend yields, and net-breaking rates [1][3][4] - **Market Performance**: All broad-based indices showed positive growth on February 9, 2026, with the highest daily increase observed in the ChiNext Index (2.98%) and CSI 1000 (2.26%). Year-to-date, CSI 500 recorded the highest growth (11.33%), followed by CSI 2000 (10.07%) and CSI 1000 (8.41%) [3][12][16] - **Moving Averages**: All indices surpassed their 5-day moving averages. CSI 500 and CSI 1000 remained below their 20-day moving averages, while other indices exceeded their 10-day and 20-day moving averages [14][15] - **Turnover Rates**: CSI 2000 had the highest turnover rate (4.02%), followed by ChiNext Index (3.55%) and CSI 1000 (2.85%). The turnover rate calculation formula is: $ \text{Turnover Rate} = \frac{\Sigma(\text{Circulating Shares of Constituents} \times \text{Turnover Rate of Constituents})}{\Sigma(\text{Circulating Shares of Constituents})} $ [18] - **Risk Premiums**: Risk premiums were calculated relative to the 10-year government bond yield. CSI 500 (96.67%) and CSI All Share (96.35%) had the highest 5-year percentile values, while CSI 2000 (94.21%) and SSE 50 (92.62%) had lower values. CSI 1000 and CSI 2000 exhibited higher volatility in risk premiums [27][28][30] - **PE-TTM Analysis**: CSI 500 and CSI All Share had the highest 5-year percentile values (99.26%), indicating elevated valuations. Conversely, SSE 50 (83.8%) and ChiNext Index (64.71%) had lower percentile values. The PE-TTM formula is: $ \text{PE-TTM} = \frac{\text{Market Price}}{\text{Trailing Twelve Months Earnings}} $ [38][41][42] - **Dividend Yields**: Dividend yields were tracked to assess cash return rates. ChiNext Index (55.29%) and CSI 300 (37.02%) had the highest 5-year historical percentile values, while CSI 500 (4.46%) and CSI 2000 (0.83%) were significantly lower [47][50][52] - **Net-Breaking Rates**: Net-breaking rates reflect the proportion of stocks trading below their book value. Current rates were highest for SSE 50 (24.0%) and lowest for CSI 2000 (2.4%) [54][57][59]

- The report does not contain any specific quantitative models or factors, nor does it provide details on their construction or evaluation [1][2][3] - 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 [5][6][19][28][40][49][55] - The analysis includes comparisons of indices against their historical averages, standard deviations, and percentile rankings over the past 1 and 5 years, providing insights into valuation and market sentiment [32][43][45][54] - Key indices analyzed include the SSE 50, CSI 300, CSI 500, CSI 1000, CSI 2000, CSI All Share, and ChiNext Index, with detailed metrics such as risk premiums, PE-TTM values, dividend yields, and net asset ratios provided for each index [13][19][32][45][54][58] - The report highlights the relative valuation and investment attractiveness of these indices based on their historical positioning and current market conditions, but does not delve into specific quantitative factor or model construction [43][45][54]

- 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 break rates[1][3][4] - The turnover rate of the indices is calculated as the weighted average of the turnover rates of constituent stocks, weighted by their free-float market capitalization[18] - The risk premium is measured relative to the yield of 10-year government bonds, serving as a reference for risk-free rates, and is used to evaluate the relative investment value and deviation of indices[27][28] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation reference to assess the investment value of indices at the current point in time, with historical percentile rankings provided for comparison[39][42] - Dividend yield is tracked as a measure of cash return, reflecting the dividend investment style, particularly relevant during market downturns or periods of declining interest rates[48][53] - The net asset break rate is analyzed as the proportion of stocks within an index trading below their book value, indicating market valuation attitudes and potential undervaluation[54][57]

- The report tracks the performance of various broad-based indices in the A-share market, noting that on February 2, 2026, all indices fell by more than -2%, with the CSI 500 and CSI 1000 experiencing the largest declines of -3.98% and -3.39%, respectively[3][11] - The report compares the indices with their moving averages, highlighting that all tracked indices have simultaneously fallen below the 5, 10, and 20-day moving averages, with the CSI 500 and CSI 1000 experiencing significant single-day declines and a retreat of over 5.5% from their recent 250-day highs[3][13] - The report provides data on the trading volume and turnover rates of the indices, with the CSI 2000 having the highest turnover rate at 4.26, followed by the ChiNext Index at 3.85, and the CSI 1000 at 3.1[3][17] - The distribution of daily returns is analyzed, showing that the ChiNext Index has the largest negative skewness and kurtosis, while the CSI 500 has the smallest negative skewness and kurtosis[3][24][25] - The risk premium of the indices relative to the 10-year government bond yield is examined, with the ChiNext Index and CSI 2000 having relatively high 5-year percentile values of 5.56% and 5.24%, respectively, while the CSI 500 has a relatively low value of 0.4%[3][27][31] - The PE-TTM ratios of the indices are analyzed, with the CSI 500 and CSI 1000 having high 5-year percentile values of 98.68%, while the ChiNext Index has a lower value of 61.07%[3][42][43] - The dividend yield of the indices is tracked, with the ChiNext Index and CSI 300 having relatively high 5-year historical percentile values of 56.36% and 38.68%, respectively, while the CSI 500 and CSI 2000 have lower values of 8.1% and 5.62%[3][53][55] - The report also notes the percentage of stocks trading below their net asset value, with the CSI 500 having a rate of 11.0%, the CSI 1000 at 7.0%, and the CSI 2000 at 2.7%[3][57]