定期分析报告 中证指数 3 月份运行报告 目 录 3 月份市场概要... 1 A 股主要指数表现... 2 沪深 300 指数分析... 3 主题及行业指数表现... 5 策略指数表现... 6 商品期货指数表现... 8 表 1: 成份指数市场数据... 9 表 2: 综合指数市场数据... 11 表 3: 主题指数市场数据... 12 表 4: 风格指数市场数据... 19 表 5: 红利指数市场数据... 20 表 6: 策略指数市场数据... 22 表 7: 基本面指数市场数据... 25
定期分析报告 3 月份市场概要 3 月份全球主要股指结束了开年以来的普遍下跌, 迎来全面上涨行情 3 月份美国就业市场持续处于上升期, 消费者支出温和增长, 美联储暂定维持利率不变 去年第四季度 GDP 终值增长 1.4%, 大幅上修, 然美国经济持续复苏仍面临诸多风险 30 日, 标普 500 指数最高攀至 2072 点, 为 2016 年以来新高, 月末标普 500 指数报收 2059.74 点, 全月大涨 6.6% STOXX 欧洲 600 指数 日经 225 指数分别上涨 1.08% 和 4.57%, 中证香港 100 指数上涨 9.32%, 涨幅居前 3 月份两会召开, 注册制 战兴板暂缓推出 ; 证金宣布自 21 日起全面恢复转融资业务五个短期品种, 并下调各期限转融资费率 30% 以上 ; 21 日,*ST 博元因信息披露违规成强制退市第一股, 法制化治市大幕正式拉开 3 月份 A 股普涨超过 10%, 以中证 1000 创业板指数等为代表的小盘指数领涨 3 月上证综指大幅反弹, 最高触及 3028.32 点, 最低探至 2668.76 点, 月末收于 3003.92, 全月上涨 11.75% 当月上海市场日均成交金额 2320 亿元, 环比增长 20.8% 沪深 A 股规模指数中, 小盘指数涨幅普遍高于大中盘指数, 小盘指数中证 1000 全月上涨 17.59%, 涨幅居前 中证 500 沪深 300 中证 800 等指数涨幅略小, 分别上涨 15.05% 11.84% 和 12.76% 上海市场中, 同样呈现小盘指数走势略好的特征 创业板指全月上涨 19.05%, 报收 2238.29 点 中小板指全月上涨 14.45%, 收盘 6864.8 点 3 月份主题及行业指数全面上涨, 涨幅超过 20% 的指数达 19 条 800 综金全月上涨 24%, 涨幅居首 随后为上证信息安全 钱江 30 船舶产业 上证互联网金融 工业 4.0 互联网平台指数等 煤炭 地产类指数涨幅较低, 中证煤炭 380 能源 300 地产指数涨幅均不足 3% 图 1: 全球主要股指走势 1 / 25
定期分析报告 A 股主要指数表现 3 月份两会召开, 注册制 战兴板暂缓推出 ; 证金宣布自 21 日起全面恢复转融资业务五个短期品种, 并下调各期限转融资费率 30% 以上 ; 21 日,*ST 博元因信息披露违规成强制退市第一股, 法制化治市大幕正式拉开 继 1 月 2 月连续阴霾后,3 月份 A 股迎来久违普遍上行行情, 普涨幅度超过 10%, 以中证 1000 创业板指数等为代表的小盘指数领涨 3 月上证综指大幅反弹, 最高触及 3028.32 点, 最低探至 2668.76 点, 月末收于 3003.92, 全月上涨 11.75% 当月上海市场日均成交金额 2320 亿元, 环比增长 20.8% 沪深 A 股规模指数中, 小盘指数涨幅普遍高于大中盘指数, 小盘指数中证 1000 全月上涨 17.59%, 涨幅居前 中证 500 沪深 300 中证 800 等指数涨幅略小, 分别上涨 15.05% 11.84% 和 12.76% 上海市场中, 同样呈现小盘指数走势略好的特征 各主要规模指数中, 潜力蓝筹上证 380 指数月内上涨 14.44% 上证 50 和上证 180 指数分别上涨 10.9% 和 11.55% 创业板指全月上涨 19.05%, 报收 2238.29 点 中小板指全月上涨 14.45%, 收盘 6864.8 点 图 2: 全市场主要指数涨幅 图 3: 上海市场主要指数涨幅 图 4: 深圳市场主要指数涨幅 图 5: 中证主要指数市值覆盖率 2 / 25
定期分析报告 沪深 300 指数分析 3 月份沪深 300 指数从最高 3267.78 点跌至最低 2863.32 点, 月末收盘 3218.09 点, 月涨幅 11.84% 3 月份沪深 300 指数日均成交 1421 亿元, 比上月增加 35.2% 3 月末沪深 300 指数滚动市盈率为 12.4 倍, 高于上月末 11.2 倍水平 图 6: 沪深 300 指数走势 10 条一级行业指数全线上涨, 信息技术 可选消费 主要消费涨幅居前三, 全月上 涨 15.21% 13.77% 和 13.73% 能源 电信业务 原材料 医药卫生行业涨幅相对较低, 月内上涨不足 10%, 能源行业涨幅最低, 月内上涨 5.84% 图 7: 沪深 300 行业指数涨跌 图 8: 沪深 300 行业权重分布 沪深 300 指数中, 权重排名前三的行业分别为金融地产 工业 可选消费, 月末权 重分别为 41.04% 15.37% 11.27%, 累计权重 67.68% 电信业务 能源行业权重较低, 分别为 1.37% 和 2.79% 3 / 25
定期分析报告 3 月末沪深 300 指数滚动市盈率为 12.4 倍, 市净率为 1.59 倍 从行业来看, 信息技术行业市盈率最高, 滚动市盈率重回 40 倍上方, 为 41.3 倍, 显著高于上月末 36 倍水平 金融地产行业估值水平最低, 滚动市盈率为 7.91 倍, 市净率为 1.24 倍 图 9: 沪深 300 行业市盈率 图 10: 沪深 300 行业市净率 沪深 300 指数权重股中, 中国平安 民生银行 兴业银行位列前三大权重股, 权重分别为 4.05% 3.17% 和 2.44% 万科 A 浦发银行 招商银行位列 4 5 6 位, 权重为 2.23% 2.07% 和 1.95%, 前 10 大权重股权重合计 22.01% 3 月份对沪深 300 影响最大的 10 只股票中, 贡献居前股票分别为中国平安 中信证券和民生银行, 分别贡献 11.5 点 10.5 点和 7.39 点, 前 10 只股票合计贡献 68.06 点 图 11: 沪深 300 前 10 大权重股图 12: 影响最大的 10 只股票 ( 单位 : 点 ) 4 / 25
定期分析报告 主题及行业指数表现 3 月份主题及行业指数全面上涨, 涨幅超过 20% 的指数达 19 条 800 综金全月上涨 24%, 涨幅居首 随后为上证信息安全 钱江 30 船舶产业 上证互联网金融 工业 4.0 互联网平台指数等 煤炭 地产类指数涨幅较低, 中证煤炭 380 能源 300 地产指数涨幅均不足 3% 图 13: 走势领先的 20 条指数 图 14: 走势落后的 20 条指数 5 / 25
定期分析报告 策略指数表现 3 月份沪深市场风格指数均以上涨收官, 价值指数表现普遍好于成长指数 上证 380 和中证 500 风格指数表现居前, 上证 380 成长和价值指数分别上涨 16.8% 和 13.6%, 中证 500 成长和价值指数分别上涨 15.7% 和 13.9% 上证 180 价值指数 沪深 300 价值指数分别上涨 8.8% 和 9.68%, 涨幅排名靠后 基本面指数中, 中证基本面 50 中证基本面 200 指数分别上涨 7.92% 8.56%, 中证基本面 600 中证基本面 400 指数分别上涨 9.48% 和 13.69% 图 15: 风格指数系列市场表现 图 16: 基本面指数系列市场表现 3 月份红利指数全线上涨 民企红利指数以 18.4% 涨幅居首, 随后为中证 500 红利 上民红利和上证 380 红利指数, 涨幅近 15% 红利潜力 央企红利等指数涨幅略低, 涨幅约 8% 股息率最高的仍为上证 180 红利 上证红利 沪深 300 红利 3 条指数, 分别为 4.43% 4.36% 和 4.23% 中小板板块与创业板板块股息率分别为 0.51% 0.24% 图 17: 红利指数系列与基准指数股息率对比 6 / 25
定期分析报告 3 月份波动率加权指数系列的波幅与上月基本持平, 沪深 300 中证 500 波动率加权 指数波幅分别为 39.55% 51.61% 图 18: 波动率加权指数系列波幅 图 19: 波动率加权指数系列涨幅 3 月份整体来看低高贝塔指数表现优于低贝塔指数, 上证 180 和沪深 300 高 低贝塔 指数月内涨幅分别为 14.96% 10.13% 和 13.97% 11.2% 图 20: 高低贝塔指数系列贝塔值 图 21: 高低贝塔指数系列涨幅 7 / 25
定期分析报告 商品期货指数表现 3 月份商品期货指数多数上涨, 中证能源化工期货成份指数 工业品期货成份指数 化工材料期货成份指数涨幅居前, 涨幅均超过 6% 中证贵金属期货成份指数为本月唯一下跌指数, 微跌 0.02% 图 22: 中证商品期货成份指数系列市场表现 8 / 25
表 1: 成份指数市场数据 指数收益指数波动指数估值 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率市盈率 市净率 股息率 沪深 300 3218.09-13.75% 0.63% 11.84% -13.75% -20.56% 28.98% 23.87% 40.33% 13.13 1.59 2.36% 300 金融 5404.77-11.23% 0.27% 11.13% -11.23% -18.94% 39.95% 24.29% 39.46% 8.89 1.24 3.25% 300 消费 7255.58-5.09% 1.66% 13.73% -5.09% -2.10% 30.55% 19.21% 39.40% 23.98 3.78 1.83% 300 能源 1628.92-9.28% 1.33% 5.84% -9.28% -31.44% -36.95% 27.84% 44.12% 12.62 1.11 2.64% 300 公用 1810.38-17.33% 0.79% 10.41% -17.33% -19.51% 26.11% 23.28% 43.94% 15.18 1.82 2.94% 300 可选 4616.57-16.93% 0.41% 13.77% -16.93% -21.13% 50.50% 28.57% 43.21% 18.21 2.66 2.24% 300 电信 2391.90-25.55% 0.37% 8.75% -25.55% -20.25% 44.95% 22.86% 51.51% 26.83 1.81 0.98% 300 工业 2412.83-19.34% 0.72% 13.35% -19.34% -28.75% 41.67% 29.45% 50.25% 20.85 1.94 1.31% 300 信息 1990.70-16.01% 0.75% 15.21% -16.01% -20.74% 56.16% 35.67% 54.01% 48.68 4.80 0.52% 300 医药 7114.33-13.37% 0.89% 9.53% -13.37% -2.31% 25.44% 22.85% 43.57% 36.41 4.99 0.89% 300 材料 1892.01-11.35% 1.56% 9.17% -11.35% -26.78% -6.51% 36.79% 48.35% 24.25 1.61 1.15% 中证 500 6155.81-19.19% 1.29% 15.05% -19.19% -15.13% 78.57% 38.98% 48.94% 38.45 3.20 0.72% 500 金地 5573.93-21.75% 0.25% 11.88% -21.75% -17.72% -- 41.65% 53.94% 25.97 2.46 0.79% 500 消费 7707.19-13.91% 1.28% 14.96% -13.91% -9.75% -- 32.05% 50.00% 46.61 4.08 0.58% 500 能源 4012.00-8.07% 0.47% 6.81% -8.07% -25.72% -- 35.66% 53.09% 43.09 1.74 0.52% 500 公用 3913.30-20.28% 2.20% 14.05% -20.28% -22.26% -- 32.55% 54.48% 20.99 2.55 1.30% 500 可选 5558.76-20.34% 0.17% 15.75% -20.34% -8.99% -- 37.74% 48.16% 33.13 3.32 0.89% 500 电信 3778.50-23.03% 1.75% 19.19% -23.03% -13.57% -- 46.51% 62.00% 43.54 3.64 0.53% 500 工业 5895.44-20.01% 1.69% 16.80% -20.01% -22.08% -- 40.86% 49.12% 37.36 2.85 0.70% 500 信息 7535.63-20.77% 1.26% 13.77% -20.77% -9.03% -- 42.83% 50.92% 72.35 5.74 0.32% 500 医药 12012.15-20.52% 1.40% 15.82% -20.52% -12.68% -- 40.06% 48.06% 49.39 4.70 0.75% 500 原料 3839.17-15.55% 2.17% 15.38% -15.55% -15.53% -- 41.20% 49.56% 35.62 2.46 0.90% 中证全指 4650.48-16.85% 1.08% 14.64% -16.85% -12.84% 65.63% 31.99% 43.55% 20.79 2.27 1.41% 全指金融 5247.75-12.65% 0.22% 11.28% -12.65% -18.52% 45.02% 24.81% 39.08% 9.57 1.30 3.00% 全指消费 7887.16-11.75% 1.45% 14.86% -11.75% -3.86% 42.20% 24.43% 41.84% 32.75 3.94 1.18% 全指能源 1872.67-11.09% 1.05% 6.51% -11.09% -28.68% -28.72% 30.00% 45.88% 13.73 1.16 2.40% 全指公用 2540.39-18.67% 1.24% 11.56% -18.67% -18.56% 45.68% 26.81% 46.75% 17.29 2.01 2.29% 全指可选 5656.34-18.31% 0.90% 16.02% -18.31% -10.41% 87.37% 35.50% 45.34% 27.89 3.28 1.29% 9/25
全指电信 5673.60-22.65% 1.62% 15.12% -22.65% -5.21% 118.20% 34.49% 51.68% 47.80 3.29 0.51% 全指工业 3922.85-19.56% 1.29% 16.28% -19.56% -19.46% 73.28% 36.84% 49.07% 30.83 2.63 0.87% 全指信息 6362.14-19.92% 1.14% 17.72% -19.92% -11.37% 157.21% 44.96% 53.81% 71.65 5.92 0.33% 全指医药 9190.63-17.95% 1.10% 12.95% -17.95% -7.32% 53.76% 33.50% 46.24% 47.93 5.21 0.65% 全指材料 3047.67-16.03% 1.63% 14.42% -16.03% -15.92% 30.80% 39.79% 47.95% 39.84 2.44 0.68% 上证 180 6921.88-13.43% 0.52% 11.55% -13.43% -22.86% 27.67% 23.34% 39.99% 11.21 1.38 2.76% 180 能源 1359.67-11.06% 1.68% 7.59% -11.06% -34.08% -38.56% 25.58% 44.44% 12.07 1.10 2.79% 180 材料 1443.93-7.71% 1.78% 10.37% -7.71% -31.83% -12.01% 35.90% 51.81% 20.89 1.57 1.45% 180 工业 2015.84-19.08% 0.47% 12.77% -19.08% -32.68% 39.48% 27.88% 50.94% 19.21 1.80 1.45% 180 可选 2323.97-16.37% -0.21% 15.17% -16.37% -27.45% 38.16% 28.15% 46.74% 14.05 2.03 3.05% 180 消费 5079.02-5.18% 1.19% 13.36% -5.18% -2.13% 26.15% 21.83% 39.97% 23.53 3.81 1.61% 180 医药 3851.86-17.28% 0.44% 8.05% -17.28% -5.81% 31.63% 22.05% 42.57% 35.72 5.59 1.00% 180 金地 4383.23-11.60% 0.28% 10.92% -11.60% -19.40% 38.80% 24.62% 39.13% 8.41 1.17 3.49% 180 信息 2932.80-18.56% 1.63% 20.50% -18.56% -27.37% 130.63% 35.40% 59.59% 50.22 4.66 0.77% 180 电信 1614.47-29.93% 0.58% 5.65% -29.93% -22.75% 27.42% 17.20% 58.05% 25.30 1.63 0.99% 180 公用 1691.04-16.21% 0.60% 10.10% -16.21% -14.50% 36.24% 20.87% 41.26% 14.17 1.88 3.10% 上证 380 5422.17-19.23% 1.26% 14.44% -19.23% -15.22% 73.71% 37.65% 51.29% 33.15 2.84 1.00% 380 能源 1573.92-5.67% 1.02% 2.43% -5.67% -16.23% -9.46% 41.62% 58.55% 34.56 1.34 0.43% 380 材料 3492.95-20.87% 1.58% 14.01% -20.87% -24.04% 21.74% 40.81% 55.85% 40.39 2.31 0.87% 380 工业 6125.38-19.26% 1.14% 14.04% -19.26% -20.32% 90.07% 39.18% 53.36% 29.31 2.54 1.08% 380 可选 6004.61-19.79% 0.30% 15.78% -19.79% -4.09% 108.78% 38.31% 47.13% 31.81 3.43 1.04% 380 消费 6724.94-16.83% 1.33% 14.38% -16.83% -13.73% 56.60% 29.10% 50.01% 37.40 4.27 0.87% 380 医药 9950.13-18.39% 2.31% 14.00% -18.39% -9.04% 52.80% 35.08% 51.11% 42.40 3.92 1.11% 380 金融 5445.44-22.66% 1.36% 16.70% -22.66% -14.11% 79.61% 45.68% 52.99% 24.35 2.42 0.87% 380 信息 6332.65-21.25% 0.53% 16.92% -21.25% -5.34% 208.99% 39.34% 51.18% 66.97 5.59 0.49% 380 电信 4728.28-15.66% 4.31% 19.75% -15.66% 5.73% 138.32% 41.77% 60.63% 45.66 3.55 0.54% 380 公用 2390.63-18.26% 2.56% 13.68% -18.26% -20.99% 40.50% 36.81% 58.13% 21.65 2.42 1.87% 中证超大 2589.67-11.39% 0.46% 11.32% -11.39% -17.70% 24.45% 23.49% 39.18% 9.48 1.23 3.31% 中证 100 3007.84-11.23% 0.44% 10.72% -11.23% -19.26% 25.02% 21.27% 38.58% 10.87 1.39 2.88% 中证 200 4058.10-17.82% 0.98% 13.83% -17.82% -22.48% 37.53% 33.71% 47.53% 27.23 2.50 1.10% 中证 700 4994.94-18.56% 1.14% 14.48% -18.56% -18.67% 57.11% 36.34% 47.96% 32.07 2.82 0.90% 中证 800 3731.98-15.41% 0.82% 12.76% -15.41% -18.99% 40.59% 27.11% 41.70% 15.54 1.81 1.97% 10/25
300 沪市 2910.44-13.26% 0.57% 11.40% -13.26% -22.26% 29.07% 22.98% 40.17% 11.48 1.41 2.73% 500 沪市 6154.79-19.68% 1.13% 14.55% -19.68% -18.44% 69.62% 37.70% 50.40% 35.79 2.73 0.82% 超大盘 1868.78-11.46% 0.83% 11.07% -11.46% -20.04% 5.97% 22.29% 39.83% 11.78 1.35 2.54% 上证 50 2156.54-10.92% 0.34% 10.90% -10.92% -21.71% 20.26% 23.23% 39.30% 9.37 1.21 3.28% 上证中盘 3195.89-17.30% 0.82% 12.64% -17.30% -24.92% 42.04% 29.14% 45.68% 21.60 2.13 1.52% 上证小盘 4588.54-19.45% 1.27% 14.32% -19.45% -17.03% 66.05% 37.61% 51.00% 35.91 2.76 0.94% 上证中小 3819.77-18.37% 1.04% 13.46% -18.37% -21.11% 53.62% 32.74% 47.84% 26.85 2.40 1.24% 上证全指 2864.02-15.13% 0.72% 12.28% -15.13% -21.11% 37.36% 25.08% 41.53% 13.19 1.55 2.36% 上证 100 5851.98-19.76% 1.71% 16.47% -19.76% -18.41% 60.36% 36.47% 51.35% 25.03 2.98 1.16% 上证 150 6176.50-19.97% 0.98% 16.41% -19.97% -4.71% 101.89% 43.53% 52.62% 89.14 4.47 0.17% 市值百强 2219.19-12.04% 0.43% 11.56% -12.04% -22.79% 24.17% 23.37% 39.49% 10.38 1.31 2.97% 上证能源 1460.33-10.20% 1.28% 5.73% -10.20% -29.43% -32.77% 27.83% 46.79% 12.98 1.12 2.56% 上证材料 1677.85-13.25% 1.41% 11.27% -13.25% -29.62% -2.40% 36.62% 51.33% 26.87 1.76 1.14% 上证工业 2186.25-19.02% 0.49% 12.56% -19.02% -29.29% 51.62% 28.14% 50.60% 19.57 1.86 1.45% 上证可选 2695.15-18.23% -0.07% 14.78% -18.23% -22.10% 55.68% 29.34% 46.50% 18.61 2.42 2.19% 上证消费 5581.28-10.86% 1.01% 13.38% -10.86% -9.07% 30.87% 21.25% 41.88% 26.97 3.93 1.37% 上证医药 5541.21-17.53% 1.43% 11.63% -17.53% -7.54% 37.95% 27.33% 45.57% 39.22 4.47 1.04% 上证金融 4162.05-10.20% 0.25% 10.60% -10.20% -19.52% 34.13% 24.39% 39.17% 7.98 1.13 3.69% 上证信息 4156.02-18.83% 1.11% 18.89% -18.83% -22.62% 149.12% 37.45% 53.11% 64.64 5.66 0.55% 上证电信 2595.83-22.04% 3.30% 16.28% -22.04% -6.64% 86.32% 34.13% 56.86% 33.76 2.27 0.71% 上证公用 2226.04-17.79% 0.84% 10.18% -17.79% -18.60% 37.53% 23.30% 45.59% 16.68 2.01 2.66% 表 2: 综合 指数特征 指数收益 指数估值 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率市盈率 市净率 股息率 中型综指 1516.81-18.34% 1.32% 18.34% -18.34% -5.85% 97.57% 41.02% 50.39% 59.97 4.47 0.40% 商业指数 4529.26-19.83% -0.33% 18.02% -19.83% -10.74% 92.18% 43.79% 52.15% 37.33 3.13 0.73% 中证流通 4919.55-16.77% 1.09% 14.63% -16.77% -11.74% 67.57% 32.01% 43.53% 20.82 2.29 1.39% 公用指数 5745.28-17.82% 1.66% 13.49% -17.82% -21.23% 57.76% 28.74% 50.16% 18.58 1.78 1.83% 上证流通 1089.80-15.97% 0.79% 12.91% -15.97% -18.08% 47.28% 27.02% 42.32% 14.84 1.72 2.03% 11/25
A 股指数 3143.56-15.14% 0.82% 11.76% -15.14% -19.98% 34.29% 24.97% 40.08% 14.84 1.72 2.03% 新综指 2535.10-15.13% 0.82% 11.76% -15.13% -19.98% 34.08% 24.97% 40.09% 14.84 1.72 2.03% 上证指数 3003.92-15.12% 0.82% 11.75% -15.12% -19.85% 34.31% 24.96% 40.08% 14.86 1.72 2.02% 工业指数 2368.69-15.92% 0.94% 11.71% -15.92% -20.41% 27.60% 28.23% 43.01% 23.77 2.20 1.37% 综合指数 2654.50-12.86% 0.67% 11.43% -12.86% -19.13% 34.91% 21.66% 36.42% 9.57 1.30 3.03% B 股指数 375.16-12.02% 0.75% 10.55% -12.02% 20.78% 42.22% 24.15% 48.88% 20.59 1.68 0.21% 地产指数 5489.09-16.42% -1.05% 4.09% -16.42% -17.79% 62.65% 27.72% 49.80% 11.70 1.57 1.85% 表 3: 主题指数市场数据 指数特征 指数收益 指数估值 指数 样本数量 总市值 ( 亿 ) 调整市值 ( 亿 ) 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 市盈率 市净率 钱江 30 30 8,860 3,828 1154.19-12.61% 3.26% 23.60% -12.61% -18.29% -40.06% 30.05 4.17 船舶产业 2 1,666 833 1946.9-24.46% -0.12% 22.56% -24.46% -33.10% 43.22% 71.82 2.18 沪互金融 17 12,219 7,864 3117.5-21.16% 1.67% 22.33% -21.16% -- -- 11.18 1.52 工业 4.0 48 5,538 3,086 2633.93-22.59% 0.86% 21.66% -22.59% -16.25% -- 51.74 4.99 智能资产 180 23,352 12,970 10745.9-19.56% 2.12% 21.24% -19.56% 3.06% 181.13% 39.96 4.59 互联金融 59 22,009 12,908 3393.09-18.06% 1.30% 21.01% -18.06% -18.50% -- 15.94 2.05 CS 新能车 78 11,595 6,121 2239.79-16.75% 2.90% 20.97% -16.75% 4.14% -- 59.00 4.80 CS 稀金属 20 3,490 1,698 1196.81-8.41% 4.76% 20.96% -8.41% -- -- 45.73 3.19 中证软件 100 18,469 9,329 10494.24-20.89% 1.39% 20.93% -20.89% -16.01% -- 107.28 10.07 机器人 48 5,272 2,750 1509.16-19.51% 1.90% 20.85% -19.51% -8.28% -- 56.72 4.89 800 证保 32 30,264 14,470 5713.64-14.21% 0.53% 20.55% -14.21% -35.95% -- 24.24 2.19 上证移动 50 10,304 5,698 2322.95-20.36% 1.34% 20.36% -20.36% -27.83% -- 36.29 3.58 中证证保 29 29,343 13,933 934.05-13.78% 0.42% 20.26% -13.78% -35.90% -- 24.27 2.17 中证白酒 12 6,445 2,642 2804.15-5.43% 1.60% 19.95% -5.43% 5.27% -- 22.43 4.14 上证 TMT 50 9,489 5,327 2408.28-22.21% 1.87% 19.80% -22.21% -13.63% -- 46.14 3.27 中证体育 35 6,009 3,129 2869.17-16.09% 2.45% 19.69% -16.09% -10.74% -- 69.00 5.79 浙江民企 246 27,002 12,440 9138.56-15.44% 2.36% 19.65% -15.44% 1.47% 131.43% 53.08 4.86 中证新能 80 15,333 7,855 1724.7-18.83% 2.22% 19.40% -18.83% -10.79% -- 53.39 3.74 300 非银 29 29,604 14,119 8487.38-13.67% 0.31% 19.35% -13.67% -35.37% 50.02% 24.09 2.17 CS 计算机 100 15,277 7,873 8515-24.70% 1.48% 19.31% -24.70% -- -- 90.12 7.80 12/25
浙企综指 296 34,978 15,644 7506.78-16.03% 2.28% 18.97% -16.03% -1.97% 115.24% 43.10 4.18 上证文化 37 5,853 2,896 2098.2-20.30% 1.09% 18.92% -20.30% -25.70% 109.42% 39.00 3.68 中证文化 50 14,773 6,943 2807.74-20.49% 0.84% 18.81% -20.49% -16.95% 157.03% 61.20 5.65 上证休闲 45 6,374 3,193 1402.43-19.64% 0.73% 18.52% -19.64% -21.58% -- 40.77 3.88 中证传媒 50 13,123 6,239 2446.36-21.05% 0.42% 18.47% -21.05% -15.78% -- 62.43 5.76 文体休闲 50 15,829 7,377 1536.15-19.65% 0.82% 18.41% -19.65% -15.40% -- 51.73 5.40 沪智慧城 50 10,231 5,928 2305.33-20.65% 0.78% 18.30% -20.65% -28.43% -- 38.12 3.71 军工信息 150 25,296 13,892 2956.68-20.47% 1.38% 18.24% -20.47% -1.66% -- 80.28 5.13 CS 休闲娱 90 15,298 6,621 6626.27-22.05% 0.04% 18.09% -22.05% -- -- 48.45 4.59 中证文体 100 21,361 10,352 2916.95-19.88% 0.80% 18.03% -19.88% -- -- 64.14 5.69 CS 能源互 59 8,581 4,405 1668.11-17.50% 1.57% 17.96% -17.50% -- -- 42.83 3.79 中证安防 26 4,791 2,277 2990.3-16.53% 2.08% 17.87% -16.53% -- -- 52.93 6.64 沪信息业 50 12,058 6,437 4643.23-21.65% 0.76% 17.86% -21.65% -26.35% 104.20% 43.63 3.37 上证高新 50 7,964 4,431 1631.41-19.42% 1.66% 17.80% -19.42% -29.23% 103.12% 43.73 3.58 中证海洋 70 14,382 6,059 1615.84-19.21% 2.85% 17.74% -19.21% -- -- 38.99 2.67 CS 汽车 AM 35 7,738 3,471 2299.61-20.28% 0.84% 17.74% -20.28% -- -- 17.99 2.21 物流产业 22 6,861 2,280 1538.53-20.98% 5.38% 17.68% -20.98% -20.93% 76.28% 20.71 1.93 中证酒 27 7,944 3,351 2041.26-11.34% 1.76% 17.60% -11.34% -6.59% -- 24.65 3.89 移动互联 100 23,664 12,131 2693.91-19.54% 0.98% 17.53% -19.54% -21.04% -- 59.57 6.14 中证国防 38 6,847 3,347 1693.18-17.38% 0.57% 17.43% -17.38% -10.52% -- 99.68 5.44 绿色城镇 100 21,257 10,247 1699.22-16.43% 2.50% 17.41% -16.43% -13.66% -- 25.60 3.11 信息产业 100 31,557 15,671 5242.92-19.78% 1.01% 17.10% -19.78% -21.53% 88.21% 47.50 4.21 中证民企 1687 187,626 89,372 2342.32-17.83% 1.41% 16.99% -17.83% -1.52% 111.02% 48.53 4.68 新能源 40 8,699 4,328 1530.53-21.08% 1.84% 16.92% -21.08% -20.71% 56.71% 38.78 3.21 沪智家居 36 7,273 4,238 3104.43-21.92% 0.30% 16.90% -21.92% -13.21% -- 41.46 4.00 智能家居 100 25,316 14,154 3098.55-20.91% 0.77% 16.68% -20.91% -8.33% -- 36.20 4.68 中证安全 86 11,455 5,656 2701.39-21.41% 1.03% 16.64% -21.41% -7.04% -- 51.66 5.48 中证高新 100 14,918 8,351 1875.33-20.25% 1.17% 16.63% -20.25% -3.76% -- 75.41 5.85 军工指数 50 10,736 5,600 1532.77-17.89% 0.45% 16.61% -17.89% -11.86% 115.92% 93.03 4.60 高端装备 60 14,360 6,694 8907.27-19.82% 1.29% 16.56% -19.82% -19.47% 88.71% 41.21 2.88 CS 食品饮 86 15,530 7,051 7928.34-9.65% 1.77% 16.48% -9.65% -- -- 30.61 4.22 沪互联网 83 23,794 14,304 2004.81-18.66% 0.97% 16.42% -18.66% -- -- 16.97 1.98 智慧城镇 100 25,642 13,241 2428.62-19.65% 1.03% 16.27% -19.65% -22.21% -- 46.72 5.09 13/25
中证环保 100 20,356 9,413 1706.01-19.60% 1.19% 16.25% -19.60% -17.54% 71.75% 34.25 3.31 信息安全 99 15,559 8,737 1879.69-22.37% 1.54% 16.24% -22.37% -14.24% -- 74.61 6.05 CS 西部 49 4,898 2,536 1461.11-18.33% 1.81% 16.18% -18.33% -- -- 36.63 2.34 上证军工 30 6,727 3,534 9053.27-18.61% 0.21% 16.13% -18.61% -18.13% -- 85.35 3.62 互联网 150 44,977 22,925 2808.74-18.31% 1.06% 16.07% -18.31% -15.52% -- 25.33 2.82 细分食品 45 11,297 5,200 7924.71-8.36% 1.72% 16.05% -8.36% -0.64% 29.71% 27.08 4.15 高铁产业 30 9,247 3,364 2172.68-20.91% -0.25% 16.04% -20.91% -29.82% -- 21.98 2.05 TMT 150 150 31,383 17,386 1944.93-21.27% 0.78% 16.03% -21.27% -17.00% -- 54.38 4.29 CS 智慧农 41 5,520 2,857 1577.24-20.18% 0.84% 16.02% -20.18% -- -- 42.18 3.87 健康产业 100 21,696 10,809 1840.61-16.52% 1.28% 16.01% -16.52% -7.19% -- 39.73 4.50 技术领先 200 47,244 24,117 6800.03-19.38% 1.52% 16.01% -19.38% -17.12% 79.77% 36.61 3.95 食品饮料 50 12,531 5,629 8146.24-8.57% 1.85% 15.97% -8.57% -1.32% 26.68% 27.06 4.25 中证医疗 41 4,400 2,281 8289.01-21.93% 0.31% 15.93% -21.93% -16.51% -- 74.49 7.42 上证新兴 50 23,401 10,947 6593.9-16.67% 1.10% 15.92% -16.67% -22.07% 62.43% 25.65 2.67 中证高装 200 40,055 19,826 4914.46-19.49% 0.98% 15.87% -19.49% -19.34% -- 41.35 3.51 细分机械 50 14,202 6,886 4346.34-22.02% 0.74% 15.87% -22.02% -30.41% 35.82% 32.12 2.56 装备产业 81 18,856 9,289 1998.42-20.88% 0.73% 15.78% -20.88% -29.82% 39.78% 39.60 2.78 沪大农业 50 5,274 2,532 1371.44-16.90% -0.15% 15.75% -16.90% -8.95% -- 46.74 3.67 沪智交通 16 2,904 1,760 2181.96-21.36% 0.64% 15.71% -21.36% -16.48% -- 68.50 4.45 新材料 50 8,996 4,938 2632.29-13.70% 2.73% 15.60% -13.70% -21.11% -- 41.97 2.97 中证汽车 86 14,978 6,346 5604.27-14.52% 1.30% 15.54% -14.52% -10.39% -- 19.47 2.53 中证 TMT 100 26,206 14,315 2293.96-21.45% 0.98% 15.52% -21.45% -15.44% 152.96% 49.99 4.07 领先行业 150 65,410 27,762 7938.68-13.26% 1.72% 15.50% -13.26% -6.73% 58.15% 10.11 1.61 300 信服 47 19,284 9,800 2142.73-20.04% 0.36% 15.47% -20.04% -22.59% -- 42.93 3.86 非周民企 100 37,037 16,922 1322.27-15.55% 0.90% 15.45% -15.55% -14.68% -- 38.97 4.83 CS 轻资产 100 63,894 30,548 4343.03-13.81% 0.77% 15.42% -13.81% -- -- 28.53 2.95 城镇交通 100 29,661 13,515 2146.58-18.74% 1.39% 15.37% -18.74% -19.56% -- 25.63 2.90 农业主题 40 5,443 3,000 1175.87-15.90% 0.10% 15.26% -15.90% -8.53% 52.42% 39.32 3.85 沪东北 30 6,701 3,820 3555.13-18.65% 1.48% 15.12% -18.65% -25.44% 22.73% 30.40 2.57 智能交通 50 10,248 5,697 2480.11-19.68% 0.70% 15.07% -19.68% -13.48% -- 47.91 5.00 环保 50 50 13,024 5,684 1644.57-18.94% 1.33% 15.06% -18.94% -17.40% -- 32.69 3.33 上证健康 50 9,778 5,580 1368.31-19.81% 1.52% 15.05% -19.81% -11.83% -- 35.67 3.92 一带一路 87 43,696 11,962 1566.46-18.72% 1.45% 15.05% -18.72% -29.27% -- 16.86 1.46 14/25
内地低碳 50 14,407 6,547 1208.65-17.56% 1.89% 14.94% -17.56% -17.96% 57.51% 32.31 3.14 优势制造 45 8,793 4,126 7266.64-19.95% 0.89% 14.94% -19.95% -23.89% 60.07% 38.52 3.02 细分化工 50 8,618 4,324 3255.37-17.97% 1.84% 14.90% -17.97% -8.91% 35.89% 33.39 3.17 大消费 360 83,078 39,665 8569.03-18.55% 1.12% 14.90% -18.55% -7.25% 87.64% 29.64 3.55 精工制造 200 53,525 23,507 3023.91-19.75% 1.06% 14.79% -19.75% -24.91% -- 25.29 2.27 CS 电子 100 19,806 9,943 5384.39-15.32% 0.92% 14.78% -15.32% -- -- 47.90 3.99 上证下游 174 44,871 20,777 3392.59-16.82% 1.25% 14.78% -16.82% -17.11% 50.36% 23.84 2.73 细分农业 47 5,867 2,748 5588.67-11.07% 0.83% 14.77% -11.07% -9.83% 46.98% 47.05 4.13 上证汽车 43 8,248 3,124 4937.05-15.40% 0.85% 14.67% -15.40% -- -- 15.03 2.13 中证中药 48 7,186 3,967 10516.37-20.94% 1.50% 14.67% -20.94% -- -- 33.35 4.13 民企 200 200 56,547 27,628 1639.47-15.70% 1.05% 14.66% -15.70% -15.35% 51.14% 29.96 3.65 东北振兴 37 8,116 4,338 4231.58-18.17% 1.20% 14.55% -18.17% -25.29% 25.87% 29.70 2.33 上证养老 40 21,265 11,089 9080.22-19.36% 0.57% 14.54% -19.36% -12.96% -- 23.63 2.59 西部开发 42 14,316 6,864 5625.03-13.40% 2.02% 14.43% -13.40% -22.52% 43.49% 26.97 2.95 汽车产业 33 10,618 4,476 3940.37-12.82% 1.49% 14.43% -12.82% -18.27% 60.76% 15.89 2.22 兴证海西 162 20,457 10,758 1546.64-17.82% 1.24% 14.41% -17.82% -10.67% 75.08% 22.73 2.75 CS 土改农 37 4,008 1,838 1170.41-19.45% -0.27% 14.41% -19.45% -- -- 42.44 3.36 中小国改 100 14,259 6,240 1615.39-21.97% 0.47% 14.33% -21.97% -17.98% -- 37.12 2.97 沪新丝路 56 39,669 9,793 1488.83-18.25% 1.56% 14.32% -18.25% -49.90% -22.68% 16.01 1.41 消费 50 50 20,722 9,378 5687.98-13.23% 0.44% 14.30% -13.23% -17.18% 41.46% 19.55 2.74 稀土产业 28 4,948 2,478 1430.73-18.95% 1.08% 14.26% -18.95% -23.81% -- 66.00 2.97 中证军工 70 12,131 6,454 11291.49-19.69% 0.65% 14.23% -19.69% -11.93% -- 93.41 4.38 内地运输 31 10,443 3,768 1668.71-19.46% 3.07% 14.19% -19.46% -19.13% 56.99% 21.49 1.86 沪西部 36 11,081 5,549 4875.02-13.76% 1.50% 14.17% -13.76% -21.48% 43.51% 29.05 2.93 中证下游 200 70,500 31,974 4552.45-15.67% 1.26% 14.12% -15.67% -15.07% 49.25% 26.47 3.34 基建工程 50 12,832 4,926 5378.53-17.20% 0.64% 14.10% -17.20% -29.65% -- 15.48 1.65 CS 智消费 100 23,448 12,303 2322.8-17.47% 0.43% 14.03% -17.47% -- -- 24.74 3.51 中部崛起 43 11,255 5,284 3011.69-16.20% 1.51% 14.03% -16.20% -22.68% 0.32% 19.61 2.13 纺织产业 22 3,598 1,585 2042.99-18.04% -0.54% 13.96% -18.04% -7.97% 62.28% 26.14 3.30 上证环保 40 10,424 4,399 1647.62-18.08% 1.37% 13.90% -18.08% -19.49% 68.88% 27.98 2.93 CS 上海 48 13,898 5,988 2985.7-20.65% -0.54% 13.82% -20.65% -- -- 30.91 2.81 中证城镇 236 85,450 40,923 1742.29-15.83% 1.09% 13.79% -15.83% -14.23% -- 22.97 3.00 消费领先 100 88,089 35,694 6265.08-15.03% 0.68% 13.75% -15.03% -17.86% 50.20% 9.65 1.34 15/25
沪城消费 50 18,907 9,922 1320.83-14.34% 0.49% 13.73% -14.34% -17.47% -- 20.09 2.69 内地农业 39 8,560 4,332 4487.95-12.42% 1.11% 13.69% -12.42% -13.06% 24.38% 32.23 3.59 中证核电 50 9,186 3,656 3156.69-22.59% -0.10% 13.69% -22.59% -- -- 30.27 2.15 CS 福建 33 7,348 4,486 1834.9-21.15% 0.68% 13.63% -21.15% -- -- 11.75 1.59 上证民企 50 18,343 11,114 1511.21-14.42% 0.52% 13.48% -14.42% -19.51% 38.21% 20.10 2.51 沪绿色城 50 10,678 4,702 1691.77-16.84% 1.25% 13.48% -16.84% -14.71% -- 18.97 2.45 中证保险 20 30,957 9,804 1524-14.02% 0.10% 13.42% -14.02% -20.03% -- 13.44 1.47 内地消费 50 30,057 13,601 5363.69-11.77% 0.78% 13.39% -11.77% -13.49% 37.61% 18.94 3.01 非周期 100 51,824 22,803 2332.48-16.26% 0.54% 13.38% -16.26% -24.46% 39.78% 19.61 2.21 城镇消费 100 44,644 20,390 1319.85-13.59% 0.86% 13.35% -13.59% -12.89% -- 22.75 3.26 国企改革 100 31,209 13,199 1336.55-19.85% 0.35% 13.34% -19.85% -23.84% -- 22.11 1.97 CS 广东 48 9,905 4,188 1754.89-20.34% 1.27% 13.33% -20.34% -- -- 20.84 2.29 中证中游 250 64,281 30,299 2991.8-18.41% 0.80% 13.31% -18.41% -22.93% 45.55% 27.69 2.31 中证地企 677 107,051 50,957 1242.41-15.65% 1.03% 13.28% -15.65% -17.82% 40.63% 20.74 2.09 电子产业 131 32,594 17,774 3129.62-18.06% 0.73% 13.21% -18.06% -15.63% 87.20% 36.13 3.91 300 非周 187 90,525 41,119 3456.24-15.99% 0.77% 13.21% -15.99% -20.24% 34.72% 22.41 2.64 消费 80 80 27,167 12,951 3447.68-14.76% 0.69% 13.19% -14.76% -14.51% 38.35% 22.03 3.01 上证中游 186 44,619 20,012 2743.94-19.15% 0.55% 13.18% -19.15% -25.97% 54.05% 25.01 2.10 消费服务 100 102,270 39,793 6173.42-13.60% 0.63% 13.17% -13.60% -14.95% 42.29% 10.47 1.46 中证新兴 100 43,039 20,568 7738.71-17.59% 1.05% 13.15% -17.59% -17.61% 63.11% 31.65 3.41 有色金属 50 9,356 4,996 4188.46-9.90% 2.87% 13.01% -9.90% -23.55% -3.00% 45.28 2.70 中证服务 300 162,879 65,388 4289.53-17.26% 0.58% 12.96% -17.26% -19.44% 63.93% 12.34 1.59 持续产业 40 10,933 4,483 1073.33-18.84% 0.86% 12.93% -18.84% -21.01% 50.07% 27.94 2.69 优势消费 50 13,320 6,879 5153.69-14.60% 1.48% 12.93% -14.60% -7.38% 28.66% 30.57 4.40 CS 京津冀 41 7,671 3,299 1981.01-18.18% 1.47% 12.93% -18.18% -- -- 25.44 2.19 中证基建 61 13,952 5,469 8538.12-19.05% -0.05% 12.92% -19.05% -33.01% -- 21.52 1.89 沪城交通 50 16,984 6,768 2083.38-19.36% 0.62% 12.92% -19.36% -24.33% -- 19.87 2.26 沪中部 35 7,961 3,587 3028.7-17.06% 1.92% 12.89% -17.06% -22.21% 1.92% 17.73 2.02 轻工产业 62 19,574 9,701 2868.55-10.35% 1.14% 12.88% -10.35% -5.74% 40.40% 21.65 3.52 混合改革 66 24,778 8,173 1678.33-16.63% 0.99% 12.74% -16.63% -19.35% -- 15.60 1.69 医药 100 100 19,740 9,994 12940.23-18.29% 1.16% 12.73% -18.29% -6.84% 77.77% 42.66 4.76 上证龙头 69 97,983 27,837 2909.94-14.94% 0.64% 12.63% -14.94% -16.72% 35.16% 10.23 1.29 医药生物 100 19,694 9,866 8666.46-17.42% 1.37% 12.61% -17.42% -8.47% 46.39% 42.59 4.76 16/25
中证旅游 21 3,057 1,348 4591.02-15.44% 0.63% 12.60% -15.44% -- -- 31.98 3.81 上证城镇 181 53,097 24,928 1798.83-17.69% 0.66% 12.59% -17.69% -23.40% -- 21.03 2.49 800 金融 48 82,065 30,702 5322.93-11.09% 0.48% 12.59% -11.09% -21.78% -- 8.58 1.18 细分金融 50 82,381 30,817 5329.69-11.11% 0.47% 12.56% -11.11% -21.82% 36.98% 8.61 1.19 内地基建 50 26,738 9,100 1888.68-17.24% 1.54% 12.53% -17.24% -25.88% 43.66% 14.27 1.62 沪消费品 50 13,907 7,173 6183.27-15.86% 1.00% 12.51% -15.86% -10.49% 40.81% 30.20 3.89 内地金融 47 81,529 30,434 5593.78-11.00% 0.48% 12.43% -11.00% -21.36% 37.30% 8.54 1.18 中证国企 1001 242,958 92,331 1169.69-15.67% 0.83% 12.40% -15.67% -18.78% 43.14% 14.39 1.64 中小医疗 78 6,594 3,410 14400.91-20.47% 0.40% 12.38% -20.47% 0.28% -- 60.15 4.94 上国改革 50 22,486 9,025 1392.89-18.53% 0.14% 12.36% -18.53% -17.53% -- 19.14 1.79 医药主题 50 8,934 5,114 9620.6-19.31% 1.91% 12.35% -19.31% -10.90% 61.78% 37.82 4.03 沪股通 569 213,909 81,927 2660.54-15.20% 0.72% 12.31% -15.20% -20.50% 38.17% 13.35 1.57 沪珠三角 42 26,309 15,553 4136.45-11.29% 0.17% 12.09% -11.29% -16.56% 33.53% 13.47 1.83 治理指数 317 130,317 51,258 914.62-14.83% 0.81% 12.03% -14.83% -23.53% 34.18% 11.69 1.40 石化产业 22 20,282 2,302 1028.29-13.22% 1.96% 12.00% -13.22% -19.23% 1.71% 13.53 1.19 300 基建 43 25,432 8,526 1871.5-17.61% 1.19% 11.90% -17.61% -26.68% 41.64% 14.01 1.59 细分医药 50 12,599 6,173 7819.38-15.75% 1.40% 11.90% -15.75% -6.77% 32.90% 41.86 5.10 300 消服 24 11,136 6,051 5216.96-14.42% 0.28% 11.82% -14.42% -16.95% -- 19.08 2.82 地企 100 100 58,454 27,615 985.41-12.37% 0.80% 11.61% -12.37% -20.93% 22.17% 15.72 1.82 环渤海 49 60,685 11,238 2219.31-15.58% 0.76% 11.56% -15.58% -24.63% 13.92% 9.75 1.22 保险主题 20 33,370 12,221 1533.12-12.02% -0.16% 11.56% -12.02% -19.14% -- 12.36 1.41 上证基建 34 11,358 4,088 8867-20.28% -0.56% 11.54% -20.28% -- -- 18.94 1.80 上证央企 50 95,118 22,252 1347.97-13.96% 0.38% 11.46% -13.96% -26.04% 25.59% 9.28 1.16 180 治理 100 103,016 38,123 799.66-13.41% 0.65% 11.43% -13.41% -25.08% 24.61% 10.09 1.28 长三角 48 30,752 13,807 3899.98-11.66% 0.93% 11.35% -11.66% -18.12% 48.52% 14.92 1.78 180 金融 35 73,395 27,224 4395.88-10.49% 0.39% 11.35% -10.49% -20.22% 35.54% 8.05 1.13 中证央企 324 135,907 41,374 1777.57-15.69% 0.59% 11.35% -15.69% -19.98% 46.07% 11.62 1.40 180 运输 11 6,241 2,159 933.12-21.09% 2.45% 11.32% -21.09% -25.04% 7.94% 18.16 1.70 国企 200 200 173,177 58,687 951.06-13.30% 0.67% 11.24% -13.30% -21.74% 27.60% 11.70 1.41 资源优选 200 53,063 16,619 2223.77-14.23% 1.47% 11.22% -14.23% -23.52% -- 19.48 1.52 上证国企 100 132,633 40,542 887.97-12.65% 0.58% 11.22% -12.65% -23.71% 24.21% 10.22 1.28 泛珠三角 47 33,064 20,230 5696.85-9.85% 0.33% 11.18% -9.85% -10.05% 40.39% 13.66 1.96 180 基建 27 20,851 6,956 1664.86-18.19% 0.88% 11.16% -18.19% -26.68% 42.14% 13.27 1.54 17/25
上证地企 50 37,514 18,290 974.63-11.00% 0.83% 10.93% -11.00% -20.67% 22.11% 13.74 1.73 300 公运 40 19,528 6,730 1480.51-18.90% 1.46% 10.93% -18.90% -18.06% -- 17.59 1.89 央企 100 100 114,723 31,072 1529.06-14.11% 0.55% 10.92% -14.11% -22.50% 32.35% 10.32 1.26 沪投资品 50 17,879 7,218 3974.62-14.45% 1.26% 10.82% -14.45% -30.99% -2.35% 23.22 1.82 沪环渤海 44 58,184 10,007 2062.37-15.07% 0.79% 10.75% -15.07% -24.39% 20.26% 9.45 1.20 上证周期 50 101,342 31,686 2671.89-10.76% 0.44% 10.64% -10.76% -22.11% 20.44% 8.88 1.14 沪长三角 47 27,058 12,024 2986.19-12.32% 0.97% 10.59% -12.32% -19.95% 48.71% 13.90 1.62 300 周期 113 130,374 43,865 3219.9-11.52% 0.51% 10.58% -11.52% -21.03% 24.91% 10.17 1.25 ESG 100 100 114,044 42,335 950.46-14.29% 0.97% 10.57% -14.29% -20.50% 31.80% 9.22 1.27 上证海外 47 91,380 24,708 1023.31-11.69% 0.49% 10.49% -11.69% -24.23% 23.70% 8.98 1.13 大宗商品 100 37,395 9,699 3873.05-11.73% 1.08% 10.48% -11.73% -15.34% 14.24% 17.00 1.41 资源 80 80 35,913 8,970 2703.4-11.95% 1.71% 10.47% -11.95% -22.15% -13.31% 16.54 1.40 上证沪企 50 29,016 12,695 2193.82-15.26% 0.50% 10.42% -15.26% -20.07% 46.21% 14.73 1.63 黄金采掘 11 2,094 1,074 1249.22 0.03% 2.95% 10.32% 0.03% -2.05% -- 53.65 3.80 细分有色 50 8,390 4,306 4536.63-9.71% 1.79% 10.30% -9.71% -27.07% -9.80% 42.10 2.50 有色产业 33 6,610 3,526 1750.5-8.95% 1.88% 9.96% -8.95% -25.15% -11.23% 38.91 2.35 责任指数 100 54,680 25,033 1131.09-12.48% 0.50% 9.91% -12.48% -18.71% 33.01% 11.32 1.46 沪城基建 50 19,257 7,250 1594.3-18.52% 0.00% 9.84% -18.52% -25.57% -- 15.28 1.70 资源 50 50 29,801 6,066 2191.28-12.28% 1.36% 9.68% -12.28% -26.16% -19.30% 14.88 1.27 上证商品 50 29,473 5,854 1588.33-12.90% 1.10% 9.29% -12.90% -25.50% -20.66% 15.06 1.26 ESG 40 40 67,698 23,109 1171.42-14.90% 0.46% 9.18% -14.90% -23.38% 26.90% 8.14 1.12 城镇基建 100 29,479 12,930 1670.07-16.86% 0.04% 8.98% -16.86% -17.69% -- 17.11 1.94 上证资源 49 28,580 5,341 1788.13-10.19% 1.46% 8.60% -10.19% -28.63% -23.09% 14.39 1.23 上证上游 49 28,548 5,324 2028.01-9.79% 1.68% 8.35% -9.79% -27.02% -22.86% 14.35 1.22 A 股资源 50 30,416 6,092 3819.73-7.93% 1.24% 8.30% -7.93% -25.80% -20.35% 14.83 1.26 优势资源 41 22,302 4,112 3149.97-8.35% 1.47% 8.22% -8.35% -24.47% -17.21% 15.24 1.30 中证上游 50 30,299 5,993 2248.74-9.68% 1.44% 7.81% -9.68% -29.20% -28.41% 14.82 1.26 内地资源 50 29,281 5,772 2335.12-9.26% 1.49% 7.70% -9.26% -27.68% -28.92% 15.21 1.24 中证钢铁 45 6,836 2,554 1155.38-18.38% -0.16% 7.35% -18.38% -27.80% -- 39.17 1.35 180 资源 16 23,737 3,229 2171.18-7.34% 1.41% 7.25% -7.34% -30.90% -33.70% 13.23 1.14 内地银行 16 51,800 16,232 5304.31-8.37% 0.55% 7.14% -8.37% -6.71% 30.43% 6.23 0.93 上证银行 14 49,753 15,361 744.56-8.20% 0.57% 6.88% -8.20% -6.30% 30.66% 6.17 0.93 细分能源 50 25,801 3,661 1992.86-10.87% 1.16% 6.59% -10.87% -28.15% -28.97% 13.73 1.16 18/25
300 有色 12 4,054 1,917 3023.01-7.85% 1.28% 6.42% -7.85% -27.16% -19.61% 32.12 2.18 内地地产 46 13,968 6,984 6701.83-17.10% -0.68% 5.76% -17.10% -2.67% 82.81% 18.61 2.44 细分地产 50 14,613 7,246 6380.69-17.34% -0.86% 5.64% -17.34% -4.25% 79.71% 19.06 2.41 钢铁产业 14 4,245 1,483 759.43-13.95% -0.58% 5.23% -13.95% -37.14% -0.33% 32.55 1.10 煤炭等权 33 6,629 1,693 1888.79-9.25% 0.53% 3.35% -9.25% -12.12% -- 16.47 1.18 中证煤炭 33 6,629 1,693 1412.18-8.08% 0.37% 2.12% -8.08% -14.80% -- 16.47 1.18 煤炭指数 32 6,647 1,732 2275.18-6.43% 0.25% 1.36% -6.43% -19.60% -25.72% 16.04 1.18 表 4: 风格指数市场数据 指数收益 指数波动 指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 380 成长 5543.86-18.94% 1.91% 16.81% -18.94% -15.99% 69.68% 35.70% 48.21% -0.38-0.02-0.18 500 成长 6727.25-17.71% 1.80% 15.72% -17.71% -12.84% -- 37.61% 46.98% -0.33 0.01-0.14 500R 成长 5858.41-19.56% 1.55% 15.47% -19.56% -14.77% -- 39.91% 47.67% -0.36 0.00-0.15 380R 成长 4692.60-20.31% 1.28% 15.44% -20.31% -15.81% 65.43% 38.41% 50.03% -0.37-0.01-0.16 800R 成长 3603.22-17.00% 0.99% 15.04% -17.00% -19.25% -- 32.55% 44.74% -0.49-0.06-0.21 300R 成长 3042.88-15.24% 0.76% 14.94% -15.24% -22.78% 18.90% 29.89% 44.39% -0.57-0.10-0.26 全 R 成长 2592.84-16.51% 0.72% 14.76% -16.51% -23.15% 26.40% 29.34% 44.63% -0.57-0.11-0.26 500R 价值 6733.69-18.76% 0.99% 14.58% -18.76% -15.52% -- 38.17% 50.70% -0.36-0.01-0.16 180R 成长 1708.39-14.86% 0.48% 14.45% -14.86% -26.56% 18.46% 27.64% 43.84% -0.66-0.15-0.32 500 价值 7566.66-17.80% 1.04% 13.93% -17.80% -14.59% -- 35.53% 51.58% -0.33-0.01-0.16 380 价值 7259.42-17.65% 1.52% 13.59% -17.65% -15.48% 83.97% 34.07% 51.67% -0.35-0.03-0.18 380R 价值 6273.83-18.13% 1.25% 13.48% -18.13% -14.65% 81.49% 37.07% 52.80% -0.32-0.01-0.16 300 成长 3437.75-12.67% 0.51% 13.28% -12.67% -15.44% 21.63% 24.89% 39.56% -0.45-0.05-0.22 800 成长 3977.94-13.46% 0.68% 13.17% -13.46% -14.88% -- 24.74% 39.72% -0.44-0.05-0.21 全指成长 2975.75-12.64% 0.44% 12.29% -12.64% -16.36% 25.94% 23.23% 38.59% -0.49-0.07-0.25 19/25
180 成长 2551.59-11.41% 0.24% 12.04% -11.41% -16.55% 22.55% 24.38% 39.29% -0.48-0.08-0.26 800R 价值 3990.13-14.05% 0.69% 10.93% -14.05% -18.60% -- 23.47% 40.04% -0.53-0.09-0.26 800 价值 4327.46-12.36% 0.65% 10.89% -12.36% -15.93% -- 22.14% 38.87% -0.47-0.07-0.25 全 R 价值 3070.33-13.98% 0.72% 10.35% -13.98% -19.39% 46.67% 22.43% 39.88% -0.55-0.10-0.28 全指价值 3188.19-11.91% 0.64% 10.19% -11.91% -15.59% 39.72% 21.84% 38.10% -0.47-0.08-0.27 300 价值 3566.27-11.22% 0.48% 9.68% -11.22% -13.78% 36.61% 20.54% 37.53% -0.43-0.07-0.26 300R 价值 3189.99-12.57% 0.54% 9.57% -12.57% -18.73% 36.90% 20.66% 38.49% -0.55-0.10-0.30 180R 价值 2508.77-12.19% 0.56% 9.21% -12.19% -19.92% 35.44% 20.90% 38.11% -0.59-0.12-0.34 180 价值 3183.57-10.83% 0.42% 8.80% -10.83% -14.64% 34.60% 21.78% 37.42% -0.46-0.08-0.29 表 5: 红利指数市场数据 指数特征 指数收益 指数股息 指数 收盘点位 总市值 ( 亿 ) 调整市值 ( 亿 )1 年分红 ( 亿 ) 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 样本平均股指数股息率 电信红利 7393.62 3,132 1,774 29-24.98% 2.18% 19.68% -24.98% 1.92% -- 0.94% 0.94% 信息红利 16580.21 6,037 2,915 62-18.18% 1.39% 19.47% -18.18% 12.68% -- 1.05% 1.03% 沪可选红 9957.10 6,752 2,774 279-14.39% 2.30% 18.58% -14.39% -14.55% -- 4.13% 4.13% 民企红利 3261.33 8,653 5,665 235-14.64% 2.55% 18.38% -14.64% 8.38% 155.24% 2.74% 2.72% 消费红利 15136.29 10,882 5,235 213-8.99% 2.22% 17.35% -8.99% -1.70% -- 1.95% 1.95% 沪医药红 6905.85 1,295 863 23-19.50% 0.56% 17.06% -19.50% -16.40% -- 1.79% 1.79% 沪信息红 8940.78 2,269 1,203 25-15.53% -0.11% 16.08% -15.53% -11.98% -- 1.10% 1.10% 可选红利 11694.21 9,439 4,453 408-14.45% 1.22% 15.66% -14.45% 0.77% -- 4.33% 4.33% 500 红利 8247.62 6,326 3,168 136-17.89% 1.29% 14.97% -17.89% -9.45% 92.26% 2.16% 2.12% 材料红利 5160.54 5,941 2,944 152-14.47% 1.61% 14.90% -14.47% -7.27% -- 2.58% 2.55% 上民红利 2312.26 8,407 5,579 219-19.72% 1.27% 14.87% -19.72% -19.07% 64.36% 2.60% 2.60% 380 红利 7792.03 4,839 1,723 158-14.15% 1.43% 14.36% -14.15% -8.67% 88.35% 3.26% 3.26% 沪电信红 6513.43 1,464 686 18-24.32% 1.58% 14.18% -24.32% -18.09% -- 1.24% 1.24% 20/25
医药红利 13384.45 4,418 2,427 65-17.46% 1.21% 13.67% -17.46% 18.54% -- 1.46% 1.46% 沪材料红 3802.96 5,066 2,432 128-15.87% 2.24% 13.60% -15.87% -15.52% -- 2.52% 2.52% 工业红利 7146.28 11,260 3,799 290-14.72% 0.98% 13.49% -14.72% -14.75% -- 2.58% 2.58% 沪工业红 6493.94 11,276 3,553 286-14.37% 0.87% 11.97% -14.37% -18.76% -- 2.54% 2.54% 上红回报 3892.11 24,515 9,586 814-12.51% 1.22% 11.96% -12.51% -14.42% 40.82% 3.32% 3.32% 中证红利 3793.31 101,461 30,986 4,075-13.30% 1.00% 11.73% -13.30% -8.98% 50.39% 4.02% 4.02% 公用红利 3480.39 7,338 2,524 273-17.86% 2.15% 11.23% -17.86% -19.10% -- 3.72% 3.72% 沪消费红 12762.36 5,586 2,975 99-8.42% 1.13% 11.07% -8.42% -0.27% -- 1.77% 1.77% 红利回报 4365.48 22,503 11,103 589-8.95% 1.01% 10.73% -8.95% -9.09% 51.52% 2.66% 2.61% 300 红利 4330.57 90,459 24,801 3,827-11.08% 1.05% 10.16% -11.08% -12.10% 38.78% 4.23% 4.23% 沪公用红 3788.76 6,232 2,120 245-17.51% 1.42% 10.10% -17.51% -20.72% -- 3.94% 3.94% 红利指数 2412.31 82,183 19,563 3,581-13.38% 0.79% 10.01% -13.38% -18.01% 26.27% 4.36% 4.36% 红利低波 6976.60 65,014 21,199 3,103-11.48% 1.14% 9.93% -11.48% -10.79% -- 4.77% 4.77% 上红低波 6156.69 65,454 20,540 3,034-13.10% 0.90% 9.90% -13.10% -17.90% -- 4.64% 4.64% 上红价值 5753.58 63,002 19,329 2,942-12.83% 0.75% 9.85% -12.83% -17.10% -- 4.67% 4.67% 上红潜力 3770.22 57,682 11,466 2,313-10.49% 1.27% 9.52% -10.49% -15.67% -- 4.01% 4.01% 国企红利 1331.90 83,912 21,605 3,639-11.69% 0.61% 9.49% -11.69% -14.92% 47.05% 4.34% 4.34% 上国红利 1050.12 60,195 15,476 3,027-12.05% 1.38% 9.44% -12.05% -16.58% 26.10% 5.03% 5.03% 红利价值 6740.12 64,396 20,625 3,077-12.17% 0.93% 9.43% -12.17% -12.46% -- 4.78% 4.78% 180 红利 2984.03 77,205 18,097 3,421-10.68% 0.71% 8.99% -10.68% -17.17% 24.70% 4.43% 4.43% 高分红 3668.76 96,591 28,572 3,906-9.61% 0.74% 8.32% -9.61% -12.41% -- 4.04% 4.04% 上央红利 1715.37 70,212 14,011 3,011-12.88% 0.71% 8.18% -12.88% -20.75% 34.99% 4.29% 4.29% 央企红利 2414.20 71,026 14,855 3,020-11.73% 0.67% 8.09% -11.73% -21.40% 35.43% 4.25% 4.25% 红利潜力 4902.98 41,750 12,615 1,281-7.18% 1.12% 8.07% -7.18% -2.18% -- 3.07% 3.07% 金融红利 6497.85 53,223 17,238 2,463-12.19% -0.28% 7.28% -12.19% -8.23% -- 4.63% 4.63% 能源红利 3802.41 20,807 1,738 605-9.02% 0.97% 7.02% -9.02% -25.47% -- 2.91% 2.91% 沪金融红 5075.12 48,410 14,294 2,374-11.91% -0.13% 6.88% -11.91% -9.87% -- 4.90% 4.90% 沪能源红 4678.62 20,544 1,595 598-6.98% 1.06% 6.22% -6.98% -26.68% -- 2.91% 2.91% 21/25
表 6: 策略指数市场数据 指数收益 指数波动 指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 500 两倍 4118.79-39.61% 2.35% 30.40% -39.61% -- -- 78.01% -- -- -- -- 300 日报酬两倍 1920.09-28.31% 1.19% 24.46% -28.31% -46.97% -- 47.79% 80.66% -0.61-0.24-0.30 300 两倍 1327.90-29.11% 1.11% 24.00% -29.11% -49.45% 8.84% 47.80% 80.65% -0.64-0.27-0.32 180 两倍 2865.68-28.47% 0.89% 23.34% -28.47% -52.19% -- 46.71% 79.97% -0.68-0.31-0.35 转型成长 28961.28-8.48% 2.41% 22.73% -8.48% 33.76% -- 44.01% 56.27% 0.56 0.49 0.28 50 两倍 865.48-23.84% 0.53% 21.88% -23.84% -- -- 46.49% -- -- -- -- 百发 100 12484.17-18.34% 0.98% 21.33% -18.34% -9.16% -- 49.82% 53.75% -0.22 0.08-0.09 信息等权 5386.42-21.51% 0.67% 19.09% -21.51% -23.73% 163.17% 42.82% 54.33% -0.48-0.08-0.22 沪财中小 9664.03-17.10% 1.82% 17.28% -17.10% -5.81% 88.51% 38.53% 50.86% -0.16 0.09-0.07 淘金 100 8190.31-13.58% 1.60% 17.21% -13.58% 21.75% -- 38.41% 52.37% 0.37 0.36 0.18 500ERC 7653.48-18.31% 1.34% 16.45% -18.31% -9.22% -- 39.66% 49.23% -0.24 0.06-0.10 180 动态 6922.15-18.36% 0.19% 16.42% -18.36% -28.99% 21.26% 34.75% 47.07% -0.67-0.15-0.28 创业成长 1421.14-16.28% 1.33% 16.40% -16.28% -9.49% 59.70% 38.77% 46.25% -0.26 0.04-0.12 电信等权 2562.01-21.26% 3.82% 16.33% -21.26% 0.02% 102.50% 34.19% 54.46% -0.05 0.15-0.02 380 低贝 5629.69-16.64% 2.12% 16.31% -16.64% -10.14% 99.15% 34.03% 47.57% -0.27 0.03-0.12 380 高贝 5951.66-19.62% 0.98% 16.19% -19.62% -14.80% 76.45% 43.46% 56.66% -0.31 0.02-0.14 可选等权 3194.87-19.30% 0.45% 16.07% -19.30% -14.06% 80.25% 34.33% 49.12% -0.34 0.00-0.16 500SER 7730.75-17.82% 1.40% 15.82% -17.82% -9.91% -- 38.89% 49.91% -0.25 0.05-0.11 500 稳定 8047.44-18.61% 1.62% 15.79% -18.61% -11.77% -- 37.11% 48.95% -0.29 0.03-0.13 380ERC 8896.85-17.81% 1.42% 15.72% -17.81% -9.99% -- 38.64% 51.79% -0.24 0.05-0.11 500 高贝 5136.06-20.81% 1.05% 15.72% -20.81% -15.57% 84.45% 42.22% 50.92% -0.35 0.00-0.16 500 波动 10137.49-15.51% 1.67% 15.68% -15.51% -10.99% 96.22% 34.91% 51.61% -0.26 0.03-0.13 200 动态 3232.91-19.60% 0.86% 15.59% -19.60% -27.61% -- 38.34% 51.10% -0.59-0.13-0.27 中证腾安 2199.31-16.31% 1.38% 15.42% -16.31% -2.75% -- 34.47% 48.62% -0.11 0.11-0.05 CS 娱乐 2720.42-21.04% 0.54% 15.38% -21.04% -- -- 38.23% -- -- -- -- 500 等权 7405.68-18.39% 1.34% 15.33% -18.39% -12.19% 88.20% 39.06% 49.56% -0.30 0.03-0.13 300 动态 3191.10-17.71% 0.32% 15.28% -17.71% -27.54% 21.91% 35.26% 46.26% -0.65-0.13-0.28 22/25
380 稳定 6139.20-18.60% 1.89% 15.20% -18.60% -13.16% 88.26% 35.43% 52.12% -0.30 0.01-0.15 新华金牛 5749.06-19.41% 0.60% 15.17% -19.41% -21.01% 198.56% 36.64% 43.87% -0.54-0.07-0.22 380 等权 7522.50-18.07% 1.53% 15.11% -18.07% -11.15% 91.62% 38.61% 52.56% -0.26 0.04-0.12 180 高贝 6422.75-16.60% 0.14% 14.96% -16.60% -21.94% 40.82% 34.13% 45.98% -0.53-0.09-0.24 创业价值 1709.80-16.29% 1.64% 14.85% -16.29% -7.80% 110.66% 34.67% 50.41% -0.20 0.06-0.09 100 动态 2751.77-15.56% 0.15% 14.54% -15.56% -30.97% -- 29.85% 44.62% -0.75-0.19-0.36 800 等权 5866.52-17.49% 1.20% 14.37% -17.49% -14.59% 69.45% 35.16% 46.99% -0.36-0.01-0.16 500 动态 4747.95-19.74% 0.97% 14.35% -19.74% -17.96% -- 40.90% 49.39% -0.41-0.03-0.18 380 波动 8911.37-15.50% 1.85% 14.20% -15.50% -9.85% 109.24% 34.47% 52.54% -0.24 0.04-0.12 500 低贝 9331.41-16.71% 1.23% 14.18% -16.71% -7.93% 94.14% 34.81% 47.38% -0.22 0.06-0.10 300 高贝 2936.42-15.84% 0.50% 13.97% -15.84% -21.12% 23.94% 36.66% 47.15% -0.50-0.07-0.22 CS 医药 10399.69-13.80% 1.98% 13.71% -13.80% -- -- 36.77% -- -- -- -- 380 动态 4560.30-19.91% 0.58% 13.63% -19.91% -16.98% 58.76% 40.29% 51.01% -0.38-0.02-0.17 消费等权 5072.68-17.46% 0.83% 13.48% -17.46% -16.65% 20.37% 26.58% 46.85% -0.41-0.04-0.20 工业等权 2909.16-18.99% 0.88% 13.30% -18.99% -24.71% 62.24% 30.39% 49.80% -0.55-0.12-0.27 380 动量 5407.17-21.78% 0.90% 13.29% -21.78% -25.60% -- 36.29% 52.04% -0.54-0.12-0.27 医药等权 7630.88-18.59% 1.56% 12.98% -18.59% -8.61% 46.58% 31.65% 48.42% -0.23 0.05-0.11 180 等权 8312.71-16.16% 0.80% 12.98% -16.16% -20.45% 45.71% 28.47% 44.42% -0.52-0.08-0.24 300 等权 3982.66-15.98% 0.96% 12.87% -15.98% -18.99% 40.02% 29.84% 44.13% -0.49-0.07-0.22 300ERC 4201.36-15.70% 0.93% 12.83% -15.70% -18.65% -- 28.28% 43.10% -0.49-0.07-0.23 富国多空 19893.39-8.66% 0.63% 12.77% -8.66% 1.68% 87.27% 22.77% 43.00% -0.02 0.11-0.01 央视 500 1061.11-14.59% 0.97% 12.68% -14.59% -18.03% -44.89% 26.30% 41.37% -0.50-0.07-0.23 380 基本 6471.23-17.06% 1.10% 12.58% -17.06% -15.82% 82.08% 36.66% 52.16% -0.35-0.02-0.17 50 等权 2157.91-12.79% 0.57% 12.52% -12.79% -21.88% 20.16% 25.99% 41.48% -0.59-0.12-0.30 等权 90 2680.60-13.46% 0.59% 12.49% -13.46% -19.41% 25.11% 25.60% 40.76% -0.54-0.09-0.25 180ERC 3983.39-15.75% 0.81% 12.45% -15.75% -21.28% -- 26.35% 43.42% -0.55-0.10-0.26 200 稳定 5042.45-16.07% 1.09% 12.22% -16.07% -16.66% -- 29.80% 44.30% -0.43-0.05-0.21 180 分层 9426.78-16.30% 0.86% 12.11% -16.30% -20.54% 38.43% 26.71% 44.21% -0.52-0.09-0.25 金融等权 4399.11-11.84% 0.50% 11.94% -11.84% -19.81% 42.91% 24.74% 40.08% -0.56-0.12-0.33 中证龙头 3542.76-14.37% 1.04% 11.82% -14.37% -15.44% 34.81% 22.91% 39.74% -0.45-0.05-0.22 800 动量 2839.71-13.48% 0.84% 11.77% -13.48% -28.92% -- 22.87% 45.05% -0.70-0.19-0.40 材料等权 2694.51-14.00% 1.00% 11.68% -14.00% -23.15% 17.90% 38.52% 51.60% -0.50-0.09-0.24 300 分层 4401.94-14.83% 1.02% 11.57% -14.83% -18.20% 37.36% 28.95% 44.15% -0.47-0.06-0.22 23/25
安中动态 890.03-13.44% 0.86% 11.56% -13.44% -20.10% -- 24.49% 42.45% -0.53-0.10-0.27 光大阳光 4213.53-10.92% 0.44% 11.38% -10.92% -12.05% 28.81% 22.50% 37.92% -0.38-0.04-0.21 300MV 5216.79-11.06% 1.13% 11.26% -11.06% -7.19% -- 20.97% 36.32% -0.27 0.02-0.13 300 低贝 4655.47-13.98% 1.24% 11.20% -13.98% -10.56% 38.88% 24.04% 41.17% -0.32 0.00-0.16 300SER 4480.16-17.37% 0.95% 11.05% -17.37% -20.31% -- 25.07% 43.44% -0.53-0.09-0.25 公用等权 2603.09-19.12% 1.40% 11.03% -19.12% -18.99% 46.31% 28.69% 51.68% -0.42-0.08-0.24 300 动量 2920.88-11.46% 0.64% 10.82% -11.46% -32.13% -- 19.84% 44.93% -0.77-0.24-0.50 180 波动 10568.80-13.03% 0.95% 10.58% -13.03% -17.88% 55.75% 22.80% 41.08% -0.50-0.08-0.26 小康指数 4411.76-14.68% 0.66% 10.52% -14.68% -22.08% 34.41% 25.75% 45.65% -0.54-0.11-0.28 180 动量 2221.23-11.66% 0.51% 10.28% -11.66% -35.03% -- 20.05% 45.43% -0.83-0.27-0.57 180 低贝 8441.85-14.31% 1.24% 10.13% -14.31% -12.48% 37.07% 20.33% 41.99% -0.36-0.03-0.20 300 波动 5471.39-10.75% 1.08% 9.76% -10.75% -13.00% 65.89% 20.85% 39.55% -0.39-0.04-0.21 300 稳定 3181.29-10.92% 0.84% 9.67% -10.92% -12.65% 38.34% 18.21% 36.16% -0.42-0.05-0.24 180 基本 8918.35-11.51% 0.65% 9.56% -11.51% -15.96% 42.65% 21.29% 37.96% -0.49-0.08-0.28 银河 99 5111.98-9.73% 0.32% 9.42% -9.73% -12.06% 41.86% 20.12% 37.14% -0.39-0.05-0.24 50 基本 2336.07-10.07% 0.59% 9.25% -10.07% -15.66% 31.54% 22.00% 37.77% -0.48-0.09-0.31 180 稳定 7369.13-10.29% 0.72% 8.89% -10.29% -15.02% 38.07% 19.83% 35.60% -0.49-0.09-0.30 财富大盘 4046.50-11.17% 0.52% 8.87% -11.17% -10.88% 46.63% 19.49% 36.70% -0.36-0.04-0.21 100 稳定 2981.18-8.00% 0.64% 8.25% -8.00% -6.27% -- 17.59% 34.43% -0.25-0.01-0.17 能源等权 2547.81-10.02% 0.88% 4.51% -10.02% -24.99% -20.45% 32.80% 53.19% -0.52-0.12-0.28 50 反向 1997.96 9.48% -0.40% -10.22% 9.48% -- -- 23.23% -- -- -- -- 180 反向 5263.13 12.12% -0.58% -10.72% 12.12% 12.06% -- 23.32% 39.98% 0.24-0.02-0.12 300 反向 2177.98 12.39% -0.69% -10.94% 12.39% 8.52% -35.52% 23.84% 40.33% 0.15-0.06-0.07 300 日报酬反向 1850.15 12.00% -0.72% -11.04% 12.00% 6.68% -- 23.84% 40.33% 0.10-0.08-0.05 500 反向 1262.31 16.73% -1.42% -14.01% 16.73% -- -- 38.93% -- -- -- -- 50 反两 680.32 15.39% -0.94% -20.16% 15.39% -- -- 46.44% -- -- -- -- 180 反两 1720.12 20.51% -1.31% -21.02% 20.51% 2.28% -- 46.61% 80.00% 0.00-0.24 0.00 300 反两 689.67 20.93% -1.54% -21.41% 20.93% -4.33% -72.43% 47.65% 80.68% -0.08-0.32 0.04 500 反两 174.26 27.19% -3.08% -27.25% 27.19% -- -- 77.80% -- -- -- -- 24/25
表 7: 基本面指数市场数据 指数收益 指数波动 指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 基本 500 7520.15-19.71% 1.31% 16.61% -19.71% -9.93% -- 39.94% 49.68% -0.25 0.05-0.11 上证 F300 7097.93-19.76% 1.21% 14.97% -19.76% -15.59% 75.84% 37.69% 52.06% -0.35-0.01-0.16 基本 400 6393.36-18.19% 1.15% 13.69% -18.19% -15.84% 65.40% 36.30% 49.85% -0.37-0.02-0.17 上证 F500 4181.42-12.49% 0.67% 9.70% -12.49% -15.32% 53.17% 21.17% 38.75% -0.46-0.07-0.25 基本 600 4311.87-12.24% 0.66% 9.48% -12.24% -13.95% 53.88% 21.23% 38.50% -0.43-0.05-0.22 上证 F200 3656.74-11.37% 0.60% 9.01% -11.37% -15.40% 49.22% 20.71% 38.40% -0.47-0.08-0.27 基本 300 4443.22-10.87% 0.68% 8.71% -10.87% -11.99% -- 19.35% 37.31% -0.39-0.04-0.22 基本 200 3683.57-10.75% 0.55% 8.56% -10.75% -13.85% 49.92% 19.93% 37.64% -0.43-0.06-0.25 基本面 50 3163.70-9.05% 0.52% 7.92% -9.05% -10.18% 50.94% 19.07% 36.92% -0.34-0.05-0.24 25/25
定期分析报告 免责声明 本报告所载数据资料, 源自中证指数有限公司认为可靠之出处, 但不保证其准确性或完整性 本报告及其所含任何信息均不构成任何证券 金融产品或其他投资工具或任何交易策略的依据或建议 对任何因直接或间接使用本报告或其所含任何信息而造成的损失, 中证指数有限公司不承担任何法律责任 中证指数有限公司中国上海市浦东新区锦康路 308 号陆家嘴世纪金融广场 6 号楼 13 层邮编 : 200127 电话 : 0086 21 5018 5500 传真 : 0086 21 5018 6368 电邮 : csindex@sse.com.cn 网站 : www.csindex.com.cn