Foreword

Warren Buffett once said: "Index funds are the best investment for those who expect to get the least worry".

With so many index funds in the market, which index should I choose?

As the Shanghai and Shenzhen 3 options will be listed soon, as the only benchmark index of products with options in China, let's compare and analyze the Shanghai and Shenzhen 3 and Shanghai 5 indexes today. After all, only by understanding the target reinvestment can we earn the last! I. Index status:

Shanghai and Shenzhen 3 stock market barometer, SSE 5 financial cell phone

From the way of compiling the index, the sample space of Shanghai and Shenzhen 3 index is selected by excluding the stocks ranked in the last 5% of the daily average turnover of A shares in the last year, and then selecting the top 3 stocks from the remaining stocks according to the total market value of the last year from high to low, so it can be said that it is the 3 stocks with large market value and the best liquidity in Shanghai and Shenzhen A shares. It comprehensively reflects the overall performance of China's A-share market, which is the most representative index of China's stock market. At the same time, it is also the most widely used index in China's mainland stock market, so it is also called the "barometer" of China's stock market.

The SSE 5 Index is composed of 5 large-scale and liquid A-shares in Shanghai Stock Exchange, which is what we often call the "beautiful 5".

After careful comparison, it will be found that the sample stocks of SSE 5 are all from the Shanghai and Shenzhen 3 Index.

From the perspective of market value distribution, as of November 12, among the constituent stocks of the Shanghai and Shenzhen 3 Index, 48.67% have a total market value of less than 5 billion yuan, and 23.67% have a total market value of 5 to 1 billion yuan. In the SSE 5 Index, 36% of the stocks are super-large-cap stocks with a market value of more than 3 billion yuan, and the lowest total market value of individual stocks also exceeds 6 billion yuan (Sanan Optoelectronics, 673.SH).

market value distribution map

from the perspective of industry distribution, although SSE 5 and CSI 3 both include all walks of life, SSE 5 is more biased and CSI 3 is more balanced. According to Wind's first-class industry classification, in the SSE 5 Index, the number of stocks in the financial industry accounts for 42%, the market value weight accounts for 64.6%, and the industry concentration is higher. The Shanghai and Shenzhen 3 Index is also the largest in the financial industry. The number of stocks is mainly concentrated in the three industries of finance, industry and materials, accounting for 68% of the total, and the financial industry accounts for 43.49% of the market value.

Quantity distribution and market value distribution II. Investment value:

Both the Shanghai and Shenzhen 3 and the Shanghai Stock Exchange 5 Index show low valuation

Taking the past 1 years as the sample period, we observe the PB and PE ratios of the Shanghai and Shenzhen 3 and Shanghai Stock Exchange 5 Index. From the statistical results in the following table, we can see that both indexes show the characteristics of low valuation at present. As of November 12th, the P/E ratio of the Shanghai and Shenzhen 3 Index was 11.85 times and the P/B ratio was 1.43 times, both lower than the historical median. The P/E ratio of the SSE 5 Index is also lower than the historical median, and the P/B ratio is even lower than the historical 25% quantile.

both of them are at a relatively low level in history. It's a good allocation time

Quantile III. Fluctuation difference:

The long-term fluctuation of Shanghai-Shenzhen 3 Index is slightly lower than that of Shanghai-Shenzhen 5 Index

By comparing the historical net values of Shanghai-Shenzhen 5 Index and Shanghai-Shenzhen 3 Index, we can find that:

The trend of the two indexes is very close

The historical net values of Shanghai-Shenzhen 5 Index and Shanghai-Shenzhen 3 Index are slightly lower than that of Shanghai-Shenzhen 5 Index. However, the difference is not obvious. By comparing the statistical indicators of historical volatility on the 2th, all the indicators of the Shanghai and Shenzhen 3 Index are slightly lower than the Shanghai 5 Index, and only the maximum value of historical volatility on the 2th is slightly higher than the Shanghai 5 Index. However, the differences of various statistical indicators are relatively small, which shows that:

the overall risk level of the two indexes is quite the same

the comparison of income fluctuation between the SSE 5 Index and the CSI 3 Index since p>p>21

The statistical indicators of historical volatility on the 2th

If the 1-year volatility cones of the CSI 3 Index and the SSE 5 Index are compared, the 5th percentile of the historical volatility of the two indexes will remain around 2%-23% in different periods.

The historical volatility distributions of the Shanghai and Shenzhen 3 Index and the Shanghai 5 Index also basically overlap. Mainly around 17%-25%

volatility cone of Shanghai and Shenzhen 3 Index in recent 1 years

volatility list of Shanghai and Shenzhen 3 Index in recent 1 years

volatility cone of Shanghai and Shenzhen 5 Index in recent 1 years

volatility list of Shanghai and Shenzhen 5 Index in recent 1 years IV. Correlation:

There is a high correlation between Shanghai and Shenzhen 3 Index

Choose from the release date of Shanghai and Shenzhen 3 Index at 2. Counting the daily closing prices of the two indexes, there are 3551 daily data, and we turn the logarithmic rate of return of the index price data into a stationary time series, and analyze the correlation coefficient between them as high as .96. At the same time, if the logarithmic returns of the two indexes are used for least square regression analysis, it can be found that the R square is .92,

It can be seen that the Shanghai and Shenzhen 3 and the Shanghai Stock Exchange 5 Index are highly correlated

Correlation coefficient chart

If the correlation coefficient between the returns of the Shanghai and Shenzhen 3 and the Shanghai Stock Exchange 5 Index for 25 consecutive trading days since the listing of the 5ETF option on February 9, 215 is calculated, as shown in the above figure, It can be seen that the correlation coefficient has been above .8 during this period. In 217, A shares were polarized, and the performance of big blue chips was eye-catching. During this period, the correlation between Shanghai Stock Exchange 5 and Shanghai and Shenzhen 3 Index decreased, and it remained above .92 in the last year, which was highly correlated.

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