定期分析报告 4 月份市场概要 4 月份国际主要股指止跌反弹,STOXX 欧洲 日经 225 与标普 500 震荡上涨 4 日, 美国政府发布了加征关税的商品清单, 将对我输美的 1333 项 500 亿美元的商品加征 25% 的关税 16 号, 美国商务部宣布制裁中兴, 禁止其从美国进口零部件 商

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... 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 债券指数表现... 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... 20 表 5: 红利指数市场数据... 21 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 4 月份市场概要 4 月份国际主要股指止跌反弹,STOXX 欧洲 日经 225 与标普 500 震荡上涨 4 日, 美国政府发布了加征关税的商品清单, 将对我输美的 1333 项 500 亿美元的商品加征 25% 的关税 16 号, 美国商务部宣布制裁中兴, 禁止其从美国进口零部件 商品 软件和技术 7 年, 贸易摩擦愈发升级 此外, 美国 4 月非农数据不尽如人意, 预测值 19.2 万人, 公布值 16.4 万人, 但失业率由上月 4.1% 降至 3.9%, 此为 2000 年 12 月以来新低 标普 500 指数月内走势维持振荡, 月末收至 2648.05 点, 全月上涨 0.27% 日经 225 指数上涨 4.72%, 香港 100 指数涨幅达 1.74%,STOXX 欧洲 600 涨幅为 3.90%, 收至 385.32 点 4 月受贸易摩擦等因素影响, 沪深股市延续调整走势, 大中小盘指数悉数下跌 4 月官方制造业 PMI 为 51.4%, 微低于上月 0.1 个百分点, 制造业继续保持稳步增长的发展态势 ; 官方非制造业商务活动指数为 54.8%, 比上月上升 0.2 个百分点, 非制造业总体继续保持扩张态势 ;17 日, 央行宣布定向降准, 即从 4 月 25 日起, 下调部分特定属性银行人民币存款准备金率 1 个百分点 ; 月内, 证监会相继发布 关于推进住房租赁资产证券化相关工作的通知 和 外商投资证券公司管理办法 等文件 27 日, 一行两会一局 联合发布 关于规范金融机构资产管理业务的指导意见, 标志着资管行业步入统一监管时代 沪指全月下跌 2.73%, 收至 3082.23 点 当月上海市场日均成交金额 1868.89 亿元, 环比下跌 5.9% 沪深 A 股规模指数中, 大中小盘指数化悉数下跌 中证 200 跌幅最大, 跌幅达 4.16%; 跌幅最小的为中证 100, 跌幅为 3.37%; 沪深 300 指数月内跌幅为 3.63% 创业板全月下跌 4.99%, 中小板指全月下跌 5.98% 4 月份主题及行业指数表现较差 中证医疗涨幅达 4.20%, 涨幅居首 ; 在跌幅方面, 有近 400 条主题行业指数呈现下跌态势, 其中 380 电信下跌 11.61%, 跌幅居首 图 1: 全球主要股指走势 1 / 25

定期分析报告 A 股主要指数表现 4 月受贸易摩擦等因素影响, 沪深股市延续调整走势, 大中小盘指数悉数下跌 4 月官方制造业 PMI 为 51.4%, 微低于上月 0.1 个百分点, 制造业继续保持稳步增长的发展态势 ; 官方非制造业商务活动指数为 54.8%, 比上月上升 0.2 个百分点, 非制造业总体继续保持扩张态势 ;17 日, 央行宣布定向降准, 即从 4 月 25 日起, 下调部分特定属性银行人民币存款准备金率 1 个百分点 ; 月内, 证监会相继发布 关于推进住房租赁资产证券化相关工作的通知 和 外商投资证券公司管理办法 等文件 27 日, 一行两会一局 联合发布 关于规范金融机构资产管理业务的指导意见, 意见 的发布标志着资管行业步入统一监管时代 沪指全月下跌 2.73%, 收至 3082.23 点 当月上海市场日均成交金额 1868.89 亿元, 环比下跌 5.9% 沪深 A 股规模指数中, 大中小盘指数化悉数下跌 中证 200 跌幅最大, 跌幅达 4.16%; 跌幅最小的为中证 100, 跌幅为 3.37%; 沪深 300 指数月内跌幅为 3.63% 上海市场中, 主要指数全线收跌, 上证 380 下跌 3.70%, 跌幅居首, 超大盘指数下跌 1.52%, 跌幅最小 创业板全月下跌 4.99%, 中小板指全月下跌 5.98% 图 2: 全市场主要指数涨跌幅 图 3: 上海市场主要指数涨跌幅 图 4: 深圳市场主要指数涨跌幅 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 4 月份沪深 300 指数从上月末 3898.50 点下跌至 3756.88 点, 低点为 3708.11 点, 全月下跌 3.63% 4 月份沪深 300 指数日均成交 1283.02 亿元, 环比下跌 11.31% 4 月末沪深 300 指数滚动市盈率为 14.49 倍, 与上月末 14.91 倍水平有所下降 图 6: 沪深 300 指数走势 一级行业指数皆收跌, 其中信息技术行业跌幅居首, 跌幅达到 9.65%, 其次是可选消 费, 跌幅为 5.93%; 此外, 医药卫生跌幅为 0.20%, 跌幅最小 图 7: 沪深 300 行业指数涨跌幅 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 38.25% 13.57% 11.69%, 累计权重 63.51% 能源和电信行业权重较低, 分别 为 2.45% 和 2.11% 4 月末沪深 300 指数滚动市盈率为 14.49 倍, 市净率为 1.87 倍 从行业来看, 医药卫 生市盈率最高, 滚动市盈率为 44.15 倍, 与上月 43.85 倍水平略有上升 金融地产行业估 3 / 25

定期分析报告 值水平最低, 滚动市盈率为 8.73 倍, 市净率为 1.36 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 贵州茅台 招商银行位列前三大权重股, 权重分别为 6.03% 3.05% 和 2.77% 美的集团权重位列第四, 为 2.15%, 格力电器 兴业银行 民生银行位列 5 6 7 位, 权重为 1.94% 1.84% 和 1.67%, 前 10 大权重股权重合计 23.82% 4 月份对沪深 300 影响最大的 10 只股票中, 贡献居前股票分别为中国平安 万科 A 和京东方 A, 分别贡献 -16.45 点 -8.17 点和 -8.15 点, 前 10 只股票合计贡献 -59.72 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 4 月份主题及行业指数表现较差 中证医疗涨幅达 4.20%, 涨幅居首 ; 在跌幅方面, 有近 400 条主题行业指数呈现下跌态势, 其中 380 电信下跌 11.61%, 跌幅居首 图 13: 走势领先的 20 条指数 图 14: 走势落后的 20 条指数 5 / 25

定期分析报告 策略指数表现 4 月市场风格有所反转, 虽全线下跌, 但价值指数一举扭转上月落后态势 跌幅最大的为 500 成长, 跌幅为 5.36%;180 价值跌幅最小, 跌幅为 2.19% 基本面指数同样多数下跌, 其中中证锐联基本面 400 指数跌幅居首, 跌幅达 4.51%; 上证基本面 200 指数跌幅最小, 跌幅为 2.35% 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 月份红利系列指数全线下跌, 上证 380 红利跌幅居首, 达 4.61%; 中证民企红利跌幅为 1.97%, 跌幅最小 股息率最高的仍为 180 红利 红利指数 300 红利 3 条指数, 分别为 4.26% 4.1% 和 3.94% 中小板板块与创业板板块股息率分别为 2% 0.46% 图 17: 红利指数系列与基准指数股息率对比 6 / 25

定期分析报告 4 月份波动率加权指数系列的波幅较上月略有上升, 沪深 300 中证 500 波动率加权 指数波幅分别为 11.01% 14.67% 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跌幅 4 月份高 低贝塔指数全线下跌, 跌幅最大的为 180 低贝, 跌幅为 4.85%; 跌幅最小 的为 380 低贝, 跌幅为 2.14% 图 20: 高低贝塔指数系列贝塔值 图 21: 高低贝塔指数系列涨跌幅 7 / 25

定期分析报告 商品期货指数表现 4 月商品期货指数表现优秀, 指数全线上涨 中证工业金属期货成份指数涨幅居首, 涨幅为 4.40% 中证农产品期货成份指数涨幅最小, 涨幅为 0.18% 其余指数涨幅分别为中证工业品期货成份指数 (4.27%) 中证能源化工期货成份指数(3.86%) 中证化工材料期货成份指数 (2.45%) 中证有色金属期货成份指数(2.43%) 中证商品期货成份指数 (2.29%) 中证粮油期货成份指数(0.40%) 以及中证贵金属期货成份指数 (0.33%) 图 22: 中证商品期货成份指数系列市场表现 8 / 25

定期分析报告 债券指数表现 4 月份官方制造业 PMI 为 51.4%, 微低于上月 0.1 个百分点, 制造业继续保持稳步增长的发展态势 ;4 月财新 PMI 录得 51.1, 高于上月 0.1 个百分点, 延续过去 11 个月以来轻微增长趋势 4 月份, 央行对金融机构开展 SLF( 常备借贷便利 ) 操作共 467 亿元 中期借贷便利 (MLF) 共操作 3675 亿元 在资金层面,4 月货币市场流动性总体呈现前松后紧, 在央行宣布定向降准后, 市场流动性不升反降,DR007 加权均价一度超过 3%, shibor 隔夜利率也在月末攀升至自去年 10 月以来的新高,2.9210% 债券指数方面,4 月份债市表现较好 中证综合债指数上涨 1.17%, 中证全债指数上涨 1.32% 分期限看, 长期的中证 10+ 债指数上涨 2.02% 中证 10 债指数上涨 1.80% 中证 1 3 7 债指数涨幅分别为 0.43% 0.88% 和 1.37% 中证国债 中证金融债 企业债指数涨跌幅分别为 1.43% 1.38% 和 1.14%, 中证短融指数上涨 0.45% 图 23: 中证债券指数系列市场表现 9 / 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 年波动率静态市盈率市净率 股息率 沪深 300 3756.88-6.80% -0.11% -3.63% -12.14% 9.22% -20.91% 17.12% 13.54% 15.80 1.63 2.21% 300 金融 5987.29-7.40% 0.03% -3.15% -16.36% 9.71% -19.42% 20.96% 16.92% 9.70 1.15 2.78% 300 消费 13505.85-9.97% -2.02% -2.28% -16.57% 41.74% 58.97% 27.83% 25.24% 36.42 6.21 1.79% 300 能源 1826.04-5.88% 0.77% -0.97% -16.07% 1.40% -35.25% 19.21% 17.60% 33.96 1.23 3.74% 300 公用 1853.55-4.39% 1.10% -3.28% -5.44% -5.33% -33.42% 10.33% 9.63% 15.30 1.81 3.48% 300 可选 5488.26-7.85% -1.26% -5.93% -14.02% 10.08% -16.29% 22.43% 18.11% 18.57 2.71 2.45% 300 电信 2976.14-14.93% 1.33% -3.35% -6.24% 3.47% -30.84% 18.07% 24.14% 65.34 2.25 0.22% 300 工业 2418.95-7.63% 1.50% -2.17% -8.87% -7.40% -47.34% 15.50% 13.44% 20.72 1.83 1.28% 300 信息 2130.27-8.00% -2.67% -9.65% -6.26% 8.15% -24.32% 25.92% 23.51% 43.64 4.59 0.60% 300 医药 11208.23 11.26% 3.00% -0.20% 9.40% 28.41% 35.83% 23.70% 17.58% 46.24 5.87 0.66% 300 材料 2428.85-7.44% -0.74% -3.44% -10.41% 11.02% -19.69% 18.19% 19.36% 40.06 2.15 1.14% 中证 500 5860.98-6.24% -0.34% -4.15% -5.31% -5.65% -30.80% 18.08% 17.70% 31.95 2.32 0.86% 500 金地 4641.11-9.20% -0.15% -5.84% -15.32% -16.85% -40.30% 16.96% 17.54% 19.70 1.65 1.38% 500 消费 8941.80-2.11% -0.09% 0.50% -2.67% 9.94% -8.87% 14.21% 16.72% 37.51 3.16 1.14% 500 能源 3589.75-11.52% -0.70% -3.00% -15.56% -8.61% -44.51% 21.02% 26.80% 45.07 1.48 1.10% 500 公用 2853.40-10.38% -1.35% -6.46% -9.09% -21.53% -53.48% 13.92% 15.89% 18.56 1.28 2.04% 500 可选 4458.18-8.94% -0.20% -5.42% -9.25% -17.36% -37.47% 15.09% 15.35% 27.28 2.18 1.11% 500 电信 5177.38-10.26% -0.35% -5.93% -0.37% 10.61% 10.92% 24.18% 22.86% 50.06 3.60 0.23% 500 工业 4970.12-11.83% -1.01% -5.05% -8.17% -18.44% -42.81% 16.60% 18.15% 30.65 2.12 0.76% 500 信息 6841.74 0.55% -1.68% -3.62% 8.45% 1.37% -33.54% 33.15% 25.02% 42.36 3.33 0.60% 500 医药 12836.50 2.09% 3.18% -1.46% 4.28% 7.01% -20.10% 22.03% 17.61% 36.86 3.54 0.61% 500 原料 4488.17-7.68% -0.77% -5.36% -11.51% 6.12% -13.56% 22.64% 24.00% 38.06 2.18 0.64% 中证全指 4548.42-7.15% -0.18% -3.86% -8.56% -3.60% -27.33% 16.29% 13.86% 21.04 1.97 1.54% 全指金融 5637.24-7.36% 0.29% -3.20% -16.03% 6.78% -21.84% 19.95% 15.89% 10.16 1.18 2.64% 全指消费 10341.60-8.71% -1.54% -1.56% -12.02% 15.08% 8.87% 19.12% 18.04% 34.59 4.60 1.51% 全指能源 1858.89-10.21% 0.11% -2.67% -16.62% -7.05% -40.44% 17.47% 19.38% 33.50 1.27 3.30% 全指公用 2119.95-8.33% 0.22% -4.81% -7.65% -18.23% -44.74% 11.32% 10.91% 16.93 1.62 2.76% 全指可选 5156.63-9.25% -0.89% -5.92% -11.33% -8.05% -28.53% 17.10% 14.66% 22.97 2.50 1.66% 全指电信 6018.02-11.80% 1.25% -4.39% -2.35% -1.04% -14.43% 21.73% 21.81% 56.27 2.76 0.26% 10/26

全指工业 3359.29-9.95% 0.19% -4.07% -7.89% -16.60% -44.77% 16.03% 15.24% 26.64 2.11 0.96% 全指信息 5641.02-2.41% -1.54% -5.51% 2.74% -1.18% -32.80% 28.47% 23.16% 46.22 3.91 0.52% 全指医药 10772.23 6.68% 3.51% 0.10% 7.41% 12.48% -6.08% 22.42% 15.99% 43.88 4.53 0.58% 全指材料 3168.84-8.94% -0.83% -4.77% -10.26% -2.75% -24.55% 18.60% 19.81% 40.51 2.31 0.84% 上证 180 8075.31-6.61% 0.21% -2.76% -12.89% 8.56% -23.88% 16.54% 13.03% 13.78 1.41 2.54% 180 能源 1632.08-0.82% 1.10% 2.50% -13.50% 7.31% -32.76% 22.49% 19.15% 34.20 1.23 3.98% 180 材料 1825.50-8.25% -1.53% -1.47% -12.47% 16.34% -25.28% 18.74% 21.53% 40.40 2.13 1.27% 180 工业 2077.87-8.43% 1.80% -1.84% -10.99% -7.74% -50.71% 14.79% 13.50% 18.23 1.63 1.46% 180 可选 2457.39-7.70% -1.19% -5.51% -9.99% 1.51% -32.78% 18.42% 15.79% 14.56 2.09 3.30% 180 消费 9897.01-9.59% -2.18% -4.60% -16.49% 44.50% 63.01% 27.95% 24.33% 43.44 6.90 1.25% 180 医药 6177.58 9.46% 2.29% -2.14% 8.77% 32.39% 31.42% 26.41% 19.64% 42.50 4.77 0.75% 180 金地 4970.13-7.12% 0.33% -2.71% -15.91% 10.08% -18.12% 20.66% 16.61% 9.28 1.10 2.89% 180 信息 2494.65-4.24% -4.07% -6.11% -0.62% -5.16% -44.20% 37.41% 25.45% 23.75 3.94 1.01% 180 电信 1840.00-12.72% 5.16% -5.48% -14.03% -15.20% -44.93% 28.44% 21.39% 73.63 1.73 0.14% 180 公用 1708.76-3.34% 1.04% -2.36% -4.88% -4.01% -31.85% 9.91% 9.48% 16.20 1.96 3.68% 上证 380 5228.39-6.19% 0.03% -3.70% -5.52% -5.96% -31.10% 18.11% 17.44% 27.93 2.42 1.19% 380 能源 1400.52-12.49% -0.50% -3.63% -18.82% -9.31% -42.36% 19.12% 25.58% 29.16 1.41 0.74% 380 材料 4182.86-4.90% -0.26% -5.30% -9.40% 5.36% -20.14% 24.73% 22.72% 37.44 2.58 1.09% 380 工业 5154.74-10.24% -1.48% -4.81% -7.10% -17.21% -44.46% 18.33% 19.12% 24.60 2.03 1.30% 380 可选 5259.77-9.30% 0.08% -4.75% -9.09% -11.68% -27.90% 15.45% 14.07% 25.49 2.44 1.19% 380 消费 8589.71-2.48% -0.68% 2.29% -3.80% 14.21% -4.44% 18.72% 20.05% 43.12 4.85 1.02% 380 医药 11170.93 4.19% 4.37% -0.36% 6.70% 7.53% -13.16% 23.78% 17.88% 35.62 3.82 0.74% 380 金融 4170.46-6.72% 0.40% -2.41% -14.20% -19.07% -43.81% 14.89% 18.19% 14.77 1.44 1.79% 380 信息 5934.73 0.39% -0.98% -2.35% 10.02% 7.62% -24.92% 31.90% 26.29% 45.50 4.27 0.79% 380 电信 6740.17-16.50% 2.94% -11.61% -8.17% 9.84% 30.28% 38.16% 34.54% 34.63 3.42 0.70% 380 公用 1885.73-9.88% 0.26% -5.66% -7.69% -22.78% -49.57% 13.36% 14.31% 16.17 1.50 2.65% 中证超大 3192.04-4.96% 0.70% -2.02% -13.29% 8.74% -12.57% 17.64% 13.70% 12.58 1.35 2.86% 中证 100 3809.33-6.66% -0.19% -3.37% -14.23% 15.88% -13.97% 18.77% 14.72% 13.76 1.46 2.62% 中证 200 4062.08-7.08% 0.06% -4.16% -7.61% -2.59% -32.20% 17.45% 15.06% 26.60 2.42 1.12% 中证 700 4868.15-6.64% -0.15% -4.15% -6.43% -4.23% -31.46% 17.56% 16.17% 29.03 2.37 0.99% 中证 800 4113.65-6.65% -0.17% -3.77% -10.43% 4.89% -23.76% 16.66% 13.47% 17.68 1.74 1.92% 300 沪市 3412.04-6.55% 0.24% -2.90% -12.68% 8.64% -23.63% 16.48% 12.98% 13.90 1.41 2.51% 11/26

500 沪市 5913.83-7.50% -0.26% -3.52% -6.86% -5.79% -32.08% 17.24% 18.02% 29.68 2.13 1.00% 超大盘 2321.98-6.44% 0.42% -1.52% -14.02% 5.59% -18.45% 15.89% 13.35% 14.41 1.40 2.54% 上证 50 2653.54-7.23% 0.23% -2.52% -14.86% 13.06% -18.36% 18.76% 15.03% 12.27 1.26 2.91% 上证中盘 3412.17-5.55% 0.18% -3.16% -9.35% 1.40% -32.41% 15.07% 12.64% 19.24 1.92 1.68% 上证小盘 4378.28-6.56% 0.12% -3.55% -5.50% -6.30% -33.66% 17.87% 17.94% 30.02 2.19 1.06% 上证中小 3861.59-6.01% 0.15% -3.34% -7.62% -2.39% -32.95% 16.20% 14.51% 22.90 2.03 1.40% 上证全指 3170.44-6.60% 0.19% -2.95% -11.22% 4.51% -26.32% 16.34% 12.72% 15.39 1.52 2.24% 上证 100 5920.51-4.53% 0.74% -4.05% -4.17% -4.19% -28.06% 18.67% 17.03% 25.52 2.92 1.12% 上证 150 4837.65-7.20% -0.48% -3.39% -4.28% -17.31% -35.92% 16.03% 18.67% 47.75 2.78 0.38% 市值百强 2667.84-6.50% 0.26% -2.47% -13.82% 11.22% -21.73% 17.56% 13.84% 13.02 1.32 2.70% 上证能源 1532.81-7.86% 0.57% -1.45% -16.04% -0.93% -38.61% 18.41% 18.98% 33.80 1.24 3.49% 上证材料 2136.50-6.15% -0.80% -2.34% -10.74% 14.16% -22.37% 19.94% 21.08% 42.55 2.23 1.04% 上证工业 2213.56-8.54% 1.64% -1.84% -10.70% -8.45% -49.56% 14.74% 13.40% 18.64 1.66 1.43% 上证可选 2662.41-9.26% -1.06% -5.71% -10.46% -4.78% -31.85% 16.69% 13.32% 17.53 2.21 2.39% 上证消费 8520.81-6.39% -1.32% -1.75% -10.62% 26.78% 19.87% 20.31% 19.60% 44.46 6.08 1.17% 上证医药 7451.66 5.87% 3.34% -1.33% 7.21% 19.89% 6.56% 23.63% 17.17% 40.25 4.35 0.68% 上证金融 4939.12-6.35% 0.69% -2.23% -15.53% 15.01% -14.42% 20.69% 17.16% 8.93 1.06 3.02% 上证信息 3489.44-1.96% -2.39% -4.84% 4.81% -0.70% -43.35% 31.93% 23.91% 35.63 4.05 0.74% 上证电信 3020.60-12.43% 2.20% -5.44% -6.69% -1.48% -8.90% 21.82% 21.91% 58.52 2.08 0.28% 上证公用 1948.68-6.64% 0.81% -4.42% -6.94% -14.76% -43.13% 11.02% 9.60% 16.09 1.73 3.22% 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 年波动率静态市盈率市净率 股息率 商业指数 2993.28-6.48% 1.07% -2.24% -9.55% -23.12% -49.13% 17.67% 17.45% 19.63 1.86 1.28% B 股指数 318.89-6.71% 0.08% -2.44% -7.50% -4.85% -21.54% 9.48% 12.10% 17.98 1.17 0.28% 工业指数 2488.42-5.71% -0.15% -2.47% -8.16% -1.13% -31.00% 15.91% 13.65% 30.62 2.22 1.64% 上证指数 3082.23-6.80% 0.35% -2.73% -11.45% -2.30% -30.61% 15.87% 11.92% 16.88 1.63 1.97% A 股指数 3227.92-6.80% 0.35% -2.74% -11.46% -2.29% -30.64% 15.89% 11.93% 16.87 1.63 1.98% 12/26

新综指 2602.48-6.81% 0.35% -2.74% -11.47% -2.29% -30.66% 15.89% 11.94% 16.87 1.63 1.98% 公用指数 5404.06-9.29% 2.54% -2.94% -10.80% -14.83% -42.42% 14.28% 12.17% 19.62 1.53 1.64% 中型综指 1166.37-7.32% -0.45% -3.07% -3.62% -19.22% -37.37% 16.40% 17.76% 40.05 3.07 0.68% 综合指数 2832.10-7.75% 0.41% -3.10% -15.66% 3.22% -23.12% 18.13% 13.94% 10.25 1.18 2.59% 地产指数 6838.87-5.77% 0.69% -3.15% -18.03% -1.03% -19.70% 21.65% 20.03% 11.94 1.54 2.43% 上证流通 1128.81-7.33% 0.05% -3.24% -10.60% -1.29% -28.59% 15.87% 12.75% 16.87 1.63 1.98% 中证流通 4813.13-7.17% -0.16% -3.84% -8.46% -4.17% -26.50% 16.43% 14.03% 21.20 1.99 1.52% 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 静态市盈率市净率 中证医疗 46 5,831 2,976 8356.57 20.36% 5.11% 4.20% 19.20% 15.14% -30.87% 69.71 6.49 中证白酒 17 15,615 6,733 5516.2-7.96% -1.16% 2.22% -12.51% 38.08% 83.13% 43.16 7.03 医药 100 100 28,803 14,171 14590.75 7.49% 4.49% 1.44% 9.38% 10.62% -9.38% 44.84 4.89 中证酒 29 16,767 7,302 3253.68-6.23% -1.35% 1.29% -10.14% 24.68% 31.99% 43.87 6.16 医药主题 50 13,994 6,987 10925.26 6.76% 4.95% 0.89% 8.17% 8.74% -13.26% 38.84 4.32 沪智交通 18 2,716 1,557 1769.79 1.65% -1.11% 0.85% 10.26% -8.91% -41.52% 25.33 2.67 医药生物 100 28,763 13,790 11109.32 8.18% 3.94% 0.13% 8.44% 19.84% 0.91% 45.42 4.95 中证中药 42 8,536 4,318 11477.52 3.40% 3.54% 0.06% 3.42% -0.33% -16.40% 31.51 3.73 钢铁产业 14 5,710 2,129 908-7.21% 0.59% -0.04% -13.61% -3.46% -38.77% 31.59 1.26 细分食品 50 22,305 10,364 13199.32-7.76% -1.66% -0.17% -12.55% 30.97% 44.46% 42.26 6.18 CS 食品饮 85 24,647 11,281 11344.06-7.28% -1.54% -0.27% -11.01% 20.98% -- 41.03 5.80 食品饮料 50 22,929 10,356 13211.84-8.09% -1.81% -0.32% -12.87% 30.51% 38.66% 41.12 6.20 中小医疗 86 6,651 3,394 12031.06 0.87% 3.86% -0.46% 2.77% -7.96% -29.60% 45.00 3.75 信息安全 100 15,414 9,116 1735.37 7.13% -1.59% -0.47% 13.75% 11.45% -31.40% 50.17 3.92 军工信息 150 23,177 12,718 2431.47 5.07% -1.62% -0.62% 11.87% -6.38% -29.94% 55.42 3.38 180 运输 10 8,375 2,890 1179.86-4.83% 5.28% -0.71% -8.13% 15.56% -25.42% 23.23 1.90 优势消费 50 26,098 12,890 7000.11 1.29% 2.08% -0.83% 0.68% 19.18% 8.35% 41.53 5.44 中证军工 60 9,630 4,723 8750.92 0.07% -4.81% -0.87% 6.26% -16.61% -42.24% 71.26 2.97 农业主题 40 8,009 4,244 1215.11-3.59% 0.25% -0.87% -6.83% 3.87% -16.37% 34.67 4.09 中证国防 34 5,919 2,885 1291.37 0.22% -4.87% -0.96% 6.69% -18.37% -43.19% 65.92 3.14 沪大农业 50 7,276 2,964 1317.86-4.14% 0.03% -0.99% -6.40% -2.80% -22.77% 40.97 3.14 13/26

细分医药 50 20,595 9,891 10723.28 5.57% 3.17% -0.99% 6.21% 21.09% 12.08% 42.02 4.92 上证央企 50 114,597 26,965 1551.44-6.46% 1.92% -1.13% -14.17% 5.37% -31.70% 12.32 1.18 180 资源 17 29,449 4,577 2672.42-9.69% -1.33% -1.27% -15.91% 11.47% -28.71% 40.15 1.37 上国改革 50 81,502 20,921 1557.39-7.71% 1.28% -1.35% -11.42% 0.22% -23.97% 11.08 1.23 中证高新 100 14,677 8,673 1730.12 5.74% -1.01% -1.37% 12.94% 3.55% -23.23% 67.85 4.86 上证银行 21 63,865 17,776 846.26-2.71% 1.36% -1.38% -13.81% 9.80% -5.22% 7.30 0.91 内地银行 24 66,798 19,230 6107.96-3.55% 1.08% -1.41% -14.25% 10.88% -5.06% 7.38 0.91 沪消费品 50 24,435 11,604 8723.64 2.89% 2.31% -1.46% 0.80% 21.08% 10.09% 43.84 5.10 内地运输 34 14,756 4,763 1725.84-7.20% 3.43% -1.49% -9.38% 0.12% -37.16% 25.89 2.11 中证安防 34 6,795 3,186 2500.04-1.51% 0.02% -1.55% 6.27% -6.93% -- 37.78 5.67 上证基建 43 12,405 4,455 8519.28-11.58% 1.69% -1.59% -11.71% -18.25% -59.16% 17.31 1.46 上证高新 50 10,544 5,845 1679.16 7.69% -0.85% -1.66% 12.87% 11.25% -32.59% 49.21 4.23 沪智慧城 50 10,468 5,533 2039.27-1.78% -0.69% -1.71% 0.98% -3.50% -45.69% 25.64 2.76 中证钢铁 41 8,129 3,301 1301.95-8.60% 0.31% -1.74% -12.35% -4.55% -32.80% 34.86 1.49 上证国企 100 161,414 49,124 1012.17-6.41% 1.02% -1.81% -13.54% 5.45% -28.08% 12.74 1.27 180 基建 24 21,972 7,452 1807.69-5.32% 2.67% -1.84% -9.72% -10.70% -43.16% 15.62 1.52 沪环渤海 45 73,818 13,276 2395.51-2.80% 0.99% -1.96% -10.54% 4.46% -25.31% 13.00 1.28 上证沪企 50 34,482 14,346 2208.27-7.48% 1.93% -2.07% -11.13% -2.94% -33.45% 14.16 1.42 上证海外 47 114,476 32,806 1273.45-7.73% 1.01% -2.08% -15.02% 15.40% -20.80% 12.11 1.19 消费领先 100 111,495 43,256 7650.12-1.69% 1.09% -2.10% -5.46% 13.27% -13.54% 11.89 1.41 中证基建 70 14,732 5,706 8057.64-12.06% 1.33% -2.10% -12.21% -19.96% -55.46% 18.88 1.49 180 金融 45 90,836 33,027 5053.69-6.68% 0.79% -2.17% -14.90% 11.63% -17.33% 9.11 1.07 上证周期 50 119,279 37,730 3134.4-7.08% 0.17% -2.21% -15.54% 13.16% -18.82% 11.31 1.14 300 公运 33 22,147 7,236 1528.81-5.45% 2.61% -2.22% -7.30% -0.49% -34.43% 19.93 1.99 国企改革 100 102,837 31,329 1488.87-8.25% 0.57% -2.26% -11.58% -1.75% -29.82% 12.46 1.37 上证新兴 50 35,081 15,231 7129.27-2.30% -0.36% -2.31% -1.56% 6.20% -31.36% 24.25 2.29 细分能源 50 30,094 4,574 1999.59-9.48% 0.15% -2.34% -16.29% -6.25% -39.19% 33.49 1.27 军工指数 48 8,399 4,226 1156.82-1.10% -4.72% -2.34% 3.30% -17.91% -44.37% 70.52 2.86 内地金融 50 96,944 35,504 6254.89-7.31% 0.54% -2.35% -15.25% 10.10% -20.93% 9.27 1.08 细分金融 50 98,019 35,471 5951.23-7.36% 0.53% -2.36% -15.18% 9.99% -21.51% 9.34 1.09 800 金融 68 100,490 37,147 5885.12-7.64% 0.50% -2.44% -15.27% 8.74% -22.23% 9.46 1.09 物流产业 26 9,895 2,706 1306.82-9.92% 1.42% -2.51% -11.58% -12.12% -49.76% 26.91 2.20 智能交通 50 13,101 6,822 2599.9-2.57% -1.20% -2.53% 3.18% 8.98% -20.51% 39.67 4.02 CS 智慧农 34 3,766 2,263 1263.04-1.17% -0.49% -2.54% -0.22% -11.62% -39.99% 27.62 2.26 300 基建 31 24,897 8,612 1995.05-6.09% 2.22% -2.57% -9.99% -10.40% -42.63% 15.62 1.55 14/26

高铁产业 26 6,965 2,716 1730.55-13.20% 1.12% -2.59% -10.76% -20.90% -61.87% 18.25 1.60 上证地企 50 46,816 22,159 1096.58-6.35% -0.04% -2.62% -12.76% 5.50% -22.70% 13.93 1.54 中证体育 19 2,016 845 1646.93-5.33% 1.86% -2.62% -4.07% -25.67% -57.48% 35.47 3.86 上证商品 50 37,270 7,872 1872.41-7.61% -1.20% -2.62% -11.81% 9.77% -25.89% 39.52 1.49 上证下游 176 62,500 27,245 4073.27-3.02% 0.99% -2.63% -6.14% 10.81% -15.99% 27.20 2.80 ESG 40 40 84,763 27,286 1455.23-6.47% 1.32% -2.64% -12.43% 7.32% -24.30% 9.99 1.18 央企 100 100 138,618 37,173 1738-6.27% 0.85% -2.64% -13.19% 5.45% -28.97% 13.27 1.29 健康产业 100 32,043 16,581 1902.29-5.67% 1.50% -2.67% -1.78% -5.31% -15.50% 34.01 4.50 消费服务 100 137,052 51,090 7722.37-2.35% 0.79% -2.69% -6.58% 18.52% -6.84% 12.77 1.53 沪珠三角 45 40,323 22,841 5904.9-6.01% 0.33% -2.70% -13.81% 27.92% 3.41% 17.29 2.09 环渤海 48 75,958 14,852 2618.5-4.46% 0.97% -2.71% -12.05% 4.75% -23.82% 13.22 1.29 沪新丝路 52 42,042 10,138 1442.01-10.83% 0.64% -2.72% -12.60% -14.26% -58.25% 24.17 1.35 上证上游 53 35,949 7,221 2331.5-8.74% -1.47% -2.75% -13.35% 6.57% -29.52% 39.89 1.44 沪投资品 50 22,174 8,352 4287.65-11.97% -0.99% -2.77% -13.66% 1.27% -43.56% 33.80 1.98 一带一路 83 46,964 13,242 1557.97-10.46% 0.50% -2.78% -11.28% -11.55% -47.72% 24.37 1.39 国企 200 200 213,083 72,301 1099.24-6.77% 0.26% -2.79% -13.48% 5.91% -24.66% 14.24 1.42 180 治理 100 139,871 46,838 942.33-7.59% 0.20% -2.79% -13.31% 8.28% -25.58% 13.15 1.31 内地基建 50 28,483 10,145 1924.4-6.56% 1.89% -2.84% -9.90% -12.52% -43.79% 16.06 1.55 800 证保 44 33,693 17,917 5466.68-11.73% 1.03% -2.84% -15.85% -1.66% -43.87% 21.63 1.80 沪中部 39 10,004 4,763 3473.96-6.93% 0.59% -2.86% -7.88% 2.32% -20.99% 23.12 1.94 中证证保 39 32,022 17,252 883.61-11.94% 1.07% -2.87% -16.16% -1.42% -44.61% 21.75 1.79 上证龙头 71 128,075 38,890 3310.28-6.05% 0.51% -2.93% -10.00% 4.60% -20.71% 14.12 1.43 300 周期 123 159,585 54,106 3632.2-7.38% 0.21% -2.95% -15.41% 9.67% -21.78% 12.33 1.23 地企 100 100 74,465 35,128 1159.99-7.29% -0.35% -2.95% -13.78% 6.42% -19.10% 16.46 1.72 沪长三角 49 32,443 14,422 3152-7.90% 1.15% -2.96% -10.83% 0.85% -28.36% 14.24 1.46 沪股通 573 261,252 97,904 2943.27-6.55% 0.18% -2.99% -11.22% 4.27% -25.95% 15.42 1.54 中证央企 334 161,256 47,456 1881.68-7.01% 0.33% -3.02% -11.84% -0.64% -30.81% 14.36 1.37 轻工产业 74 35,287 18,666 4403.24-8.40% -1.69% -3.03% -14.13% 22.61% 24.93% 30.79 4.38 内地农业 32 8,564 5,197 5049.86-8.76% -1.18% -3.04% -11.92% 12.46% -12.60% 28.56 3.25 沪互金融 23 16,137 11,107 2560.36-2.57% -0.92% -3.05% -2.45% -5.51% -- 12.07 1.47 治理指数 298 164,959 58,370 1022.71-7.71% 0.20% -3.05% -12.11% 3.76% -28.02% 14.05 1.35 中证下游 200 98,080 45,000 5568.9-2.83% 0.51% -3.11% -6.95% 15.09% -11.48% 29.20 3.32 长三角 51 40,599 17,993 4347.49-5.54% 1.18% -3.20% -9.57% 6.50% -21.38% 16.58 1.78 中证国企 1036 284,279 105,638 1224.67-7.57% -0.01% -3.24% -11.90% -2.45% -28.37% 16.14 1.52 资源 50 50 37,633 8,110 2622.57-7.75% -1.13% -3.25% -12.57% 10.43% -24.62% 38.57 1.50 15/26

石化产业 60 36,635 7,921 1205.44-7.17% 0.30% -3.34% -12.88% 4.66% -19.16% 33.85 1.43 CS 计算机 100 18,323 9,977 7572.78 6.27% -0.56% -3.36% 9.00% 10.24% -- 50.29 4.15 细分农业 50 7,343 3,437 4513.05-10.42% -1.31% -3.37% -11.50% -10.74% -33.86% 21.18 3.04 上证军工 22 4,806 2,220 6677.39-6.00% -5.69% -3.37% -1.44% -24.10% -50.77% 72.80 2.48 ESG 100 100 153,171 56,718 1189.36-6.69% -0.03% -3.38% -11.88% 7.92% -17.58% 11.74 1.39 上证资源 50 35,866 7,123 2060.42-8.53% -1.62% -3.39% -12.85% 7.67% -31.08% 39.76 1.45 沪智家居 49 7,427 3,852 2595.8-6.57% -1.38% -3.41% 1.32% -8.91% -34.15% 24.53 2.97 智能家居 100 34,887 19,530 2678.82-4.20% -1.98% -3.41% 2.66% -4.02% -29.43% 33.70 3.62 中证地企 702 123,023 58,182 1289.11-8.03% -0.29% -3.41% -11.94% -3.92% -26.18% 19.39 1.78 责任指数 100 75,172 35,252 1386.09-7.82% 0.06% -3.42% -13.31% 10.82% -14.22% 12.92 1.44 城镇消费 100 70,658 32,180 1862.15-4.58% -0.31% -3.49% -9.23% 21.85% 9.15% 27.58 3.94 智能资产 180 23,284 13,101 9523.82-3.27% -0.29% -3.52% 2.53% -8.50% -20.71% 30.15 3.54 中证海洋 88 14,513 5,907 1271.25-7.40% -2.80% -3.56% -5.61% -20.55% -- 38.37 2.20 消费 80 80 41,376 18,231 4663.54-3.74% -0.04% -3.60% -6.46% 18.04% 0.59% 26.61 3.55 混合改革 75 53,808 14,657 1746.28-7.02% 1.01% -3.62% -10.16% -2.06% -30.56% 27.72 1.72 沪城基建 50 20,713 8,849 1653.84-7.11% 0.50% -3.64% -16.63% -9.59% -40.69% 13.37 1.41 上证中游 177 47,691 21,620 2739.94-9.35% -0.63% -3.65% -9.00% -7.37% -41.85% 22.46 1.87 CS 广东 41 10,534 4,706 1684.93-7.28% 1.25% -3.70% -11.50% -4.15% -- 19.15 2.04 沪城交通 50 18,827 7,471 2003.02-7.50% -0.08% -3.72% -5.37% -7.94% -46.79% 16.75 1.87 优势制造 50 13,398 6,085 5985.29-10.83% -2.35% -3.73% -7.24% -15.98% -48.64% 35.55 2.30 装备产业 87 21,102 10,565 1841.6-8.91% -1.09% -3.75% -5.93% -9.57% -48.49% 36.94 2.40 兴证海西 207 22,644 11,440 1417.25-6.43% 0.35% -3.77% -8.20% -6.27% -26.89% 20.50 2.05 黄金采掘 9 2,127 1,070 1096.65-8.35% -7.94% -3.78% -7.60% -15.43% -30.85% 48.51 2.83 精工制造 200 61,536 26,537 2837.15-10.14% 0.39% -3.79% -7.95% -9.75% -44.66% 23.74 2.03 300 非银 37 32,466 17,382 8955.33-12.00% -0.59% -3.81% -16.70% 6.59% -37.77% 21.31 1.80 上证健康 50 14,158 8,102 1341.63-5.05% 0.58% -3.90% -1.52% -8.16% -24.34% 38.20 4.29 非周期 100 66,581 29,298 2748.22-5.70% -0.30% -3.91% -8.04% 4.36% -29.99% 21.61 2.33 中证服务 300 191,398 73,881 4149.37-5.10% 0.83% -3.92% -10.51% -1.67% -35.19% 12.70 1.41 浙江民企 325 31,393 13,806 7769.54-5.75% 0.30% -3.96% -4.42% -8.20% -26.61% 34.90 3.29 中证旅游 21 3,414 1,529 3949.42-1.18% -0.66% -4.00% -6.78% -2.49% -25.72% 26.38 2.87 CS 智消费 100 30,938 16,789 2565.68-4.01% -0.19% -4.01% -3.34% 4.86% -- 25.14 3.36 智慧城镇 100 27,525 14,373 2270.46-2.19% -1.13% -4.03% 1.23% 4.89% -37.37% 35.84 3.62 中部崛起 45 16,105 6,312 3417.35-7.42% -0.19% -4.03% -8.90% 4.09% -22.52% 25.92 2.44 中证软件 100 16,571 8,988 7805.23 6.84% -0.14% -4.06% 8.05% -0.39% -49.11% 47.66 3.93 中证新兴 100 67,325 32,065 8072.1-5.00% -0.66% -4.08% -3.06% 2.93% -27.79% 27.67 2.86 16/26

上证城镇 242 77,149 35,073 1944.61-7.35% -0.76% -4.10% -8.34% -0.28% -32.15% 21.24 2.35 互联金融 79 26,615 16,695 2799.38 0.28% 0.27% -4.11% -0.61% -0.57% -43.87% 15.06 1.62 细分化工 50 12,027 5,438 3275.78-7.27% 0.04% -4.13% -8.81% -1.35% -18.83% 32.71 2.64 煤炭等权 30 8,222 2,203 1948.75-15.32% 0.61% -4.15% -18.46% -6.48% -23.47% 24.49 1.37 沪互联网 95 27,888 17,019 1942.01-5.57% -0.16% -4.21% -5.86% -0.49% -- 16.11 1.72 浙企综指 380 42,649 18,400 6853.65-5.57% 0.44% -4.21% -4.90% -5.08% -23.16% 31.52 3.07 基建工程 50 14,127 5,832 5136.29-11.23% 0.35% -4.22% -12.78% -21.32% -49.66% 13.85 1.37 细分机械 50 16,267 7,960 4149.1-9.44% 0.33% -4.24% -7.96% -3.59% -49.48% 32.74 2.35 CS 上海 47 11,971 5,394 2341.69-6.89% 0.35% -4.25% -8.40% -12.99% -- 21.26 1.89 资源优选 200 67,759 21,901 2408.12-8.55% -0.72% -4.27% -11.95% 1.72% -28.68% 36.35 1.69 300 非周 177 120,763 55,216 4175.35-6.23% -0.42% -4.29% -8.68% 8.83% -20.29% 25.31 2.85 泛珠三角 47 54,986 32,744 8580.73-7.45% -1.20% -4.31% -15.02% 32.56% 19.59% 18.53 2.44 资源 80 80 46,179 12,447 3197.7-8.75% -0.90% -4.31% -12.17% 6.77% -21.11% 39.43 1.63 中证民企 2302 226,684 105,366 2080.52-6.33% 0.07% -4.33% -4.16% -8.23% -24.55% 35.35 3.22 上证 TMT 50 12,747 6,328 1823.28-5.45% -1.03% -4.36% -0.37% -15.61% -44.60% 33.26 2.68 内地资源 50 36,823 8,201 2736.12-9.52% -1.18% -4.37% -13.29% 8.43% -28.03% 43.03 1.47 CS 轻资产 100 88,776 43,666 5421.78-7.67% -0.56% -4.38% -9.45% 16.17% -10.81% 30.23 3.22 中证核电 50 8,087 3,344 2564.04-10.46% 0.56% -4.39% -10.60% -15.70% -50.33% 23.99 1.65 持续产业 40 12,496 5,424 1070.77-10.34% -1.38% -4.42% -8.27% -7.24% -33.31% 21.86 2.27 内地消费 50 45,099 21,607 7839-8.42% -1.45% -4.45% -14.71% 23.56% 11.37% 23.56 3.59 中证上游 50 37,525 8,300 2608.73-9.46% -1.23% -4.45% -13.48% 6.83% -30.29% 41.16 1.48 西部开发 43 21,831 9,756 6600.4-9.65% -0.81% -4.46% -12.71% 7.45% -20.62% 27.03 3.02 高端装备 60 13,547 6,121 7084.63-10.47% -2.62% -4.46% -6.98% -20.99% -47.64% 36.26 2.33 优势资源 44 27,429 5,889 3785.99-9.78% -1.79% -4.47% -13.08% 9.43% -23.39% 60.74 1.51 中小国改 92 13,062 5,798 1502.81-8.70% -1.24% -4.54% -9.77% -9.59% -35.28% 30.04 2.05 上证养老 40 28,691 16,255 9261.24-5.41% 0.39% -4.55% -5.15% 0.80% -21.34% 28.57 2.95 东北振兴 38 8,291 4,737 3918.99-10.16% -1.49% -4.62% -11.01% -5.98% -40.48% 21.90 2.02 大宗商品 98 46,496 13,115 4209.6-9.95% -1.02% -4.64% -12.14% 2.14% -21.39% 38.27 1.60 中证安全 100 15,726 7,890 2693.53-4.84% -0.84% -4.67% 1.88% -3.14% -19.59% 38.49 4.17 纺织产业 22 3,967 1,503 1767.02-8.19% -1.43% -4.67% -10.61% -9.81% -34.71% 26.81 2.32 环保 50 50 16,724 7,848 1802.15-11.57% -0.08% -4.68% -6.38% -3.04% -22.91% 25.97 2.88 沪城消费 50 33,259 15,274 1787.71-4.46% -0.79% -4.70% -7.46% 18.84% -2.88% 25.69 3.40 非周民企 100 50,095 24,869 1469.38-6.17% -0.20% -4.70% -4.10% 10.73% -17.82% 32.72 4.21 沪西部 36 16,682 8,204 5353-10.32% -1.42% -4.72% -14.28% 2.15% -26.36% 33.27 3.59 煤炭指数 30 8,385 2,264 2493.33-14.28% 0.89% -4.73% -20.82% -1.09% -25.67% 24.45 1.39 17/26

民企 200 200 82,554 40,116 1731.43-5.11% 0.31% -4.86% -5.51% 6.74% -20.55% 28.24 3.36 A 股资源 50 37,778 8,349 4185.36-11.25% -1.27% -4.89% -13.51% 1.86% -31.10% 39.94 1.47 保险主题 20 41,678 16,743 2050.76-16.99% -0.48% -4.91% -18.30% 23.28% -0.46% 20.44 1.51 消费 50 50 29,805 12,445 7090.1-8.32% -1.24% -4.93% -11.78% 10.07% -9.29% 23.42 3.15 中证保险 20 24,976 13,678 1977.48-16.13% -0.30% -4.95% -15.62% 22.87% -2.87% 17.96 1.89 沪东北 31 7,425 4,531 3599.72-11.99% -1.98% -4.95% -10.61% -3.14% -35.74% 25.53 2.41 城镇基建 100 32,312 14,559 1722.54-7.48% -0.12% -4.97% -16.34% -4.43% -31.10% 14.94 1.59 中证中游 250 77,692 37,355 3184.54-9.89% -1.11% -5.07% -8.45% -3.11% -33.17% 26.37 2.16 中证环保 100 23,207 11,348 1555.8-10.56% -0.87% -5.08% -5.68% -12.68% -34.70% 26.67 2.66 上证文化 50 6,449 2,854 1480.3-6.78% -1.01% -5.14% -8.38% -20.31% -53.99% 27.18 2.51 中证城镇 250 125,235 58,594 1996.12-7.22% -0.60% -5.15% -9.29% 4.70% -17.09% 23.64 2.88 上证休闲 50 6,688 2,845 976.17-7.09% -1.19% -5.26% -8.85% -20.29% -52.20% 27.98 2.57 沪信息业 50 12,799 6,489 4095.93-5.39% -1.12% -5.29% -0.51% -5.65% -45.19% 32.86 2.74 上证民企 50 24,491 13,334 1725.99-5.07% -0.01% -5.30% -8.18% 10.24% -17.30% 20.30 2.47 中证煤炭 30 8,222 2,203 1499.35-15.15% 0.92% -5.31% -20.75% -4.88% -23.84% 24.49 1.37 细分有色 50 12,197 5,750 5075.85-11.45% -2.51% -5.33% -11.73% 3.81% -29.66% 77.98 2.97 CS 福建 25 8,162 4,610 1809.62-7.05% 0.91% -5.35% -9.42% -6.03% -- 11.92 1.32 城镇交通 100 35,265 15,990 2175.66-7.53% -0.60% -5.38% -4.43% 0.06% -35.67% 21.75 2.48 中证 TMT 100 35,369 18,286 1972.67-1.32% -0.91% -5.47% 1.47% -3.46% -35.88% 41.25 3.26 300 消服 18 14,045 8,042 7943.88-4.99% -2.26% -5.47% -15.62% 26.05% 10.23% 24.05 3.15 钱江 30 30 14,287 5,798 1343.66-4.02% 0.35% -5.52% -7.63% 17.50% -12.84% 28.26 4.16 船舶产业 3 1,752 743 1447.68-13.13% -5.08% -5.74% -14.30% -25.98% -64.04% 82.48 1.84 CS 西部 33 3,875 2,088 1290.34-13.47% -0.62% -5.81% -12.31% -21.19% -- 29.72 1.91 CS 汽车 AM 68 18,134 11,408 2111.97-8.00% -1.97% -5.81% -4.57% -5.10% -- 19.16 2.30 沪绿色城 50 13,701 5,684 1859.21-8.99% -1.48% -5.81% -4.68% -0.83% -14.10% 19.09 2.37 机器人 44 5,981 2,801 1305.59-4.34% 0.13% -5.87% 0.67% -4.43% -27.63% 45.60 3.68 中证高装 200 44,713 22,232 4615.81-10.55% -2.14% -5.92% -3.91% -6.67% -37.19% 38.02 2.89 内地低碳 50 18,668 9,016 1314.06-9.13% -0.20% -5.98% -6.00% -0.84% -24.41% 25.36 2.79 互联网 150 58,199 32,678 2781.27-6.34% -0.91% -6.03% -5.76% 4.98% -28.87% 22.18 2.24 细分地产 50 17,124 7,886 6493.83-6.46% -0.96% -6.14% -19.73% 2.80% -14.48% 15.11 1.92 有色金属 50 13,246 6,357 4645.02-10.83% -2.32% -6.21% -11.06% 7.45% -26.97% 77.28 3.08 内地地产 47 16,539 7,604 6872.62-5.76% -1.02% -6.31% -20.13% 2.77% -13.09% 14.70 1.90 电子产业 138 44,555 24,610 3619.6-6.32% -1.96% -6.31% -5.83% 10.35% -17.71% 35.83 3.65 上证移动 50 15,029 7,290 1928.16-10.77% -1.07% -6.35% -5.62% -9.30% -48.47% 27.42 2.75 汽车产业 29 10,922 4,331 4015.31-14.58% -0.31% -6.58% -11.93% -8.04% -24.73% 13.86 1.91 18/26

有色产业 36 10,460 5,090 2022.66-11.23% -2.55% -6.59% -11.58% 7.58% -26.46% 80.73 2.93 TMT 150 150 41,869 21,654 1804.26-6.09% -0.77% -6.61% -2.62% 0.23% -34.98% 40.13 3.20 新材料 50 13,952 7,250 3159.11-11.16% -1.29% -6.67% -8.99% 11.23% -17.84% 47.87 3.31 中证新能 80 18,597 9,595 1650.8-10.52% -1.15% -6.68% -5.86% -3.52% -29.16% 32.32 2.77 CS 京津冀 48 9,098 4,237 1988.78-10.05% -1.04% -6.68% -12.25% -28.54% -- 20.97 1.83 上证环保 40 11,775 4,947 1368.97-12.06% -1.75% -6.82% -8.42% -16.03% -42.52% 22.71 2.58 CS 能源互 44 7,954 4,679 1559.25-10.96% -1.38% -6.83% -5.61% -6.09% -- 27.64 2.83 300 有色 16 7,535 3,450 3673.82-11.48% -2.05% -6.85% -12.42% 8.14% -26.18% 81.44 2.94 文体休闲 50 14,312 6,654 1127.43-6.09% -0.41% -6.86% -7.19% -9.03% -49.53% 30.87 3.38 中证传媒 50 12,057 5,838 1619.86-6.13% 0.76% -6.86% -6.62% -14.48% -54.60% 31.06 3.21 新能源 50 14,430 7,488 1546.4-10.73% -0.98% -6.91% -6.58% 0.64% -31.69% 31.88 2.99 中证文体 100 17,686 8,348 1991.07-6.21% -0.30% -6.92% -5.97% -13.38% -50.92% 33.00 3.24 中证文化 50 13,679 6,426 2024.64-6.66% -0.40% -7.05% -6.64% -8.94% -52.06% 34.31 3.62 中证汽车 100 16,361 6,768 4924.85-14.90% -0.94% -7.07% -11.70% -14.20% -30.05% 16.34 1.99 上证汽车 50 10,855 3,874 4986.72-14.01% -0.43% -7.15% -10.20% -12.44% -18.21% 15.09 1.98 CS 休闲娱 100 15,772 6,836 4373.7-8.92% -0.05% -7.39% -9.79% -19.69% -- 28.15 2.87 绿色城镇 100 26,639 12,593 1761.29-10.83% -0.93% -7.41% -6.53% -6.47% -19.52% 22.66 2.65 稀土产业 31 5,228 2,713 1332.22-17.79% -3.54% -7.50% -9.77% -7.27% -38.90% 64.48 2.59 移动互联 100 38,486 19,577 2312.28-8.09% -0.82% -7.52% -2.16% -1.26% -41.94% 39.87 4.00 信息产业 100 37,701 19,158 5039.39-8.28% -1.74% -7.54% -4.60% 0.75% -36.18% 38.76 3.48 300 信服 46 25,291 12,766 2128.89-9.92% -1.40% -8.25% -7.35% 2.68% -33.36% 42.21 3.79 CS 电子 100 24,242 12,056 5641.66-9.70% -3.64% -8.47% -3.93% 2.66% -- 39.59 3.72 CS 土改农 28 3,085 1,483 912.96-9.17% -2.89% -8.61% -8.18% -18.54% -45.22% 32.68 2.01 工业 4.0 27 15,787 8,150 2293.26-7.30% -2.08% -8.84% -1.37% -5.66% -33.96% 43.33 3.87 CS 稀金属 17 4,252 1,855 1430.91-8.03% -1.30% -9.11% -1.97% 19.96% -11.34% 112.88 4.58 CS 新能车 51 9,886 5,407 2049.82-8.94% -1.25% -10.13% -3.11% -3.97% -15.68% 34.93 3.78 19/26

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 180R 价值 2937.70-6.04% 0.90% -2.08% -13.44% 5.94% -21.87% 17.15% 13.56% 0.25 0.08 0.05 180 价值 3999.04-5.40% 0.65% -2.19% -14.17% 12.09% -10.97% 18.08% 14.58% 0.66 0.13 0.15 全 R 价值 3486.64-7.12% 0.58% -2.64% -12.90% 3.52% -24.28% 16.69% 12.99% 0.08 0.06 0.01 全指价值 3976.44-6.92% 0.31% -2.82% -14.14% 10.54% -13.16% 17.86% 13.75% 0.58 0.13 0.11 300R 价值 3939.63-6.90% -0.07% -3.02% -13.99% 10.07% -15.95% 17.63% 13.95% 0.54 0.13 0.09 300 价值 4736.03-6.47% -0.42% -3.22% -15.05% 16.09% -4.87% 19.12% 15.10% 0.90 0.18 0.18 800R 价值 4678.96-7.16% 0.00% -3.23% -12.89% 6.05% -19.68% 17.00% 13.48% 0.26 0.09 0.04 180 成长 3177.86-6.14% -0.42% -3.28% -13.00% 17.15% -9.99% 17.30% 14.04% 1.04 0.19 0.19 800 价值 5482.83-7.32% -0.15% -3.43% -14.81% 11.96% -10.63% 18.66% 14.43% 0.66 0.15 0.11 全 R 成长 2788.34-5.77% -0.41% -3.43% -8.49% 6.23% -28.28% 16.87% 13.78% 0.27 0.10 0.04 380 价值 7761.60-7.21% 0.60% -3.57% -10.67% -3.36% -25.57% 18.94% 18.24% -0.32 0.02-0.05 全指成长 3693.83-5.84% -0.58% -3.60% -11.92% 16.38% -9.37% 18.03% 13.91% 1.00 0.19 0.16 380 成长 5674.80-3.04% 0.69% -3.62% -2.98% 0.98% -24.70% 20.35% 17.62% -0.09 0.06-0.01 180R 成长 1991.15-7.29% -0.64% -3.62% -12.03% 12.45% -26.04% 16.83% 13.78% 0.72 0.15 0.11 380R 成长 4436.78-4.25% -0.13% -3.64% -1.77% -4.29% -31.12% 19.18% 17.71% -0.38 0.00-0.06 380R 价值 6172.05-7.96% 0.18% -3.77% -8.82% -7.44% -30.81% 17.68% 17.66% -0.56-0.03-0.08 500R 价值 6554.61-7.11% -0.06% -3.82% -7.78% -6.87% -29.86% 16.89% 17.88% -0.52-0.02-0.08 500 价值 8267.48-7.39% 0.34% -4.22% -11.38% -2.67% -19.92% 18.13% 18.32% -0.28 0.02-0.04 300 成长 4213.60-6.17% -0.31% -4.35% -11.74% 17.44% -9.48% 18.90% 14.98% 1.00 0.20 0.17 500R 成长 5469.27-5.42% -0.59% -4.45% -2.92% -4.48% -31.61% 19.64% 18.00% -0.39 0.00-0.06 300R 成长 3277.27-6.65% -0.15% -4.53% -9.24% 7.79% -27.07% 17.65% 14.69% 0.36 0.11 0.05 800R 成长 3659.35-5.85% -0.43% -4.60% -6.33% 3.17% -28.56% 17.97% 15.24% 0.04 0.07 0.01 800 成长 4666.66-7.05% -0.61% -5.36% -10.95% 13.60% -12.64% 18.69% 14.85% 0.75 0.17 0.11 500 成长 6769.73-6.51% -0.02% -5.36% -5.87% -1.92% -23.01% 20.66% 17.69% -0.25 0.03-0.04 20/26

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 样本平均股息指数股息率 沪能源红 5599.82 22,702 1,765 926 0.14% 0.51% 2.33% -11.94% 6.97% -30.51% 4.08% 4.08% 医药红利 15740.27 7,031 3,706 71 4.46% 3.35% 0.92% 4.94% 6.90% 22.12% 1.15% 0.99% 能源红利 3917.42 24,169 2,170 964-6.01% 0.71% -0.73% -10.71% -4.24% -38.06% 4.00% 3.99% 消费红利 22046.07 23,357 10,630 432-5.94% -1.46% -0.78% -11.18% 14.53% 27.61% 1.87% 1.85% 电信红利 8338.94 2,072 1,220 15-4.38% 2.19% -0.89% 0.67% 4.13% -0.77% 0.85% 0.72% 沪消费红 19143.53 13,403 6,050 170-4.67% -1.50% -0.95% -11.24% 22.48% 29.98% 1.29% 1.26% 沪医药红 8404.11 2,606 1,429 22 4.49% 1.82% -1.38% 4.52% 7.24% -11.64% 1.07% 0.84% 沪金融红 6072.56 63,626 18,736 2,357-3.00% 1.38% -1.40% -16.66% 11.34% -4.89% 3.70% 3.70% 民企红利 3500.21 12,849 7,927 359-6.30% 0.49% -1.97% -10.24% 0.95% 0.33% 3.09% 2.78% 金融红利 7583.58 70,648 22,037 2,540-3.34% 0.93% -2.34% -16.53% 9.75% -5.10% 3.60% 3.60% 高分红 4519.60 115,873 41,182 4,341-5.19% 0.42% -2.59% -14.04% 10.36% -8.53% 3.76% 3.75% 上央红利 1940.97 77,885 19,020 3,214-4.85% 0.90% -2.60% -13.26% 1.47% -27.21% 4.13% 4.13% 工业红利 7693.14 16,658 6,119 366-5.46% 1.21% -2.60% -8.49% -3.58% -25.65% 2.23% 2.20% 上红价值 6683.40 53,296 27,029 1,696-5.10% 0.56% -2.65% -11.32% 0.77% -18.97% 3.21% 3.18% 央企红利 2783.36 78,262 19,698 3,262-3.99% 0.76% -3.02% -13.18% 5.33% -26.82% 4.17% 4.17% 上红潜力 5248.88 54,779 16,195 1,763-7.06% -0.26% -3.04% -12.16% 18.64% 5.42% 3.28% 3.22% 红利价值 7789.45 55,783 28,220 1,804-4.47% 0.47% -3.20% -12.21% 0.79% -13.89% 3.27% 3.23% 300 红利 5619.30 107,860 37,216 4,255-6.10% -0.19% -3.24% -14.14% 13.28% -3.52% 3.94% 3.94% 180 红利 3633.76 85,153 24,611 3,623-6.91% 0.11% -3.25% -14.21% 9.73% -14.15% 4.26% 4.26% 上国红利 1254.27 78,705 19,462 3,424-4.93% 0.85% -3.35% -12.09% 7.10% -16.30% 4.36% 4.35% 上红低波 7413.72 59,912 29,557 1,697-6.64% 0.41% -3.47% -11.59% 1.16% -16.17% 2.86% 2.83% 中证红利 4440.90 125,295 44,345 4,649-6.52% 0.25% -3.50% -12.44% 3.21% -10.39% 3.77% 3.71% 红利低波 8445.58 64,047 31,640 1,844-6.73% 0.05% -3.52% -12.42% 2.21% -8.27% 2.97% 2.88% 沪可选红 11136.34 9,205 3,698 356-5.78% 0.21% -3.80% -8.22% 1.16% -14.39% 4.11% 3.87% 可选红利 13955.76 15,632 8,636 557-6.09% 0.18% -3.89% -10.50% 5.36% 5.51% 3.82% 3.56% 红利指数 2804.41 93,811 28,124 3,849-6.33% 0.18% -3.93% -12.84% 3.33% -19.44% 4.13% 4.10% 沪工业红 6772.79 10,872 3,792 253-7.69% 0.51% -4.02% -10.49% -6.41% -34.37% 2.33% 2.33% 上红回报 5207.23 39,833 16,240 1,102-6.66% -0.73% -4.05% -10.20% 14.26% -2.16% 2.84% 2.77% 上民红利 2611.28 10,725 5,726 253-7.78% -0.13% -4.10% -10.51% 5.27% -21.80% 3.03% 2.36% 国企红利 1640.40 97,177 30,283 3,936-6.02% 0.11% -4.12% -13.18% 6.38% -13.35% 4.06% 4.05% 21/26

500 红利 8192.27 8,160 4,133 190-7.33% 0.11% -4.26% -8.93% -9.25% -25.36% 2.58% 2.31% 红利潜力 8154.95 66,357 23,629 1,958-6.13% -2.03% -4.32% -15.29% 30.26% 44.24% 3.02% 2.95% 材料红利 6364.96 9,181 4,682 238-4.92% 0.49% -4.41% -9.10% 7.17% -7.42% 2.59% 2.59% 沪材料红 5242.71 7,844 4,020 198-5.93% 0.54% -4.46% -10.72% 16.21% -1.43% 2.52% 2.52% 红利回报 5753.26 41,192 19,168 1,054-8.03% -1.48% -4.59% -12.82% 17.04% 6.63% 2.64% 2.56% 380 红利 8123.07 6,097 2,284 175-7.64% -0.07% -4.61% -9.22% -3.77% -21.71% 3.23% 2.87% 沪公用红 3290.48 7,316 2,591 310-3.95% 1.26% -4.91% -5.26% -13.35% -46.24% 4.24% 4.24% 公用红利 2871.43 8,168 2,960 341-7.35% 0.61% -5.66% -6.48% -17.25% -49.26% 4.17% 4.17% 信息红利 20143.10 8,814 4,501 107-3.55% -1.40% -6.17% 2.83% 10.37% 22.40% 1.24% 1.21% 沪电信红 7000.93 729 431 8-18.94% -0.12% -11.37% -9.46% -26.85% -34.68% 1.12% 1.12% 沪信息红 9973.41 2,271 1,134 34-14.12% -2.05% -11.43% -5.56% 2.69% -10.68% 1.61% 1.51% 表 6: 策略指数市场数据 指数收益指数波动指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 500 反两 153.55 7.99% 0.35% 7.97% 6.57% 0.55% -- 36.14% 35.42% -0.05-0.16 0.01 300 反两 441.74 10.97% -0.06% 6.82% 25.54% -22.00% -14.33% 34.23% 27.09% -0.90-0.35 0.14 180 反两 1112.97 10.69% -0.65% 4.96% 27.84% -20.73% -5.85% 33.07% 26.07% -0.89-0.33 0.14 50 反两 389.93 11.37% -0.73% 4.28% 33.11% -28.15% -- 37.54% 30.08% -1.02-0.40 0.21 500 反向 1279.79 5.46% 0.27% 4.20% 4.47% 4.10% -- 18.07% 17.69% 0.09-0.05-0.01 300 反向 1855.68 6.65% 0.05% 3.65% 13.13% -8.88% 8.78% 17.12% 13.53% -0.84-0.17 0.13 300 日报酬反向 1532.20 6.17% 0.03% 3.54% 12.77% -10.12% 4.14% 17.12% 13.54% -0.93-0.18 0.14 180 反向 4500.53 6.49% -0.25% 2.73% 14.15% -8.21% 13.70% 16.54% 13.02% -0.82-0.16 0.13 CS 医药 12291.74 11.41% 5.64% 2.48% 11.43% 13.31% 17.84% 26.42% 18.14% 0.60 0.17 0.10 50 反向 1611.96 6.94% -0.28% 2.42% 16.58% -12.36% -- 18.77% 15.02% -0.99-0.19 0.20 医药等权 9042.09 5.37% 4.27% 0.49% 7.36% 10.19% -8.00% 22.40% 16.64% 0.46 0.14 0.07 消费等权 6143.47-5.91% -1.34% -0.78% -8.50% 9.17% -9.79% 17.69% 18.39% 0.36 0.12 0.07 22/26

富国多空 33259.49 1.58% 1.88% -0.80% -9.06% 33.84% 46.67% 19.70% 15.45% 2.03 0.37 0.35 50 基本 2936.11-5.39% 0.97% -1.72% -14.20% 10.37% -12.32% 17.79% 14.54% 0.54 0.12 0.12 50 等权 2336.62-7.02% 1.25% -1.91% -14.06% 0.77% -31.45% 17.67% 13.62% -0.13 0.03-0.02 300 波动 6984.77-3.90% 1.05% -1.97% -8.30% 7.04% -6.97% 13.69% 11.01% 0.41 0.09 0.06 380 低贝 5846.74-3.52% 0.76% -2.14% -3.37% -2.78% -22.83% 14.15% 12.92% -0.41 0.00-0.06 180 基本 10820.60-5.88% 0.79% -2.16% -13.47% 7.26% -17.41% 16.50% 13.10% 0.36 0.09 0.07 工业等权 2794.70-7.93% 0.37% -2.20% -8.92% -11.34% -47.96% 15.24% 14.06% -0.98-0.08-0.15 淘金 100 10689.98-3.89% 0.69% -2.31% -7.66% 10.82% 37.90% 23.20% 18.78% 0.44 0.16 0.07 100 稳定 4328.59-4.79% 0.18% -2.32% -12.19% 24.95% 15.31% 16.81% 14.55% 1.54 0.27 0.31 180 稳定 9710.94-4.59% 0.54% -2.32% -10.68% 17.30% -5.63% 14.84% 12.78% 1.16 0.19 0.21 180 波动 12693.58-5.03% 0.90% -2.33% -9.94% 4.11% -19.50% 14.10% 11.38% 0.14 0.06 0.02 金融等权 4705.63-9.06% 1.33% -2.39% -16.26% 4.53% -22.53% 20.55% 16.91% 0.12 0.06 0.03 小康指数 5290.23-8.63% 0.90% -2.47% -13.53% 0.02% -28.81% 15.03% 12.89% -0.19 0.02-0.03 电信等权 2609.62-10.55% 3.80% -2.49% -9.09% -12.04% -25.66% 22.30% 21.97% -0.66-0.07-0.12 银河 99 6512.04-5.74% 0.13% -2.53% -14.71% 14.58% -6.05% 18.49% 14.70% 0.82 0.16 0.17 500 低贝 10201.67-3.46% 1.01% -2.58% -4.98% -0.89% -14.15% 14.67% 14.06% -0.24 0.02-0.04 180 高贝 5932.24-9.24% 1.20% -2.62% -14.23% -12.89% -37.00% 17.72% 15.92% -0.97-0.09-0.15 380 稳定 6609.78-5.14% 0.73% -2.80% -4.57% -0.85% -21.42% 17.30% 16.27% -0.21 0.03-0.03 信息等权 4307.35-3.30% -0.86% -2.88% 4.41% -6.17% -46.41% 27.58% 23.53% -0.37-0.01-0.07 180 分层 9941.79-5.63% 0.29% -2.88% -8.76% -0.37% -29.11% 14.40% 12.83% -0.22 0.03-0.03 300 稳定 4337.62-5.05% 0.38% -2.90% -10.45% 18.12% 1.67% 15.76% 13.44% 1.16 0.20 0.20 180 动量 2949.02-6.79% -0.04% -2.91% -13.29% 20.99% -28.16% 19.16% 15.33% 1.21 0.23 0.24 300 低贝 5590.28-5.55% -0.14% -2.93% -7.71% 6.17% -7.68% 12.96% 10.28% 0.36 0.08 0.06 180ERC 4393.82-5.65% 0.51% -3.00% -10.47% 2.38% -25.81% 14.15% 11.54% -0.01 0.05 0.00 180 等权 8394.93-6.80% 0.41% -3.01% -10.91% -3.89% -32.37% 15.10% 12.85% -0.50-0.01-0.07 中证龙头 4243.23-4.42% 0.64% -3.02% -8.49% 10.86% -15.16% 15.53% 13.04% 0.64 0.14 0.09 安中动态 1069.43-8.15% 0.69% -3.09% -11.51% 6.73% -20.81% 14.32% 14.10% 0.30 0.10 0.05 380 动量 5514.71-4.61% 0.86% -3.16% -3.90% 2.58% -37.45% 21.48% 19.02% 0.00 0.08 0.00 财富大盘 4928.03-6.59% 0.08% -3.17% -14.14% 8.79% -9.42% 17.72% 13.53% 0.46 0.11 0.08 能源等权 2291.28-13.95% 0.25% -3.29% -17.81% -11.41% -45.03% 17.36% 23.72% -0.59-0.07-0.12 300ERC 4583.98-5.61% 0.49% -3.31% -9.77% 2.33% -23.33% 14.36% 11.73% -0.01 0.05 0.00 300 分层 4726.02-6.22% 0.34% -3.35% -9.13% 0.24% -24.77% 15.06% 13.26% -0.17 0.03-0.02 300 高贝 2601.32-7.96% 0.05% -3.39% -12.20% -10.02% -38.99% 18.46% 17.71% -0.71-0.05-0.11 300SER 5209.11-6.26% 0.32% -3.42% -8.79% 3.33% -20.22% 13.77% 12.75% 0.07 0.06 0.01 180 动态 6309.46-9.68% -0.31% -3.45% -16.20% -7.57% -44.79% 19.79% 15.51% -0.65-0.04-0.11 23/26

300 等权 4032.56-6.45% 0.30% -3.55% -9.38% -2.21% -30.05% 15.93% 13.66% -0.34 0.01-0.05 380ERC 8382.44-7.02% -0.03% -3.63% -5.98% -9.43% -27.36% 15.91% 16.11% -0.74-0.05-0.11 500 稳定 8555.63-4.72% 0.12% -3.67% -4.05% -3.72% -18.98% 17.81% 16.29% -0.38 0.00-0.06 500SER 7858.17-5.83% -0.02% -3.72% -5.64% -3.35% -21.11% 15.36% 16.01% -0.37 0.00-0.06 380 波动 9388.96-6.55% 0.57% -3.73% -6.52% -7.84% -19.39% 14.49% 14.23% -0.73-0.05-0.11 百发 100 12172.52-6.69% 0.58% -3.80% -8.19% -2.74% -27.97% 20.06% 18.82% -0.28 0.02-0.05 800 动量 3458.28-6.45% -0.25% -3.83% -11.48% 14.45% -27.94% 19.02% 14.85% 0.80 0.18 0.13 央视 500 1223.76-6.47% -0.25% -3.86% -9.77% 8.02% -20.05% 16.42% 13.39% 0.41 0.11 0.06 500ERC 7498.89-6.00% -0.12% -3.89% -5.59% -6.24% -23.34% 16.00% 16.32% -0.54-0.02-0.08 380 等权 6799.34-7.47% -0.29% -3.90% -6.13% -11.61% -31.43% 17.81% 17.69% -0.80-0.07-0.12 800 等权 5657.60-6.72% -0.09% -3.92% -7.18% -6.24% -29.10% 16.67% 15.76% -0.55-0.02-0.08 材料等权 3150.19-6.87% -1.54% -3.96% -9.61% 5.66% -22.13% 19.41% 21.80% 0.15 0.10 0.03 等权 90 2851.50-8.15% 0.29% -4.03% -12.90% 0.73% -27.53% 18.40% 14.35% -0.12 0.04-0.02 500 波动 11046.14-5.87% 0.14% -4.08% -6.55% -7.30% -15.58% 15.23% 14.67% -0.67-0.04-0.10 200 稳定 5762.42-5.64% 0.39% -4.10% -6.13% 1.56% -18.12% 17.15% 14.28% -0.07 0.05-0.01 300 动量 3793.00-7.23% -0.71% -4.10% -12.59% 18.96% -26.32% 19.99% 15.93% 1.03 0.22 0.19 380 基本 6494.31-7.84% 0.23% -4.12% -8.59% -7.37% -29.78% 17.03% 17.37% -0.57-0.03-0.09 500 等权 6931.47-6.88% -0.33% -4.14% -5.80% -8.65% -28.87% 17.45% 17.70% -0.63-0.04-0.10 500 高贝 4291.24-7.59% -0.94% -4.16% -3.25% -9.71% -37.14% 23.01% 22.35% -0.55-0.04-0.09 200 动态 2747.61-8.85% -0.36% -4.24% -9.43% -7.92% -45.38% 18.96% 17.50% -0.60-0.03-0.09 光大阳光 6142.65-6.71% -1.34% -4.34% -15.42% 25.49% 12.20% 21.61% 17.18% 1.34 0.28 0.26 380 高贝 4687.32-9.29% -0.57% -4.48% -6.29% -16.29% -41.50% 23.52% 22.61% -0.83-0.10-0.13 500 动态 4047.90-7.80% -0.82% -4.66% -6.61% -7.59% -40.54% 18.80% 19.65% -0.51-0.03-0.08 100 动态 2782.69-8.95% -0.65% -4.68% -16.72% 2.36% -41.76% 21.87% 16.73% -0.01 0.06 0.00 300 动态 2815.87-9.25% -0.81% -4.68% -14.51% -5.93% -45.54% 19.63% 15.69% -0.54-0.02-0.08 沪财中小 8654.50-9.55% -0.08% -4.72% -8.53% -13.30% -26.17% 18.73% 18.64% -0.85-0.09-0.13 380 动态 3850.34-7.39% -0.77% -4.74% -6.60% -12.07% -40.73% 19.58% 19.49% -0.75-0.07-0.11 180 低贝 9529.41-7.92% -0.91% -4.85% -9.94% 1.75% -17.14% 15.72% 11.76% -0.06 0.04-0.01 腾讯济安 2295.59-7.81% -0.20% -4.94% -9.62% -6.47% -16.60% 16.57% 16.20% -0.55-0.02-0.08 公用等权 1960.82-10.48% -0.06% -5.06% -8.39% -22.78% -50.72% 11.91% 13.58% -1.86-0.21-0.33 创业价值 1810.17-11.57% -0.28% -5.17% -13.54% -3.70% -15.10% 18.27% 18.33% -0.34 0.01-0.05 转型成长 28699.34-7.43% -1.13% -5.35% -8.51% -6.03% 14.81% 18.19% 19.18% -0.44-0.02-0.07 50 两倍 1153.87-16.25% 0.31% -5.55% -29.06% 19.54% -- 37.53% 30.04% 0.57 0.26 0.11 180 两倍 3451.12-14.91% 0.28% -5.96% -25.58% 10.85% -58.41% 33.08% 26.03% 0.32 0.18 0.05 可选等权 2753.58-11.78% -1.06% -6.09% -10.55% -14.91% -34.43% 16.37% 14.00% -1.24-0.12-0.18 24/26

CS 娱乐 1863.95-6.45% -1.13% -7.08% -10.24% -12.87% -43.60% 22.03% 18.02% -0.85-0.08-0.14 300 日报酬两倍 2529.27-14.06% -0.29% -7.34% -23.53% 17.07% -48.92% 34.24% 27.08% 0.54 0.25 0.08 300 两倍 1596.52-15.29% -0.38% -7.66% -24.32% 12.04% -55.36% 34.26% 27.04% 0.35 0.20 0.05 创业成长 1272.22-11.24% -0.72% -8.17% -7.59% -7.81% -25.60% 21.86% 18.19% -0.57-0.03-0.09 500 两倍 3192.02-14.74% -0.85% -8.65% -12.54% -17.53% -- 36.16% 35.38% -0.57-0.06-0.09 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 上证 F200 4418.01-6.48% 0.72% -2.35% -13.77% 5.60% -17.93% 16.91% 13.00% 0.24 0.08 0.04 基本面 50 4198.45-5.36% 0.23% -2.40% -14.62% 13.09% -5.63% 18.91% 14.78% 0.72 0.15 0.16 上证 F500 4900.77-6.73% 0.65% -2.61% -13.08% 3.62% -19.57% 16.59% 12.58% 0.09 0.06 0.01 基本 200 4600.53-6.86% 0.25% -2.77% -14.36% 7.83% -12.17% 17.35% 13.46% 0.40 0.10 0.07 基本 300 5617.31-6.25% 0.01% -3.07% -13.98% 9.41% -8.57% 17.76% 13.49% 0.51 0.12 0.09 基本 600 5171.97-7.01% 0.15% -3.11% -13.39% 5.29% -15.02% 16.95% 13.09% 0.21 0.08 0.03 上证 F300 6707.85-8.45% 0.15% -4.41% -7.84% -9.54% -30.87% 17.80% 17.87% -0.67-0.05-0.10 基本 400 6479.46-7.53% -0.24% -4.51% -9.23% -4.72% -27.31% 18.52% 17.66% -0.41 0.00-0.06 基本 500 6775.54-7.53% -0.30% -4.58% -5.76% -12.12% -28.70% 18.53% 18.00% -0.81-0.08-0.13 25/26

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