- The report primarily focuses on tracking and analyzing market data of major broad-based indices in the A-share market, including their performance, turnover rates, risk premiums, PE-TTM values, dividend yields, and price-to-book ratios [1][3][5] - Turnover rates for major indices on March 30, 2026, were as follows: CSI 2000 (3.73), CSI 1000 (2.62), ChiNext Index (2.2), CSI 500 (1.77), CSI All Share (1.73), CSI 300 (0.63), and SSE 50 (0.29). The calculation method for turnover rate is: Σ(component stock circulating shares * component stock turnover rate) / Σ(component stock circulating shares [20] - Risk premiums relative to the 10-year government bond yield were observed for major indices. CSI 500 (56.83%) and CSI 1000 (56.35%) had relatively high 5-year percentile values, while CSI 300 (40.87%) and ChiNext Index (33.02%) were lower [31][33][36] - PE-TTM values and their historical percentiles were analyzed. CSI 500 (95.7%) and CSI All Share (94.96%) had high 5-year percentile values, while SSE 50 (76.03%) and ChiNext Index (57.36%) were lower. Current PE-TTM values were: SSE 50 (11.29), CSI 300 (13.96), CSI 500 (35.25), CSI 1000 (47.10), CSI 2000 (157.68), CSI All Share (21.64), and ChiNext Index (40.76) [39][43][44] - Dividend yields were tracked, showing current values as follows: SSE 50 (3.44%), CSI 300 (2.84%), CSI 500 (1.35%), CSI 1000 (1.05%), CSI 2000 (0.74%), CSI All Share (2.03%), and ChiNext Index (0.87%). Historical 5-year percentiles were highest for ChiNext Index (53.88%) and CSI 300 (42.07%), while CSI 500 (12.56%) and CSI 2000 (9.09%) were lower [49][52][55] - Price-to-book ratios were analyzed, with current values showing the proportion of stocks trading below their book value. SSE 50 (24.0%), CSI 300 (17.33%), CSI 500 (10.6%), CSI 1000 (7.8%), CSI 2000 (3.2%), and CSI All Share (6.05%) [56]

Quantitative Models and Construction Methods - **Model Name**: CSI 300 Equal Weight Index **Model Construction Idea**: The index uses the same sample as the CSI 300 Index but applies equal-weighted methodology to achieve more balanced industry and stock exposure[22][24][29] **Model Construction Process**: 1. **Sample Selection**: The index shares the same sample as the CSI 300 Index, which includes 300 large-cap, liquid stocks from the Shanghai and Shenzhen markets[24]. 2. **Weighting Methodology**: Unlike the CSI 300 Index, which uses adjusted market capitalization weighting, the CSI 300 Equal Weight Index assigns equal weights to all constituent stocks[24]. 3. **Periodic Adjustments**: The index undergoes semi-annual reviews in June and December to adjust its sample and weights[24]. **Evaluation**: The equal-weight methodology reduces concentration risk and provides more diversified exposure across industries and stocks[29][31]. - **Model Name**: Quantitative Trading Optimization Model for CSI 300 Equal Weight LOF **Model Construction Idea**: The model aims to minimize tracking error and transaction costs for the CSI 300 Equal Weight LOF fund through quantitative optimization[50]. **Model Construction Process**: 1. **Replication Strategy**: The fund employs a full replication strategy to closely track the CSI 300 Equal Weight Index[50]. 2. **Optimization**: During index adjustments or fund inflows/outflows, the model optimizes trading decisions based on market liquidity to reduce transaction costs and tracking error[50]. **Evaluation**: The model effectively controls tracking error and enhances fund performance relative to the benchmark[50][51]. Model Backtesting Results - **CSI 300 Equal Weight Index**: - Annualized Return: 7.83%[39][40] - Annualized Sharpe Ratio: 0.42[40] - Annualized Volatility: 26.43%[40] - Maximum Drawdown: 71.81%[40] - **CSI 300 Equal Weight LOF**: - Tracking Error (2016-2026): 1.10% annualized[50] - Tracking Error (2026 onwards): 0.43% annualized[51] - Daily Tracking Deviation: Controlled within 0.13%[50] - Annualized Excess Return: 2.52% relative to the benchmark[50] Quantitative Factors and Construction Methods - **Factor Name**: Scale Factor **Factor Construction Idea**: Measures the relative performance of small-cap stocks versus large-cap stocks[43]. **Factor Construction Process**: 1. Monthly excess returns of the CSI 300 Equal Weight Index relative to the CSI 300 Index are calculated[43]. 2. Correlation analysis is performed between these excess returns and the monthly returns of the Barra scale factor[43]. **Evaluation**: The CSI 300 Equal Weight Index tends to outperform in market environments favoring small-cap stocks[43]. - **Factor Name**: Profitability Factor **Factor Construction Idea**: Examines the relationship between profitability trends and index performance[43]. **Factor Construction Process**: 1. Monthly excess returns of the CSI 300 Equal Weight Index relative to the CSI 300 Index are calculated[43]. 2. Correlation analysis is performed between these excess returns and the monthly returns of the Barra profitability factor[43]. **Evaluation**: The CSI 300 Equal Weight Index tends to underperform in market environments where profitability is a dominant factor[43]. Factor Backtesting Results - **Scale Factor**: Monthly excess returns of the CSI 300 Equal Weight Index show a negative correlation with the Barra scale factor, indicating better performance in small-cap-dominated markets[43]. - **Profitability Factor**: Monthly excess returns of the CSI 300 Equal Weight Index show a negative correlation with the Barra profitability factor, indicating weaker performance in profitability-driven markets[43].

- The report primarily focuses on tracking and analyzing the performance of broad-based indices in the A-share market, including their daily price movements, turnover rates, and relative positions to moving averages [1][14][16] - The analysis includes the distribution of daily returns for various indices, highlighting kurtosis and skewness changes over time. For instance, the ChiNext Index exhibits the largest negative kurtosis deviation, while the CSI 500 Index shows the smallest [24][25] - Risk premium analysis is conducted using the yield of 10-year government bonds as a risk-free rate benchmark. The ChiNext Index (95.95%) and CSI 2000 Index (94.84%) have the highest 5-year historical percentile values, while the SSE 50 Index (78.81%) has the lowest [29][31][33] - PE-TTM (Price-to-Earnings Trailing Twelve Months) ratios are analyzed as valuation metrics. The CSI All Share Index (99.09%) and CSI 1000 Index (99.01%) have the highest 5-year historical percentile values, while the ChiNext Index (59.09%) has the lowest [39][40] - Dividend yield analysis shows that the ChiNext Index (55.21%) and CSI 300 Index (37.93%) are at relatively high 5-year historical percentiles, while the CSI 500 Index (4.96%) and CSI 2000 Index (0.58%) are at the lower end [47][48] - The report also tracks the percentage of stocks trading below their book value (PB ratio < 1). Currently, the SSE 50 Index has the highest percentage (22.0%), while the CSI 2000 Index has the lowest (2.6%) [50]

Content: --------- <doc id='1'> 2026年3月9日 金融工程定期报告 会融工程研究组 A 股市场快照:宽基指数每日投资动态 2026.03.09 投资受点: ◆章筹章观:2026年3月6日,各宽基指数(表 1)全部上涨,其中中证 2000(1.34%) 和中证 1000 (0.95%) 涨幅最大。当年涨跌情况,中证 500 (11.99%) 涨幅最大, 其次是中证 2000（9.95%）和中证 1000（8.6%），中证全指（5.63%）和创业板指 (0.82%) 涨幅扩大,而上证 50(-1.27%) 涨幅最小。另外,沪深 300 连续七周连 阴,创业板指连续五周连阴,上证 50连续三周连阴。</doc> <doc id='2'>福美研究报告 A 股市场快照：宽基指数每日投资动 态 2026.03.06 A 股市场快照:宽基指数每日投资动 态 2026.03.05 A 股市场快照：宽基指数每日投资动 态 2026.03.04 ◆埼織比較: 沪深 300、中证 1000、中证 2000、中证全指和创业板指回升突破 5 日均线、中证 500、中证 1000 和中证 2000 突破 20 日线,市场短暂修复。上证 50 仍位于 5 至 120 日均线以下。 ◆音会占比与養手:2026年3月6日,中证 2000（23.33%）交易全额占比最高, 其次是沪深 300 (22.43%) 和中证 1000 (21.81%)。各宽基指数当前换手率分别为 中证 2000（4.03）、中证 1000（2.96）、创业板指（2.12）、中证 500（2.1），中 证全指（1.91），沪深 300（0.72）和上证 50 (0.3）。 ◆日教盖拿会睿：创业板指的峰度负偏离最大，中证 500 的峰度负偏离最小。创 业板指的负偏态最大，中证 500 的负偏态最小。</doc> <doc id='3'>◆風疊機會: 2026 年 3 月 6 日,中证 2000 (83.65%) 和中证 1000 (77.7%) 风险溢 价近５年分位值较高，创业板指（62.22%）和上证 50（57.22%）较低。 ◆PB-TIM: 中证全指(98.6%)和中证 500(98.43%)分位值较高,而上证 50(81.98%) 和创业板指(61.65%) 分位值较低。</doc> <doc id='4'>◆殿黄桂舍比：没有指数高于其 80%分位，中证 500 和中证全指低于其 20%分位。 ◆嚴鑫率:创业板指(56.28%)和沪深 300(37.85%)所处近 5 年历史分位值较高, 而中证 500（5.29%）和中证 2000（1.32%）较低。 ◆套净率:当前,各指数破净率为上证 50 (20.0%)，沪深 300 (15.0%)，中证 500（9.2%），中证 1000（6.8%），中证 2000（2.55%）和中证全指（5.22%）。 ◆真脸覆示: 本报告可能存在数据缺失、数据错误、数据不及时、模型处理错误 等风险。本报告仅从金融工程角度,对重要指数的市场数据进行跟踪、统计、分 析,不构成对市场指数、行业或个股进行预测或推荐。</doc> <doc id='5'>分析师：疑做沸 执业证书编号: S1410524090001</doc> <doc id='6'>录 目</doc> <doc id='7'>| 1 市场表现 . | | --- | | 1.1 指数表现 . | | 1.2 指数与均线的比较 | | 1.3 资全占比与换手率 … | | 2 日收益分布 | | 2.1 收益区间分布对比 | | 2.2 分布形态变化时比 | | 3 风险溢价 … | | 3.1 各宽基指数的风险溢价 . | | 3.2 风险溢价历史分布 . | | 4 PE-TTM . | | 4.1 各宽基指数 PE-TTM 和分位值 | | 4.2 PE-TTM 历史对比… | | 4.3 股债性价比历史对比… | | 5 股息率. | | 5.1 近一年各宽基指数股息率变化情况 | | 5.2 股息率历史对比… | | 6 破净率… | | 7 风险提示 . |</doc> <doc id='8'>图表目录</doc> <doc id='9'>| 表 1、各宽基指数表现情况 | | --- | | 表 2、各宽基指数与均线、近250交易日高位和低位的比较 … | | 表 3 、各宽基指数分布形态变化 … | | 表 4、各宽基指数和十年期国债即期收益率的风险溢价 | | 表 5、各宽基指数 PE-TTM 分位值和历史值 | | 表 6、各宽基指数当前股息率和历史情况… | | 图 1、各宽某指数交易全额占比和换手率 | | 图 2、各宽基指数每日收益率分布情况 | | 图 3、各宽基指数相对十年国债即期收益率的风险溢价 | | 图 4、各宽基指数相对沪深 300 的风险溢价的近 5年分布 . | | 图 5 、各宽基指数 PE-TTM 及其分位值 | | 图 6、各宽基指数的股债性价比… | | 图 7、各宽基指数股息率 | | 图 8、各宽基指数破净个股数和占比…………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………… 10 |</doc> <doc id='10'>1 市场表现 本报告将从指数涨跌幅、连阴连阳、上涨下跌分布等维度对各宽基指数进 行评价和跟踪。</doc> <doc id='11'>1.1 指数表现 2026 年 3 月 6 日,各宽基指数 (表 1) 全部上涨，其中中证 2000 (1.34%) 和中证 1000 (0.95%) 涨幅最大。当周涨跌情况,各跟踪指数全部下跌超过-1%, 其中中证 1000 (-3.64%) 和中证 500 (-3.44%) 跌幅最大。当季涨跌情况,各 跟踪指数除了上证 50(-1.27%)外全部上涨，其中中证 500 (11.99%) 和中证 2000 (9.95%) 涨幅最大。当年涨跌情况，中证 500（11.99%）涨幅最大，其次是 中证 2000 (9.95%) 和中证 1000 (8.6%)，中证全指 (5.63%) 和创业板指 (0.82%) 涨幅扩大，而上证 50 (-1.27%) 涨幅最小。另外，沪深 300 连续七周连阴，创 业板指连续五周连阴,上证 50 连续三周连阴。</doc> <doc id='12'>表 1、各宽基指数表现情况 | 指数名称 | 指数代码 | 当日涨幅% | 当周涨幅% | 当月涨幅% | 当李涨幅% | 当年涨幅% | 日 K | 周K | | 月Ｋ | 卒K | 年K | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | | 连阴连阳 | 连阴连阳 | | 连阴连阳 | 连阴连阳 | 连阴连阳 | | | 上证50 | 000016.SH | 0.14 |

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting that on March 2, 2026, indices such as CSI 300 (0.38%) and SSE 50 (0.23%) showed gains, while CSI 2000 (-1.67%) and CSI 1000 (-0.98%) experienced the largest declines[1][2][11] - The report compares indices with their moving averages and their positions relative to the highest and lowest points over the past 250 trading days. For instance, SSE 50 surpassed its 5-day and 60-day moving averages, while CSI 2000 fell below its 5-day moving average. CSI 500 broke through its 250-day peak[13][14] - The trading turnover rates for various indices on March 2, 2026, are provided, with CSI 2000 having the highest turnover rate at 4.82, followed by CSI 1000 at 3.81, and SSE 50 at 0.5[3][17] - The report analyzes the daily return distribution of the indices, noting that the ChiNext Index has the largest negative skewness and kurtosis, while 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 analyzed. CSI 1000 and CSI 2000 exhibit higher volatility in risk premiums, with CSI 300 (67.78%) and SSE 50 (62.14%) having relatively high 5-year percentile values, while CSI 1000 (20.56%) and CSI 2000 (11.51%) are relatively low[3][27][31] - The PE-TTM ratios of the indices are analyzed as valuation references. CSI All Share Index and CSI 500 have reached their 1-year and 5-year peak percentiles, while SSE 50 (82.89%) and ChiNext Index (64.3%) have lower 5-year percentiles[39][42][43] - The stock dividend yield of the indices is discussed, with ChiNext Index (55.79%) and CSI 300 (36.53%) having relatively high 5-year historical percentiles, while CSI 500 (1.16%) and CSI 2000 (0.58%) are relatively low[4][53][55] - The report also provides the current price-to-book (P/B) ratios of the indices, with SSE 50 having the highest P/B ratio at 20.0%, followed by CSI 300 at 15.67%, and CSI 2000 at 2.65%[4][57]

- 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][2][3] - The turnover rate of the indices is calculated using the formula: $ \text{Turnover Rate} = \frac{\Sigma(\text{Circulating Shares of Constituents} \times \text{Turnover Rate of Constituents})}{\Sigma(\text{Circulating Shares of Constituents})} $ This metric reflects the liquidity and trading activity of the indices[16][17] - The risk premium is measured relative to the 10-year government bond yield, serving as a benchmark for assessing the relative investment value of the indices. The report highlights that indices like CSI 1000 and CSI 2000 exhibit higher risk premiums compared to others, with values of 0.76% and 0.78%, respectively[26][30] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation metric. The report notes that indices such as CSI 1000 and CSI All-Share have reached their 1-year and 5-year peak valuation levels, with CSI 1000's PE-TTM at 52.41 and CSI 2000's at 175.16[38][41][43] - Dividend yield is analyzed as a measure of cash return to investors. The current dividend yield for indices like SSE 50 and CSI 300 is relatively higher at 3.36% and 2.78%, respectively, while CSI 2000 has a lower yield of 0.68%[47][52] - The net asset ratio (or "break net ratio") is used to evaluate the proportion of stocks trading below their net asset value. The current break net ratios for indices are as follows: SSE 50 (24.0%), CSI 300 (16.67%), CSI 500 (10.0%), CSI 1000 (6.7%), and CSI 2000 (2.3%)[56]

- The report focuses on the performance of various broad-based indices in the A-share market, highlighting that on February 25, 2026, all indices rose, with the CSI 500 and CSI 1000 showing the largest gains of 1.6% and 1.52%, respectively[2][3] - The report compares the indices with their moving averages and their positions relative to the highs and lows of the past 250 trading days, noting that the SSE 50 is still below its 5, 10, and 20-day moving averages, while other indices are above their respective moving averages[13] - The turnover rates of the indices are analyzed, with the CSI 2000 having the highest turnover rate of 4.12, followed by the CSI 1000 at 3.36, and the SSE 50 having the lowest at 0.34[15] - The distribution of daily returns is examined, showing that the ChiNext Index has the largest negative skewness and kurtosis, while the CSI 500 has the smallest[21][22] - The risk premium of the indices relative to the 10-year government bond yield is analyzed, with the CSI 500 and CSI 1000 having the highest 5-year percentile values of 91.98% and 88.89%, respectively[24][28] - The PE-TTM ratios of the indices are evaluated, with the CSI 1000 and CSI All Share having the highest 5-year percentile values of 100.0% and 99.92%, respectively, indicating high valuations[39][40] - The dividend yields of the indices are discussed, with the ChiNext Index and CSI 300 having relatively high 5-year historical percentile values of 54.55% and 38.02%, respectively[44][50] - The report also includes an analysis of the proportion of stocks trading below their net asset value, with the SSE 50 having the highest proportion at 24.0%[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 ratios[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[19] - The risk premium is measured relative to the 10-year government bond yield, serving as a reference for risk-free rates, to evaluate the relative investment value and deviation of indices[28][30] - 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 ranks provided for comparison[40][43] - Dividend yield is analyzed as a measure of cash return, particularly relevant during market downturns or periods of declining interest rates, with historical trends and percentile ranks provided for each index[49][54] - The net asset ratio (or "破净率") is tracked to reflect the proportion of stocks trading below their book value, indicating market valuation attitudes and potential undervaluation[55][58]

- 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][2][4] - The turnover rate of the indices is calculated as the weighted average turnover rate of constituent stocks, with the formula: $ \text{Turnover Rate} = \frac{\Sigma(\text{Floating Shares of Constituent Stocks} \times \text{Turnover Rate of Constituent Stocks})}{\Sigma(\text{Floating Shares of Constituent Stocks})} $[19] - The risk premium is measured relative to the 10-year government bond yield, serving as a reference for risk-free rates. It evaluates the relative investment value and deviation of indices. The report highlights that indices like CSI 1000 and CSI 2000 exhibit higher volatility in risk premiums compared to others[28][29][32] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation metric to assess the investment value of indices. The report notes that indices such as CSI 500 (98.51%) and CSI 1000 (98.43%) have high 5-year historical percentiles, while indices like SSE 50 (81.9%) and ChiNext Index (60.83%) are relatively lower[40][43][44] - Dividend yield is analyzed as a measure of cash return, particularly relevant during market downturns. The report observes that indices like CSI 500 (7.36%) and CSI 2000 (3.88%) have relatively low 5-year historical percentiles, while ChiNext Index (56.36%) and CSI 300 (38.76%) are higher[50][53][55] - The net asset ratio (P/B ratio below 1) is used to evaluate market valuation attitudes. The report indicates that the current net asset ratios for indices are as follows: SSE 50 (24.0%), CSI 300 (16.67%), CSI 500 (10.6%), CSI 1000 (7.0%), CSI 2000 (2.45%), and CSI All Share (5.5%)[59]

- 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][2][4] - The daily return distribution of indices is analyzed, showing that the ChiNext Index has the largest negative skewness and kurtosis deviation, while the CSI 500 has the smallest negative skewness and kurtosis deviation[4][22][23] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate. The CSI 1000 and CSI 500 exhibit relatively low risk premiums, while the SSE 50 and CSI 300 have higher risk premiums in the past five years[4][25][30] - PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation metric. The CSI 500 and CSI 1000 have the highest five-year percentile rankings (98.6% and 98.51%, respectively), while the SSE 50 and ChiNext Index have lower rankings (82.56% and 61.4%, respectively)[41][42][43] - Dividend yield analysis shows that the ChiNext Index and CSI 300 have relatively high five-year historical percentiles (56.12% and 36.86%, respectively), while the CSI 500 and CSI 2000 have lower percentiles (7.36% and 4.05%, respectively)[50][52][54] - The net asset ratio (P/B ratio) analysis indicates that the current net asset ratios for indices such as the SSE 50, CSI 300, and CSI 500 are 24.0%, 16.67%, and 10.4%, respectively, reflecting market valuation attitudes[56][58]