定期分析报告 中证指数 6 月份运行报告 目 录 6 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 6 月份市场概要 6 月份国际主要股指多以下跌收官, 日本跌幅领先 6 月份美联储加息预期放缓, 英国脱欧公投引起资本市场剧震 脱欧初步结果公布后, 市场恐慌情绪开始聚集, 随着结果正式公布, 市场波动进一步加剧, 当日亚太 欧洲 美国等市场全线下挫, 日经 225 收跌 7.92%, 创两年新低 ; 法国 CAC40 德国 DAX FTSE 100 指数分别下挫 8% 7% 和 3.15%; 标普 500 指数当日下跌 3.6%, 创下今年以来最大跌幅 ; 日经 225 指数期货 标普 500 指数期货触发熔断 ; 投资者避险情绪明显增加, 黄金 债券受热捧 6 月标普 500 指数微涨 0.09%, 年初以来累计上涨 2.5%;6 月 STOXX 欧洲 600 日经 225 中证香港 100 指数分别下跌 5.06% 9.63% 和 0.34%, 年初以来累计下跌分别为 9.82% 6.43% 5.86% 因 QFII 额度分配 资本流动限制 股票停复牌新规的执行效果仍待观察等原因,MSCI 再次将 A 股拒之门外 ;FOF 基金运作指引征求意见正式发布, 不允许 FOF 持有分级基金等具有复杂 衍生品性质的基金, 分级基金处境愈发艰难 ;6 月份 A 股整体表现较为平稳, 上证综指全月微涨 0.45%, 当月上海市场日均成交金额 1885 亿元, 环比增长 26% 沪深 A 股规模指数中, 大中小盘指数走势继续分化, 小盘股指数中证 1000 月内上涨 6.63%, 涨幅领先, 中证 100 沪深 300 分别下跌 0.87% 0.49% 创业板指 中小板指全月上涨 3.15% 3.6% 上半年整体来看, A 股在窄幅震荡中前行, 成交频创新低, 市场投资者情绪较为低迷, 主要股指熊冠全球, 创业板指 中小板指下跌 17.92% 17.88%, 上证综指 沪深 300 下跌 17.22% 15.47% 6 月份主题及行业指数涨跌互现, 黄金采掘指数上涨 13%, 涨幅居首 随后为中证白酒 1000 电信 中证民参军主题指数, 涨幅均逾 10% 上半年主题及行业指数中仅 4 条飘红, 其中黄金采掘指数 中证白酒指数上涨 14.36% 11.60%,800 食品 300 消费指数上涨 1.65% 1.29% 钢铁产业指数继上月大跌 8% 后, 本月下跌 4.1%, 跌幅居首 上半年跌幅超过 30% 的主题及行业指数有 5 条, 船舶产业 中证海运 物流产业指数领跌 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 因 QFII 额度分配 资本流动限制 股票停复牌新规的执行效果仍待观察等原因,MSCI 再次将 A 股拒之门外 ;FOF 基金运作指引征求意见正式发布, 不允许 FOF 持有分级基金等具有复杂 衍生品性质的基金, 分级基金处境愈发艰难 ;6 月份 A 股整体表现较为平稳 6 月份上证综指最高触及 2945.94 点, 最低探至 2807.60 点, 月末收于 2929.61 点, 全月微涨 0.45% 当月上海市场日均成交金额 1885 亿元, 环比放大 26% 沪深 A 股规模指数中, 大中小盘指数走势继续分化, 小盘股指数中证 1000 月内上涨 6.63%, 涨幅领先, 中证 100 沪深 300 分别下跌 0.87% 0.49% 上海市场中, 同样呈现大中小盘指数走势分化的特征, 潜力蓝筹上证 180 指数月内上涨 2.95%, 涨幅居首 超大盘 上证 50 上证 180 指数下跌, 跌幅分别约为 1.9% 1.53% 和 1.29% 创业板指全月上涨 3.15%, 报收 2227.79 点 中小板指全月上涨 3.6%, 收盘 6892.73 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 6 月份沪深 300 指数从最高 3201.75 点跌至最低 3033.97 点, 月末收盘 3153.92 点, 月跌幅 0.49% 6 月份沪深 300 指数日均成交 1023 亿元, 比上月增长 25% 6 月末沪深 300 指数滚动市盈率为 12.1 倍, 与上月末 12.05 倍水平基本持平 图 6: 沪深 300 指数走势 10 条一级行业指数中涨跌各半 上涨行业中, 主要消费 医药卫生 原材料行业涨 幅居前三, 全月上涨 4.78% 3.17% 和 1.24% 下跌行业中, 工业 公用事业 金融地产 行业跌幅相对较大, 月内下跌 2.12% 1.52% 和 1.44% 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 41.51% 14.63 % 10.9 %, 累计权重 67.04% 电信业务 能源行业权重较低, 分别为 1.24% 和 2.43% 3 / 25
定期分析报告 6 月末沪深 300 指数滚动市盈率为 12.1 倍, 市净率为 1.56 倍 从行业来看, 信息技术行业市盈率最高, 滚动市盈率较上月 31.58 倍水平升至 37.46 倍 金融地产行业估值水平最低, 滚动市盈率为 7.86 倍, 市净率为 1.22 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 4.07% 2.48% 和 2.38% 万科 A 招商银行 交通银行位列 4 5 6 位, 权重为 2.23% 2.12% 和 1.81 %, 前 10 大权重股权重合计 21.35%, 较上月下降 1.5% 6 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贵州茅台 浦发银行和建发股份, 分别贡献 6.96 点 -3.54 点和 -3.34 点, 前 10 只股票合计贡献 8.71 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 6 月份主题及行业指数涨跌互现, 黄金采掘指数领涨, 全月上涨 13% 随后为中证白酒 1000 电信 中证民参军主题指数, 分别上涨 11.5% 10.5% 和 10.2% 2016 年上半年, 主题及行业指数中仅 4 条飘红, 其中黄金采掘指数 中证白酒指数分别上涨 14.36% 11.60%,800 食品 300 消费指数分别上涨 1.65% 1.29% 钢铁产业指数继上月大跌 8% 后, 本月下跌 4.1%, 跌幅居首 中证上海主题乐园指数 800 零售 180 运输指数等紧跟其后 2016 年上半年, 跌幅超过 30% 的主题及行业指数有 5 条, 其中船舶产业 中证海运 物流产业指数领跌 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 6 月风格指数涨跌互现, 小盘风格指数普遍上涨, 大中盘风格指数下跌 上证 380 成长和价值指数表现较好, 分别上涨 4.04% 和 1.47%, 其次为中证 500 成长和价值指数, 分别上涨 3.46% 和 1.95% 上证 180 价值和成长指数跌幅最大, 分别下跌 2.11% 和 1.55% 基本面指数中, 中证基本面 50 下跌 1.51% 中证基本面 200 指数下跌 1.13%, 中证基本面 600 中证基本面 400 指数分别下跌 0.58% 和 1.74% 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 6 月份红利指数涨跌互现, 民企红利 红利潜力 500 红利指数涨幅居前, 分别上涨 2.38% 2.03% 和 1.04% 180 红利和上证红利指数跌幅居前, 分别下跌 2.08% 2.06% 中证红利指数下跌 0.45% 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 4.44% 4.32% 和 4.19% 中小板板块与创业板板块股息率分别为 0.88% 0.31% 图 17: 红利指数系列与基准指数股息率对比 6 月份波动率加权指数系列的波幅较上月有所下降, 沪深 300 中证 500 波动率加权 指数波幅分别为 34.71% 47.56% 6 / 25
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 定期分析报告 6 月份上证 180 高 低贝塔指数均以下跌报收, 分别下跌 0.79% 0.27%; 沪深 300 高 低贝塔指数涨跌幅分别为 -0.21% 0.94%; 中证 500 高 低贝塔指数分别上涨 4.33% 3.32% 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 6 月份商品期货指数全部上行, 中证工业金属期货成份指数 工业品期货成份指数 中证贵金属期货成份指数涨幅居前, 分别上涨 11.69% 11.49% 和 11.02% 中证有色金属期货成份指数 中证粮油期货成份指数 中证农产品期货成份指数涨跌略低, 分别上涨 4.85% 7.66% 和 7.91% 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 3153.92-15.47% 2.49% -0.49% -1.99% -29.49% 43.32% 18.94% 36.38% 12.09 1.45 2.43% 300 金融 5349.36-12.14% 1.93% -1.44% -1.03% -20.97% 56.39% 17.41% 34.90% 7.82 1.11 3.64% 300 消费 7743.54 1.29% 3.99% 4.78% 6.73% -9.52% 43.93% 24.12% 34.93% 22.17 3.18 1.81% 300 能源 1599.94-10.90% 2.84% -0.23% -1.78% -42.02% -17.94% 19.32% 38.53% 27.00 1.08 2.07% 300 公用 1702.74-22.25% 1.28% -1.52% -5.95% -45.76% 40.10% 14.56% 36.16% 12.32 1.70 2.25% 300 可选 4462.51-19.70% 2.88% -0.74% -3.34% -32.91% 52.61% 21.47% 39.46% 15.22 2.36 2.62% 300 电信 2227.12-30.68% 2.67% 1.08% -6.89% -37.66% 26.12% 23.79% 44.34% 23.38 1.73 1.70% 300 工业 2200.54-26.43% 2.99% -2.12% -8.80% -45.13% 47.39% 20.67% 45.02% 17.34 1.68 1.02% 300 信息 2011.76-15.12% 3.63% 0.47% 1.06% -27.91% 54.22% 30.11% 49.17% 37.18 3.93 0.52% 300 医药 7247.18-11.75% 3.51% 3.17% 1.87% -14.18% 36.61% 19.22% 39.17% 29.56 4.35 1.03% 300 材料 1873.00-12.24% 0.98% 1.24% -1.00% -35.40% 21.41% 21.73% 44.59% 34.70 1.53 0.71% 中证 500 6123.49-19.61% 3.72% 2.96% -0.53% -31.24% 89.23% 27.29% 45.54% 34.47 2.67 0.76% 500 金地 5303.88-25.55% 3.03% 1.03% -4.84% -35.21% -- 26.10% 50.35% 22.41 1.90 0.87% 500 消费 7939.61-11.31% 2.84% 2.56% 3.02% -27.80% -- 24.37% 46.67% 33.51 3.25 0.59% 500 能源 3866.27-11.41% 3.24% 2.56% -3.63% -41.30% -- 32.39% 49.96% 59.90 1.50 0.35% 500 公用 3579.34-27.09% 3.28% 0.26% -8.53% -40.90% -- 25.39% 49.72% 17.62 2.22 2.58% 500 可选 5467.22-21.66% 3.74% 1.55% -1.65% -29.66% -- 25.23% 43.92% 33.42 3.14 0.74% 500 电信 4294.40-12.52% 1.39% 5.10% 13.65% -20.74% -- 29.36% 57.78% 34.78 2.77 0.39% 500 工业 5634.83-23.54% 3.47% 2.52% -4.42% -38.78% -- 25.92% 45.52% 31.57 2.38 0.84% 500 信息 7958.03-16.33% 5.20% 6.39% 5.61% -23.09% -- 37.74% 47.50% 61.58 4.24 0.39% 500 医药 12133.67-19.72% 5.20% 3.86% 1.01% -29.72% -- 26.98% 44.86% 37.70 3.57 0.89% 500 原料 3805.87-16.28% 2.65% 2.14% -0.87% -27.70% -- 26.57% 46.08% 35.26 2.06 0.74% 中证全指 4650.62-16.84% 3.21% 2.60% 0.00% -27.05% 81.86% 23.42% 40.16% 18.85 2.04 1.47% 全指金融 5176.47-13.84% 2.06% -1.13% -1.36% -23.17% 60.70% 17.92% 34.79% 8.28 1.16 3.39% 全指消费 8279.47-7.36% 3.61% 4.03% 4.97% -18.49% 61.07% 23.15% 38.10% 27.41 3.46 1.19% 全指能源 1839.66-12.66% 3.22% 1.49% -1.76% -41.42% -9.11% 23.48% 41.27% 28.88 1.13 1.84% 全指公用 2397.90-23.23% 2.14% -0.30% -5.61% -42.68% 54.99% 17.61% 40.47% 14.19 1.84 2.12% 全指可选 5557.15-19.74% 3.53% 1.50% -1.75% -27.56% 92.96% 24.76% 41.77% 23.95 2.86 1.44% 9/25
全指电信 5916.09-19.34% 2.35% 6.44% 4.27% -21.92% 116.33% 26.37% 47.70% 39.85 2.95 0.68% 全指工业 3792.59-22.23% 3.36% 2.50% -3.32% -36.41% 83.84% 24.25% 45.32% 26.82 2.31 0.80% 全指信息 6639.56-16.43% 4.36% 5.79% 4.36% -23.86% 148.15% 34.69% 49.94% 54.50 4.78 0.37% 全指医药 9282.15-17.13% 4.49% 3.82% 1.00% -23.60% 60.08% 24.60% 42.51% 37.19 4.09 0.77% 全指材料 3113.64-14.21% 2.48% 4.70% 2.16% -28.66% 63.82% 26.04% 44.67% 45.23 2.31 0.52% 上证 180 6735.89-15.76% 2.31% -1.29% -2.69% -30.73% 40.66% 17.87% 35.89% 10.63 1.26 2.82% 180 能源 1320.33-13.63% 2.90% -1.43% -2.89% -42.97% -21.21% 17.82% 38.06% 25.81 1.04 2.24% 180 材料 1435.80-8.23% 1.14% 1.51% -0.56% -34.99% 14.05% 21.94% 48.16% 41.24 1.65 0.88% 180 工业 1814.08-27.18% 2.97% -3.14% -10.01% -47.20% 40.50% 19.67% 44.88% 15.34 1.55 1.10% 180 可选 2191.44-21.14% 2.43% -2.28% -5.70% -33.64% 37.05% 21.83% 42.04% 12.23 1.82 3.60% 180 消费 5438.65 1.54% 5.22% 5.63% 7.08% -9.21% 33.66% 24.66% 35.34% 23.46 3.49 1.45% 180 医药 3777.31-18.88% 3.79% 1.61% -1.94% -19.48% 29.79% 19.67% 38.71% 30.32 4.40 1.00% 180 金地 4327.88-12.71% 1.86% -1.97% -1.26% -22.97% 54.89% 17.29% 34.60% 7.55 1.06 3.90% 180 信息 2926.81-18.73% 2.16% 0.44% -0.20% -35.18% 102.26% 35.47% 54.32% 36.53 4.12 0.39% 180 电信 1463.93-36.46% 2.06% -2.75% -9.32% -47.51% 11.30% 25.34% 48.29% 24.74 1.48 2.00% 180 公用 1612.80-20.09% 1.22% -1.19% -4.63% -44.26% 52.82% 13.85% 32.16% 11.50 1.86 2.02% 上证 380 5310.99-20.88% 3.37% 2.95% -2.05% -33.37% 88.06% 25.50% 47.57% 29.25 2.48 1.13% 380 能源 1463.22-12.30% 2.13% 0.56% -7.03% -43.91% 6.29% 28.36% 54.66% 109.02 1.54 0.39% 380 材料 3440.22-22.06% 2.38% 3.56% -1.51% -38.43% 42.83% 25.10% 52.07% 38.67 2.09 0.71% 380 工业 5867.82-22.66% 3.70% 3.30% -4.20% -37.07% 100.17% 25.78% 49.35% 25.86 2.34 1.37% 380 可选 5842.79-21.95% 3.18% 1.02% -2.69% -28.74% 122.38% 24.13% 43.06% 29.62 3.07 1.01% 380 消费 7048.49-12.83% 2.77% 2.74% 4.81% -31.26% 83.82% 24.62% 45.77% 28.63 3.35 1.04% 380 医药 9981.56-18.14% 4.43% 2.51% 0.32% -24.17% 54.99% 23.88% 47.78% 34.58 3.57 1.26% 380 金融 5112.49-27.39% 2.40% 1.03% -6.11% -32.38% 84.72% 23.85% 49.23% 14.26 1.57 0.97% 380 信息 6452.00-19.76% 4.70% 7.26% 1.88% -24.46% 216.29% 37.57% 48.13% 50.67 4.19 0.62% 380 电信 5150.92-8.12% 3.00% 5.15% 8.94% -9.81% 181.42% 30.76% 54.76% 21.52 1.98 0.38% 380 公用 2193.50-25.00% 2.54% -0.66% -8.25% -42.61% 41.67% 21.34% 51.80% 19.10 1.91 2.80% 中证超大 2526.08-13.56% 2.16% -1.06% -2.46% -26.77% 45.20% 16.51% 34.78% 9.08 1.13 3.31% 中证 100 2959.80-12.65% 2.36% -0.87% -1.60% -26.68% 41.82% 16.31% 34.37% 10.23 1.28 2.88% 中证 200 3949.06-20.03% 2.72% 0.18% -2.69% -33.99% 46.95% 24.19% 43.66% 22.39 2.13 1.32% 中证 700 4918.51-19.80% 3.26% 1.66% -1.53% -32.54% 67.39% 25.74% 44.34% 27.50 2.39 1.02% 中证 800 3674.23-16.72% 2.86% 0.52% -1.55% -30.01% 54.58% 21.16% 37.99% 14.35 1.63 2.02% 10/25
300 沪市 2831.47-15.62% 2.25% -1.38% -2.71% -31.00% 43.03% 17.71% 35.95% 10.81 1.28 2.78% 500 沪市 6011.47-21.55% 3.48% 2.16% -2.33% -34.28% 79.74% 26.50% 46.97% 31.00 2.33 0.95% 超大盘 1836.12-13.01% 2.80% -1.90% -1.75% -26.81% 25.56% 18.23% 35.45% 12.04 1.24 2.56% 上证 50 2122.63-12.32% 2.23% -1.53% -1.57% -26.04% 36.73% 16.30% 34.95% 9.11 1.11 3.37% 上证中盘 3052.51-21.01% 2.44% -0.85% -4.49% -37.55% 48.16% 21.42% 41.84% 17.13 1.86 1.58% 上证小盘 4481.38-21.33% 3.45% 2.71% -2.34% -35.52% 81.72% 25.27% 47.30% 32.21 2.49 1.09% 上证中小 3688.93-21.17% 2.94% 0.89% -3.43% -36.55% 64.03% 23.19% 44.09% 22.09 2.12 1.34% 上证全指 2790.39-17.31% 2.62% -0.23% -2.57% -32.06% 51.13% 19.56% 37.57% 12.47 1.42 2.42% 上证 100 5822.52-20.16% 3.45% 3.58% -0.50% -32.25% 77.81% 24.29% 47.56% 23.55 2.85 1.42% 上证 150 6146.10-20.36% 3.57% 3.11% -0.49% -27.58% 125.97% 25.96% 49.48% 55.86 3.85 0.29% 市值百强 2174.97-13.79% 2.19% -1.24% -1.99% -28.74% 38.72% 17.30% 35.33% 9.89 1.19 3.02% 上证能源 1408.54-13.38% 2.65% -0.09% -3.55% -43.11% -13.31% 22.19% 41.34% 28.35 1.10 1.95% 上证材料 1644.62-14.97% 1.62% 1.35% -1.98% -37.42% 22.91% 22.97% 47.55% 39.13 1.77 0.77% 上证工业 1974.30-26.87% 2.97% -2.85% -9.69% -46.63% 54.65% 19.85% 44.71% 15.86 1.62 1.12% 上证可选 2596.84-21.21% 2.75% -0.85% -3.65% -32.25% 60.61% 21.56% 42.15% 16.93 2.25 2.46% 上证消费 5803.38-7.31% 4.14% 3.15% 3.98% -21.27% 44.85% 22.19% 37.39% 25.50 3.54 1.30% 上证医药 5477.80-18.47% 4.11% 1.74% -1.14% -22.62% 37.72% 21.70% 42.12% 33.20 3.69 1.08% 上证金融 4125.79-10.98% 1.74% -2.11% -0.87% -21.57% 50.95% 15.89% 34.28% 7.19 1.02 4.11% 上证信息 4104.57-19.83% 3.27% 4.04% -1.24% -33.02% 134.88% 35.01% 48.61% 45.42 4.41 0.49% 上证电信 2696.68-19.01% 2.25% 3.57% 3.88% -27.45% 82.41% 29.30% 52.77% 25.71 1.84 1.14% 上证公用 2093.30-22.70% 1.95% -0.92% -5.96% -43.99% 47.06% 16.54% 38.02% 13.32 1.86 2.26% 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 1515.28-18.43% 4.10% 3.61% -0.10% -25.44% 110.57% 27.73% 47.17% 51.59 3.99 0.48% 中证流通 4935.49-16.50% 3.26% 2.80% 0.32% -26.34% 84.97% 23.45% 40.18% 19.13 2.07 1.44% 商业指数 4343.02-23.13% 3.20% 2.71% -4.11% -29.93% 114.89% 28.50% 48.34% 29.03 2.80 0.85% 工业指数 2336.41-17.07% 3.18% 2.17% -1.36% -32.78% 44.01% 21.40% 39.18% 26.95 2.09 1.22% 上证流通 1068.28-17.63% 2.85% 0.66% -1.97% -30.89% 62.67% 20.55% 38.57% 13.90 1.56 2.11% 11/25
A 股指数 3066.50-17.22% 2.64% 0.45% -2.45% -31.55% 48.05% 19.26% 36.13% 13.90 1.56 2.11% 新综指 2472.75-17.22% 2.64% 0.45% -2.46% -31.55% 48.06% 19.27% 36.14% 13.90 1.56 2.11% 上证指数 2929.61-17.22% 2.64% 0.45% -2.47% -31.51% 48.02% 19.26% 36.13% 13.92 1.56 2.10% B 股指数 346.75-18.68% 1.99% -0.55% -7.57% -19.71% 45.29% 20.02% 43.98% 23.70 1.38 0.18% 地产指数 5285.44-19.52% 2.14% -0.61% -3.71% -31.53% 67.97% 20.03% 44.55% 10.26 1.35 2.19% 综合指数 2597.19-14.74% 2.04% -1.19% -2.16% -26.57% 46.21% 16.76% 32.15% 8.47 1.15 3.45% 公用指数 5241.34-25.03% 2.05% -2.53% -8.77% -42.03% 67.62% 19.22% 44.74% 15.81 1.53 1.78% 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 黄金采掘 9 2,333 1,225 1428.09 14.36% -2.92% 12.95% 14.32% -1.52% -- 84.06 3.94 中证白酒 13 7,628 3,156 3308.96 11.60% 3.96% 11.45% 18.00% -4.65% -- 24.09 4.19 军工信息 150 26,529 14,516 3118.67-16.11% 4.50% 9.31% 5.48% -21.18% -- 64.60 4.53 中证国防 40 7,517 3,565 1710.11-16.55% 4.80% 8.54% 1.00% -34.42% -- 87.03 5.06 中证高新 100 13,867 7,890 2011.53-14.46% 4.56% 8.50% 7.26% -17.55% -- 58.10 4.72 中证军工 72 12,717 6,562 11255.52-19.95% 4.80% 7.75% -0.32% -34.50% -- 71.00 4.13 智能资产 180 25,268 14,269 11624.87-12.98% 3.64% 7.62% 8.18% -13.59% 198.90% 35.02 3.94 信息安全 99 16,269 9,248 1950.54-19.44% 4.38% 7.53% 3.77% -25.76% -- 64.30 5.26 中证安防 28 5,051 2,373 2996.75-16.35% 3.43% 7.32% 0.22% -22.05% -- 34.24 4.78 CS 新能车 79 13,191 6,878 2525.03-6.15% 1.40% 7.06% 12.74% -3.05% -- 46.43 4.17 CS 计算机 100 16,018 8,312 8644.98-23.55% 5.02% 7.03% 1.53% -31.34% -- 70.06 5.35 中证酒 28 9,255 3,876 2283.7-0.81% 3.64% 7.03% 11.88% -18.00% -- 26.23 4.03 CS 能源互 59 8,845 4,599 1724.37-14.72% 1.73% 6.62% 3.37% -21.54% -- 35.50 3.25 细分食品 50 13,295 5,975 8727.26 0.92% 4.09% 6.48% 10.13% -12.86% 51.61% 27.55 4.23 军工指数 49 10,029 5,118 1508.2-19.21% 4.76% 6.35% -1.60% -35.61% 126.00% 83.12 4.27 中证安全 79 11,451 5,896 2802.83-18.45% 3.86% 6.28% 3.75% -23.78% -- 36.34 4.12 上证高新 50 8,768 4,923 1732.83-14.41% 3.16% 5.99% 6.22% -27.60% 125.34% 49.44 4.03 智能家居 100 26,849 14,524 3203.96-18.21% 4.51% 5.99% 3.40% -23.75% -- 29.73 3.91 食品饮料 50 13,907 6,184 8861.44-0.54% 3.98% 5.97% 8.78% -13.41% 46.14% 26.79 4.22 中证新能 80 16,741 8,425 1776.25-16.40% 2.57% 5.47% 2.99% -21.67% -- 39.55 3.11 12/25
CS 食品饮 83 18,029 7,621 8482.28-3.34% 3.73% 5.42% 6.99% -15.24% -- 28.02 3.96 工业 4.0 46 6,019 3,277 2771.19-18.56% 3.62% 5.32% 5.21% -28.10% -- 45.02 3.57 细分有色 50 9,210 5,008 4757.46-5.31% 1.69% 5.20% 4.87% -29.05% 26.23% 90.65 2.95 CS 汽车 AM 39 11,834 7,305 2369.74-17.85% 3.18% 5.16% 3.05% -28.53% -- 13.91 1.89 中证民企 1733 201,389 95,584 2396.94-15.91% 3.77% 5.02% 2.33% -19.96% 121.38% 39.29 3.78 中小医疗 83 7,283 3,841 14340.57-20.80% 4.77% 5.00% -0.42% -26.63% -- 48.43 3.82 优势资源 38 22,269 4,548 3303.36-3.89% 1.45% 4.98% 4.87% -30.90% 17.78% 40.47 1.33 CS 智慧农 41 5,694 3,030 1620.15-18.00% 2.88% 4.98% 2.72% -26.73% -- 28.04 2.39 中证软件 100 19,973 10,178 10593.21-20.14% 5.61% 4.98% 0.94% -27.38% -- 72.35 6.81 中证环保 100 21,026 9,878 1722.93-18.81% 3.25% 4.80% 0.99% -28.47% 71.45% 24.79 2.69 智能交通 50 11,003 5,760 2506.65-18.82% 3.35% 4.59% 1.07% -29.10% -- 35.79 3.96 中证中药 47 7,306 3,926 10597.47-20.33% 4.51% 4.53% 0.77% -25.28% -- 28.12 3.53 中证海洋 70 13,643 5,920 1555.31-22.23% 4.75% 4.47% -3.75% -33.42% -- 37.97 2.36 浙江民企 248 28,422 13,146 9303.37-13.92% 3.56% 4.31% 1.80% -19.38% 139.04% 44.16 3.88 医药 100 100 20,163 10,294 13191.33-16.70% 4.71% 4.07% 1.94% -23.33% 86.30% 32.40 3.91 高端装备 60 13,285 6,327 8646.39-22.17% 4.10% 4.02% -2.93% -37.03% 100.61% 39.02 2.67 300 有色 10 3,925 1,971 3200.22-2.45% 0.35% 3.99% 5.86% -28.96% 15.16% 102.87 2.56 中证医疗 42 4,612 2,433 8478.34-20.15% 4.92% 3.95% 2.28% -32.25% -- 56.05 5.26 上证汽车 46 9,381 3,438 5114.81-12.36% 2.87% 3.95% 3.60% -20.70% -- 15.28 2.04 轻工产业 60 20,141 10,185 3013.78-5.82% 3.49% 3.89% 5.06% -20.12% 56.61% 19.22 3.06 上证军工 30 6,672 3,386 8636.85-22.35% 4.31% 3.80% -4.60% -41.75% -- 60.69 3.36 优势制造 50 8,954 4,328 6891.72-24.08% 4.14% 3.74% -5.16% -40.13% 58.96% 35.54 2.85 细分化工 50 9,321 4,340 3132.82-21.06% 1.71% 3.74% -3.76% -28.02% 61.11% 31.63 2.47 沪绿色城 50 11,346 5,054 1749.71-13.99% 3.00% 3.74% 3.42% -22.00% -- 18.23 2.29 A 股资源 50 30,958 6,722 3899.93-6.00% 2.98% 3.71% 2.10% -32.62% 9.04% 32.77 1.26 浙企综指 298 36,045 16,424 7567.27-15.36% 3.47% 3.69% 0.81% -22.59% 125.38% 34.99 3.31 CS 智消费 100 24,736 12,964 2398.3-14.79% 3.66% 3.68% 3.25% -23.98% -- 21.37 3.03 中证高装 200 41,302 20,438 4907.15-19.61% 3.05% 3.67% -0.15% -32.89% -- 39.91 3.12 机器人 50 6,057 2,830 1538.62-17.94% 3.19% 3.65% 1.95% -27.00% -- 46.57 4.31 沪智交通 16 2,913 1,792 2187.52-21.16% 4.69% 3.58% 0.25% -35.06% -- 41.61 3.29 中证汽车 86 15,654 6,711 5699.34-13.07% 3.02% 3.57% 1.70% -21.56% -- 18.62 2.37 中证 TMT 100 29,242 14,929 2321.05-20.52% 5.15% 3.53% 1.18% -26.05% 130.92% 39.35 3.69 CS 土改农 34 3,859 1,835 1162.13-20.02% 3.38% 3.51% -0.71% -31.56% -- 32.57 2.50 13/25
中小国改 100 11,886 5,657 1579.57-23.70% 3.43% 3.40% -2.22% -36.60% -- 28.57 2.52 有色产业 29 6,991 3,911 1851.27-3.71% 0.85% 3.28% 5.76% -27.21% 25.61% 91.73 2.58 医药生物 100 20,063 10,129 8790.35-16.23% 4.03% 3.26% 1.43% -23.04% 53.56% 32.21 3.87 CS 电子 100 21,145 10,643 5564.79-12.48% 2.84% 3.20% 3.35% -22.58% -- 37.52 3.38 上证资源 47 28,896 5,784 1828-8.19% 1.73% 3.20% 2.23% -36.12% 3.74% 32.80 1.24 资源 50 50 29,601 6,397 2185.64-12.50% 1.85% 3.19% -0.26% -36.10% 7.14% 31.79 1.26 新能源 50 12,276 5,969 1518.61-21.69% 2.95% 3.09% -0.78% -32.64% 55.53% 36.87 3.00 沪智家居 39 7,455 4,352 3160.46-20.51% 4.59% 3.09% 1.80% -27.95% -- 35.15 3.42 绿色城镇 100 22,677 11,126 1737.8-14.53% 2.60% 3.09% 2.27% -22.54% -- 22.77 2.65 智慧城镇 100 26,089 13,484 2413.73-20.14% 4.07% 3.08% -0.61% -32.83% -- 37.97 4.19 上证 TMT 50 9,328 5,284 2429.96-21.51% 4.20% 3.08% 0.90% -29.26% -- 36.68 2.78 西部开发 43 14,747 7,215 5719.88-11.94% 4.11% 3.04% 1.69% -29.67% 56.93% 20.70 3.17 上证商品 50 29,317 6,231 1586.87-12.98% 2.02% 3.04% -0.09% -36.96% 6.59% 32.66 1.25 有色金属 50 10,363 5,647 4369.25-6.01% 1.91% 3.01% 4.32% -26.22% 31.72% 83.54 2.94 上证上游 45 28,735 5,667 2075.63-7.67% 1.69% 2.98% 2.35% -35.60% 4.79% 32.71 1.24 中证煤炭 30 6,652 1,719 1414.68-7.92% 2.44% 2.97% 0.18% -34.39% -- 28.24 1.18 沪西部 38 11,950 5,974 4963.1-12.21% 3.58% 2.91% 1.81% -28.88% 54.71% 25.62 3.22 大消费 360 89,049 40,751 8613.28-18.13% 3.85% 2.88% 0.52% -25.22% 96.06% 24.95 3.09 煤炭指数 29 6,619 1,739 2234.27-8.12% 2.16% 2.88% -1.80% -39.73% 3.15% 28.00 1.19 大宗商品 93 36,805 9,870 3925.28-10.54% 2.67% 2.88% 1.35% -27.27% 47.01% 31.94 1.33 资源优选 200 54,294 17,728 2195.69-15.32% 2.39% 2.84% -1.26% -35.38% -- 33.82 1.51 TMT 150 150 34,741 18,044 1952.91-20.94% 4.62% 2.80% 0.41% -29.75% -- 42.29 3.84 移动互联 100 23,013 12,059 2653.94-20.73% 4.33% 2.79% -1.48% -30.79% -- 46.85 4.33 细分医药 50 12,209 6,259 7828.36-15.66% 4.22% 2.79% 0.11% -20.06% 39.26% 30.97 3.86 煤炭等权 30 6,652 1,719 1894.33-8.99% 2.29% 2.78% 0.29% -34.06% -- 28.24 1.18 互联金融 59 21,776 12,677 3316.22-19.91% 3.97% 2.71% -2.27% -31.12% -- 12.77 1.71 健康产业 100 23,765 11,252 1832.71-16.88% 3.98% 2.70% -0.43% -23.57% -- 28.33 3.51 中部崛起 43 11,648 5,477 3002.75-16.45% 3.01% 2.70% -0.30% -30.07% 22.14% 19.89 2.24 技术领先 200 53,120 26,100 6819.05-19.15% 3.82% 2.65% 0.28% -27.34% 82.89% 33.92 3.19 电子产业 138 35,924 19,551 3208.45-16.00% 3.76% 2.58% 2.52% -27.55% 90.57% 30.75 3.27 资源 80 80 35,813 9,476 2725.77-11.23% 1.94% 2.56% 0.83% -30.10% 15.68% 31.73 1.34 城镇交通 100 30,952 13,976 2156.03-18.38% 2.94% 2.55% 0.44% -27.70% -- 21.95 2.62 优势消费 50 14,148 7,218 5170.42-14.32% 4.37% 2.55% 0.32% -22.19% 34.93% 28.53 3.89 14/25
石化产业 18 19,062 2,221 1013.76-14.45% 2.53% 2.55% -1.41% -31.51% 29.41% 27.44 1.10 领先行业 150 67,097 27,874 8083.08-11.68% 2.82% 2.52% 1.82% -19.93% 81.79% 9.46 1.49 沪智慧城 50 9,867 5,747 2246.69-22.67% 3.53% 2.50% -2.54% -38.60% -- 31.99 3.19 180 资源 15 23,173 3,287 2217.56-5.36% 1.10% 2.46% 2.14% -34.52% -9.26% 30.28 1.13 上证环保 40 10,609 4,507 1567.59-22.05% 3.40% 2.37% -4.86% -34.55% 63.94% 19.32 2.47 中证上游 50 30,741 6,641 2292.07-7.94% 1.75% 2.26% 1.93% -35.45% -2.46% 33.04 1.26 环保 50 50 14,828 6,429 1620.96-20.11% 2.78% 2.26% -1.44% -29.33% -- 21.70 2.65 CS 福建 34 7,287 4,406 1897.66-18.45% 3.47% 2.22% 3.42% -34.51% -- 10.04 1.36 沪互金融 17 11,987 7,819 3078.85-22.14% 3.41% 2.14% -1.24% -33.56% -- 9.27 1.37 新材料 50 10,267 5,668 2765.79-9.33% 2.14% 2.09% 5.07% -22.65% -- 50.07 3.09 医药主题 50 9,422 5,162 9607.17-19.42% 4.36% 1.92% -0.14% -25.66% 67.42% 31.49 3.50 沪消费品 50 13,315 6,664 6152.13-16.28% 4.19% 1.89% -0.50% -23.70% 48.94% 27.69 3.68 内地资源 49 29,333 6,379 2389.97-7.12% 1.60% 1.84% 2.35% -33.11% -0.56% 34.17 1.24 上证城镇 178 52,902 24,894 1768.44-19.08% 3.26% 1.84% -1.69% -32.58% -- 18.63 2.24 船舶产业 3 1,677 797 1714.29-33.49% 3.27% 1.81% -11.95% -57.13% 43.57% 432.89 2.08 内地农业 40 7,681 4,301 4443.78-13.28% 2.72% 1.78% -0.98% -25.05% 40.19% 24.33 2.48 内地消费 50 30,963 13,823 5443.96-10.45% 3.34% 1.76% 1.50% -23.01% 45.08% 16.79 2.65 汽车产业 32 10,071 4,437 3924.09-13.18% 2.14% 1.68% -0.41% -25.03% 66.52% 14.11 1.99 农业主题 40 5,844 3,004 1130.44-19.15% 3.48% 1.63% -3.86% -30.69% 65.75% 30.42 3.15 混合改革 65 24,176 8,174 1603.49-20.35% 3.53% 1.63% -4.46% -39.15% -- 15.41 1.51 内地低碳 50 15,594 7,109 1188.8-18.92% 2.60% 1.62% -1.64% -29.36% 47.75% 24.07 2.82 沪城交通 50 17,080 6,972 2067-19.99% 3.46% 1.60% -0.79% -30.77% -- 17.44 2.04 城镇消费 100 48,554 20,677 1324.39-13.29% 3.37% 1.58% 0.34% -23.64% -- 19.86 2.95 中证城镇 233 90,841 41,452 1734.18-16.23% 2.92% 1.52% -0.47% -25.78% -- 20.15 2.64 装备产业 84 19,014 9,279 1889.41-25.19% 3.44% 1.51% -5.45% -43.02% 46.27% 38.36 2.57 沪大农业 50 5,290 2,387 1282.91-22.27% 3.52% 1.47% -6.46% -32.31% -- 33.07 2.80 中证下游 200 71,925 33,490 4540.98-15.89% 3.65% 1.46% -0.25% -28.16% 55.56% 22.87 2.89 消费 50 50 21,333 9,383 5706.56-12.94% 3.64% 1.46% 0.33% -25.69% 48.94% 18.33 2.58 消费 80 80 27,792 12,883 3434.06-15.10% 3.76% 1.36% -0.39% -25.20% 42.67% 20.30 2.78 中证核电 50 8,408 3,495 2930.81-28.13% 2.79% 1.36% -7.16% -41.62% -- 24.01 1.92 细分能源 50 25,635 3,794 1957.48-12.45% 3.22% 1.32% -1.78% -41.21% -9.63% 28.89 1.13 民企 200 200 63,647 29,403 1608.63-17.29% 3.09% 1.31% -1.88% -26.79% 52.57% 24.04 2.99 细分农业 50 7,611 2,963 5549.72-11.69% 2.69% 1.29% -0.70% -22.56% 61.98% 28.29 3.00 15/25
东北振兴 37 8,159 4,492 4137.98-19.98% 3.21% 1.23% -2.21% -35.31% 41.78% 23.50 2.21 中证新兴 100 41,143 20,262 7616.67-18.89% 3.41% 1.21% -1.58% -30.79% 66.59% 26.39 2.94 沪城消费 50 20,491 10,321 1302.55-15.53% 3.61% 1.17% -1.38% -26.54% -- 18.68 2.54 信息产业 100 33,954 16,689 5230.14-19.97% 3.94% 1.16% -0.24% -31.02% 76.80% 34.97 3.46 兴证海西 167 20,979 11,164 1540.78-18.13% 3.38% 1.14% -0.38% -22.14% 91.76% 20.07 2.39 上证新兴 50 23,068 10,340 6396.44-19.17% 3.23% 1.12% -2.99% -35.46% 65.04% 24.29 2.50 上证下游 176 44,805 20,764 3324.76-18.48% 3.37% 1.07% -2.00% -31.46% 55.87% 21.17 2.44 中证中游 250 62,837 29,958 2875.39-21.58% 3.27% 1.07% -3.89% -36.84% 55.56% 23.93 2.00 沪信息业 50 12,204 6,579 4569.58-22.90% 3.20% 1.06% -1.59% -35.64% 89.43% 33.51 2.85 CS 轻资产 100 66,467 30,957 4346.73-13.74% 3.59% 1.05% 0.09% -25.18% -- 19.39 2.74 中证地企 669 104,517 50,684 1230.68-16.44% 2.92% 1.01% -0.94% -29.11% 60.63% 16.97 1.85 CS 京津冀 41 7,401 3,290 1903.62-21.38% 2.81% 1.01% -3.91% -37.83% -- 19.92 1.72 互联网 150 51,525 26,937 2762.85-19.64% 3.90% 0.98% -1.63% -29.88% -- 20.07 2.35 上证健康 50 10,019 5,631 1334.98-21.76% 3.84% 0.97% -2.44% -27.02% -- 29.66 3.40 上证移动 50 10,727 5,781 2232.81-23.45% 3.07% 0.86% -3.88% -37.09% -- 28.31 2.96 国企改革 100 34,576 14,136 1272.95-23.66% 3.13% 0.84% -4.76% -39.73% -- 17.16 1.84 中证国企 993 238,227 92,639 1148.39-17.20% 2.82% 0.80% -1.82% -31.84% 60.58% 13.28 1.49 沪中部 36 8,287 3,648 2951.26-19.18% 3.32% 0.79% -2.56% -33.30% 21.13% 18.30 1.98 非周民企 100 39,884 16,766 1300.9-16.91% 3.42% 0.79% -1.62% -24.17% -- 26.37 3.69 CS 广东 47 9,578 4,183 1701.85-22.75% 2.55% 0.79% -3.02% -35.58% -- 17.91 2.01 持续产业 40 11,372 4,744 1029.1-22.18% 2.74% 0.74% -4.12% -35.14% 44.41% 21.20 2.57 精工制造 200 51,693 23,168 2853.19-24.28% 3.21% 0.74% -5.65% -40.87% -- 21.68 2.00 沪投资品 50 15,423 6,136 3797.68-18.26% 2.84% 0.69% -4.45% -40.94% 17.60% 34.62 1.73 高铁产业 28 7,141 2,936 2049.17-25.40% 4.43% 0.69% -5.68% -37.97% -- 19.47 1.94 沪东北 31 6,668 3,938 3560.97-18.51% 3.54% 0.65% 0.16% -33.43% 44.97% 24.68 2.20 CS 西部 44 4,470 2,280 1396.96-21.92% 2.35% 0.56% -4.39% -33.02% -- 37.48 2.16 中证央企 324 133,710 41,955 1726.03-18.13% 2.70% 0.54% -2.90% -34.93% 60.24% 11.42 1.29 300 非周 190 90,198 41,575 3370.75-18.07% 3.19% 0.54% -2.47% -32.51% 41.27% 19.07 2.31 消费服务 100 104,238 40,416 6171.24-13.64% 3.45% 0.45% -0.04% -23.33% 48.92% 9.53 1.32 细分地产 50 15,873 7,341 6183.75-19.89% 1.96% 0.44% -3.09% -19.81% 83.40% 16.74 2.07 消费领先 100 87,173 35,222 6139.48-16.73% 3.51% 0.41% -2.00% -27.78% 54.66% 8.77 1.22 中证钢铁 41 6,263 2,296 1108.71-21.68% 2.66% 0.41% -4.04% -46.81% -- 69.84 1.31 上证中游 185 42,475 19,463 2586.19-23.80% 3.44% 0.38% -5.75% -40.58% 62.67% 21.82 1.88 16/25
上国改革 50 25,482 9,739 1319.2-22.84% 3.27% 0.34% -5.29% -37.46% -- 15.31 1.74 中证文体 100 22,598 10,393 2793.79-23.26% 5.34% 0.15% -4.22% -29.87% -- 43.35 4.57 300 信服 54 22,324 11,183 2119.71-20.90% 4.05% 0.07% -1.07% -31.33% 40.63% 33.30 3.44 内地地产 50 15,175 7,140 6439.84-20.34% 2.01% 0.06% -3.91% -18.98% 85.12% 16.75 2.02 钱江 30 30 9,392 3,868 1081.91-18.09% 2.99% 0.06% -6.26% -31.35% -35.52% 19.70 2.78 上证民企 50 18,031 10,502 1454.87-17.61% 2.54% 0.04% -3.73% -29.88% 41.91% 18.29 2.25 泛珠三角 47 35,069 20,459 5759.49-8.86% 2.20% -0.04% 1.10% -17.72% 58.93% 12.92 1.93 300 消服 21 10,344 5,377 5049.46-17.17% 2.17% -0.09% -3.21% -33.55% 69.09% 15.28 2.25 非周期 100 50,090 22,221 2220.45-20.29% 3.26% -0.10% -4.80% -36.87% 40.92% 16.55 1.99 沪股通 567 213,066 81,658 2592.9-17.35% 2.60% -0.14% -2.54% -31.66% 54.54% 12.59 1.44 环渤海 49 63,101 12,966 2178.85-17.12% 2.49% -0.15% -1.82% -34.31% 28.70% 10.92 1.18 上证龙头 69 94,321 27,461 2828.51-17.32% 2.56% -0.16% -2.80% -31.53% 50.56% 10.47 1.18 细分机械 50 14,143 6,689 4057.02-27.21% 2.75% -0.18% -6.66% -44.10% 42.43% 34.70 2.50 CS 稀金属 17 3,479 1,743 1283.31-1.79% 3.08% -0.26% 7.23% -7.92% -- 103.99 4.18 沪环渤海 44 60,633 11,183 2018.79-16.87% 2.12% -0.30% -2.11% -34.17% 35.12% 10.55 1.17 文体休闲 50 16,752 7,676 1488.24-22.15% 5.59% -0.33% -3.12% -30.30% -- 38.25 4.33 沪互联网 82 23,054 13,936 1952.54-20.78% 3.10% -0.43% -2.61% -31.69% -- 13.95 1.72 城镇基建 100 28,431 12,527 1576.08-21.54% 2.72% -0.48% -5.63% -30.05% -- 14.73 1.63 中证文化 50 16,630 7,546 2689.92-23.83% 5.66% -0.49% -4.20% -32.21% 98.34% 42.57 4.79 800 证保 33 29,644 15,104 5585.57-16.13% 3.35% -0.54% -2.24% -31.68% -- 12.52 1.94 上证养老 40 20,095 10,610 8764.85-22.16% 3.26% -0.59% -3.47% -26.75% -- 18.07 2.31 地企 100 100 58,966 27,660 978.71-12.96% 2.53% -0.60% -0.68% -27.57% 43.00% 12.76 1.63 中证证保 30 28,724 14,576 913.4-15.69% 3.26% -0.60% -2.21% -31.47% -- 12.40 1.95 中证旅游 23 2,806 1,312 4119.99-24.11% 1.91% -0.64% -10.26% -29.12% -- 30.45 3.09 国企 200 200 171,178 58,756 927.7-15.43% 2.30% -0.72% -2.46% -32.02% 44.27% 10.97 1.29 300 非银 31 29,334 14,924 8332.97-15.24% 3.10% -0.72% -1.82% -30.94% 72.28% 12.44 1.94 CS 休闲娱 100 17,360 7,361 6139.38-27.77% 4.62% -0.75% -7.35% -33.10% -- 37.84 3.98 ESG 100 100 113,060 41,538 920.66-16.98% 1.95% -0.77% -3.14% -33.29% 49.71% 8.67 1.16 中证服务 300 164,563 66,121 4121.61-20.50% 3.03% -0.81% -3.91% -33.26% 69.08% 10.80 1.43 央企 100 100 112,213 31,096 1467.52-17.57% 2.09% -0.82% -4.03% -35.50% 45.07% 10.23 1.17 中证基建 54 12,125 4,919 7896.36-25.13% 3.14% -0.84% -7.52% -40.99% -- 17.53 1.57 一带一路 87 40,500 11,039 1441.08-25.22% 3.16% -0.85% -8.00% -43.00% -- 20.63 1.31 上证文化 42 6,043 2,896 1962.85-25.44% 2.73% -0.87% -6.45% -34.86% 68.47% 35.39 3.21 17/25
沪城基建 50 18,165 7,058 1484.59-24.13% 3.05% -1.02% -6.88% -36.82% -- 12.88 1.46 治理指数 313 128,393 50,367 886.88-17.41% 2.31% -1.02% -3.03% -32.71% 48.88% 10.71 1.27 中证传媒 50 15,404 6,898 2377.47-23.27% 6.06% -1.08% -2.82% -29.38% -- 42.18 4.93 上证休闲 49 6,649 3,155 1298.73-25.58% 2.75% -1.23% -7.39% -35.09% -- 36.93 3.29 长三角 48 31,162 13,954 3807-13.76% 2.49% -1.33% -2.38% -25.81% 67.90% 12.59 1.59 CS 上海 47 12,614 5,546 2783.22-26.03% 2.95% -1.36% -6.78% -28.08% -- 21.78 2.39 上证央企 50 92,449 22,386 1293.65-17.43% 2.08% -1.37% -4.03% -35.72% 37.89% 9.39 1.06 沪珠三角 43 26,201 15,491 4128.28-11.47% 2.39% -1.37% -0.20% -22.07% 54.23% 11.75 1.68 上证国企 100 129,299 40,616 866.1-14.80% 2.19% -1.40% -2.46% -30.67% 39.74% 9.75 1.16 300 周期 110 128,933 43,676 3170.19-12.89% 1.84% -1.43% -1.54% -26.45% 44.91% 9.62 1.14 上证地企 50 36,850 18,231 969.37-11.48% 2.33% -1.45% -0.54% -23.08% 41.57% 10.83 1.49 基建工程 50 11,790 4,654 4908.41-24.44% 3.68% -1.46% -8.74% -40.70% -- 12.66 1.32 稀土产业 28 5,393 2,735 1613.22-8.61% 3.52% -1.48% 12.76% -22.79% -- 56.57 2.87 细分金融 50 81,629 30,932 5285.57-11.84% 2.08% -1.56% -0.83% -23.43% 55.42% 7.40 1.06 800 金融 49 81,412 30,867 5281.65-11.78% 2.06% -1.56% -0.78% -23.30% 55.59% 7.39 1.05 内地金融 48 80,884 30,603 5552.69-11.65% 2.05% -1.58% -0.73% -22.96% 55.93% 7.37 1.05 纺织产业 23 3,587 1,579 1905.66-23.55% 1.46% -1.65% -6.72% -36.06% 76.93% 24.70 2.88 中证保险 20 22,458 11,760 1510.21-14.80% 1.86% -1.67% -0.91% -24.00% -- 11.38 1.55 上证海外 44 87,884 23,956 1005.13-13.26% 1.81% -1.68% -1.78% -29.43% 41.17% 9.23 1.04 沪新丝路 56 36,576 8,934 1354.46-25.63% 3.21% -1.77% -9.03% -45.39% -19.27% 20.07 1.26 中证体育 36 4,873 2,497 2616.32-23.48% 5.04% -1.84% -8.81% -30.96% -- 47.71 4.48 沪长三角 47 27,975 12,281 2899.22-14.87% 2.36% -1.84% -2.91% -27.20% 65.77% 11.95 1.45 责任指数 100 59,652 27,651 1101.93-14.73% 2.10% -1.92% -2.58% -25.79% 48.96% 10.08 1.27 180 治理 100 101,996 37,651 774.32-16.15% 1.92% -1.96% -3.17% -31.90% 38.21% 9.34 1.17 上证沪企 50 29,330 12,420 2108.95-18.54% 2.27% -2.07% -3.87% -30.80% 59.12% 11.64 1.46 300 公运 39 18,866 6,922 1388.26-23.95% 1.41% -2.11% -6.23% -45.82% 44.63% 14.62 1.75 保险主题 20 32,383 11,882 1520.39-12.75% 1.41% -2.19% -0.83% -21.48% -- 14.03 1.30 ESG 40 40 66,721 22,270 1123.87-18.36% 1.87% -2.19% -4.06% -34.48% 43.79% 7.68 1.02 上证基建 34 10,185 3,786 7976.51-28.29% 3.56% -2.19% -10.04% -44.89% -- 15.45 1.51 180 金融 36 72,646 27,057 4349.2-11.44% 1.82% -2.23% -1.06% -22.37% 53.00% 7.15 1.01 上证周期 50 99,440 31,363 2629.61-12.18% 1.70% -2.25% -1.58% -25.35% 39.40% 8.75 1.04 内地银行 16 51,768 15,763 5313.65-8.21% 1.02% -2.39% 0.18% -15.83% 48.08% 5.99 0.84 内地基建 50 25,131 8,772 1722.36-24.53% 2.30% -2.43% -8.81% -44.99% 47.25% 12.53 1.42 18/25
上证银行 14 49,698 14,877 745.47-8.09% 0.97% -2.48% 0.12% -15.36% 47.40% 5.97 0.84 300 基建 39 23,141 7,948 1708.98-24.77% 2.18% -2.59% -8.68% -45.26% 45.03% 12.22 1.40 180 基建 25 19,379 6,734 1529.24-24.85% 2.26% -2.59% -8.15% -44.95% 47.46% 11.40 1.40 物流产业 22 6,180 2,283 1339.29-31.21% 2.81% -2.67% -12.95% -50.50% 82.75% 17.74 1.65 内地运输 29 9,217 3,504 1529.48-26.18% 1.46% -2.84% -8.34% -47.82% 75.60% 17.33 1.64 180 运输 12 6,300 2,328 873.75-26.11% 1.44% -3.01% -6.36% -49.68% 25.59% 15.83 1.55 钢铁产业 12 3,494 1,228 688.23-22.01% 1.93% -4.14% -9.38% -54.33% 15.37% 64.78 1.00 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 380R 成长 4670.27-20.69% 3.60% 4.11% -0.48% -32.03% 79.49% 26.72% 46.60% -0.74-0.01-0.31 380 成长 5522.22-19.25% 3.18% 4.04% -0.39% -30.04% 85.02% 26.03% 44.68% -0.73-0.01-0.30 500R 成长 5895.97-19.05% 3.95% 3.70% 0.64% -29.99% -- 28.48% 44.46% -0.73 0.01-0.28 500 成长 6814.99-16.64% 3.52% 3.46% 1.30% -27.11% -- 27.59% 43.53% -0.68 0.02-0.27 500R 价值 6608.18-20.28% 3.45% 2.10% -1.86% -32.65% -- 25.97% 47.04% -0.75-0.02-0.32 500 价值 7454.86-19.01% 2.85% 1.95% -1.48% -30.75% -- 24.16% 47.57% -0.70-0.02-0.31 380R 价值 6046.25-21.10% 3.13% 1.78% -3.63% -34.64% 96.00% 24.33% 48.71% -0.76-0.05-0.35 380 价值 7007.85-20.50% 2.71% 1.47% -3.47% -34.16% 101.54% 23.09% 47.20% -0.78-0.07-0.36 800R 成长 3556.73-18.07% 3.48% 1.37% -1.29% -30.00% -- 25.50% 41.28% -0.79-0.03-0.32 全 R 成长 2533.07-18.43% 3.14% 0.74% -2.31% -32.56% 38.57% 23.66% 41.06% -0.85-0.06-0.36 800 成长 3945.58-14.17% 2.83% 0.25% -0.81% -24.45% -- 21.20% 36.11% -0.75-0.03-0.33 300R 成长 2965.73-17.39% 3.27% 0.14% -2.54% -30.29% 29.16% 24.29% 40.82% -0.80-0.05-0.34 800R 价值 3919.79-15.56% 2.36% -0.18% -1.76% -29.98% -- 17.74% 35.95% -0.90-0.09-0.41 全指成长 2944.64-13.55% 2.32% -0.60% -1.05% -24.92% 40.71% 19.08% 34.72% -0.79-0.06-0.37 180R 成长 1657.20-17.41% 3.00% -0.62% -3.00% -32.39% 26.99% 22.28% 40.23% -0.87-0.09-0.39 300 成长 3380.43-14.12% 2.76% -0.64% -1.67% -24.00% 33.92% 20.74% 36.06% -0.73-0.03-0.33 19/25
800 价值 4248.66-13.95% 2.08% -0.66% -1.82% -27.72% -- 16.64% 34.74% -0.87-0.09-0.43 300R 价值 3139.37-13.96% 1.90% -0.97% -1.59% -28.86% 55.38% 15.08% 34.07% -0.92-0.12-0.47 全 R 价值 2985.18-16.37% 2.22% -0.99% -2.77% -31.63% 62.20% 16.52% 35.45% -0.96-0.12-0.46 300 价值 3523.64-12.28% 1.74% -1.14% -1.20% -25.78% 56.92% 14.51% 33.07% -0.86-0.10-0.47 全指价值 3129.33-13.53% 2.00% -1.30% -1.85% -27.55% 58.17% 15.56% 33.49% -0.90-0.11-0.46 180 成长 2517.61-12.59% 2.31% -1.55% -1.33% -23.89% 36.02% 19.04% 35.39% -0.75-0.06-0.38 180R 价值 2447.83-14.32% 1.74% -1.84% -2.43% -29.35% 51.77% 14.44% 33.45% -0.95-0.13-0.50 180 价值 3133.06-12.24% 1.52% -2.11% -1.59% -25.50% 52.51% 13.86% 32.57% -0.86-0.12-0.51 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 7896.86 3,073 1,751 39-19.87% 4.05% 5.98% 6.81% -21.22% 157.82% 1.45% 1.28% 医药红利 13932.04 4,592 2,517 64-14.08% 5.06% 3.96% 4.09% -11.64% 119.88% 1.45% 1.39% 信息红利 17823.93 6,274 3,111 63-12.05% 3.63% 3.60% 7.50% -11.98% 214.03% 1.19% 1.00% 材料红利 5013.53 5,728 2,912 95-16.90% 2.72% 3.42% -2.85% -32.38% 105.34% 1.78% 1.65% 消费红利 16020.67 11,801 5,673 212-3.68% 2.77% 3.35% 5.84% -13.89% 97.21% 2.14% 1.79% 红利回报 4496.01 23,810 11,569 475-6.23% 3.07% 2.87% 2.99% -15.21% 67.97% 2.62% 1.99% 民企红利 3211.05 8,713 5,150 302-15.95% 3.01% 2.38% -1.54% -21.51% 165.70% 3.59% 3.46% 沪消费红 12892.25 6,161 3,246 101-7.49% 3.91% 2.03% 1.02% -18.10% 88.29% 1.74% 1.65% 红利潜力 5005.78 41,901 12,967 1,068-5.23% 2.07% 2.03% 2.10% -13.08% 77.79% 2.89% 2.55% 沪医药红 6857.61 1,276 851 21-20.06% 4.83% 1.72% -0.70% -29.99% 31.53% 1.86% 1.68% 上红回报 3951.65 25,480 9,997 596-11.17% 3.50% 1.72% 1.53% -26.01% 59.78% 2.91% 2.34% 沪材料红 3628.55 4,915 2,401 78-19.73% 1.93% 1.67% -4.59% -34.08% 55.43% 1.69% 1.60% 可选红利 11498.83 9,522 4,480 458-15.88% 2.65% 1.59% -1.67% -19.35% 160.55% 4.98% 4.81% 500 红利 8044.19 5,955 3,077 117-19.91% 3.12% 1.04% -2.47% -31.48% 98.68% 2.20% 1.92% 上红潜力 3787.19 57,957 11,930 2,415-10.09% 2.10% 0.74% 0.45% -23.57% 48.34% 4.75% 4.17% 20/25
沪电信红 6483.13 1,406 682 28-24.68% 1.60% 0.23% -0.47% -34.21% 66.25% 2.40% 1.96% 380 红利 7602.87 4,676 1,646 152-16.24% 2.20% -0.19% -2.43% -31.31% 103.26% 3.56% 3.25% 上民红利 2203.99 8,032 4,881 263-23.47% 2.75% -0.32% -4.68% -35.67% 70.79% 3.30% 3.28% 中证红利 3703.50 100,489 30,460 4,080-15.35% 2.24% -0.45% -2.37% -27.64% 69.65% 4.68% 4.06% 金融红利 6456.55 53,403 17,446 2,668-12.75% 1.51% -0.51% -0.64% -21.05% 76.22% 5.44% 5.00% 300 红利 4252.66 90,434 25,527 3,788-12.68% 1.43% -0.72% -1.80% -28.07% 60.39% 4.86% 4.19% 能源红利 3646.37 20,074 1,757 461-12.76% 2.59% -0.82% -4.10% -42.14% -0.72% 2.61% 2.30% 沪可选红 9882.63 6,715 2,775 316-15.03% 2.06% -0.87% -0.75% -22.09% 112.26% 4.87% 4.70% 沪金融红 5070.25 48,625 14,449 2,576-11.99% 1.46% -0.95% -0.10% -23.06% 55.76% 5.78% 5.30% 工业红利 6675.74 10,158 3,428 196-20.33% 2.74% -1.08% -6.58% -32.89% 99.16% 2.83% 1.93% 国企红利 1303.59 83,406 21,786 3,629-13.57% 1.87% -1.10% -2.13% -30.81% 65.45% 4.95% 4.35% 央企红利 2320.21 70,478 15,350 2,939-15.17% 1.48% -1.25% -3.89% -35.97% 52.35% 5.04% 4.17% 红利低波 6891.19 65,226 21,267 3,156-12.57% 1.68% -1.37% -1.22% -27.81% -- 5.65% 4.84% 上央红利 1652.47 69,757 14,517 2,931-16.08% 1.37% -1.49% -3.67% -37.49% 50.11% 4.99% 4.20% 红利价值 6548.33 64,459 20,714 3,118-14.67% 1.56% -1.50% -2.85% -28.44% -- 5.67% 4.84% 沪信息红 9365.48 2,230 1,249 18-11.52% 3.34% -1.50% 4.75% -21.72% 182.94% 1.25% 0.82% 高分红 3640.61 96,072 28,249 3,883-10.30% 1.69% -1.63% -0.77% -23.20% -- 4.63% 4.04% 沪能源红 4457.88 19,881 1,554 457-11.37% 2.07% -1.66% -4.72% -43.49% -9.19% 2.63% 2.30% 上国红利 1021.46 60,584 15,696 2,950-14.45% 1.47% -1.97% -2.73% -33.29% 42.29% 5.82% 4.87% 上红低波 6010.97 65,370 20,561 3,034-15.16% 1.89% -2.03% -2.37% -31.03% -- 5.53% 4.64% 红利指数 2333.41 81,491 19,680 3,516-16.21% 1.69% -2.06% -3.27% -33.49% 40.83% 5.01% 4.32% 180 红利 2912.76 76,760 18,196 3,404-12.81% 1.30% -2.08% -2.39% -29.97% 43.88% 5.13% 4.44% 沪公用红 3481.66 6,599 2,353 172-24.20% 1.38% -2.15% -8.11% -49.86% 37.39% 5.05% 2.60% 上红价值 5515.58 62,771 19,178 2,964-16.44% 1.88% -2.35% -4.14% -31.22% -- 5.60% 4.72% 公用红利 3156.23 7,600 2,712 208-25.51% 1.18% -2.38% -9.31% -49.21% 40.54% 4.72% 2.73% 沪工业红 6028.84 10,107 3,202 178-20.50% 2.39% -2.44% -7.16% -35.73% 89.05% 3.02% 1.76% 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 淘金 100 8857.70-6.54% 4.45% 7.25% 8.15% -7.42% -- 25.43% 48.48% -0.20 0.22-0.09 信息等权 5503.37-19.81% 3.19% 6.01% 2.17% -29.62% 160.69% 35.68% 50.50% -0.64 0.04-0.26 转型成长 30190.30-4.59% 4.37% 5.43% 4.24% 2.35% -- 24.96% 52.31% 0.00 0.33 0.00 CS 医药 10677.68-11.49% 5.47% 5.41% 2.67% -4.45% -- 29.57% 44.56% -0.16 0.24-0.07 百发 100 12424.42-18.73% 3.85% 5.36% -0.48% -27.93% -- 28.80% 50.94% -0.60 0.08-0.24 500 两倍 3964.23-41.88% 7.44% 5.13% -3.75% -63.76% -- 54.71% 91.08% -0.73 0.01-0.29 腾讯济安 2319.94-11.72% 3.59% 5.05% 5.48% -19.12% -- 25.19% 45.02% -0.48 0.10-0.20 380 高贝 5871.06-20.71% 4.17% 4.57% -1.35% -32.21% 90.96% 28.55% 53.35% -0.65 0.02-0.28 500 高贝 5237.66-19.25% 4.14% 4.33% 1.98% -29.60% 105.48% 31.10% 47.58% -0.67 0.03-0.27 创业成长 1430.91-15.70% 4.30% 3.66% 0.69% -19.90% 55.02% 28.12% 41.90% -0.53 0.09-0.21 创业价值 1730.76-15.26% 3.24% 3.61% 1.23% -25.02% 141.88% 25.21% 46.68% -0.59 0.05-0.25 380 动态 4422.11-22.33% 3.62% 3.50% -3.03% -36.37% 73.90% 27.25% 47.72% -0.81-0.05-0.34 380ERC 8879.89-17.97% 3.30% 3.49% -0.19% -28.85% -- 26.07% 48.30% -0.65 0.02-0.28 500SER 7801.78-17.06% 3.32% 3.48% 0.92% -28.48% -- 26.68% 46.68% -0.66 0.03-0.27 380 等权 7456.59-18.79% 3.35% 3.34% -0.88% -29.61% 108.26% 25.93% 48.94% -0.66 0.01-0.28 500ERC 7707.42-17.73% 3.41% 3.34% 0.70% -28.12% -- 26.68% 45.92% -0.67 0.04-0.26 500 低贝 9484.21-15.35% 2.89% 3.32% 1.64% -26.51% 113.47% 23.17% 43.91% -0.66 0.02-0.27 500 稳定 8110.27-17.98% 3.35% 3.30% 0.78% -28.03% 107.73% 24.61% 45.20% -0.68 0.02-0.28 沪财中小 9542.83-18.14% 3.32% 3.16% -1.25% -25.53% 106.69% 26.36% 47.41% -0.59 0.05-0.25 500 等权 7434.24-18.08% 3.64% 3.11% 0.39% -29.16% 103.07% 26.92% 46.10% -0.69 0.02-0.28 500 波动 10451.95-12.89% 2.88% 3.05% 3.10% -24.07% 127.78% 23.19% 47.56% -0.56 0.05-0.25 380 动量 5234.39-24.28% 3.60% 3.01% -3.20% -40.05% -- 25.96% 47.67% -0.89-0.12-0.41 500 动态 4664.60-21.15% 4.08% 2.66% -1.76% -34.04% 73.55% 30.00% 46.32% -0.79-0.02-0.32 50 反两 690.75 17.16% -4.40% 2.61% 1.53% 26.45% -- 32.53% 69.88% 0.34-0.14-0.19 380 稳定 6067.66-19.55% 3.14% 2.47% -1.17% -30.22% 102.39% 24.01% 47.97% -0.68-0.01-0.31 电信等权 2539.92-21.93% 2.04% 2.39% -0.86% -27.48% 96.94% 27.74% 49.88% -0.60 0.03-0.27 380 低贝 5617.26-16.83% 2.68% 2.12% -0.22% -28.96% 117.25% 22.38% 43.49% -0.72-0.01-0.30 180 反两 1780.21 24.72% -4.56% 2.03% 3.49% 41.14% -- 35.66% 71.77% 0.54-0.06-0.26 800 等权 5813.21-18.24% 3.33% 1.90% -0.91% -30.43% 83.67% 25.11% 43.42% -0.76-0.01-0.31 材料等权 2650.54-15.41% 2.02% 1.89% -1.63% -34.37% 45.38% 24.41% 47.86% -0.77-0.06-0.35 22/25
380 基本 6283.82-19.46% 3.19% 1.84% -2.90% -34.42% 99.24% 24.67% 48.12% -0.77-0.05-0.34 新华金牛 5678.52-20.40% 3.76% 1.71% -1.23% -29.32% 238.45% 26.49% 40.68% -0.78 0.00-0.30 380 波动 8975.73-14.89% 2.95% 1.67% 0.72% -25.74% 136.80% 23.39% 48.34% -0.58 0.03-0.27 医药等权 7605.77-18.86% 4.52% 1.60% -0.33% -23.66% 49.46% 24.39% 45.14% -0.58 0.04-0.26 50 反向 2028.46 11.15% -2.18% 1.54% 1.53% 21.87% -- 16.31% 34.95% 0.55 0.01-0.30 可选等权 3162.66-20.11% 3.09% 1.32% -1.01% -29.52% 89.62% 24.25% 45.15% -0.71-0.01-0.31 能源等权 2434.23-14.03% 2.61% 1.31% -4.46% -43.16% 0.11% 27.54% 48.50% -0.94-0.17-0.47 180 反向 5398.11 15.00% -2.26% 1.27% 2.56% 29.15% -- 17.88% 35.89% 0.74 0.05-0.36 安中动态 872.26-15.17% 3.08% 1.09% -2.00% -31.90% 43.38% 21.44% 37.98% -0.91-0.10-0.41 300MV 5215.08-11.09% 2.13% 1.08% -0.03% -22.45% -- 15.95% 32.15% -0.78-0.04-0.35 300 低贝 4637.50-14.31% 2.04% 0.94% -0.39% -21.83% 50.01% 16.90% 36.64% -0.66 0.00-0.30 300SER 4393.14-18.98% 2.56% 0.77% -1.94% -33.55% -- 20.64% 39.30% -0.92-0.10-0.40 消费等权 5232.44-14.86% 3.33% 0.71% 3.15% -29.79% 39.31% 24.73% 42.82% -0.75-0.04-0.34 800 动量 2801.77-14.64% 2.78% 0.59% -1.34% -32.43% -- 19.33% 40.95% -0.85-0.12-0.45 央视 500 1043.51-16.01% 2.89% 0.48% -1.66% -30.12% -37.80% 20.82% 37.52% -0.87-0.07-0.37 300 反向 2216.30 14.36% -2.44% 0.43% 1.76% 26.43% -41.80% 18.95% 36.38% 0.66 0.00-0.30 300 分层 4303.61-16.73% 2.79% 0.41% -2.23% -32.12% 49.67% 21.75% 40.16% -0.86-0.07-0.37 200 动态 3127.25-22.23% 3.27% 0.35% -3.27% -38.55% -- 27.44% 47.68% -0.86-0.08-0.36 300 日报酬反向 1876.29 13.59% -2.46% 0.31% 1.41% 24.56% -- 18.92% 36.38% 0.61-0.01-0.28 300 反两 702.05 23.10% -4.91% 0.31% 1.79% 34.77% -77.34% 37.79% 72.75% 0.44-0.15-0.20 300ERC 4101.56-17.70% 2.57% 0.20% -2.38% -31.71% -- 21.20% 39.28% -0.87-0.07-0.37 300 波动 5473.04-10.73% 1.88% 0.19% 0.03% -25.76% 88.81% 16.15% 34.71% -0.81-0.07-0.39 200 稳定 4934.83-17.86% 2.20% 0.02% -2.13% -28.76% -- 21.44% 39.89% -0.78-0.04-0.34 富国多空 19875.83-8.75% 2.53% -0.05% -0.09% -13.32% 121.24% 18.55% 38.57% -0.41 0.07-0.20 300 等权 3861.97-18.53% 2.81% -0.08% -3.03% -32.48% 53.22% 22.39% 40.35% -0.87-0.07-0.37 300 动量 2901.87-12.03% 2.38% -0.11% -0.65% -32.50% -- 16.61% 40.39% -0.87-0.15-0.52 100 稳定 3007.57-7.18% 1.78% -0.19% 0.89% -18.38% -- 12.36% 29.65% -0.70-0.06-0.42 300 高贝 2812.25-19.40% 3.38% -0.21% -4.23% -32.56% 46.55% 27.09% 43.98% -0.80-0.04-0.33 180 分层 9085.78-19.33% 2.85% -0.26% -3.62% -35.50% 45.49% 21.30% 40.10% -0.95-0.11-0.42 180ERC 3862.68-18.30% 2.37% -0.27% -3.03% -33.59% -- 19.95% 39.60% -0.91-0.10-0.41 180 低贝 8215.81-16.60% 1.85% -0.27% -2.68% -25.73% 42.09% 15.47% 37.63% -0.75-0.06-0.38 300 稳定 3180.87-10.93% 1.88% -0.29% -0.01% -22.27% 55.06% 14.90% 31.53% -0.79-0.07-0.40 光大阳光 4221.64-10.75% 2.09% -0.30% 0.19% -20.22% 44.30% 16.97% 33.99% -0.67-0.03-0.34 23/25
等权 90 2609.73-15.75% 2.93% -0.34% -2.64% -30.01% 43.29% 21.05% 37.35% -0.87-0.08-0.38 中证龙头 3450.02-16.61% 2.63% -0.45% -2.62% -30.87% 48.28% 19.35% 35.87% -0.93-0.10-0.41 180 等权 7975.52-19.56% 2.70% -0.74% -4.06% -34.49% 56.45% 21.68% 40.68% -0.91-0.10-0.40 180 高贝 6168.46-19.91% 3.26% -0.79% -3.96% -33.69% 64.63% 25.92% 42.42% -0.85-0.06-0.36 180 动量 2202.80-12.39% 1.95% -0.80% -0.83% -33.38% -- 14.39% 40.65% -0.88-0.17-0.57 300 动态 3031.46-21.83% 3.48% -0.81% -5.00% -37.65% 34.36% 26.02% 43.10% -0.93-0.09-0.38 公用等权 2412.03-25.06% 2.71% -0.82% -7.34% -45.20% 50.11% 20.50% 45.52% -1.05-0.22-0.54 银河 99 5079.82-10.30% 2.04% -1.06% -0.63% -20.94% 61.52% 14.51% 32.72% -0.72-0.06-0.41 180 波动 10307.13-15.18% 1.99% -1.10% -2.48% -29.82% 71.07% 16.46% 36.81% -0.88-0.10-0.43 180 稳定 7321.18-10.88% 1.91% -1.11% -0.65% -22.90% 54.07% 14.20% 30.89% -0.82-0.09-0.45 300 日报酬两倍 1832.98-31.56% 5.03% -1.17% -4.54% -56.64% -- 37.90% 72.76% -0.81-0.12-0.37 财富大盘 3986.82-12.48% 1.92% -1.19% -1.47% -23.96% 66.45% 15.20% 32.10% -0.82-0.09-0.44 300 两倍 1253.77-33.06% 4.95% -1.53% -5.58% -58.57% 35.75% 37.99% 72.76% -0.84-0.14-0.39 180 动态 6487.41-23.49% 3.21% -1.68% -6.28% -40.06% 31.36% 26.08% 43.63% -0.98-0.11-0.39 50 基本 2300.19-11.45% 1.95% -1.72% -1.54% -23.54% 50.29% 14.48% 33.07% -0.79-0.10-0.47 50 等权 2073.89-16.18% 2.51% -1.74% -3.89% -31.70% 37.38% 19.21% 37.48% -0.91-0.11-0.43 180 基本 8713.55-13.54% 1.93% -1.77% -2.30% -27.81% 60.89% 15.11% 33.25% -0.91-0.11-0.48 小康指数 4230.27-18.19% 1.88% -1.82% -4.11% -37.83% 51.10% 17.00% 40.76% -0.99-0.16-0.48 工业等权 2661.31-25.89% 3.04% -1.88% -8.52% -44.27% 69.55% 21.36% 44.46% -1.05-0.18-0.48 100 动态 2606.76-20.01% 3.39% -1.93% -5.27% -35.95% -- 23.75% 41.01% -0.94-0.12-0.42 金融等权 4314.79-13.53% 1.83% -1.93% -1.92% -23.87% 58.03% 17.40% 35.26% -0.75-0.07-0.41 CS 娱乐 2471.30-28.27% 5.37% -2.00% -9.16% -28.36% -- 30.59% 46.99% -0.66 0.02-0.28 180 两倍 2669.71-33.36% 4.58% -3.06% -6.84% -59.88% -- 35.84% 71.78% -0.87-0.18-0.42 500 反向 1252.64 15.84% -3.63% -3.22% -0.77% 19.90% -- 27.29% 45.54% 0.38-0.16-0.15 50 两倍 825.89-27.32% 4.42% -3.52% -4.57% -53.86% -- 32.69% 69.90% -0.81-0.19-0.44 500 反两 167.00 21.89% -7.27% -7.09% -4.17% 12.45% -- 54.47% 91.10% 0.11-0.57-0.04 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 7684.16-17.96% 3.69% 4.33% 2.18% -26.54% -- 27.05% 46.19% -0.63 0.05-0.25 上证 F300 6930.71-21.65% 3.44% 2.34% -2.36% -33.78% 86.96% 25.39% 48.46% -0.75-0.03-0.32 基本 400 6229.96-20.28% 3.30% 1.74% -2.56% -33.46% 80.21% 24.96% 46.08% -0.78-0.04-0.34 基本 600 4233.89-13.83% 2.21% -0.58% -1.81% -28.22% 73.73% 16.62% 33.94% -0.91-0.10-0.43 基本 300 4371.16-12.32% 1.98% -0.67% -1.62% -25.11% -- 15.22% 32.64% -0.85-0.08-0.43 上证 F500 4094.65-14.30% 2.16% -1.09% -2.08% -29.14% 72.63% 16.34% 33.95% -0.93-0.11-0.46 基本 200 3621.65-12.25% 1.93% -1.13% -1.68% -26.96% 70.78% 14.88% 32.76% -0.90-0.11-0.47 基本面 50 3125.17-10.16% 1.63% -1.51% -1.22% -22.18% 72.65% 12.58% 31.44% -0.79-0.10-0.50 上证 F200 3580.81-13.21% 1.96% -1.58% -2.08% -28.47% 69.60% 15.27% 33.31% -0.93-0.12-0.49 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