金融工程研究组 A 股市场快照：宽基指数每日投资动态 2026.03.03 ◆市场表现：2026 年 3 月 2 日, 各宽基指数（表 1）涨跌各现，其中沪深 300（0.38%） 证券研究报告·金融工程报告 2026 年 3 月 3 日 江海证券研究发展部 金融工程定期报告 ◆股债性价比：没有指数高于其 80%分位，中证 500 和中证全指低于其 20%分位。 和创业板指（64.3%）分位值较低。 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 和上证 50（0.23%）上涨，而中证 2000（-1.67%）和中证 1000（-0.98%）跌幅最大。 当年涨跌情况，中证 500（15.98%）涨幅最大，其次是中证 1000（11.61%）和中证 2000（11.46%），中证全指（7.71%）和创业板指（2.84%）涨幅缩小，而上证 50 （0.51%）涨幅最小。另外，中证 2000 结束四日连阳，中证 500、中证 1000 和中 证全指连续四日连阳。 ◆均线比较：上证 50 回升突破 5 日及 60 日均线。中证 2000 跌破 5 日均线，创 ...

证券研究报告·金融工程报告 2026 年 2 月 27 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 2026.02.27 ◆市场表现：2026 年 2 月 26 日, 各宽基指数（表 1）涨跌各现，其中中证 2000（0.79%） 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 和中证 1000（0.76%）涨幅最大，而上证 50（-0.65%）和创业板指（-0.29%）跌幅 最大。当年涨跌情况，中证 500（14.62%）涨幅最大，其次是中证 2000（12.45%） 和中证 1000（11.79%），创业板指（4.43%）和沪深 300（2.09%）涨幅缩小，而上 证 50（0.13%）涨幅最小。另外，中证 2000 连续三日连阳。 ◆均线比较：上证 50 跌破 60 日均线，且仍位于 5、10 及 20 日均线之下。上证 50 距离 250 日高位已回撤 3.9%。中证全指再次突破 250 日峰值，中证 1000 和中证 2000 接连达到 250 日峰值。 相关研究报告 态 2026.02. ...

证券研究报告·金融工程报告 2026 年 2 月 26 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 2026.02.26 ◆市场表现：2026 年 2 月 25 日, 各宽基指数（表 1）全部上涨，其中中证 500（1.6%） 投资要点： 分析师：梁俊炜 执业证书编号：S1410524090001 其次是中证 1000（21.9%）和中证 2000（21.26%）。各宽基指数当前换手率分别为 中证 2000（4.12），中证 1000（3.36），创业板指（3.32），中证 500（2.49），中 证全指（2.12），沪深 300（0.86）和上证 50（0.34）。 ◆日收益率分布：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。 ◆风险溢价：2026 年 2 月 25 日, 中证 500（91.98%）和中证 1000（88.89%）风险 溢价近 5 年分位值较高，沪深 300（74.68%）和上证 50（71.27%）较低。 ◆PE-TTM：中证 1000（100.0%）和中证全指（99.9 ...

- 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]

- 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 various indices on January 30, 2026, was calculated using the formula: **Turnover rate = Σ(component stock free float shares * component stock turnover rate) / Σ(component stock free float shares)** The highest turnover rate was observed in the CSI 2000 (4.66), followed by the ChiNext Index (4.24) and CSI 1000 (3.67)[18] - The daily return distribution of indices was analyzed to reflect characteristics such as kurtosis and skewness. The ChiNext Index exhibited the largest negative kurtosis deviation, while the CSI 500 had the smallest. Similarly, the ChiNext Index showed the largest negative skewness, and the CSI 500 had the smallest[24][25] - Risk premiums were calculated relative to the 10-year government bond yield as a risk-free rate. The ChiNext Index (1.26%) had the highest current risk premium, while the CSI 500 (-1.74%) had the lowest. The ChiNext Index also had the highest 5-year percentile value (81.11%), indicating a relatively high investment value compared to other indices[27][31] - PE-TTM values were used as valuation references. The CSI 500 (99.5%) and CSI 1000 (99.42%) had the highest 5-year percentile values, suggesting elevated valuations, while the ChiNext Index (64.05%) and SSE 50 (83.39%) had relatively lower values[42][43] - Dividend yields were tracked as a measure of cash return rates. The ChiNext Index (55.79%) and CSI 300 (34.88%) had the highest 5-year historical percentile values, while the CSI 500 (3.8%) and CSI 2000 (2.81%) had the lowest[48][53] - The net asset ratio (percentage of stocks trading below their book value) was analyzed. The SSE 50 had the highest ratio (24.0%), while the CSI 2000 had the lowest (2.4%), reflecting varying market valuation attitudes across indices[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][3][4] - The turnover rate of major indices on January 28, 2026, was highlighted, with CSI 2000 having the highest turnover rate of 4.45%, followed by the ChiNext Index at 4.21%, and CSI 1000 at 3.52%[4][19] - The daily return distribution of indices was analyzed, showing that the ChiNext Index had the largest negative skewness and kurtosis, while CSI 500 had the smallest negative skewness and kurtosis[25][26] - Risk premiums were calculated using the 10-year government bond yield as the risk-free rate, with CSI 500 (71.03%) and SSE 50 (63.89%) having relatively high 5-year percentile values, while ChiNext Index (35.48%) and CSI 2000 (25.71%) were relatively low[28][29][32] - The PE-TTM ratios and their historical percentiles were analyzed, showing that CSI 500 (100.0%) and CSI 1000 (99.92%) had the highest 5-year percentile values, while SSE 50 (82.64%) and ChiNext Index (63.31%) were lower[43][44] - Dividend yields were tracked, with SSE 50 (3.23%) and CSI 300 (2.71%) having relatively high current values, while CSI 2000 (0.70%) and CSI 500 (1.20%) were lower[54][56] - The net asset ratio (percentage of stocks trading below their book value) was analyzed, with SSE 50 having the highest ratio at 24.0%, followed by CSI 300 at 16.67%, and CSI 500 at 10.4%[58]

Core Viewpoint - The China Securities A500 Index demonstrates innovation in index compilation through "industry balance" and "leading companies," resulting in superior long-term performance compared to traditional broad-based indices [1][2]. Group 1: Index Characteristics - The China Securities A500 Index has shown good performance since its launch in September 2024, with overall excess returns [1]. - The index has a leading scale among similar products, with customer numbers more than three times that of the second-ranked product [1]. - The investment value of the China Securities A500 ETF (159338) lies in its innovative stock selection process, which excludes poorly rated ESG securities and prioritizes industry leaders and larger market cap stocks [1][2]. Group 2: Industry Balance and Leading Companies - The index's initial and secondary screening focuses on "industry balance" and "leading companies," ensuring that it includes a greater number of industry leaders while maintaining a neutral industry distribution [2]. - The index aims to align with China's economic transformation, emphasizing the need to increase the share of emerging industries in GDP [2]. Group 3: Market Position and Comparison - The China Securities A500 Index is a large-cap broad-based index that enhances the CSI 300 Index, covering a wider range of stocks from both Shanghai and Shenzhen markets [3][5]. - The median market capitalization of the China Securities A500 is approximately 50 billion, higher than the CSI 500 and CSI 1000 but lower than the CSI 300 [5]. - The index's composition includes 77% from the CSI 300, 18% from the CSI 500, and 2% from the CSI 2000, indicating a strong reliance on larger companies [5]. Group 4: Industry Distribution and Performance - The index has reduced weight in traditional sectors like non-bank financials and food & beverage by about 11%, redistributing this weight to emerging industries such as power equipment and pharmaceuticals [6][8]. - The China Securities A500 Index has a balanced allocation between value and growth styles, with approximately 50% in each, and covers 100% of secondary industries and 98% of tertiary industries [8][11]. - Since its inception, the index has achieved a return of 458%, outperforming the CSI 300's 364% and the CSI 800's 409% [11]. Group 5: Recent Performance and Strategy - From September 2024 to October 2025, the China Securities A500 Index gained 49.87%, achieving a 5% excess return over the CSI 300, which increased by 44% [13]. - The index's structure allows for better industry allocation, with significant outperformance in 14 sectors compared to the CSI 300 [14][15]. - The index's low allocation to the banking sector has provided an advantage during periods of underperformance in that sector, contributing to its overall superior returns [15][17].

- 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]