定期分析报告 中证指数 4 月份运行报告 目 录 4 月份市场概要... 2 A 股主要指数表现... 3 沪深 300 指数分析... 4 主题及行业指数表现... 6 策略指数表现... 7 商品期货指数表现... 9 表 1: 成份指数市场数据... 10 表 2: 综合指数市场数据... 12 表 3: 主题指数市场数据... 13 表 4: 风格指数市场数据... 18 表 5: 红利指数市场数据... 19 表 6: 策略指数市场数据... 21 表 7: 基本面指数市场数据... 23 内部资料仅供交流 1
定期分析报告 4 月份市场概要 4 月份国际股市走势分化明显, 美欧及日本市场表现较弱, 先涨后跌, 至期末基本收平或略有下跌, 标普 500 指数月度上涨 0.85%, 日经 225 指数上涨 1.63%,STOXX 欧洲 600 指数则下跌 0.38% 4 月份 A 股市场延续大涨的格局, 沪深 300 指数月涨幅达 17.25%, 香港股市则在 4 月初出现暴涨, 此后平稳攀升, 中证香港 100 指数当月上涨 12.75% 4 月份创业板指数继续大涨, 单月涨幅达到 22.38%, 在各成份指数中涨幅领先 其他成份指数中, 大 小市值两类指数涨幅差异较小, 中证 500 上证 380 指数分别上涨 16.77% 18.64%, 而中证 100 上证 50 指数分别上涨 18.87% 18.00% 板块表现方面, 受益于国企整合及 一带一路 概念的基建 高铁相关指数涨幅惊人, 上证基建指数上涨 50.60%, 中证高铁产业指数上涨 46.61% 4 月份涨幅排名靠后的是保险 证券等金融股指数 风格指数系列中,4 月份价值指数全面跑赢成长指数, 上证全指价值 上证 380 价值指数涨幅最高, 分别上涨 21.24% 21.40% 图 1: 全球主要股指走势 内部资料仅供交流 2
定期分析报告 A 股主要指数表现上证综指 4 月份大涨 18.51%, 指数全月强势上涨未现回调, 始终保持在 10 日均线之上运行, 连续突破多个整数点位关口, 最高触及 4572.39 点, 收于 4441.65 点, 上涨 693.75 点 4 月份上海市场单日最高成交金额突破一万亿元, 日均成交金额达到历史性的 8265 亿元, 较上月环比增加 61% 4 月份大 小市值两类指数涨幅差异较小, 中证 500 上证 380 指数分别上涨 16.77% 18.64%, 而中证 100 上证 50 指数分别上涨 18.87% 18.00%, 中证 800 指数上涨 17.11%, 中证 1000 指数上涨 15.94% 4 月份创业板指数继续大涨, 单月涨幅达到 22.38%, 一度突破 2900 点, 中小板指数涨幅较低, 月涨幅仅为 9.63% 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 内部资料仅供交流 3
定期分析报告 沪深 300 指数分析 沪深 300 指数 4 月份继续强势上涨, 月末收盘 4749.89 点, 当月上涨 698.68 点, 涨幅 17.25% 4 月份沪深 300 指数日均成交 6475 亿元, 比上月提升 63% 4 月末沪深 300 指数滚动市盈率提升至 18.35 倍 图 6: 沪深 300 指数走势 10 条一级行业指数中, 电信业务 工业 2 条指数表现最好, 分别上涨 43.48% 35.66%, 公用事业指数上涨 23.78%, 其余指数涨幅介于 10%-20% 之间, 金融 地产行业指数涨幅最低, 为 11.43% 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布为金融地产 工业 可选消费, 月末权重分别为 38.42% 19.00% 11.17%, 金融地产行业当月涨幅落后, 权 重有所缩水 内部资料仅供交流 4
定期分析报告 4 月末沪深 300 指数滚动市盈率攀升至 18.35 倍, 市净率为 2.67 倍 金融地产行业估值水平最低, 滚动市盈率与市净率分别为 11.57 1.97 倍, 较 3 月份上升明显 估值水平最高的行业为信息技术, 行业滚动市盈率与市净率分别达到了 61.20 倍和 6.70 倍 ; 此外电信业务行业滚动市盈率达到 48.72 倍, 医药卫生行业市净率达到 6.24 倍, 也处于较高水平 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, 中国平安以 4.01% 的权重继续排名首位, 招商银行 民生银行位列 2 3 位, 权重分别为 2.63% 2.52%, 中信证券 海通证券权重排名紧随其后, 分别为 2.36% 2.02%, 前 10 大权重股权重合计 21.25% 4 月份对沪深 300 上涨贡献最多的是基建类股票, 前 5 大贡献股中有中国南车 中国中铁 中国北车 中国建筑 4 只股票, 分别贡献 28.78 24.64 23.80 20.12 点, 贡献最大的前 10 只股票合计贡献 196.57 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 ) 内部资料仅供交流 5
定期分析报告 主题及行业指数表现 4 月份国企整合及 一带一路 相关主题指数涨幅遥遥领先 中证系列指数中, 受益于国企整合概念的中证高铁产业 沪深 300 电信 中证船舶产业指数分别上涨 46.61% 43.48% 38.32%, 而与 一带一路 投资主题相关的中证基建 沪深 300 基建 中证一带一路 中证内地基建 中证基建工程指数分别上涨 41.93% 36.23% 34.57% 34.36% 33.47% 上证系列指数中, 上证基建 上证 180 基建指数分别大涨 50.60% 40.07% 4 月走势相对较弱的是证券 保险 零售 汽车等类别指数, 多条相关指数涨幅低于 10%, 其中中证保险 中证 800 证券保险 中证 800 保险指数涨幅分别为 6.83% 9.18% 9.58%,800 零售指数上涨 9.12%, 上证汽车指数涨 7.90% 图 13:4 月份走势领先的 20 条指数 图 14:4 月份走势落后的 20 条指数 内部资料仅供交流 6
定期分析报告 策略指数表现 4 月份价值风格指数全面跑赢成长指数, 上证全指价值 上证 380 价值指数涨幅最高, 分别上涨 21.24% 21.40% 中证 500 成长与中证 800 成长风格指数涨幅最低, 分别为 13.92% 14.30% 4 月份市值规模对两类风格指数走势的区分并不明显 基本面指数中,4 月份大市值指数走势占优, 中证基本面 50 指数涨幅最高, 为 26.30%, 上证基本面 300 指数涨幅最低, 为 15.40% 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 4 月份红利指数涨幅差别较大, 中证央企红利 上证央企红利指数分别上涨 23.84% 23.19%, 排名居前 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 3.25% 3.23% 3.09% 中小板板块与创业板板块股息率分别为 0.43% 0.22% 图 17: 红利指数系列与基准指数股息率对比 内部资料仅供交流 7
定期分析报告 4 月份波动率加权指数系列的波幅及涨幅与母指数相比表现不一, 中证 500 上证 380 波动率加权指数涨幅较低, 沪深 300 上证 180 波动率率加权指数涨幅则高于其母指数 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 除上证 180 高低贝塔指数外, 其余指数的贝塔值表现均与其定位相符 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 内部资料仅供交流 8
定期分析报告 商品期货指数表现商品期货指数中,4 月份化工材料期货成份指数大涨 8.90%, 能源化工 农产品 粮油期货成份指数紧随其后, 分别上涨 3.81% 3.05% 和 3.04% 图 22: 中证商品期货成份指数系列市场表现 内部资料仅供交流 9
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 4749.89 34.42% 1.00% 17.25% 38.30% 120.04% 80.87% 22.60% 21.99% 20.03 2.67 1.68% 300 金融 7429.89 13.15% 1.30% 11.43% 25.95% 120.94% 102.53% 31.15% 31.11% 12.70 1.97 2.45% 300 消费 8495.71 36.18% -2.32% 14.63% 35.96% 62.90% 27.30% 33.89% 20.38% 26.55 4.95 1.31% 300 能源 2820.27 27.48% 0.13% 18.70% 31.14% 78.24% -13.92% 37.41% 28.17% 17.84 2.01 2.36% 300 公用 2783.90 26.64% 1.26% 23.78% 35.06% 137.98% 104.77% 35.29% 26.92% 22.39 2.87 1.92% 300 可选 6555.98 49.54% 0.03% 12.00% 37.57% 94.49% 104.73% 28.04% 21.58% 29.87 4.20 1.53% 300 电信 4303.23 74.86% 4.58% 43.48% 73.01% 148.40% 109.39% 42.07% 29.07% 67.67 4.10 0.29% 300 工业 4593.75 72.22% 3.18% 35.66% 71.48% 214.29% 125.27% 33.85% 26.51% 40.67 4.19 0.67% 300 信息 2814.69 75.88% 0.87% 12.07% 51.28% 101.44% 135.53% 34.61% 25.86% 75.04 6.69 0.45% 300 医药 8251.66 36.78% 0.19% 13.30% 30.38% 63.74% 99.45% 31.96% 18.82% 48.82 6.22 0.63% 300 材料 3024.19 39.07% -1.67% 17.04% 36.09% 113.97% 22.70% 30.70% 24.47% 44.13 2.83 0.67% 中证 500 8469.67 59.12% 0.60% 16.77% 50.37% 124.89% 131.12% 29.02% 20.31% 55.10 4.73 0.52% 500 金地 7774.34 51.58% 1.74% 14.76% 51.47% 165.68% -- 27.80% 24.42% 41.17 4.46 0.49% 500 消费 9812.21 45.50% -0.86% 14.91% 39.19% 91.28% -- 31.52% 18.88% 60.36 5.08 0.49% 500 能源 6468.72 44.80% 0.24% 19.77% 43.49% 105.17% -- 32.93% 24.79% 51.10 2.97 0.62% 500 公用 6134.29 58.90% 3.64% 21.86% 53.93% 151.24% -- 31.39% 25.23% 41.38 4.45 0.83% 500 可选 7129.37 66.18% 0.06% 16.73% 56.02% 116.68% -- 34.10% 21.57% 42.26 4.36 0.75% 500 电信 4667.58 48.60% -1.72% 6.77% 37.45% 71.66% -- 35.66% 23.98% 73.59 4.78 0.53% 500 工业 8690.12 52.59% -0.80% 14.86% 47.03% 129.32% -- 28.14% 21.82% 52.78 4.42 0.50% 500 信息 10294.02 93.15% 4.76% 24.27% 67.58% 171.90% -- 34.60% 25.56% 125.18 8.64 0.25% 500 医药 16065.76 67.49% -0.30% 16.78% 50.70% 97.90% -- 36.05% 21.28% 74.40 7.58 0.38% 500 原料 5192.34 45.63% -0.95% 14.25% 40.46% 98.37% -- 30.11% 20.72% 54.12 3.60 0.57% 中证全指 6258.61 48.34% 0.86% 17.30% 45.96% 124.91% 113.84% 24.39% 19.24% 28.53 3.40 1.12% 全指金融 7212.28 17.03% 1.34% 11.99% 28.64% 124.98% 106.32% 29.21% 29.40% 13.74 2.09 2.23% 全指消费 9498.95 42.71% -1.21% 15.79% 39.54% 77.95% 50.57% 30.64% 18.16% 35.37 5.16 0.93% 全指能源 3120.85 33.17% -0.23% 18.86% 34.45% 82.22% -3.97% 34.17% 25.64% 18.85 2.08 2.20% 全指公用 3836.29 37.44% 2.94% 22.99% 41.63% 140.36% 138.52% 31.29% 23.99% 26.74 3.18 1.45% 全指可选 7215.56 59.03% 0.08% 14.29% 46.33% 105.15% 119.44% 29.94% 20.32% 38.55 4.54 1.03% 全指电信 7032.62 62.62% 0.80% 17.50% 50.90% 118.59% 162.83% 26.08% 23.11% 76.94 4.87 0.29% 10
全指工业 6082.62 65.58% 1.35% 24.89% 60.96% 165.17% 141.37% 24.24% 21.73% 49.57 4.57 0.57% 全指信息 8393.92 91.28% 2.48% 16.94% 65.74% 143.88% 258.08% 36.08% 26.12% 109.23 8.81 0.26% 全指医药 11469.43 54.04% -0.01% 15.66% 42.58% 80.90% 154.70% 33.66% 19.46% 64.53 7.13 0.46% 全指材料 4199.86 49.82% -0.75% 15.86% 43.46% 115.94% 54.46% 29.59% 20.55% 57.28 3.42 0.50% 上证 180 10608.55 31.87% 1.32% 18.23% 38.36% 124.43% 88.40% 23.00% 23.28% 17.43 2.42 1.94% 180 能源 2427.20 24.87% -0.93% 17.67% 28.95% 75.20% -- 40.21% 28.63% 17.06 2.00 2.51% 180 材料 2442.99 38.56% -0.36% 15.33% 34.10% 106.44% -- 28.00% 24.02% 38.87 3.11 0.79% 180 工业 4215.28 79.63% 3.83% 40.78% 79.77% 230.40% -- 41.06% 28.39% 39.64 4.27 0.74% 180 可选 3655.50 49.64% -2.70% 14.12% 38.33% 102.31% -- 33.83% 22.73% 23.17 3.53 1.88% 180 消费 6071.45 37.77% -2.03% 16.99% 39.78% 65.45% -- 33.91% 21.37% 30.03 5.59 1.18% 180 医药 4700.69 43.50% 0.83% 14.94% 34.54% 65.69% -- 27.43% 18.54% 54.49 7.09 0.50% 180 金地 6070.11 13.65% 1.55% 11.62% 26.18% 116.70% -- 31.07% 30.35% 12.14 1.89 2.57% 180 信息 4470.83 87.80% 1.25% 10.71% 56.58% 139.52% -- 47.03% 31.89% 87.63 9.18 0.47% 180 电信 3341.18 78.88% 4.24% 59.86% 88.40% 169.53% -- 65.33% 37.06% 54.79 2.56 0.55% 180 公用 2507.41 26.89% 2.72% 26.78% 37.04% 135.02% -- 39.11% 28.87% 20.93 2.88 1.92% 上证 380 7588.03 55.92% 0.17% 18.64% 50.02% 131.18% 128.26% 28.91% 20.59% 47.54 3.80 0.80% 380 能源 2429.95 45.12% 3.96% 29.32% 50.80% 124.44% 21.01% 37.58% 31.38% 41.85 2.18 0.84% 380 材料 5237.75 44.02% -1.39% 13.91% 44.31% 108.33% 55.40% 31.14% 21.54% 52.82 2.90 0.68% 380 工业 9281.91 57.79% -0.15% 20.74% 53.10% 159.27% 159.35% 27.62% 22.91% 48.38 3.91 0.66% 380 可选 7294.93 64.08% 0.13% 16.52% 55.67% 116.68% 121.24% 35.05% 21.55% 42.24 4.22 1.22% 380 消费 8988.57 44.53% 0.29% 15.31% 39.44% 93.66% 112.27% 34.74% 19.49% 47.58 4.51 0.62% 380 医药 12864.44 61.72% 0.61% 17.60% 47.24% 91.71% 168.46% 32.89% 20.02% 63.57 6.27 0.50% 380 金融 7422.52 50.08% 1.00% 17.07% 47.97% 137.33% 120.25% 22.54% 22.61% 36.72 3.21 0.77% 380 信息 7904.13 74.42% -0.32% 18.14% 51.00% 163.07% 223.17% 39.12% 28.04% 107.80 8.05 0.35% 380 电信 5173.67 63.66% 1.14% 15.69% 49.80% 105.55% 150.75% 43.55% 27.50% 67.05 5.05 0.42% 380 公用 3739.67 46.48% 2.56% 23.59% 46.07% 141.35% 144.24% 35.14% 25.40% 32.45 3.31 1.47% 中证超大 3650.89 23.43% 1.48% 16.03% 29.35% 112.01% 57.55% 26.66% 24.84% 13.62 2.01 2.55% 中证 100 4428.06 28.70% 1.74% 18.87% 36.19% 121.33% 75.46% 24.05% 24.67% 16.34 2.31 2.08% 中证 200 5991.10 45.84% -0.29% 14.45% 42.16% 117.74% 91.76% 26.94% 20.41% 48.29 4.43 0.66% 中证 700 7102.33 52.45% 0.17% 15.65% 46.31% 121.44% 110.59% 27.84% 19.97% 51.46 4.57 0.59% 中证 800 5395.31 40.53% 0.89% 17.11% 41.48% 121.37% 92.62% 23.20% 20.34% 23.24 2.96 1.42% 300 沪市 4467.76 33.33% 1.45% 19.34% 39.90% 128.00% 90.27% 23.18% 23.34% 17.96 2.46 1.90% 11
500 沪市 8706.92 53.19% -0.68% 15.39% 46.64% 121.61% 119.35% 28.74% 20.44% 51.11 4.23 0.56% 超大盘 2847.28 32.27% 0.04% 21.83% 39.78% 106.25% 53.06% 25.83% 23.25% 16.12 2.33 1.89% 上证 50 3250.49 25.91% 0.82% 18.00% 35.13% 117.45% 78.35% 26.25% 26.52% 14.75 2.14 2.33% 上证中盘 5047.98 42.52% 2.11% 18.58% 43.75% 136.96% 107.46% 21.62% 20.48% 26.06 3.15 1.22% 上证小盘 6599.32 57.28% 0.02% 19.32% 51.86% 133.82% 119.24% 28.16% 20.80% 51.05 3.95 0.69% 上证中小 5759.09 49.45% 1.08% 18.94% 47.65% 135.27% 113.39% 24.25% 20.08% 33.25 3.47 0.98% 上证全指 4302.90 38.00% 0.97% 18.53% 41.83% 126.91% 96.37% 23.09% 21.34% 20.37 2.65 1.65% 上证 100 8229.74 54.15% -0.78% 14.74% 45.69% 116.71% 109.00% 33.11% 19.96% 36.93 4.37 1.00% 上证 150 7549.26 65.13% 0.34% 16.47% 53.11% 133.19% 125.52% 27.19% 19.90% 114.19 7.17 0.09% 市值百强 3408.43 30.15% 1.44% 18.58% 38.14% 123.06% -- 24.10% 24.65% 16.77 2.38 2.02% 上证能源 2496.95 30.55% 0.39% 20.67% 34.89% 86.35% -7.93% 36.68% 28.03% 18.07 2.01 2.34% 上证材料 2752.15 40.88% -0.67% 15.44% 37.82% 111.22% 35.72% 28.79% 23.02% 43.70 3.05 0.76% 上证工业 4388.26 79.89% 3.81% 41.93% 79.81% 238.18% 155.27% 38.49% 28.32% 40.73 4.20 0.72% 上证可选 3906.51 52.32% -2.15% 12.91% 42.15% 102.50% 105.68% 31.61% 21.37% 27.89 3.78 1.68% 上证消费 7108.50 40.91% -1.05% 15.82% 39.89% 73.64% 65.86% 31.60% 19.40% 33.04 5.31 1.03% 上证医药 6992.66 51.78% 0.50% 16.67% 40.89% 77.44% 141.22% 30.39% 18.37% 57.24 6.50 0.50% 上证金融 5771.49 12.45% 1.73% 11.60% 25.58% 113.88% 96.69% 32.26% 31.35% 11.53 1.82 2.72% 上证信息 6159.35 92.44% 0.40% 14.68% 61.56% 161.09% 201.32% 42.89% 28.31% 109.10 8.69 0.36% 上证电信 3315.52 55.32% 0.42% 19.25% 48.72% 101.14% 119.31% 29.90% 22.62% 63.58 4.00 0.34% 上证公用 3426.71 34.44% 2.79% 25.31% 40.70% 137.32% 131.36% 35.02% 26.17% 24.77 3.05 1.70% 表 2: 综合指数市场数据指数特征 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 B 股指数 406.45 39.79% 1.59% 30.85% 40.28% 79.50% 63.65% 46.52% 18.89% 19.21 2.01 0.19% 公用指数 9385.62 52.40% 2.79% 28.68% 59.09% 179.48% 141.11% 27.60% 24.93% 32.07 3.19 1.12% 地产指数 8516.14 36.59% 9.11% 27.54% 51.77% 162.42% 154.15% 32.89% 31.06% 19.43 2.73 1.11% 工业指数 3606.29 49.09% 0.32% 21.18% 43.22% 115.90% 76.70% 26.12% 20.09% 33.85 3.54 1.08% 上证流通 1580.65 40.96% 1.01% 18.82% 43.38% 129.08% 104.13% 23.23% 20.42% 22.45 2.86 1.46% 12
上证指数 4441.66 37.31% 1.09% 18.51% 38.35% 119.19% 85.35% 23.25% 21.26% 22.44 2.86 1.45% A 股指数 4653.83 37.31% 1.09% 18.47% 38.35% 119.37% 85.43% 23.26% 21.30% 22.45 2.86 1.46% 新综指 3753.07 37.31% 1.09% 18.47% 38.35% 119.39% 85.07% 23.26% 21.30% 22.45 2.86 1.46% 中证流通 6548.36 48.70% 0.89% 17.48% 46.27% 125.37% 115.12% 24.42% 19.17% 29.16 3.50 1.08% 商业指数 5883.72 56.83% 0.38% 15.95% 55.68% 136.81% 109.81% 32.80% 21.76% 48.86 5.06 0.57% 中型综指 1862.34 57.09% 0.69% 15.60% 47.63% 121.78% 131.89% 30.53% 19.88% 85.19 6.35 0.39% 综合指数 3683.84 19.93% 1.25% 12.23% 26.12% 107.76% 80.71% 27.22% 26.89% 14.36 2.16 2.15% 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 180 基建 24 34,393 11,541 3180.27 55.95% 7.88% 40.07% 72.48% 210.71% 170.28% 26.92 3.26 船舶产业 3 3,896 1,593 4025.53 56.46% 3.66% 38.32% 61.12% 220.30% 122.81% 129.72 5.06 沪城交通 33 24,145 9,816 3764.56 104.38% -1.22% 36.72% 79.98% 250.21% -- 34.82 4.42 300 基建 35 39,271 13,515 3477.43 53.94% 6.67% 36.23% 66.97% 208.15% 154.84% 27.21 3.26 内地基建 50 43,816 15,347 3423.71 55.12% 5.96% 34.36% 65.60% 202.29% 157.10% 28.31 3.32 物流产业 18 10,147 3,398 2601.17 65.12% 5.76% 33.69% 64.73% 187.46% 161.50% 32.40 3.67 内地运输 25 14,272 5,081 2746.39 61.51% 3.99% 33.09% 63.45% 186.64% 127.72% 33.89 3.31 沪投资品 50 33,816 12,610 7596.71 69.48% -2.65% 31.90% 56.82% 159.32% 42.22% 38.89 3.70 细分机械 50 25,798 11,590 8213.06 76.75% -2.37% 31.50% 62.75% 169.19% 96.08% 60.04 5.17 沪城基建 50 29,558 12,303 2788.45 52.11% 6.79% 30.18% 64.44% 204.17% -- 28.41 3.45 300 公运 29 22,777 8,009 2331.56 42.29% 2.76% 29.05% 47.52% 150.01% -- 26.83 3.17 非周期 100 77,621 33,745 3925.29 62.06% 1.50% 27.13% 58.11% 143.80% 117.89% 34.49 4.30 上证中游 189 73,594 31,809 4711.83 65.30% 1.25% 27.12% 61.42% 172.18% 127.04% 46.25 4.18 180 运输 7 7,554 2,355 1581.99 53.55% 1.37% 27.08% 54.22% 125.19% 63.90% 28.74 3.28 城镇交通 86 34,930 15,397 3381.98 84.73% -0.65% 26.74% 63.75% 171.76% -- 40.55 4.92 ESG 40 40 98,557 34,623 1922.4 43.32% 1.98% 25.74% 46.61% 147.06% 94.35% 12.92 1.99 装备产业 81 32,336 15,022 3575.3 66.57% -1.96% 25.56% 54.34% 156.38% 105.71% 66.22 5.23 中证文化 50 16,705 8,485 4223.32 92.50% 5.29% 24.92% 69.95% 128.72% -- 100.26 9.59 上证央企 50 140,776 34,253 2271.57 34.80% 3.04% 24.64% 43.10% 155.37% 95.05% 14.85 2.08 央企 100 100 171,247 46,602 2446.85 37.18% 2.80% 24.02% 43.09% 156.08% 99.80% 16.64 2.26 城镇基建 100 42,337 18,905 2500.18 49.24% 5.42% 23.23% 57.01% 177.74% -- 27.97 3.56 13
文体休闲 50 17,939 9,115 2233.7 85.24% 4.39% 23.01% 64.58% -- -- 78.48 8.23 中证传媒 50 14,423 7,406 3568.24 95.01% 5.75% 22.84% 67.09% 132.41% -- 105.53 9.63 上证新兴 50 35,434 16,192 10386.31 68.04% -1.39% 22.76% 52.45% 139.27% 131.69% 45.47 5.35 中证中游 250 95,793 42,933 4764.89 61.33% 0.75% 22.75% 55.25% 146.44% 102.33% 46.91 4.13 钢铁产业 9 5,198 2,065 1482.89 42.18% -3.23% 22.75% 47.57% 165.69% 54.23% 50.69 1.75 上证军工 28 9,751 4,495 13564.04 51.77% 3.54% 22.65% 46.65% 165.04% -- 123.18 6.17 中证央企 325 202,681 60,728 2719.49 40.50% 2.48% 22.42% 44.25% 154.80% 111.48% 18.71 2.49 高端装备 60 26,424 11,451 13531.71 61.56% -1.14% 22.34% 50.86% 162.36% 146.55% 80.60 5.95 优势制造 46 14,318 6,423 11654.24 53.28% 0.23% 22.07% 47.10% 127.74% -- 69.29 5.62 上证城镇 180 72,271 34,302 2866.2 63.01% -0.72% 22.04% 52.06% 147.64% -- 34.58 4.47 纺织产业 28 4,955 2,171 2706.45 65.43% 0.84% 21.91% 55.73% 129.85% 64.67% 50.25 4.46 上国改革 50 24,756 9,550 2048.44 48.04% 0.27% 21.28% 46.43% -- -- 48.64 4.53 上证沪企 50 37,183 16,617 3318.25 35.95% 0.68% 20.90% 40.11% 126.15% 109.91% 23.00 2.70 上证国企 100 184,944 56,085 1407.3 31.95% 1.39% 20.90% 40.38% 133.61% 82.19% 15.86 2.23 300 非周 198 127,356 56,820 5237.96 55.23% 0.97% 20.87% 48.70% 118.81% 91.06% 36.73 4.50 ESG 100 100 159,446 58,680 1443.11 42.16% 1.63% 20.70% 44.28% 143.38% -- 14.49 2.19 中证服务 300 214,517 89,097 6402.19 49.93% 3.06% 20.23% 51.41% 149.13% -- 18.90 2.68 中证国防 40 11,434 5,186 2273.05 53.11% 3.22% 20.13% 42.61% 165.31% -- 131.39 7.00 国企 200 200 244,308 80,812 1458.99 34.03% 1.17% 20.06% 40.42% 133.22% 79.78% 18.30 2.44 300 有色 17 7,765 3,651 4976.95 39.80% -0.47% 19.92% 35.05% 114.24% -- 63.80 4.05 军工指数 44 13,642 6,727 2079.5 56.38% 2.65% 19.58% 46.13% 173.20% 180.44% 131.28 6.89 上证龙头 70 134,527 40,702 4174.81 48.74% 0.16% 19.48% 43.94% 120.30% 87.64% 16.24 2.30 上证资源 50 49,226 8,048 2989.64 36.73% -0.08% 19.33% 36.86% 100.71% 3.48% 20.44 2.20 180 资源 21 41,621 5,261 3748.87 32.38% 0.12% 19.30% 31.64% 89.49% -9.33% 18.88 2.13 上证海外 38 132,410 35,245 1607.8 24.14% 1.25% 19.05% 33.92% 129.84% 92.16% 13.86 2.00 上证上游 56 49,616 8,210 3307.88 35.89% -0.35% 19.03% 36.94% 96.36% 0.60% 20.56 2.20 中证新兴 100 56,879 26,699 11178.2 61.06% -1.15% 19.01% 47.71% 118.37% 136.60% 49.22 5.63 治理指数 307 197,770 79,771 1420.84 34.46% 1.44% 18.80% 40.71% 134.05% 102.23% 18.89 2.49 沪股通 571 302,192 114,136 3974.85 38.28% 1.12% 18.78% 41.94% 136.55% -- 20.55 2.66 中证国企 1001 339,078 126,604 1709.76 39.57% 0.88% 18.72% 42.24% 130.96% 93.16% 22.27 2.77 180 治理 100 156,043 61,526 1266.3 29.75% 1.82% 18.63% 38.22% 129.93% 93.38% 16.60 2.34 电子产业 121 40,100 21,463 4398.68 74.11% 2.84% 18.58% 54.36% 122.49% 153.45% 60.24 5.75 细分能源 50 44,133 5,505 3288.5 31.97% -0.21% 18.56% 33.67% 80.42% -5.35% 18.79 2.07 煤炭指数 35 11,013 2,801 3354.29 31.91% -1.58% 18.53% 37.93% 102.54% -- 19.08 1.97 沪信息业 50 17,089 8,650 7472.4 82.88% 0.29% 18.52% 59.59% 142.65% -- 77.30 5.87 14
中证城镇 250 106,265 50,812 2407.64 58.22% 0.14% 18.52% 47.77% 117.04% -- 34.50 4.75 上证商品 50 49,683 8,580 2526.46 39.73% -0.28% 18.50% 37.45% 103.64% 0.71% 21.07 2.25 优势资源 48 39,301 6,600 4941.91 38.52% -0.93% 18.50% 38.03% 109.41% -- 21.68 2.27 上证下游 172 59,764 27,588 4848.55 56.21% -0.03% 18.47% 48.58% 109.27% 110.92% 36.11 4.22 TMT 150 150 40,276 21,047 2774.92 86.27% 2.43% 18.42% 62.78% 138.68% -- 91.15 7.02 信息产业 100 39,640 19,695 7896.04 81.48% 2.16% 18.18% 59.65% 125.32% -- 79.45 6.52 持续产业 40 13,962 5,826 1605.62 48.84% -1.45% 18.17% 43.40% 107.35% 103.06% 45.53 4.22 中证军工 66 16,054 7,985 15149.22 56.03% 2.32% 18.15% 46.18% 166.29% -- 128.94 6.94 上证 TMT 49 14,170 7,426 3291.21 91.89% 0.92% 18.04% 64.55% 173.23% -- 86.72 6.17 A 股资源 50 51,282 8,875 6074.93 36.70% -0.69% 18.00% 36.20% 108.37% -0.30% 20.73 2.24 内地低碳 50 17,787 8,367 1738.32 52.44% -1.04% 17.99% 45.27% 100.00% 115.19% 51.65 4.67 沪长三角 46 37,870 17,231 4399.69 36.44% 0.02% 17.94% 40.27% 129.00% -- 23.17 2.77 中证上游 50 51,283 8,919 3742.53 33.69% -0.62% 17.83% 33.24% 93.74% -5.44% 20.88 2.25 内地资源 50 49,301 8,453 3801.7 32.61% -0.86% 17.73% 31.90% 96.94% -10.02% 20.79 2.21 有色产业 39 11,306 5,456 2750.26 40.37% -0.90% 17.60% 36.37% 112.24% 10.54% 70.56 4.21 沪环渤海 43 85,693 13,647 3207.37 33.56% 2.55% 17.59% 34.86% 114.34% -- 14.14 2.05 浙江民企 213 26,441 12,413 10586.8 73.63% -0.50% 17.55% 58.25% 120.99% -- 69.20 6.27 沪东北 28 9,214 5,497 5602.18 41.06% -1.88% 17.50% 38.07% 111.29% -- 46.60 4.49 中证下游 200 86,150 40,930 6291.36 55.83% 1.04% 17.38% 45.94% 100.35% 102.50% 38.06 4.92 新能源 36 9,804 5,102 2263.68 59.62% -1.95% 17.27% 45.65% 92.08% 74.08% 60.37 5.04 资源 50 50 50,035 8,780 3479.32 38.62% -0.18% 17.24% 35.77% 98.45% 5.39% 20.95 2.26 石化产业 30 34,206 3,565 1491.11 39.77% 0.71% 17.12% 34.10% 85.24% 34.04% 19.34 2.11 沪西部 34 14,700 7,827 7268.68 38.64% -2.04% 17.07% 39.77% 99.91% -- 37.16 4.76 大宗商品 100 59,555 13,167 5355.36 45.32% -0.86% 17.06% 39.31% 112.22% 25.55% 23.19 2.41 环境治理 40 5,757 3,046 3422.66 58.17% -0.57% 17.05% 52.85% -- -- 82.36 6.87 环渤海 47 88,478 15,271 3437.47 37.38% 2.60% 16.74% 37.28% 104.62% -- 14.49 2.08 资源 80 80 56,755 12,018 4053.58 37.75% -0.67% 16.72% 33.57% 98.68% 4.84% 22.34 2.36 移动互联 100 27,109 14,397 3982.23 89.75% 3.75% 16.72% 67.56% -- -- 89.94 8.80 医药主题 50 11,129 6,324 12596.08 58.74% 0.74% 16.65% 47.61% 100.37% 160.42% 57.36 6.13 沪智慧城 50 14,651 8,214 3754.62 76.75% 0.31% 16.57% 56.42% 174.89% -- 66.42 6.76 浙企综指 259 35,733 16,144 8919.83 69.36% -0.30% 16.48% 56.18% 121.77% -- 56.39 5.53 上证环保 40 12,818 5,580 2381.68 52.88% -1.78% 16.38% 45.75% 115.49% -- 45.34 4.35 医药生物 100 22,546 11,901 11009.23 55.92% -0.06% 16.27% 45.49% 78.81% 151.07% 59.68 6.85 上证移动 50 14,849 7,730 3742.08 78.28% -0.14% 16.26% 65.13% -- -- 69.24 6.62 东北振兴 34 11,029 6,465 6584.29 38.22% -2.39% 16.24% 37.19% 116.96% -- 44.93 4.62 15
责任指数 100 72,530 38,083 1615.87 27.36% 2.59% 16.14% 34.91% 116.25% 88.33% 16.88 2.40 智慧城镇 100 31,864 17,210 3625.4 82.16% 1.80% 16.12% 60.20% 144.21% -- 75.53 8.10 优势消费 50 15,124 8,047 6460.37 43.64% -0.06% 16.10% 36.47% 72.85% -- 38.25 5.90 有色金属 50 13,419 6,728 6360.27 43.80% -1.35% 16.10% 38.42% 110.64% -- 73.85 4.44 长三角 48 39,717 18,584 5529.47 36.51% -0.29% 16.09% 38.32% 120.33% -- 23.29 2.86 消费领先 100 108,141 47,061 8847.98 46.04% -0.19% 16.01% 44.18% 104.06% -- 14.63 2.25 细分有色 50 12,755 6,264 7215.74 42.54% -1.19% 16.00% 38.60% 113.12% 14.56% 73.02 4.30 中证民企 1531 187,862 91,760 2757.59 66.77% 0.77% 15.94% 53.77% 118.36% 159.68% 63.73 6.40 医药 100 100 22,692 12,032 16101.84 60.67% -0.60% 15.93% 47.20% 89.81% 178.24% 59.37 6.84 沪智交通 14 3,508 2,134 3026.25 76.04% 1.44% 15.84% 53.04% 169.99% -- 98.47 7.51 轻工产业 69 23,152 11,815 3524.59 42.27% 0.05% 15.81% 36.50% 75.05% 53.47% 26.88 4.59 中证高新 100 20,385 10,209 2253.74 84.47% -0.62% 15.66% 66.26% -- -- 85.96 7.30 中证地企 676 136,397 65,875 1746.18 38.59% -0.54% 15.51% 40.35% 112.83% 78.95% 31.29 3.35 上证地企 50 44,168 21,832 1418.63 27.63% -1.09% 15.47% 36.21% 106.74% 65.39% 20.28 2.87 食品饮料 47 13,408 6,191 9528.19 32.19% -2.01% 15.42% 32.75% 60.81% 21.33% 26.10 5.21 300 信服 46 23,434 11,317 3194.6 69.84% 0.73% 15.40% 51.57% 98.32% -- 72.82 6.01 中证安全 76 12,226 5,962 3349.66 71.04% 0.26% 15.27% 54.58% -- -- 79.79 8.63 智能资产 180 30,102 16,207 12011.07 72.83% -0.40% 15.19% 57.67% 137.60% 236.11% 58.01 6.39 沪珠三角 39 34,688 21,694 5710.07 26.44% 2.05% 15.18% 37.97% 120.31% -- 21.22 3.02 中证环保 100 23,802 11,195 2382.72 56.58% -0.81% 15.17% 49.41% 109.03% -- 56.16 4.97 地企 100 100 73,061 34,210 1433.79 29.92% -0.97% 15.06% 36.86% 108.42% 58.58% 23.87 3.00 沪城消费 50 25,762 12,403 1840.67 43.69% -1.72% 15.01% 37.41% 78.59% -- 28.61 4.60 消费 80 80 33,514 16,203 4636.23 46.68% -1.35% 14.96% 40.53% 84.29% 90.12% 31.62 4.46 内地地产 50 15,625 8,698 7907.41 37.11% 3.74% 14.83% 40.19% 138.67% 117.08% 24.30 3.51 300 消服 27 15,570 8,575 7206.84 55.87% 1.97% 14.73% 45.55% 108.06% -- 35.01 4.55 沪消费品 50 16,760 8,662 7924.04 50.34% -0.32% 14.71% 44.25% 87.42% 93.34% 38.56 5.64 细分食品 45 12,359 5,834 9137.22 31.19% -2.20% 14.57% 31.95% 62.64% 18.99% 26.25 5.13 西部开发 40 19,965 9,898 8315.29 40.47% -2.05% 14.54% 36.78% 105.70% -- 39.89 5.46 领先行业 150 96,545 38,644 9739.37 41.39% -0.23% 14.42% 36.26% 103.11% 74.91% 14.58 2.36 上证健康 46 11,840 6,869 1773.18 47.47% 0.51% 14.26% 41.14% -- -- 49.21 5.86 消费服务 100 128,875 52,161 8289.62 43.77% -0.30% 14.21% 40.86% 88.85% 90.43% 14.39 2.24 上证休闲 40 8,010 4,012 2042.11 61.62% -3.36% 14.18% 48.00% -- -- 68.39 6.45 智能交通 38 8,568 4,873 3270.54 74.96% 0.66% 14.10% 51.39% 131.04% -- 76.72 7.95 细分医药 50 14,022 7,405 9567.35 45.56% -0.35% 14.07% 36.54% 69.93% 126.83% 54.21 6.79 技术领先 200 59,886 30,913 9358.92 62.80% 0.04% 14.07% 47.48% 109.56% 157.16% 62.09 6.12 16
细分地产 50 16,550 8,762 7593.04 36.58% 3.20% 13.94% 38.39% 137.91% 115.41% 25.29 3.65 上证文化 27 6,333 3,185 3217.32 63.17% -3.18% 13.92% 47.74% 99.67% -- 67.74 6.57 300 周期 102 175,248 57,573 4643.31 18.49% 1.04% 13.87% 29.29% 120.47% 72.94% 15.03 2.06 消费 50 50 25,422 11,477 7816.6 44.57% -2.44% 13.81% 39.61% 85.99% 85.02% 27.70 4.15 大消费 360 97,478 47,272 10500.65 58.94% -0.35% 13.66% 47.19% 97.34% 127.16% 40.44 4.96 内地消费 50 34,800 16,080 7038.51 42.12% -0.96% 13.52% 35.04% 77.06% 60.41% 26.98 4.49 健康产业 100 25,275 12,842 2251.33 49.00% 0.04% 13.51% 42.01% -- -- 50.60 6.30 中证 TMT 100 34,588 18,044 3076.33 84.97% 1.10% 13.40% 60.99% 133.97% 260.82% 85.91 6.73 沪大农业 50 5,985 3,003 1706.4 44.26% 0.52% 13.29% 34.18% -- -- 56.74 4.41 泛珠三角 47 40,499 26,358 7175.13 24.46% 2.07% 13.29% 32.72% 105.85% -- 19.83 3.00 中部崛起 43 15,333 7,552 4410.55 33.06% -0.72% 13.24% 35.46% 92.70% -- 30.30 3.48 内地银行 16 64,238 19,591 6433.73 10.39% 2.59% 13.15% 23.65% 83.33% 72.99% 8.45 1.42 农业主题 40 6,547 3,785 1452.88 42.61% 0.49% 13.02% 33.22% 88.08% 81.09% 49.40 4.98 细分化工 50 9,533 4,706 4035.89 51.84% -1.12% 12.93% 38.83% 98.58% 53.76% 47.37 4.11 沪中部 34 10,962 5,080 4396.75 31.52% -0.99% 12.93% 32.52% 94.54% -- 27.88 3.10 上证养老 40 29,179 14,522 11773.64 47.21% -0.32% 12.85% 39.11% -- -- 42.89 4.56 养老产业 80 45,516 22,906 10482.46 58.10% 1.26% 12.81% 45.05% -- -- 46.29 5.22 城镇消费 100 50,049 23,880 1706.01 43.01% -0.80% 12.60% 35.67% 74.54% -- 30.85 4.71 上证周期 50 142,189 43,089 3861.05 15.12% 1.36% 12.55% 26.52% 110.49% 73.81% 13.33 1.92 民企 200 200 66,397 32,798 2179.18 51.35% -0.02% 12.51% 42.70% 98.96% 112.64% 43.25 5.48 上证银行 14 61,318 18,257 892.85 9.55% 2.53% 12.36% 22.46% 81.47% -- 8.29 1.40 兴证海峡 143 22,213 11,732 1938.47 50.05% -0.36% 11.96% 48.84% 118.51% 121.35% 28.86 3.91 内地农业 44 10,730 5,487 5777.89 41.99% -1.82% 11.93% 33.91% 75.01% 64.97% 45.43 4.94 内地金融 41 103,136 39,658 7910.99 12.31% 0.95% 11.21% 26.02% 121.92% 102.55% 12.46 1.92 细分金融 42 104,125 40,053 7581.81 12.59% 0.88% 11.21% 26.05% 122.70% 103.10% 12.57 1.94 800 金融 42 104,125 40,053 7567.8 12.59% 0.88% 11.21% 26.06% 122.70% -- 12.57 1.94 绿色城镇 100 20,171 9,240 2188.51 47.64% -1.36% 11.20% 36.51% 85.43% -- 30.73 3.97 上证民企 50 24,540 13,685 2087.15 45.09% 0.00% 11.16% 40.74% 100.20% 106.67% 31.83 4.66 大农业 50 11,278 5,150 1568.01 44.64% -1.21% 11.00% 33.99% -- -- 50.12 4.88 180 金融 31 92,744 35,109 6113.08 11.65% 1.26% 10.95% 25.15% 115.71% 97.19% 11.58 1.81 汽车产业 33 13,160 5,528 5334.26 44.20% -2.35% 10.64% 33.54% 95.67% 107.35% 23.52 3.31 沪智家居 32 9,261 5,176 3941.99 70.62% -1.94% 10.20% 47.82% -- -- 67.73 7.23 细分农业 48 6,727 3,028 6823.86 46.46% -1.39% 10.10% 33.84% 83.69% 66.39% 54.86 5.33 300 非银 22 38,800 19,759 14389.91 15.00% -0.71% 9.58% 28.59% 182.89% -- 57.71 4.63 800 证保 26 39,887 20,462 9739.83 14.73% -1.04% 9.18% 28.64% 193.82% -- 58.34 4.67 17
钱江 30 30 9,992 4,579 1541.51 59.21% -0.09% 9.13% 45.71% 96.53% -- 37.38 5.72 沪绿色城 39 9,845 4,144 2164.38 40.22% -2.79% 9.12% 31.85% 75.65% -- 21.13 3.05 上证高新 50 11,703 5,411 2491.05 65.26% -2.37% 8.05% 50.59% 147.46% 222.31% 60.22 5.34 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 价值 10427.59 52.70% 0.63% 21.40% 51.28% 157.57% 146.54% 28.44% 23.05% 6.73 0.15 1.35 380R 价值 8920.37 55.04% 0.44% 21.35% 52.37% 148.83% 141.09% 27.67% 21.86% 6.69 0.12 1.33 全指价值 4579.26 32.83% 2.60% 21.24% 39.81% 128.28% 98.69% 24.11% 24.81% 5.07-0.11 1.13 全 R 价值 4604.42 37.12% 1.66% 20.88% 42.47% 141.08% 112.03% 23.10% 23.07% 6.01 0.03 1.25 180 价值 4491.95 26.41% 3.66% 20.45% 36.39% 119.41% 91.43% 25.44% 26.96% 4.34-0.20 1.05 300 价值 4978.72 30.10% 2.78% 20.37% 37.47% 121.88% 90.89% 23.98% 25.51% 4.68-0.19 1.06 180R 价值 3760.15 30.28% 2.14% 20.02% 38.57% 133.22% 99.85% 23.84% 25.19% 5.19-0.05 1.18 300R 价值 4687.13 32.04% 1.64% 19.42% 38.55% 130.97% 94.95% 23.19% 24.07% 5.34-0.10 1.14 800 价值 6134.64 33.62% 2.12% 19.18% 38.94% -- -- 22.36% -- -- -- -- 800R 价值 5825.17 36.79% 1.33% 18.83% 41.18% -- -- 22.45% -- -- -- -- 500R 价值 9345.45 55.32% 0.15% 17.24% 50.23% -- -- 27.94% -- -- -- -- 500 价值 10324.15 51.62% -0.20% 16.53% 48.68% -- -- 26.84% -- -- -- -- 500R 成长 7997.32 62.68% 1.01% 16.35% 50.49% -- -- 30.38% -- -- -- -- 180R 成长 2692.14 34.16% 0.16% 15.73% 38.00% 112.59% 72.72% 25.39% 21.50% 5.12-0.21 1.03 380R 成长 6441.18 56.97% -0.15% 15.56% 47.32% 113.17% 114.23% 31.24% 19.99% 5.53-0.04 1.18 180 成长 3530.72 23.87% 1.84% 15.47% 32.47% 94.50% 67.02% 24.64% 24.00% 3.83-0.44 0.83 全 R 成长 3887.59 39.25% -0.03% 15.23% 40.86% 109.85% 76.32% 26.26% 19.91% 5.39-0.20 1.03 800R 成长 5122.15 46.01% 0.29% 14.79% 41.87% -- -- 26.80% -- -- -- -- 全指成长 4075.60 27.19% 1.40% 14.55% 33.51% 97.18% 70.19% 24.93% 22.41% 4.22-0.39 0.87 300 成长 4654.86 29.87% 1.56% 14.49% 34.24% 92.60% 60.43% 22.58% 21.73% 4.15-0.38 0.86 18
800 成长 5341.96 33.86% 1.45% 14.30% 35.79% -- -- 23.98% -- -- -- -- 380 成长 7536.54 52.74% -0.11% 14.21% 43.67% 114.27% 110.13% 33.33% 20.07% 5.57-0.06 1.16 300R 成长 4493.89 38.16% 0.04% 14.05% 37.88% 105.61% 61.92% 25.36% 20.25% 5.09-0.23 1.00 500 成长 8792.93 58.66% 0.05% 13.92% 46.56% -- -- 30.67% -- -- -- -- 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 沪电信红 10718.04 2,570 1,067 14 89.58% 3.27% 34.79% 78.48% 112.21% -- 0.54% 0.54% 公用红利 5658.70 9,452 3,358 204 45.95% 5.39% 31.53% 49.83% 157.56% -- 2.16% 2.16% 沪工业红 10319.85 21,458 7,101 255 64.44% 1.00% 29.10% 62.70% 170.85% -- 1.19% 1.19% 沪公用红 6120.92 7,103 2,621 169 31.94% 1.61% 28.07% 42.11% 141.89% -- 2.38% 2.38% 沪能源红 8058.95 35,193 2,359 922 38.80% 2.62% 26.29% 45.29% 100.10% -- 2.62% 2.62% 能源红利 6324.94 36,543 2,731 939 35.56% 1.65% 23.97% 41.93% 104.98% -- 2.57% 2.57% 央企红利 3803.62 107,270 22,573 3,219 32.81% 3.49% 23.84% 40.13% 134.61% -- 3.00% 3.00% 材料红利 6875.24 7,739 3,657 112 62.18% 0.34% 23.54% 53.81% 152.40% -- 1.44% 1.44% 工业红利 10346.95 20,396 7,237 269 54.65% -0.66% 23.43% 53.02% 135.58% -- 1.32% 1.32% 上央红利 2666.54 102,738 19,033 3,198 30.77% 4.55% 23.19% 38.79% 138.26% -- 3.11% 3.11% 380 红利 10375.76 6,354 2,374 152 57.14% -0.83% 21.61% 54.83% 136.26% -- 2.43% 2.39% 国企红利 1893.15 118,876 26,877 3,744 32.80% 3.30% 20.94% 39.23% 122.33% -- 3.15% 3.15% 500 红利 10975.63 8,194 3,663 120 65.48% 0.12% 20.50% 57.00% 124.36% -- 1.63% 1.47% 上国红利 1498.44 99,361 18,084 3,432 24.70% 1.44% 19.04% 32.67% 102.63% -- 3.45% 3.45% 中证红利 4955.86 141,375 40,396 4,050 43.70% 0.41% 18.92% 43.53% 123.73% 90.27% 2.87% 2.86% 上红价值 8248.31 112,131 27,395 3,507 33.72% 2.98% 18.84% 38.43% 128.96% -- 3.14% 3.13% 红利指数 3480.95 116,765 27,053 3,766 36.63% -0.02% 18.32% 40.78% 114.20% 77.84% 3.23% 3.23% 300 红利 5824.32 127,740 31,652 3,943 27.76% 2.16% 18.23% 34.96% 118.18% -- 3.09% 3.09% 沪材料红 5318.91 7,450 3,408 105 46.01% -1.82% 18.15% 42.01% 111.36% -- 1.43% 1.40% 19
高分红 4940.85 137,127 35,528 4,007 22.46% 3.18% 17.96% 32.63% -- -- 2.93% 2.92% 上红低波 8843.76 112,282 27,737 3,487 33.31% 2.08% 17.94% 38.23% 124.14% -- 3.12% 3.11% 红利低波 9207.47 110,499 27,678 3,533 31.85% 2.40% 17.74% 35.36% 101.24% -- 3.21% 3.20% 180 红利 4232.79 112,046 23,535 3,641 23.14% 1.87% 17.50% 32.23% 113.20% -- 3.26% 3.25% 红利价值 9045.43 114,686 29,335 3,636 34.39% 2.70% 17.49% 38.34% 116.89% -- 3.18% 3.17% 上红回报 5322.18 32,288 12,358 724 34.99% -0.42% 17.03% 34.52% 116.10% -- 2.24% 2.24% 上民红利 3339.31 9,997 6,643 153 64.88% -1.80% 16.88% 55.02% 126.90% -- 1.55% 1.53% 民企红利 3488.60 7,407 5,180 148 65.01% -1.77% 15.93% 52.29% 119.49% -- 2.07% 2.00% 电信红利 8403.35 3,578 1,608 18 63.72% 2.58% 15.84% 53.17% 100.63% -- 0.54% 0.51% 沪医药红 9510.93 1,656 1,090 16 51.07% -1.72% 15.14% 40.87% 93.47% -- 0.95% 0.95% 沪消费红 14727.82 4,645 2,062 65 34.96% -1.33% 15.09% 33.56% 68.89% -- 1.39% 1.39% 医药红利 12889.25 5,255 2,962 50 45.08% 0.94% 14.16% 36.16% 77.97% -- 1.11% 0.95% 可选红利 13227.29 10,526 5,178 321 63.44% -0.80% 13.98% 51.54% 128.64% -- 3.09% 3.05% 沪金融红 6384.75 61,160 16,824 2,313 15.52% 3.45% 13.39% 24.07% 94.87% -- 3.81% 3.78% 金融红利 7991.55 65,589 19,536 2,393 26.62% 3.39% 12.87% 32.81% 116.27% -- 3.67% 3.65% 红利潜力 5653.87 56,315 12,730 1,443 38.79% -0.20% 12.81% 34.49% 98.52% -- 2.62% 2.56% 红利回报 5395.73 25,742 11,885 473 28.83% -1.48% 12.36% 30.45% 107.41% -- 2.15% 1.84% 消费红利 17275.53 9,867 4,202 152 33.81% -1.41% 12.19% 32.48% 79.41% -- 1.70% 1.55% 信息红利 16457.22 4,557 2,499 39 70.52% 0.25% 11.84% 53.87% 110.62% -- 0.89% 0.85% 沪可选红 13008.86 6,781 2,984 218 65.29% -1.93% 11.63% 53.44% 124.72% -- 3.26% 3.21% 上红潜力 4978.90 82,618 15,156 2,515 30.37% -0.33% 11.36% 29.66% 94.71% -- 3.07% 3.04% 沪信息红 11166.44 3,300 1,793 26 63.95% 0.75% 9.94% 43.12% 129.94% -- 0.81% 0.78% 20
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 工业等权 5369.85 76.22% 3.31% 38.98% 73.66% 229.64% 147.88% 32.33% 26.75% 8.49 1.07 2.32 电信等权 3510.44 70.64% 2.53% 37.04% 71.04% 139.67% 155.80% 39.85% 26.08% 5.26 0.17 1.39 300 两倍 3576.31 73.05% 1.85% 36.15% 86.32% 335.18% -- 45.28% 45.13% 7.37 0.66 1.52 小康指数 7431.32 50.83% 3.58% 31.25% 58.30% 167.79% 108.79% 25.37% 24.40% 6.77 0.36 1.56 公用等权 3978.97 45.09% 4.12% 23.82% 45.98% 136.29% 135.98% 32.69% 23.96% 5.58-0.03 1.20 180 基本 13101.92 34.48% 3.20% 23.47% 43.59% 142.64% 103.00% 23.86% 25.17% 5.57 0.08 1.30 50 等权 3408.89 44.98% -0.66% 23.40% 45.34% 138.99% 74.84% 25.18% 23.36% 5.84 0.08 1.30 百发 100 16898.29 62.49% 3.36% 22.96% 57.11% -- -- 22.98% -- -- -- -- 能源等权 4167.91 38.04% 0.46% 22.71% 42.50% 102.21% 3.54% 35.48% 28.49% 3.50-0.53 0.80 180 波动 15767.68 40.15% 2.09% 22.51% 43.84% 153.95% 122.70% 22.13% 22.74% 6.66 0.23 1.44 中证腾安 2752.53 67.67% 0.16% 21.71% 56.14% 140.77% -- 28.23% 20.40% 6.78 0.24 1.48 380 动量 8817.04 58.78% -0.07% 21.31% 53.13% -- -- 28.24% -- -- -- -- 安中动态 1350.52 44.48% 1.26% 21.23% 46.77% 120.68% -- 22.98% 20.95% 5.64-0.15 1.09 380 低贝 7575.98 58.86% 1.19% 20.93% 53.70% 151.85% -- 27.03% 20.06% 7.44 0.28 1.51 50 基本 3348.62 27.03% 2.30% 20.90% 36.62% 121.63% 86.67% 26.41% 27.30% 4.36-0.17 1.07 380 基本 9248.78 53.80% 0.47% 20.31% 51.93% 153.17% 138.31% 28.10% 21.91% 6.88 0.16 1.37 180 动量 4104.92 33.76% 2.14% 20.07% 44.54% -- -- 25.25% -- -- -- -- 100 动态 4777.78 34.56% 0.99% 19.85% 42.18% 142.25% -- 24.51% 26.47% 5.28 0.05 1.27 财富大盘 5440.34 31.03% 2.44% 19.82% 39.60% 127.88% 92.43% 22.36% 24.40% 5.14-0.11 1.12 300 动量 5147.60 33.16% 1.69% 19.61% 42.89% 118.23% -- 23.55% 24.36% 4.75-0.22 1.03 300 波动 7507.82 34.12% 1.72% 19.38% 40.68% 143.66% 121.97% 23.80% 23.31% 6.06 0.03 1.25 中证龙头 5001.55 48.75% -0.39% 19.38% 42.78% 115.56% 80.57% 23.80% 19.72% 5.73-0.14 1.09 银河 99 6931.69 26.05% 3.06% 19.24% 35.45% 120.96% 88.04% 23.94% 26.26% 4.51-0.17 1.07 180 低贝 11501.28 40.40% 1.24% 19.24% 39.16% 103.89% -- 21.19% 18.15% 5.59-0.15 1.07 380 稳定 8411.35 53.66% 0.60% 18.98% 49.88% 136.15% -- 29.06% 20.87% 6.40 0.03 1.25 180 等权 12413.10 45.21% 0.64% 18.79% 43.46% 137.93% 96.77% 22.52% 20.55% 6.59 0.09 1.31 180 稳定 10289.81 28.99% 1.73% 18.65% 36.24% 117.93% -- 24.40% 24.47% 4.72-0.20 1.04 等权 90 3934.76 44.16% 0.12% 18.29% 41.84% 128.53% 63.26% 21.83% 21.51% 5.86-0.03 1.19 380 动态 6496.41 58.51% -0.30% 18.27% 50.19% 125.86% -- 29.20% 20.91% 5.90 0.04 1.26 优化价值 6667.31 29.20% 1.26% 18.23% 37.05% 131.15% -- 24.54% 25.01% 5.14-0.16 1.09 180 分层 14023.69 46.60% 0.38% 18.21% 43.01% 121.58% 92.35% 25.36% 20.00% 5.96-0.08 1.15 21
100 稳定 3753.86 23.96% 2.41% 18.02% 31.34% 100.98% -- 26.01% 23.99% 4.10-0.36 0.90 300MV 6628.77 33.92% 1.73% 17.93% 35.23% -- -- 23.67% -- -- -- -- 380 波动 11647.98 52.15% 0.33% 17.83% 49.74% 152.23% 160.08% 27.74% 21.48% 6.97 0.18 1.39 医药等权 9828.13 57.56% -0.10% 17.70% 46.60% 90.50% 150.96% 32.90% 19.14% 4.60-0.05 1.16 500 动态 6807.44 63.61% 1.23% 17.63% 52.88% 129.03% -- 28.40% 20.98% 6.03 0.14 1.38 300 动态 5170.59 43.72% -0.07% 17.41% 43.46% 137.03% -- 23.49% 22.00% 6.12 0.06 1.28 优化高贝 4054.43 31.41% 0.97% 17.40% 39.83% 133.81% -- 23.11% 25.86% 5.08-0.08 1.15 优化高波 4614.10 37.27% 1.86% 17.28% 41.10% 133.21% -- 24.57% 24.06% 5.43-0.10 1.14 300 等权 5765.10 46.09% 0.19% 17.27% 43.08% 129.49% 84.20% 24.15% 20.32% 6.25-0.01 1.21 500 低贝 11883.09 53.50% 0.71% 17.24% 47.23% 123.55% -- 27.42% 19.04% 6.36 0.11 1.34 180 动态 11428.06 39.21% 0.37% 17.23% 43.62% 136.71% -- 25.69% 22.89% 5.86 0.06 1.28 优化低贝 7083.58 46.24% 0.03% 17.22% 41.37% 107.66% -- 30.66% 20.16% 5.22-0.26 0.98 300 稳定 4266.36 29.26% 1.67% 17.15% 35.31% 109.48% -- 24.08% 22.90% 4.67-0.29 0.96 380 等权 9915.56 56.81% 0.12% 17.11% 49.86% 131.99% 135.13% 30.30% 20.54% 6.30 0.08 1.30 180ERC 5922.40 -- 0.13% 17.04% -- -- -- 22.61% -- -- -- -- 380ERC 11539.64 -- 0.17% 16.75% -- -- -- 29.73% -- -- -- -- 300 分层 6282.39 43.39% -0.07% 16.74% 40.86% 118.50% 83.93% 25.89% 20.17% 5.75-0.14 1.09 300 低贝 6055.19 42.77% 1.29% 16.33% 39.42% 94.76% -- 23.46% 17.90% 5.15-0.28 0.94 200 稳定 7037.35 45.37% 0.49% 16.31% 42.12% 129.89% -- 25.91% 20.66% 6.16-0.05 1.18 800 等权 7979.92 53.66% 0.04% 16.18% 47.31% 127.33% -- 27.16% 19.76% 6.32 0.05 1.27 优化低波 6201.60 32.41% 0.17% 16.15% 34.19% 128.28% -- 21.97% 21.34% 5.90 0.02 1.24 富国多空 22676.36 41.60% 1.23% 15.91% 38.03% 134.00% 108.31% 24.27% 21.70% 6.06 0.07 1.29 500 稳定 10559.93 54.08% -0.14% 15.77% 47.47% 120.29% -- 30.12% 19.94% 5.91-0.01 1.21 300ERC 5978.70 43.52% -0.02% 15.76% 40.53% 121.09% -- 24.51% 19.99% 5.93-0.09 1.13 500 等权 9745.47 58.51% -0.04% 15.55% 49.93% 125.77% 129.05% 29.60% 20.33% 6.06 0.09 1.31 转型成长 24997.85 68.71% -1.13% 15.45% 54.52% -- -- 33.09% -- -- -- -- 材料等权 4045.32 45.23% -0.57% 15.37% 40.66% 118.46% 45.85% 30.17% 22.58% 5.14-0.15 1.08 创业价值 2132.24 47.32% 0.48% 14.98% 43.49% 119.54% -- 31.51% 21.46% 5.45-0.12 1.11 500 波动 13084.40 49.72% -0.73% 14.88% 46.36% 135.85% 142.28% 28.87% 20.65% 6.46 0.08 1.30 380 高贝 8013.19 57.78% -0.98% 14.71% 46.59% 122.45% -- 32.36% 22.61% 5.31-0.03 1.20 300 高贝 4263.87 36.32% -1.45% 14.54% 39.36% 136.90% -- 28.03% 24.22% 5.55-0.05 1.18 180 高贝 9416.78 36.08% -0.60% 14.45% 38.50% 150.53% -- 27.39% 24.58% 6.02 0.07 1.29 光大阳光 5474.54 23.60% 2.03% 14.28% 29.55% 95.00% 62.34% 25.49% 24.00% 3.85-0.42 0.84 沪财中小 11721.61 55.39% 0.02% 14.24% 46.15% 117.67% 113.63% 29.93% 20.15% 5.71 0.01 1.24 信息等权 8037.70 98.14% -0.07% 13.81% 64.77% 175.04% 228.23% 39.72% 27.09% 6.37 0.57 1.83 22
优化成长 6387.35 40.07% 1.87% 13.45% 41.29% 101.88% -- 21.71% 20.36% 4.88-0.27 0.97 可选等权 4199.62 57.00% -1.46% 12.96% 45.42% 104.75% 114.16% 32.15% 21.00% 4.87-0.24 0.99 200 动态 5030.30 46.30% -1.07% 12.63% 42.18% 104.87% -- 29.05% 20.85% 4.91-0.26 0.98 500 高贝 6826.59 66.78% -0.38% 12.22% 52.66% 129.27% -- 30.79% 22.28% 5.69 0.14 1.38 消费等权 6810.18 38.54% -0.73% 11.90% 34.33% 80.01% 50.74% 29.85% 18.70% 4.15-0.30 0.88 地产等权 7904.15 22.59% 3.78% 10.96% 27.41% 127.60% -- 25.42% 29.31% 4.27-0.12 1.12 金融等权 6073.81 14.47% 1.07% 10.72% 24.18% 124.80% 99.04% 30.83% 31.14% 3.93-0.22 1.04 新华金牛 8050.92 50.95% 0.60% 10.62% 38.69% 86.47% -- 26.49% 20.03% 4.19-0.24 0.96 创业成长 1710.06 63.49% -0.72% 8.91% 44.69% 81.24% 107.72% 34.29% 23.07% 3.41-0.29 0.89 300 反向 1705.90-26.80% -1.03% -15.00% -28.20% -55.67% -- 22.53% 21.89% -2.66 0.75 0.53 300 反两 515.63-48.66% -2.21% -28.48% -49.83% -82.36% -- 45.13% 44.00% -1.93 1.82 0.39 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 基本面 50 4448.79 34.20% 4.52% 26.30% 46.15% 148.90% 111.24% 26.97% 27.37% 5.35 0.13 1.35 上证 F200 5383.36 38.06% 3.12% 24.55% 47.75% 153.21% 111.07% 24.12% 25.02% 6.02 0.16 1.37 上证 F500 6093.33 39.67% 2.68% 23.40% 47.55% 149.26% 113.39% 22.96% 23.63% 6.21 0.13 1.35 基本 200 5238.24 35.57% 2.60% 22.51% 44.76% 146.93% 102.48% 23.15% 24.79% 5.83 0.08 1.30 基本 300 6143.98 36.59% 2.38% 21.70% 44.07% -- -- 22.76% -- -- -- -- 基本 600 6086.19 38.75% 2.13% 21.46% 45.58% 143.71% 104.27% 22.16% 23.05% 6.13 0.06 1.28 基本 400 8913.27 53.58% 0.24% 17.32% 49.05% 131.40% 109.23% 28.35% 20.65% 6.24 0.02 1.24 上证 F300 9703.72 53.29% -0.57% 15.40% 46.05% 122.14% 122.15% 30.23% 20.66% 5.79-0.02 1.21 基本 500 9502.28 57.22% -0.01% 13.81% 46.47% -- -- 31.16% -- -- -- -- 23
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