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][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]

Core Viewpoint - The article emphasizes the shift in global asset pricing logic from focusing on growth and policy to being influenced by conflicts and uncertainties, particularly in the context of rising geopolitical risks and their impact on investment strategies [3][4]. Group 1: Global Market Dynamics - Over the past decade, global asset pricing has primarily revolved around central bank policies, inflation trajectories, and economic growth, but this framework is changing due to prolonged geopolitical conflicts [4]. - The World Economic Forum's 2026 Global Risk Report identifies "geoeconomic confrontation" and "interstate conflict" as major long-term risks, indicating a heightened focus on tail risks among global investors [4][5]. Group 2: Impact of Geopolitical Risks - The changing landscape leads to three main impacts: asset prices becoming more sensitive to sudden events, increased risk premiums for safe and physical assets, and a decline in the effectiveness of relying solely on economic recovery and profit growth for asset allocation [6]. - The surge in gold prices above $5,000 per ounce and silver prices above $100 per ounce reflects the dominance of "conflict premium and safe-haven demand" in pricing, indicating a need for strategies that address both trends and uncertainties [6]. Group 3: China's Asset Advantages - China's assets are gaining recognition for their policy independence, which is particularly valuable in a high-uncertainty environment, as the country maintains a focus on stable growth and liquidity [9]. - This policy orientation suggests that Chinese assets are less exposed to external geopolitical conflicts, making them more attractive for long-term investors seeking stability and potential growth [9]. Group 4: Investment Reallocation - With the expiration of high-interest deposits and a low-interest environment, long-term funds are seeking new allocation directions, with potential flows into wealth management, insurance, public funds, and A-shares [10]. - The annualized return of the CSI 300 index at approximately 7.62% highlights the relative attractiveness of equity assets compared to other investment options, such as real estate and government bonds [10]. Group 5: Asset Allocation Strategy - A-shares are positioned as a core holding in investment portfolios due to their lower direct exposure to external conflicts and the potential for policy support [12]. - Satellite positions in portfolios should focus on commodities and macro strategies to enhance flexibility and mitigate risks associated with geopolitical uncertainties [12].

1. Report Industry Investment Ratings - No industry investment ratings are provided in the report. 2. Core Views - The market has complex trends with different varieties showing various performances such as oscillation, strength, or weakness, and is affected by multiple factors including geopolitical situations, supply - demand relationships, and cost changes [3]. 3. Summary by Variety Metals - **Zinc (ZN2603)**: Oscillation with a bullish bias, overseas smelting cost increase drives the price up, hold cross - market reverse arbitrage [3]. - **Methanol (MA2605)**: Oscillation with a bullish bias, pay attention to geopolitical changes and take profit on long positions when the situation eases [3]. - **Iron Ore (I2605)**: Weak adjustment, Vale's accident but the price is still under pressure, short positions can be set up around 800 [3]. - **Palm Oil (P2605)**: Short - term bullish, may try to break through 9300 [3]. - **Gold (AU2604)**: Bullish oscillation, take profit on long positions at high prices, buy out - of - the - money call options [3]. - **Copper (CU2603)**: CL premium narrows and spot discount widens, take profit on long positions at high prices, and focus on the 99000 - 100000 support level [3]. - **Aluminum (AL2603)**: The dollar drops to a four - year low, driving the price up strongly. Wait for a pullback to set up long positions in the 23500 - 25000 range [3]. - **Tin (SN2603)**: The price rises at the end of the session but spot trading is cold. Be cautious in the short - term, consider low - buying after the sentiment stabilizes [3]. - **Nickel (NI2602)**: The driving force is limited after the news is digested, conduct range - bound trading in the 140000 - 150000 range [3]. - **Stainless Steel (SS2603)**: Oscillation adjustment, the main contract ranges from 14200 to 15000 [3]. - **Industrial Silicon (Si2605)**: Spot price stabilizes, futures price rises and then falls, the main contract ranges from 8200 to 9200 [3]. Energy and Chemicals - **PX (PX2603)**: High - level oscillation before the holiday, short - term range is 7100 - 7500, bullish in the medium - term [3]. - **PTA (TA2605)**: High - level oscillation before the holiday, short - term range is 5100 - 5400, bullish in the medium - term [3]. - **Short - fiber (PF2603)**: Follow raw materials, do positive arbitrage in TA5 - 9, shrink processing fees at high levels [3]. - **Bottle Chips (PR2603)**: Multiple devices are under maintenance and factories are destocking, processing fees are supported, ranging from 400 - 550 yuan/ton [3]. - **Ethanol (EG2605)**: Positive arbitrage opportunity, sell out - of - the - money put options EG2605 - P - 3800 at high prices [3]. - **Pure Benzene (BZ2603)**: Supply - demand improves but high inventory suppresses, wait and see, shrink the EB - BZ spread at high prices [3]. - **Styrene (EB2603)**: Supply - demand weakens and high valuation pressures the price, wait and see, shrink the EB - BZ spread at high prices [3]. - **LLDPE (L2605)**: Trading volume decreases, wait and see [3]. - **PP (PP2605)**: Supply - demand is weak, price oscillates, wait and see [3]. - **Caustic Soda (SH2603)**: Supply pressure is high, price center moves down, short on rebounds [3]. - **PVC (V2605)**: May enter wide - range oscillation, short - term low - buying, wait and see on short positions [3]. - **Urea (UR2605)**: Take profit on long positions, short at high prices [3]. - **Soda Ash (SA2605)**: Oscillation is weak, wait and see [3]. - **Glass (FG2605)**: Supply - demand is weak, pay attention to production lines and inventory changes, wait and see [3]. Agricultural Products - **Soybean Meal (M2605)**: Strong bottom support, range oscillation [3]. - **Live Pigs (FH2603)**: Supply - demand game intensifies, range oscillation [3]. - **Corn (C2603)**: Oscillation [3]. - **Sugar (SR2605)**: Spot trading slows down, range - bound with a bearish bias [3]. - **Cotton (CF2605)**: Spot is stable, pay attention to the support at 14400 - 14500 [3]. - **Eggs (JD2603)**: Spot is stable with a bullish bias, range oscillation [3]. - **Apples (AP2605)**: Demand increases, participate in the rebound with a light position [3]. - **Red Dates (CJ2605)**: Stocking is nearing the end, range - bound with a bearish bias [3]. Financial Futures - **Stock Index Futures (IF2603, IC2603, IH2603, IM2603)**: Broad - based indexes oscillate in a range, theme industries rise structurally, control portfolio risks and reduce long positions [3]. - **Treasury Bond Futures (T2603, TF2603, TS2603, TL2603)**: The bond market is in an oscillatory pattern, conduct range - bound operations, and pay attention to positive arbitrage in TL and T contracts [3]. - **Precious Metals Futures (AU2604, AG2604, PT2606, PD2606)**: The price trends of precious metals diverge, take profit on gold long positions at high prices, and be careful with silver and platinum [3]. Building Materials - **Steel (RB2605)**: Steel price is stable, the spread between hot - rolled coil and rebar widens, hold long positions on the spread [3]. - **Coking Coal (JM2605)**: Coal prices in Shanxi loosen, Mongolian coal price falls from a high, take a bearish view on single - side trading, do long coking coal and short coke [3]. - **Coke (J2605)**: Coke price increase is hard to implement, take a bearish view on single - side trading, do long coking coal and short coke [3]. - **Silicon Ferrosilicon (SF603)**: No major supply - demand contradiction, cost may rise, wide - range oscillation [3]. - **Manganese Silicon (SM605)**: Ore replenishment is nearly over, supply - demand improves, wide - range oscillation [3]. - **Alumina (AO2605)**: Local alumina plants have frequent overhauls, sell out - of - the - money put options at the price lower limit and short at high prices [3].

- The report primarily focuses on tracking and analyzing the performance of broad-based indices in the A-share market, including their daily returns, moving averages, turnover rates, and valuation metrics such as PE-TTM and dividend yield[1][2][4] - 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 reflects the liquidity and trading activity of the indices[19] - The risk premium of the indices is measured relative to the 10-year government bond yield, serving as a benchmark for risk-free rates. The report highlights the mean-reversion behavior of risk premiums and their volatility trends over time[29][30] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation metric to assess the investment value of indices. The report observes that the PE-TTM values of indices like CSI 500 and CSI All Share are at relatively high historical percentiles, while indices like SSE 50 and ChiNext are at lower percentiles[41][44][45] - Dividend yield is analyzed as a measure of cash return to investors. The report notes that indices such as ChiNext and CSI 300 have relatively high historical percentiles for dividend yield, while CSI 500 and CSI 2000 are at lower percentiles[50][52][56] - The report also tracks the net asset value (NAV) break rate, which indicates the proportion of stocks trading below their book value. A higher break rate suggests undervaluation, while a lower rate may indicate market optimism. Current break rates for indices like SSE 50 and CSI 300 are higher compared to others like CSI 2000 and CSI All Share[57][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 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]

- The report tracks the performance of various broad-based indices in the A-share market, noting that on December 24, 2025, all indices except the SSE 50 increased, with the CSI 2000 and CSI 1000 showing the largest gains of 1.55% and 1.54%, respectively[2] - The report compares the moving averages of the indices, highlighting that the CSI 1000 broke through the 60-day moving average, and all tracked indices are above the 5, 10, 20, and 60-day moving averages[13] - The report analyzes the trading volume and turnover rates, noting that on December 24, 2025, the CSI 2000 had the highest trading volume share at 24.78%, followed by the CSI 300 and CSI 1000, both at 21.96%[17] - The report examines the daily return distribution, indicating that the ChiNext Index has the largest negative skewness and kurtosis, while the CSI 2000 has the smallest negative skewness and kurtosis[23][25] - The report evaluates the risk premium of the indices relative to the 10-year government bond yield, noting that the CSI 1000 and CSI 500 have high 5-year percentile values of 89.44% and 88.1%, respectively, while the CSI 300 and SSE 50 have lower values of 64.21% and 47.46%[28][31] - The report assesses the PE-TTM ratios of the indices, highlighting that the CSI 500 and CSI 1000 have high 5-year percentile values of 96.94% and 94.63%, respectively, while the SSE 50 and ChiNext Index have lower values of 84.05% and 59.17%[42][43] - The report analyzes the dividend yield, noting that the ChiNext Index and CSI 1000 have high 5-year historical percentile values of 61.32% and 39.09%, respectively, while the CSI 500 and CSI 2000 have lower values of 17.77% and 16.36%[51][53] - The report examines the net asset value break rate, indicating that the current break rates for the indices are 22.0% for the SSE 50, 16.0% for the CSI 300, 10.8% for the CSI 500, 8.0% for the CSI 1000, 3.25% for the CSI 2000, and 6.14% for the CSI All Share Index[57]

- The report provides a snapshot of the A-share market, focusing on the performance of broad-based indices as of December 23, 2025[1][2] - The report includes a comparison of indices with their moving averages and the highest and lowest points over the past 250 trading days[14][15] - The report analyzes the distribution of daily returns for various indices, highlighting the kurtosis and skewness of these distributions[24][26] - The report examines the risk premium of various indices relative to the yield on 10-year government bonds, noting significant mean reversion and volatility[28][29][30] - The report evaluates the PE-TTM (Price-to-Earnings ratio based on trailing twelve months) of various indices, providing historical comparisons and percentile rankings[38][39][42][43] - The report assesses the stock-bond yield ratio, comparing the PE-TTM inverse with the yield on 10-year government bonds[45][46] - The report tracks the dividend yield of various indices, noting historical trends and current values[47][48][52] - The report discusses the percentage of stocks trading below their net asset value (P/B ratio < 1), indicating market valuation attitudes[53][56][58]

- The report provides a snapshot of the A-share market, highlighting the performance of various broad-based indices on December 22, 2025, with the ChiNext Index (2.23%) and the CSI 500 (1.2%) showing the largest gains[1][2] - All tracked indices have moved back above their 5, 10, 20, and 60-day moving averages, with the SSE 50 and CSI 2000 indices recovering to within 2% of their 250-day highs[2][14] - The CSI 2000 had the highest turnover rate at 3.82, followed by the CSI 1000 at 2.23, and the ChiNext Index at 2.15[2][17] - The ChiNext Index had the largest negative skewness and kurtosis deviation, while the CSI 1000 had the smallest[2][23][25] - The risk premium for the ChiNext Index (90.4%) and CSI 500 (86.19%) were relatively high over the past five years, while the SSE 50 (74.13%) and CSI 2000 (72.22%) were lower[2][27][31] - The PE-TTM values for the CSI 500 (95.87%) and CSI 1000 (93.97%) were relatively high, while the CSI 2000 (82.81%) and ChiNext Index (58.02%) were lower[3][41][42] - The dividend yield for the ChiNext Index (62.73%) and CSI 1000 (45.54%) were relatively high over the past five years, while the CSI 500 (21.16%) and CSI 2000 (20.41%) were lower[3][51][53] - The current net break rates for the indices were: SSE 50 (22.0%), CSI 300 (16.0%), CSI 500 (10.8%), CSI 1000 (8.1%), CSI 2000 (3.3%), and CSI All Share (6.14%)[3][55]

- 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]