- The report does not contain any specific quantitative models or factors, nor does it provide details on their construction or evaluation [1][2][3] - 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 [5][6][19][28][40][49][55] - The analysis includes comparisons of indices against their historical averages, standard deviations, and percentile rankings over the past 1 and 5 years, providing insights into valuation and market sentiment [32][43][45][54] - Key indices analyzed include the SSE 50, CSI 300, CSI 500, CSI 1000, CSI 2000, CSI All Share, and ChiNext Index, with detailed metrics such as risk premiums, PE-TTM values, dividend yields, and net asset ratios provided for each index [13][19][32][45][54][58] - The report highlights the relative valuation and investment attractiveness of these indices based on their historical positioning and current market conditions, but does not delve into specific quantitative factor or model construction [43][45][54]

Core Viewpoint - The current capital market is vibrant, presenting a choice between small-cap stocks and the future potential of the Sci-Tech Innovation Board. Investors are encouraged to establish a stable core investment, represented by the CSI A500 index, before diversifying into various styles for a balanced portfolio [1][9]. Performance Comparison - Over the past six months, the CSI A500 index achieved a return of 21.65% with a volatility of 16.36%, providing a more stable holding experience compared to the CSI 2000 and Sci-Tech 50 indices, which had returns of 24.16% and 45.40% respectively, but with higher volatilities of 19.34% and 33.87% [2][10][12]. - The turnover rate for the CSI A500 was 127.15%, which is moderate compared to the higher turnover rates of the CSI 2000 (534.00%) and Sci-Tech 50 (217.85%), making it more suitable for ordinary investors [12][10]. Dividend and Valuation - The CSI A500 index offers a significantly higher dividend yield compared to the Sci-Tech 50 and CSI 2000, providing a layer of safety and predictable cash flow for investors [3][11]. - In terms of valuation, the rolling P/E ratio for the CSI A500 is 17.38, with a percentile rank of 76.47%, indicating a more reasonable valuation compared to the CSI 2000 and Sci-Tech 50, which have P/E ratios of 168.51 and 177.24, respectively, and are in the higher historical percentile ranks [6][16]. Strategic Recommendations - In the current market environment, the CSI A500 is recommended as a core holding due to its balance of returns and volatility. Investors may consider a "core-satellite" strategy, anchoring the majority of their portfolio in the A500 ETF while allocating a smaller portion to high-potential sectors like semiconductor design and equipment [8][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 ratios[1][3][4] - **Risk Premiums**: The risk premium is calculated using the yield of 10-year government bonds as the risk-free rate. It measures the relative investment value and deviation of indices. For example, the current risk premium for the SSE 50 is 1.64%, with a 5-year historical percentile of 94.21%, while the CSI 500 has a negative risk premium of -0.98% and a 5-year historical percentile of 16.35%[27][31][34] - **PE-TTM**: The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation reference. The CSI All Share Index and CSI 500 have the highest 5-year historical percentiles at 99.92% and 99.75%, respectively, indicating high valuation levels. In contrast, the SSE 50 and ChiNext Index have lower percentiles at 85.87% and 62.89%, respectively[39][42][44] - **Dividend Yields**: Dividend yield reflects the cash dividend return rate. The current dividend yield for the SSE 50 is 3.19%, while the CSI 500 and CSI 2000 have lower yields at 1.21% and 0.71%, respectively. The ChiNext Index has a 5-year historical percentile of 56.20%, indicating a relatively high historical level[48][53][55] - **Net Asset Ratios**: The net asset ratio measures the proportion of stocks trading below their net asset value. Currently, the SSE 50 has the highest ratio at 24.0%, while the CSI 2000 has the lowest at 2.35%, reflecting market valuation attitudes[54][57]

Core Viewpoint - The article discusses the significant increase in various stock indices at the beginning of the year, highlighting a positive market sentiment compared to the previous year's performance [1]. Index Performance Summary - The Sci-Tech Innovation Board Index has risen by 10.19% this year, while the convertible bond equal-weight index has increased by 5.44% [1]. - Other notable indices include: - The Sci-Tech 50 Index up by 9.80% - The CSI 500 Index up by 7.92% - The CSI 1000 Index up by 7.03% - The Shenzhen Component Index up by 4.40% - The Shanghai Composite Index up by 3.82% [1].

- 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]

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 article discusses the temporary adjustments made by index companies in response to special events that affect the representativeness and investability of indices [2] - Temporary adjustments to indices are relatively rare occurrences [3] Group 2 - Regular adjustments to indices are based on the principle of sample stability and dynamic tracking, with a review of sample stocks conducted periodically [4] - For example, the CSI 300 Index selects the 300 largest and most liquid stocks from the Shanghai and Shenzhen markets, with biannual rebalancing to ensure the index reflects current market conditions [4] - The frequency of regular adjustments varies among indices, with some adjusting quarterly, semi-annually, or annually [5] - Specific adjustment schedules include quarterly adjustments in March, June, September, and December, semi-annual adjustments in June and December, and annual adjustments in December [5][6]

Core Viewpoint - The market is experiencing a structural bull market, characterized by significant gains in specific sectors while others lag behind, indicating potential investment opportunities in undervalued stocks [10][11][12]. Group 1: Market Performance - The overall market opened lower but closed higher, returning to a rating of 4.2 stars [1]. - All market caps, including large, mid, and small caps, saw increases, with small caps outperforming slightly [2]. - Both value and growth styles experienced upward movement [3]. Group 2: Positive Market Drivers - Positive news circulated during the trading day, contributing to market gains [4]. - Insurance institutions lowered risk factors for indices like the CSI 300 and the Low Volatility Dividend 100, allowing for increased allocation to these stocks [5][6]. - This adjustment led to significant increases in sectors such as securities, insurance, and value stocks [7]. Group 3: Structural Bull Market Characteristics - Structural bull markets often see certain categories of stocks rise significantly while others may not reach high valuations [10][12]. - Historical examples include the small-cap growth bull market in 2015 and the large-cap value bull market from 2016 to 2017 [13][14]. Group 4: Current Market Trends - The main drivers of this year's market increase are small-cap and growth styles, with indices like the CSI 2000 and tech-focused boards showing gains exceeding the market average [15]. - Many stocks in these categories have strong fundamentals, with tech companies in A-shares and Hong Kong showing over 30% year-on-year profit growth [18]. - Some sectors, such as consumer and healthcare, have seen moderate profit growth, while others like consumption have experienced declines [21][25]. Group 5: Future Outlook - Stocks that are currently underperforming may become leaders in future market cycles, emphasizing the need for patience among investors [27][32]. - Even undervalued indices can yield returns over time, as seen with dividend and low-volatility indices that have appreciated by 50-70% since 2018 despite not reaching high valuations [40][41]. Group 6: Valuation Insights - The article provides a valuation table for Hong Kong indices, indicating that the market has already returned to a rating of over 3 stars due to earlier gains compared to A-shares [42]. - The valuation metrics for various indices, including PE ratios and dividend yields, are summarized for investor reference [43].

Core Insights - The article discusses the advantages of a dividend low-volatility strategy compared to traditional stock picking, highlighting its ability to reduce drawdowns and facilitate buying low and selling high [1][11] - It emphasizes the importance of asset allocation, suggesting a balanced approach between dividend low-volatility stocks and bonds to mitigate risks during market downturns [3][11] Summary by Sections Investment Strategy - A 55:45 allocation between dividend low-volatility stocks and bonds can yield an annualized return of approximately 7%, although a 4% loss may still occur in extreme market conditions like those in 2018 [1] - The strategy of using Bollinger Bands for managing positions is suggested, where selling occurs at the upper band and buying at the lower band, which can enhance returns compared to a static holding approach [1][5] Risk Management - The article notes that a 16% drop in the dividend low-volatility index in 2018 should be viewed as a historical buying opportunity, advocating for a reallocation strategy to enhance returns during recovery phases [3] - It discusses the potential of using put options for additional protection against extreme market downturns, although this may not be deemed necessary for strategies with low maximum drawdowns [11] Portfolio Construction - Recommendations include building a personalized portfolio based on the top holdings of the dividend low-volatility index, allowing for greater flexibility and responsiveness to market conditions [4][8] - The concept of passive rebalancing is introduced, where adjustments are made based on changes in asset ratios, promoting a disciplined approach to high selling and low buying [5][9]

- 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]