定期分析报告 8 月份市场概要 8 月份国际主要股指表现一般,STOXX 欧洲 600 和日经 225 收跌, 标普 500 收涨 9 月 1 号, 美国非农数据公布,8 月非农就业仅新增 15.6 万, 远低于预期的 18 万, 同样远低于前值 20.9 万, 数据疲软, 加息概率下降 此外, 或

定期分析报告 中证指数 8 月份运行报告 目录 8 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 8 月份市场概要 8 月份国际主要股指表现一般,STOXX 欧洲 600 和日经 225 收跌, 标普 500 收涨 9 月 1 号, 美国非农数据公布,8 月非农就业仅新增 15.6 万, 远低于预期的 18 万, 同样远低于前值 20.9 万, 数据疲软, 加息概率下降 此外, 或受政治因素影响,8 月美元指数持续下跌, 月末人民币兑美元中间价突破 6.60 关口, 报 6.5969 月内, 标普 500 指数 V 字上涨, 月中点数创下 2490.87 点的最高纪录, 月末收至 2471.65, 全月上涨 0.05% 日经 225 指数下跌 1.40%, 香港 100 指数月内实现涨幅为 2.26%,STOXX 欧洲 600 跌幅为 1.05%, 收至 373.88 点 8 月份沪深市场表现喜人, 主要指数皆收红 8 月份官方制造业 PMI 为 51.7%, 比上月上升 0.3 个百分点, 制造业保持稳中向好的发展态势 ; 官方非制造业商务活动指数 53.4%, 较上月回落 1.1 个百分点,10 个月来首次低于 54%, 但始终保持在临界点以上, 非制造业总体延续扩张态势 ; 25 日, 证券交易所一线监管国际研讨会召开, 沪深交易所 纳斯达克 港交所等 11 家交易所就充分发挥交易所一线监管核心功能进行了深入讨论, 刘士余主席在会上发表致辞 ;31 日, 证监会发布 公开募集开放式证券投资基金流动性风险管理规定, 规定聚焦开放式公募基金流动性风险, 将对公募基金系统规范运作带来深远影响, 也有助于其有效防范流动性风险 此外, 国企改革继续推进, 地方国企混改引市场广泛关注 上证综指震荡上行, 收至 3360.81 点, 全月上涨 2.68% 当月上海市场日均成交金额 2398.5 亿元, 环比增加 12.59% 沪深 A 股规模指数中, 大中小盘指数悉数上涨 中证 1000 涨幅最高, 涨幅达 3.16%; 涨幅最低的为中证 200, 涨幅达 2.21%; 沪深 300 指数月内涨幅为 2.25%, 涨幅超过 2% 的指数还包括中证 100 800 全指以及 500, 涨幅分别为 2.27% 2.39% 2.59% 以及 2.74% 创业板全月上涨 6.51%, 中小板指全月上涨 3.85% 8 月份主题及行业指数表现较好 金融科技指数涨幅达 11.21%, 涨幅居首, 中证数据上涨 10.25%, 涨幅第二 ; 在跌幅方面, 有 30 多条主题行业指数呈现下跌态势, 其中中证信托下跌 3.94%, 跌幅居首 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 8 月份沪深市场表现喜人, 主要指数皆收红 8 月份官方制造业 PMI 为 51.7%, 比上月上升 0.3 个百分点, 制造业保持稳中向好的发展态势 ; 官方非制造业商务活动指数 53.4%, 较上月回落 1.1 个百分点,10 个月来首次低于 54%, 但始终保持在临界点以上, 非制造业总体延续扩张态势 ;25 日, 证券交易所一线监管国际研讨会召开, 沪深交易所 纳斯达克 港交所等 11 家交易所就充分发挥交易所一线监管核心功能进行了深入讨论, 刘士余主席在会上发表致辞 ;31 日, 证监会发布 公开募集开放式证券投资基金流动性风险管理规定, 规定聚焦开放式公募基金流动性风险, 将对公募基金系统规范运作带来深远影响, 也有助于其有效防范流动性风险 此外, 国企改革继续推进, 地方国企混改引市场广泛关注 上证综指震荡上行, 收至 3360.81 点, 全月上涨 2.68% 当月上海市场日均成交金额 2398.5 亿元, 环比增加 12.59% 沪深 A 股规模指数中, 大中小盘指数悉数上涨 中证 1000 涨幅最高, 涨幅达 3.16%; 涨幅最低的为中证 200, 涨幅达 2.21%; 沪深 300 指数月内涨幅为 2.25%, 涨幅超过 2% 的指数还包括中证 100 800 全指以及 500, 涨幅分别为 2.27% 2.39% 2.59% 以及 2.74% 上海市场中, 主要指数悉数上涨, 上证 50 涨幅达 2.90%, 居于首位, 其次为上证综指 (2.68%) 上证 180(2.42%), 上证全指上涨 2.39% 创业板全月上涨 6.51%, 中小板指全月上涨 3.85% 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 8 月份沪深 300 指数从上月末 3737.87 点上涨至 3822.09 点, 高点为 3866.94 点, 点数回到 15 年年底水平, 月涨幅 2.25% 8 月份沪深 300 指数日均成交 1491.87 亿元, 环比上涨 2.92% 8 月末沪深 300 指数滚动市盈率为 14.61 倍, 与上月末 14.31 倍水平略有上升 图 6: 沪深 300 指数走势 一级行业指数总体向好, 信息技术行业涨幅居首, 涨幅达到 5.47%, 其次是电信业务 主要消费 原材料以及金融地产涨幅在 3% 以上, 分别为 4.25% 3.70% 3.59% 以及 3.17%, 有三条一级行业指数呈现下跌态势, 跌幅最大的为公用事业, 跌幅达到 1.58%, 其次为能源和可选消费, 跌幅分别为 0.87% 和 0.42% 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 3 / 25

定期分析报告 重分别为 40.85% 14.60% 11.18%, 累计权重 66.63% 电信业务 能源行业权重较低, 分别为 1.92% 和 2.35% 8 月末沪深 300 指数滚动市盈率为 14.61 倍, 市净率为 1.91 倍 从行业来看, 原材料 行业市盈率最高, 滚动市盈率为 37.23, 与上月 36.30 倍水平有所上升 金融地产行业估 值水平最低, 滚动市盈率为 9.27 倍, 市净率为 1.44 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 招商银行 贵州茅台位列前三大权重股, 权重分别为 5.59% 2.54% 和 2.27% 兴业银行权重位列第四, 为 2.03%, 民生银行 格力电器 美的集团位列 5 6 7 位, 权重为 1.83% 1.71% 和 1.71%, 前 10 大权重股权重合计 22.20% 8 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 伊利股份和中国铝业, 分别贡献 15.31 点 5.76 点和 4.70 点, 前 10 只股票合计贡献 50.12 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 8 月份主题及行业指数表现较好 金融科技指数涨幅达 11.21%, 涨幅居首, 中证数据上涨 10.25%, 涨幅第二 ; 在跌幅方面, 有 30 多条主题行业指数呈现下跌态势, 其中中证信托下跌 3.94%, 跌幅居首 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 8 月风格指数全线收涨, 中证 500 成长涨幅居首, 涨幅为 2.91%;380 价值涨幅居末, 涨幅为 0.35% 涨跌幅超过 2% 的指数还有 380 成长 (2.45%) 和 800 成长 (2.22%) 基本面指数同样全线上涨, 其中中证锐联基本面 400 指数上涨 2.53%, 涨幅居首, 中证锐联基本面 200 指数上涨 1.30%, 涨幅居末 ; 涨幅超过 2% 的指数还包括上证基本面 300 指数 (2.10%) 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 8 月份红利系列指数基本全线上涨, 仅有一条指数 ( 上证民企红利指数 ) 下跌, 跌幅为 0.95%;500 红利涨幅居首, 达 1.90%; 涨幅超过 1% 的指数还包括上央红利 (1.66%) 民企红利 (1.60%) 央企红利(1.53%) 上红潜力(1.19%) 中证红利(1.16%) 和 380 红利 (1.14%) 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 4.01% 3.89% 和 3.76% 中小板板块与创业板板块股息率分别为 1.93% 0.5% 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 8 月份波动率加权指数系列的波幅较上月略有下降, 沪深 300 中证 500 波动率加权 指数波幅分别为 8.96% 12.61% 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 8 月份高 低贝塔指数全面收涨, 涨幅最高的为 500 高贝 (3.97%), 涨幅最低的为 180 低贝 (0.88%), 涨幅超过 3% 的指数包括 180 高贝 (3.54%) 300 高贝 (3.78%) 以及 500 高贝 (3.97%) 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 8 月商品期货指数表现较好,9 条指数中仅有一条指数下跌 其中中证能源化工期货成份指数涨幅最高, 达 8.19%, 中证粮油期货成份指数表现最差, 跌幅达 1.86% 其余指数涨幅分别为中证工业品期货成份指数 (7.78%) 中证农产品期货成份指数(0.07%) 中证商品期货成份指数 (3.53%) 中证有色金属期货成份指数(7.20%) 中证贵金属期货成份指数 (1.12%) 以及中证化工材料期货成份指数 (5.61%) 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 3822.09 15.47% 0.69% 2.25% 9.43% 14.85% 63.46% 11.56% 9.97% 15.41 1.66 2.17% 300 金融 6360.78 15.80% 0.93% 3.17% 10.79% 12.95% 78.03% 16.44% 11.60% 9.99 1.23 2.67% 300 消费 11161.08 34.68% 0.98% 3.70% 12.24% 37.46% 102.79% 16.66% 16.19% 29.43 5.05 2.16% 300 能源 1903.91 9.33% 1.17% -0.87% 3.36% 12.82% 6.56% 14.90% 13.25% 34.21 1.23 3.41% 300 公用 1994.78 13.16% -1.30% -1.58% -1.17% 11.43% 48.73% 7.58% 8.96% 16.41 2.08 3.56% 300 可选 5331.89 14.98% -0.49% -0.42% 4.82% 13.06% 46.44% 10.91% 13.39% 17.00 2.46 2.56% 300 电信 3234.84 15.13% -0.14% 4.25% 10.33% 38.22% 73.26% 17.78% 18.68% 67.66 2.56 0.24% 300 工业 2631.58 5.37% 0.56% 0.24% 6.09% 11.46% 61.55% 11.82% 14.33% 21.55 2.00 1.22% 300 信息 2155.15 14.24% 1.26% 5.47% 12.32% 5.18% 42.86% 16.19% 14.86% 37.19 4.10 0.62% 300 医药 8948.36 12.25% -0.56% 0.64% -1.28% 12.78% 72.45% 10.83% 11.39% 32.51 4.28 0.89% 300 材料 2641.80 30.09% 2.23% 3.59% 26.70% 32.61% 62.17% 29.11% 16.91% 40.54 2.34 0.81% 中证 500 6470.43 3.30% 1.95% 2.74% 11.10% 0.56% 46.13% 14.26% 14.19% 34.60 2.64 0.78% 500 金地 5679.67 0.22% 2.69% -0.21% 7.37% -3.21% 65.17% 13.77% 13.71% 23.27 1.94 1.05% 500 消费 8608.79 6.36% 0.93% 2.04% 12.65% 4.45% 45.65% 16.01% 13.73% 38.57 3.21 0.99% 500 能源 4578.98 6.28% 3.62% 7.95% 24.29% 5.82% 26.86% 35.92% 23.75% 53.05 1.93 0.81% 500 公用 3456.01-11.15% 1.52% 2.54% 4.05% -11.31% 31.33% 9.96% 16.26% 22.94 1.52 1.44% 500 可选 5317.89-5.41% 1.10% 1.41% 4.33% -4.83% 37.25% 9.95% 12.42% 30.03 2.52 0.97% 500 电信 4938.71 7.86% 2.42% 5.61% 10.95% 1.53% 58.19% 15.91% 17.74% 46.69 5.05 0.33% 500 工业 6036.82 1.50% 1.28% 2.42% 7.36% 1.06% 38.03% 12.09% 15.63% 35.73 2.71 0.67% 500 信息 7039.16 0.51% 2.68% 6.30% 10.59% -9.61% 45.13% 17.92% 17.49% 40.22 3.26 0.59% 500 医药 11742.89-3.63% 0.33% 2.18% 2.55% -10.40% 26.07% 11.09% 12.88% 32.23 3.32 0.85% 500 原料 5087.32 22.32% 3.54% 2.08% 29.14% 24.43% 66.64% 27.55% 18.67% 42.67 2.50 0.63% 中证全指 4947.92 3.36% 1.24% 2.59% 8.22% 2.23% 56.41% 11.31% 11.66% 21.13 2.07 1.48% 全指金融 6065.71 14.02% 1.08% 2.88% 10.39% 11.01% 76.49% 15.57% 11.06% 10.53 1.27 2.50% 全指消费 9788.10 11.64% 1.49% 3.23% 10.84% 13.24% 67.14% 14.24% 13.29% 29.38 3.96 1.74% 全指能源 2183.77 6.82% 2.32% 2.16% 10.78% 10.29% 11.72% 22.02% 15.88% 35.15 1.31 2.95% 全指公用 2528.53 0.34% 0.17% 0.34% -0.07% -0.36% 40.73% 7.31% 10.66% 18.41 1.80 2.56% 全指可选 5656.08-0.05% 0.31% 0.58% 3.92% -0.96% 43.02% 9.73% 12.33% 23.23 2.59 1.62% 全指电信 6381.96 0.69% 0.65% 3.98% 8.66% 2.89% 65.91% 12.47% 15.05% 57.40 3.13 0.28% 9/25

全指工业 3957.43-2.01% 1.07% 1.75% 5.78% -0.20% 49.52% 10.86% 14.37% 28.92 2.42 0.87% 全指信息 5905.74 0.16% 1.94% 6.22% 8.80% -9.69% 43.56% 16.26% 16.69% 42.16 3.74 0.51% 全指医药 9536.57-0.75% 0.37% 2.17% 1.60% -4.95% 37.44% 9.33% 11.36% 34.82 3.78 0.76% 全指材料 3687.06 12.42% 2.85% 2.62% 21.38% 12.90% 59.85% 23.57% 16.55% 44.26 2.64 0.65% 上证 180 8359.33 15.71% 0.63% 2.42% 9.34% 17.11% 63.68% 11.64% 9.51% 13.72 1.45 2.44% 180 能源 1584.84 9.11% 0.60% -0.30% -0.03% 14.35% -0.35% 11.15% 12.87% 34.30 1.19 3.65% 180 材料 2045.25 35.19% 2.60% 5.67% 36.25% 34.95% 54.40% 34.44% 18.35% 44.63 2.25 0.86% 180 工业 2286.97 7.65% 0.57% -0.52% 5.22% 17.41% 61.82% 12.39% 15.63% 19.52 1.85 1.35% 180 可选 2525.66 7.59% 0.20% -0.71% 1.13% 6.64% 26.90% 9.54% 12.16% 13.65 1.93 3.36% 180 消费 8158.71 35.43% 0.56% 4.99% 13.52% 42.19% 113.09% 17.57% 15.66% 35.49 5.71 1.57% 180 医药 4881.71 16.41% -1.30% 1.21% -0.40% 17.10% 65.28% 11.91% 11.76% 32.91 3.89 1.01% 180 金地 5283.04 16.86% 0.79% 3.27% 10.65% 15.59% 78.47% 16.17% 11.27% 9.57 1.17 2.76% 180 信息 2600.26-2.14% 0.78% 4.97% 5.36% -10.84% 24.76% 12.64% 14.25% 23.78 3.93 0.96% 180 电信 2307.52 7.92% -1.52% 4.78% 5.25% 45.15% 68.49% 30.01% 25.35% 76.22 2.35 0.13% 180 公用 1825.02 9.95% -1.29% -1.29% -1.23% 7.38% 48.13% 7.85% 8.68% 16.99 2.09 3.54% 上证 380 5627.36 1.53% 1.52% 1.89% 8.84% 0.01% 50.71% 12.91% 13.56% 27.01 2.49 1.23% 380 能源 1678.20 1.18% 3.90% 1.84% 14.15% 3.68% 37.12% 30.62% 20.44% 34.78 1.77 0.70% 380 材料 4502.49 16.12% 3.05% 1.67% 21.76% 22.41% 55.90% 24.54% 16.64% 32.80 2.46 0.84% 380 工业 6137.02 0.44% 1.69% 2.58% 9.65% -2.05% 52.49% 13.03% 16.07% 27.05 2.32 1.21% 380 可选 5883.01-1.64% 0.70% -0.17% 2.99% -1.31% 55.38% 9.77% 11.26% 25.27 2.64 1.48% 380 消费 7754.90 5.78% 0.31% 1.64% 10.42% 4.85% 53.30% 16.40% 13.97% 34.07 3.56 1.17% 380 医药 10090.04-4.21% 0.26% 1.75% 1.96% -7.11% 31.81% 9.49% 12.04% 30.01 3.44 1.23% 380 金融 4912.39-7.56% 1.47% 3.21% 5.13% -11.66% 45.28% 10.20% 13.55% 13.70 1.49 1.32% 380 信息 5567.09-4.67% 1.74% 4.70% 6.90% -13.60% 41.29% 15.31% 17.87% 35.85 3.83 0.85% 380 电信 6692.14 13.90% 0.17% 5.67% 14.99% 4.05% 136.29% 22.44% 22.44% 33.72 4.10 0.79% 380 公用 2269.49-2.01% 0.71% -0.14% 0.36% -3.60% 35.52% 9.21% 14.70% 19.63 1.79 2.18% 中证超大 3247.75 16.04% 0.37% 1.00% 6.59% 21.89% 75.31% 12.03% 10.61% 11.96 1.33 2.88% 中证 100 3761.80 20.01% 0.33% 2.27% 9.18% 21.17% 76.26% 12.13% 10.22% 13.40 1.47 2.56% 中证 200 4383.69 7.45% 1.39% 2.21% 9.90% 4.15% 43.19% 13.40% 12.02% 25.81 2.52 1.15% 中证 700 5317.17 5.21% 1.69% 2.49% 10.53% 2.21% 44.83% 13.73% 12.97% 29.72 2.58 0.96% 中证 800 4278.99 11.83% 1.04% 2.39% 9.89% 10.51% 58.45% 11.68% 10.38% 17.61 1.81 1.85% 300 沪市 3521.39 15.87% 0.57% 2.43% 9.09% 17.45% 66.96% 11.66% 9.56% 13.80 1.46 2.42% 10/25

500 沪市 6574.19 4.09% 2.04% 2.09% 12.89% 2.21% 44.73% 14.97% 14.16% 33.22 2.42 0.94% 超大盘 2397.33 13.25% -0.07% 1.13% 6.54% 23.59% 61.93% 10.72% 11.35% 17.21 1.53 2.05% 上证 50 2714.63 18.70% 0.31% 2.90% 9.50% 21.58% 71.67% 13.49% 10.54% 12.13 1.30 2.79% 上证中盘 3604.86 10.89% 1.16% 1.63% 9.09% 10.13% 50.85% 11.74% 9.93% 19.50 1.96 1.68% 上证小盘 4814.56 3.26% 1.72% 2.31% 10.93% 1.02% 50.10% 14.39% 14.15% 30.93 2.39 1.07% 上证中小 4158.36 7.06% 1.43% 1.96% 9.97% 5.55% 50.43% 12.85% 11.47% 23.53 2.14 1.39% 上证全指 3332.52 12.27% 0.90% 2.39% 9.75% 12.58% 60.40% 11.47% 9.64% 15.54 1.59 2.14% 上证 100 6103.98 0.44% 1.18% 1.48% 6.25% -1.44% 44.28% 11.43% 12.73% 23.25 2.84 1.43% 上证 150 5829.74-11.61% 2.14% 3.62% 12.13% -10.16% 49.20% 14.62% 17.15% 59.28 3.34 0.37% 市值百强 2735.94 17.15% 0.53% 2.89% 9.63% 19.11% 67.37% 12.38% 9.95% 12.89 1.36 2.59% 上证能源 1699.64 8.75% 2.22% 0.97% 9.62% 12.15% 10.72% 20.87% 14.72% 34.75 1.26 3.15% 上证材料 2322.86 29.91% 2.95% 4.32% 31.00% 31.89% 57.04% 30.35% 16.87% 41.14 2.31 0.80% 上证工业 2443.46 6.54% 0.58% -0.30% 5.52% 15.15% 73.11% 12.42% 15.11% 19.92 1.87 1.36% 上证可选 2842.00 4.12% 0.34% -0.27% 1.31% 4.39% 33.46% 8.35% 10.46% 17.56 2.26 2.49% 上证消费 7553.80 19.34% 1.23% 3.10% 13.83% 22.98% 74.59% 16.96% 13.78% 35.80 4.65 1.43% 上证医药 6322.13 6.18% -0.61% 1.72% 1.35% 4.83% 49.48% 9.69% 10.18% 31.95 3.73 1.08% 上证金融 5132.96 20.12% 0.43% 3.33% 11.29% 18.45% 81.14% 17.04% 11.82% 9.08 1.13 2.89% 上证信息 3531.13-5.61% 1.27% 5.62% 8.28% -13.57% 24.22% 13.98% 15.32% 32.07 3.83 0.81% 上证电信 3215.01 4.53% 0.12% 4.40% 9.41% 4.05% 70.27% 15.37% 17.04% 59.02 2.75 0.27% 上证公用 2232.34 3.69% -0.39% -0.96% -1.40% 1.88% 37.47% 7.25% 9.42% 17.39 1.93 3.08% 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 商业指数 3814.49-7.56% 4.00% 5.65% 4.76% -14.51% 39.66% 15.29% 16.65% 20.26 2.00 1.16% 综合指数 3102.14 15.30% -0.21% 3.61% 9.30% 13.85% 65.13% 13.98% 9.52% 10.56 1.27 2.48% 中证流通 5255.83 3.18% 1.36% 2.85% 8.31% 2.20% 58.88% 11.36% 11.84% 21.46 2.10 1.44% B 股指数 345.20 1.00% 1.78% 2.79% 7.55% -2.71% 36.47% 7.91% 12.07% 20.24 1.35 0.24% 新综指 2838.03 8.33% 0.88% 2.68% 7.82% 8.96% 51.66% 10.30% 9.47% 17.15 1.72 1.89% 11/25

上证指数 3360.81 8.29% 0.88% 2.68% 7.82% 8.92% 51.58% 10.28% 9.46% 17.17 1.72 1.88% A 股指数 3519.72 8.31% 0.88% 2.68% 7.82% 8.97% 51.65% 10.30% 9.47% 17.16 1.72 1.89% 上证流通 1226.09 7.38% 1.15% 2.58% 9.23% 8.40% 59.86% 11.26% 10.23% 17.15 1.72 1.89% 中型综指 1382.77-12.00% 1.57% 2.47% 5.16% -11.41% 38.35% 11.20% 15.87% 43.04 3.45 0.64% 工业指数 2629.38 5.75% 1.40% 2.19% 8.15% 6.96% 40.17% 12.03% 11.02% 30.62 2.27 1.56% 公用指数 6349.36 6.18% 0.98% 1.06% 3.59% 14.05% 73.54% 11.21% 12.34% 21.95 1.82 1.49% 地产指数 7144.20 8.83% -0.52% -0.93% 3.23% 18.33% 107.65% 13.95% 18.13% 12.33 1.63 2.41% 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 中证高新 100 12,688 7,285 1663.11-8.30% 2.16% 8.79% 8.46% -15.99% 51.25% 52.60 4.01 中证软件 100 17,379 8,718 7909.47-9.91% 1.11% 8.40% 7.49% -22.24% -- 44.82 3.90 CS 计算机 100 16,915 9,038 7150.63-2.75% 0.94% 8.31% 9.54% -13.97% -- 39.10 3.56 上证高新 50 8,894 4,836 1514.55-4.90% 2.04% 7.70% 10.07% -12.49% 16.90% 39.74 3.73 信息安全 100 14,265 8,263 1600.16-6.29% 0.45% 7.57% 10.55% -14.99% -- 44.36 3.63 中证保险 20 39,249 14,064 2173.84 36.25% 1.12% 6.98% 21.68% 39.00% -- 26.08 1.68 互联金融 64 25,844 15,558 3007.37-2.36% 3.23% 6.91% 11.89% -8.24% -- 14.89 1.70 中证安防 35 6,744 3,096 2842 6.83% 1.92% 6.67% 9.66% -4.57% -- 30.70 5.18 300 非银 35 37,802 19,831 10247.98 20.46% 3.45% 6.52% 15.92% 17.81% 81.48% 25.38 2.26 中证安全 90 13,460 6,649 2786.98 3.22% 1.57% 6.44% 4.89% -3.48% 51.52% 32.89 4.22 军工信息 150 22,809 12,323 2453.05-12.77% 0.90% 6.40% 5.92% -19.98% -- 50.84 3.30 中证证保 37 37,758 19,739 1074.51 16.91% 4.32% 6.36% 15.42% 13.49% -- 26.02 2.25 TMT 150 150 35,908 18,659 1920.5 4.43% 1.73% 6.19% 10.74% -3.04% 44.01% 38.27 3.41 沪智家居 42 7,810 4,201 2889.56-5.43% 2.06% 6.13% 10.54% -13.48% -- 27.33 3.07 中证 TMT 100 31,847 16,666 2115.46-1.24% 1.82% 6.01% 8.23% -9.74% 36.70% 36.63 3.29 细分有色 50 13,931 7,061 6272.32 30.78% 5.07% 5.97% 39.40% 27.53% 52.35% 91.81 3.77 800 证保 40 39,012 20,508 6624.74 16.74% 4.21% 5.87% 15.03% 13.71% 78.94% 25.84 2.27 300 有色 12 6,910 3,215 4452.97 36.74% 4.80% 5.87% 43.33% 34.08% 60.16% 94.96 3.68 沪智交通 19 2,995 1,675 1929.19-8.01% 0.87% 5.86% 9.05% -12.56% 30.55% 25.05 2.63 有色金属 50 14,914 7,582 5700.87 34.12% 4.59% 5.84% 41.77% 27.99% 53.66% 85.25 3.74 智能家居 100 31,108 17,195 2890.21 0.05% 1.37% 5.79% 8.87% -8.83% -- 29.32 3.49 12/25

工业 4.0 36 5,954 3,590 2616.94 2.38% 1.87% 5.79% 14.96% -5.48% -- 50.76 4.05 智能资产 180 23,717 13,160 10366.28-6.29% 2.49% 5.75% 6.52% -10.40% 64.99% 29.90 3.55 保险主题 20 41,207 14,543 2251.99 38.07% 0.29% 5.61% 20.72% 41.34% -- 24.57 1.68 CS 汽车 AM 50 18,008 11,045 2364.58 7.39% 1.37% 5.53% 10.72% 1.26% -- 18.85 2.34 沪互金融 19 15,871 10,662 2857.35-1.56% 2.26% 5.43% 11.60% -8.46% -- 11.79 1.52 优势资源 42 29,792 6,750 4508.71 31.24% 4.42% 5.40% 37.88% 29.36% 59.22% 65.13 1.63 CS 京津冀 50 15,499 7,060 2511.65 15.88% 0.10% 5.35% -1.68% 13.40% -- 18.01 1.96 上证 TMT 50 10,981 5,535 2105.13-13.63% 1.59% 5.32% 6.20% -19.25% 39.60% 35.58 2.99 有色产业 35 11,812 6,083 2451.97 32.47% 4.52% 5.12% 40.43% 29.70% 55.56% 90.74 3.74 中证钢铁 39 9,157 3,677 1593.03 22.70% 4.90% 4.93% 21.99% 32.61% -- 39.57 1.72 智慧城镇 100 27,418 14,127 2291.9 4.37% 1.54% 4.88% 10.66% -4.99% 31.41% 32.38 3.43 300 信服 59 27,897 13,685 2244.17 9.88% 1.20% 4.84% 10.39% 2.64% 29.86% 36.23 3.54 新材料 50 15,068 8,097 3628.28 34.84% 3.27% 4.81% 37.17% 28.57% -- 48.94 3.58 智能交通 50 13,042 6,607 2592.82 10.84% 1.30% 4.80% 11.92% 3.76% 53.59% 33.35 3.56 信息产业 100 39,072 18,916 5336.43 7.81% 1.55% 4.77% 9.56% -0.41% 35.84% 35.72 3.56 CS 稀金属 19 5,420 2,477 1782.99 60.12% 5.89% 4.73% 55.52% 44.17% -- 133.79 6.16 沪信息业 50 13,059 6,571 4411.57-2.72% 0.70% 4.64% 6.83% -6.58% 21.92% 33.00 3.10 上证资源 50 37,394 8,006 2383.13 23.99% 3.73% 4.62% 29.91% 23.90% 35.12% 41.48 1.51 移动互联 100 29,926 15,306 2480.96 2.56% 1.57% 4.59% 10.60% -6.30% -- 32.96 3.62 CS 轻资产 100 84,572 41,315 5249.67 19.51% 1.40% 4.38% 9.48% 16.70% -- 28.43 3.15 180 资源 16 29,420 4,720 3014.06 30.20% 2.87% 4.36% 28.81% 29.39% 31.33% 41.20 1.38 互联网 150 59,298 32,150 2888.19 7.65% 1.38% 4.33% 10.55% 2.03% -- 21.55 2.30 沪智慧城 50 10,540 5,699 2144.16-2.45% 2.00% 4.32% 10.03% -8.31% 21.04% 26.14 2.80 细分农业 50 7,074 3,399 5040.45-11.41% 1.90% 4.24% 8.10% -13.00% 18.22% 20.33 3.09 内地资源 50 38,044 9,146 3192.62 28.97% 3.65% 4.24% 31.84% 27.41% 40.18% 45.33 1.57 内地农业 33 7,867 4,699 4857.22 5.71% 1.64% 4.23% 13.18% 3.78% 33.73% 26.80 2.91 上证上游 50 37,418 8,003 2679.36 22.58% 3.46% 4.19% 26.82% 22.71% 35.84% 41.42 1.50 煤炭指数 23 8,279 2,320 3114.8 24.39% 4.24% 4.19% 27.78% 23.29% 61.79% 26.35 1.45 上证海外 45 117,911 33,955 1315.89 23.55% 0.89% 4.17% 12.29% 24.83% 77.52% 12.50 1.26 军工指数 49 9,071 4,649 1284.11-10.25% 0.07% 4.13% 7.38% -16.84% 25.80% 73.06 3.10 中证煤炭 28 8,990 2,542 1961.65 24.33% 4.55% 4.13% 30.08% 21.49% -- 27.11 1.49 机器人 45 5,871 2,952 1410.88-2.57% 3.37% 4.12% 10.47% -5.59% -- 48.80 3.63 电子产业 145 44,787 24,208 3575.79 14.58% 0.93% 4.11% 11.01% 9.76% 59.62% 32.93 3.60 中证医疗 46 4,640 2,421 6900.56-14.05% 2.23% 4.06% 0.48% -22.28% -- 47.90 4.74 上证商品 50 38,590 8,671 2132.43 25.92% 3.22% 3.96% 30.11% 26.90% 46.61% 40.55 1.52 13/25

煤炭等权 28 8,990 2,542 2651.3 22.21% 5.13% 3.91% 34.65% 22.26% -- 27.11 1.49 稀土产业 31 6,582 3,557 1761.93 16.94% 3.29% 3.82% 31.45% 9.68% -- 76.68 2.92 CS 电子 100 24,694 12,149 5950.64 14.27% 2.19% 3.78% 11.18% 6.33% -- 35.96 3.49 资源 50 50 39,172 8,995 2946.54 26.07% 3.13% 3.77% 29.38% 26.69% 45.65% 40.17 1.54 内地金融 50 103,781 37,828 6728.11 17.26% 0.96% 3.77% 12.13% 15.61% 78.45% 9.64 1.17 细分金融 50 105,294 37,897 6398.24 17.17% 0.95% 3.75% 11.95% 15.39% 77.53% 9.72 1.18 上证周期 50 123,365 39,532 3277.9 19.38% 0.84% 3.75% 11.71% 18.86% 68.55% 11.36 1.19 800 金融 62 107,245 39,641 6409.44 17.42% 1.15% 3.69% 12.22% 15.67% 78.17% 9.87 1.19 消费领先 100 99,798 39,938 7316.12 10.95% 0.38% 3.60% 7.06% 11.97% 56.32% 11.68 1.45 中证军工 67 10,688 5,298 9394.64-12.30% -0.11% 3.58% 4.70% -17.45% 21.41% 69.28 3.07 180 金融 41 95,628 34,683 5391.54 19.04% 0.80% 3.57% 11.50% 18.01% 80.92% 9.38 1.15 中证国防 38 6,509 3,072 1417.13-12.21% -0.62% 3.56% 9.38% -20.16% 20.28% 63.56 3.25 中证上游 50 38,787 9,132 3018.71 25.97% 3.25% 3.54% 28.61% 25.53% 33.76% 43.26 1.57 中证海洋 74 14,178 6,180 1500.49-7.83% 1.17% 3.48% 5.57% -7.04% -- 40.09 2.44 中证传媒 50 14,437 6,072 1865.66-11.05% 1.90% 3.46% 2.79% -23.09% 9.80% 32.85 3.46 CS 智消费 100 30,462 16,220 2611.13 11.54% 0.40% 3.42% 7.39% 6.26% -- 23.23 3.15 中证环保 100 23,483 11,300 1761.54 0.22% 1.35% 3.41% 5.99% -2.20% 32.17% 27.15 2.79 沪互联网 93 28,811 17,236 2091.36 2.78% 0.62% 3.36% 8.48% 1.83% -- 16.42 1.88 环保 50 50 16,789 7,770 1868.92 7.75% 0.79% 3.34% 7.68% 6.31% -- 25.41 2.85 中证新兴 100 50,288 25,088 8287.84 8.04% 0.90% 3.31% 10.52% 3.07% 41.04% 28.83 3.34 消费服务 100 131,294 48,626 7186.12 14.09% 0.19% 3.28% 7.33% 11.73% 56.36% 12.02 1.50 中证民企 2140 227,676 107,495 2283.32-4.26% 1.65% 3.24% 6.40% -6.83% 55.68% 34.51 3.31 中部崛起 44 16,727 6,570 3659.47 17.56% 0.40% 3.24% 13.01% 15.57% 49.09% 26.92 2.69 中证文体 100 20,647 9,018 2280.16-9.67% 0.96% 3.19% 4.19% -19.16% -- 33.19 3.38 健康产业 100 27,974 14,419 1974.92 1.17% 0.72% 3.17% 3.47% -0.24% 45.74% 28.67 3.99 钢铁产业 12 5,975 2,279 1124 37.50% 4.46% 3.16% 25.39% 49.90% 69.77% 36.99 1.44 A 股资源 50 39,400 9,229 5119.54 23.75% 3.44% 3.16% 31.18% 22.78% 44.66% 41.85 1.55 非周民企 100 44,205 22,337 1434.14 12.90% 0.92% 3.11% 8.68% 6.57% -- 27.98 3.63 上证央企 50 118,684 28,853 1646.32 16.72% -0.09% 3.10% 8.55% 20.53% 68.54% 12.76 1.26 内地运输 30 14,796 4,478 1853.31 15.45% 2.01% 3.09% 6.85% 15.38% 80.60% 26.54 2.37 300 周期 115 163,882 55,479 3857.05 17.51% 1.21% 3.05% 11.90% 15.58% 69.48% 12.41 1.29 中证文化 50 15,485 6,569 2263.41-5.71% 0.70% 3.05% 5.81% -16.98% 11.26% 32.25 3.50 黄金采掘 9 2,379 1,192 1312.92-4.62% 1.99% 2.95% 13.14% -12.36% -- 53.74 3.36 大宗商品 95 47,644 14,045 4994.65 17.72% 3.67% 2.92% 28.72% 19.78% 65.71% 39.84 1.69 浙江民企 293 31,674 14,178 8534.32-6.51% 1.58% 2.91% 6.32% -9.21% 53.65% 33.19 3.35 14/25

长三角 51 37,019 17,694 4519.76 12.40% 0.96% 2.89% 6.82% 13.42% 68.40% 17.69 1.92 沪珠三角 43 36,624 21,073 5511.8 26.01% 0.30% 2.89% 11.90% 25.64% 99.06% 15.93 2.03 中证央企 333 169,454 51,860 2041.23 11.13% 0.52% 2.84% 9.23% 11.99% 66.68% 15.03 1.48 技术领先 200 62,152 29,443 6820.05 0.76% 1.22% 2.84% 6.98% -4.11% 33.63% 32.79 3.26 食品饮料 50 17,797 8,523 11579.27 24.25% 1.37% 2.77% 13.00% 25.44% 83.02% 33.46 5.00 船舶产业 4 2,208 947 1731.42-11.54% -0.06% 2.72% 3.13% -4.89% 18.18% 101.05 2.09 文体休闲 50 15,860 6,739 1245.2-6.64% 0.61% 2.71% 4.95% -17.56% 14.38% 29.14 3.26 180 运输 9 7,775 2,581 1148.84 24.80% 2.67% 2.71% 6.46% 26.78% 54.27% 21.35 1.90 细分食品 50 17,289 8,496 11537.91 25.48% 1.42% 2.70% 13.15% 27.88% 90.42% 34.28 5.04 资源优选 200 70,165 23,821 2738.19 17.70% 2.84% 2.68% 22.08% 17.76% -- 38.50 1.81 沪投资品 50 23,912 9,463 4919.99 20.19% 2.99% 2.65% 25.46% 22.81% 46.77% 37.59 2.19 央企 100 100 142,886 39,162 1814.47 15.31% 0.24% 2.63% 8.55% 16.56% 70.97% 13.62 1.37 沪长三角 49 31,442 14,902 3429.23 9.59% 0.90% 2.59% 6.47% 12.15% 66.31% 16.39 1.71 上证养老 40 27,863 14,912 9393.69 0.55% 0.65% 2.59% 3.41% 1.22% 38.64% 27.55 2.93 东北振兴 38 9,549 5,322 4495.94 4.54% 1.73% 2.58% 10.76% 5.42% 30.68% 23.45 2.16 上证下游 183 58,586 25,555 3875.23 8.93% 0.68% 2.57% 5.80% 9.58% 54.06% 24.51 2.64 上证军工 24 5,729 2,707 7866.08-9.39% -0.53% 2.56% 8.24% -12.47% 17.79% 76.94 2.76 绿色城镇 100 28,559 13,565 1987.38 12.52% 0.91% 2.54% 11.95% 8.28% 49.34% 23.77 2.80 浙企综指 346 42,560 18,740 7390.2-2.86% 1.54% 2.53% 6.77% -5.19% 59.21% 28.70 3.02 医药 100 100 23,324 11,678 12945.79-3.14% 0.96% 2.52% 1.42% -8.55% 36.50% 33.76 3.96 中证核电 46 8,602 3,709 3173.11 2.73% 1.76% 2.49% 10.14% 3.85% -- 30.11 2.17 上证健康 50 12,230 6,902 1414.99-0.46% 0.61% 2.49% 0.94% -2.34% 41.46% 34.12 3.87 农业主题 40 6,727 3,685 1208.69-1.48% 1.70% 2.45% 10.97% 1.24% 40.75% 29.78 3.48 上证新兴 50 25,953 12,624 7233.45 9.26% 0.81% 2.45% 14.60% 7.23% 46.21% 26.77 2.84 中证高装 200 47,053 23,608 5091.8 4.63% 1.65% 2.44% 10.54% 1.37% -- 38.94 3.07 CS 土改农 29 3,815 1,851 1109.93-7.38% 1.29% 2.41% 6.38% -6.63% -- 32.52 2.28 新能源 50 13,727 7,232 1690.91 12.06% 2.52% 2.40% 18.35% 7.50% 27.99% 34.65 3.21 中小医疗 80 5,490 3,010 12290.15-14.76% 1.05% 2.38% 1.86% -19.52% -- 38.72 3.21 中证体育 29 2,459 1,339 2049.52-18.29% 0.91% 2.37% 1.38% -22.93% -- 41.46 2.83 CS 食品饮 83 19,781 9,609 10413.48 17.00% 1.25% 2.37% 11.85% 18.06% -- 34.02 4.77 资源 80 80 46,832 13,539 3580.41 21.70% 2.69% 2.36% 25.42% 22.93% 50.24% 40.32 1.69 内地低碳 50 18,867 8,761 1390.61 15.19% 1.09% 2.36% 11.85% 10.84% 44.19% 25.96 2.91 中证下游 200 89,309 39,526 5182.24 11.85% 0.33% 2.35% 6.37% 9.34% 53.08% 25.92 3.07 城镇交通 100 36,783 16,875 2346.5 10.97% 1.32% 2.33% 11.49% 7.30% 63.87% 22.22 2.56 沪股通 574 268,041 101,173 3085.44 11.75% 0.88% 2.31% 9.23% 12.27% 72.90% 15.44 1.60 15/25

泛珠三角 46 48,462 28,582 7810.52 30.46% 0.18% 2.29% 12.49% 30.00% 109.52% 16.51 2.33 物流产业 23 10,817 3,012 1584.71 12.45% 1.30% 2.29% 10.18% 14.71% 61.19% 29.39 2.68 沪西部 36 15,019 7,417 5629.67 9.07% 1.58% 2.29% 12.16% 7.71% 38.34% 29.61 3.55 中证新能 80 18,039 9,506 1829.66 7.26% 2.15% 2.28% 15.47% 1.81% -- 34.81 2.94 民企 200 200 75,796 36,412 1724.78 7.50% 1.18% 2.27% 8.32% 2.37% 42.82% 25.69 3.13 CS 上海 49 13,430 6,273 2711.25-4.85% 1.82% 2.21% 5.84% -9.28% -- 23.57 2.15 上证国企 100 165,460 51,060 1070.58 14.44% 0.51% 2.20% 8.50% 16.78% 64.36% 12.81 1.32 钱江 30 30 12,437 5,109 1264.65 17.46% 1.20% 2.17% 8.80% 11.86% 52.37% 18.15 3.02 上证环保 40 11,993 5,154 1602.27 0.81% 1.85% 2.15% 5.63% -2.22% 25.55% 23.26 2.64 上证龙头 71 125,426 37,248 3394.32 11.58% 0.98% 2.15% 5.83% 13.51% 64.42% 14.06 1.45 中证国企 1024 301,837 114,050 1342.49 9.19% 1.09% 2.14% 9.49% 10.15% 61.56% 16.78 1.64 大消费 360 103,380 49,415 8338.26-3.93% 0.94% 2.10% 4.53% -7.10% 37.97% 25.93 3.16 优势消费 50 20,811 10,415 6083.47 9.02% -0.02% 2.07% 4.07% 8.23% 51.41% 33.45 4.55 上国改革 50 45,335 17,074 1642.18 11.72% 0.80% 2.06% 6.61% 16.76% -- 17.48 1.78 中证服务 300 199,137 77,728 4424.57 4.88% 0.65% 2.05% 5.52% 2.31% 57.40% 12.97 1.51 医药生物 100 23,417 11,465 9342.22 2.89% 0.23% 2.05% 1.17% -0.93% 40.41% 34.69 3.95 医药主题 50 11,607 5,925 9768.36-4.84% 0.10% 2.05% 1.87% -7.90% 36.51% 31.41 3.67 CS 智慧农 39 4,491 2,568 1387.34-9.36% 0.92% 2.03% 3.42% -14.49% -- 27.39 2.20 中证城镇 250 117,955 55,874 2022.99 12.58% 0.51% 1.96% 8.44% 10.42% 64.39% 21.93 2.74 上证城镇 234 77,578 35,506 2030.69 8.63% 0.55% 1.95% 7.86% 8.96% 50.81% 20.89 2.40 西部开发 43 19,542 8,972 6729.35 10.77% 1.51% 1.95% 11.39% 11.49% 47.79% 25.59 3.36 沪绿色城 50 14,476 6,121 1995.93 13.42% 0.60% 1.93% 11.64% 11.78% 46.78% 19.88 2.43 上证移动 50 12,378 6,318 2155.12-2.23% 0.38% 1.93% 7.07% -6.80% 25.43% 24.43 2.67 消费 80 80 36,236 15,932 4208.38 13.90% 0.12% 1.89% 4.27% 15.20% 55.07% 23.01 3.08 沪城消费 50 29,399 13,263 1617.23 14.94% 0.09% 1.88% 4.02% 16.29% 46.18% 21.89 2.92 上证沪企 50 36,915 16,102 2467.38 8.62% 1.19% 1.87% 5.87% 10.97% 56.42% 13.97 1.51 180 治理 100 143,945 48,433 985.12 16.41% -0.15% 1.87% 8.99% 19.34% 65.95% 13.27 1.36 国企 200 200 219,311 74,953 1146.15 15.53% 0.69% 1.85% 9.08% 16.71% 68.30% 14.32 1.47 沪大农业 50 6,486 2,790 1374.36-4.42% 1.49% 1.84% 10.81% 1.49% 41.54% 38.35 2.77 治理指数 298 173,065 62,033 1092.3 13.35% 0.31% 1.82% 9.41% 15.41% 64.94% 14.42 1.44 责任指数 100 77,705 36,264 1427.8 17.53% -0.26% 1.76% 8.97% 20.14% 78.77% 12.79 1.49 中证旅游 19 2,954 1,312 4049.07-1.21% 1.03% 1.74% 4.17% -6.16% -- 19.93 2.45 中小国改 100 16,587 7,460 1695.6 5.04% 1.67% 1.72% 9.69% 2.43% -- 25.98 2.04 轻工产业 76 31,167 16,760 4029.57 26.65% 0.45% 1.69% 10.63% 29.32% 86.98% 26.78 3.93 上证文化 50 7,900 3,259 1780.37-11.08% 1.54% 1.68% 1.89% -13.66% -4.41% 29.10 2.90 16/25

沪环渤海 44 75,890 13,542 2429.43 12.75% -0.95% 1.64% 4.48% 13.63% 51.51% 13.39 1.33 上证休闲 50 7,878 3,251 1173.96-11.18% 1.59% 1.63% 1.71% -13.83% 0.29% 28.75 2.89 CS 新能车 73 12,446 6,668 2382.26 10.38% 2.21% 1.59% 20.40% 0.93% -- 36.68 3.69 细分能源 50 30,243 4,677 2310.26 6.07% 2.06% 1.59% 9.80% 9.76% 11.92% 35.30 1.30 中证中游 250 82,156 39,755 3438.76 10.44% 1.19% 1.58% 10.61% 12.22% 54.92% 27.06 2.36 CS 福建 26 8,596 4,913 2094.59 8.43% 2.84% 1.57% 17.05% 4.27% -- 12.51 1.45 中证地企 691 132,382 62,190 1425.57 7.67% 1.58% 1.57% 9.69% 8.70% 57.40% 19.81 1.91 沪东北 31 8,608 4,953 4122.63 8.89% 1.03% 1.56% 13.44% 9.85% 40.38% 28.98 2.67 细分医药 50 16,769 8,180 8994.4 7.92% -0.30% 1.51% 0.95% 5.24% 50.55% 32.85 4.02 兴证海西 183 23,205 12,044 1566.2-0.32% 1.03% 1.50% 6.38% -1.87% 57.60% 21.10 2.19 300 非周 185 115,705 53,003 4067.72 13.40% 0.16% 1.43% 6.94% 14.09% 56.54% 23.53 2.76 沪中部 37 10,139 4,895 3706.48 17.37% 0.75% 1.43% 9.49% 18.59% 49.99% 24.34 2.06 消费 50 50 26,783 11,479 6844.85 11.97% 0.34% 1.42% 4.58% 13.61% 51.34% 20.53 2.74 CS 休闲娱 100 18,256 7,228 5263.29-10.08% 1.70% 1.31% 0.52% -17.07% -- 28.68 3.09 高端装备 60 14,655 7,164 8436.05-5.35% 0.72% 1.30% 7.45% -6.12% 34.03% 40.57 2.55 国企改革 100 59,758 23,974 1572.92 11.93% 0.53% 1.28% 6.14% 15.59% 44.69% 19.32 1.93 城镇消费 100 60,893 27,327 1666.05 18.63% 0.14% 1.26% 5.93% 18.96% 61.40% 23.61 3.41 上证民企 50 22,999 12,450 1684.36 10.72% 0.83% 1.21% 9.56% 8.13% 51.24% 20.00 2.51 沪消费品 50 19,748 9,392 7432.39 10.13% -0.25% 1.20% 2.80% 10.26% 64.24% 34.07 4.23 精工制造 200 65,744 28,692 3169.1 3.37% 0.95% 1.19% 7.47% 4.66% -- 25.20 2.30 CS 能源互 50 8,338 4,698 1687.64-0.63% 1.27% 1.18% 7.91% -3.55% -- 28.94 2.86 内地银行 22 68,233 19,132 6319.41 14.13% -1.32% 1.16% 8.26% 12.97% 75.71% 7.29 0.94 ESG 100 100 149,249 56,465 1217.61 19.89% 0.57% 1.10% 10.37% 23.28% 85.30% 11.22 1.39 纺织产业 22 3,583 1,566 2015.78 0.23% 2.40% 1.07% 6.93% 0.92% 55.34% 22.96 2.20 上证地企 50 46,776 22,207 1155.42 11.67% 1.31% 1.04% 8.42% 12.27% 58.70% 12.95 1.51 装备产业 88 22,197 11,236 2011.73 0.76% 0.93% 1.02% 8.56% 2.10% 25.38% 37.69 2.53 地企 100 100 76,425 35,790 1207.88 15.76% 1.17% 1.00% 9.67% 16.85% 64.87% 15.83 1.73 CS 西部 35 4,717 2,497 1636.91 6.50% 2.75% 0.97% 14.85% 11.04% -- 30.87 2.30 内地消费 50 39,609 18,600 7087.59 24.04% 0.02% 0.97% 7.62% 23.69% 66.04% 20.04 3.10 上证银行 21 65,636 17,775 879.43 13.41% -1.45% 0.94% 7.47% 12.38% 75.19% 7.26 0.93 中证白酒 18 12,497 5,410 4788.58 41.65% 1.94% 0.93% 16.71% 44.06% -- 34.29 5.75 非周期 100 65,000 28,633 2743.3 10.75% -0.15% 0.92% 5.29% 15.47% 55.85% 20.99 2.38 混合改革 69 49,840 13,096 1832.79 7.96% 1.08% 0.91% 5.31% 8.13% -- 25.71 1.67 上证中游 173 51,325 23,484 3032.36 6.94% 0.72% 0.91% 9.60% 9.68% 54.36% 24.37 2.09 环渤海 48 79,853 14,912 2632.52 13.92% -0.97% 0.79% 3.78% 13.73% 49.87% 13.86 1.36 17/25

沪城交通 50 20,323 8,317 2238.67 3.77% 0.68% 0.77% 6.91% 5.73% 80.44% 17.89 2.00 ESG 40 40 89,869 29,337 1497.27 16.59% 0.10% 0.67% 7.66% 24.56% 77.03% 10.06 1.21 中证中药 42 7,963 4,084 11204.66-0.57% 0.08% 0.61% -1.20% -2.29% -- 30.20 3.46 中证酒 30 13,629 5,978 2964.15 24.23% 1.74% 0.58% 14.40% 27.18% -- 35.70 5.20 300 公运 29 21,101 6,998 1625.66 12.60% 0.71% 0.56% 2.98% 11.47% 56.81% 20.63 2.17 细分机械 50 16,460 8,154 4405.5 4.21% 1.35% 0.54% 10.04% 5.77% 29.76% 32.24 2.39 石化产业 55 35,447 7,772 1276.44 12.78% 1.88% 0.46% 14.43% 17.39% 41.68% 33.65 1.42 中证汽车 100 18,778 7,542 5715.62-1.07% 0.19% 0.45% 3.88% -1.03% -- 17.93 2.21 优势制造 50 14,224 6,722 6844.6-1.35% 0.89% 0.41% 10.87% -5.83% 16.12% 39.41 2.55 领先行业 150 95,047 42,401 9177.28 8.15% 0.66% 0.21% 7.80% 8.15% 71.43% 12.09 1.75 高铁产业 26 8,068 3,632 2110.26-6.08% 0.58% 0.20% 3.70% 2.88% -- 20.99 1.91 基建工程 50 16,940 6,924 6362.04 3.05% 0.34% 0.18% 4.79% 16.36% -- 16.54 1.75 CS 广东 42 10,779 4,731 1860.84 5.77% 1.20% 0.06% 7.93% 3.79% -- 18.82 2.08 持续产业 40 13,258 5,616 1179.2 10.39% 0.48% -0.01% 6.98% 8.27% 35.35% 24.09 2.50 沪城基建 50 22,951 9,740 1821.49 1.48% 0.10% -0.26% 3.48% 10.86% 84.72% 14.76 1.63 内地基建 50 29,770 11,337 2214 8.37% -0.43% -0.34% 2.82% 19.18% 76.98% 17.74 1.79 城镇基建 100 34,557 15,704 1833.23 3.77% 0.14% -0.36% 4.86% 6.17% 84.22% 16.11 1.79 一带一路 83 49,858 14,830 1767.52 5.27% 1.15% -0.44% 6.40% 14.50% -- 26.00 1.50 细分地产 50 16,526 7,889 6425.13 1.77% 0.51% -0.47% 2.63% -4.16% 78.13% 14.73 1.88 内地地产 48 15,905 7,720 6786.28 1.94% 0.51% -0.70% 2.48% -4.07% 80.77% 14.25 1.87 中证基建 69 17,560 7,075 9756.43 3.63% 0.25% -0.77% 4.63% 15.44% -- 21.96 1.88 沪新丝路 52 44,658 11,680 1667.4 4.41% 0.65% -0.81% 4.52% 13.90% -6.56% 26.14 1.46 300 消服 17 12,046 6,989 7087.9 28.45% -1.01% -0.87% 7.89% 33.54% 93.82% 19.42 2.71 300 基建 27 25,611 9,333 2269.71 10.74% -0.75% -0.88% 2.76% 22.89% 82.02% 17.12 1.82 上证汽车 50 11,990 4,302 5662.71 4.85% -0.40% -0.89% 1.98% 7.35% -- 15.93 2.03 上证基建 42 14,575 5,541 10121.87 3.40% 0.40% -0.91% 4.02% 17.21% -- 20.19 1.81 180 基建 22 23,455 8,456 2065.08 10.09% -0.81% -0.96% 2.36% 24.70% 83.72% 17.02 1.79 细分化工 50 11,037 5,489 3499.29 4.77% 1.16% -0.97% 12.46% 5.03% 52.87% 30.52 2.57 汽车产业 28 11,299 4,311 4366.77 4.11% -0.63% -1.17% 1.59% 6.38% 34.08% 14.11 1.97 18/25

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 500R 成长 5942.45 2.18% 1.91% 3.44% 10.54% -2.60% 38.26% 13.28% 14.02% -0.36-0.05-0.04 800R 成长 3811.26 7.35% 1.33% 3.15% 9.80% 2.78% 40.89% 11.88% 11.32% 0.03 0.01 0.00 300R 成长 3336.37 10.93% 1.18% 3.10% 9.45% 7.22% 41.39% 11.82% 10.53% 0.45 0.05 0.06 180R 成长 1995.88 14.45% 1.18% 3.07% 10.06% 14.07% 46.64% 11.67% 9.89% 1.17 0.12 0.20 500 成长 7191.69 6.58% 1.67% 2.91% 9.64% 1.70% 52.88% 12.67% 12.99% -0.06-0.01-0.01 380R 成长 4631.01-1.55% 1.34% 2.82% 7.96% -5.15% 33.78% 11.63% 13.57% -0.56-0.07-0.07 全 R 成长 2849.10 8.90% 1.00% 2.67% 9.46% 6.68% 40.73% 10.73% 9.99% 0.42 0.04 0.05 380 成长 5702.25 2.50% 1.09% 2.45% 8.81% -1.56% 46.05% 12.21% 12.93% -0.31-0.04-0.04 全 R 价值 3730.59 14.84% 0.85% 2.22% 9.89% 17.24% 77.88% 12.41% 9.82% 1.50 0.15 0.23 800 成长 4580.83 13.89% 0.23% 2.22% 9.24% 10.73% 58.63% 11.50% 10.16% 0.81 0.08 0.12 500R 价值 7358.99 4.45% 2.00% 2.02% 11.70% 4.11% 55.36% 15.99% 14.73% 0.11 0.02 0.01 180R 价值 3108.22 16.53% 0.25% 1.98% 8.80% 19.45% 77.67% 12.45% 9.79% 1.73 0.17 0.39 300 成长 4083.28 16.35% 0.15% 1.94% 9.12% 14.19% 60.65% 12.31% 10.35% 1.13 0.12 0.19 800R 价值 4864.29 15.16% 0.87% 1.92% 9.91% 16.72% 74.00% 12.20% 10.28% 1.38 0.14 0.19 全指成长 3556.92 14.69% -0.35% 1.90% 8.06% 14.21% 62.50% 11.08% 9.42% 1.24 0.12 0.24 300R 价值 4008.46 18.56% 0.41% 1.76% 9.37% 20.49% 81.94% 12.13% 10.20% 1.76 0.18 0.31 500 价值 8928.81 9.31% 1.96% 1.75% 11.44% 9.91% 75.76% 16.57% 14.12% 0.52 0.08 0.06 全指价值 4055.06 18.45% 0.09% 1.74% 8.41% 21.44% 88.86% 11.96% 9.84% 1.92 0.19 0.41 800 价值 5498.21 19.25% 0.37% 1.54% 9.06% 21.29% 85.25% 11.94% 10.27% 1.83 0.19 0.31 180 成长 3096.55 15.31% 0.06% 1.48% 8.34% 16.11% 62.68% 12.14% 10.27% 1.33 0.14 0.30 180 价值 4068.76 18.77% -0.56% 1.29% 8.03% 22.16% 86.60% 13.00% 10.37% 1.90 0.20 0.60 300 价值 4670.60 22.06% -0.29% 1.19% 8.94% 24.55% 95.14% 12.50% 10.67% 2.07 0.22 0.48 380R 价值 6831.25 4.47% 1.68% 1.08% 9.60% 5.17% 68.73% 14.42% 13.81% 0.19 0.03 0.02 380 价值 8403.09 9.50% 1.50% 0.35% 11.00% 9.91% 89.29% 16.09% 13.71% 0.54 0.08 0.07 19/25

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 能源红利 4371.77 24,023 2,207 839 6.26% -0.25% 8.41% 5.25% 12.68% 19.32% 3.49% 3.49% 沪电信红 10242.41 2,121 890 5 6.08% -3.72% 7.68% 9.21% 37.45% 92.16% 1.10% 0.22% 电信红利 8406.93 4,411 2,204 12-4.54% -0.27% 4.47% 6.75% -3.59% 61.38% 0.70% 0.28% 信息红利 20642.90 9,214 4,526 106 20.66% 1.80% 3.35% 14.69% 12.67% 121.94% 1.15% 1.15% 沪金融红 6233.12 66,408 20,708 2,316 16.34% -0.52% 2.81% 8.96% 14.86% 83.74% 3.49% 3.49% 金融红利 7765.15 73,010 24,266 2,477 14.76% -0.12% 2.12% 8.59% 12.01% 97.21% 3.39% 3.39% 500 红利 9141.48 7,667 4,093 131 3.73% 1.31% 1.90% 9.20% 4.02% 60.94% 1.86% 1.70% 材料红利 6615.82 9,556 4,542 150 16.01% 1.60% 1.76% 19.44% 21.78% 102.09% 1.60% 1.57% 上央红利 2078.20 74,641 19,079 3,075 15.62% -0.30% 1.66% 5.81% 18.81% 72.41% 4.12% 4.12% 民企红利 3678.62 10,621 6,585 297 5.38% 0.58% 1.60% 7.65% 5.89% 105.54% 2.93% 2.79% 沪材料红 5334.94 8,849 4,034 133 23.17% 1.78% 1.56% 23.71% 32.66% 91.19% 1.50% 1.50% 央企红利 2862.99 79,195 20,984 3,190 13.99% -0.44% 1.53% 4.93% 16.89% 64.48% 4.03% 4.03% 上红回报 5005.74 37,615 15,938 1,065 16.83% 0.29% 1.52% 7.39% 19.48% 81.69% 2.83% 2.83% 沪信息红 10778.35 2,766 1,405 36 14.78% 0.22% 1.38% 13.84% 5.42% 81.98% 1.31% 1.31% 公用红利 3397.92 8,306 3,116 316 2.29% 0.45% 1.22% 0.28% 0.15% 40.91% 3.80% 3.80% 上红潜力 4916.83 54,360 16,382 1,716 21.35% -0.23% 1.19% 5.53% 22.28% 77.19% 3.16% 3.16% 中证红利 4653.35 138,027 45,265 4,581 15.16% 0.15% 1.16% 7.26% 16.73% 88.94% 3.36% 3.32% 380 红利 8991.84 6,499 2,459 186 11.55% 1.31% 1.14% 10.90% 9.80% 80.86% 2.86% 2.86% 沪消费红 16965.04 9,380 4,767 157 22.95% -0.06% 1.14% 9.97% 25.35% 95.18% 1.68% 1.68% 高分红 4598.87 112,928 36,878 4,149 17.10% -0.84% 1.07% 6.93% 18.71% 81.06% 3.67% 3.67% 消费红利 20525.51 16,390 7,900 352 15.68% 0.40% 1.06% 7.44% 23.48% 93.21% 2.15% 2.15% 180 红利 3726.88 89,801 27,814 3,598 18.80% -0.61% 0.96% 6.22% 19.97% 76.34% 4.01% 4.01% 医药红利 14357.20 5,742 2,973 71-0.08% -0.10% 0.79% 0.05% -5.10% 71.36% 1.28% 1.22% 红利回报 5454.12 35,438 17,374 977 17.19% 0.74% 0.76% 8.12% 14.02% 91.93% 2.81% 2.76% 国企红利 1684.79 100,541 32,206 3,889 18.75% -0.43% 0.64% 5.99% 20.41% 86.32% 3.87% 3.87% 300 红利 5527.78 111,001 38,886 4,178 20.23% -0.54% 0.56% 6.79% 21.65% 92.80% 3.76% 3.76% 工业红利 8606.83 14,821 5,347 280 13.45% 1.33% 0.56% 9.59% 20.44% 84.88% 1.89% 1.89% 沪医药红 7544.30 2,027 1,128 28 1.13% -0.97% 0.47% -2.21% -0.21% 34.01% 1.37% 1.37% 20/25

红利潜力 7132.79 61,066 21,643 1,860 31.92% -0.65% 0.42% 8.04% 37.01% 134.49% 3.05% 3.05% 上国红利 1281.07 82,467 22,138 3,405 17.18% -0.86% 0.25% 4.73% 17.13% 63.33% 4.13% 4.13% 红利指数 2904.41 98,762 30,431 3,839 12.83% -0.54% 0.14% 4.37% 14.59% 67.70% 3.89% 3.89% 红利低波 8718.34 58,073 29,175 1,657 15.45% -0.35% -0.45% 3.67% 16.84% 78.33% 2.85% 2.85% 沪能源红 5318.44 22,344 1,550 828 7.74% 0.03% -0.69% -3.38% 13.64% 20.49% 3.71% 3.71% 红利价值 8012.74 50,472 24,621 1,601 11.76% -0.37% -0.75% 2.89% 13.81% 81.37% 3.17% 3.17% 上红低波 7685.85 61,208 26,899 1,577 15.70% -0.55% -0.92% 3.91% 18.25% 79.68% 2.65% 2.58% 上民红利 2483.66 9,084 5,265 247 0.11% 0.13% -0.95% 4.27% 2.95% 54.62% 2.74% 2.72% 可选红利 13797.90 14,518 7,758 557 9.57% -0.28% -1.20% 3.33% 12.89% 107.75% 3.88% 3.84% 上红价值 6879.86 50,851 24,769 1,477 12.39% -0.50% -1.26% 3.35% 15.96% 76.43% 3.01% 2.91% 沪可选红 11137.65 8,677 3,539 357 5.93% -0.61% -1.85% 2.13% 6.53% 71.23% 4.11% 4.11% 沪公用红 3664.76 7,501 2,729 300 2.86% -0.30% -1.97% -2.48% 0.19% 31.26% 4.00% 4.00% 沪工业红 7546.53 14,383 4,989 267 8.96% 0.91% -2.21% 5.69% 15.78% 79.87% 1.86% 1.86% 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 50 两倍 1265.20 35.84% 0.53% 5.31% 18.12% 39.88% -- 26.95% 21.06% 1.77 0.38 0.50 信息等权 4548.73-9.52% 1.50% 5.14% 7.47% -17.22% 24.79% 14.69% 17.11% -1.15-0.19-0.15 500 两倍 4098.75 2.13% 3.85% 4.97% 21.24% -5.21% -- 28.43% 28.37% -0.27-0.07-0.03 电信等权 3033.98-2.52% -1.20% 4.90% 8.26% 5.77% 82.04% 21.21% 19.30% 0.17 0.04 0.03 300 日报酬两倍 2657.06 32.53% 1.38% 4.42% 19.36% 30.59% 111.73% 23.12% 19.95% 1.41 0.28 0.21 180 两倍 3858.83 29.28% 1.17% 4.37% 17.90% 30.04% 83.76% 23.23% 19.00% 1.45 0.28 0.28 创业成长 1487.46 10.08% 2.83% 4.25% 11.25% 3.26% 47.36% 14.94% 13.97% 0.05 0.01 0.01 500 动态 4677.16 1.64% 2.53% 4.10% 13.92% -2.16% 31.12% 16.35% 15.47% -0.30-0.04-0.03 300 两倍 1726.21 28.69% 1.30% 4.04% 18.04% 24.97% 83.49% 23.04% 19.93% 1.13 0.23 0.17 500 高贝 4902.08-2.63% 2.12% 3.97% 10.84% -8.59% 35.91% 17.10% 17.28% -0.64-0.11-0.08 21/25

300 高贝 3067.64 3.72% 2.38% 3.78% 11.80% 2.74% 51.20% 16.98% 14.77% 0.02 0.01 0.00 金融等权 5247.63 17.17% 0.88% 3.64% 9.74% 15.82% 83.59% 18.30% 12.18% 1.09 0.13 0.42 180 高贝 7291.09 8.14% 2.64% 3.54% 11.22% 10.59% 71.09% 16.84% 13.15% 0.62 0.08 0.09 等权 90 3140.40 15.08% 1.43% 3.53% 10.22% 14.92% 69.44% 13.56% 11.39% 1.09 0.13 0.16 200 动态 3197.77 3.47% 2.29% 3.52% 14.27% -2.77% 17.30% 17.72% 14.34% -0.37-0.05-0.04 材料等权 3622.94 24.63% 3.48% 3.26% 29.57% 27.29% 66.94% 29.18% 17.44% 1.42 0.25 0.20 380 动态 4386.35-3.20% 2.26% 3.18% 8.87% -5.17% 32.98% 14.37% 15.11% -0.51-0.07-0.06 500SER 8452.08 2.49% 1.90% 2.87% 10.00% 0.77% -- 13.84% 14.00% -0.12-0.01-0.01 50 等权 2569.71 13.56% 1.41% 2.81% 7.90% 17.65% 68.48% 13.42% 10.78% 1.40 0.15 0.33 沪财中小 10261.10 0.62% 2.51% 2.80% 11.62% 1.36% 62.87% 14.58% 15.39% -0.07-0.01-0.01 180 动量 2832.65 21.71% -0.63% 2.78% 9.49% 22.55% -- 11.90% 9.96% 2.01 0.20 0.58 300 动态 3214.33 5.86% 1.81% 2.72% 10.31% 1.62% 34.59% 15.34% 13.16% -0.07-0.01-0.01 500 等权 7830.13 1.61% 1.95% 2.72% 10.30% -0.05% 53.75% 14.21% 14.68% -0.17-0.02-0.02 180 动态 7344.92 6.71% 1.69% 2.65% 9.96% 7.03% 39.36% 15.07% 12.88% 0.35 0.05 0.06 380 高贝 5558.54-7.64% 1.97% 2.55% 8.62% -9.72% 29.97% 15.76% 18.15% -0.67-0.12-0.08 800 等权 6294.38 4.24% 1.74% 2.53% 9.70% 2.51% 55.32% 13.33% 13.03% 0.00 0.00 0.00 800 动量 3384.60 18.62% 0.31% 2.43% 9.66% 15.92% -- 10.88% 10.04% 1.34 0.14 0.21 300 动量 3626.44 21.16% -0.25% 2.42% 9.06% 19.16% 43.24% 11.46% 10.44% 1.59 0.17 0.33 能源等权 2945.36 9.00% 3.85% 2.41% 18.20% 10.81% 22.09% 30.29% 19.05% 0.44 0.09 0.07 100 稳定 4075.53 25.52% -0.16% 2.38% 9.81% 28.18% 105.79% 12.38% 10.19% 2.52 0.26 0.72 央视 500 1246.33 14.90% 0.91% 2.38% 10.01% 13.56% -30.16% 11.50% 10.12% 1.09 0.11 0.14 180 分层 10765.43 10.88% 1.29% 2.37% 9.23% 11.27% 50.47% 12.82% 10.04% 0.87 0.09 0.12 500ERC 8248.81 2.79% 1.73% 2.34% 9.68% 1.41% -- 13.42% 14.07% -0.08-0.01-0.01 180 稳定 9498.25 20.35% 0.18% 2.32% 9.14% 22.32% 87.00% 11.19% 9.35% 2.12 0.20 0.54 安中动态 1095.73 16.16% 0.87% 2.32% 7.72% 18.76% 65.16% 12.52% 10.17% 1.60 0.16 0.24 180 等权 9392.63 9.57% 1.59% 2.30% 9.56% 10.26% 60.00% 12.31% 10.31% 0.75 0.08 0.11 300 等权 4374.25 8.64% 1.38% 2.21% 8.70% 6.79% 56.70% 12.44% 11.14% 0.38 0.05 0.05 CS 医药 10606.98-3.94% 0.44% 2.13% 3.32% -8.46% -- 11.03% 13.59% -0.81-0.11-0.11 小康指数 5780.06 14.89% 0.34% 2.10% 8.72% 27.26% 88.62% 14.04% 11.65% 2.12 0.25 0.42 100 动态 2955.75 10.69% 1.27% 2.07% 7.99% 9.62% 39.71% 13.94% 13.18% 0.54 0.07 0.10 380 等权 7709.51-1.10% 1.74% 2.06% 8.28% -2.32% 55.66% 13.14% 14.45% -0.33-0.04-0.04 50 基本 3039.00 17.81% -0.36% 2.04% 7.93% 24.88% 89.88% 13.46% 10.87% 2.06 0.22 0.75 380 动量 5585.01 7.50% 1.46% 2.03% 11.33% 3.11% -- 13.23% 13.50% 0.05 0.01 0.01 300 稳定 4153.87 20.98% 0.17% 2.03% 9.04% 22.91% 89.53% 10.55% 9.53% 2.14 0.21 0.39 淘金 100 10681.05 10.28% 1.62% 2.02% 14.96% 12.05% -- 14.57% 14.36% 0.67 0.10 0.08 22/25

转型成长 33044.14 3.04% 1.21% 1.98% 18.17% 1.74% 156.08% 12.31% 16.30% -0.05 0.00-0.01 银河 99 6569.90 19.07% -0.17% 1.95% 9.11% 22.19% 97.01% 12.94% 10.88% 1.81 0.20 0.51 医药等权 8162.87-0.53% -0.01% 1.94% 3.18% -2.97% 43.45% 9.08% 11.24% -0.49-0.05-0.07 CS 娱乐 2114.46-7.18% 1.79% 1.86% 2.92% -14.46% -- 12.59% 15.09% -1.12-0.17-0.15 百发 100 12219.77-1.59% 1.46% 1.79% 5.32% -3.84% 62.78% 12.59% 16.13% -0.39-0.06-0.05 300ERC 4794.89 10.86% 0.83% 1.77% 8.07% 10.00% 60.89% 10.41% 9.78% 0.77 0.08 0.10 300 分层 5018.90 11.33% 1.24% 1.77% 8.16% 9.96% 56.76% 12.60% 10.78% 0.69 0.08 0.09 300SER 5446.96 13.66% 1.15% 1.76% 8.09% 16.91% -- 12.60% 10.40% 1.38 0.15 0.19 180ERC 4672.03 12.40% 0.84% 1.73% 8.68% 13.68% -- 10.41% 9.14% 1.22 0.11 0.19 180 基本 11341.59 16.77% -0.02% 1.70% 8.23% 22.33% 95.00% 11.99% 10.08% 1.97 0.20 0.49 380ERC 9314.37 0.75% 1.43% 1.66% 8.29% -0.76% -- 12.33% 13.69% -0.24-0.03-0.03 创业价值 2057.00 9.42% 2.24% 1.65% 16.09% 12.41% 85.92% 16.04% 14.81% 0.67 0.10 0.08 消费等权 6049.53 7.78% 1.72% 1.51% 13.74% 11.19% 45.33% 17.81% 14.50% 0.60 0.09 0.08 500 稳定 9044.40 5.05% 1.41% 1.47% 8.51% 3.43% 64.06% 12.48% 13.35% 0.07 0.01 0.01 380 基本 7274.97 6.07% 1.87% 1.47% 11.30% 6.68% 77.46% 15.20% 14.01% 0.30 0.04 0.04 中证龙头 4145.71 13.72% 0.98% 1.46% 6.13% 14.18% 64.95% 10.52% 9.63% 1.21 0.12 0.18 财富大盘 5087.36 17.21% 0.24% 1.40% 9.04% 19.78% 98.58% 11.96% 9.86% 1.75 0.17 0.33 380 低贝 6103.78 4.74% 1.10% 1.29% 6.19% 2.64% 79.18% 9.64% 11.24% 0.01 0.00 0.00 光大阳光 5724.63 26.59% -0.16% 1.23% 11.26% 27.47% 93.02% 13.37% 11.69% 2.14 0.25 0.43 200 稳定 5859.59 10.45% 0.66% 1.16% 6.48% 10.02% 71.67% 10.47% 10.96% 0.69 0.08 0.09 180 波动 13319.51 16.61% 0.47% 1.13% 7.19% 20.29% 93.59% 10.20% 9.20% 1.93 0.18 0.39 500 低贝 10555.79 4.22% 1.32% 0.99% 7.62% 3.88% 70.98% 11.09% 12.15% 0.11 0.02 0.01 300 低贝 5643.17 15.63% 0.09% 0.98% 5.28% 14.57% 70.37% 7.48% 8.03% 1.50 0.12 0.28 公用等权 2402.13-3.81% 0.90% 0.97% -0.08% -5.50% 29.52% 9.71% 12.95% -0.62-0.08-0.08 腾讯济安 2566.81 5.58% 1.35% 0.97% 10.37% 5.29% 94.61% 12.93% 13.48% 0.21 0.03 0.02 380 波动 10257.92 5.12% 1.18% 0.95% 6.25% 5.65% 95.61% 11.08% 12.22% 0.26 0.03 0.03 380 稳定 6797.19 5.52% 0.95% 0.92% 8.78% 4.50% 69.03% 12.03% 12.64% 0.16 0.02 0.02 180 低贝 10132.48 14.88% -0.17% 0.88% 5.09% 16.04% 64.10% 8.02% 8.02% 1.69 0.14 0.45 500 波动 12049.24 6.52% 1.07% 0.86% 6.61% 6.85% 91.16% 11.89% 12.61% 0.35 0.05 0.04 工业等权 3123.67 3.80% 0.67% 0.56% 6.69% 8.51% 76.31% 12.78% 14.16% 0.42 0.06 0.07 可选等权 3208.18-2.04% 0.92% 0.44% 2.26% -1.87% 38.00% 9.58% 11.26% -0.39-0.04-0.05 300 波动 7150.73 19.74% 0.05% 0.43% 6.76% 22.03% 111.20% 9.83% 8.96% 2.18 0.20 0.39 富国多空 29041.64 28.91% 1.30% -0.29% 15.07% 35.07% 170.33% 14.33% 11.50% 2.83 0.33 0.43 300 反向 1834.19-13.12% -0.68% -2.21% -8.59% -12.61% -48.51% 11.53% 9.97% -1.52-0.15 0.23 300 日报酬反向 1528.11-13.92% -0.71% -2.33% -8.91% -13.80% -51.11% 11.56% 9.97% -1.63-0.16 0.25 23/25

180 反向 4366.82-13.27% -0.61% -2.38% -8.50% -14.22% -48.64% 11.62% 9.50% -1.76-0.17 0.33 500 反向 1175.12-3.68% -1.91% -2.73% -10.28% -1.21% -- 14.23% 14.19% -0.26-0.04 0.03 50 反向 1589.05-15.60% -0.30% -2.88% -8.73% -17.56% -- 13.48% 10.53% -1.90-0.20 0.53 300 反两 450.63-27.17% -1.45% -4.86% -17.64% -27.67% -81.56% 23.14% 19.95% -1.51-0.31 0.23 180 反两 1092.79-27.37% -1.31% -5.18% -17.45% -30.25% -81.68% 23.31% 19.03% -1.72-0.33 0.33 500 反两 136.21-11.19% -3.88% -5.91% -20.92% -8.45% -- 28.56% 28.39% -0.39-0.12 0.04 50 反两 396.79-31.34% -0.69% -6.19% -17.95% -35.70% -- 27.00% 21.09% -1.81-0.38 0.51 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 400 7292.36 8.57% 2.27% 2.53% 13.87% 8.87% 65.02% 15.66% 14.00% 0.46 0.07 0.05 上证 F300 7760.65 3.42% 1.79% 2.10% 12.28% 3.41% 53.25% 15.14% 14.27% 0.06 0.01 0.01 基本 500 7804.69-1.10% 1.58% 1.99% 8.94% -3.05% 48.75% 13.21% 14.55% -0.38-0.05-0.04 上证 F500 5246.14 15.27% 0.45% 1.71% 9.35% 19.88% 97.21% 11.87% 9.94% 1.75 0.18 0.30 上证 F200 4677.01 17.03% 0.25% 1.65% 8.93% 22.46% 104.19% 12.01% 10.13% 1.97 0.20 0.41 基本 600 5452.78 16.46% 0.60% 1.55% 9.91% 20.68% 99.17% 12.05% 10.29% 1.77 0.18 0.27 基本 300 5712.49 17.58% 0.12% 1.40% 9.26% 22.51% 104.30% 11.78% 10.39% 1.93 0.20 0.35 基本面 50 4220.13 20.14% -0.75% 1.34% 8.17% 27.53% 120.78% 12.98% 10.86% 2.30 0.25 0.73 基本 200 4770.24 18.34% 0.17% 1.30% 8.94% 23.66% 107.53% 12.12% 10.38% 2.04 0.21 0.39 24/25

法律声明本报告所载数据资料源自中证指数有限公司 ( 中证指数 ) 认为可靠之出处, 但不构成任何证券 金融产品或其他投资工具或任何交易策略的依据或建议 中证指数不保证其准确性或完整性 对任何因直接或间接使用本报告或其中任何内容而造成的损失, 中证指数不承担任何法律责任 本报告著作权归属于中证指数 未经中证指数事先书面同意, 任何人不得复制或转载 中证 中证指数 中证行业分类 CSI CSI 300 沪深 300 指数 及其他与中证指数及其所提供产品及服务有关的商标归属于上海证券交易所及 / 或中证指数 未经上海证券交易所及 / 或中证指数事先书面同意, 任何人不得以任何形式使用