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... 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 6 月份市场概要 6 月份国际主要股市普遍以下跌报收, 欧美 日本及香港股市全月基本以下跌状态低位运行, 月末因希腊债务局势恶化, 欧美股市出现较大幅度下跌, 标普 500 指数当月下跌 2.10%,STOXX 欧洲 600 指数下跌 4.64%, 日经 225 指数及中证香港 100 指数分别下跌 1.59% 和 5.39% A 股市场 6 月份经历了大起大落, 上证综指在市场强烈的看多气氛中摸高至 5100 点上方, 但此后在资金去杠杆等因素作用下快速下跌至 4000 点位置, 当月上证综指下跌 7.25%, 沪深 300 指数下跌 7.60% 前期上涨幅度大, 且估值水平高的中小市值股票指数在调整中跌幅惊人, 中证 500 上证 380 指数月跌幅分别为 10.64% 9.15% 蓝筹股指数跌幅较小, 中证 100 上证 50 指数分别下跌 6.38% 7.76% 年内最大涨幅翻倍有余 估值高企的创业板跌幅最大, 创业板指 6 月份下跌 19.31%, 已将 5 月份涨幅完全吞噬, 中小板指当月下跌 15.86% 板块表现上,6 月份白酒 运输 钢铁 煤炭 银行及地产指数回调较小, 仍出现一定幅度上涨, 而信息技术 互联网 高铁等前期热门板块出现大幅回调 6 月份小盘成长风格指数全面跑输, 大盘价值指数较为抗跌 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 6 月份上证综指走出典型倒 V 型走势, 先是在强烈的看多气氛中一路最高涨至 5178.19 点上方, 但此后在资金去杠杆等因素作用下快速下跌至 4000 点位置, 最低探至 3847.88 点, 月末收于 4277.22 点, 全月下跌 7.25% 当月上海市场日均成交金额 9510 亿元, 环比增长 17% 6 月份中小市值股票指数在调整中跌幅惊人, 中证 500 上证 380 指数月跌幅分别为 10.64% 9.15% 蓝筹股指数跌幅较小, 中证 100 上证 50 指数分别下跌 6.38% 7.76% 中证 800 指数和中证全指分别下跌 8.49% 9.54% 年内最大涨幅翻倍有余 估值高企的创业板跌幅最大, 创业板指 6 月份下跌 19.31%, 收盘跌至 2858.61 点, 已将 5 月份涨幅完全吞噬, 中小板指当月下跌 15.86%, 收盘 9232.48 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 内部资料仅供交流 3
定期分析报告 沪深 300 指数分析 6 月份沪深 300 指数从最高 5380.43 点跌至最低 4000.93 点, 月末收盘 4473.00 点, 月跌幅 7.60% 6 月份沪深 300 指数日均成交 6835 亿元, 比上月增加 13% 6 月末沪深 300 指数滚动市盈率为 17.42 倍, 出现下降 图 6: 沪深 300 指数走势 10 条一级行业指数中, 仅有公用事业和能源行业指数月内仍保持正收益, 分别涨 5.91% 3.02%, 其余 8 条指数全部转跌, 电信业务和信息技术行业指数 跌幅最大, 分别下跌 19.29% 18.79% 10 条一级行业指数中, 信息技术 医药卫生 2 条指数分别大涨 22.08% 13.26%, 涨幅排名靠前 能源 金融地产 2 条指数则出现下跌, 跌幅分别为 5.02% 5.46% 其余指数涨幅均在 10% 以内 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, 内部资料仅供交流 4
定期分析报告月末权重分别为 37.70% 18.25% 11.17%, 金融地产行业抗跌特征明显, 因此权重明显增加 6 月末沪深 300 指数滚动市盈率为 17.42 倍, 市净率 2.53 倍 信息技术行业滚动市盈率和市净率明显下降, 分别降至 67.24 倍 7.42 倍 金融地产行业估值水平最低, 滚动市盈率 市净率分别为 11.23 倍 1.90 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, 中国中车由于连续大幅下跌, 权重排名下滑 5 位至第 9 名, 最新权重为 1.45% 中国平安 招商银行 民生银行仍名列前 3, 权重分别为 3.83% 2.67% 2.53% 中信证券 兴业银行位列 4 5 位, 权重为 1.83% 1.70%, 前 10 大权重股权重合计 20.02% 6 月份对沪深 300 影响最大的 10 只股票中, 仅交通银行对指数形成正贡献, 贡献点数为 8.42 点, 影响最大的前 10 只股票合计贡献 -113.07 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 6 月份市场异常震荡, 大部分指数由涨转跌, 白酒 运输 钢铁 煤炭 银行及地产等指数较为抗跌, 当月出现上涨 ; 信息技术 互联网 基建 高铁等前期热门板块跌幅最大 上涨的中证指数系列中, 中证白酒 中证内地运输 钢铁产业 中证煤炭 地产等权 中证内地银行指数分别上涨 10.66% 9.64% 7.43% 5.13% 3.80% 3.60% 上证指数系列中, 上证 380 能源 上证 180 运输 上证银行指数分别上涨 11.34% 9.12% 4.04% 下跌的指数中, 中证高铁产业 软件服务 中证基建 互联金融 移动互联指数分别大幅下跌 26.43% 24.28% 22.58% 20.87% 20.22% 上证指数系列中, 上证基建 上证信息 上证文化指数大幅下跌 24.69% 20.61% 20.07% 图 13:6 月份走势领先的 20 条指数 图 14:6 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 6 月份小盘成长风格指数跌幅极大, 市场表现远逊于大盘价值风格指数 中证 500 成长 上证 380 成长指数分别下跌 11.09% 9.73%, 由于母指数跌幅巨大, 中证 500 价值指数下跌达 8.30% 沪深 300 价值和上证 180 价值指数最为抗跌, 分别下跌 1.16% 0.79% 基本面指数中, 大市值指数明显抗跌, 中证基本面 50 中证基本面 200 指数分别下跌 1.35% 1.56% 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 在下跌市中红利指数整体表现较好,6 月份有上证国企红利 上证 180 红利 沪深 300 红利 上证央企红利 4 条指数出现上涨, 涨幅分别为 3.59% 3.55% 2.26% 2.19% 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 2.67% 2.60% 2.53% 中小板板块与创业板板块股息率分别为 0.42% 0.21% 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
6 月份波动率加权指数系列的波幅明显增加, 提高至 30% 附近 定期分析报告 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 6 月份沪深 300 和上证 180 两条蓝筹指数的低贝塔指数跌幅大于母指数 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成份指数中,6 月份仅化工材料期货成份指数上涨 2.46%, 其余指数均出现下跌, 工业品 有色金属 工业金属期货成份指数跌幅最大, 分别下跌 4.10% 4.91% 5.72% 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 4473.00 26.58% 3.15% -7.60% 10.41% 106.59% 81.71% 53.14% 28.59% 17.57 2.33 1.46% 300 金融 6768.53 3.08% 5.42% -3.64% 1.51% 101.87% 93.21% 52.67% 36.03% 10.92 1.70 1.77% 300 消费 8557.87 37.17% 3.41% -5.81% 15.47% 70.45% 31.66% 55.29% 27.65% 23.49 3.77 1.52% 300 能源 2759.58 24.73% 3.88% 3.02% 16.15% 71.05% 0.25% 55.06% 34.38% 19.54 1.75 2.18% 300 公用 3139.31 42.81% 1.36% 5.91% 39.58% 162.29% 127.71% 56.13% 35.43% 20.38 2.75 2.29% 300 可选 6651.98 51.73% 2.38% -6.96% 13.64% 96.86% 126.62% 52.90% 28.24% 22.75 3.63 1.30% 300 电信 3572.60 45.17% 1.24% -19.29% 19.12% 102.52% 103.26% 74.66% 38.27% 45.62 3.04 0.07% 300 工业 4010.31 50.35% 1.04% -13.89% 18.43% 171.53% 115.07% 60.49% 34.16% 33.85 3.56 0.93% 300 信息 2790.58 74.38% 0.38% -18.79% 11.11% 96.85% 139.23% 70.71% 34.80% 63.88 6.58 0.44% 300 医药 8444.18 39.97% 4.13% -9.64% 15.95% 65.86% 83.18% 59.79% 27.19% 40.34 5.95 0.67% 300 材料 2899.53 33.34% 1.33% -8.70% 12.22% 100.29% 30.12% 56.95% 31.30% 38.25 2.56 0.74% 中证 500 8906.02 67.32% -1.90% -10.64% 22.79% 126.91% 156.59% 57.71% 28.29% 51.58 4.50 0.49% 500 金地 8186.40 59.61% -2.37% -3.57% 20.84% 179.78% -- 59.71% 31.88% 35.23 3.70 0.58% 500 消费 10997.10 63.07% -0.60% -3.20% 28.78% 107.51% -- 56.98% 27.15% 52.89 4.94 0.46% 500 能源 6586.11 47.42% 0.25% -5.14% 21.95% 97.37% -- 57.53% 32.03% 91.27 3.09 0.59% 500 公用 6056.78 56.89% -3.53% -13.69% 20.32% 150.68% -- 63.95% 34.21% 33.24 3.90 0.94% 500 可选 7772.35 81.17% -2.29% -10.05% 27.26% 124.75% -- 59.30% 29.38% 44.18 4.29 0.59% 500 电信 5418.11 72.50% -5.19% -19.06% 23.94% 74.17% -- 70.74% 33.12% 61.13 5.29 0.48% 500 工业 9204.77 61.63% -1.72% -10.83% 21.67% 139.16% -- 58.34% 30.00% 53.03 4.41 0.40% 500 信息 10346.79 94.14% -2.33% -18.57% 24.91% 144.97% -- 58.95% 32.61% 100.65 7.93 0.27% 500 医药 17265.82 80.00% -0.98% -10.26% 25.51% 100.97% -- 55.87% 28.47% 68.00 6.70 0.37% 500 原料 5263.63 47.63% -1.75% -9.44% 15.82% 96.73% -- 60.79% 28.73% 45.15 3.45 0.62% 中证全指 6374.83 51.10% -0.04% -9.54% 19.48% 121.71% 130.32% 53.83% 26.60% 26.32 3.12 0.95% 全指金融 6737.85 9.34% 4.36% -3.53% 4.62% 110.85% 102.71% 51.24% 34.34% 11.89 1.81 1.63% 全指消费 10157.10 52.60% 1.15% -5.94% 23.81% 92.49% 62.16% 54.08% 25.78% 34.15 4.41 0.95% 全指能源 3140.37 34.00% 2.44% 1.39% 19.60% 77.99% 13.04% 53.91% 32.04% 21.23 1.83 2.00% 全指公用 4183.02 49.86% -0.65% 0.29% 34.11% 159.30% 152.54% 57.57% 32.91% 24.52 3.13 1.69% 全指可选 7671.09 69.07% -0.76% -8.97% 21.50% 111.63% 153.04% 54.66% 27.59% 34.47 4.31 0.83% 全指电信 7576.74 75.20% -3.38% -14.84% 26.59% 113.99% 215.29% 63.40% 31.27% 64.79 4.39 0.20% 10
全指工业 5964.42 62.36% -1.03% -12.87% 22.46% 151.80% 155.23% 58.27% 29.91% 43.77 4.13 0.65% 全指信息 8719.84 98.71% -1.87% -18.97% 21.48% 129.00% 277.06% 64.08% 33.84% 90.40 7.90 0.27% 全指医药 12149.48 63.17% 0.02% -11.85% 22.52% 83.61% 144.56% 58.11% 27.46% 55.50 6.31 0.45% 全指材料 4364.26 55.69% -1.45% -9.21% 20.40% 115.77% 77.51% 56.46% 28.04% 52.32 3.30 0.51% 上证 180 9723.85 20.88% 3.45% -7.70% 8.37% 105.61% 84.17% 52.98% 29.59% 15.32 2.07 1.69% 180 能源 2315.25 19.11% 4.56% 0.96% 12.25% 62.80% -1.15% 58.64% 35.42% 19.00 1.71 2.30% 180 材料 2208.45 25.26% 1.88% -12.10% 4.26% 84.78% 25.50% 62.98% 31.81% 32.92 2.57 1.01% 180 工业 3435.44 46.40% 0.70% -16.63% 14.74% 167.56% 117.95% 61.54% 35.80% 31.48 3.45 1.04% 180 可选 3302.41 35.18% 0.98% -12.16% 3.09% 83.32% 100.49% 60.22% 30.75% 18.28 3.02 2.05% 180 消费 5990.34 35.93% 3.64% -8.03% 15.43% 73.33% 35.53% 55.96% 28.48% 23.00 3.92 1.02% 180 医药 4691.40 43.21% 5.33% -10.97% 14.72% 60.12% 95.56% 56.87% 26.19% 41.99 6.60 0.71% 180 金地 5618.68 5.19% 5.24% -3.16% 3.32% 101.58% 95.46% 51.81% 35.25% 10.38 1.62 1.89% 180 信息 4515.62 89.68% -0.28% -20.03% 11.82% 130.78% 190.06% 75.45% 40.63% 79.24 7.70 0.52% 180 电信 2789.15 49.33% 3.65% -15.35% 33.45% 120.22% 124.65% 80.23% 45.70% 48.96 3.02 -- 180 公用 2893.66 46.44% 2.68% 10.91% 46.31% 164.31% 149.91% 55.00% 36.94% 19.00 2.72 2.49% 上证 380 7971.07 63.79% -1.39% -9.15% 24.63% 136.68% 155.66% 59.75% 29.21% 45.30 3.91 0.67% 380 能源 2608.53 55.79% -0.75% 11.34% 38.83% 136.19% 48.26% 54.92% 37.17% 65.22 2.81 0.69% 380 材料 5587.60 53.63% -1.84% -6.31% 21.52% 117.73% 88.53% 63.83% 30.48% 56.78 3.61 0.54% 380 工业 9323.91 58.51% -1.57% -12.36% 21.29% 158.53% 190.83% 62.61% 31.98% 40.99 3.67 0.68% 380 可选 8199.43 84.42% -1.50% -4.81% 30.97% 143.49% 172.04% 55.42% 28.90% 40.24 3.90 0.76% 380 消费 10254.52 64.89% 0.05% -0.13% 31.55% 121.42% 130.50% 63.41% 28.62% 49.20 4.66 0.53% 380 医药 13163.07 65.48% 0.22% -12.41% 20.33% 82.11% 137.65% 61.11% 28.33% 52.89 5.07 0.52% 380 金融 7561.16 52.89% -2.94% -7.27% 19.26% 146.74% 152.78% 66.41% 31.49% 34.79 3.17 0.80% 380 信息 8541.31 88.48% -1.08% -18.47% 27.67% 144.01% 287.60% 58.15% 33.48% 81.02 7.59 0.35% 380 电信 5711.01 80.66% -3.77% -19.47% 27.71% 104.48% 226.12% 75.74% 38.04% 59.13 4.42 0.41% 380 公用 3822.12 49.71% -1.85% -5.64% 26.32% 149.40% 137.80% 69.85% 36.68% 34.77 3.75 1.15% 中证超大 3449.69 16.63% 5.32% -3.95% 9.64% 101.66% 60.62% 50.78% 30.74% 12.26 1.77 2.06% 中证 100 4036.63 17.32% 4.85% -6.38% 8.36% 102.49% 70.72% 51.51% 30.43% 14.28 2.02 1.77% 中证 200 5982.06 45.62% 0.55% -9.32% 14.27% 114.26% 104.08% 58.86% 28.70% 38.66 3.65 0.74% 中证 700 7291.48 56.51% -0.74% -9.99% 18.73% 120.99% 129.36% 57.98% 28.15% 44.33 4.04 0.61% 中证 800 5249.52 36.73% 1.61% -8.49% 13.95% 112.51% 99.44% 53.47% 27.39% 20.81 2.63 1.23% 300 沪市 4103.58 22.46% 3.66% -7.17% 9.61% 109.46% 86.83% 53.26% 29.76% 15.58 2.10 1.67% 11
500 沪市 9146.48 60.93% -1.14% -9.42% 21.21% 126.95% 147.10% 58.88% 28.64% 51.58 4.12 0.53% 超大盘 2508.56 16.53% 3.84% -10.66% 7.33% 84.41% 43.30% 50.77% 29.68% 15.28 1.95 1.88% 上证 50 2870.03 11.17% 4.87% -7.76% 4.19% 93.61% 67.95% 52.52% 32.11% 12.27 1.75 1.98% 上证中盘 4888.21 38.00% 1.39% -7.63% 14.83% 125.73% 114.22% 56.73% 28.37% 32.13 3.34 1.09% 上证小盘 6949.92 65.63% -0.82% -7.65% 25.66% 140.41% 146.96% 58.67% 29.24% 51.02 4.02 0.56% 上证中小 5813.54 50.86% 0.29% -7.65% 20.07% 132.73% 130.04% 57.41% 28.30% 38.87 3.63 0.84% 上证全指 4107.11 31.72% 2.21% -7.60% 13.13% 115.09% 100.04% 53.60% 28.26% 18.12 2.33 1.43% 上证 100 8593.91 60.97% -1.18% -9.19% 19.82% 121.68% 132.93% 59.90% 28.47% 34.37 4.53 0.80% 上证 150 8486.19 85.63% -3.15% -8.41% 30.93% 150.81% 178.74% 57.47% 28.35% 119.56 6.95 0.13% 市值百强 3052.33 16.56% 3.93% -8.42% 6.19% 99.81% -- 52.59% 30.61% 13.86 1.93 1.83% 上证能源 2475.91 29.44% 2.96% 3.53% 19.65% 80.24% 8.15% 56.62% 34.66% 20.14 1.78 2.12% 上证材料 2628.04 34.52% 0.65% -10.20% 10.24% 99.28% 42.97% 62.12% 30.99% 40.92 2.90 0.76% 上证工业 3698.97 51.64% 1.15% -15.26% 19.63% 185.55% 137.10% 60.71% 35.70% 32.45 3.49 0.97% 上证可选 3833.10 49.45% 0.60% -8.35% 10.79% 99.43% 120.58% 58.30% 29.28% 24.11 3.36 1.49% 上证消费 7371.29 46.11% 2.58% -4.33% 20.10% 87.57% 70.56% 56.44% 27.16% 27.18 4.11 0.85% 上证医药 7079.00 53.66% 3.35% -11.39% 18.11% 70.87% 110.96% 57.73% 26.23% 46.89 5.59 0.59% 上证金融 5260.45 2.49% 5.82% -2.93% 1.72% 95.66% 88.88% 53.06% 36.34% 9.83 1.56 1.97% 上证信息 6127.90 91.45% -1.06% -20.61% 14.09% 140.01% 228.97% 65.29% 35.95% 88.69 8.12 0.40% 上证电信 3716.97 74.12% -2.63% -17.98% 33.69% 109.83% 183.20% 68.58% 32.12% 55.79 3.57 0.11% 上证公用 3737.54 46.63% 0.24% 2.55% 36.68% 155.99% 146.23% 57.72% 35.16% 23.19 3.06 1.96% 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 公用指数 9041.11 46.81% 2.02% -1.82% 23.96% 172.05% 143.66% 58.42% 33.61% 27.87 2.86 1.29% 综合指数 3536.94 15.15% 4.14% -3.76% 7.75% 98.77% 86.06% 49.35% 31.87% 12.32 1.86 1.59% 地产指数 7719.72 23.82% 3.54% -4.79% 15.61% 145.01% 131.94% 57.00% 37.74% 15.59 2.30 1.43% 新综指 3612.31 32.16% 2.01% -7.23% 14.02% 108.88% 91.88% 50.91% 28.00% 20.15 2.55 1.27% A 股指数 4479.90 32.17% 2.00% -7.23% 14.04% 108.88% 92.23% 50.89% 27.99% 20.16 2.55 1.27% 12
上证指数 4277.22 32.23% 2.01% -7.25% 14.12% 108.82% 92.20% 50.86% 27.95% 20.17 2.55 1.26% 上证流通 1545.71 37.84% 1.21% -8.13% 16.19% 121.06% 113.38% 53.11% 27.51% 20.15 2.55 1.27% 商业指数 6198.18 65.21% -3.28% -9.45% 22.15% 152.34% 139.28% 60.60% 30.27% 45.49 4.44 0.56% 中证流通 6700.39 52.16% -0.14% -9.86% 20.21% 122.92% 132.35% 53.30% 26.48% 26.84 3.18 0.93% 工业指数 3475.82 43.69% 0.79% -10.50% 16.80% 103.49% 85.21% 52.27% 27.38% 33.06 3.26 1.06% 中型综指 2032.19 71.42% -2.80% -10.51% 26.14% 129.98% 168.16% 57.01% 28.02% 74.67 6.45 0.30% B 股指数 431.85 48.53% 4.22% -12.68% 39.03% 95.17% 83.27% 54.91% 26.77% 21.92 1.87 0.18% 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 内地运输 27 16,074 6,096 2930.98 72.36% 4.95% 9.64% 42.04% 215.79% 159.83% 35.51 3.35 180 运输 9 9,749 3,286 1736.55 68.56% 4.54% 9.12% 39.49% 159.50% 89.64% 30.37 3.16 钢铁产业 12 7,368 2,609 1507.01 44.49% 2.82% 7.43% 24.74% 162.44% 81.85% 60.44 2.06 煤炭指数 37 11,525 3,249 3707.17 45.79% 1.45% 7.19% 31.00% 120.05% 6.05% 26.50 1.89 300 公运 34 28,048 10,303 2562.4 56.38% 3.08% 6.88% 41.82% 174.91% -- 25.94 3.11 上证银行 14 60,741 19,171 880.76 8.07% 7.69% 4.04% 10.84% 80.37% 85.96% 7.53 1.25 内地银行 16 63,509 20,347 6313.22 8.33% 7.69% 3.60% 11.03% 80.49% 87.71% 7.62 1.26 细分能源 50 40,395 6,026 3329.62 33.62% 2.53% 2.27% 20.05% 77.78% 12.21% 21.23 1.83 细分食品 45 13,298 6,318 10015.78 43.81% 3.78% -0.25% 25.58% 84.69% 28.94% 27.65 4.40 物流产业 21 11,196 4,008 2705.77 71.76% 2.56% -0.56% 39.07% 209.16% 193.80% 33.80 3.48 内地地产 46 15,549 8,215 7948.67 37.83% 1.87% -0.87% 15.43% 141.27% 122.96% 20.92 2.96 细分地产 50 16,631 8,476 7711.71 38.71% 2.41% -1.90% 15.72% 144.05% 123.70% 21.72 2.96 食品饮料 45 13,892 6,478 10233.59 41.97% 3.94% -1.97% 23.96% 78.63% 29.27% 25.74 4.29 300 周期 112 173,168 58,948 4310.27 9.99% 4.94% -2.53% 5.71% 104.34% 72.93% 13.68 1.82 农业主题 40 6,901 4,104 1630.87 60.09% -0.61% -2.60% 26.86% 111.32% 124.30% 38.52 4.24 上证上游 56 45,381 8,815 3223.09 32.40% 1.53% -2.75% 15.98% 83.95% 10.70% 22.40 1.96 轻工产业 66 24,511 12,722 3773.01 52.30% 3.61% -2.84% 23.98% 90.37% 68.87% 24.42 4.00 180 金融 33 89,839 34,734 5602.41 2.32% 5.63% -3.14% 1.68% 98.65% 91.62% 9.92 1.56 上证商品 50 45,099 8,875 2517.05 39.20% 0.43% -3.16% 18.06% 97.92% 13.74% 23.08 1.98 上证周期 50 133,149 42,059 3522.7 5.03% 5.50% -3.48% 2.69% 92.57% 69.99% 11.74 1.65 ESG 100 100 150,376 56,914 1380.11 35.96% 3.55% -3.78% 15.43% 129.89% -- 12.23 1.87 13
内地金融 45 101,466 39,237 7207.93 2.33% 5.40% -3.88% 1.33% 102.87% 95.38% 10.67 1.66 细分金融 48 102,564 39,929 6902.94 2.51% 5.23% -3.98% 1.25% 103.40% 95.76% 10.76 1.67 800 金融 46 102,330 39,756 6886.34 2.45% 5.25% -4.03% 1.20% 103.28% -- 10.74 1.67 央企 100 100 163,073 47,088 2275.25 27.56% 3.97% -4.04% 15.32% 132.77% 98.23% 14.84 1.99 沪大农业 49 6,430 3,400 1895.26 60.23% -2.36% -4.09% 25.83% -- -- 59.90 4.59 上证资源 50 44,686 8,389 2861.57 30.87% 1.06% -4.30% 14.22% 84.79% 11.61% 22.33 1.95 300 消服 23 15,025 8,447 7599.07 64.35% 3.06% -4.46% 20.97% 120.38% -- 25.07 3.71 中证央企 323 197,444 62,995 2652.39 37.04% 2.18% -4.48% 19.40% 139.65% 120.74% 16.93 2.23 领先行业 150 99,561 38,789 10095.26 46.56% 2.39% -4.58% 18.60% 109.37% 96.69% 10.41 1.77 180 基建 24 30,788 10,557 2777.95 36.22% 3.60% -4.79% 22.35% 173.05% 146.57% 19.79 2.59 资源 50 50 45,438 9,024 3420.66 36.29% 0.77% -4.82% 15.27% 90.96% 17.08% 22.42 1.98 泛珠三角 47 41,159 25,931 7000.23 21.43% 4.69% -4.83% 10.53% 100.16% -- 16.56 2.53 A 股资源 50 46,590 9,099 5787.54 30.23% 0.63% -4.83% 12.42% 90.34% 7.60% 22.88 1.96 中证上游 50 46,543 9,068 3550.8 26.84% 1.60% -4.98% 11.79% 77.84% 1.41% 22.89 1.96 优势资源 47 35,148 6,564 4780.34 33.99% 0.49% -5.09% 14.62% 93.32% 10.57% 23.53 2.00 300 基建 39 37,517 13,268 3122.22 38.22% 2.84% -5.13% 22.32% 176.91% 141.79% 20.81 2.65 国企 200 200 237,591 81,630 1364.67 25.36% 3.52% -5.57% 12.30% 117.09% 79.99% 16.31 2.14 石化产业 25 30,138 3,667 1480.18 38.75% 0.94% -5.62% 16.26% 79.95% 47.49% 20.29 1.82 内地基建 50 40,361 14,333 3131.26 41.87% 2.53% -5.76% 22.88% 176.78% 145.68% 21.40 2.71 上证海外 44 125,586 35,030 1424.28 9.97% 5.72% -5.78% 5.46% 102.56% 82.26% 12.42 1.72 沪珠三角 40 32,762 20,505 5297.47 17.30% 3.83% -5.80% 6.86% 105.03% -- 16.24 2.37 纺织产业 23 4,958 2,325 2980.4 82.18% -0.33% -5.96% 34.25% 151.98% 100.06% 36.56 4.23 内地资源 50 44,287 8,450 3573.16 24.64% 1.39% -6.25% 10.66% 78.29% -4.15% 23.24 1.91 中证国企 996 336,254 131,373 1684.94 37.54% 1.27% -6.33% 17.00% 123.97% 103.94% 20.10 2.48 内地消费 50 35,793 17,472 7071.4 42.78% 3.45% -6.36% 14.05% 79.50% 69.51% 21.20 3.67 ESG 40 40 90,112 33,102 1715.4 27.89% 4.99% -6.37% 12.20% 119.13% 87.70% 10.78 1.65 沪中部 34 11,223 5,249 4424.97 32.37% 3.94% -6.61% 13.65% 98.40% -- 24.56 2.87 环渤海 48 84,242 15,663 3316.85 32.55% 3.87% -6.69% 12.64% 96.88% -- 13.47 1.84 上证央企 50 132,105 33,547 2012.67 19.44% 4.13% -6.93% 10.43% 120.87% 86.72% 12.98 1.79 责任指数 100 72,590 33,739 1484.9 17.04% 4.75% -6.97% 6.72% 98.49% 84.41% 14.99 2.10 沪环渤海 43 79,950 14,259 3066.71 27.70% 4.27% -7.24% 12.43% 102.92% -- 13.01 1.79 消费 50 50 25,762 11,981 7679.68 42.04% 1.88% -7.26% 11.81% 87.94% 91.58% 22.93 3.46 城镇消费 100 53,337 25,969 1734.34 45.38% 2.68% -7.33% 14.47% 77.89% -- 25.89 4.01 上证下游 170 59,996 28,398 4850.48 56.27% 1.67% -7.34% 18.52% 108.92% 114.68% 31.01 3.74 大宗商品 100 55,572 13,897 5397.12 46.45% -0.36% -7.50% 17.97% 105.59% 43.22% 25.51 2.12 14
治理指数 317 184,813 74,308 1317.94 24.72% 2.69% -7.54% 10.19% 115.79% 99.33% 16.46 2.18 地企 100 100 74,518 34,541 1351.22 22.44% 2.91% -7.58% 8.43% 99.31% 60.50% 20.70 2.56 上证沪企 50 37,565 16,722 3047.6 24.86% 3.01% -7.64% 11.04% 107.86% 107.88% 19.53 2.44 180 治理 100 143,718 54,391 1137 16.50% 3.91% -7.72% 6.52% 105.64% 85.05% 14.05 1.96 上国改革 50 28,847 12,279 2109.38 52.45% -0.30% -7.82% 24.89% -- -- 28.38 3.12 沪股通 569 293,117 114,248 3794.13 31.99% 2.03% -7.92% 13.37% 127.72% -- 18.24 2.34 中证地企 673 138,810 68,377 1736.03 37.78% 0.44% -8.01% 14.83% 111.44% 90.75% 27.40 2.93 优势消费 50 15,601 8,524 6644.93 47.74% 2.97% -8.13% 19.42% 75.45% 73.20% 32.64 4.94 西部开发 42 19,923 9,610 8132.4 37.38% 1.53% -8.22% 12.02% 104.08% -- 33.84 4.16 中证服务 300 214,996 89,170 6175.98 44.63% 1.46% -8.32% 15.99% 138.04% -- 16.37 2.34 沪消费品 50 16,271 8,689 8062.72 52.97% 1.97% -8.38% 16.72% 86.59% 84.49% 34.22 4.51 内地农业 47 12,033 6,458 5929.18 45.71% -0.31% -8.55% 14.86% 81.51% 80.60% 32.79 3.84 消费 80 80 33,957 16,792 4591.05 45.25% 1.98% -8.56% 13.84% 83.09% 88.47% 26.10 3.78 上证国企 100 176,383 54,532 1249.17 17.12% 3.60% -8.61% 7.32% 106.67% 75.08% 13.85 1.91 180 资源 20 37,235 5,387 3386.72 19.59% 2.04% -8.72% 7.78% 65.68% -7.51% 20.72 1.80 资源 80 80 52,799 12,774 3899.55 32.52% 0.38% -8.78% 12.29% 85.15% 13.62% 24.29 2.08 汽车产业 33 12,642 5,554 5234.29 41.49% 2.13% -9.02% 8.57% 81.88% 127.32% 19.24 2.79 中证下游 200 90,727 43,802 6320.71 56.55% 1.65% -9.06% 17.92% 100.62% 106.40% 32.76 4.42 上证龙头 69 131,213 36,724 4131.23 47.18% 2.47% -9.11% 18.23% 114.79% 93.88% 13.62 1.87 城镇基建 100 38,071 17,280 2253.29 34.51% 1.58% -9.11% 11.06% 153.62% -- 21.93 2.78 上证养老 40 27,275 14,289 11966.18 49.61% 1.28% -9.16% 14.70% 91.84% -- 28.40 3.52 上证健康 49 12,601 7,437 1829.21 52.13% 0.07% -9.23% 17.87% 95.36% -- 35.69 4.38 上证民企 50 25,185 14,234 2074.97 44.24% 3.12% -9.30% 10.51% 99.46% 115.31% 25.94 3.65 沪西部 37 14,905 7,697 6978.38 33.10% 1.56% -9.37% 12.40% 95.96% -- 34.87 3.96 长三角 48 39,738 17,657 5131.41 26.68% 3.01% -9.64% 7.73% 101.78% -- 19.21 2.58 消费领先 100 109,913 45,923 8501.19 40.31% 2.05% -9.83% 11.46% 95.10% 104.84% 12.12 1.88 沪城消费 50 26,295 13,448 1773.15 38.42% 2.54% -9.84% 10.79% 73.33% -- 23.56 3.56 大消费 360 105,022 51,336 11518.46 74.35% -1.10% -9.89% 24.68% 108.38% 155.93% 35.29 4.47 细分化工 50 10,698 5,439 4352.32 63.75% -1.03% -10.01% 21.79% 110.81% 84.47% 35.05 3.67 大农业 50 11,868 5,502 1623.11 49.72% -1.98% -10.07% 14.90% -- -- 38.89 4.04 细分农业 43 6,299 3,175 7166.74 53.82% -2.45% -10.08% 15.63% 88.07% 87.29% 40.31 4.31 沪绿色城 50 12,862 6,028 2243.16 45.33% 1.13% -10.17% 13.09% 83.12% -- 22.59 3.17 医药 100 100 24,143 12,804 17204.51 71.67% -0.26% -10.26% 23.86% 93.47% 175.20% 47.91 5.78 钱江 30 30 10,715 4,681 1576.05 62.77% 0.03% -10.37% 11.58% 101.18% -- 32.01 5.14 医药生物 100 24,144 12,720 11421.91 61.77% 0.79% -10.44% 20.63% 79.08% 134.35% 47.74 5.76 15
沪长三角 46 35,736 15,893 3982.4 23.50% 2.99% -10.52% 6.75% 104.46% -- 18.20 2.37 消费服务 100 126,763 50,914 8049.08 39.59% 2.24% -10.55% 10.90% 83.90% 87.35% 12.86 2.00 兴证海峡 151 23,738 12,556 1978.84 53.17% -1.31% -10.76% 14.29% 118.58% 137.38% 25.09 3.13 沪东北 30 9,960 5,741 5349.57 34.70% 0.31% -10.87% 12.20% 103.60% -- 38.66 3.77 持续产业 40 13,883 6,171 1586.66 47.08% -0.95% -10.92% 16.77% 101.76% 115.66% 33.95 3.65 浙企综指 274 40,462 18,897 9775.29 85.61% -1.68% -10.95% 27.65% 130.34% -- 48.09 5.01 有色产业 36 9,898 4,985 2543.4 29.81% -0.56% -10.98% 8.75% 85.96% 9.73% 66.24 3.57 东北振兴 36 11,564 6,269 6396.27 34.27% 0.41% -11.00% 12.92% 112.11% -- 37.39 3.44 300 非银 27 38,183 19,014 12066.1-3.57% 2.93% -11.16% -8.12% 137.15% -- 32.50 3.49 上证地企 50 44,278 20,985 1260.23 13.38% 2.77% -11.21% 2.58% 87.82% 59.49% 17.27 2.39 800 证保 30 38,821 19,409 8175.93-3.69% 2.58% -11.43% -8.35% 147.02% -- 32.48 3.51 绿色城镇 100 25,594 12,698 2243.41 51.34% 0.04% -11.47% 13.99% 85.49% -- 29.40 3.88 细分医药 50 14,738 7,679 9792.77 48.99% 1.58% -11.56% 16.76% 69.32% 105.37% 46.22 5.86 中部崛起 43 14,980 7,471 4293.9 29.55% 2.73% -11.61% 10.25% 89.10% -- 25.56 2.86 医药主题 50 11,361 6,592 12923.27 62.86% 0.80% -11.64% 19.68% 95.17% 145.99% 43.19 4.96 民企 200 200 71,246 35,399 2197.3 52.61% 0.71% -11.72% 13.45% 97.18% 123.17% 34.98 4.60 有色金属 50 12,647 6,528 5922.39 33.90% -1.41% -11.75% 8.10% 84.84% 16.56% 73.00 3.83 浙江民企 225 29,328 14,267 11540.17 89.26% -2.22% -11.82% 28.14% 126.54% -- 53.98 5.33 细分有色 50 12,260 6,146 6705.33 32.45% -1.38% -11.90% 7.79% 86.35% 14.21% 71.40 3.77 健康产业 100 26,634 13,624 2397.78 58.69% -1.07% -11.90% 20.90% 88.33% -- 38.30 4.97 中证城镇 250 111,111 54,509 2336.65 53.56% 1.37% -12.15% 15.02% 105.61% -- 28.05 4.08 300 非周 188 123,095 56,965 4994.43 48.01% 1.37% -12.24% 15.25% 107.79% 91.64% 29.20 3.82 沪城基建 50 25,013 10,518 2349.65 28.17% 2.21% -12.30% 9.70% 161.43% -- 20.86 2.61 300 有色 17 7,058 3,410 4504.82 26.54% -0.55% -12.70% 8.55% 83.85% -- 65.18 3.33 养老产业 80 45,701 23,540 10506.98 58.47% 0.49% -13.16% 13.08% 93.73% -- 34.58 4.25 内地低碳 50 17,197 8,472 1682.84 47.57% -1.23% -13.37% 14.23% 91.54% 119.81% 35.83 3.92 中证民企 1623 215,414 106,968 2994.62 81.11% -1.87% -13.46% 25.91% 123.76% 190.70% 55.49 5.66 中证国防 40 12,907 6,427 2607.49 75.64% -3.03% -13.68% 37.80% 153.49% -- 140.57 7.17 上证环保 40 14,372 6,368 2395.25 53.75% -2.23% -13.81% 17.04% 109.76% -- 35.84 3.91 沪智家居 35 10,701 6,062 4386.51 89.86% -1.73% -14.10% 22.63% -- -- 58.47 6.73 智能资产 180 29,390 16,595 13453.79 93.59% -2.66% -14.26% 29.03% 135.86% 281.93% 47.79 5.72 中证中游 250 94,116 43,677 4552.31 54.13% -0.36% -14.35% 17.28% 128.48% 114.33% 40.49 3.68 新能源 29 8,222 4,586 2254.52 58.98% 0.13% -14.44% 16.80% 84.94% 93.06% 52.43 4.60 中证新兴 100 55,665 27,255 11004.64 58.56% 0.13% -14.52% 17.17% 105.41% 142.74% 40.05 4.97 非周期 100 74,516 33,332 3517.39 45.22% 0.91% -14.52% 13.92% 117.47% 106.54% 26.81 3.48 16
上证休闲 42 8,479 4,152 2000.84 58.35% -1.71% -14.77% 11.88% -- -- 54.59 6.59 中证环保 100 26,285 12,611 2408.71 58.29% -2.55% -15.05% 16.43% 100.81% -- 41.39 4.30 上证城镇 180 67,167 34,198 2623.08 49.18% 1.00% -15.23% 11.69% 113.32% -- 30.79 3.98 上证中游 187 69,370 31,052 4352.22 52.68% -0.36% -15.35% 17.42% 146.71% 134.90% 38.87 3.63 船舶产业 3 3,869 1,846 3998.99 55.42% -6.33% -15.38% 37.41% 192.33% 158.59% 160.63 4.52 中证军工 72 19,188 10,403 17184.46 76.99% -2.89% -15.53% 34.03% 154.26% -- 141.73 6.93 军工指数 48 15,676 8,251 2342.28 76.14% -2.79% -15.55% 34.69% 162.02% 256.85% 136.53 6.97 电子产业 123 42,302 22,822 4428.3 75.28% 0.18% -15.69% 19.38% 114.03% 174.24% 48.01 5.30 文体休闲 50 18,566 9,274 2135.09 77.07% -0.98% -15.78% 17.58% -- -- 61.23 7.06 上证军工 30 11,097 5,775 14827.06 65.90% -3.42% -16.01% 34.08% 153.77% -- 143.50 5.87 技术领先 200 62,608 33,717 9384.94 63.25% -1.24% -16.11% 14.39% 100.77% 164.72% 50.94 5.19 高端装备 60 23,578 11,140 13731.7 63.95% -2.53% -16.45% 24.15% 149.99% 181.78% 71.84 5.47 上证 TMT 48 13,931 7,485 3435.29 100.29% -2.66% -16.51% 23.21% 156.41% -- 69.35 5.34 中证安全 72 13,102 6,592 3677.53 87.78% -1.80% -16.71% 26.55% -- -- 61.58 7.22 环境治理 40 5,823 3,260 3451.85 59.52% -3.11% -17.06% 18.05% -- -- 59.89 5.72 上证移动 50 15,105 7,962 3549.17 69.09% -2.50% -17.61% 10.27% 125.77% -- 52.62 5.78 上证新兴 50 32,841 15,950 9910.93 60.34% -0.09% -17.72% 17.14% 119.34% 139.47% 36.73 4.50 沪投资品 50 29,661 11,678 6430.01 43.45% -0.90% -17.73% 11.64% 114.62% 36.13% 39.29 3.22 优势制造 46 13,936 6,647 11510.26 51.39% -2.01% -17.86% 20.56% 119.06% 150.67% 62.17 5.13 沪智慧城 50 15,729 9,106 3658.82 72.24% -1.65% -17.94% 13.59% 126.04% -- 55.50 6.22 中证高新 100 19,847 10,560 2439.67 99.69% -2.20% -17.97% 25.20% -- -- 92.17 7.58 TMT 150 150 42,245 22,660 2779.87 86.61% -1.58% -18.06% 18.63% 121.38% -- 72.63 6.21 中证 TMT 100 35,501 18,568 3138.84 88.73% -2.24% -18.17% 15.71% 117.18% 280.91% 67.16 5.87 300 信服 46 25,646 12,713 3087.01 64.12% -0.27% -18.23% 11.52% 89.76% -- 56.83 5.60 装备产业 82 30,809 15,224 3315.68 54.48% -1.75% -18.63% 16.44% 130.63% 113.49% 66.05 4.99 信息产业 100 41,672 20,189 7582.52 74.27% -1.24% -18.70% 13.49% 105.07% -- 61.61 5.88 沪信息业 50 17,342 8,941 7099.91 73.76% -1.26% -18.72% 12.61% 116.23% -- 63.06 5.43 中证文化 50 16,965 8,704 3967.93 80.86% -1.98% -19.00% 17.37% 99.47% -- 71.77 7.58 中证传媒 50 14,700 7,813 3366.8 84.00% -1.97% -19.31% 15.91% 103.82% -- 72.99 8.03 上证高新 50 11,517 5,839 2393.43 58.78% -1.72% -19.77% 3.82% 116.34% 226.26% 63.68 5.44 智慧城镇 100 34,891 18,466 3593.6 80.56% -1.36% -19.78% 15.10% 120.34% -- 61.91 7.42 智能交通 50 13,612 7,730 3535.25 89.13% -1.97% -19.90% 23.33% 126.31% -- 62.20 6.81 上证文化 32 6,673 3,309 3013.39 52.83% -2.50% -20.07% 6.70% 75.81% -- 53.85 6.54 移动互联 100 28,836 15,513 3834.81 82.73% -1.82% -20.22% 12.40% -- -- 76.64 7.93 城镇交通 100 37,441 18,051 2982.24 62.89% -0.15% -20.27% 11.76% 129.24% -- 32.54 4.33 17
沪智交通 16 4,225 2,641 3368.36 95.94% -2.75% -20.53% 28.93% 160.94% -- 99.71 6.97 细分机械 50 22,878 11,096 7257.89 56.20% -1.54% -20.82% 16.21% 133.48% 93.19% 53.35 4.62 沪城交通 50 22,123 9,824 2985.55 62.09% 0.27% -22.63% 8.43% 170.94% -- 26.87 3.67 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 180 价值 4205.63 18.35% 6.14% -0.79% 12.77% 105.34% 92.41% 51.11% 32.46% 3.17-0.07 1.12 300 价值 4747.72 24.06% 6.03% -1.16% 14.79% 111.98% 95.17% 50.71% 30.98% 3.53 0.00 1.19 全指价值 4319.51 25.29% 5.00% -2.77% 14.36% 115.87% 101.07% 51.57% 30.71% 3.69 0.00 1.19 800 价值 5878.01 28.03% 4.49% -3.44% 14.20% 113.63% -- 51.85% 29.50% 3.77-0.04 1.16 300R 价值 4413.11 24.32% 4.26% -4.48% 12.44% 116.46% 97.05% 51.69% 30.03% 3.80-0.01 1.18 180R 价值 3464.63 20.04% 4.56% -4.78% 10.59% 113.45% 97.70% 52.08% 31.06% 3.57-0.03 1.16 380 价值 10643.78 55.87% -0.31% -5.16% 23.92% 167.20% 171.76% 61.97% 31.88% 5.17 0.28 1.44 180 成长 3308.04 16.06% 4.86% -5.36% 8.19% 84.78% 66.17% 51.01% 29.87% 2.75-0.30 0.87 全 R 价值 4366.31 30.03% 3.19% -5.51% 14.63% 126.74% 115.57% 52.97% 29.55% 4.20 0.06 1.25 全指成长 3921.78 22.39% 3.87% -5.92% 10.22% 90.90% 75.51% 50.79% 28.48% 3.10-0.25 0.93 800R 价值 5598.25 31.46% 2.64% -6.03% 14.20% 118.87% -- 52.53% 28.60% 4.07-0.03 1.17 300 成长 4448.04 24.10% 4.44% -7.10% 9.41% 85.74% 62.04% 51.87% 28.03% 2.97-0.30 0.88 800 成长 5222.20 30.86% 3.19% -7.71% 11.74% 93.36% -- 52.08% 27.37% 3.32-0.25 0.94 380R 价值 9251.20 60.79% -1.00% -7.77% 25.85% 155.15% 164.67% 61.62% 30.81% 4.95 0.18 1.35 500 价值 10764.82 58.10% -1.35% -8.30% 21.51% 138.77% -- 62.35% 30.10% 4.53 0.04 1.23 500R 价值 9811.29 63.06% -1.68% -9.24% 23.09% 135.11% -- 59.95% 29.25% 4.53 0.05 1.24 380 成长 7893.91 59.98% -1.31% -9.73% 19.63% 119.57% 144.91% 56.98% 27.87% 4.20-0.04 1.16 全 R 成长 3755.98 34.53% 0.97% -10.20% 11.33% 101.66% 80.61% 55.54% 27.48% 3.61-0.23 0.97 380R 成长 6871.50 67.45% -1.82% -10.64% 23.28% 118.52% 145.53% 58.19% 28.16% 4.12-0.06 1.14 500 成长 9349.69 68.71% -1.93% -11.09% 21.14% 120.93% -- 56.66% 27.90% 4.24 0.00 1.19 18
800R 成长 5081.13 44.84% 0.37% -11.37% 13.87% 105.41% -- 55.81% 27.02% 3.81-0.18 1.02 180R 成长 2451.04 22.14% 2.02% -11.51% 5.36% 95.01% 65.85% 55.29% 28.53% 3.24-0.27 0.92 300R 成长 4254.26 30.79% 1.73% -11.52% 7.97% 94.55% 62.04% 56.76% 27.93% 3.30-0.30 0.90 500R 成长 8421.44 71.31% -2.09% -11.88% 22.52% 119.88% -- 55.99% 27.83% 4.22 0.00 1.19 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 沪公用红 6944.43 8,073 3,001 214 49.70% 3.63% 8.79% 45.31% 175.93% -- 3.19% 2.65% 沪金融红 6590.30 60,276 17,550 1,551 19.24% 6.40% 7.36% 17.04% 103.12% -- 4.35% 2.57% 金融红利 8178.32 64,584 20,389 1,589 29.58% 4.60% 4.58% 15.50% 124.89% -- 4.13% 2.46% 公用红利 6213.84 10,562 3,827 255 60.26% 1.01% 3.63% 44.44% 182.88% -- 2.78% 2.42% 上国红利 1531.30 94,702 19,133 2,449 27.43% 4.82% 3.59% 21.65% 108.13% -- 3.57% 2.59% 180 红利 4159.54 105,569 23,792 2,821 21.01% 6.86% 3.55% 15.46% 109.09% -- 3.56% 2.67% 300 红利 5912.10 122,472 33,005 3,094 29.68% 6.00% 2.26% 20.01% 122.06% -- 3.32% 2.53% 上央红利 2643.47 96,786 19,581 2,246 29.64% 4.31% 2.19% 22.13% 133.59% -- 3.23% 2.32% 能源红利 6301.60 32,645 2,915 765 35.06% 1.78% 2.08% 23.51% 100.72% -- 2.43% 2.34% 沪能源红 7888.45 31,219 2,520 745 35.86% 0.92% 0.83% 23.62% 93.07% -- 2.48% 2.39% 高分红 4740.24 129,265 35,757 3,142 17.49% 6.23% 0.33% 13.17% -- -- 3.18% 2.43% 国企红利 1884.03 111,954 27,220 2,876 32.16% 3.58% -0.24% 20.35% 122.77% -- 3.46% 2.57% 红利价值 9151.36 109,076 29,673 2,791 35.96% 4.31% -0.43% 18.86% 121.92% -- 3.50% 2.56% 央企红利 3623.71 101,402 22,905 2,212 26.52% 4.36% -0.52% 17.98% 118.60% -- 3.04% 2.18% 红利指数 3508.27 111,407 27,955 2,897 37.70% 2.88% -0.75% 19.25% 116.49% 96.10% 3.45% 2.60% 上红价值 8019.52 105,144 27,003 2,683 30.01% 3.99% -2.61% 15.54% 122.73% -- 3.45% 2.55% 上红低波 8715.76 105,921 27,674 2,619 31.38% 4.47% -3.08% 16.23% 120.85% -- 3.46% 2.47% 红利低波 9546.12 105,996 28,406 2,642 36.70% 3.95% -3.61% 22.07% 109.94% -- 3.52% 2.49% 上红潜力 4955.00 78,015 15,525 1,316 29.74% 3.40% -4.40% 10.83% 93.27% -- 2.64% 1.69% 19
中证红利 5118.20 135,098 40,821 3,174 48.41% 1.21% -4.68% 22.82% 129.30% 113.78% 3.02% 2.35% 消费红利 18605.63 10,659 4,428 154 44.11% 2.69% -5.37% 20.83% 95.24% -- 2.11% 1.44% 红利潜力 5758.86 51,963 13,027 1,266 41.36% 2.69% -5.95% 14.90% 104.58% -- 2.69% 2.44% 红利回报 5302.67 25,247 11,867 557 26.61% 2.09% -6.47% 10.42% 104.83% -- 3.00% 2.21% 上红回报 5340.93 31,853 12,879 693 35.47% 2.71% -6.67% 17.44% 117.44% -- 2.66% 2.18% 380 红利 11068.35 7,399 2,871 129 67.63% -0.96% -7.54% 29.73% 150.72% -- 2.14% 1.74% 民企红利 4091.10 8,103 5,630 116 93.51% -1.15% -8.01% 35.96% 157.96% -- 1.50% 1.43% 沪消费红 15741.16 4,731 2,143 20 44.24% -0.40% -8.15% 23.01% 97.85% -- 1.10% 0.41% 材料红利 7414.62 7,833 3,862 117 74.90% -2.50% -8.37% 33.23% 169.17% -- 1.73% 1.49% 沪工业红 9380.70 19,369 6,594 324 49.47% 2.78% -8.71% 17.35% 147.76% -- 1.78% 1.67% 500 红利 11739.82 8,707 4,201 114 77.01% -1.51% -8.88% 28.89% 132.37% -- 1.56% 1.31% 沪材料红 5504.36 7,345 3,485 122 51.10% -2.07% -8.93% 22.27% 121.29% -- 1.91% 1.66% 工业红利 9947.52 19,448 7,095 314 48.68% 0.89% -9.06% 18.67% 132.64% -- 1.75% 1.62% 信息红利 20250.42 5,303 3,060 45 109.82% -2.30% -9.71% 37.62% 128.23% -- 0.88% 0.84% 沪医药红 9795.82 1,653 1,094 20 55.60% -1.48% -11.00% 18.59% 97.21% -- 1.42% 1.23% 可选红利 14257.92 10,429 5,307 263 76.17% -0.74% -12.99% 22.86% 144.14% -- 3.17% 2.52% 上民红利 3425.83 10,138 6,895 140 69.15% -1.52% -13.95% 19.90% 138.02% -- 1.53% 1.38% 医药红利 15767.61 5,547 3,164 54 77.47% 1.17% -14.18% 39.65% 107.48% -- 1.06% 0.98% 电信红利 10023.49 3,414 1,603 7 95.28% -4.47% -15.68% 38.18% 97.23% -- 0.42% 0.20% 沪电信红 9854.14 2,126 892 3 74.30% -3.32% -16.49% 23.93% 75.04% -- 0.69% 0.14% 沪可选红 12684.73 6,224 2,767 213 61.18% -0.23% -18.44% 8.85% 122.74% -- 3.66% 3.42% 沪信息红 11963.68 3,639 2,054 27 75.66% -0.28% -19.80% 17.79% 121.83% -- 0.80% 0.75% 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 300 反两 520.94-48.13% -7.66% 8.72% -27.74% -81.93% -- 106.32% 57.26% -1.47 1.52 0.42 20
300 反向 1753.00-24.78% -3.58% 5.78% -12.65% -54.40% -- 53.12% 28.55% -1.99 0.62 0.57 能源等权 4282.83 41.84% 1.77% 2.83% 26.10% 102.17% 24.92% 60.22% 35.36% 2.82-0.31 0.91 优化价值 6639.93 28.67% 4.08% 0.70% 17.74% 131.13% -- 56.29% 31.82% 4.04 0.04 1.23 100 稳定 3684.92 21.69% 6.86% 0.68% 15.85% 96.78% -- 49.29% 29.42% 3.20-0.10 1.08 富国多空 22929.89 43.18% 5.48% -0.67% 17.20% 133.63% 120.95% 56.20% 29.34% 4.47 0.13 1.32 公用等权 4401.27 60.48% -1.54% -0.67% 36.97% 163.56% 167.45% 62.47% 33.87% 4.76 0.29 1.45 财富大盘 5243.36 26.28% 5.47% -1.15% 15.49% 119.78% 99.59% 50.38% 30.26% 3.88 0.04 1.24 300 波动 7372.22 31.70% 3.80% -1.69% 17.23% 137.27% 131.31% 53.32% 30.22% 4.46 0.14 1.33 金融等权 5667.70 6.81% 5.80% -1.72% 3.32% 110.31% 96.92% 54.03% 36.42% 2.96-0.03 1.16 消费等权 7452.55 51.60% 1.84% -1.95% 22.46% 100.44% 63.81% 61.40% 27.57% 3.55-0.21 0.98 光大阳光 5291.60 19.47% 5.93% -1.98% 10.46% 90.68% 69.91% 49.09% 29.50% 2.99-0.20 0.97 300MV 6725.01 35.86% 3.51% -2.86% 19.64% 94.57% -- 46.96% 26.30% 3.50-0.19 0.99 银河 99 6425.54 16.85% 6.48% -2.92% 10.54% 105.34% 86.55% 50.64% 31.65% 3.25-0.05 1.13 180 基本 12070.48 23.89% 5.50% -3.37% 13.75% 123.14% 101.23% 51.41% 31.07% 3.88 0.09 1.28 300 稳定 4092.00 23.98% 4.52% -4.16% 12.36% 99.51% -- 50.82% 28.98% 3.35-0.17 1.01 180 高贝 9302.42 34.42% 3.38% -4.26% 13.06% 149.13% -- 54.94% 30.95% 4.74 0.22 1.40 优化低波 6215.97 32.72% 3.69% -4.28% 16.42% 128.35% -- 53.39% 28.27% 4.45 0.10 1.30 50 基本 3008.34 14.12% 6.50% -4.37% 8.62% 99.92% 80.32% 51.70% 32.67% 2.98-0.10 1.08 优化成长 6273.29 37.57% 4.41% -4.72% 11.43% 101.36% -- 48.09% 26.35% 3.75-0.11 1.07 转型成长 29495.68 99.06% -2.37% -5.04% 36.23% 153.09% -- 64.56% 30.67% 4.91 0.26 1.44 300 高贝 4170.06 33.32% 2.96% -5.34% 12.02% 130.95% -- 55.17% 30.59% 4.20 0.04 1.23 小康指数 6804.70 38.11% 4.33% -5.48% 20.18% 143.96% 108.47% 58.30% 31.89% 4.44 0.19 1.38 180 稳定 9496.21 19.04% 4.73% -5.63% 9.50% 99.84% -- 50.84% 30.13% 3.23-0.13 1.05 500 低贝 12906.02 66.71% -0.28% -5.88% 27.34% 135.71% -- 56.22% 27.22% 4.89 0.15 1.34 优化高贝 3722.32 20.65% 3.36% -6.00% 7.79% 117.45% -- 55.67% 32.15% 3.58-0.08 1.12 可选等权 4487.12 67.75% -0.04% -6.17% 20.70% 116.65% 152.03% 59.97% 29.14% 3.92-0.12 1.08 380 波动 12086.09 57.87% 0.45% -6.38% 22.27% 159.41% 181.04% 64.47% 31.09% 5.05 0.21 1.38 380 低贝 7906.96 65.81% -0.36% -6.41% 26.21% 157.85% -- 58.15% 28.80% 5.39 0.30 1.47 380 基本 9582.30 59.35% -0.93% -6.53% 24.64% 160.32% 164.32% 61.35% 30.71% 5.14 0.24 1.41 创业价值 2308.26 59.48% -0.68% -6.62% 24.47% 136.77% -- 60.31% 29.37% 4.57 0.07 1.26 300 分层 6339.72 44.70% 1.76% -6.89% 17.81% 118.34% 97.46% 55.76% 27.79% 4.17-0.08 1.12 380ERC 12479.74 -- -1.20% -7.20% 26.26% -- -- 59.96% -- -- -- -- 180 波动 14687.40 30.55% 3.12% -7.34% 14.12% 134.55% 122.93% 54.05% 29.35% 4.50 0.16 1.35 180 等权 12174.44 42.42% 1.91% -7.41% 16.50% 131.41% 107.97% 55.81% 27.96% 4.61 0.07 1.26 优化低贝 6929.14 43.05% 2.38% -7.52% 14.67% 100.62% -- 55.92% 28.30% 3.47-0.26 0.94 21
180 分层 14086.66 47.26% 2.08% -7.56% 18.74% 119.52% 105.30% 57.22% 27.77% 4.21-0.06 1.14 等权 90 3728.63 36.61% 3.83% -7.62% 12.09% 116.97% 67.84% 51.53% 27.70% 4.13 0.01 1.20 200 动态 5089.13 48.01% 0.36% -7.79% 13.95% 106.18% -- 59.90% 28.92% 3.59-0.24 0.97 300ERC 6006.49 44.19% 2.09% -7.83% 16.30% 120.66% -- 55.19% 27.49% 4.30-0.04 1.16 中证龙头 4990.52 48.43% 2.77% -7.86% 19.12% 113.07% 90.65% 51.93% 26.41% 4.19-0.04 1.15 300 等权 5719.84 44.94% 1.76% -7.87% 16.35% 125.78% 96.57% 55.64% 27.83% 4.43 0.00 1.19 500 波动 13765.66 57.52% -0.23% -7.93% 20.87% 144.66% 167.35% 65.31% 30.16% 4.71 0.09 1.27 380 稳定 8695.42 58.85% -0.46% -7.97% 23.00% 138.40% -- 62.59% 30.12% 4.51 0.02 1.21 180 动态 10822.43 31.83% 2.36% -7.99% 11.02% 125.92% -- 55.83% 30.09% 4.10 0.00 1.19 沪财中小 12814.75 69.88% -1.76% -8.07% 24.89% 130.09% 154.02% 59.76% 28.57% 4.47 0.04 1.24 500 稳定 11269.72 64.43% -1.20% -8.49% 23.55% 127.76% -- 59.91% 28.49% 4.40 0.00 1.19 180 低贝 11062.69 35.04% 0.69% -8.51% 14.69% 93.60% -- 57.07% 26.59% 3.43-0.27 0.92 180ERC 5816.47 -- 2.24% -8.60% 14.95% -- -- 55.92% -- -- -- -- 材料等权 4038.39 44.99% -0.50% -8.66% 15.18% 110.43% 64.20% 62.35% 30.48% 3.54-0.22 0.99 800 等权 8355.96 60.90% -0.40% -8.79% 21.66% 131.27% -- 57.08% 27.73% 4.64 0.06 1.25 380 等权 10593.22 67.53% -1.63% -8.96% 25.11% 140.52% 171.69% 60.62% 29.21% 4.72 0.10 1.29 500 等权 10494.92 70.71% -1.68% -9.48% 24.44% 133.55% 162.88% 58.54% 28.46% 4.60 0.08 1.27 50 等权 3036.23 29.13% 4.18% -9.49% 9.91% 114.32% 69.17% 52.63% 29.56% 3.78-0.01 1.18 优化高波 4216.71 25.44% 1.43% -9.94% 7.18% 114.79% -- 58.03% 30.89% 3.64-0.16 1.04 300 低贝 5932.63 39.88% 1.37% -10.18% 13.98% 90.58% -- 56.97% 26.57% 3.32-0.33 0.87 380 动态 6949.71 69.58% -2.21% -10.37% 26.52% 134.98% -- 57.45% 28.86% 4.59 0.09 1.28 百发 100 17239.10 65.77% -3.49% -10.38% 25.44% -- -- 58.97% -- -- -- -- 300 动态 4862.20 35.15% 2.00% -10.39% 10.41% 123.39% -- 55.57% 29.01% 4.17-0.01 1.18 安中动态 1280.90 37.03% 1.77% -10.60% 14.98% 107.65% -- 57.73% 28.96% 3.63-0.22 0.98 200 稳定 6927.04 43.09% 0.78% -10.75% 14.49% 121.07% -- 57.96% 29.02% 4.09-0.11 1.09 中证腾安 2868.48 74.73% -0.61% -11.47% 26.83% 138.22% -- 59.28% 28.27% 4.80 0.14 1.33 医药等权 9962.66 59.72% 1.80% -11.53% 19.31% 83.78% 122.93% 59.75% 27.24% 2.98-0.29 0.87 500 高贝 7440.08 81.77% -2.95% -11.63% 22.30% 136.05% -- 59.28% 29.94% 4.46 0.11 1.29 380 动量 8731.95 57.25% -2.33% -12.27% 20.14% -- -- 62.13% -- -- -- -- 380 高贝 8660.60 70.53% -2.27% -12.27% 23.98% 128.08% -- 60.56% 30.58% 4.11-0.03 1.17 500 动态 7071.33 69.95% -2.46% -12.39% 22.19% 126.13% -- 56.08% 28.43% 4.35 0.04 1.23 100 动态 4070.06 14.63% 3.09% -12.46% 2.10% 108.19% -- 54.43% 32.56% 3.25-0.13 1.06 新华金牛 8033.72 50.63% 1.52% -12.62% 10.39% 83.17% -- 55.79% 27.35% 2.95-0.35 0.83 300 动量 4299.10 11.21% 0.73% -13.16% -0.10% 82.17% -- 58.47% 31.49% 2.53-0.45 0.76 工业等权 4775.11 56.70% 0.43% -14.21% 23.58% 192.74% 146.58% 59.95% 34.40% 5.53 0.62 1.77 22
180 动量 3306.45 7.74% 0.25% -14.85% -3.28% -- -- 58.75% -- -- -- -- 电信等权 3502.46 70.25% -1.24% -15.17% 36.73% 127.68% 196.57% 65.90% 34.10% 3.67-0.02 1.17 创业成长 1786.45 70.80% -0.06% -15.27% 13.78% 83.69% 113.14% 63.39% 30.99% 2.62-0.40 0.80 300 两倍 3026.44 46.44% 5.80% -17.17% 15.22% 270.46% -- 106.25% 57.56% 4.66 0.31 1.35 信息等权 7819.41 92.76% -1.45% -20.94% 10.72% 143.33% 256.68% 63.30% 34.56% 4.07 0.14 1.32 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 4015.79 21.14% 6.83% -1.35% 14.01% 122.99% 104.20% 50.82% 33.04% 3.65 0.12 1.32 基本 200 4958.32 28.32% 5.25% -1.56% 15.96% 133.34% 105.81% 50.87% 30.85% 4.24 0.16 1.36 基本 600 5898.68 34.47% 4.03% -2.64% 17.72% 135.02% 112.32% 51.43% 29.47% 4.50 0.15 1.34 上证 F200 5006.07 28.39% 5.08% -2.75% 15.82% 135.90% 111.41% 52.02% 31.33% 4.26 0.17 1.37 上证 F500 5778.21 32.45% 4.27% -3.38% 17.02% 135.61% 117.60% 52.22% 30.17% 4.41 0.15 1.35 基本 300 5778.59 28.47% 4.53% -3.52% 14.46% -- -- 51.12% -- -- -- -- 基本 400 9363.17 61.33% -0.84% -7.43% 23.25% 138.59% 134.58% 59.52% 28.97% 4.70 0.08 1.26 上证 F300 10466.77 65.34% -1.14% -7.90% 24.47% 131.52% 155.08% 60.44% 29.08% 4.44 0.02 1.21 基本 500 10455.13 72.99% -2.25% -9.55% 25.22% -- -- 59.29% -- -- -- -- 23
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