证券研究报告·金融工程报告 2025 年 11 月 24 日 江海证券研究发展部 相关研究报告 态 2025.11.21 A 股市场快照：宽基指数每日投资动 态 2025.11.20 A 股市场快照：宽基指数每日投资动 态 2025.11.19 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 2025.11.24 ◆市场表现：2025 年 11 月 21 日, 各宽基指数（表 1）全部下跌超过-1%，其中创 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 业板指（-4.02%）和中证 2000（-3.99%）跌幅最大。当年涨跌情况，创业板指（36.35%） 涨幅最大，其次是中证 2000（25.4%）和中证 500（19.07%），中证 1000（18.63%） 和中证全指（17.36%）涨幅缩小，而上证 50（10.1%）涨幅最小。另外，中证 1000 和中证 2000 连续四日连阴，中证 500 和中证全指连续六日连阴。 ◆均线比较：所有跟踪指数已跌穿 60 日均线。中证 2000 距离跌破 120 日均线仅 0.4%。市 ...

Group 1 - The article discusses the recent global market downturn, highlighting a liquidity shock that has led to a collective decline in various asset classes, including global stocks, cryptocurrencies, and gold, with the Asia-Pacific region experiencing the largest drop of over 3% in Japan and South Korea [4][8]. - It emphasizes the importance of maintaining core positions in quality equity investments, particularly in a low-interest-rate environment, and suggests that the main investment themes remain unchanged despite market fluctuations [7][10]. - The article advises investors to lower their expectations and set realistic benchmarks for returns, suggesting that the focus should be on long-term investment in quality companies rather than short-term gains [13][15]. Group 2 - The article highlights the need for investors to avoid crowded trades and to be cautious about entering popular sectors unless they have a deep understanding of industry trends, using examples from the lithium battery sector and the banking sector to illustrate the risks of chasing hot stocks [17][22]. - It advocates for dynamic portfolio balancing and the acquisition of undervalued assets, suggesting that investors should assess their holdings and consider diversifying across different sectors and regions to mitigate risks [24][27]. - The article mentions the performance of the Hong Kong stock market, noting the impact of significant capital raises on valuations and the mixed results from companies like Xiaomi, which reported a 20% year-on-year revenue increase but faces concerns about sustaining growth in its automotive business [34].

- 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]

Group 1 - Funds are suitable investment products for ordinary people [2] - New investors should consider what type of funds are appropriate for them [2] - There is a free course available to help new investors understand fund investment from scratch [2] Group 2 - Dividend indices are a common type of strategy index [5] - Strategy indices are based on specific investment strategies and cover a wide range of industries [6] - There are four main types of indices: broad-based indices, strategy indices, industry indices, and thematic indices [6] Group 3 - The core strategy of dividend indices is to select stocks with high dividend yields [8] - Dividend yield is calculated by dividing the total cash dividends by the company's market capitalization [8] - For example, a company with a market cap of 10 billion and annual dividends of 500 million has a dividend yield of 5% [8]

- The report tracks the performance of broad-based indices in the A-share market, noting that all indices rose on October 29, 2025, with the ChiNext Index (2.93%) and the CSI 500 (1.91%) showing the largest gains[1][2] - The ChiNext Index has the highest year-to-date increase (55.22%), followed by the CSI 2000 (32.8%) and the CSI 500 (30.66%)[2] - All tracked indices are above their 5-day, 10-day, and 20-day moving averages, with the ChiNext Index and the CSI 300 having substantial support from these averages[13] - The CSI 300 had the highest trading volume share on October 29, 2025 (29.12%), followed by the CSI 2000 (20.79%) and the CSI 500 (19.98%)[16] - The ChiNext Index has the highest negative skewness and kurtosis deviation, indicating a higher concentration of returns and more extreme negative returns[23][24] - The risk premium for the CSI 500 (96.03%) and the ChiNext Index (95.4%) is relatively high compared to the past five years, while the SSE 50 (69.84%) and the CSI 2000 (54.52%) are lower[27][30] - The PE-TTM ratios for the CSI 500 (98.68%) and the CSI All Share Index (98.84%) are high, while the CSI 2000 (83.72%) and the ChiNext Index (61.98%) are lower[36][39][40] - The dividend yield for the ChiNext Index (62.23%) and the CSI 1000 (35.62%) is relatively high, while the CSI 2000 (16.12%) and the CSI 500 (12.56%) are lower[47][49] - The current net break rate for indices is highest for the SSE 50 (22.0%) and lowest for the ChiNext Index (1.0%)[51]

证券研究报告·金融工程报告 2025 年 10 月 28 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 2025.10.28 ◆市场表现：2025 年 10 月 27 日, 各宽基指数（表 1）全部上涨，其中创业板指（1.98%） 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 和中证 500（1.67%）涨幅最大。当年涨跌情况，创业板指（51.03%）涨幅最大， 其次是中证 2000（32.17%）和中证 500（28.88%），中证 1000（25.81%）和中证全 指（24.47%）涨幅扩大，而上证 50（14.33%）涨幅最小。另外，中证 500 和创业 板指连续三日连阳，上证 50、沪深 300、中证 1000 和中证全指连续五日连阳，中 证 2000 连续六日连阳。 ◆均线比较：所有跟踪指数已站上 5 日、10 日及 20 日均线。创业板指距离各均线 支撑位较充分。上证 50 和沪深 300 再次突破近 250 日高位。 ◆资金占比与换手：2025 年 10 月 27 日, 沪深 300（ ...

Core Viewpoint - The global wealth management market is undergoing significant changes, with a shift towards diversified asset allocation and increased demand for innovative financial products to meet evolving investor needs [4][6][8]. Group 1: Market Trends - Major financial institutions are increasing their focus on wealth and asset management, with some international investment banks deriving over 50% of their revenue from these sectors [4]. - Chinese household wealth has seen exponential growth over the past two decades, with investable assets exceeding 300 trillion RMB, positioning China as the second-largest high-net-worth population globally [4]. - The asset allocation structure of Chinese households is transitioning from a heavy reliance on real estate to a more diversified approach, with equities and funds now representing approximately 15% of financial assets [4]. Group 2: Investment Product Supply - The current financial product offerings do not adequately meet the diverse investment needs of residents, particularly in innovative areas such as green finance, cross-border ETFs, and derivatives [6]. - There is a growing demand for stable investment products, but existing offerings primarily rely on fixed-income assets, lacking the integration of commodities, alternative assets, and quantitative strategies [6][10]. - The cross-border investment channels, while improved, still fall short in terms of convenience and coverage, with only 41 mutual funds available for public sale in mainland China as of September 2025, totaling around 240 billion RMB [6]. Group 3: Wealth Management Service Layering - There is a notable deficiency in the supply of inclusive investment products for ordinary investors, with wealth management institutions exploring offerings for high-net-worth individuals but lacking a mature tiered service system [7][12]. - The wealth management market is becoming increasingly digital and personalized, necessitating the development of innovative products that resonate with younger investors' values and preferences [12][14]. Group 4: Recommendations for Improvement - To enhance the financial market's ability to serve wealth management needs, there is a call to accelerate the diversification of directly investable assets and product types, particularly in ETFs and green financial products [9]. - Expanding product strategies to create a comprehensive product system that covers all asset classes and strategies is essential, including the development of index futures and options markets [10]. - Strengthening cross-border product offerings and mechanisms is crucial to meet the growing demand for global asset allocation among residents [11]. Group 5: Future Directions - The company aims to collaborate with various asset management institutions to enhance product interconnectivity and service quality, focusing on areas like pension finance and inclusive finance [15]. - Emphasizing a diverse product range that caters to different risk preferences and market views will be key to improving investor experience and satisfaction [15].

Group 1 - The report indicates that the bond market is expected to experience moderate fluctuations, with the direction of bond yields dependent on the upcoming "15th Five-Year Plan" meeting policy signals, potential monetary policy easing (such as interest rate cuts), and the outcomes of China-US trade negotiations [2][12][10] - In the stock market, attention is drawn to signals from significant meetings, suggesting a potential continuation of style switching. The report anticipates that the upcoming "15th Five-Year Plan" meeting may provide favorable signals, but due to substantial growth in the growth sector this year, the probability of style switching in the fourth quarter is increasing [3][12][10] - The report recommends a cautious approach to technology growth sectors post-meeting, suggesting a reduction in positions or a shift towards broader indices and low-volatility dividend stocks for a more stable investment strategy [3][12][10] Group 2 - The report highlights that the A-share market has seen a slight decline in valuation, with a decrease in turnover rate indicating a reduction in market activity [18][19] - The domestic macro multi-asset model has achieved a year-to-date return of 12.84%, outperforming the benchmark by 5.12%, with a Sharpe ratio of 2.9396, indicating strong performance relative to risk [22][24] - The global macro multi-asset model has recorded a year-to-date return of 11.93%, exceeding the benchmark by 4.21%, with a Sharpe ratio of 2.5879, reflecting favorable investment conditions [22][24]

Core Viewpoint - The Chinese wealth management market is at a historic crossroads, with a significant shift in asset allocation as traditional real estate investments decline, leading to a growing demand for diversified investment options among younger investors [2][3][10]. Group 1: Market Changes - The total investable assets of Chinese residents have surpassed 300 trillion RMB, with high-net-worth individuals ranking second globally, providing a solid foundation for the wealth management market [3]. - The proportion of real estate in household asset allocation has dropped significantly from nearly 70%, while the share of equity investments, such as stocks and funds, has steadily increased to around 15% [3][4]. - The demographic of investors is changing, with individuals under 30 now accounting for 30% of stock investors, indicating a shift towards younger, more digitally savvy investors [4][10]. Group 2: Supply Issues - The current financial product supply does not meet the increasingly diverse investment needs of residents, particularly in innovative products like green finance tools and cross-border ETFs [5][6]. - There is a lack of high-quality supply for complex investment strategies, with most stable income products relying heavily on fixed-income assets, failing to leverage the advantages of commodities, non-standard assets, and equity strategies [5]. - The accessibility and coverage of cross-border investment channels remain insufficient, with only 41 mutual funds recognized for cross-border sales, totaling approximately 240 billion RMB, which is low compared to demand [5]. Group 3: Pathways for Development - To enhance the financial market's ability to serve wealth management, five key pathways have been proposed: expanding the types of directly investable assets, enriching product strategies, enhancing cross-border investment mechanisms, advancing service stratification, and leveraging professional research capabilities [8][9]. - There is a need to develop a comprehensive product ecosystem that caters to high-net-worth, middle-class, and ordinary investors, while also focusing on innovative financial products that align with younger investors' preferences [9][10]. - The competition in the wealth management industry is shifting from scale expansion to supply quality, emphasizing the importance of professional, digital, and global approaches to effectively allocate resident wealth [10].

Core Viewpoint - The recent meeting held by the China Securities Regulatory Commission (CSRC) emphasized the need to enrich the A-share market index, ETF, and derivative product service system to better serve residents' wealth preservation and appreciation needs, indicating a deeper layout of capital market infrastructure [1]. Group 1: Investment Ecosystem Optimization - Enriching the A-share index system will optimize the investment ecosystem and broaden asset allocation tools, responding to the increasing demand for enhanced investment portfolio yield elasticity as market interest rates trend downward [2]. - Diverse index products, such as ETFs, can help investors efficiently allocate to high-growth sectors and implement specific strategies at lower costs, catering to various risk preferences and investment goals [2]. Group 2: Pricing Efficiency and Company Quality - A robust index system promotes index-based investment development, enhancing pricing efficiency in the capital market through professional management of index funds, which leads to better value discovery in related industries and stocks [3]. - Companies are incentivized to improve market capitalization management and corporate governance to be included in influential indices, fostering a virtuous cycle that enhances information disclosure quality and financial standards [3]. Group 3: National Strategy and Capital-Industry Coordination - A comprehensive index system acts as a "navigation system" for the capital market, guiding funds towards national strategic priorities and quality enterprises, thereby improving capital allocation efficiency [4]. - The introduction of thematic indices, such as those related to "hard technology," effectively conveys policy direction and fosters a positive cycle among policy, capital, and industry [4]. Group 4: Market Maturity and International Influence - A mature capital market is often characterized by a well-developed index system, which is crucial for enhancing the international influence of A-shares [5]. - By developing indices with Chinese characteristics and related derivatives, the A-share market can improve its pricing capability and global attractiveness, providing effective asset allocation and risk management tools for domestic long-term capital [4].