在2026年权益市场大概率明显向好的大背景下，我们在宽基投资选择上重点推荐中证A500ETF（159338），核心原因如下： 之所以要保持这种一致性，核心是为了契合中国产业结构大转型的时代背景，经过长期发展，近期多项政策文件也持续强调，我国需推进经济结构转型，提 高新兴产业在国民生产总值中的占比。这一趋势近期在A股市场也有所体现，今年A股行情呈现明显的结构性特征，具体表现为新产业显著跑赢传统老产 业，因此，对于能够代表A股整体行情的宽基指数而言，提高新产业占比至关重要。 接下来我们分析中证A500指数与其他宽基的生态位差异：中证A500指数是大盘宽基指数，对标沪深300并在其基础上做了一定增强；大盘宽基包括上证综 指、沪深300、中证A500，中小盘则有中证500、中证1000，此外还有科创板等代表独特板块的指数。 中证A500指数在指数编制上相较于传统宽基有一定创新，核心体现在"行业均衡"与"龙头荟萃"两大方面，这一创新也使得中证A500指数长期表现占优；短 期来看，自2024年9月发布以来截至近期，其整体超额收益已呈现出较好表现。 此外，这款产品具备优良的结构特征：规模在同类产品中处于领先地位，客户数量同 ...

- 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][2][3] - The turnover rate of the indices is 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 is used to evaluate the liquidity of the indices, with the highest turnover rate observed for CSI 2000 (3.93) and the lowest for SSE 50 (0.17)[18] - Risk premium is calculated relative to the 10-year government bond yield, serving as a measure of relative investment value. The current risk premium values for indices include CSI 2000 (1.30%), CSI 1000 (0.96%), and SSE 50 (0.25%). CSI 2000 and CSI 1000 exhibit higher 5-year percentile values of 83.49% and 78.25%, respectively, indicating relatively high investment attractiveness[28][32][35] - PE-TTM (Price-to-Earnings Trailing Twelve Months) is analyzed as a valuation metric. CSI 500 and CSI All Share indices show the highest 5-year percentile values of 97.52% and 95.62%, respectively, suggesting elevated valuation levels. Conversely, SSE 50 and ChiNext indices have lower percentile values of 84.13% and 59.50%, respectively[40][43][44] - Dividend yield is tracked as a measure of cash return. ChiNext (60.17%) and CSI 300 (36.36%) exhibit the highest 5-year historical percentile values, while CSI 500 (16.53%) and CSI 2000 (12.23%) are relatively lower, indicating varying levels of dividend attractiveness across indices[49][51][55] - Net asset break rate, which reflects the proportion of stocks trading below their net asset value, is analyzed. Current break rates include SSE 50 (22.0%), CSI 300 (16.0%), and CSI 2000 (3.15%), with lower break rates potentially indicating market optimism[56][58][60]

- The report tracks the performance of various broad-based indices in the A-share market, noting that on December 24, 2025, all indices except the SSE 50 increased, with the CSI 2000 and CSI 1000 showing the largest gains of 1.55% and 1.54%, respectively[2] - The report compares the moving averages of the indices, highlighting that the CSI 1000 broke through the 60-day moving average, and all tracked indices are above the 5, 10, 20, and 60-day moving averages[13] - The report analyzes the trading volume and turnover rates, noting that on December 24, 2025, the CSI 2000 had the highest trading volume share at 24.78%, followed by the CSI 300 and CSI 1000, both at 21.96%[17] - The report examines the daily return distribution, indicating that the ChiNext Index has the largest negative skewness and kurtosis, while the CSI 2000 has the smallest negative skewness and kurtosis[23][25] - The report evaluates the risk premium of the indices relative to the 10-year government bond yield, noting that the CSI 1000 and CSI 500 have high 5-year percentile values of 89.44% and 88.1%, respectively, while the CSI 300 and SSE 50 have lower values of 64.21% and 47.46%[28][31] - The report assesses the PE-TTM ratios of the indices, highlighting that the CSI 500 and CSI 1000 have high 5-year percentile values of 96.94% and 94.63%, respectively, while the SSE 50 and ChiNext Index have lower values of 84.05% and 59.17%[42][43] - The report analyzes the dividend yield, noting that the ChiNext Index and CSI 1000 have high 5-year historical percentile values of 61.32% and 39.09%, respectively, while the CSI 500 and CSI 2000 have lower values of 17.77% and 16.36%[51][53] - The report examines the net asset value break rate, indicating that the current break rates for the indices are 22.0% for the SSE 50, 16.0% for the CSI 300, 10.8% for the CSI 500, 8.0% for the CSI 1000, 3.25% for the CSI 2000, and 6.14% for the CSI All Share Index[57]

证券研究报告·金融工程报告 2025 年 12 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 2025.12.24 ◆市场表现：2025 年 12 月 23 日, 各宽基指数（表 1）涨跌各现，其中创业板指（0.41%） 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 和上证 50（0.24%）涨幅最大，而中证 2000（-0.63%）和中证 1000（-0.22%）跌幅 最大。当年涨跌情况，创业板指（49.66%）涨幅最大，其次是中证 2000（32.8%） 和中证 500（26.74%），中证 1000（24.08%）和中证全指（22.75%）涨幅缩小，而 上证 50（12.77%）涨幅最小。上证 50 连续五日连阳，沪深 300 连续三日连阳。 ◆均线比较：中证 1000 跌破 60 日均线，其余跟踪指数仍在 5、10、20 及 60 日均 ◆资金占比与换手：2025 年 12 月 23 日, 中证 2000（24.87%）交易金额占比最高， 相关研究报告 线之上。市场整体动量减弱。 ...

当前A股结构性行情显著，新质生产力推进催生产业机遇，然而，对普通投资者来说，选赛道怕踩雷，挑个股又没精力深研，很多小伙伴都在犯愁：到底怎 么投资才能省心又稳妥？ 其实答案很简单——跟着政策风口和聪明钱走。 现在监管正鼓励中长期资金通过宽基入市，险资、银行理财这些"长钱"都在持续进场宽基指数，尤其是新一代宽基中证A500指数，有三大特点：一是行业 配置均衡，中证二级行业全覆盖，三级行业基本覆盖；二是龙头荟萃，从各行业选取市值较大、流动性较好的500只证券作为指数样本，堪称A股"尖子 班"。三是融合了ESG评价和行业中性策略，编制更科学，投资性价比直接拉满。 可以说是兼具成长性与稳健性，堪称资产配置的"压舱石"与"增长极"，而国泰中证A500ETF（159338）更堪称新一代宽基里的"六边形战士"——人气高、高 活跃、资金认、成本低、场景全六大维度全在线，每一个亮点都有实打实的数据支撑，对普通投资者来说全是"肉眼可见的福利"！ 下面咱们逐个拆解，看看它到底强在哪？ 1、人气高 2025中报数据显示，中证A500ETF（159338）持有人户数105975户，是第二名的三倍之多。 要知道宽基ETF向来是大机构的主场 ...

证券研究报告·金融工程报告 2025 年 12 月 23 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 2025.12.23 ◆市场表现：2025 年 12 月 22 日, 各宽基指数（表 1）全部上涨，其中创业板指（2.23%） ◆PE-TTM：中证 500（95.87%）和中证 1000（93.97%）分位值较高，而中证 2000 （82.81%）和创业板指（58.02%）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（62.73%）和中证 1000（45.54%）所处近 5 年历史分位值较 高，而中证 500（21.16%）和中证 2000（20.41%）较低。 投资要点： 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 A 股市场快照：宽基指数每日投资动 和中证 500（1.2%）涨幅最大。当年涨跌情况，创业板指（49.05%）涨幅最大，其 次是中证 2000（33.64%）和中证 500（26.72%），中证 1000（24.35%）和中证 ...

Group 1 - The report highlights a significant trend in fund allocation towards dividend strategies, indicating a preference for stability in uncertain market conditions [2][4][10] - The total net inflow into ETF funds reached 12.496 billion yuan this week, with all types of ETF funds, except for stock ETFs, experiencing varying degrees of net inflow [10][19] - The report notes that the semiconductor and AI upstream hardware sectors performed well, driven by news regarding Nvidia's chip sales to China, although the overall market remains cautious [15][17] Group 2 - In the bond ETF sector, the average weekly increase for convertible bond ETFs was 0.21%, with a notable preference for credit bonds and company bonds, particularly in the context of a rebound in long-term interest rate bonds [18][20] - The report indicates that the net inflow for bond ETFs was 4.33 billion yuan this week, with significant capital flowing into the AAA-rated technology innovation bonds [21][24] - The analysis of financing and margin trading shows a clear trend towards deleveraging across ETF funds, particularly in the AI and gold asset sectors, with a notable negative net buy for gold assets this week [22][23]

- 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]

- The report provides a snapshot of the A-share market, highlighting that all broad-based indices fell by more than -1% on November 21, 2025, with the ChiNext Index and CSI 2000 experiencing the largest declines of -4.02% and -3.99%, respectively[1][2] - The report compares the moving averages of the indices, noting that all tracked indices have fallen below the 60-day moving average, with the CSI 2000 being only 0.4% away from breaking the 120-day moving average[13][15] - The turnover rates for the indices on November 21, 2025, are provided, with the CSI 2000 having the highest turnover rate of 4.81, followed by the ChiNext Index at 2.96[18][19] - The distribution of daily returns is analyzed, showing that the ChiNext Index has the largest negative kurtosis deviation, while the CSI 1000 and CSI 2000 have the smallest negative kurtosis deviations[25][27] - The risk premiums of the indices relative to the 10-year government bond yield are discussed, with the SSE 50 and CSI 300 having relatively high 5-year percentile values of 4.21% and 1.83%, respectively[29][30][33] - The PE-TTM ratios of the indices are examined, with the CSI 500 and CSI 1000 having relatively high 5-year percentile values of 94.63% and 94.21%, respectively, while the CSI 2000 and ChiNext Index have lower values of 77.02% and 50.74%, respectively[39][42][44] - The dividend yields of the indices are analyzed, with the ChiNext Index and CSI 1000 having relatively high 5-year historical percentile values of 72.81% and 54.88%, respectively, while the CSI 2000 and CSI 500 have lower values of 34.05% and 23.97%, respectively[50][52][54] - The report also discusses the net asset value ratios of the indices, noting that the current net asset value ratios are 22.0% for the SSE 50, 16.0% for the CSI 300, 11.8% for the CSI 500, 8.0% for the CSI 1000, 3.45% for the CSI 2000, 1.0% for the ChiNext Index, and 6.32% for the CSI All Share Index[56][57]

- The report provides a snapshot of the daily investment dynamics of broad-based indices in the A-share market, highlighting the performance of indices such as the CSI 1000 (-0.72%) and CSI 2000 (-0.68%), which experienced the largest declines on November 12, 2025 [1][2][11] - The CSI 500, CSI 1000, and ChiNext indices showed consecutive three-day declines, with the ChiNext index achieving the highest annual growth rate of 45.78%, followed by CSI 2000 (33.78%) and CSI 500 (26.5%) [11][14] - The report compares indices against their moving averages and 250-day highs and lows, noting that the SSE 50 index broke above its 5-day moving average, while indices like CSI 1000 and CSI 2000 fell below their respective short-term averages [14] - Turnover rates and trading volume proportions are analyzed, with CSI 2000 showing the highest turnover rate (4.27%) and the CSI 1000 index accounting for 20.49% of trading volume [3][16][17] - Daily return distributions are examined, revealing that the ChiNext index has the largest negative skewness and kurtosis deviation, while CSI 1000 has the smallest negative kurtosis deviation [23] - Risk premium analysis indicates that SSE 50 and CSI 300 have relatively high 5-year percentile values (65.56% and 44.92%, respectively), while CSI 1000 and CSI 500 have lower values (26.35% and 25.32%) [3][25][29] - PE-TTM values are evaluated, showing that CSI 1000 (97.44%) and CSI 500 (96.2%) have high 5-year percentile values, while CSI 2000 (82.98%) and ChiNext (55.79%) are lower [38][39] - Dividend yield analysis highlights that ChiNext (69.01%) and CSI 1000 (36.53%) have high 5-year historical percentile values, while CSI 500 (16.28%) and CSI 2000 (13.97%) are lower [4][50][49] - Current net-breaking rates are reported, with SSE 50 at 20.0%, CSI 300 at 15.33%, and ChiNext at 1.0%, reflecting market valuation attitudes [51]