证券研究报告·金融工程报告 2025 年 12 月 18 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 2025.12.18 ◆市场表现：2025 年 12 月 17 日, 各宽基指数（表 1）全部上涨，其中创业板指（3.39%） 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 500（1.95%）涨幅最大。当年涨跌情况，创业板指（48.3%）涨幅最大，其 次是中证 2000（30.48%）和中证 500（24.66%），中证 1000（22.34%）和中证全指 （21.17%）涨幅扩大，而上证 50（11.43%）涨幅最小。 ◆均线比较：除了中证 1000 和中证 2000，其余跟踪指数已突破 5 日及 20 日均线。 创业板指率先突破 60 日均线。各跟踪指数单日修复程度较大。 ◆资金占比与换手：2025 年 12 月 17 日, 沪深 300（25.34%）交易金额占比最高， 相关研究报告 态 2025.12.17 A 股市场快照：宽基指数每日投资动 态 2025.12.16 A 股市场 ...

- The report primarily focuses on tracking and analyzing the performance of broad-based indices in the A-share market, including their daily price movements, moving averages, turnover rates, and risk premiums[1][2][3] - The turnover rate for each index is calculated using the formula: $ \text{Turnover Rate} = \frac{\Sigma(\text{Circulating Shares of Component Stocks} \times \text{Turnover Rate of Component Stocks})}{\Sigma(\text{Circulating Shares of Component Stocks})} $ This provides insights into the liquidity and trading activity of the indices[17] - The risk premium is measured relative to the 10-year government bond yield, serving as a benchmark for risk-free rates. This metric evaluates the relative investment value and deviation of each index. For instance, the current risk premium for the CSI 500 is -0.79%, with a 5-year historical percentile of 21.98%[27][31] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) ratio is used as a valuation reference. For example, the CSI 500 has a current PE-TTM value of 32.45, with a 5-year historical percentile of 94.96%, indicating a relatively high valuation compared to its historical range[39][43] - Dividend yield is analyzed as a measure of cash return. For instance, the CSI 500 has a current dividend yield of 1.45%, with a 5-year historical percentile of 24.96%, reflecting its position in the historical distribution of dividend yields[48][53] - The report also examines the net asset value (NAV) break rate, which represents the proportion of stocks trading below their book value. For example, the CSI 500 has a current NAV break rate of 11.0%, suggesting market sentiment and valuation levels[54][57]

- The report does not include any quantitative models or factors for analysis or construction[1][2][3] - The content primarily focuses on market performance, index comparisons, turnover rates, risk premiums, PE-TTM, dividend yields, and net-breaking rates of various broad-based indices[1][2][3] - No quantitative models or factors are explicitly mentioned or analyzed in the provided content[1][2][3]

证券研究报告·金融工程报告 2025 年 12 月 9 日 江海证券研究发展部 态 2025.12.08 A 股市场快照：宽基指数每日投资动 态 2025.12.05 A 股市场快照：宽基指数每日投资动 态 2025.12.04 其次是中证 2000（24.75%）和中证 1000（21.02%）。各宽基指数当前换手率分别 为中证 2000（4.34），创业板指（2.78），中证 1000（2.47），中证全指（1.77）， 中证 500（1.69），沪深 300（0.61）和上证 50（0.26）。 ◆日收益率分布：创业板指的峰度负偏离最大，中证 1000 的峰度负偏离最小。创 业板指的负偏态最大，中证 1000 的负偏态最小。 ◆风险溢价：2025 年 12 月 8 日, 创业板指（93.41%）和中证 2000（85.79%）风险 溢价近 5 年分位值较高，沪深 300（80.56%）和上证 50（76.11%）较低。 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 2025.12.09 ◆市场表现：2025 年 12 月 8 日, 各宽基指数（表 1）全部上涨，其中创业板指（2 ...

证券研究报告·金融工程报告 2025 年 12 月 1 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 2025.12.01 ◆市场表现：2025 年 11 月 28 日, 各宽基指数（表 1）除了上证 50(-0.09%)外全部 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 上涨，其中中证 2000（1.33%）和中证 500（1.15%）涨幅最大。当年涨跌情况，创 业板指（42.54%）涨幅最大，其次是中证 2000（31.65%）和中证 1000（23.1%）， 中证 500（22.81%）和中证全指（20.67%）涨幅扩大，而上证 50（10.61%）涨幅最 小。另外，中证 1000 连续五日连阳。 ◆均线比较：所有跟踪指数仍在 5 日均线之上。上证 50 和沪深 300 仍低于 10 日均 线，中证 500、中证 1000、中证 2000 和中证全指突破 10 日均线。中证 2000 率先 突破 60 日均线。 相关研究报告 态 2025.11.28 A 股市场快照：宽基指数每日投资动 态 ...

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting daily, monthly, and yearly changes in index values, with indices like CSI 2000 showing the highest daily increase of 0.63% and CSI 1000 at 0.27%[10][11][14] - CSI 2000 demonstrated a relatively independent trend, breaking through its 250-day high, while other indices remained below their 5-day moving averages[14] - Turnover rates and trading volume proportions were analyzed, with CSI 2000 having the highest turnover rate at 4.4 and the largest trading volume proportion at 25.29%[16] - The distribution of daily returns was examined, showing that CSI 2000 had the smallest negative skewness, while the ChiNext Index had the largest negative kurtosis[22][24] - Risk premium analysis was conducted using the 10-year government bond yield as a risk-free rate benchmark, revealing that CSI 2000 and CSI 1000 had relatively high risk premiums at 64.29% and 56.75%, respectively, over the past five years[26][30][33] - PE-TTM values were evaluated as a valuation metric, with CSI 1000 and CSI 500 showing high historical percentiles at 98.1% and 95.95%, respectively[36][39][40] - Dividend yield analysis indicated that the ChiNext Index had the highest 5-year historical percentile at 69.5%, while CSI 2000 had the lowest at 10.0%[44][49][50] - Current net-breaking rates were reported, with CSI 2000 having the lowest rate at 2.2%, reflecting market valuation attitudes[51][53]

- 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]

- The report focuses on the daily investment dynamics of broad-based indices in the A-share market, highlighting the performance of indices such as the CSI 2000, SSE 50, and ChiNext Index, with CSI 2000 and SSE 50 showing the highest daily gains of 0.61% and 0.51%, respectively[2][10][11] - The analysis includes comparisons of indices with their moving averages (MA5, MA10, MA20, MA60, MA120, MA250) and their proximity to the 250-day high and low levels, showing that most indices are above their short-term moving averages except for the ChiNext Index, which fell below MA5 and MA10[14][15] - Turnover rates and trading volume proportions are analyzed, with CSI 2000 having the highest turnover rate at 4.5, followed by ChiNext Index at 2.85, and CSI 1000 at 2.82, while SSE 50 has the lowest turnover rate at 0.29[17][18] - The daily return distribution of indices is examined, revealing that the ChiNext Index has the largest negative skewness and kurtosis deviation, while CSI 1000 has the smallest negative kurtosis deviation and CSI 2000 has the smallest negative skewness[24][26] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate, showing that SSE 50 and CSI 300 have the highest risk premiums at 73.73% and 66.43%, respectively, while ChiNext Index has the lowest at 27.3%[28][31][34] - PE-TTM values and historical percentiles are analyzed, indicating that CSI 1000 and CSI 500 have the highest 5-year percentiles at 98.26% and 97.19%, respectively, while CSI 2000 and ChiNext Index have lower percentiles at 83.39% and 56.61%[37][40][41] - Dividend yield analysis shows that ChiNext Index has the highest 5-year historical percentile at 65.21%, followed by SSE 50 at 35.12%, while CSI 500 and CSI 2000 have lower percentiles at 14.38% and 12.73%, respectively[45][50][51] - The report also examines the net asset value (NAV) break rate, with SSE 50 having the highest break rate at 18.0%, followed by CSI 300 at 15.0%, while ChiNext Index has the lowest break rate at 1.0%[52][54]

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting daily, weekly, monthly, and yearly changes in index returns, with the highest annual return observed for the ChiNext Index at 42.85%[10][11][13] - It compares indices against their moving averages (MA5, MA10, MA20, MA60, MA120, MA250) and their 250-day high and low levels, showing that all indices remain above their 5-day moving averages, except the CSI 2000, which fell below its 10-day moving average[13][14] - The turnover rate and trading volume share are analyzed, with CSI 2000 having the highest turnover rate at 3.56, while the CSI 300 accounts for the largest trading volume share at 26.89%[16][17] - Daily return distributions are examined, revealing that the ChiNext Index has the largest negative skewness and kurtosis deviation, while the CSI 300 has the smallest[23][24] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate, showing that the CSI 1000 and CSI 2000 have higher volatility in risk premiums compared to other indices[26][27][30] - PE-TTM ratios are evaluated as valuation metrics, with CSI 500 and CSI All Index showing the highest 5-year percentile values at 98.18% and 97.44%, respectively, while the ChiNext Index has the lowest at 58.51%[38][41][42] - Dividend yield analysis indicates that the ChiNext Index and CSI 1000 have the highest 5-year historical percentile values at 69.42% and 46.2%, respectively, while CSI 2000 and CSI 500 have the lowest at 20.25% and 16.28%[46][51][52] - The report also tracks the percentage of stocks trading below their net asset value (break-net ratio), with the highest ratio observed for the SSE 50 at 18.0% and the lowest for the ChiNext Index at 1.0%[53]

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting that all indices experienced an increase on October 20, 2025, with the ChiNext Index (1.98%) and CSI 2000 (1.43%) showing the largest daily gains[1][2][10] - The ChiNext Index achieved the highest annual growth rate of 39.78%, followed by CSI 2000 (28.01%) and CSI 500 (23.47%), while the SSE 50 recorded the smallest annual growth rate of 10.81%[10][11] - The ChiNext Index broke above its 5-day moving average, while other indices remained below their 5-day and 10-day moving averages, with all indices being more than 1.5% away from their 250-day highs[13][14] - The turnover rate of indices on October 20, 2025, was led by CSI 2000 (3.21), followed by CSI 1000 (2.25) and ChiNext Index (2.07), while SSE 50 had the lowest turnover rate at 0.31[16][17] - The distribution of daily returns showed that the ChiNext Index had the largest negative skewness and kurtosis deviation, while CSI 1000 had the smallest negative skewness and kurtosis deviation[23][24] - Risk premium analysis revealed that the ChiNext Index (88.81%) and CSI 2000 (85.08%) had relatively high 5-year percentile values, while CSI 1000 (72.7%) and SSE 50 (62.22%) had lower values[28][30] - PE-TTM analysis indicated that CSI 500 (98.26%) and CSI All Index (95.62%) had high 5-year percentile values, while CSI 2000 (82.89%) and ChiNext Index (58.02%) had lower values[39][41] - Dividend yield analysis showed that the ChiNext Index (71.07%) and CSI 1000 (50.66%) were at relatively high 5-year historical percentile values, while CSI 2000 (24.13%) and CSI 500 (16.61%) were at lower values[50][51] - Current net break rates for indices were reported as follows: SSE 50 (20.0%), CSI 300 (15.67%), CSI 500 (11.6%), CSI 1000 (7.4%), CSI 2000 (3.3%), ChiNext Index (1.0%), and CSI All Index (5.99%)[52][54]