- 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 rate of indices is calculated using the formula: $ \text{Turnover Rate} = \frac{\Sigma(\text{Component Stocks' Free Float Shares} \times \text{Component Stocks' Turnover Rate})}{\Sigma(\text{Component Stocks' Free Float Shares})} $ This metric reflects the liquidity and trading activity of the indices[15] - The risk premium is measured relative to the 10-year government bond yield, serving as a benchmark for assessing the relative investment value and deviation of indices. The report highlights that indices like CSI 500 and SSE 50 exhibit high 5-year percentile values for risk premiums, indicating relatively attractive valuations[25][26][29] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation metric, with indices such as CSI 500 and CSI All Share showing high 5-year percentile values (99.92%), suggesting elevated valuations compared to historical levels[37][40][42] - Dividend yield is analyzed as a measure of cash return to investors, with indices like the ChiNext Index and CSI 300 showing relatively high 5-year historical percentile values (57.93% and 31.65%, respectively), indicating their attractiveness during periods of market downturns or declining interest rates[46][51][53] - The price-to-book ratio (P/B) is evaluated through the "break net ratio," which measures the proportion of stocks trading below their book value. The report notes that indices such as SSE 50 and CSI 300 have higher break net ratios, reflecting market sentiment and valuation levels[52][55]

文 | 银行螺丝钉 （转载请注明出处） und #螺丝钉小知识 银行螺丝钉 中证800+1000+2000 = 中证全指? 有朋友问,投了中证800+中证1000+中证 2000,效果是不是类似于中证全指? 答案是很接近。 ·中证800,包含A股规模最大的1-800只 股票; · 中证1000,包含A股规模最大的第 801-1800只股票; · 中证2000,包含A股规模最大的第 1801-3800只股票。 不同地区股票市场不是同涨同跌的。了解多个股票市场，投资者可以把握更多的投资机会。 全球投资还可以显著降低波动风险。 那么，如何做好全球投资，分享全球市场长期上涨的红利呢？ 这里有一门限时免费的福利课程，介绍了通过指数基金投资全球股市的方法。 想要获取这个课程，可以添加下方「课程小助手」，回复「 全球 」领取哦～ 更有课程笔记、思维导图，帮您快速搞懂课程脉络，学习更高效。 如何刷用清频高综 ERNATI 长接添加@课程小助手,回复「全球」 免费领取《全球指数投资指南》课程 更有课程笔记、思维导图 帮你快速搞懂全球指数投资, 分享全球市场长期上涨的红利 est 基金有风险,投资需谨慎 这三个指数加起来,几乎就 ...

Content: --------- <doc id='1'>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：</doc> <doc id='2'>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</doc> <doc id='3'>态 2025.12.17 A 股市场快照：宽基指数每日投资动 态 2025.12.16 A 股市场快照：宽基指数每日投资动 态 2025.12.15 其次是中证 2000（23.94%）和中证 1000（20.51%）。各宽基指数当前换手率分别 为中证 2000（3.88），创业板指（2.41），中证 1000（2.24），中证全指（1.63）， 中证 500（1.56），沪深 300（0.54）和上证 50（0.23）。 ◆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。上 证 50 和创业板指的负偏态最大，中证 1000 和中证 2000 的负偏态最小。 ◆风险溢价：2025 年 12 月 17 日, 创业板指（97.14%）和中证 500（96.59%）风险 溢价近 5 年分位值较高，中证 1000（88.41%）和中证 2000（69.05%）较低。</doc> <doc id='4'>◆PE-TTM：中证 500（95.04%）和中证 1000（93.47%）分位值较高，而中证 2000 （79.17%）和创业板指（57.69%）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（63.22%）和中证 1000（51.65%）所处近 5 年历史分位值较 高，而中证 2000（31.32%）和中证 500（24.55%）较低。 ◆破净率：当前，各指数破净率为上证 50（22.0%），沪深 300（16.33%），中证 500（11.2%），中证 1000（8.3%），中证 2000（3.8%），创业板指（nan%）和中 证全指（6.51%）。 ◆风险提示：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='6'>| 市场衣乳… | | --- | | 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 | | 22 分布形态变化对比 | | 3 风险溢价 … | | 3.1 各宽基指数的风险溢价 | | 32 风险溢价历史分布 | | 4 PE-TTM. | | 4.1 各宽某指数 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 吸血率… | | 5.1 近一年各宽某指数股息率变化情况, | | 5.2 股息率历史对比… | | 6 玻璃率 | | 7 风险提示 . |</doc> <doc id='8'>| 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、各宽基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。 1.1 指数表现 </doc> <doc id='11'>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%） 和中证 500（1.95%）涨幅最大。当周涨跌情况，各跟踪指数全部下跌，其中 中证 2000（-1.22%）和中证 1000（-1.12%）跌幅最大。当月涨跌情况，各跟踪 指数涨跌各现，其中创业板指（4.04%）和中证 500（1.51%）涨幅最大，而中 证 2000（-0.89%）和中证 1000（-0.62%）下跌。当季涨跌情况，各跟踪指数除 了上证 50（0.09%）外全部下跌，其中中证 1000（-3.78%）和中证 500（-3.7%） 跌幅最大。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。 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% 当季涨幅% 当年涨幅% 日K </doc> <doc id='12'>| 指数名称 | 指数代码 | 当日涨幅% | 当周涨幅% | 当月涨幅% | 当季涨幅% | 当年涨幅% | 日K 连阴连阳 | 周K 连阴连阳 | 月K 连阴连阳 | 季K 连阴连阳 | 年K 连阴连阳 | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 上证50 | 000016.SH | 1.25 | -0.10 | 0.74 | 0.09 | 11.43 | | | |

Group 1 - The core viewpoint of the article discusses the performance comparison between A-shares and U.S. stocks, indicating that A-shares may not underperform U.S. stocks as commonly perceived [4][6]. - From 2005 to December 5, 2025, the S&P 500 and CSI 300 indices increased by 748.25% and 574.74% respectively, translating to annualized returns of 10.72% and 9.52%, showing that the performance gap is not as significant as believed [7][9]. - The overall growth rate of A-share listed companies from 2005 to present is higher than that of U.S. stocks when excluding valuation changes [11]. Group 2 - The industry distribution of listed companies in both markets is gradually converging, with A-shares showing increasing exposure to technology sectors [12][18]. - The combined weight of Information Technology and Communication Services in the CSI 300 is 22%, while in the broader Chinese equity market, it reaches 30.2%, indicating a shift towards technology [16][18]. - The industry distribution in the Chinese market has evolved significantly since 2011, reflecting the rapid transformation of the Chinese economy [18]. Group 3 - The volatility of A-shares is notably higher than that of U.S. stocks, which affects investor behavior and overall investment experience [21][22]. - To improve the investment experience in A-shares, reducing market volatility is deemed essential, rather than solely focusing on enhancing the fundamentals of listed companies [23][24]. - Recent regulatory measures aim to lower the volatility of A-shares, indicating a potential for improved investor experience in the future [25]. Group 4 - Overall, the long-term performance of A-shares is not significantly inferior to that of U.S. stocks, but the volatility in A-shares has historically led to varied investor experiences [27]. - The trend towards decreasing volatility in A-shares is expected to continue, potentially leading to better investment outcomes for broad market indices [27].

行业分类难以满足多元需求，主题概念投资快速兴起 随着资本市场的快速发展，上市公司的业务结构愈发多元，仅依赖传统的行业或风格分类难以完整刻画企业的业务特 征，信息损失也随之增加。概念指数是具有共性受益逻辑的一系列股票的集合，其成份样本通常涵盖一个或多个行业 的上市公司，并且在二级市场股价具有明显联动性，可以很好解释股票的收益变化。 Wind 热门概念指数基于客观量价评分，结合政策和产业等因素主观确定的热门指数，具有领涨性和活跃性，采用等权 重方式进行编制。我们首先尝试基于月度和周度动量因子构建热门概念指数轮动策略，但是因子和策略效果相对有限， 未能获得满意的效果。 基于 TimeMixer 模型的热门概念指数轮动策略构建 我们尝试先构建个股的 Alpha 因子，将其聚合到概念指数上。由于 Wind 热门概念指数均为等权重指数，所以按照指 数成分股加权方式和等权加权方式效果完全相同，我们基于此方式先将个股因子聚合到概念指数上。聚合后的指数因 子 IC 均值为 7.27%，多头年化超额收益率为 30.77%，多头信息比率为 1.28。 基于聚合后的因子构建指数轮动策略，每周选择模型得分最高的 10 个概念指数进行等 ...

中国资本市场的壮阔图景，由五千多上市公司共同绘就。行业轮动、风格切换如四季更迭，难以精准把 握，与其在频繁的切换中消耗，不如选择一条相对更从容的路径——中证全指增强基金。 中国资本市场的壮阔图景，由五千多上市公司共同绘就。行业轮动、风格切换如四季更迭，难以精准把 握，与其在频繁的切换中消耗，不如选择一条相对更从容的路径——中证全指增强基金。 中证全指（000985）为投资者提供一幅覆盖沪深京三个交易所的"全景地图"，旨在从中国经济的整体发 展中获益。其全市场覆盖与均衡行业布局，从根本上分散风险，以均衡而全面的战略布局未来，让投资 回归简单与恒久。 在跟踪中证全指（000985）的基础上，东方红资产管理进一步开发量化增强策略，于11月24日至12月12 日发行东方红中证全指指数增强基金（A类025911、C类025912），以期实现超越中证全指的超额收 益。 更全面更均衡反映A股市场生态 中证全指（000985）由上海证券交易所、深圳证券交易所、北京证券交易所市场符合条件的股票和存托 凭证组成样本，要求上市时间超过一个季度（除非上市以来日均总市值排在前30位），扣除ST、*ST股 票，科创板和北交所股票要求上市 ...

- The report tracks the performance of various broad-based indices in the A-share market, including their daily, weekly, monthly, and yearly changes. For instance, on November 18, 2025, all tracked indices fell, with the CSI 2000 and CSI 500 experiencing the largest declines of -1.32% and -1.17%, respectively[1][2][10] - The report compares the indices against their moving averages and their positions relative to the highest and lowest points over the past 250 trading days. For example, all tracked indices have fallen below their 5-day and 10-day moving averages, with the CSI 2000 still above its 20-day moving average[13] - The report provides data on the trading volume and turnover rates of the indices. On November 18, 2025, the CSI 2000 had the highest trading volume share at 24.98%, followed by the CSI 300 at 22.28% and the CSI 1000 at 22.17%. The turnover rates for these indices were 4.48, 2.85, and 2.83, respectively[15] - The report analyzes the distribution of daily returns for the indices, noting that the ChiNext Index has the largest negative kurtosis deviation, while the CSI 1000 has the smallest. The CSI 2000 has the smallest negative skewness, while the SSE 50 has the largest[21][23] - The report examines the risk premiums of the indices relative to the 10-year government bond yield. As of November 18, 2025, the SSE 50 and CSI 300 had relatively high 5-year percentile risk premiums of 37.62% and 24.29%, respectively, while the CSI 2000 and CSI 500 had lower values of 15.95% and 13.41%[25][28][29] - The report evaluates the PE-TTM (Price-to-Earnings ratio based on trailing twelve months) of the indices as a measure of valuation. The CSI 1000 and CSI 500 had high 5-year percentile values of 96.86% and 95.45%, respectively, while the CSI 2000 and ChiNext Index had lower values of 82.64% and 55.04%[37][40][41] - The report assesses the stock-bond yield ratio, which compares the inverse of the PE-TTM to the 10-year government bond yield. None of the indices were above their 80% percentile (opportunity value), and none were below their 20% percentile (danger value)[43] - The report tracks the dividend yields of the indices, noting that the ChiNext Index and CSI 1000 had relatively high 5-year historical percentile values of 70.58% and 39.17%, respectively, while the CSI 500 and CSI 2000 had lower values of 16.94% and 13.55%[45][50][51] - The report monitors the net asset value break rates of the indices, indicating the proportion of stocks trading below their net asset value. As of the latest data, the break rates were 22.0% for the SSE 50, 16.0% for the CSI 300, 11.6% for the CSI 500, 7.2% for the CSI 1000, 2.45% for the CSI 2000, 1.0% for the ChiNext Index, and 5.65% for the CSI All Share Index[52]

Core Viewpoint - Investing in A-shares can indeed outperform inflation over the long term, as the overall economic development of the country supports stock market growth [4][5]. Group 1: A-share Market Performance - The representative index for A-shares is the CSI All Share Index, which covers all listed companies in A-shares, providing a stronger representation compared to the Shanghai Composite Index [6]. - The CSI All Share Index started at 1000 points at the end of 2004 and is projected to reach 4750.67 points by December 31, 2024. Including dividends, the total return index is expected to rise to 6284.26 points [6]. - The historical average annualized return for A-shares over the past decade is approximately 9%-10% [8]. Group 2: Investment Strategies - Investing in stock funds can yield better returns than directly investing in A-shares, with the total return index for all A-share stock funds rising from 1164 points at the end of 2004 to 9140.39 points by December 31, 2024, resulting in an annualized return of 11%-13% [8]. - The phrase "investing in funds is better than trading stocks" reflects the higher average returns from stock funds, as they can exclude poorly performing companies [9]. - Stock funds can be categorized into two types: passive funds (index funds) and active funds, with index funds being a good entry point for individual investors due to their clear rules, low costs, and ease of management [9].

Group 1: Market Overview - The risk premium percentile for the CSI All Share Index is 45.07%, indicating that the market is generally in a normal return area [1][5] - The current risk premium value for the CSI 300 is 5.17%, suggesting a high return level that warrants attention [1][6] - The price-to-book ratio percentile for the CSI All Share Index is 41.77%, indicating a normal valuation state for the market [1][10] - The price-to-book ratio percentile for the Shanghai Composite Index is 22.68%, reflecting a relatively low valuation level that deserves focus [1][11] - The deviation rate for the CSI All Share Index is 18.59%, suggesting that the overall price level of the market is in a normal strong area [1][15] - The Sci-Tech 50 and ChiNext 50 are in an overbought state, indicating a need for caution regarding short-term risks [1][16] Group 2: Market Style Rotation - The growth style has significantly outperformed over the past six months, suggesting a focus on growth-style targets moving forward [1][22] - The high valuation style has also shown notable outperformance in the last six months, recommending attention to high valuation style targets [1][25] - Small-cap style has continued to record negative excess returns, while large-cap style has gradually outperformed over the past three months, indicating a focus on large-cap style targets [1][27] Group 3: ETF Rotation - The report tracks the performance of a dual momentum rotation strategy for ETFs, which selects securities that show strong time-series and cross-sectional momentum [1][31] - Reference targets for the dual momentum rotation strategy include various ETFs such as the Gold Stocks ETF and Green Energy ETF [1][33] Group 4: Convertible Bond Strategy - Convertible bonds, which combine debt and equity characteristics, are highlighted as a valuable investment option, particularly for risk-averse investors [1][35] - The report focuses on the performance enhancement of equity-oriented convertible bonds, providing a list of specific convertible bonds to consider [1][38]

Core Viewpoint - The article discusses the unique characteristics and advantages of the China Securities A500 Index, highlighting its role in the A-share market and its potential for investment opportunities [3][8][33]. Group 1: Index Characteristics - The China Securities A500 Index includes leading companies from all industries, making it distinct in its comprehensive coverage [8][9]. - The selection process for the A500 involves multiple rounds of elimination based on trading activity, market capitalization, and ESG ratings, ensuring only the most viable stocks are included [12][14][18][19]. Group 2: Selection Process - The first round eliminates stocks with low trading activity, specifically those in the bottom 10% of average daily trading volume over the past year [12]. - The second round removes stocks with small market capitalization, specifically those in the bottom 70% [14]. - The third round excludes stocks that do not support trading through the Shanghai-Hong Kong or Shenzhen-Hong Kong Stock Connect, enhancing liquidity [16]. - The final round eliminates stocks with poor ESG ratings, ensuring the selected companies are sustainable and responsible [18]. Group 3: Industry Coverage - The A500 Index is designed to have a balanced industry representation, which helps mitigate risks associated with overexposure to any single sector [23]. - Compared to the CSI 300 Index, the A500 has a higher representation of emerging industries like industrials and information technology, while having less exposure to traditional sectors like finance and consumer goods [25]. Group 4: Advantages and Disadvantages - The balanced industry allocation of the A500 enhances its risk resilience, but it may lead to relatively average returns during market rallies driven by specific sectors [28]. - The A500 has a shorter historical data period compared to other indices like the CSI 300, which limits the ability to assess its performance across various market conditions [31]. Group 5: Performance Insights - The A500 has shown significant performance, with some quantitative private equity funds achieving nearly 35% returns year-to-date, compared to 14% for the CSI 300 Index [33].