金融工程研究组 A 股市场快照：宽基指数每日投资动态 2026.03.03 ◆市场表现：2026 年 3 月 2 日, 各宽基指数（表 1）涨跌各现，其中沪深 300（0.38%） 证券研究报告·金融工程报告 2026 年 3 月 3 日 江海证券研究发展部 金融工程定期报告 ◆股债性价比：没有指数高于其 80%分位，中证 500 和中证全指低于其 20%分位。 和创业板指（64.3%）分位值较低。 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 和上证 50（0.23%）上涨，而中证 2000（-1.67%）和中证 1000（-0.98%）跌幅最大。 当年涨跌情况，中证 500（15.98%）涨幅最大，其次是中证 1000（11.61%）和中证 2000（11.46%），中证全指（7.71%）和创业板指（2.84%）涨幅缩小，而上证 50 （0.51%）涨幅最小。另外，中证 2000 结束四日连阳，中证 500、中证 1000 和中 证全指连续四日连阳。 ◆均线比较：上证 50 回升突破 5 日及 60 日均线。中证 2000 跌破 5 日均线，创 ...

- 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][3] - The turnover rate of the indices is calculated using the formula: $ \text{Turnover Rate} = \frac{\Sigma(\text{Circulating Shares of Constituents} \times \text{Turnover Rate of Constituents})}{\Sigma(\text{Circulating Shares of Constituents})} $ This metric reflects the liquidity and trading activity of the indices[16][17] - The risk premium is measured relative to the 10-year government bond yield, serving as a benchmark for assessing the relative investment value of the indices. The report highlights that indices like CSI 1000 and CSI 2000 exhibit higher risk premiums compared to others, with values of 0.76% and 0.78%, respectively[26][30] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation metric. The report notes that indices such as CSI 1000 and CSI All-Share have reached their 1-year and 5-year peak valuation levels, with CSI 1000's PE-TTM at 52.41 and CSI 2000's at 175.16[38][41][43] - Dividend yield is analyzed as a measure of cash return to investors. The current dividend yield for indices like SSE 50 and CSI 300 is relatively higher at 3.36% and 2.78%, respectively, while CSI 2000 has a lower yield of 0.68%[47][52] - The net asset ratio (or "break net ratio") is used to evaluate the proportion of stocks trading below their net asset value. The current break net ratios for indices are as follows: SSE 50 (24.0%), CSI 300 (16.67%), CSI 500 (10.0%), CSI 1000 (6.7%), and CSI 2000 (2.3%)[56]

- 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] - The turnover rate of the indices is calculated as the weighted average of the turnover rates of constituent stocks, weighted by their free-float market capitalization[19] - The risk premium is measured relative to the 10-year government bond yield, serving as a reference for risk-free rates, to evaluate the relative investment value and deviation of indices[28][30] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation reference to assess the investment value of indices at the current point in time, with historical percentile ranks provided for comparison[40][43] - Dividend yield is analyzed as a measure of cash return, particularly relevant during market downturns or periods of declining interest rates, with historical trends and percentile ranks provided for each index[49][54] - The net asset ratio (or "破净率") is tracked to reflect the proportion of stocks trading below their book value, indicating market valuation attitudes and potential undervaluation[55][58]

- 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 turnover rate of the indices is calculated as the weighted average turnover rate of constituent stocks, with the formula: $ \text{Turnover Rate} = \frac{\Sigma(\text{Floating Shares of Constituent Stocks} \times \text{Turnover Rate of Constituent Stocks})}{\Sigma(\text{Floating Shares of Constituent Stocks})} $[19] - The risk premium is measured relative to the 10-year government bond yield, serving as a reference for risk-free rates. It evaluates the relative investment value and deviation of indices. The report highlights that indices like CSI 1000 and CSI 2000 exhibit higher volatility in risk premiums compared to others[28][29][32] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation metric to assess the investment value of indices. The report notes that indices such as CSI 500 (98.51%) and CSI 1000 (98.43%) have high 5-year historical percentiles, while indices like SSE 50 (81.9%) and ChiNext Index (60.83%) are relatively lower[40][43][44] - Dividend yield is analyzed as a measure of cash return, particularly relevant during market downturns. The report observes that indices like CSI 500 (7.36%) and CSI 2000 (3.88%) have relatively low 5-year historical percentiles, while ChiNext Index (56.36%) and CSI 300 (38.76%) are higher[50][53][55] - The net asset ratio (P/B ratio below 1) is used to evaluate market valuation attitudes. The report indicates that the current net asset ratios for indices are as follows: SSE 50 (24.0%), CSI 300 (16.67%), CSI 500 (10.6%), CSI 1000 (7.0%), CSI 2000 (2.45%), and CSI All Share (5.5%)[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 ratios[1][3][4] - The turnover rate of various indices on January 30, 2026, was calculated using the formula: **Turnover rate = Σ(component stock free float shares * component stock turnover rate) / Σ(component stock free float shares)** The highest turnover rate was observed in the CSI 2000 (4.66), followed by the ChiNext Index (4.24) and CSI 1000 (3.67)[18] - The daily return distribution of indices was analyzed to reflect characteristics such as kurtosis and skewness. The ChiNext Index exhibited the largest negative kurtosis deviation, while the CSI 500 had the smallest. Similarly, the ChiNext Index showed the largest negative skewness, and the CSI 500 had the smallest[24][25] - Risk premiums were calculated relative to the 10-year government bond yield as a risk-free rate. The ChiNext Index (1.26%) had the highest current risk premium, while the CSI 500 (-1.74%) had the lowest. The ChiNext Index also had the highest 5-year percentile value (81.11%), indicating a relatively high investment value compared to other indices[27][31] - PE-TTM values were used as valuation references. The CSI 500 (99.5%) and CSI 1000 (99.42%) had the highest 5-year percentile values, suggesting elevated valuations, while the ChiNext Index (64.05%) and SSE 50 (83.39%) had relatively lower values[42][43] - Dividend yields were tracked as a measure of cash return rates. The ChiNext Index (55.79%) and CSI 300 (34.88%) had the highest 5-year historical percentile values, while the CSI 500 (3.8%) and CSI 2000 (2.81%) had the lowest[48][53] - The net asset ratio (percentage of stocks trading below their book value) was analyzed. The SSE 50 had the highest ratio (24.0%), while the CSI 2000 had the lowest (2.4%), reflecting varying market valuation attitudes across indices[57]

- 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] - The turnover rate of major indices on January 28, 2026, was highlighted, with CSI 2000 having the highest turnover rate of 4.45%, followed by the ChiNext Index at 4.21%, and CSI 1000 at 3.52%[4][19] - The daily return distribution of indices was analyzed, showing that the ChiNext Index had the largest negative skewness and kurtosis, while CSI 500 had the smallest negative skewness and kurtosis[25][26] - Risk premiums were calculated using the 10-year government bond yield as the risk-free rate, with CSI 500 (71.03%) and SSE 50 (63.89%) having relatively high 5-year percentile values, while ChiNext Index (35.48%) and CSI 2000 (25.71%) were relatively low[28][29][32] - The PE-TTM ratios and their historical percentiles were analyzed, showing that CSI 500 (100.0%) and CSI 1000 (99.92%) had the highest 5-year percentile values, while SSE 50 (82.64%) and ChiNext Index (63.31%) were lower[43][44] - Dividend yields were tracked, with SSE 50 (3.23%) and CSI 300 (2.71%) having relatively high current values, while CSI 2000 (0.70%) and CSI 500 (1.20%) were lower[54][56] - The net asset ratio (percentage of stocks trading below their book value) was analyzed, with SSE 50 having the highest ratio at 24.0%, followed by CSI 300 at 16.67%, and CSI 500 at 10.4%[58]

- The report tracks and analyzes the market data of major indices, including their daily performance, moving averages, trading volume, and turnover rates[2][3][4] - The report evaluates the distribution of daily returns for various indices, highlighting the kurtosis and skewness of these distributions[25][26] - The report assesses the risk premium of different indices relative to the 10-year government bond yield, providing insights into their relative investment value and deviation[28][29][30] - The report examines the PE-TTM (Price-to-Earnings ratio based on trailing twelve months) of various indices, considering their historical percentiles and current values to gauge investment attractiveness[40][43][44] - The report analyzes the stock-bond yield ratio, comparing the inverse of the PE-TTM with the 10-year government bond yield to determine the relative attractiveness of stocks versus bonds[47] - The report tracks the dividend yield of different indices, noting their historical percentiles and current values to assess the attractiveness of dividend-paying stocks[48][49][54] - The report monitors the percentage of stocks trading below their book value (PB ratio < 1) within each index, indicating market valuation attitudes and potential undervaluation[55][58][60]

- 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][3][4] - The turnover rates of various indices on January 23, 2026, were as follows: CSI 2000 (4.97%), ChiNext Index (4.05%), CSI 1000 (3.96%), CSI 500 (2.86%), CSI All Share (2.46%), CSI 300 (0.96%), and SSE 50 (0.41%)[4][20] - The risk premium of indices relative to the 10-year government bond yield was observed, with CSI 500 (2.41%) and CSI 1000 (1.93%) showing higher premiums, while SSE 50 (-0.69%) and CSI 300 (-0.46%) had lower premiums. The 5-year percentile rankings for risk premiums were highest for CSI 500 (98.10%) and CSI 1000 (94.21%)[28][32][35] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) values and their historical percentiles were analyzed. CSI 500 and CSI 1000 had the highest PE-TTM percentiles (100.0% for both), while SSE 50 had a lower percentile (80.33%). The current PE-TTM values were: SSE 50 (11.49), CSI 300 (14.09), CSI 500 (39.02), CSI 1000 (51.94), CSI 2000 (174.36), CSI All Share (22.63), and ChiNext Index (43.64)[43][44] - Dividend yields were tracked, with SSE 50 (3.31%) and CSI 300 (2.76%) having relatively higher yields, while CSI 500 (1.20%) and CSI 2000 (0.68%) had lower yields. The 5-year historical percentiles for dividend yields were highest for ChiNext Index (57.11%) and CSI 300 (38.18%)[54][56] - The price-to-book ratio (P/B) was analyzed through the "break net ratio," which measures the proportion of stocks trading below their book value. Current break net ratios were: SSE 50 (24.0%), CSI 300 (16.33%), CSI 500 (10.0%), CSI 1000 (6.8%), CSI 2000 (2.2%), and CSI All Share (5.22%)[58]

- The report primarily focuses on tracking and analyzing the performance of broad-based indices in the A-share market, including their daily investment dynamics, moving averages, turnover rates, risk premiums, PE-TTM, dividend yields, and net asset break rates[1][2][4] - The turnover rate of the indices is calculated as the sum of the free-float market capitalization of constituent stocks multiplied by their turnover rates, divided by the total free-float market capitalization of the constituent stocks[17] - The risk premium is measured relative to the yield of 10-year government bonds, serving as a reference for risk-free rates, to evaluate the relative investment value and deviation of the indices[27][29] - The PE-TTM (Price-to-Earnings Trailing Twelve Months) is used as a valuation reference to assess the investment value of the indices at the current point in time[37][41] - Dividend yield is tracked to reflect the cash dividend return rate, which is particularly significant during market downturns as high dividend yields often act as a safe haven[46][51] - The net asset break rate is defined as the proportion of stocks with a price-to-book ratio below 1, indicating undervaluation in the market[52][55]

- 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]