联系人： 李星宇（18810112501） 文 ： 华创证券首席经济学家 张瑜 执业证号：S0360518090001 核心观点 全球"供给焦虑"下，中国中游制造正步入"出海创收"的战略时代 。要获取时代红利，必须穿透宽基指数的标签幻觉，从四大维度甄别底层资产的真实成色。 一是 看体量与趋势 ：宽基"中游含量"极度分化且面临系统性抬升。创业板指中游市值占比超70%，占据绝对主导；沪深300等大盘宽基中游市值近四成，提供宏观转型 的向上弹性；而港股"科技"底层资产则更偏向泛消费阵地。 二看虚实与结构 ：宽基的中游市值背后的盈利支撑呈现显著差异。创业板指展现极高的"中游纯度"， 利润占比同超70%，基本面支撑扎实；沪深300则体现出"新老均衡"的结构，中游提供弹性，全指的利润基本盘仍由大金融与大消费稳健托底。 三看驱动与出海 ：中游整体出海能力强劲，但指数呈现不同工具属性。创业板指海外营收超30%且几乎全由中游贡献，是极高纯度的"外需高弹性工具"；沪深300的海外营收约 16%，具备了内外需并重的"均衡配置价值"。 四看动力与归因 ：双重归因揭示了截然不同的演进路径。创业板指的市值与海外营收飙升均超80%源于产业 ...

Group 1: Macro Perspective - China's midstream manufacturing is entering a strategic era of "going global" under global supply anxiety, necessitating a deep understanding of the underlying asset quality beyond broad index labels[1] - The midstream content in broad indices shows extreme differentiation, with the ChiNext Index having over 70% of its market cap in midstream manufacturing, while the CSI 300 has nearly 40%[1] - The profitability support behind midstream market cap varies significantly, with the ChiNext Index showing over 70% profit contribution from midstream assets, indicating strong fundamentals[1] Group 2: Market Trends - Over the past decade, the midstream manufacturing pricing power in A-shares has increased significantly, with the ChiNext Index's midstream market cap share rising by over 44 percentage points[2] - The ChiNext Index's midstream manufacturing market cap and profit share increased by 9.2 and 6.0 percentage points respectively in the first three quarters of 2025, reflecting a pulse acceleration in midstream expansion[2] - The CSI 300's midstream market cap expansion is nearly half reliant on index rebalancing, yet 96% of its overseas revenue growth comes from core blue-chip stocks, showcasing strong underlying resilience[6] Group 3: Profitability and Structure - The ChiNext Index's midstream market cap contributes 77.5% to its net profit, indicating a high purity of midstream manufacturing assets[3] - In contrast, the CSI 300 shows a significant asymmetry, with nearly 40% of its midstream market cap corresponding to only 10.6% of profits, reflecting a balance between new and old economic structures[3] - The overall overseas revenue exposure of midstream manufacturing across indices ranges from 24% to 42%, demonstrating a robust global revenue generation capability[5]

- 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 [1][2][3] - The turnover rates for various indices on March 23, 2026, were as follows: CSI 2000 (4.59), CSI 1000 (3.51), ChiNext Index (3.2), CSI 500 (2.43), CSI All Share (2.3), CSI 300 (1.0), and SSE 50 (0.52) [3][17] - The daily return distribution analysis revealed that the ChiNext Index exhibited the largest negative kurtosis deviation, while the CSI 500 had the smallest negative kurtosis deviation. Similarly, the ChiNext Index showed the largest negative skewness, and the CSI 500 had the smallest negative skewness [3][23][25] - Risk premium analysis, using the 10-year government bond yield as the risk-free rate, indicated that the ChiNext Index (2.3%) and SSE 50 (0.63%) had relatively high 5-year percentile values, while the CSI 1000 (0.48%) and CSI All Share (0.32%) had lower values [3][28][30] - The PE-TTM analysis showed that the CSI 500 (93.06%) and CSI 1000 (89.17%) had high 5-year percentile values, while the SSE 50 (72.15%) and ChiNext Index (56.12%) had lower values. The ChiNext Index's 5-year percentile value was below its danger threshold of 80% [3][36][39][40] - Dividend yield analysis highlighted that the ChiNext Index (56.45%) and CSI 300 (44.63%) were at relatively high 5-year historical percentile values, while the CSI 2000 (26.53%) and CSI 500 (17.77%) were at lower values [3][47][48][51] - The price-to-book ratio analysis revealed that the current percentage of stocks trading below their book value was as follows: SSE 50 (24.0%), CSI 300 (18.0%), CSI 500 (11.2%), CSI 1000 (8.8%), CSI 2000 (4.2%), and CSI All Share (6.96%) [3][52]

- 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 [1][3][4] - The turnover rate of indices on March 18, 2026, was led by CSI 2000 (3.64), followed by CSI 1000 (2.72), ChiNext Index (2.31), CSI 500 (1.85), CSI All Share (1.79), CSI 300 (0.71), and SSE 50 (0.33) [3][18] - The risk premium, calculated relative to the 10-year government bond yield, showed that ChiNext Index (2.01%) and CSI 2000 (1.56%) had the highest current values, while SSE 50 (-0.08%) had the lowest. The 5-year percentile rank of risk premiums was highest for ChiNext Index (88.81%) and CSI 2000 (86.9%) [3][28][32] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) values for indices were as follows: SSE 50 (11.54), CSI 300 (14.19), CSI 500 (36.57), CSI 1000 (49.38), CSI 2000 (166.87), CSI All Share (22.25), and ChiNext Index (41.76). The 5-year percentile rank was highest for CSI All Share (97.02%) and CSI 500 (96.78%) [41][43][42] - Dividend yields were tracked, with SSE 50 (3.34%) and CSI 300 (2.76%) having relatively higher current values, while CSI 500 (1.30%) and CSI 2000 (0.71%) were lower. The 5-year percentile rank was highest for ChiNext Index (53.97%) [50][52][54] - The price-to-book ratio (P/B) was analyzed through the "break net ratio," which measures the proportion of stocks trading below their book value. Current break net ratios were highest for SSE 50 (22.0%) and lowest for CSI 2000 (2.8%) [4][56]

Core Viewpoint - The article introduces an index map that provides essential information about various stock indices, including their codes, selection rules, industry distribution, average and median market capitalization of constituent stocks, and the number 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][2]. Group 2: Index Details - The article provides detailed information on specific indices, including: - CSI 300 (000300.SH): Average market cap of ¥215.22 billion, median market cap of ¥117.08 billion, consisting of 300 stocks [7]. - CSI 500 (000905.SH): Average market cap of ¥37.74 billion, median market cap of ¥32.61 billion, consisting of 500 stocks [7]. - CSI 800 (000906.SH): Average market cap of ¥104.29 billion, median market cap of ¥43.96 billion, consisting of 800 stocks [7]. - CSI 1000 (000852.SH): Average market cap of ¥16.08 billion, median market cap of ¥13.84 billion, consisting of 1000 stocks [7]. - CSI 2000 (932000.CSI): Average market cap of ¥6.56 billion, median market cap of ¥5.65 billion, consisting of 2000 stocks [7]. Group 3: Industry Distribution - The article highlights the distribution of various industries within the indices, showing the percentage representation of sectors such as: - Information Technology: 11.69% in CSI 300, 21.57% in CSI 500, 14.43% in CSI 800 [11]. - Consumer Discretionary: 6.34% in CSI 300, 5.65% in CSI 500, 6.15% in CSI 800 [11]. - Financials: 20.43% in CSI 300, 6.31% in CSI 500, 16.32% in CSI 800 [11]. Group 4: Dividend Indices - The article discusses various dividend indices, including: - CSI Dividend (000922.CSI): Average market cap of ¥220.78 billion, consisting of 100 stocks [10]. - Shanghai Dividend (000015.SH): Average market cap of ¥350.46 billion, consisting of 50 stocks [10]. - Shenzhen Dividend (399324.SZ): Average market cap of ¥77.09 billion, consisting of 40 stocks [10].

- 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[1][2][3] - The turnover rates for various indices on March 13, 2026, were as follows: CSI 2000 (4.14), CSI 1000 (3.35), ChiNext Index (2.64), CSI 500 (2.58), CSI All Share (2.18), CSI 300 (0.94), and SSE 50 (0.41)[3][18][20] - The daily return distribution analysis highlights that the ChiNext Index exhibited the largest negative kurtosis deviation, while the CSI 500 had the smallest negative kurtosis deviation. Similarly, the ChiNext Index showed the largest negative skewness, and the CSI 500 had the smallest negative skewness[25][27] - Risk premium analysis, using the 10-year government bond yield as the risk-free rate, revealed that the ChiNext Index (46.35%) and CSI 300 (34.21%) had relatively high 5-year percentile values, while CSI 1000 (12.06%) and CSI 500 (9.37%) were relatively low[29][30][33] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) analysis showed that CSI All Share (97.77%) and CSI 1000 (97.52%) had the highest 5-year percentile values, while SSE 50 (80.58%) and ChiNext Index (59.01%) were relatively lower[42][43][44] - Dividend yield analysis indicated that the ChiNext Index (55.12%) and SSE 50 (37.77%) had relatively high 5-year percentile values, whereas CSI 500 (8.02%) and CSI 2000 (4.21%) were relatively low[48][53][55] - The price-to-book ratio analysis showed that the current percentage of stocks trading below their book value was highest for SSE 50 (22.0%) and lowest for CSI 2000 (2.6%)[54][57]

Group 1 - The article discusses the core confusion faced by investors in the A-share market regarding which index can achieve long-term stable growth through bull and bear markets [4] - It emphasizes the underlying logic of a steadily rising A-share index, focusing on the "representativeness" and "passive tracking" of traditional broad-based indices [5] - The article highlights the potential risks of broad-based indices during economic transitions, where they may inadvertently lead to "buy high, sell low" scenarios due to their weight adjustments based on market trends [6] Group 2 - The article introduces alternative strategies such as dividend and free cash flow indices, which are designed to identify undervalued stocks based on objective financial rules rather than chasing market trends [8] - Dividend strategy focuses on selecting companies with the highest dividend yields, creating a dynamic balance that encourages buying undervalued stocks and selling overvalued ones [9] - Free cash flow strategy emphasizes the importance of cash generation over accounting profits, using free cash flow yield to select stocks, thus avoiding inflated valuations [10] Group 3 - The micro-cap stock index strategy is described as an aggressive approach that targets the lowest market cap stocks, benefiting from market inefficiencies and emotional trading by retail investors [11] - The article notes that while reverse strategies excel in bear or volatile markets, they may underperform during bull markets when growth stocks dominate [13] - It suggests that rational investors should not allocate their entire portfolio to reverse strategy indices but rather balance them with broad-based indices for optimal asset allocation [15]

Core Viewpoint - The article discusses the volatility of different investment styles and the importance of understanding risk tolerance for investors. It emphasizes starting with lower volatility investments and gradually increasing exposure to higher volatility assets as experience grows [2][3][4][5]. Group 1: Investment Styles and Volatility - Some investment styles exhibit lower volatility compared to the broader market, such as value-oriented strategies, which include dividend stocks and low-volatility stocks. These typically have a volatility risk of about 60%-70% of the market's [3]. - Conversely, certain investment styles, like small-cap stocks, growth-oriented strategies, and thematic industry investments (e.g., technology, AI, renewable energy), tend to have higher volatility. These are characterized as having strong "stock characteristics" [4]. - New investors are advised to start with broad market indices or value-oriented indices to build confidence, while more experienced investors may engage with higher volatility growth styles [4]. Group 2: Risk Management Strategies - Investors often overestimate their risk tolerance. It is suggested that starting with lower volatility investments can help investors better understand their risk capacity [5]. - For those who find even dividend-focused stock indices too volatile, increasing allocation to bond assets is recommended. This approach is exemplified by the "fixed income plus" products that combine stocks and bonds [5]. - An example provided is a product with a 40% stock and 60% bond allocation, which has a maximum drawdown of around 9%, indicating lower volatility compared to pure equity indices [5].

Group 1 - The article discusses various market indices, highlighting their unique characteristics and helping investors understand which types of indices are suitable for them [5] - Broad-based indices are described as the backbone of the market, covering a wide range of companies without industry filtering [7] - The article categorizes indices based on market capitalization: large-cap, mid-cap, small-cap, and micro-cap [8] Group 2 - The Shanghai Stock Exchange 50 Index consists of the 50 largest and most liquid companies in the Shanghai market, representing leading stocks [10] - The CSI 300 Index includes the 300 largest companies from both the Shanghai and Shenzhen markets, representing large blue-chip stocks [12] - The CSI 500 Index represents mid-cap growth stocks by excluding companies in the CSI 300 Index and including the next 500 largest companies [14] Group 3 - The CSI 1000 Index and CSI 2000 Index represent small and micro-cap stocks, with the former including the next 1000 largest companies and the latter including the next 2000 after excluding larger indices [16] - Indices with an "A" prefix, such as the CSI A50 and CSI A500, incorporate an "industry balance" approach, ensuring representation from each industry [18][19] - The CSI A50 Index selects the largest 50 leading stocks while ensuring industry representation, and the CSI A500 Index does the same for 500 stocks, offering broader coverage and higher technology content compared to the CSI 300 [22][24] Group 4 - The article emphasizes that broad-based indices are less affected by individual industries or companies, reflecting the overall economic development and suitable for most ordinary investors seeking average market returns [26] - International broad-based indices, such as the S&P 500, serve as benchmarks for foreign markets, covering approximately 80% of the U.S. stock market [31] - The article compares the CSI A500 to the S&P 500, noting their similar stock selection logic [33] Group 5 - The Nasdaq 100 Index is identified as a technology-themed index, excluding financial companies and focusing on the largest tech firms [36][37] - The Hang Seng Index represents the largest and most liquid companies in the Hong Kong market, covering various sectors and serving as a core indicator of the Hong Kong stock market [40] - Investing in international broad-based indices can reduce the correlation with domestic economic cycles, achieving risk diversification [42]

- 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 dividend yield[1][3][4] - The moving average analysis indicates that most indices have fallen below their 5-day to 20-day moving averages, with the CSI 2000 showing the largest drawdown from its 250-day high at 5.8%, followed by the ChiNext Index at 5.3% and the CSI 1000 at 4.9%[13][14] - Turnover rates for the indices are highlighted, with the CSI 2000 having the highest turnover rate at 5.15, followed by the CSI 1000 at 3.92 and the ChiNext Index at 3.65, while the SSE 50 has the lowest turnover rate at 0.63[17] - The report analyzes the distribution of daily returns, noting that the ChiNext Index has the largest negative skewness and kurtosis deviation, while the CSI 500 has the smallest negative skewness and kurtosis deviation[23][24] - Risk premium analysis shows that the SSE 50 and CSI 300 have relatively high 5-year percentile values at 12.94% and 6.27%, respectively, while the CSI 1000 and CSI 500 have lower values at 0.95% and 0.4%, respectively[26][29][30] - PE-TTM analysis reveals that the CSI All Share Index (98.18%) and CSI 500 (97.85%) have the highest 5-year percentile values, while the SSE 50 (84.79%) and ChiNext Index (60.5%) have lower values[41][42][43] - Dividend yield analysis indicates that the ChiNext Index (56.53%) and CSI 300 (36.53%) have relatively high 5-year percentile values, while the CSI 500 (7.02%) and CSI 2000 (6.36%) are at the lower end[50][52][54] - The report also tracks the percentage of stocks trading below their net asset value (PB ratio < 1), with the SSE 50 having the highest percentage at 20.0%, followed by the CSI 300 at 15.67%, and the CSI 2000 having the lowest at 2.95%[56]